Seasons Series Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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 Senior Vice President SunAmerica Asset Management, LLC Harborside 5, 185 Hudson Street, Suite 3300 Jersey City, NJ 07311
(Name and address of agent for service)
Registrant’s telephone number, including area code:				(201) 324-6414
Date of fiscal year end:	March 31
Date of reporting period:		September 30, 2020

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

SEMI-ANNUAL REPORT
SEPTEMBER 30, 2020

Table of Contents

Shareholder Letter	2
Expense Example	3
Seasons Strategies
SA Multi-Managed Growth Portfolio	6
SA Multi-Managed Moderate Growth Portfolio	35
SA Multi-Managed Income/Equity Portfolio	69
SA Multi-Managed Income Portfolio	95
SA Putnam Asset Allocation Diversified Growth Portfolio	120
SA T. Rowe Price Growth Stock Portfolio	164
Seasons Select
SA Multi-Managed Large Cap Growth Portfolio	170
SA Multi-Managed Large Cap Value Portfolio	178
SA Multi-Managed Mid Cap Growth Portfolio	188
SA Multi-Managed Mid Cap Value Portfolio	200
SA Multi-Managed Small Cap Portfolio	215
SA Multi-Managed International Equity Portfolio	231
SA Multi-Managed Diversified Fixed Income Portfolio	245
SA Wellington Real Return Portfolio	300
Seasons Focused
SA Columbia Focused Value Portfolio	313
Seasons Managed Allocation
SA Allocation Growth Portfolio	316
SA Allocation Moderate Growth Portfolio	319
SA Allocation Moderate Portfolio	322
SA Allocation Balanced Portfolio	325
Statements of Assets and Liabilities	328
Statements of Operations	336
Statements of Changes in Net Assets	340
Notes to Financial Statements	347
Financial Highlights	395
Statement Regarding Liquidity Risk Management Program	409
Supplements to the Prospectus	410

Dear Seasons Series Trust Investor:

We are pleased to present the semi-annual report for Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.

This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended September 30, 2020.

If you have any questions regarding your investment, please contact your investment representative, or you may contact us directly at 1-800-445-SUN2.

Sincerely,

John T. Genoy
President
Seasons Series Trust

Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Securities listed may or may not be a part of the current portfolio construction. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59¹/₂, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.

Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.

Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.

Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and "junk bonds" are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer's creditworthiness.

Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.

There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.

Investments are not guaranteed or endorsed by any bank, 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 of Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  September 30, 2020

  (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, 2020 and held until September 30, 2020. 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, 2020" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 2020" 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, 2020" 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, 2020" 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, 2020" column would have been higher and the "Ending Account Value" column would have been lower.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the "Hypothetical" example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.

3

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2020

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2020		Ending Account Value Using Actual Return at September 30, 2020		Expenses Paid During the Six Months Ended September 30, 2020*		Beginning Account Value at April 1, 2020		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2020		Expenses Paid During the Six Months Ended September 30, 2020*		Annualized Expense Ratio*
SA Multi-Managed Growth#
Class 1	$	1,000.00	$	1,440.86	$	8.20	$	1,000.00	$	1,018.35	$	6.78		1.34	%
Class 2	$	1,000.00	$	1,440.46	$	9.12	$	1,000.00	$	1,017.60	$	7.54		1.49	%
Class 3	$	1,000.00	$	1,439.25	$	9.72	$	1,000.00	$	1,017.10	$	8.04		1.59	%
SA Multi-Managed Moderate Growth#
Class 1	$	1,000.00	$	1,353.63	$	6.73	$	1,000.00	$	1,019.35	$	5.77		1.14	%
Class 2	$	1,000.00	$	1,353.36	$	7.61	$	1,000.00	$	1,018.60	$	6.53		1.29	%
Class 3	$	1,000.00	$	1,352.78	$	8.20	$	1,000.00	$	1,018.10	$	7.03		1.39	%
SA Multi-Managed Income/ Equity#
Class 1	$	1,000.00	$	1,256.27	$	6.84	$	1,000.00	$	1,019.00	$	6.12		1.21	%
Class 2	$	1,000.00	$	1,256.74	$	7.69	$	1,000.00	$	1,018.25	$	6.88		1.36	%
Class 3	$	1,000.00	$	1,255.58	$	8.26	$	1,000.00	$	1,017.75	$	7.38		1.46	%
SA Multi-Managed Income#
Class 1	$	1,000.00	$	1,165.30	$	7.17	$	1,000.00	$	1,018.45	$	6.68		1.32	%
Class 2	$	1,000.00	$	1,164.55	$	7.98	$	1,000.00	$	1,017.70	$	7.44		1.47	%
Class 3	$	1,000.00	$	1,164.55	$	8.52	$	1,000.00	$	1,017.20	$	7.94		1.57	%
SA Putnam Asset Allocation: Diversified Growth#
Class 1	$	1,000.00	$	1,243.22	$	4.78	$	1,000.00	$	1,020.81	$	4.31		0.85	%
Class 2	$	1,000.00	$	1,243.22	$	5.62	$	1,000.00	$	1,020.05	$	5.06		1.00	%
Class 3	$	1,000.00	$	1,241.94	$	6.18	$	1,000.00	$	1,019.55	$	5.57		1.10	%
SA T. Rowe Price Growth Stock
Class 1	$	1,000.00	$	1,429.93	$	5.30	$	1,000.00	$	1,020.71	$	4.41		0.87	%
Class 2	$	1,000.00	$	1,429.17	$	6.21	$	1,000.00	$	1,019.95	$	5.16		1.02	%
Class 3	$	1,000.00	$	1,428.03	$	6.82	$	1,000.00	$	1,019.45	$	5.67		1.12	%
SA Multi-Managed Large Cap Growth#
Class 1	$	1,000.00	$	1,515.50	$	4.67	$	1,000.00	$	1,021.36	$	3.75		0.74	%
Class 2	$	1,000.00	$	1,514.67	$	5.61	$	1,000.00	$	1,020.61	$	4.51		0.89	%
Class 3	$	1,000.00	$	1,514.02	$	6.24	$	1,000.00	$	1,020.10	$	5.01		0.99	%
SA Multi-Managed Large Cap Value
Class 1	$	1,000.00	$	1,191.53	$	4.34	$	1,000.00	$	1,021.11	$	4.00		0.79	%
Class 2	$	1,000.00	$	1,190.84	$	5.16	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Class 3	$	1,000.00	$	1,189.99	$	5.76	$	1,000.00	$	1,019.80	$	5.32		1.05	%
SA Multi-Managed Mid Cap Growth
Class 1	$	1,000.00	$	1,497.09	$	5.95	$	1,000.00	$	1,020.31	$	4.81		0.95	%
Class 2	$	1,000.00	$	1,494.85	$	6.88	$	1,000.00	$	1,019.55	$	5.57		1.10	%
Class 3	$	1,000.00	$	1,494.67	$	7.50	$	1,000.00	$	1,019.05	$	6.07		1.20	%
SA Multi-Managed Mid Cap Value
Class 1	$	1,000.00	$	1,270.87	$	5.47	$	1,000.00	$	1,020.26	$	4.86		0.96	%
Class 2	$	1,000.00	$	1,270.05	$	6.32	$	1,000.00	$	1,019.50	$	5.62		1.11	%
Class 3	$	1,000.00	$	1,269.64	$	6.88	$	1,000.00	$	1,019.00	$	6.12		1.21	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2020

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2020		Ending Account Value Using Actual Return at September 30, 2020		Expenses Paid During the Six Months Ended September 30, 2020*		Beginning Account Value at April 1, 2020		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2020		Expenses Paid During the Six Months Ended September 30, 2020*		Annualized Expense Ratio*
SA Multi-Managed Small Cap
Class 1	$	1,000.00	$	1,284.44	$	5.44	$	1,000.00	$	1,020.31	$	4.81		0.95	%
Class 2	$	1,000.00	$	1,282.93	$	6.30	$	1,000.00	$	1,019.55	$	5.57		1.10	%
Class 3	$	1,000.00	$	1,281.54	$	6.86	$	1,000.00	$	1,019.05	$	6.07		1.20	%
SA Multi-Managed International Equity#
Class 1	$	1,000.00	$	1,239.77	$	5.67	$	1,000.00	$	1,020.00	$	5.11		1.01	%
Class 2	$	1,000.00	$	1,239.07	$	6.51	$	1,000.00	$	1,019.25	$	5.87		1.16	%
Class 3	$	1,000.00	$	1,238.30	$	7.07	$	1,000.00	$	1,018.75	$	6.38		1.26	%
SA Multi-Managed Diversified Fixed Income
Class 1	$	1,000.00	$	1,061.72	$	3.57	$	1,000.00	$	1,021.61	$	3.50		0.69	%
Class 2	$	1,000.00	$	1,060.05	$	4.34	$	1,000.00	$	1,020.86	$	4.26		0.84	%
Class 3	$	1,000.00	$	1,059.51	$	4.85	$	1,000.00	$	1,020.36	$	4.76		0.94	%
SA Wellington Real Return#
Class 1	$	1,000.00	$	1,067.08	$	3.06	$	1,000.00	$	1,022.11	$	2.99		0.59	%
Class 3	$	1,000.00	$	1,065.56	$	4.35	$	1,000.00	$	1,020.86	$	4.26		0.84	%
SA Columbia Focused Value#
Class 1	$	1,000.00	$	1,266.95	$	4.09	$	1,000.00	$	1,021.46	$	3.65		0.72	%
Class 2	$	1,000.00	$	1,265.68	$	4.94	$	1,000.00	$	1,020.71	$	4.41		0.87	%
Class 3	$	1,000.00	$	1,264.79	$	5.51	$	1,000.00	$	1,020.21	$	4.91		0.97	%
SA Allocation Growth#
Class 1	$	1,000.00	$	1,248.11	$	0.73	$	1,000.00	$	1,024.42	$	0.66		0.13	%
Class 3	$	1,000.00	$	1,246.62	$	2.14	$	1,000.00	$	1,023.16	$	1.93		0.38	%
SA Allocation Moderate Growth#
Class 1	$	1,000.00	$	1,210.35	$	0.66	$	1,000.00	$	1,024.47	$	0.61		0.12	%
Class 3	$	1,000.00	$	1,208.15	$	2.05	$	1,000.00	$	1,023.21	$	1.88		0.37	%
SA Allocation Moderate#
Class 1	$	1,000.00	$	1,185.11	$	0.71	$	1,000.00	$	1,024.42	$	0.66		0.13	%
Class 3	$	1,000.00	$	1,184.24	$	2.08	$	1,000.00	$	1,023.16	$	1.93		0.38	%
SA Allocation Balanced#
Class 1	$	1,000.00	$	1,147.35	$	0.70	$	1,000.00	$	1,024.42	$	0.66		0.13	%
Class 3	$	1,000.00	$	1,146.26	$	2.10	$	1,000.00	$	1,023.11	$	1.98		0.39	%

*  Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.

#  During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2020" 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, 2020" and the "Annualized Expense Ratio" would have been lower.

5

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Internet Content-Entertainment	7.1	%
Enterprise Software/Service	6.4
Internet Application Software	6.2
Diversified Financial Services	6.0
Uniform Mtg. Backed Securities	5.8
Commercial Services-Finance	5.5
E-Commerce/Products	4.5
Computer Software	3.8
United States Treasury Notes	3.3
Medical Instruments	3.0
Medical-Drugs	2.8
United States Treasury Bonds	2.5
Government National Mtg. Assoc.	2.3
Applications Software	2.2
Medical-Biomedical/Gene	2.2
Communications Software	1.9
Registered Investment Companies	1.8
Repurchase Agreements	1.7
Real Estate Investment Trusts	1.6
Federal National Mtg. Assoc.	1.5
Chemicals-Specialty	1.5
Diversified Banking Institutions	1.5
Retail-Discount	1.4
Entertainment Software	1.3
Aerospace/Defense-Equipment	1.3
Banks-Commercial	1.2
Building Products-Cement	0.9
Coatings/Paint	0.9
Electric-Integrated	0.9
Computer Aided Design	0.8
Electronic Components-Semiconductors	0.7
Electronic Measurement Instruments	0.7
Containers-Metal/Glass	0.7
E-Commerce/Services	0.7
Diagnostic Equipment	0.6
Building-Residential/Commercial	0.6
Internet Content-Information/News	0.6
Retail-Apparel/Shoe	0.6
Municipal Bonds & Notes	0.5
Federal Home Loan Mtg. Corp.	0.5
Finance-Other Services	0.5
Medical Products	0.5
Human Resources	0.4
Distribution/Wholesale	0.4
Cable/Satellite TV	0.4
Medical-HMO	0.3
Computer Services	0.3
Savings & Loans/Thrifts	0.3
Building & Construction-Misc.	0.3
Telephone-Integrated	0.3
Banks-Super Regional	0.3
Electronic Components-Misc.	0.3
Television	0.3
Building & Construction Products-Misc.	0.3
Building-Heavy Construction	0.3
Energy-Alternate Sources	0.3
Retail-Restaurants	0.3
Diversified Manufacturing Operations	0.3
Insurance-Life/Health	0.2
Pipelines	0.2

Gas-Distribution	0.2	%
Cellular Telecom	0.2
Brewery	0.2
Pastoral & Agricultural	0.2
Medical-Wholesale Drug Distribution	0.2
Tobacco	0.2
Retail-Sporting Goods	0.2
Data Processing/Management	0.2
Apparel Manufacturers	0.2
Auto-Truck Trailers	0.2
Machinery-General Industrial	0.2
Investment Management/Advisor Services	0.2
Oil-Field Services	0.2
Food-Misc./Diversified	0.2
Oil Refining & Marketing	0.2
Retail-Building Products	0.2
Auto/Truck Parts & Equipment-Original	0.2
Medical-Hospitals	0.2
E-Services/Consulting	0.2
Transport-Services	0.2
Finance-Investment Banker/Broker	0.2
Consulting Services	0.1
Schools	0.1
Transport-Truck	0.1
Medical Information Systems	0.1
Water	0.1
Aerospace/Defense	0.1
Machinery-Electrical	0.1
Medical Labs & Testing Services	0.1
Insurance Brokers	0.1
Financial Guarantee Insurance	0.1
Home Furnishings	0.1
Computer Data Security	0.1
Wireless Equipment	0.1
Building Products-Wood	0.1
Metal Products-Distribution	0.1
Retail-Automobile	0.1
Electric-Distribution	0.1
Printing-Commercial	0.1
Insurance-Reinsurance	0.1
Building Products-Doors & Windows	0.1
Oil Companies-Exploration & Production	0.1
Sovereign	0.1
Semiconductor Components-Integrated Circuits	0.1
Power Converter/Supply Equipment	0.1
Therapeutics	0.1
Office Furnishings-Original	0.1
Machinery-Construction & Mining	0.1
Satellite Telecom	0.1
Finance-Consumer Loans	0.1
Telecommunication Equipment	0.1
Theaters	0.1
Dental Supplies & Equipment	0.1
Transactional Software	0.1
Options Purchased	0.1
Telecom Services	0.1
Paper & Related Products	0.1
Oil-U.S. Royalty Trusts	0.1
Broadcast Services/Program	0.1
Gold Mining	0.1

6

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Building-Maintenance & Services	0.1	%
Electric-Generation	0.1
Chemicals-Diversified	0.1
Funeral Services & Related Items	0.1
Medical-Generic Drugs	0.1
Food-Wholesale/Distribution	0.1
Oil Companies-Integrated	0.1
Semiconductor Equipment	0.1
Retail-Office Supplies	0.1
Consumer Products-Misc.	0.1
Steel-Producers	0.1
Computers	0.1
Decision Support Software	0.1
Pharmacy Services	0.1
Coal	0.1
Office Supplies & Forms	0.1
Vitamins & Nutrition Products	0.1
Medical Laser Systems	0.1
Casino Hotels	0.1
Banks-Fiduciary	0.1
Hazardous Waste Disposal	0.1
X-Ray Equipment	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Networking Products	0.1
Rubber/Plastic Products	0.1
Retail-Regional Department Stores	0.1
Trucking/Leasing	0.1
Drug Delivery Systems	0.1
Finance-Auto Loans	0.1
Insurance-Mutual	0.1
	107.6	%

*  Calculated as a percentage of net assets

7

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 72.7%
Advertising Services — 0.0%
National CineMedia, Inc.		5,975	$	16,222
Aerospace/Defense-Equipment — 1.2%
AAR Corp.		1,300		24,440
HEICO Corp., Class A		6,532		579,127
Moog, Inc., Class A		200		12,706
				616,273
Agricultural Operations — 0.0%
Fresh Del Monte Produce, Inc.		600		13,752
Apparel Manufacturers — 0.2%
Deckers Outdoor Corp.†		250		55,002
Lakeland Industries, Inc.†		2,370		46,926
				101,928
Appliances — 0.0%
Hamilton Beach Brands Holding Co., Class A		275		5,349
Applications Software — 2.2%
Asana, Inc., Class A†		725		20,537
JFrog, Ltd.†		225		19,046
Outset Medical, Inc.		200		10,000
ServiceNow, Inc.†		2,179		1,056,815
				1,106,398
Audio/Video Products — 0.0%
Sonos, Inc.†		350		5,313
Auto-Truck Trailers — 0.2%
Wabash National Corp.		8,150		97,474
Auto/Truck Parts & Equipment-Original — 0.2%
Adient PLC†		425		7,365
Gentherm, Inc.†		1,100		44,990
Meritor, Inc.†		1,150		24,081
Telenav, Inc.†		1,100		3,960
				80,396
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		857		29,309
Banks-Commercial — 1.2%
1st Source Corp.		350		10,794
Atlantic Union Bankshares Corp.		291		6,219
BancFirst Corp.		1,050		42,882
BancorpSouth Bank		1,425		27,616
Banner Corp.		1,100		35,486
Cadence BanCorp		1,950		16,750
Cathay General Bancorp		550		11,924
Central Pacific Financial Corp.		1,725		23,408
Central Valley Community Bancorp		125		1,544
CIT Group, Inc.		1,025		18,153
Columbia Banking System, Inc.		1,375		32,794
CVB Financial Corp.		2,300		38,249
Enterprise Financial Services Corp.		325		8,863
Equity Bancshares, Inc., Class A†		650		10,075
First Commonwealth Financial Corp.		2,325		17,995
First Community Bankshares, Inc.		150		2,708
First Hawaiian, Inc.		500		7,235

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Horizon National Corp.		966	$	9,109
Great Western Bancorp, Inc.		1,050		13,073
Hope Bancorp, Inc.		2,419		18,348
Independent Bank Corp.		675		8,485
Old National Bancorp		2,675		33,598
PacWest Bancorp		375		6,405
Premier Financial Corp.		250		3,894
South State Corp.		75		3,611
Trustmark Corp.		3,475		74,400
UMB Financial Corp.		350		17,153
United Bankshares, Inc.		1,025		22,007
Webster Financial Corp.		325		8,583
West BanCorp, Inc.		225		3,564
Westamerica BanCorp		1,200		65,220
				600,145
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		125		3,281
Broadcast Services/Program — 0.0%
Hemisphere Media Group, Inc.†		2,425		21,073
Building & Construction Products-Misc. — 0.3%
Builders FirstSource, Inc.†		2,550		83,181
Louisiana-Pacific Corp.		1,575		46,478
				129,659
Building & Construction-Misc. — 0.3%
Comfort Systems USA, Inc.		725		37,345
EMCOR Group, Inc.		1,525		103,258
MYR Group, Inc.†		675		25,096
				165,699
Building Products-Cement — 0.9%
Martin Marietta Materials, Inc.		1,894		445,772
US Concrete, Inc.†		175		5,082
				450,854
Building Products-Doors & Windows — 0.1%
Cornerstone Building Brands, Inc.†		275		2,194
Masonite International Corp.†		575		56,580
				58,774
Building Products-Light Fixtures — 0.0%
LSI Industries, Inc.		550		3,713
Building Products-Wood — 0.1%
Boise Cascade Co.		1,275		50,898
UFP Industries, Inc.		225		12,715
				63,613
Building-Heavy Construction — 0.3%
Arcosa, Inc.		800		35,272
MasTec, Inc.†		1,325		55,915
Tutor Perini Corp.†		4,250		47,302
				138,489
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		1,200		43,992

8

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Residential/Commercial — 0.5%
KB Home		2,300	$	88,297
Meritage Homes Corp.†		175		19,318
TRI Pointe Group, Inc.†		7,800		141,492
				249,107
Cable/Satellite TV — 0.0%
WideOpenWest, Inc.†		2,925		15,181
Casino Hotels — 0.1%
Boyd Gaming Corp.		925		28,388
Casino Services — 0.0%
Caesars Entertainment, Inc.†		100		5,606
Chemicals-Diversified — 0.0%
Koppers Holdings, Inc.†		575		12,023
Stepan Co.		25		2,725
				14,748
Chemicals-Specialty — 1.5%
Ecolab, Inc.		3,517		702,837
Ingevity Corp.†		125		6,180
Minerals Technologies, Inc.		625		31,937
PQ Group Holdings, Inc.†		175		1,796
Tronox Holdings PLC, Class A		925		7,280
				750,030
Circuit Boards — 0.0%
TTM Technologies, Inc.†		2,125		24,246
Coal — 0.1%
Peabody Energy Corp.		425		978
SunCoke Energy, Inc.		1,850		6,327
Warrior Met Coal, Inc.		1,725		29,463
				36,768
Coatings/Paint — 0.9%
Sherwin-Williams Co.		626		436,159
Coffee — 0.0%
Farmer Brothers Co.†		1,000		4,420
Commercial Services — 0.0%
Medifast, Inc.		75		12,334
Commercial Services-Finance — 5.4%
Adyen NV†*		322		593,400
Euronet Worldwide, Inc.†		75		6,832
Evo Payments, Inc., Class A†		1,775		44,109
Green Dot Corp., Class A†		300		15,183
S&P Global, Inc.		611		220,327
Square, Inc., Class A†		11,604		1,886,230
				2,766,081
Communications Software — 1.9%
Avaya Holdings Corp.†		7,975		121,220
Zoom Video Communications, Inc., Class A†		1,856		872,524
				993,744
Computer Aided Design — 0.8%
Autodesk, Inc.†		1,752		404,730
Computer Data Security — 0.1%
Qualys, Inc.†		475		46,554
SecureWorks Corp., Class A†		1,625		18,509
				65,063

Security Description	Shares		Value (Note 2)
Computer Services — 0.3%
CACI International, Inc., Class A†		175	$	37,303
Insight Enterprises, Inc.†		325		18,388
Perspecta, Inc.		3,775		73,424
Sykes Enterprises, Inc.†		700		23,947
				153,062
Computer Software — 3.8%
Avid Technology, Inc.†		1,875		16,050
Cornerstone OnDemand, Inc.†		875		31,815
Slack Technologies, Inc., Class A†		19,848		533,117
Twilio, Inc., Class A†		5,593		1,381,974
Xperi Holding Corp.		522		5,998
				1,968,954
Consulting Services — 0.1%
GP Strategies Corp.†		1,375		13,255
Huron Consulting Group, Inc.†		1,225		48,179
Kelly Services, Inc., Class A		700		11,928
				73,362
Consumer Products-Misc. — 0.1%
Central Garden & Pet Co., Class A†		425		15,360
Quanex Building Products Corp.		925		17,057
				32,417
Containers-Metal/Glass — 0.6%
Ball Corp.		3,606		299,731
Containers-Paper/Plastic — 0.0%
Graphic Packaging Holding Co.		770		10,849
Cosmetics & Toiletries — 0.0%
Edgewell Personal Care Co.†		300		8,364
Data Processing/Management — 0.1%
CommVault Systems, Inc.†		1,075		43,860
CSG Systems International, Inc.		175		7,166
				51,026
Dental Supplies & Equipment — 0.1%
Patterson Cos., Inc.		1,950		47,005
Diagnostic Equipment — 0.6%
Adaptive Biotechnologies Corp.†		400		19,452
Danaher Corp.		1,295		278,852
				298,304
Dialysis Centers — 0.0%
American Renal Associates Holdings, Inc.†		125		863
Distribution/Wholesale — 0.4%
Avient Corp.		1,425		37,705
Core-Mark Holding Co., Inc.		2,275		65,816
Fossil Group, Inc.†		650		3,731
G-III Apparel Group, Ltd.†		3,275		42,935
ScanSource, Inc.†		2,250		44,617
Veritiv Corp.†		475		6,014
				200,818
Diversified Manufacturing Operations — 0.1%
Enerpac Tool Group Corp.		100		1,881
EnPro Industries, Inc.		325		18,334
Fabrinet†		275		17,333
				37,548

9

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Products — 4.4%
Amazon.com, Inc.†		582	$	1,832,561
Chewy, Inc., Class A†		7,441		407,990
				2,240,551
E-Commerce/Services — 0.7%
Cars.com, Inc.†		2,425		19,594
Groupon, Inc.†		178		3,631
Match Group, Inc.†		2,425		268,326
Stamps.com, Inc.†		200		48,190
				339,741
E-Marketing/Info — 0.0%
comScore, Inc.†		3,750		7,650
E-Services/Consulting — 0.2%
Perficient, Inc.†		1,800		76,932
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		1,750		14,560
Electric-Generation — 0.1%
Atlantic Power Corp.†		22,225		43,561
Electric-Integrated — 0.2%
Black Hills Corp.		225		12,035
IDACORP, Inc.		100		7,990
PNM Resources, Inc.		500		20,665
Portland General Electric Co.		1,075		38,163
				78,853
Electronic Components-Misc. — 0.3%
Bel Fuse, Inc., Class B		2,200		23,496
Benchmark Electronics, Inc.		1,600		32,240
OSI Systems, Inc.†		375		29,104
Sanmina Corp.†		1,275		34,489
SMART Global Holdings, Inc.†		725		19,821
				139,150
Electronic Components-Semiconductors — 0.5%
Amkor Technology, Inc.†		5,225		58,520
MACOM Technology Solutions Holdings, Inc.†		1,350		45,914
Rambus, Inc.†		5,450		74,610
Synaptics, Inc.†		775		62,325
				241,369
Electronic Measurement Instruments — 0.7%
Roper Technologies, Inc.		902		356,389
Energy-Alternate Sources — 0.3%
FutureFuel Corp.		1,750		19,898
Green Plains, Inc.†		425		6,579
Maxeon Solar Technologies, Ltd.†		465		7,886
Renewable Energy Group, Inc.†		600		32,052
REX American Resources Corp.†		375		24,604
SunPower Corp.†		3,775		47,225
				138,244
Engineering/R&D Services — 0.0%
KBR, Inc.		525		11,739

Security Description	Shares		Value (Note 2)
Enterprise Software/Service — 6.3%
ACI Worldwide, Inc.†		1,450	$	37,888
Asure Software, Inc.†		1,357		10,245
Coupa Software, Inc.†		3,046		835,335
Donnelley Financial Solutions, Inc.†		775		10,354
eGain Corp.†		1,275		18,067
Evolent Health, Inc., Class A†		3,675		45,607
MicroStrategy, Inc., Class A†		225		33,876
SVMK, Inc.†		1,125		24,874
Veeva Systems, Inc., Class A†		5,096		1,432,944
Workday, Inc., Class A†		3,639		782,858
				3,232,048
Entertainment Software — 1.3%
Activision Blizzard, Inc.		4,958		401,350
Take-Two Interactive Software, Inc.†		1,597		263,856
				665,206
Finance-Auto Loans — 0.1%
Credit Acceptance Corp.†		75		25,398
Finance-Consumer Loans — 0.1%
EZCORP, Inc., Class A†		750		3,773
Navient Corp.		4,250		35,912
Nelnet, Inc., Class A		75		4,519
				44,204
Finance-Investment Banker/Broker — 0.2%
Cowen, Inc., Class A		1,100		17,897
Houlihan Lokey, Inc.		725		42,811
Moelis & Co., Class A		75		2,636
Piper Sandler Cos.		175		12,775
				76,119
Finance-Other Services — 0.4%
Intercontinental Exchange, Inc.		1,971		197,199
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		400		2,424
MGIC Investment Corp.		2,550		22,593
NMI Holdings, Inc., Class A†		350		6,230
Radian Group, Inc.		2,325		33,968
				65,215
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		600		21,438
Food-Misc./Diversified — 0.1%
B&G Foods, Inc.		875		24,299
John B. Sanfilippo & Son, Inc.		375		28,267
				52,566
Food-Wholesale/Distribution — 0.1%
SpartanNash Co.		2,100		34,335
Gas-Distribution — 0.1%
New Jersey Resources Corp.		225		6,080
Northwest Natural Holding Co.		175		7,943
ONE Gas, Inc.		475		32,780
Southwest Gas Holdings, Inc.		325		20,507
				67,310

10

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Gold Mining — 0.1%
Royal Gold, Inc.		372	$	44,703
Home Furnishings — 0.1%
Purple Innovation, Inc.†		800		19,888
Sleep Number Corp.†		925		45,242
				65,130
Human Resources — 0.4%
Barrett Business Services, Inc.		1,040		54,538
Cross Country Healthcare, Inc.†		6,650		43,158
Heidrick & Struggles International, Inc.		150		2,948
Insperity, Inc.		200		13,098
Kforce, Inc.		900		28,953
Korn Ferry		625		18,125
TrueBlue, Inc.†		3,825		59,249
				220,069
Independent Power Producers — 0.0%
Clearway Energy, Inc., Class A		625		15,438
Clearway Energy, Inc., Class C		150		4,044
				19,482
Insurance-Life/Health — 0.1%
American Equity Investment Life Holding Co.		500		10,995
CNO Financial Group, Inc.		2,975		47,719
Primerica, Inc.		150		16,971
				75,685
Insurance-Property/Casualty — 0.0%
Ambac Financial Group, Inc.†		275		3,512
First American Financial Corp.		225		11,455
Heritage Insurance Holdings, Inc.		175		1,771
ProSight Global, Inc.†		300		3,402
				20,140
Insurance-Reinsurance — 0.1%
Argo Group International Holdings, Ltd.		300		10,329
Essent Group, Ltd.		1,325		49,038
				59,367
Internet Application Software — 6.2%
Okta, Inc.†		6,567		1,404,353
Shopify, Inc., Class A†		1,738		1,777,922
				3,182,275
Internet Content-Entertainment — 7.1%
Facebook, Inc., Class A†		3,631		950,959
Spotify Technology SA†		5,728		1,389,441
Twitter, Inc.†		29,068		1,293,526
				3,633,926
Internet Content-Information/News — 0.6%
IAC/InterActiveCorp†		2,129		255,012
Yelp, Inc.†		1,900		38,171
				293,183
Internet Security — 0.0%
Proofpoint, Inc.†		150		15,833

Security Description	Shares		Value (Note 2)
Investment Management/Advisor Services — 0.2%
Blucora, Inc.†		1,725	$	16,250
Focus Financial Partners, Inc., Class A†		800		26,232
Stifel Financial Corp.		740		37,414
Virtus Investment Partners, Inc.		75		10,399
				90,295
Machinery-Construction & Mining — 0.1%
Astec Industries, Inc.		1,000		54,250
Machinery-Electrical — 0.1%
Argan, Inc.		1,600		67,056
Bloom Energy Corp., Class A†		75		1,348
				68,404
Machinery-General Industrial — 0.1%
Applied Industrial Technologies, Inc.		150		8,265
DXP Enterprises, Inc.†		775		12,501
Kadant, Inc.		250		27,405
				48,171
Medical Information Systems — 0.1%
Allscripts Healthcare Solutions, Inc.†		7,175		58,405
Computer Programs & Systems, Inc.		525		14,495
				72,900
Medical Instruments — 2.9%
AngioDynamics, Inc.†		1,975		23,819
Intuitive Surgical, Inc.†		1,991		1,412,694
Natus Medical, Inc.†		1,675		28,693
NuVasive, Inc.†		725		35,213
				1,500,419
Medical Labs & Testing Services — 0.1%
MEDNAX, Inc.†		950		15,466
Medpace Holdings, Inc.†		325		36,318
Personalis, Inc.†		425		9,210
				60,994
Medical Laser Systems — 0.1%
Cutera, Inc.†		1,815		34,431
Medical Products — 0.4%
Accuray, Inc.†		8,500		20,400
Integer Holdings Corp.†		900		53,109
Invacare Corp.		1,975		14,852
LivaNova PLC†		625		28,256
Orthofix Medical, Inc.†		650		20,241
SeaSpine Holdings Corp.†		2,400		34,320
Sientra, Inc.†		2,500		8,500
				179,678
Medical-Biomedical/Gene — 1.9%
ACADIA Pharmaceuticals, Inc.†		1,075		44,344
Alder Biopharmaceuticals, Inc. CVR†(1)		1,325		1,166
AMAG Pharmaceuticals, Inc.†		150		1,410
Amicus Therapeutics, Inc.†		2,250		31,770
Arena Pharmaceuticals, Inc.†		685		51,231
Atara Biotherapeutics, Inc.†		1,725		22,356
Berkeley Lights, Inc.†		450		34,362

11

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Biohaven Pharmaceutical Holding Co., Ltd.†		700	$	45,507
Black Diamond Therapeutics, Inc.†		625		18,894
Bluebird Bio, Inc.†		125		6,744
Bridgebio Pharma, Inc.†		550		20,636
CytomX Therapeutics, Inc.†		775		5,154
Eiger BioPharmaceuticals, Inc.†		1,825		14,855
Esperion Therapeutics, Inc.†		250		9,293
Homology Medicines, Inc.†		475		5,083
Intercept Pharmaceuticals, Inc.†		975		40,423
LogicBio Therapeutics, Inc.†		3,075		27,921
Mersana Therapeutics, Inc.†		1,900		35,378
Myriad Genetics, Inc.†		1,325		17,278
Puma Biotechnology, Inc.†		2,400		24,216
REGENXBIO, Inc.†		750		20,640
REVOLUTION Medicines, Inc.†		325		11,310
Royalty Pharma PLC, Class A		9,595		403,662
Solid Biosciences, Inc.†		675		1,370
Sutro Biopharma, Inc.†		275		2,764
TCR2 Therapeutics, Inc.†		575		11,684
Viela Bio, Inc.†		675		18,954
VYNE Therapeutics, Inc.†		600		996
WaVe Life Sciences, Ltd.†		3,050		25,894
Xencor, Inc.†		875		33,941
Y-mAbs Therapeutics, Inc.†		75		2,879
				992,115
Medical-Drugs — 2.5%
Aimmune Therapeutics, Inc.†		700		24,115
Alector, Inc.†		275		2,897
Athenex, Inc.†		1,700		20,570
Clovis Oncology, Inc.†		2,225		12,972
Eagle Pharmaceuticals, Inc.†		200		8,496
Global Blood Therapeutics, Inc.†		575		31,706
Gritstone Oncology, Inc.†		300		795
Horizon Therapeutics PLC†		825		64,086
Lannett Co., Inc.†		5,700		34,827
Marinus Pharmaceuticals, Inc.		1,919		24,659
MyoKardia, Inc.†		800		109,064
Prestige Consumer Healthcare, Inc.†		250		9,105
Protagonist Therapeutics, Inc.†		1,775		34,701
Reata Pharmaceuticals, Inc., Class A†		360		35,071
Seres Therapeutics, Inc.†		1,550		43,880
TG Therapeutics, Inc.†		1,375		36,795
UroGen Pharma, Ltd.†		975		18,808
Vanda Pharmaceuticals, Inc.†		1,150		11,109
Voyager Therapeutics, Inc.†		1,225		13,071
Zoetis, Inc.		4,354		720,021
				1,256,748
Medical-Generic Drugs — 0.1%
Arvinas, Inc.†		25		590
Endo International PLC†		12,425		41,003
				41,593

Security Description	Shares		Value (Note 2)
Medical-HMO — 0.2%
Magellan Health, Inc.†		983	$	74,492
Tivity Health, Inc.†		975		13,669
Triple-S Management Corp., Class B†		1,125		20,104
				108,265
Medical-Hospitals — 0.2%
Community Health Systems, Inc.†		7,750		32,705
Tenet Healthcare Corp.†		1,850		45,343
				78,048
Medical-Outpatient/Home Medical — 0.0%
Providence Service Corp.†		50		4,646
Medical-Wholesale Drug Distribution — 0.2%
Owens & Minor, Inc.		4,450		111,739
Metal Processors & Fabrication — 0.0%
LB Foster Co., Class A†		150		2,013
Metal Products-Distribution — 0.1%
Worthington Industries, Inc.		1,500		61,170
Metal-Aluminum — 0.0%
Arconic Corp.†		150		2,858
Century Aluminum Co.†		275		1,958
Kaiser Aluminum Corp.		150		8,038
				12,854
Motion Pictures & Services — 0.0%
Eros International PLC†		825		1,823
Networking Products — 0.1%
Extreme Networks, Inc.†		1,875		7,537
NeoPhotonics Corp.†		3,575		21,772
				29,309
Office Furnishings-Original — 0.1%
HNI Corp.		1,325		41,579
Steelcase, Inc., Class A		1,375		13,901
				55,480
Office Supplies & Forms — 0.1%
ACCO Brands Corp.		6,275		36,395
Oil Companies-Exploration & Production — 0.1%
Berry Corp.		1,250		3,962
CNX Resources Corp.†		875		8,260
Magnolia Oil & Gas Corp., Class A†		850		4,394
Ovintiv, Inc.		1,100		8,976
PDC Energy, Inc.†		600		7,437
Range Resources Corp.		475		3,145
W&T Offshore, Inc.†		3,775		6,795
				42,969
Oil Refining & Marketing — 0.1%
CVR Energy, Inc.		125		1,548
Delek US Holdings, Inc.		725		8,069
Murphy USA, Inc.†		375		48,101
				57,718
Oil-Field Services — 0.2%
ChampionX Corp.†		525		4,195
Matrix Service Co.†		3,100		25,885
MRC Global, Inc.†		2,350		10,058

12

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil-Field Services (continued)
NexTier Oilfield Solutions, Inc.†		8,375	$	15,494
NOW, Inc.†		7,275		33,028
				88,660
Oil-U.S. Royalty Trusts — 0.1%
Texas Pacific Land Trust		101		45,608
Paper & Related Products — 0.1%
Clearwater Paper Corp.†		100		3,794
Domtar Corp.		725		19,046
Neenah, Inc.		50		1,874
P.H. Glatfelter Co.		625		8,606
Verso Corp., Class A		1,625		12,821
				46,141
Pastoral & Agricultural — 0.2%
Darling Ingredients, Inc.†		3,175		114,395
Power Converter/Supply Equipment — 0.1%
Generac Holdings, Inc.†		175		33,887
Powell Industries, Inc.		925		22,320
				56,207
Printing-Commercial — 0.1%
Deluxe Corp.		675		17,368
Ennis, Inc.		1,950		34,008
Quad/Graphics, Inc.		2,675		8,105
				59,481
Publishing-Books — 0.0%
Houghton Mifflin Harcourt Co.†		9,600		16,608
Racetracks — 0.0%
Penn National Gaming, Inc.†		300		21,810
Real Estate Investment Trusts — 1.4%
Acadia Realty Trust		450		4,725
Agree Realty Corp.		175		11,137
Alexander & Baldwin, Inc.		384		4,305
American Assets Trust, Inc.		1,775		42,760
American Finance Trust, Inc.		650		4,076
Americold Realty Trust		1,275		45,581
Blackstone Mtg. Trust, Inc., Class A		1,875		41,194
Broadstone Net Lease, Inc., Class A		1,175		19,716
CareTrust REIT, Inc.		225		4,004
City Office REIT, Inc.		275		2,068
CoreSite Realty Corp.		300		35,664
DiamondRock Hospitality Co.		4,800		24,336
Easterly Government Properties, Inc.		400		8,964
EastGroup Properties, Inc.		125		16,166
Ellington Financial, Inc.		75		920
Equity LifeStyle Properties, Inc.		300		18,390
Essential Properties Realty Trust, Inc.		225		4,122
First Industrial Realty Trust, Inc.		1,125		44,775
Four Corners Property Trust, Inc.		200		5,118
GEO Group, Inc.		575		6,521
Getty Realty Corp.		600		15,606
Gladstone Commercial Corp.		400		6,740
Global Net Lease, Inc.		175		2,783

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Great Ajax Corp.		125	$	1,036
Hersha Hospitality Trust		150		831
Highwoods Properties, Inc.		250		8,392
Invesco Mtg. Capital, Inc.		428		1,160
Kite Realty Group Trust		250		2,895
KKR Real Estate Finance Trust, Inc.		875		14,464
Ladder Capital Corp.		1,775		12,638
Lexington Realty Trust		1,275		13,324
Mack-Cali Realty Corp.		600		7,572
New Senior Investment Group, Inc.		1,925		7,700
Pebblebrook Hotel Trust		350		4,386
PennyMac Mtg. Investment Trust		1,425		22,900
Physicians Realty Trust		1,425		25,522
Piedmont Office Realty Trust, Inc., Class A		1,100		14,927
Plymouth Industrial REIT, Inc.		300		3,702
PotlatchDeltic Corp.		850		35,785
PS Business Parks, Inc.		25		3,060
QTS Realty Trust, Inc., Class A		575		36,236
Redwood Trust, Inc.		1,250		9,400
Retail Opportunity Investments Corp.		1,225		12,758
RLJ Lodging Trust		750		6,495
Ryman Hospitality Properties, Inc.		225		8,280
Sabra Health Care REIT, Inc.		775		10,683
Saul Centers, Inc.		325		8,638
SITE Centers Corp.†		125		900
STAG Industrial, Inc.		500		15,245
Summit Hotel Properties, Inc.		500		2,590
Sunstone Hotel Investors, Inc.		4,425		35,134
TPG RE Finance Trust, Inc.		300		2,538
Two Harbors Investment Corp.		1,388		7,065
UMH Properties, Inc.		575		7,785
Xenia Hotels & Resorts, Inc.		1,425		12,511
				726,223
Real Estate Management/Services — 0.0%
Realogy Holdings Corp.†		1,225		11,564
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		450		13,451
Resort/Theme Parks — 0.0%
Marriott Vacations Worldwide Corp.		225		20,432
Retail-Apparel/Shoe — 0.6%
Guess?, Inc.		1,375		15,977
Lululemon Athletica, Inc.†		795		261,849
Winmark Corp.		75		12,914
				290,740
Retail-Automobile — 0.1%
Group 1 Automotive, Inc.		175		15,468
Lithia Motors, Inc., Class A		50		11,397
Sonic Automotive, Inc., Class A		850		34,136
				61,001
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.		1,375		20,598

13

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Building Products — 0.1%
BMC Stock Holdings, Inc.†		1,000	$	42,830
Retail-Discount — 1.4%
Big Lots, Inc.		800		35,680
Costco Wholesale Corp.		1,978		702,190
				737,870
Retail-Home Furnishings — 0.0%
Haverty Furniture Cos., Inc.		550		11,517
Retail-Leisure Products — 0.0%
MarineMax, Inc.†		325		8,343
Retail-Office Supplies — 0.1%
ODP Corp.		1,990		38,705
Retail-Pawn Shops — 0.0%
FirstCash, Inc.		350		20,024
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		750		27,390
Retail-Restaurants — 0.2%
Bloomin' Brands, Inc.		3,450		52,681
Brinker International, Inc.		900		38,448
				91,129
Retail-Sporting Goods — 0.2%
Hibbett Sports, Inc.†		1,525		59,810
Zumiez, Inc.†		1,550		43,121
				102,931
Rubber-Tires — 0.0%
Cooper Tire & Rubber Co.		325		10,303
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		700		9,261
Trinseo SA		725		18,589
				27,850
Satellite Telecom — 0.1%
Gogo, Inc.†		5,475		50,589
KVH Industries, Inc.†		400		3,604
				54,193
Savings & Loans/Thrifts — 0.3%
BankFinancial Corp.		425		3,069
Brookline Bancorp, Inc.		1,425		12,319
Capitol Federal Financial, Inc.		125		1,158
Flushing Financial Corp.		475		4,997
Investors Bancorp, Inc.		1,575		11,434
Meridian Bancorp, Inc.		3,400		35,190
Northfield Bancorp, Inc.		3,200		29,184
People's United Financial, Inc.		773		7,970
Washington Federal, Inc.		2,925		61,015
				166,336
Schools — 0.1%
American Public Education, Inc.†		944		26,611
K12, Inc.†		1,050		27,657
				54,268
Semiconductor Components-Integrated Circuits — 0.0%
Cirrus Logic, Inc.†		300		20,235

Security Description	Shares		Value (Note 2)
Semiconductor Equipment — 0.1%
Cohu, Inc.		1,125	$	19,327
Veeco Instruments, Inc.†		1,725		20,131
				39,458
Steel-Producers — 0.1%
Commercial Metals Co.		1,375		27,473
Telecom Services — 0.1%
Consolidated Communications Holdings, Inc.†		8,213		46,732
Telecommunication Equipment — 0.1%
ADTRAN, Inc.		3,675		37,687
PC-Tel, Inc.		825		4,670
Plantronics, Inc.		800		9,472
				51,829
Television — 0.2%
AMC Networks, Inc., Class A†		1,675		41,389
Central European Media Enterprises, Ltd., Class A†		4,900		20,531
ION Media Networks, Inc.†(1)(2)		2		1,731
Sinclair Broadcast Group, Inc., Class A		1,200		23,076
				86,727
Theaters — 0.1%
Cinemark Holdings, Inc.		4,800		48,000
Therapeutics — 0.1%
Flexion Therapeutics, Inc.†		2,375		24,724
La Jolla Pharmaceutical Co.†		675		2,720
Sarepta Therapeutics, Inc.†		200		28,086
				55,530
Transactional Software — 0.1%
Synchronoss Technologies, Inc.†		12,250		36,873
Transport-Marine — 0.0%
Diamond S Shipping, Inc.†		600		4,122
Dorian LPG, Ltd.†		44		352
				4,474
Transport-Services — 0.1%
Echo Global Logistics, Inc.†		1,200		30,924
Hub Group, Inc., Class A†		450		22,588
				53,512
Transport-Truck — 0.1%
ArcBest Corp.		2,125		66,003
Schneider National, Inc., Class B		325		8,037
				74,040
Vitamins & Nutrition Products — 0.1%
Herbalife Nutrition, Ltd.†		450		20,993
USANA Health Sciences, Inc.†		200		14,730
				35,723
Water — 0.1%
American States Water Co.		675		50,591
Arch Resources, Inc., Class A		235		9,983
				60,574

14

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount(16)		Value (Note 2)
COMMON STOCKS (continued)
Web Hosting/Design — 0.0%
NIC, Inc.		525	$	10,342
Wireless Equipment — 0.1%
Maxar Technologies, Inc.		2,100		52,374
X-Ray Equipment — 0.1%
Varex Imaging Corp.†		2,325		29,574
Total Common Stocks (cost $26,628,261)				37,262,689
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5%
Diversified Banking Institutions — 0.5%
Credit Suisse Group AG 6.25% due 12/29/2049*(3) (cost $258,627)	$	250,000		267,784
ASSET BACKED SECURITIES — 6.0%
Diversified Financial Services — 6.0%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% (1 ML+0.17%) due 01/25/2037(4)		2,034		2,219
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025		15,000		15,275
Angel Oak Mtg. Trust LLC VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(4)(5)		46,734		47,010
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(4)(5)		27,868		28,221
Apidos CLO FRS Series 2015-21A, Class A1R 1.20% (3 ML+0.93%) due 07/18/2027*(15)		250,000		248,183
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.72% (1 ML+1.58%) due 10/25/2034		1,653		1,679
BANK VRS Series 2018-BN14, Class XA 0.67% due 09/15/2060(5)(6)(7)		979,967		30,498
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5)		49,719		51,489
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5)		48,040		48,533
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(5)		48,330		49,643
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5)		48,242		50,159

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.51% due 02/25/2036(4)(5)	$	16,059	$	14,611
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(5)(6)(7)		99,082		2,969
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(5)(6)(7)		121,950		3,577
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.39% due 03/15/2062(5)(6)(7)		111,619		9,031
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.88% due 07/25/2049*(4)(8)		34,498		35,420
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(5)		44,461		45,447
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(6)		20,000		21,792
Citigroup Mtg. Loan Trust, Inc. Series 2019-E, Class A1 3.23% due 11/25/2070*(8)		94,477		95,537
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.99% (1 Yr USTYCR+2.40%) due 03/25/2036(4)		8,820		8,702
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		35,000		37,946
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(6)		43,000		47,303
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		41,906		45,356
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		100,000		106,912
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		5,353		4,154
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.89% due 06/15/2057(5)(6)(7)		301,285		8,505
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(6)		30,000		31,725
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(6)		40,000		43,559
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(6)		25,000		26,603

15

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Domino's Pizza Master Issuer LLC Series 2017-1A, Class A2II 3.08% due 07/25/2047*	$	48,625	$	48,724
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*		49,000		51,841
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027		10,000		10,237
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025*		25,000		25,607
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025*		10,000		10,261
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.24% due 05/25/2035(4)(5)		13,787		13,542
GS Mtg. Securities Corp. VRS Series 2018-GS10, Class XA 0.48% due 07/10/2051(5)(6)(7)		993,337		23,921
GS Mtg. Securities Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(6)		31,000		33,604
GS Mtg. Securities Trust Series 2014-GC26, Class AAB 3.37% due 11/10/2047(6)		37,853		39,799
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		40,000		43,448
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.41% due 03/25/2047(4)(5)		3,441		2,785
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.78% due 01/25/2036(4)(5)		6,342		6,305
Honda Auto Receivables Owner Trust Series 2019-3, Class A3 1.78% due 08/15/2023		15,000		15,286
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% (1 ML+0.54%) due 05/25/2035(4)		8,402		8,333
JP Morgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(6)		10,000		10,391
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(6)		39,000		43,116
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(6)		60,000		65,618
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(6)		30,000		33,180

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(8)	$	83,071	$	84,097
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.70% due 12/25/2034(4)(5)		3,352		3,360
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8)		51,102		51,245
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(5)		48,143		49,592
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.15% due 12/15/2047(5)(6)(7)		65,952		2,113
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		7,249		4,848
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% (1 ML+0.28%) due 10/25/2035(4)		15,240		15,259
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 0.90% (1 ML + 0.75%) due 01/25/2048*(4)		51,184		51,070
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.65% (1 ML+1.50%) due 06/25/2057*(4)		37,780		37,801
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(5)		43,247		46,860
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(5)		48,082		51,951
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(5)		43,944		48,039
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(4)(5)		54,306		58,542
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.92% due 06/25/2036(4)(5)		19,329		17,154
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(5)		4,970		5,158
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		47,461		47,627
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		31,560		31,618

16

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% (1 ML+0.10%) due 02/25/2037	$	8,272	$	5,224
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(8)		60,263		26,553
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% (1 ML+0.13%) due 05/25/2037		22,200		18,159
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 3.23% due 02/20/2047(4)(5)		15,638		13,844
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(6)		30,000		30,202
Shackleton CLO, Ltd. FRS Series 2015-8A, Class A1R 1.19% (3 ML+0.92%) due 10/20/2027*(15)		253,190		251,312
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.40% (1 ML+0.25%) due 11/25/2036		50,000		46,159
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5)		53,462		55,427
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(5)		59,564		61,941
VOLT LXXXVIII LLC Series 2020-NPLS, Class A1 2.98% due 03/25/2050*(8)		92,557		92,366
Wells Fargo Commercial Mtg. Trust Series 2015-NXS1, Class ASB 2.93% due 05/15/2048(6)		39,238		40,610
Wells Fargo Commercial Mtg. Trust Series 2015-P2, Class A4 3.81% due 12/15/2048(6)		35,000		39,321
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		30,000		32,545
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.94% due 10/25/2036(4)(5)		4,503		4,100
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024*		20,000		20,471
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		25,331		25,494
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		35,000		37,816

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)	$	36,000	$	39,319
Total Asset Backed Securities (cost $3,031,873)				3,095,253
U.S. CORPORATE BONDS & NOTES — 7.7%
Aerospace/Defense — 0.1%
Boeing Co. Senior Notes 3.25% due 02/01/2035		5,000		4,700
Boeing Co. Senior Notes 5.04% due 05/01/2027		5,000		5,505
Boeing Co. Senior Notes 5.15% due 05/01/2030		15,000		16,860
General Dynamics Corp. Company Guar. Bonds 4.25% due 04/01/2040		5,000		6,291
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040		10,000		13,442
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038		5,000		6,157
Raytheon Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		6,530
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025		10,000		11,364
				70,849
Aerospace/Defense-Equipment — 0.1%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		10,000		10,971
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023		13,000		14,075
				25,046
Agricultural Operations — 0.0%
Archer-Daniels-Midland Co. Senior Notes 3.25% due 03/27/2030		5,000		5,732
Applications Software — 0.0%
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		10,000		13,172
Auto-Cars/Light Trucks — 0.0%
General Motors Co. Senior Notes 6.13% due 10/01/2025		5,000		5,808
Banks-Commercial — 0.0%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		15,000		15,550

17

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.10% due 10/24/2024	$	10,000	$	10,583
State Street Corp. Senior Notes 2.35% due 11/01/2025		15,000		15,878
State Street Corp. Senior Notes 2.90% due 03/30/2026*		5,000		5,437
				31,898
Banks-Super Regional — 0.3%
Fifth Third Bancorp Senior Notes 2.38% due 01/28/2025		10,000		10,591
PNC Financial Services Group, Inc. Senior Notes 2.20% due 11/01/2024		20,000		21,156
Wells Fargo & Co. Senior Notes 2.41% due 10/30/2025		10,000		10,471
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		55,000		60,120
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		25,000		25,786
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024		15,000		16,298
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		5,000		6,359
				150,781
Beverages-Non-alcoholic — 0.0%
PepsiCo, Inc. Senior Notes 3.63% due 03/19/2050		10,000		12,123
Brewery — 0.2%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		20,000		21,300
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		10,000		12,192
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039		25,000		32,366
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		5,000		5,179
Constellation Brands, Inc. Senior Notes 2.88% due 05/01/2030		15,000		16,196
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029		10,000		10,916

Security Description	Principal Amount(16)		Value (Note 2)
Brewery (continued)
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028	$	10,000	$	11,307
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025		5,000		5,813
				115,269
Broadcast Services/Program — 0.1%
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		2,000		2,179
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		5,000		5,688
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055*		16,000		16,245
				24,112
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031*		10,000		9,870
Building Products-Air & Heating — 0.0%
Carrier Global Corp. Senior Notes 2.70% due 02/15/2031*		10,000		10,418
Building-Residential/Commercial — 0.1%
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		30,000		34,200
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		10,000		11,000
				45,200
Cable/Satellite TV — 0.4%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.25% due 02/01/2031*		5,000		5,182
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030*		10,000		10,500
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*		2,000		2,080
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		20,000		22,743
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049		5,000		5,797

18

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048	$	5,000	$	6,238
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		7,000		9,389
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039		10,000		11,136
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040		5,000		5,847
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		5,000		6,141
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		5,000		6,213
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		5,000		6,391
Comcast Corp. Company Guar. Notes 4.70% due 10/15/2048		5,000		6,668
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058		10,000		14,328
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		32,000		34,432
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		10,000		10,863
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		10,000		12,461
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		5,000		6,647
				183,056
Casino Hotels — 0.0%
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026		5,000		5,067
Cellular Telecom — 0.2%
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028*		35,000		35,834
T-Mobile USA, Inc. Senior Sec. Notes 3.30% due 02/15/2051*		5,000		4,954

Security Description	Principal Amount(16)		Value (Note 2)
Cellular Telecom (continued)
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025*	$	10,000	$	10,973
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030*		15,000		17,019
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050*		5,000		5,998
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		30,000		31,350
				106,128
Chemicals-Diversified — 0.1%
Dow Chemical Co. Senior Notes 3.60% due 11/15/2050		5,000		5,061
Dow Chemical Co. Senior Notes 4.80% due 05/15/2049		5,000		5,967
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023		15,000		16,471
				27,499
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047		5,000		6,211
Commercial Services-Finance — 0.1%
Equifax, Inc. Senior Notes 2.60% due 12/15/2025		5,000		5,338
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030		10,000		10,700
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029		5,000		5,454
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		25,000		27,187
				48,679
Computer Services — 0.0%
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028*		15,000		15,398
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025*		5,000		5,546
				20,944
Computers — 0.1%
Apple, Inc. Senior Notes 2.20% due 09/11/2029		20,000		21,508
Apple, Inc. Senior Notes 3.45% due 02/09/2045		5,000		5,837

19

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
HP, Inc. Senior Notes 2.20% due 06/17/2025	$	5,000	$	5,238
HP, Inc. Senior Notes 3.00% due 06/17/2027		5,000		5,406
				37,989
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		5,000		5,058
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 3.10% due 03/26/2030		5,000		5,736
Containers-Metal/Glass — 0.1%
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023		40,000		42,460
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029		3,000		3,530
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		5,000		5,991
Fiserv, Inc. Senior Notes 2.25% due 06/01/2027		40,000		42,248
				51,769
Decision Support Software — 0.1%
MSCI, Inc. Company Guar. Notes 3.88% due 02/15/2031*		10,000		10,422
MSCI, Inc. Company Guar. Notes 5.38% due 05/15/2027*		25,000		26,688
				37,110
Diversified Banking Institutions — 0.9%
Bank of America Corp. Senior Notes 2.46% due 10/22/2025		20,000		21,087
Bank of America Corp. Senior Notes 2.50% due 02/13/2031		10,000		10,514
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		35,000		38,202
Bank of America Corp. Senior Notes 4.08% due 03/20/2051		30,000		37,150
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		15,000		19,622

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 2.31% due 11/04/2022	$	15,000	$	15,275
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022		10,000		10,425
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025		15,000		16,229
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030		15,000		17,267
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		5,000		5,783
Citigroup, Inc. Senior Notes 4.41% due 03/31/2031		10,000		11,987
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		15,000		15,560
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029		15,000		17,072
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		5,000		5,801
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		5,000		7,470
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		3,000		4,359
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031		10,000		10,729
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041		5,000		5,424
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051		5,000		5,366
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		15,000		16,112
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		35,937
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		15,000		16,872
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030		15,000		17,215
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		15,000		16,249

20

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 2.63% due 11/17/2021	$	25,000	$	25,624
Morgan Stanley Senior Notes 2.70% due 01/22/2031		30,000		31,956
Morgan Stanley Senior Notes 3.13% due 07/27/2026		5,000		5,535
Morgan Stanley Senior Notes 3.70% due 10/23/2024		15,000		16,642
				457,464
Diversified Manufacturing Operations — 0.2%
General Electric Co. Senior Notes 3.63% due 05/01/2030		10,000		10,356
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		65,000		65,625
				75,981
Drug Delivery Systems — 0.1%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		25,000		27,056
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.50% due 06/03/2030		25,000		25,514
Electric-Distribution — 0.1%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		10,000		11,679
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048		5,000		6,330
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048		8,000		9,458
Sempra Energy Senior Notes 3.40% due 02/01/2028		12,000		13,198
Sempra Energy Senior Notes 3.80% due 02/01/2038		5,000		5,598
				46,263
Electric-Integrated — 0.7%
AES Corp. Senior Sec. Notes 3.30% due 07/15/2025*		10,000		10,654
Alabama Power Co. Senior Notes 4.15% due 08/15/2044		5,000		6,107

Security Description	Principal Amount(16)		Value (Note 2)
Electric-Integrated (continued)
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028	$	5,000	$	5,669
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029		10,000		10,142
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		3,000		4,471
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		10,000		11,232
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		5,000		5,889
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044		15,000		19,033
Evergy, Inc. Senior Notes 2.45% due 09/15/2024		5,000		5,293
Evergy, Inc. Senior Notes 2.90% due 09/15/2029		10,000		10,733
Exelon Corp. Senior Notes 3.95% due 06/15/2025		15,000		16,907
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030		5,000		4,890
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049		2,000		2,561
Georgia Power Co. Senior Notes 2.10% due 07/30/2023		10,000		10,439
Georgia Power Co. Senior Notes 4.30% due 03/15/2042		10,000		11,969
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		10,000		10,873
IPALCO Enterprises, Inc. Senior Sec. Notes 4.25% due 05/01/2030*		25,000		28,286
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050		10,000		11,082
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048		5,000		5,902
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 2.25% due 06/01/2030		10,000		10,355
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031		25,000		23,787

21

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Public Service Electric & Gas Co. 1st Mtg. Notes 3.95% due 05/01/2042	$	5,000	$	6,094
Public Service Enterprise Group, Inc. Senior Notes 1.60% due 08/15/2030		20,000		19,665
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024		10,000		10,700
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025		15,000		16,054
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030*		10,000		11,162
Southern California Edison Co. 1st Mtg. Bonds 2.25% due 06/01/2030		5,000		5,017
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029		10,000		10,507
Southern California Edison Co. 1st Mtg. Bonds 3.65% due 02/01/2050		5,000		5,167
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047		3,000		3,219
Southern Co. Senior Notes 2.95% due 07/01/2023		5,000		5,313
Southern Co. Senior Notes 3.25% due 07/01/2026		10,000		11,159
Southern Co. Senior Notes 3.70% due 04/30/2030		20,000		22,846
				353,177
Electric-Transmission — 0.0%
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030*		15,000		16,130
Oncor Electric Delivery Co. LLC Senior Sec. Notes 3.10% due 09/15/2049		4,000		4,396
				20,526
Electronic Components-Semiconductors — 0.2%
Broadcom, Inc. Company Guar. Notes 3.15% due 11/15/2025		15,000		16,247
Broadcom, Inc. Company Guar. Notes 5.00% due 04/15/2030		45,000		53,082
Intel Corp. Senior Notes 2.45% due 11/15/2029		15,000		16,331

Security Description	Principal Amount(16)		Value (Note 2)
Electronic Components-Semiconductors (continued)
Intel Corp. Senior Notes 4.10% due 05/19/2046	$	7,000	$	8,737
Microchip Technology, Inc. Senior Sec. Notes 2.67% due 09/01/2023*		15,000		15,526
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040		10,000		11,719
				121,642
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 3.85% due 04/01/2060		20,000		23,610
Oracle Corp. Senior Notes 4.00% due 11/15/2047		15,000		17,783
				41,393
Finance-Consumer Loans — 0.0%
Navient Corp. Senior Notes 7.25% due 09/25/2023		8,000		8,260
Finance-Credit Card — 0.0%
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024		15,000		16,327
Mastercard, Inc. Senior Notes 3.35% due 03/26/2030		5,000		5,863
				22,190
Finance-Other Services — 0.1%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		45,000		48,561
Food-Confectionery — 0.0%
Mondelez International, Inc. Senior Notes 1.50% due 05/04/2025		5,000		5,138
Mondelez International, Inc. Senior Sec. Notes 1.50% due 02/04/2031		10,000		9,748
				14,886
Food-Misc./Diversified — 0.1%
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024		5,000		5,578
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028		10,000		12,213
Kellogg Co. Senior Notes 3.40% due 11/15/2027		15,000		16,913
				34,704

22

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 5.95% due 04/01/2030	$	5,000	$	6,337
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 3.38% due 08/15/2030		25,000		25,031
Service Corp. International Senior Notes 5.13% due 06/01/2029		15,000		16,622
				41,653
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		9,000		9,521
Dominion Energy Gas Holdings LLC Senior Notes 2.50% due 11/15/2024		15,000		15,960
NiSource, Inc. Senior Notes 3.49% due 05/15/2027		10,000		11,145
NiSource, Inc. Senior Notes 3.60% due 05/01/2030		20,000		22,790
				59,416
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		30,000		31,125
Hotels/Motels — 0.0%
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		20,000		19,900
Insurance Brokers — 0.1%
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022		10,000		10,347
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		20,000		22,087
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024		10,000		11,078
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029		5,000		6,054
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029		5,000		5,388
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		5,000		5,461
Willis North America, Inc. Company Guar. Notes 4.50% due 09/15/2028		5,000		5,945
				66,360

Security Description	Principal Amount(16)		Value (Note 2)
Insurance-Life/Health — 0.1%
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030	$	35,000	$	40,760
Unum Group Senior Notes 4.50% due 03/15/2025		5,000		5,554
Unum Group Senior Notes 4.50% due 12/15/2049		13,000		12,597
				58,911
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070*		3,000		3,093
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025*		15,000		15,773
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050*		5,000		5,637
				24,503
Insurance-Property/Casualty — 0.0%
Progressive Corp. Senior Notes 3.20% due 03/26/2030		10,000		11,435
Internet Security — 0.0%
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025*		20,000		20,469
Machinery-General Industrial — 0.1%
Otis Worldwide Corp. Senior Sec. Notes 2.57% due 02/15/2030		40,000		42,989
Medical Instruments — 0.1%
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025		5,000		5,225
Boston Scientific Corp. Senior Notes 3.75% due 03/01/2026		20,000		22,791
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		5,000		5,756
				33,772
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Senior Notes 2.80% due 06/30/2031		5,000		5,385
Medical Products — 0.1%
Baxter International, Inc. Senior Notes 3.95% due 04/01/2030*		5,000		5,990
Zimmer Biomet Holdings, Inc. Senior Notes 3.05% due 01/15/2026		25,000		27,432
				33,422

23

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 1.90% due 02/21/2025	$	5,000	$	5,234
Amgen, Inc. Senior Notes 2.20% due 02/21/2027		5,000		5,298
Amgen, Inc. Senior Notes 2.30% due 02/25/2031		25,000		26,226
Amgen, Inc. Senior Notes 2.45% due 02/21/2030		10,000		10,600
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		5,000		5,319
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		5,000		5,374
Gilead Sciences, Inc. Senior Notes 1.65% due 10/01/2030		20,000		19,965
				78,016
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029*		20,000		22,034
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		10,000		11,872
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042*		5,000		6,086
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029		10,000		11,647
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		20,000		22,737
Pfizer, Inc. Senior Notes 1.70% due 05/28/2030		10,000		10,306
Pfizer, Inc. Senior Notes 2.63% due 04/01/2030		5,000		5,590
Upjohn, Inc. Company Guar. Notes 1.65% due 06/22/2025*		5,000		5,118
Upjohn, Inc. Company Guar. Notes 2.30% due 06/22/2027*		5,000		5,178
				100,568
Medical-HMO — 0.1%
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		15,000		19,826

Security Description	Principal Amount(16)		Value (Note 2)
Medical-HMO (continued)
Centene Corp. Senior Notes 3.38% due 02/15/2030	$	10,000	$	10,375
Centene Corp. Senior Notes 4.63% due 12/15/2029		5,000		5,393
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030		10,000		10,478
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024		10,000		10,648
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029		10,000		11,152
				67,872
Multimedia — 0.0%
Walt Disney Co. Company Guar. Notes 2.65% due 01/13/2031		15,000		16,195
Office Automation & Equipment — 0.0%
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029		5,000		4,981
Oil Companies-Exploration & Production — 0.0%
Hess Corp. Senior Notes 7.13% due 03/15/2033		3,000		3,614
Hess Corp. Senior Notes 7.30% due 08/15/2031		5,000		6,115
SM Energy Co. Senior Notes 6.13% due 11/15/2022		7,000		5,446
				15,175
Oil Companies-Integrated — 0.0%
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030		5,000		5,736
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040		5,000		6,118
Exxon Mobil Corp. Senior Notes 4.33% due 03/19/2050		3,000		3,755
				15,609
Oil Refining & Marketing — 0.1%
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025		15,000		16,951
Phillips 66 Company Guar. Notes 2.15% due 12/15/2030		7,000		6,808
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029		5,000		5,478
				29,237

24

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pharmacy Services — 0.1%
CVS Health Corp Senior Notes 4.13% due 04/01/2040	$	20,000	$	22,780
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		5,000		6,317
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		6,743		7,804
				36,901
Pipelines — 0.2%
Energy Transfer Operating LP Company Guar. Notes 4.95% due 06/15/2028		10,000		10,596
Energy Transfer Operating LP Company Guar. Notes 5.15% due 03/15/2045		5,000		4,527
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029		5,000		5,368
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		15,000		15,057
Kinder Morgan Energy Partners LP Company Guar. Notes 3.50% due 03/01/2021		10,000		10,072
MPLX LP Senior Notes 1.75% due 03/01/2026		5,000		4,977
MPLX LP Senior Notes 4.13% due 03/01/2027		5,000		5,496
MPLX LP Senior Notes 4.70% due 04/15/2048		10,000		10,149
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,452
ONEOK, Inc. Company Guar. Notes 4.00% due 07/13/2027		5,000		5,202
ONEOK, Inc. Company Guar. Bonds 4.45% due 09/01/2049		5,000		4,450
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026		5,000		5,751
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030*		10,000		11,265
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027		5,000		5,109
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		5,000		5,145

Security Description	Principal Amount(16)		Value (Note 2)
Pipelines (continued)
Williams Companies, Inc. Senior Notes 5.80% due 11/15/2043	$	5,000	$	5,864
				114,480
Real Estate Investment Trusts — 0.2%
American Tower Corp. Senior Notes 2.40% due 03/15/2025		5,000		5,284
Brixmor Operating Partnership LP Senior Notes 4.05% due 07/01/2030		15,000		16,044
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031		20,000		20,820
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		10,000		11,137
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2050*		25,000		26,756
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		25,000		26,362
				106,403
Rental Auto/Equipment — 0.0%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		10,000		10,613
Retail-Auto Parts — 0.0%
AutoZone, Inc. Senior Notes 3.63% due 04/15/2025		15,000		16,726
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040		20,000		22,720
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		5,000		5,734
Lowe's Cos., Inc. Senior Notes 4.55% due 04/05/2049		5,000		6,416
Lowe's Cos., Inc. Senior Bonds 5.00% due 04/15/2040		5,000		6,554
				41,424
Retail-Restaurants — 0.1%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		5,000		5,340
McDonald's Corp. Senior Notes 3.63% due 09/01/2049		5,000		5,614
McDonald's Corp. Senior Notes 4.20% due 04/01/2050		10,000		12,171
				23,125

25

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Schools — 0.0%
Howard University Notes 2.39% due 10/01/2027	$	5,000	$	5,058
Howard University Notes 2.80% due 10/01/2030		10,000		10,320
Howard University Notes 2.90% due 10/01/2031		5,000		5,220
				20,598
Semiconductor Components-Integrated Circuits — 0.0%
QUALCOMM, Inc. Senior Notes 4.65% due 05/20/2035		5,000		6,720
QUALCOMM, Inc. Senior Notes 4.80% due 05/20/2045		5,000		6,748
				13,468
Steel-Producers — 0.0%
Steel Dynamics, Inc. Senior Notes 2.80% due 12/15/2024		10,000		10,549
Telephone-Integrated — 0.2%
AT&T, Inc. Senior Notes 3.50% due 02/01/2061		10,000		9,522
AT&T, Inc. Senior Notes 3.55% due 09/15/2055*		34,000		32,952
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		2,000		2,241
AT&T, Inc. Senior Notes 4.50% due 03/09/2048		5,000		5,738
Verizon Communications, Inc. Senior Notes 4.00% due 03/22/2050		5,000		6,156
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		17,000		20,969
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		10,000		13,101
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		10,000		13,095
				103,774
Television — 0.1%
ViacomCBS, Inc. Senior Notes 4.20% due 05/19/2032		5,000		5,722
ViacomCBS, Inc. Senior Notes 4.95% due 01/15/2031		40,000		48,098
				53,820

Security Description	Principal Amount(16)		Value (Note 2)
Tobacco — 0.2%
Altria Group, Inc. Company Guar. Notes 2.35% due 05/06/2025	$	5,000	$	5,283
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		5,000		5,140
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026		5,000		5,776
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029		5,000		5,933
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039		20,000		25,594
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049		3,000		4,019
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028		10,000		10,049
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024		15,000		15,840
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029		5,000		5,324
Philip Morris International, Inc. Senior Notes 2.10% due 05/01/2030		15,000		15,429
				98,387
Transactional Software — 0.0%
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028*		10,000		10,106
Transport-Rail — 0.0%
Union Pacific Corp. Senior Notes 3.25% due 02/05/2050		10,000		11,020
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.30% due 03/15/2027		10,000		11,109
FedEx Corp. Company Guar. Notes 4.25% due 05/15/2030		10,000		12,021
				23,130
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024*		15,000		15,915
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025*		10,000		11,265
				27,180

26

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Water — 0.0%
American Water Capital Corp. Senior Notes 2.80% due 05/01/2030	$	5,000	$	5,477
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049		5,000		6,256
				11,733
Total U.S. Corporate Bonds & Notes (cost $3,688,968)				3,927,918
FOREIGN CORPORATE BONDS & NOTES — 0.6%
Cellular Telecom — 0.0%
Vodafone Group PLC Senior Notes 6.15% due 02/27/2037		10,000		13,780
Diversified Banking Institutions — 0.1%
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027		10,000		11,389
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024		7,000		7,681
				19,070
Electronic Components-Misc. — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		10,000		10,750
Electronic Components-Semiconductors — 0.0%
NXP BV/NXP Funding LLC/NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029*		9,000		10,374
Medical-Biomedical/Gene — 0.1%
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030*		20,000		19,964
Royalty Pharma PLC Company Guar. Notes 3.30% due 09/02/2040*		5,000		4,958
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050*		5,000		4,849
				29,771
Medical-Drugs — 0.1%
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027*		10,000		10,613
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		5,000		5,090
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		20,000		17,644
				33,347

Security Description	Principal Amount(16)		Value (Note 2)
Metal-Iron — 0.0%
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030	$	15,000	$	15,435
Oil Companies-Integrated — 0.1%
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026		5,000		5,187
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040		10,000		11,391
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050		5,000		5,736
YPF SA Senior Notes 16.50% due 05/09/2022*	ARS	546,996		2,387
				24,701
Pipelines — 0.0%
TransCanada PipeLines, Ltd. Senior Notes 4.10% due 04/15/2030		10,000		11,533
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038		5,000		5,884
				17,417
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Senior Notes 2.95% due 01/25/2030*		5,000		5,392
Semiconductor Components-Integrated Circuits — 0.1%
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024*		15,000		16,868
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026*		6,000		7,093
				23,961
SupraNational Banks — 0.0%
Inter-American Development Bank Senior Notes 7.25% due 06/10/2021	MXN	270,000		12,335
Telephone-Integrated — 0.1%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		35,000		50,346
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026		10,000		10,034
Wireless Equipment — 0.0%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		5,000		5,316

27

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Wireless Equipment (continued)
Nokia Oyj Senior Notes 6.63% due 05/15/2039	$	5,000	$	6,194
				11,510
Total Foreign Corporate Bonds & Notes (cost $302,124)				288,223
MUNICIPAL BONDS & NOTES — 0.5%
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040		5,000		5,407
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		5,000		5,040
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		10,000		10,434
County of Riverside, CA Revenue Bonds 2.86% due 02/15/2026		25,000		26,817
County of Riverside, CA Revenue Bonds 3.12% due 02/15/2029		25,000		27,340
Florida State Board of Administration Finance Corp Series A Revenue Bonds 1.26% due 07/01/2025		25,000		25,384
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045		10,000		10,408
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049		30,000		32,754
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		9,000		13,402
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035		35,000		38,948
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028		35,000		45,323
State of California General Obligation Bonds 7.55% due 04/01/2039		5,000		8,748
State of Illinois General Obligation Bonds 4.95% due 06/01/2023		14,182		14,429
State of Illinois General Obligation Bonds 5.56% due 02/01/2021		10,000		10,070

Security Description	Principal Amount(16)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of Illinois General Obligation Bonds 5.95% due 04/01/2022	$	5,000	$	5,276
Total Municipal Bonds & Notes (cost $260,503)				279,780
U.S. GOVERNMENT AGENCIES — 10.1%
Diversified Financial Services — 0.0%
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4)		12,007		12,355
Federal Home Loan Mtg. Corp. — 0.5%
Federal Home Loan Mtg. Corp. FRS 2.36% (6 ML+1.49%) due 02/01/2037		345		357
Federal Home Loan Mtg. Corp. 2.50% due 01/01/2028		2,021		2,138
2.50% due 04/01/2028		5,299		5,604
3.50% due 03/01/2042		2,018		2,187
3.50% due 09/01/2043		16,142		17,769
3.50% due 08/01/2048		57,573		60,776
4.00% due 09/01/2040		2,623		2,880
4.50% due 01/01/2039		290		321
5.00% due 07/01/2021		208		219
5.50% due 07/01/2034		2,424		2,836
6.50% due 05/01/2029		340		381
7.50% due 08/01/2023		20		20
7.50% due 04/01/2028		315		357
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(5)(6)(7)		99,905		5,005
Series K064, Class X1 0.74% due 03/25/2027(5)(6)(7)		123,106		4,320
Series K104, Class X1 1.13% due 01/25/2030(5)(6)(7)		99,918		8,911
Series K114, Class X1 1.21% due 06/25/2030(5)(6)(7)		99,988		9,352
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(6)		40,000		46,009
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058		4,792		5,435
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-DNA3, Class M1 0.90% (1 ML+0.75%) due 09/25/2048*		59		59
Series 2018-HRP1, Class M2 1.80% (1 ML+1.65%) due 04/25/2043*		4,213		4,057

28

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Series 2019-HQA3, Class M2 2.00% (1 ML + 1.85%) due 09/25/2049*	$	7,092	$	6,934
Series 2019-DNA3, Class M2 2.20% (1 ML + 2.05%) due 07/25/2049*		13,013		12,739
Series 2019-HQA1, Class M2 2.50% (1 ML + 2.35%) due 02/25/2049*		18,098		17,925
Series 2019-DNA2, Class M2 2.60% (1 ML+2.45%) due 03/25/2049*		13,934		13,698
Federal Home Loan Mtg. Corp., REMIC Series 4122, Class AB 1.50% due 10/15/2042(4)		10,005		10,033
Series 4216, Class KQ 1.70% due 10/15/2039(4)		9,610		9,755
Series 3964, Class MD 2.00% due 01/15/2041(4)		364		373
Series 4961, Class JB 2.50% due 12/15/2042		16,474		17,188
Series 3883, Class PB 3.00% due 05/15/2041		5,393		5,830
Series 1577, Class PK 6.50% due 09/15/2023(4)		319		337
Series 1226, Class Z 7.75% due 03/15/2022(4)		44		46
				273,851
Federal National Mtg. Assoc. — 1.5%
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.25% (1 ML +2.10%) due 06/25/2039*		14,338		14,245
Series 2017-C01, Class 1M2 3.70% (1 ML+3.55%) due 07/25/2029		7,074		7,277
Series 2016-C07, Class 2M2 4.50% (1 ML+4.35%) due 05/25/2029		11,334		11,711
Federal National Mtg. Assoc. FRS 2.33% (12 ML+1.82%) due 10/01/2040		736		767
Federal National Mtg. Assoc. 2.50% due 02/01/2043		52,832		56,283
Federal National Mtg. Assoc. FRS 2.96% (12 ML+1.57%) due 05/01/2037		639		666
Federal National Mtg. Assoc. 2.97% due 06/01/2030		40,000		45,259
3.00% due 01/01/2028		4,298		4,515
3.50% due 08/01/2026		4,347		4,603
3.50% due 09/01/2026		4,798		5,084
3.50% due 10/01/2028		6,321		6,849
4.00% due 11/01/2025		676		717
4.50% due 11/01/2022		306		321

Security Description	Principal Amount(16)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
4.50% due 01/01/2039	$	1,000	$	1,122
4.50% due 06/01/2039		12,986		14,320
4.50% due 09/01/2039		2,156		2,417
4.50% due 09/01/2040		4,025		4,530
4.50% due 05/01/2041		1,929		2,168
5.00% due 05/01/2035		369		423
5.00% due 06/01/2040		15,612		17,979
5.00% due 07/01/2040		3,734		4,298
5.50% due 11/01/2020		35		35
5.50% due 04/01/2021		1,350		1,357
5.50% due 12/01/2029		594		659
5.50% due 06/01/2035		41,687		49,024
5.50% due 08/01/2037		7,555		8,772
5.50% due 06/01/2038		3,190		3,703
6.00% due 12/01/2033		3,094		3,655
6.00% due 05/01/2034		221		262
6.00% due 06/01/2040		80		94
6.50% due 10/01/2037		78		88
7.00% due 06/01/2037		2,703		3,155
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R03, Class 1M2 2.30% (1 ML+2.15%) due 09/25/2031*		5,859		5,836
Series 2019-HRP1, Class M2 2.30% (1 ML+2.15%) due 11/25/2039*		7,305		6,541
Federal National Mtg. Assoc., REMIC VRS Series 2020-M2, Class X 0.35% due 01/25/2030(5)(6)(7)		339,346		7,274
Series 2019-M21, Class X3 1.33% due 06/25/2034(5)(6)(7)		139,513		17,844
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(4)		11,272		11,479
Series 2012-128, Class PD 1.50% due 06/25/2042(4)		17,616		17,953
Series 2013-77, Class BP 1.70% due 06/25/2043		9,671		9,827
Series 2013-16, Series A 1.75% due 01/25/2040(4)		15,134		15,314
Series 2011-117, Class MA 2.00% due 08/25/2040(4)		3,063		3,129
Series 2012-21, Class PQ 2.00% due 09/25/2041(4)		4,434		4,568
Series 2012-18, Class GA 2.00% due 12/25/2041(4)		8,717		9,012
Series 2015-5, Class EP 2.00% due 06/25/2043(4)		11,861		12,131
Series 2012-75, Class KC 2.50% due 12/25/2041(4)		8,718		9,004
Series 2016-11, Class GA 2.50% due 03/25/2046(4)		8,089		8,499
Series 2019-54, Class KC 2.50% due 09/25/2049(4)		25,813		27,137
Series 2019-41, Class AC 2.50% due 03/25/2053(4)		13,897		14,382

29

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Series 2015-48, Class QB 3.00% due 02/25/2043(4)	$	12,262	$	12,740
Series 2016-38, Class NA 3.00% due 01/25/2046(4)		2,750		2,965
Series 2017-34, Class JK 3.00% due 05/25/2047(4)		6,528		6,762
Series 2017-72, Class B 3.00% due 09/25/2047(4)		10,708		11,498
Series 2017-72, Class CD 3.00% due 09/25/2047(4)		12,412		13,355
Series 2019-45, Class PT 3.00% due 08/25/2049(4)		16,844		18,150
Series 2017-96, Class PA 3.00% due 12/25/2054(4)		22,900		24,126
Series 2012-52, Class PA 3.50% due 05/25/2042(4)		5,697		6,179
Series 2017-26, Class CG 3.50% due 07/25/2044(4)		13,985		14,667
Series 2018-38, Class PC 3.50% due 03/25/2045(4)		8,804		9,044
Series 2018-80, Class GD 3.50% due 12/25/2047(4)		12,044		12,779
Series 2018-23, Class LA 3.50% due 04/25/2048(4)		11,205		12,195
Series 2019-7, Class JA 3.50% due 03/25/2049(4)		13,297		14,340
Series 2019-14, Class CA 3.50% due 04/25/2049(4)		10,725		11,731
Series 2017-35, Class AH 3.50% due 04/25/2053(4)		14,228		14,672
Series 2017-84, Class KA 3.50% due 04/25/2053(4)		8,057		8,300
Series 2019-15, Class AB 3.50% due 05/25/2053(4)		10,801		11,390
Series 2018-72, Class BA 3.50% due 07/25/2054(4)		18,536		19,549
Series 2018-19, Class DC 3.50% due 05/25/2056(4)		6,626		6,958
Series 2018-70, Class HA 3.50% due 10/25/2056(4)		14,183		15,230
Series 2019-12, Class HA 3.50% due 11/25/2057(4)		10,856		11,741
Series 2019-7, Class CA 3.50% due 11/25/2057(4)		13,527		14,668
Series 2019-28, Class JA 3.50% due 06/25/2059(4)		13,307		14,831
Series 2017-49, Class JA 4.00% due 07/25/2053(4)		10,246		10,728
				754,886
Government National Mtg. Assoc. — 2.3%
Government National Mtg. Assoc. 2.50% due October 30 TBA		130,000		136,526
3.00% due October 30 TBA		245,000		256,528
3.00% due November 30 TBA		100,000		104,609
3.50% due November 30 TBA		275,000		289,556
3.50% due 11/19/2050		100,000		105,324

Security Description	Principal Amount(16)		Value (Note 2)
Government National Mtg. Assoc. (continued)
4.00% due 09/15/2041	$	103,295	$	109,432
4.00% due October 30 TBA		75,000		79,686
4.50% due 06/15/2041		28,260		31,185
6.00% due 11/15/2031		15,327		17,079
7.00% due 05/15/2033		3,491		4,110
9.00% due 11/15/2021		12		12
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(4)		14,130		14,301
Series 2015-151, Class BA 1.70% due 10/20/2045(4)		8,819		8,928
Series 2005-74, Class HB 7.50% due 09/16/2035(4)		61		69
Series 2005-74, Class HC 7.50% due 09/16/2035(4)		1,066		1,236
				1,158,581
Uniform Mtg. Backed Securities — 5.8%
2.00% due October 15 TBA		310,000		322,303
2.00% due October 30 TBA		605,000		625,513
2.00% due November 30 TBA		600,000		619,302
2.50% due November 30 TBA		115,000		120,465
3.00% due October 30 TBA		225,000		235,701
3.00% due November 30 TBA		250,000		261,939
3.50% due October 30 TBA		385,000		405,919
4.00% due October 30 TBA		230,000		245,305
4.50% due October 30 TBA		135,000		146,032
				2,982,479
Total U.S. Government Agencies (cost $5,118,899)				5,182,152
U.S. GOVERNMENT TREASURIES — 5.8%
United States Treasury Bonds — 2.5%
1.00% due 02/15/2048TIPS(9)		21,011		29,024
1.25% due 05/15/2050		114,000		108,371
1.38% due 08/15/2050		40,000		39,160
2.88% due 08/15/2045		660,000		868,957
3.00% due 11/15/2044		35,000		46,860
3.13% due 08/15/2044(12)(13)		120,000		163,622
3.13% due 05/15/2048		25,000		34,846
				1,290,840
United States Treasury Notes — 3.3%
0.38% due 01/15/2027TIPS(9)		69,709		76,710
0.63% due 01/15/2026TIPS(9)		98,123		108,179
0.63% due 05/15/2030		780,000		777,684
0.88% due 01/15/2029TIPS(9)		87,207		101,613
2.75% due 08/31/2025		540,000		605,285
				1,669,471
Total U.S. Government Treasuries (cost $2,904,197)				2,960,311
FOREIGN GOVERNMENT OBLIGATIONS — 0.1%
Sovereign — 0.1%
Government of Romania Bonds 3.62% due 05/26/2030*	EUR	5,000		6,625

30

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount(16)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Government of Romania Senior Notes 4.00% due 02/14/2051*	$	18,000	$	18,540
Government of Romania Senior Notes 4.63% due 04/03/2049	EUR	15,000		21,406
Republic of Hungary Senior Bonds 6.38% due 03/29/2021		6,000		6,168
Republic of Peru Senior Notes 2.39% due 01/23/2026		5,000		5,245
Total Foreign Government Obligations (cost $55,063)				57,984
OPTIONS — PURCHASED†(14) — 0.1%
Over the Counter Put Options on Currency Contracts		10,498,473		46,861
Over the Counter Put Options on Interest Swap Contracts		75,000		5
Total Options — Purchased (cost $113,790)				46,866
ESCROWS AND LITIGATION TRUSTS — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		7,000		83
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017(1)†		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038(1)†		10,000		1
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%(1)†		6,000		1
Total Escrows And Litigation Trusts (cost $0)				86
Total Long-Term Investment Securities (cost $42,362,305)				53,369,046
SHORT-TERM INVESTMENT SECURITIES — 1.8%
Registered Investment Companies — 1.8%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.02%(11) (cost $934,018)		934,018		934,018
REPURCHASE AGREEMENTS — 1.7%
Bank of America Securities LLC Joint Repurchase Agreement(10)	$	195,000		195,000
Barclays Capital, Inc. Joint Repurchase Agreement(10)		160,000		160,000
BNP Paribas SA Joint Repurchase Agreement(10)		160,000		160,000

Security Description	Principal Amount(16)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Deutsche Bank AG Joint Repurchase Agreement(10)	$	180,000		$	180,000
RBS Securities, Inc. Joint Repurchase Agreement(10)		170,000			170,000
Total Repurchase Agreements (cost $865,000)					865,000
TOTAL INVESTMENTS (cost $44,161,323)(17)		107.6	%		55,168,064
Liabilities in excess of other assets		(7.6	)		(3,886,810	)
NET ASSETS		100.0	%	$	51,281,254

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $3,758,140 representing 7.3% 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, 2020, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		2	$	0	$	1,731	$	865.45		0.00	%

(3)  Perpetual maturity — maturity date reflects the next call date.

(4)  Collateralized Mortgage Obligation

(5)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2020.

(9)  Principal amount of security is adjusted for inflation.

31

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

(10)  See Note 2 for details of Joint Repurchase Agreements.

(11)  The rate shown is the 7-day yield as of September 30, 2020.

(12)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(13)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

(14)  Options — Purchased

Over the Counter Put Options on Currency Contracts

Issue	Counterparty	Expiration Month	Strike Price		Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.9945 CNY per $1 USD	BNP Paribas SA	September 2021	CNY	7.99	$	6,050	$	28,935	$	19,233	$	(9,702	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.7455 CNY per $1 USD	NatWest Markets PLC	January 2021	CNY	7.75		6,050		26,420		4,398		(22,022	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.0600 CNY per $1 USD	NatWest Markets PLC	July 2021	CNY	8.06		5,427		28,784		16,753		(12,031	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.4845 CNY per $1 USD	NatWest Markets PLC	May 2021	CNY	8.49		4,449		27,772		6,477		(21,295	)
							$	111,911	$	46,861	$	(65,050	)

Over the Counter Put Options on Interest Rate Swap Contracts

Issue	Counterparty	Expiration Month	Strike Rate			Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 1.70% versus 3 Month USD LIBOR-BBA maturing on 11/23/2030	Bank of America, N.A.	November 2020		1.70	%	$	75	$	1,879	$	5	$	(1,874	)

BBA — British Bankers' Association

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(15)  Collateralized Loan Obligation

(16)  Denominated in United States dollars unless otherwise indicated.

(17)  See Note 4 for cost of investments on a tax basis.

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

CVR — Contingent Value Rights

DAC — Designated Activity Company

EUR — Euro Currency

MXN — Mexican Peso

REMIC — Real Estate Mortgage Investment Conduit

SCRT — Seasoned Credit Risk Transfer Trust

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

32

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	1	Long	Australian 10 Year Bonds	December 2020	$	105,641	$	107,003	$	1,362
	3	Long	E-Mini Russell 2000	December 2020		223,846		225,660		1,814
	5	Long	U.S. 10 Year Notes	December 2020		695,914		697,656		1,742
									$	4,918
									Unrealized (Depreciation)
	1	Short	Euro-Bund Futures	December 2020	$	204,147	$	204,616	$	(469	)
	6	Short	U.S. 10 Year Ultra Notes	December 2020		954,867		959,531		(4,664	)
	9	Short	U.S. 5 Year Notes	December 2020		1,132,593		1,134,281		(1,688	)
	1	Long	U.S. Long Bonds	December 2020		176,594		176,281		(313	)
									$	(7,134	)
	Net Unrealized Appreciation (Depreciation)								$	(2,216	)

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Goldman Sachs International	MXN	270,000	USD	13,303	06/10/2021	$	1,442	$	—
HSBC Bank USA	EUR	23,000	USD	27,226	12/16/2020		214		—
Unrealized Appreciation (Depreciation)						$	1,656	$	—

EUR — Euro Currency

MXN — Mexican Peso

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged		Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency	Upfront Payments Made (Received) by the Portfolio			Unrealized Appreciation (Depreciation)
USD	130	09/16/2050	USD-3 Month-LIBOR-BBA/Quarterly	0.81%/Semi-annually	$	406		$	9,859
USD	100,000	12/16/2025	USD-3 Month-LIBOR-BBA/Quarterly	0.38%/Semi-annually		(189	)		127
					$	217		$	9,986

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

33

Seasons Series Trust SA Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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:
Medical-Biomedical/Gene	$	990,949	$	—		$	1,166	$	992,115
Television		84,996		—			1,731		86,727
Other Industries		35,590,447		593,400	**		—		36,183,847
Preferred Securities/Capital Securities		—		267,784			—		267,784
Asset Backed Securities		—		3,095,253			—		3,095,253
U.S. Corporate Bonds & Notes		—		3,927,918			—		3,927,918
Foreign Corporate Bonds & Notes		—		288,223			—		288,223
Municipal Bond & Notes		—		279,780			—		279,780
U.S. Government Agencies		—		5,182,152			—		5,182,152
U.S. Government Treasuries		—		2,960,311			—		2,960,311
Foreign Government Obligations		—		57,984			—		57,984
Options — Purchased		—		46,866			—		46,866
Escrows and Litigation Trusts		—		83			3		86
Short-Term Investment Securities		934,018		—			—		934,018
Repurchase Agreements		—		865,000			—		865,000
Total Investments at Value	$	37,600,410	$	17,564,754		$	2,900	$	55,168,064
Other Financial Instruments:†
Futures Contracts	$	4,918	$	—		$	—	$	4,918
Forward Foreign Currency Contracts		—		1,656			—		1,656
Centrally Cleared Interest Rate Swap Contracts		—		9,986			—		9,986
Total Other Financial Instruments	$	4,918	$	11,642		$	—	$	16,560
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	7,134	$	—		$	—	$	7,134

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

34

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Uniform Mtg. Backed Securities	9.3	%
Diversified Financial Services	9.0
Repurchase Agreements	5.8
Internet Content-Entertainment	5.4
Enterprise Software/Service	4.9
United States Treasury Notes	4.7
Internet Application Software	4.7
United States Treasury Bonds	4.3
Commercial Services-Finance	4.3
Government National Mtg. Assoc.	4.1
E-Commerce/Products	3.4
Computer Software	2.9
Medical-Drugs	2.4
Medical Instruments	2.3
Federal National Mtg. Assoc.	2.3
Medical-Biomedical/Gene	2.0
Diversified Banking Institutions	1.8
Applications Software	1.8
Real Estate Investment Trusts	1.7
Communications Software	1.5
Registered Investment Companies	1.3
Electric-Integrated	1.2
Chemicals-Specialty	1.1
Retail-Discount	1.1
Banks-Commercial	1.1
Aerospace/Defense-Equipment	1.0
Entertainment Software	1.0
Municipal Bonds & Notes	0.9
Electronic Components-Semiconductors	0.8
Building Products-Cement	0.7
Coatings/Paint	0.6
Cable/Satellite TV	0.6
Federal Home Loan Mtg. Corp.	0.6
Computer Aided Design	0.6
Building-Residential/Commercial	0.5
Containers-Metal/Glass	0.5
Electronic Measurement Instruments	0.5
E-Commerce/Services	0.5
Telephone-Integrated	0.5
Finance-Other Services	0.5
Computer Services	0.5
Banks-Super Regional	0.5
Diagnostic Equipment	0.5
Pipelines	0.5
Internet Content-Information/News	0.4
Retail-Apparel/Shoe	0.4
Medical Products	0.4
Medical-HMO	0.4
Human Resources	0.4
Television	0.4
Brewery	0.4
Distribution/Wholesale	0.4
Cellular Telecom	0.3
Sovereign	0.3
Insurance-Life/Health	0.3
Tobacco	0.3
Building & Construction-Misc.	0.3
Savings & Loans/Thrifts	0.3
Gas-Distribution	0.3
Electronic Components-Misc.	0.3

Data Processing/Management	0.3	%
Energy-Alternate Sources	0.3
Building-Heavy Construction	0.3
Retail-Restaurants	0.3
Building & Construction Products-Misc.	0.2
Aerospace/Defense	0.2
Machinery-General Industrial	0.2
Pastoral & Agricultural	0.2
Retail-Building Products	0.2
Medical-Wholesale Drug Distribution	0.2
Oil Refining & Marketing	0.2
Insurance Brokers	0.2
Food-Misc./Diversified	0.2
Retail-Sporting Goods	0.2
Auto-Truck Trailers	0.2
Apparel Manufacturers	0.2
Schools	0.2
Transport-Services	0.2
Investment Management/Advisor Services	0.2
Oil-Field Services	0.2
Oil Companies-Integrated	0.2
Wireless Equipment	0.2
Diversified Manufacturing Operations	0.2
Transactional Software	0.2
Electric-Distribution	0.1
Semiconductor Components-Integrated Circuits	0.1
Broadcast Services/Program	0.1
Funeral Services & Related Items	0.1
Medical-Hospitals	0.1
Water	0.1
Consulting Services	0.1
Auto/Truck Parts & Equipment-Original	0.1
E-Services/Consulting	0.1
Finance-Investment Banker/Broker	0.1
Decision Support Software	0.1
Transport-Truck	0.1
Medical Information Systems	0.1
Medical Labs & Testing Services	0.1
Oil Companies-Exploration & Production	0.1
Machinery-Electrical	0.1
Home Furnishings	0.1
Computer Data Security	0.1
Computers	0.1
Financial Guarantee Insurance	0.1
Retail-Automobile	0.1
Building Products-Wood	0.1
Chemicals-Diversified	0.1
Metal Products-Distribution	0.1
Finance-Consumer Loans	0.1
Insurance-Reinsurance	0.1
Building Products-Doors & Windows	0.1
Printing-Commercial	0.1
Power Converter/Supply Equipment	0.1
Banks-Fiduciary	0.1
Therapeutics	0.1
Hazardous Waste Disposal	0.1
Office Furnishings-Original	0.1
Machinery-Construction & Mining	0.1
Satellite Telecom	0.1
Drug Delivery Systems	0.1

35

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Telecommunication Equipment	0.1	%
Pharmacy Services	0.1
Insurance-Mutual	0.1
Internet Security	0.1
Theaters	0.1
Dental Supplies & Equipment	0.1
Food-Wholesale/Distribution	0.1
Telecom Services	0.1
Paper & Related Products	0.1
Consumer Products-Misc.	0.1
Electric-Generation	0.1
Steel-Producers	0.1
Building-Maintenance & Services	0.1
Medical-Generic Drugs	0.1
Electric-Transmission	0.1
Trucking/Leasing	0.1
Semiconductor Equipment	0.1
Options Purchased	0.1
Casino Hotels	0.1
Retail-Office Supplies	0.1
Oil-U.S. Royalty Trusts	0.1
Metal-Iron	0.1
Finance-Credit Card	0.1
Coal	0.1
Hotels/Motels	0.1
Office Supplies & Forms	0.1
Gold Mining	0.1
Vitamins & Nutrition Products	0.1
Medical Laser Systems	0.1
Transport-Rail	0.1
Retail-Auto Parts	0.1
X-Ray Equipment	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Networking Products	0.1
Rubber/Plastic Products	0.1
Retail-Regional Department Stores	0.1
	114.2	%

*  Calculated as a percentage of net assets

36

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 57.9%
Advertising Services — 0.0%
National CineMedia, Inc.		8,925	$	24,231
Aerospace/Defense-Equipment — 0.9%
AAR Corp.		1,925		36,190
HEICO Corp., Class A		8,174		724,707
Moog, Inc., Class A		300		19,059
				779,956
Agricultural Operations — 0.0%
Fresh Del Monte Produce, Inc.		900		20,628
Apparel Manufacturers — 0.2%
Deckers Outdoor Corp.†		350		77,003
Lakeland Industries, Inc.†		3,450		68,310
				145,313
Appliances — 0.0%
Hamilton Beach Brands Holding Co., Class A		400		7,780
Applications Software — 1.7%
Asana, Inc., Class A†		1,075		30,451
JFrog, Ltd.†		325		27,511
Outset Medical, Inc.†		300		15,000
ServiceNow, Inc.†		2,727		1,322,595
				1,395,557
Audio/Video Products — 0.0%
Sonos, Inc.†		525		7,970
Auto-Truck Trailers — 0.2%
Wabash National Corp.		12,200		145,912
Auto/Truck Parts & Equipment-Original — 0.1%
Adient PLC†		575		9,965
Gentherm, Inc.†		1,650		67,485
Meritor, Inc.†		1,725		36,121
Telenav, Inc.†		1,625		5,850
				119,421
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		1,282		43,844
Banks-Commercial — 1.1%
1st Source Corp.		510		15,728
Atlantic Union Bankshares Corp.		409		8,740
BancFirst Corp.		1,575		64,323
BancorpSouth Bank		2,125		41,182
Banner Corp.		1,650		53,229
Cadence BanCorp		2,925		25,126
Cathay General Bancorp		825		17,886
Central Pacific Financial Corp.		2,575		34,943
Central Valley Community Bancorp		200		2,470
CIT Group, Inc.		1,525		27,008
Columbia Banking System, Inc.		2,075		49,489
CVB Financial Corp.		3,425		56,958
Enterprise Financial Services Corp.		475		12,953
Equity Bancshares, Inc., Class A†		975		15,112

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Commonwealth Financial Corp.		3,475	$	26,896
First Community Bankshares, Inc.		225		4,061
First Hawaiian, Inc.		725		10,491
First Horizon National Corp.		1,425		13,438
Great Western Bancorp, Inc.		1,575		19,609
Hope Bancorp, Inc.		3,633		27,556
Independent Bank Corp.		1,000		12,570
Old National Bancorp		4,000		50,240
PacWest Bancorp		575		9,821
Premier Financial Corp.		375		5,841
South State Corp.		125		6,019
Trustmark Corp.		5,200		111,332
UMB Financial Corp.		525		25,730
United Bankshares, Inc.		1,525		32,742
Webster Financial Corp.		500		13,205
West BanCorp, Inc.		350		5,544
Westamerica BanCorp		1,800		97,830
				898,072
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		205		5,381
Broadcast Services/Program — 0.0%
Hemisphere Media Group, Inc.†		3,650		31,719
Building & Construction Products-Misc. — 0.2%
Builders FirstSource, Inc.†		3,825		124,772
Louisiana-Pacific Corp.		2,375		70,086
				194,858
Building & Construction-Misc. — 0.3%
Comfort Systems USA, Inc.		1,075		55,373
EMCOR Group, Inc.		2,300		155,733
MYR Group, Inc.†		1,025		38,110
				249,216
Building Products-Cement — 0.7%
Martin Marietta Materials, Inc.		2,373		558,509
US Concrete, Inc.†		250		7,260
				565,769
Building Products-Doors & Windows — 0.1%
Cornerstone Building Brands, Inc.†		400		3,192
Masonite International Corp.†		875		86,100
				89,292
Building Products-Light Fixtures — 0.0%
LSI Industries, Inc.		825		5,569
Building Products-Wood — 0.1%
Boise Cascade Co.		1,900		75,848
UFP Industries, Inc.		350		19,779
				95,627

37

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Heavy Construction — 0.3%
Arcosa, Inc.		1,200	$	52,908
MasTec, Inc.†		1,975		83,345
Tutor Perini Corp.†		6,375		70,954
				207,207
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		1,775		65,072
Building-Residential/Commercial — 0.4%
KB Home		3,450		132,446
Meritage Homes Corp.†		275		30,357
TRI Pointe Group, Inc.†		11,675		211,784
				374,587
Cable/Satellite TV — 0.0%
WideOpenWest, Inc.†		4,375		22,706
Casino Hotels — 0.1%
Boyd Gaming Corp.		1,400		42,966
Casino Services — 0.0%
Caesars Entertainment, Inc.†		175		9,811
Chemicals-Diversified — 0.0%
Koppers Holdings, Inc.†		875		18,296
Stepan Co.		50		5,450
				23,746
Chemicals-Specialty — 1.1%
Ecolab, Inc.		4,402		879,696
Ingevity Corp.†		200		9,888
Minerals Technologies, Inc.		925		47,267
PQ Group Holdings, Inc.†		275		2,822
Tronox Holdings PLC, Class A		1,375		10,821
				950,494
Circuit Boards — 0.0%
TTM Technologies, Inc.†		3,175		36,227
Coal — 0.1%
Peabody Energy Corp.		625		1,438
SunCoke Energy, Inc.		2,775		9,490
Warrior Met Coal, Inc.		2,575		43,981
				54,909
Coatings/Paint — 0.6%
Sherwin-Williams Co.		783		545,547
Coffee — 0.0%
Farmer Brothers Co.†		1,475		6,520
Commercial Services — 0.0%
Medifast, Inc.		125		20,556
Commercial Services-Finance — 4.1%
Adyen NV†*		403		742,671
Euronet Worldwide, Inc.†		100		9,110
Evo Payments, Inc., Class A†		2,625		65,231
Green Dot Corp., Class A†		450		22,775
S&P Global, Inc.		764		275,498
Square, Inc., Class A†		14,520		2,360,226
				3,475,511

Security Description	Shares		Value (Note 2)
Communications Software — 1.5%
Avaya Holdings Corp.†		11,950	$	181,640
Zoom Video Communications, Inc., Class A†		2,322		1,091,595
				1,273,235
Computer Aided Design — 0.6%
Autodesk, Inc.†		2,192		506,374
Computer Data Security — 0.1%
Qualys, Inc.†		725		71,057
SecureWorks Corp., Class A†		2,450		27,906
				98,963
Computer Services — 0.3%
CACI International, Inc., Class A†		275		58,619
Insight Enterprises, Inc.†		500		28,290
Perspecta, Inc.		5,650		109,892
Sykes Enterprises, Inc.†		1,075		36,776
				233,577
Computer Software — 2.9%
Avid Technology, Inc.†		2,800		23,968
Cornerstone OnDemand, Inc.†		1,300		47,268
Slack Technologies, Inc., Class A†		24,836		667,095
Twilio, Inc., Class A†		6,999		1,729,383
Xperi Holding Corp.		780		8,962
				2,476,676
Consulting Services — 0.1%
GP Strategies Corp.†		2,050		19,762
Huron Consulting Group, Inc.†		1,825		71,777
Kelly Services, Inc., Class A		1,100		18,744
				110,283
Consumer Products-Misc. — 0.1%
Central Garden & Pet Co., Class A†		650		23,491
Quanex Building Products Corp.		1,375		25,355
				48,846
Containers-Metal/Glass — 0.4%
Ball Corp.		4,512		375,037
Containers-Paper/Plastic — 0.0%
Graphic Packaging Holding Co.		1,125		15,851
Cosmetics & Toiletries — 0.0%
Edgewell Personal Care Co.†		450		12,546
Data Processing/Management — 0.1%
CommVault Systems, Inc.†		1,600		65,280
CSG Systems International, Inc.		275		11,261
				76,541
Dental Supplies & Equipment — 0.1%
Patterson Cos., Inc.		2,925		70,507

38

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diagnostic Equipment — 0.5%
Adaptive Biotechnologies Corp.†		600	$	29,178
Danaher Corp.		1,621		349,050
				378,228
Dialysis Centers — 0.0%
American Renal Associates Holdings, Inc.†		296		2,042
Distribution/Wholesale — 0.4%
Avient Corp.		2,125		56,228
Core-Mark Holding Co., Inc.		3,425		99,085
Fossil Group, Inc.†		950		5,453
G-III Apparel Group, Ltd.†		4,900		64,239
ScanSource, Inc.†		3,375		66,926
Veritiv Corp.†		700		8,862
				300,793
Diversified Manufacturing Operations — 0.1%
Enerpac Tool Group Corp.		150		2,821
EnPro Industries, Inc.		475		26,795
Fabrinet†		400		25,212
				54,828
E-Commerce/Products — 3.3%
Amazon.com, Inc.†		728		2,292,276
Chewy, Inc., Class A†		9,311		510,522
				2,802,798
E-Commerce/Services — 0.5%
Cars.com, Inc.†		3,650		29,492
Groupon, Inc.†		260		5,304
Match Group, Inc.†		3,035		335,823
Stamps.com, Inc.†		300		72,285
				442,904
E-Marketing/Info — 0.0%
comScore, Inc.†		5,575		11,373
E-Services/Consulting — 0.1%
Perficient, Inc.†		2,700		115,398
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		2,625		21,840
Electric-Generation — 0.1%
Atlantic Power Corp.†		33,325		65,317
Electric-Integrated — 0.1%
Black Hills Corp.		350		18,722
IDACORP, Inc.		150		11,985
PNM Resources, Inc.		750		30,998
Portland General Electric Co.		1,625		57,687
				119,392
Electronic Components-Misc. — 0.3%
Bel Fuse, Inc., Class B		3,300		35,244
Benchmark Electronics, Inc.		2,400		48,360
OSI Systems, Inc.†		575		44,626

Security Description	Shares		Value (Note 2)
Electronic Components-Misc. (continued)
Sanmina Corp.†		1,925	$	52,071
SMART Global Holdings, Inc.†		1,075		29,390
				209,691
Electronic Components-Semiconductors — 0.4%
Amkor Technology, Inc.†		7,825		87,640
MACOM Technology Solutions Holdings, Inc.†		2,025		68,870
Rambus, Inc.†		8,175		111,916
Synaptics, Inc.†		1,175		94,493
				362,919
Electronic Measurement Instruments — 0.5%
Roper Technologies, Inc.		1,129		446,079
Energy-Alternate Sources — 0.3%
FutureFuel Corp.		2,600		29,562
Green Plains, Inc.†		650		10,062
Maxeon Solar Technologies, Ltd.†		706		11,974
Renewable Energy Group, Inc.†		900		48,078
REX American Resources Corp.†		575		37,726
SunPower Corp.†		5,625		70,368
				207,770
Engineering/R&D Services — 0.0%
KBR, Inc.		775		17,329
Enterprise Software/Service — 4.8%
ACI Worldwide, Inc.†		2,150		56,179
Asure Software, Inc.†		1,900		14,345
Coupa Software, Inc.†		3,812		1,045,403
Donnelley Financial Solutions, Inc.†		1,150		15,364
eGain Corp.†		1,900		26,923
Evolent Health, Inc., Class A†		5,500		68,255
MicroStrategy, Inc., Class A†		325		48,932
SVMK, Inc.†		1,675		37,034
Veeva Systems, Inc., Class A†		6,378		1,793,430
Workday, Inc., Class A†		4,554		979,702
				4,085,567
Entertainment Software — 1.0%
Activision Blizzard, Inc.		6,205		502,295
Take-Two Interactive Software, Inc.†		1,998		330,109
				832,404
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		100		33,864
Finance-Consumer Loans — 0.1%
EZCORP, Inc., Class A†		1,100		5,533
Navient Corp.		6,350		53,658
Nelnet, Inc., Class A		125		7,531
				66,722

39

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Investment Banker/Broker — 0.1%
Cowen, Inc., Class A		1,625	$	26,439
Houlihan Lokey, Inc.		1,075		63,479
Moelis & Co., Class A		100		3,514
Piper Sandler Cos.		250		18,250
				111,682
Finance-Other Services — 0.3%
Intercontinental Exchange, Inc.		2,466		246,723
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		600		3,636
MGIC Investment Corp.		3,800		33,668
NMI Holdings, Inc., Class A†		525		9,345
Radian Group, Inc.		3,475		50,770
				97,419
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		900		32,157
Food-Misc./Diversified — 0.1%
B&G Foods, Inc.		1,300		36,101
John B. Sanfilippo & Son, Inc.		550		41,459
				77,560
Food-Wholesale/Distribution — 0.1%
SpartanNash Co.		3,125		51,094
Gas-Distribution — 0.1%
New Jersey Resources Corp.		350		9,457
Northwest Natural Holding Co.		250		11,348
ONE Gas, Inc.		725		50,032
Southwest Gas Holdings, Inc.		500		31,550
				102,387
Gold Mining — 0.1%
Royal Gold, Inc.		452		54,317
Home Furnishings — 0.1%
Hooker Furniture Corp.		100		2,568
Purple Innovation, Inc.†		1,225		30,453
Sleep Number Corp.†		1,375		67,251
				100,272
Human Resources — 0.4%
Barrett Business Services, Inc.		1,503		78,817
Cross Country Healthcare, Inc.†		9,950		64,576
Heidrick & Struggles International, Inc.		225		4,421
Insperity, Inc.		300		19,647
Kforce, Inc.		1,375		44,234
Korn Ferry		925		26,825
TrueBlue, Inc.†		5,700		88,293
				326,813
Independent Power Producers — 0.0%
Clearway Energy, Inc., Class A		925		22,848
Clearway Energy, Inc., Class C		225		6,066
				28,914

Security Description	Shares		Value (Note 2)
Insurance-Life/Health — 0.1%
American Equity Investment Life Holding Co.		750	$	16,493
CNO Financial Group, Inc.		4,425		70,977
Primerica, Inc.		250		28,285
				115,755
Insurance-Property/Casualty — 0.0%
Ambac Financial Group, Inc.†		400		5,108
First American Financial Corp.		325		16,546
Heritage Insurance Holdings, Inc.		250		2,530
ProSight Global, Inc.†		450		5,103
				29,287
Insurance-Reinsurance — 0.1%
Argo Group International Holdings, Ltd.		475		16,354
Essent Group, Ltd.		2,000		74,020
				90,374
Internet Application Software — 4.7%
Okta, Inc.†		8,218		1,757,419
Shopify, Inc., Class A†		2,175		2,224,960
				3,982,379
Internet Content-Entertainment — 5.4%
Facebook, Inc., Class A†		4,544		1,190,074
Spotify Technology SA†		7,168		1,738,742
Twitter, Inc.†		36,375		1,618,687
				4,547,503
Internet Content-Information/News — 0.4%
IAC/InterActiveCorp†		2,664		319,094
Yelp, Inc.†		2,850		57,256
				376,350
Internet Security — 0.0%
Proofpoint, Inc.†		225		23,749
Investment Management/Advisor Services — 0.2%
Blucora, Inc.†		2,575		24,257
Focus Financial Partners, Inc., Class A†		1,200		39,348
Stifel Financial Corp.		1,100		55,616
Virtus Investment Partners, Inc.		125		17,331
				136,552
Machinery-Construction & Mining — 0.1%
Astec Industries, Inc.		1,500		81,375
Machinery-Electrical — 0.1%
Argan, Inc.		2,400		100,584
Bloom Energy Corp., Class A†		100		1,797
				102,381
Machinery-General Industrial — 0.1%
Applied Industrial Technologies, Inc.		200		11,020
DXP Enterprises, Inc.†		1,150		18,550
Kadant, Inc.		350		38,367
				67,937

40

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Information Systems — 0.1%
Allscripts Healthcare Solutions, Inc.†		10,725	$	87,301
Computer Programs & Systems, Inc.		775		21,398
				108,699
Medical Instruments — 2.2%
AngioDynamics, Inc.†		2,950		35,577
Intuitive Surgical, Inc.†		2,491		1,767,464
Natus Medical, Inc.†		2,500		42,825
NuVasive, Inc.†		1,100		53,427
				1,899,293
Medical Labs & Testing Services — 0.1%
MEDNAX, Inc.†		1,400		22,792
Medpace Holdings, Inc.†		475		53,081
Personalis, Inc.†		650		14,086
				89,959
Medical Laser Systems — 0.1%
Cutera, Inc.†		2,775		52,642
Medical Products — 0.3%
Accuray, Inc.†		12,700		30,480
Integer Holdings Corp.†		1,350		79,663
Invacare Corp.		2,950		22,184
LivaNova PLC†		925		41,819
Orthofix Medical, Inc.†		950		29,583
SeaSpine Holdings Corp.†		3,575		51,123
Sientra, Inc.†		3,725		12,665
				267,517
Medical-Biomedical/Gene — 1.6%
ACADIA Pharmaceuticals, Inc.†		1,600		66,000
Alder Biopharmaceuticals, Inc. CVR†(1)		2,000		1,760
AMAG Pharmaceuticals, Inc.†		225		2,115
Amicus Therapeutics, Inc.†		3,350		47,302
Arena Pharmaceuticals, Inc.†		1,015		75,912
Atara Biotherapeutics, Inc.†		2,600		33,696
Berkeley Lights, Inc.†		650		49,634
Biohaven Pharmaceutical Holding Co., Ltd.†		1,050		68,260
Black Diamond Therapeutics, Inc.†		950		28,718
Bluebird Bio, Inc.†		175		9,441
Bridgebio Pharma, Inc.†		825		30,954
CytomX Therapeutics, Inc.†		1,150		7,648
Eiger BioPharmaceuticals, Inc.†		2,725		22,181
Esperion Therapeutics, Inc.†		350		13,010
Homology Medicines, Inc.†		700		7,490
Intercept Pharmaceuticals, Inc.†		1,450		60,117
LogicBio Therapeutics, Inc.†		4,600		41,768
Mersana Therapeutics, Inc.†		2,853		53,123

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene (continued)
Myriad Genetics, Inc.†		2,000	$	26,080
Puma Biotechnology, Inc.†		3,575		36,072
REGENXBIO, Inc.†		1,125		30,960
REVOLUTION Medicines, Inc.†		475		16,530
Royalty Pharma PLC, Class A†		12,006		505,092
Solid Biosciences, Inc.†		1,000		2,030
Sutro Biopharma, Inc.†		425		4,271
TCR2 Therapeutics, Inc.†		850		17,272
Viela Bio, Inc.†		1,000		28,080
VYNE Therapeutics, Inc.†		850		1,411
WaVe Life Sciences, Ltd.†		4,575		38,842
Xencor, Inc.†		1,300		50,427
Y-mAbs Therapeutics, Inc.†		125		4,799
				1,380,995
Medical-Drugs — 2.0%
Aimmune Therapeutics, Inc.†		1,025		35,311
Alector, Inc.†		425		4,477
Athenex, Inc.†		2,525		30,552
Clovis Oncology, Inc.†		3,300		19,239
Eagle Pharmaceuticals, Inc.†		275		11,682
Global Blood Therapeutics, Inc.†		850		46,869
Gritstone Oncology, Inc.†		475		1,259
Horizon Therapeutics PLC†		1,225		95,158
Lannett Co., Inc.†		8,703		53,175
Marinus Pharmaceuticals, Inc.		2,856		36,700
MyoKardia, Inc.†		1,175		160,188
Prestige Consumer Healthcare, Inc.†		375		13,658
Protagonist Therapeutics, Inc.†		2,650		51,807
Reata Pharmaceuticals, Inc., Class A†		555		54,068
Seres Therapeutics, Inc.†		2,300		65,113
TG Therapeutics, Inc.†		2,050		54,858
UroGen Pharma, Ltd.†		1,450		27,971
Vanda Pharmaceuticals, Inc.†		1,700		16,422
Voyager Therapeutics, Inc.†		1,825		19,473
Zoetis, Inc.		5,449		901,101
				1,699,081
Medical-Generic Drugs — 0.1%
Arvinas, Inc.†		25		590
Endo International PLC†		18,575		61,298
				61,888
Medical-HMO — 0.2%
Magellan Health, Inc.†		1,395		105,713
Tivity Health, Inc.†		1,475		20,680
Triple-S Management Corp., Class B†		1,675		29,932
				156,325

41

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Hospitals — 0.1%
Community Health Systems, Inc.†		11,575	$	48,847
Tenet Healthcare Corp.†		2,750		67,402
				116,249
Medical-Outpatient/Home Medical — 0.0%
Providence Service Corp.†		75		6,968
Medical-Wholesale Drug Distribution — 0.2%
Owens & Minor, Inc.		6,650		166,981
Metal Processors & Fabrication — 0.0%
LB Foster Co., Class A†		225		3,020
Metal Products-Distribution — 0.1%
Worthington Industries, Inc.		2,250		91,755
Metal-Aluminum — 0.0%
Arconic Corp.†		200		3,810
Century Aluminum Co.†		425		3,026
Kaiser Aluminum Corp.		225		12,058
				18,894
Motion Pictures & Services — 0.0%
Eros International PLC†		1,225		2,707
Networking Products — 0.1%
Extreme Networks, Inc.†		2,800		11,256
NeoPhotonics Corp.†		5,325		32,429
				43,685
Office Furnishings-Original — 0.1%
HNI Corp.		1,975		61,975
Steelcase, Inc., Class A		2,050		20,726
				82,701
Office Supplies & Forms — 0.1%
ACCO Brands Corp.		9,375		54,375
Oil Companies-Exploration & Production — 0.1%
Berry Corp.		1,850		5,864
CNX Resources Corp.†		1,325		12,508
Magnolia Oil & Gas Corp., Class A†		1,275		6,592
Ovintiv, Inc.		1,625		13,260
PDC Energy, Inc.†		900		11,155
Range Resources Corp.		725		4,800
W&T Offshore, Inc.†		5,625		10,125
				64,304
Oil Refining & Marketing — 0.1%
CVR Energy, Inc.		175		2,167
Delek US Holdings, Inc.		1,100		12,243
Murphy USA, Inc.†		575		73,755
				88,165
Oil-Field Services — 0.2%
ChampionX Corp.†		775		6,192
Matrix Service Co.†		4,675		39,036
MRC Global, Inc.†		3,500		14,980

Security Description	Shares		Value (Note 2)
Oil-Field Services (continued)
NexTier Oilfield Solutions, Inc.†		12,500	$	23,125
NOW, Inc.†		10,900		49,486
				132,819
Oil-U.S. Royalty Trusts — 0.1%
Texas Pacific Land Trust		126		56,897
Paper & Related Products — 0.1%
Clearwater Paper Corp.†		125		4,743
Domtar Corp.		1,100		28,897
Neenah, Inc.		75		2,810
P H Glatfelter Co.		925		12,737
Verso Corp., Class A		2,450		19,331
				68,518
Pastoral & Agricultural — 0.2%
Darling Ingredients, Inc.†		4,750		171,142
Power Converter/Supply Equipment — 0.1%
Generac Holdings, Inc.†		282		54,606
Powell Industries, Inc.		1,400		33,782
				88,388
Printing-Commercial — 0.1%
Deluxe Corp.		1,025		26,374
Ennis, Inc.		2,900		50,576
Quad/Graphics, Inc.		3,975		12,044
				88,994
Publishing-Books — 0.0%
Houghton Mifflin Harcourt Co.†		14,325		24,782
Racetracks — 0.0%
Penn National Gaming, Inc.†		425		30,898
Real Estate Investment Trusts — 1.3%
Acadia Realty Trust		650		6,825
Agree Realty Corp.		250		15,910
Alexander & Baldwin, Inc.		551		6,177
American Assets Trust, Inc.		2,675		64,441
American Finance Trust, Inc.		975		6,113
Americold Realty Trust		1,900		67,925
Blackstone Mtg. Trust, Inc., Class A		2,800		61,516
Broadstone Net Lease, Inc., Class A		1,750		29,365
CareTrust REIT, Inc.		350		6,228
City Office REIT, Inc.		400		3,008
CoreSite Realty Corp.		450		53,496
DiamondRock Hospitality Co.		7,200		36,504
Easterly Government Properties, Inc.		600		13,446
EastGroup Properties, Inc.		200		25,866
Ellington Financial, Inc.		125		1,533
Equity LifeStyle Properties, Inc.		450		27,585
Essential Properties Realty Trust, Inc.		350		6,412

42

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
First Industrial Realty Trust, Inc.		1,700	$	67,660
Four Corners Property Trust, Inc.		275		7,037
GEO Group, Inc.		875		9,922
Getty Realty Corp.		875		22,759
Gladstone Commercial Corp.		600		10,110
Global Net Lease, Inc.		275		4,373
Great Ajax Corp.		175		1,451
Hersha Hospitality Trust		225		1,247
Highwoods Properties, Inc.		375		12,589
Invesco Mtg. Capital, Inc.		597		1,618
Kite Realty Group Trust		400		4,632
KKR Real Estate Finance Trust, Inc.		1,300		21,489
Ladder Capital Corp.		2,675		19,046
Lexington Realty Trust		1,900		19,855
Mack-Cali Realty Corp.		875		11,042
New Senior Investment Group, Inc.		2,875		11,500
Pebblebrook Hotel Trust		550		6,892
PennyMac Mtg. Investment Trust		2,150		34,550
Physicians Realty Trust		2,150		38,506
Piedmont Office Realty Trust, Inc., Class A		1,625		22,051
Plymouth Industrial REIT, Inc.		450		5,553
PotlatchDeltic Corp.		1,275		53,677
PS Business Parks, Inc.		50		6,120
QTS Realty Trust, Inc., Class A		850		53,567
Redwood Trust, Inc.		1,875		14,100
Retail Opportunity Investments Corp.		1,800		18,747
RLJ Lodging Trust		1,125		9,743
Ryman Hospitality Properties, Inc.		350		12,880
Sabra Health Care REIT, Inc.		1,150		15,853
Saul Centers, Inc.		475		12,625
SITE Centers Corp.†		200		1,440
STAG Industrial, Inc.		775		23,630
Summit Hotel Properties, Inc.		750		3,885
Sunstone Hotel Investors, Inc.		6,625		52,602
TPG RE Finance Trust, Inc.		425		3,596
Two Harbors Investment Corp.		2,079		10,582
UMH Properties, Inc.		875		11,847
Xenia Hotels & Resorts, Inc.		2,125		18,657
				1,089,783
Real Estate Management/Services — 0.0%
Realogy Holdings Corp.†		1,825		17,228
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		675		20,176

Security Description	Shares		Value (Note 2)
Resort/Theme Parks — 0.0%
Marriott Vacations Worldwide Corp.		325	$	29,513
Retail-Apparel/Shoe — 0.4%
Guess?, Inc.		2,050		23,821
Lululemon Athletica, Inc.†		994		327,394
Winmark Corp.		125		21,522
				372,737
Retail-Automobile — 0.1%
Group 1 Automotive, Inc.		250		22,098
Lithia Motors, Inc., Class A		100		22,794
Sonic Automotive, Inc., Class A		1,275		51,204
				96,096
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.		2,050		30,709
Retail-Building Products — 0.1%
BMC Stock Holdings, Inc.†		1,500		64,245
Retail-Discount — 1.1%
Big Lots, Inc.		1,200		53,520
Costco Wholesale Corp.		2,475		878,625
				932,145
Retail-Home Furnishings — 0.0%
Haverty Furniture Cos., Inc.		825		17,276
Retail-Leisure Products — 0.0%
MarineMax, Inc.†		475		12,193
Retail-Office Supplies — 0.1%
ODP Corp.		2,965		57,669
Retail-Pawn Shops — 0.0%
FirstCash, Inc.		525		30,035
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		1,125		41,085
Retail-Restaurants — 0.2%
Bloomin' Brands, Inc.		5,175		79,022
Brinker International, Inc.		1,325		56,604
				135,626
Retail-Sporting Goods — 0.2%
Hibbett Sports, Inc.†		2,275		89,225
Zumiez, Inc.†		2,325		64,682
				153,907
Rubber-Tires — 0.0%
Cooper Tire & Rubber Co.		500		15,850
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		1,050		13,892
Trinseo SA		1,075		27,563
				41,455
Satellite Telecom — 0.1%
Gogo, Inc.†		8,200		75,768
KVH Industries, Inc.†		600		5,406
				81,174

43

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Savings & Loans/Thrifts — 0.3%
BankFinancial Corp.		650	$	4,693
Brookline Bancorp, Inc.		2,125		18,371
Capitol Federal Financial, Inc.		175		1,621
Flushing Financial Corp.		700		7,364
Investors Bancorp, Inc.		2,325		16,879
Meridian Bancorp, Inc.		5,100		52,785
Northfield Bancorp, Inc.		4,800		43,776
People's United Financial, Inc.		1,147		11,826
Washington Federal, Inc.		4,400		91,784
				249,099
Schools — 0.1%
American Public Education, Inc.†		1,600		45,104
K12, Inc.†		1,550		40,827
				85,931
Semiconductor Components-Integrated Circuits — 0.0%
Cirrus Logic, Inc.†		450		30,353
Semiconductor Equipment — 0.1%
Cohu, Inc.		1,700		29,206
Veeco Instruments, Inc.†		2,600		30,342
				59,548
Steel-Producers — 0.1%
Commercial Metals Co.		2,050		40,959
Telecom Services — 0.1%
Consolidated Communications Holdings, Inc.†		12,290		69,930
Telecommunication Equipment — 0.1%
ADTRAN, Inc.		5,525		56,659
PC-Tel, Inc.		1,225		6,933
Plantronics, Inc.		1,200		14,208
				77,800
Television — 0.2%
AMC Networks, Inc., Class A†		2,525		62,392
Central European Media Enterprises, Ltd., Class A†		7,325		30,692
ION Media Networks, Inc.†(1)(2)		4		3,462
Sinclair Broadcast Group, Inc., Class A		1,800		34,614
				131,160
Theaters — 0.1%
Cinemark Holdings, Inc.		7,175		71,750
Therapeutics — 0.1%
Flexion Therapeutics, Inc.†		3,550		36,956
La Jolla Pharmaceutical Co.†		1,000		4,030
Sarepta Therapeutics, Inc.†		300		42,129
				83,115
Transactional Software — 0.1%
Synchronoss Technologies, Inc.†		18,300		55,083

Security Description	Shares/ Principal Amount(15)		Value (Note 2)
Transport-Marine — 0.0%
Diamond S Shipping, Inc.†		900	$	6,183
Dorian LPG, Ltd.†		41		328
				6,511
Transport-Services — 0.1%
Echo Global Logistics, Inc.†		1,775		45,742
Hub Group, Inc., Class A†		675		33,881
				79,623
Transport-Truck — 0.1%
ArcBest Corp.		3,175		98,616
Schneider National, Inc., Class B		500		12,365
				110,981
Vitamins & Nutrition Products — 0.1%
Herbalife Nutrition, Ltd.†		675		31,489
USANA Health Sciences, Inc.†		300		22,095
				53,584
Water — 0.1%
American States Water Co.		1,025		76,824
Arch Resources, Inc., Class A		350		14,868
				91,692
Web Hosting/Design — 0.0%
NIC, Inc.		800		15,760
Wireless Equipment — 0.1%
Maxar Technologies, Inc.		3,150		78,561
X-Ray Equipment — 0.1%
Varex Imaging Corp.†		3,475		44,202
Total Common Stocks (cost $35,204,297)				49,113,833
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.3%
Diversified Banking Institutions — 0.3%
Credit Suisse Group AG 6.25% due 12/18/2024(3) (cost $208,016)	$	225,000		241,006
ASSET BACKED SECURITIES — 9.0%
Diversified Financial Services — 9.0%
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(4)		110,000		122,093
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% (1 ML+0.17%) due 01/25/2037(5)		7,119		7,765
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025		35,000		35,643
Angel Oak Mtg. Trust VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(5)(6)		93,468		94,021
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(5)(6)		64,097		64,907

44

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.72% (1 ML+1.58%) due 10/25/2034	$	6,610	$	6,715
BANK VRS Series 2017-BNK8, Class XA 0.87% due 11/15/2050(4)(6)(7)		988,516		42,519
BANK VRS Series 2020-BN26, Class XA 1.36% due 03/15/2063(4)(6)(7)		997,637		92,389
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6)		64,137		66,420
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6)		48,040		48,533
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(6)		45,254		46,146
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(6)		47,092		48,678
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(6)		60,412		62,054
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6)		50,654		52,667
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 1.00% (1 ML+0.85%) due 08/15/2036*(4)		131,000		127,178
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.51% due 02/25/2036(5)(6)		54,601		49,679
Bellemeade Re, Ltd. FRS Series 2019-4A, Class M1A 1.58% (1 ML + 1.40%) due 10/15/2029*(5)		37,196		37,128
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(4)(6)(7)		185,284		5,553
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(4)(6)(7)		319,997		9,387

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(4)(6)(7)	$	996,757	$	43,635
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.39% due 03/15/2062(4)(6)(7)		300,974		24,351
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.92% due 07/15/2053(4)(6)(7)		99,991		12,200
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 1.02% (3 ML+0.78%) due 04/27/2027*(8)		187,284		185,751
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(5)(6)		56,465		57,717
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(4)		65,000		70,698
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.99% (1 Yr USTYCR+2.40%) due 03/25/2036(5)		24,255		23,932
Commercial Mtg. Trust FRS Series 2019-WCM, Class A 1.05% (1 ML+0.90%) due 10/15/2034*(4)		100,000		99,401
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(4)		90,000		97,575
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(4)		105,000		110,893
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(4)		115,966		125,513
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(4)		123,000		134,303
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(4)		60,000		65,887
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		22,015		17,084

45

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.89% due 06/15/2057(4)(6)(7)	$	930,518	$	26,268
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(5)(6)		34,923		36,257
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.83% due 09/15/2053(4)(6)(7)		99,989		11,353
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(4)		115,000		125,231
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(4)		65,000		69,169
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(5)(6)		67,351		68,275
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*		49,000		51,841
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027		30,000		30,711
Eagle RE, Ltd. FRS Series 2018-1, Class M1 1.88% (1 ML+1.70%) due 11/25/2028*(5)		51,619		51,513
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025*		70,000		71,700
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025*		20,000		20,523
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.24% due 05/25/2035(5)(6)		38,604		37,918
GS Mtg. Securities Corp. VRS Series 2018-GS10, Class XA 0.48% due 07/10/2051(4)(6)(7)		1,062,871		25,595
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4)		110,000		109,631
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4)		30,000		34,826

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(4)	$	86,000	$	93,224
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(4)		58,342		59,280
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(4)		115,000		124,914
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.39% due 04/25/2036(5)(6)		4,151		3,334
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.41% due 03/25/2047(5)(6)		13,273		10,742
Home Re, Ltd. FRS Series 2018-1, Class M1 1.75% (1 ML + 1.60%) due 10/25/2028*(5)		17,756		17,529
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% (1 ML+0.54%) due 05/25/2035(5)		29,874		29,630
JP Morgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(4)		20,000		20,782
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(4)		64,000		69,796
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(4)		80,000		88,480
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(5)(9)		95,067		95,068
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(9)		104,669		105,963
LSTAR Securities Investment, Ltd. FRS Series 2019-3, Class A1 1.66% (1 ML+1.50%) due 04/01/2024*(5)		73,284		73,049
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 1.66% (1 ML + 1.50%) due 05/01/2024*(5)		79,280		78,176
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 1.86% (1 ML+1.70%) due 03/01/2024*(5)		54,153		53,519

46

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.70% due 12/25/2034(5)(6)	$	10,894	$	10,921
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.78% due 02/25/2035(5)(6)		18,206		18,671
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9)		51,102		51,244
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(6)		48,143		49,591
Mill City Mtg. Loan Trust VRS Series 2018-1, Class A1 3.25% due 05/25/2062*(6)		67,802		70,546
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.15% due 12/15/2047(4)(6)(7)		194,560		6,234
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(4)		20,000		21,819
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.58% due 06/15/2050(4)(6)(7)		107,047		6,777
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4)		100,000		101,655
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		23,976		16,037
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% (1 ML+0.28%) due 10/25/2035(5)		48,092		48,149
New Residential Advance Receivables Trust Series 2019-T4, Class AT4 2.33% due 10/15/2051*		100,000		100,718
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 0.90% (1 ML + 0.75%) due 01/25/2048*(5)		63,980		63,837
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.65% (1 ML+1.50%) due 06/25/2057*(5)		49,492		49,520

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(5)(6)	$	75,127	$	78,666
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(5)(6)		47,791		51,631
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(5)(6)		23,122		24,733
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(5)(6)		45,105		48,494
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(5)(6)		80,006		86,692
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(5)(6)		81,145		87,789
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(5)(6)		63,949		69,095
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(5)(6)		48,339		52,843
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(5)(6)		71,141		76,690
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)(6)		9,037		9,379
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		47,461		47,627
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		50,235		50,661
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 1.55% (1 ML + 1.40%) due 07/25/2029*(5)		7,561		7,558

47

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Oaktown Re, Ltd. FRS Series 2018-1A, Class M1 1.70% (1 ML+1.55%) due 07/25/2028*(5)	$	30,983	$	30,891
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 1.12% (3 ML+0.85%) due 04/17/2027*(8)		65,881		65,761
OnDeck Asset Securitization Trust II LLC Series 2019-1A, Class A 2.65% due 11/18/2024*		13,464		13,464
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		37,557		37,626
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% (1 ML+0.10%) due 02/25/2037		31,710		20,024
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 1.32% (3 ML+1.05%) due 04/30/2027*(8)		227,583		226,296
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% (1 ML+0.13%) due 05/25/2037		73,200		59,876
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(4)		85,000		85,571
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.40% (1 ML+0.25%) due 11/25/2036		160,000		147,708
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		98,594		98,723
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 0.75% (1 ML+0.60%) due 02/25/2057*		41,438		41,361
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(6)		27,007		27,332
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(6)		92,488		94,864
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(6)		41,607		42,774

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(6)	$	48,155	$	49,592
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(6)		85,052		88,447
Vericrest Opportunity Loan Trust Series 2020-NPL2, Class A1A 2.98% due 02/25/2050*(9)		77,582		77,589
Vericrest Opportunity Loan Trust Series 2019-NPL8, Class A1A 3.28% due 11/25/2049*(9)		70,155		70,219
Verus Securitization Trust Series 2020-NPL1, Class A1 3.60% due 08/25/2050*(5)(9)		100,000		100,017
Verus Securitization Trust VRS Series 2018-INV2, Class A1FX 4.15% due 10/25/2058*(5)(6)		70,780		71,779
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(9)		68,722		68,751
VOLT LXXXVII LLC Series 2020-NPL3, Class A1A 2.98% due 02/25/2050*(9)		80,390		80,391
VOLT LXXXVIII LLC Series 2020-NPLS, Class A1 2.98% due 03/25/2050*(9)		97,185		96,984
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 1.17% (3 ML+0.90%) due 01/18/2029*(8)		250,000		247,217
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.11% due 09/15/2057(4)(6)(7)		703,690		27,352
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(4)		65,000		70,513
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.94% due 10/25/2036(5)(6)		13,937		12,689
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*		48,625		51,185
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024*		50,000		51,177

48

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*	$	63,327	$	63,736
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(4)		120,000		129,653
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(4)		110,000		120,207
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(4)		50,111		54,731
Total Asset Backed Securities (cost $7,444,177)				7,614,789
U.S. CORPORATE BONDS & NOTES — 12.4%
Aerospace/Defense — 0.2%
Boeing Co. Senior Notes 3.25% due 02/01/2035		10,000		9,400
Boeing Co. Senior Notes 5.04% due 05/01/2027		15,000		16,514
Boeing Co. Senior Notes 5.15% due 05/01/2030		40,000		44,960
General Dynamics Corp. Company Guar. Bonds 4.25% due 04/01/2040		15,000		18,872
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040		30,000		40,326
Raytheon Technologies Corp. Senior Notes 3.65% due 08/16/2023		2,000		2,161
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025		35,000		39,775
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038		15,000		18,471
Raytheon Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		6,530
				197,009
Aerospace/Defense-Equipment — 0.1%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		25,000		27,427
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023		35,000		37,893
				65,320

Security Description	Principal Amount(15)		Value (Note 2)
Agricultural Operations — 0.0%
Archer-Daniels-Midland Co. Senior Notes 3.25% due 03/27/2030	$	10,000	$	11,464
Applications Software — 0.1%
Microsoft Corp. Senior Bonds 2.68% due 06/01/2060		14,000		14,768
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		21,000		27,660
				42,428
Auto-Cars/Light Trucks — 0.0%
General Motors Co. Senior Notes 6.13% due 10/01/2025		10,000		11,617
Banks-Commercial — 0.0%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		30,000		31,100
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.10% due 10/24/2024		30,000		31,749
State Street Corp. Senior Notes 2.35% due 11/01/2025		35,000		37,049
State Street Corp. Senior Notes 2.90% due 03/30/2026*		15,000		16,310
				85,108
Banks-Super Regional — 0.5%
Fifth Third Bancorp Senior Notes 2.38% due 01/28/2025		25,000		26,479
PNC Financial Services Group, Inc. Senior Notes 2.20% due 11/01/2024		50,000		52,890
Wells Fargo & Co. Senior Notes 2.41% due 10/30/2025		35,000		36,649
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		25,000		27,216
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		120,000		131,171
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		40,000		41,257
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024		40,000		43,461

49

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044	$	15,000	$	20,473
				379,596
Beverages-Non-alcoholic — 0.0%
PepsiCo, Inc. Senior Notes 3.63% due 03/19/2050		20,000		24,246
Brewery — 0.4%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		40,000		42,601
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		10,000		11,924
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		15,000		18,288
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039		75,000		97,098
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		10,000		10,357
Constellation Brands, Inc. Senior Notes 2.88% due 05/01/2030		35,000		37,791
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029		17,000		18,557
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		37,000		41,837
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025		15,000		17,439
Constellation Brands, Inc. Company Guar. Notes 4.65% due 11/15/2028		5,000		6,018
				301,910
Broadcast Services/Program — 0.1%
Discovery Communications LLC Company Guar. Notes 3.63% due 05/15/2030		15,000		16,666
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024		30,000		33,253

Security Description	Principal Amount(15)		Value (Note 2)
Broadcast Services/Program (continued)
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025	$	2,000	$	2,245
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055*		40,000		40,612
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049		10,000		12,221
				104,997
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031*		30,000		29,610
Building Products-Air & Heating — 0.0%
Carrier Global Corp. Senior Notes 2.70% due 02/15/2031*		20,000		20,837
Carrier Global Corp. Senior Notes 2.72% due 02/15/2030*		10,000		10,460
				31,297
Building-Residential/Commercial — 0.1%
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		85,000		96,900
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		24,000		26,400
				123,300
Cable/Satellite TV — 0.6%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.25% due 02/01/2031*		15,000		15,547
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030*		35,000		36,752
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		55,000		62,542
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049		5,000		5,797

50

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048	$	15,000	$	18,714
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		20,000		26,825
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		10,000		11,106
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039		30,000		33,409
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		5,000		5,563
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040		25,000		29,237
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		20,000		24,850
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		15,000		19,172
Comcast Corp. Company Guar. Notes 4.70% due 10/15/2048		5,000		6,668
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058		20,000		28,657
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		80,000		86,080
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		25,000		25,625
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		20,000		21,725
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		40,000		49,843
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		15,000		19,942
				528,054
Casino Hotels — 0.0%
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026		15,000		15,200

Security Description	Principal Amount(15)		Value (Note 2)
Cellular Telecom — 0.3%
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028*	$	65,000	$	66,548
T-Mobile USA, Inc. Senior Sec. Notes 3.30% due 02/15/2051*		15,000		14,861
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025*		35,000		38,405
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030*		45,000		51,058
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050*		15,000		17,995
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		80,000		83,600
				272,467
Chemicals-Diversified — 0.1%
Dow Chemical Co. Senior Notes 3.60% due 11/15/2050		20,000		20,244
Dow Chemical Co. Senior Notes 4.80% due 05/15/2049		10,000		11,934
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023		35,000		38,432
				70,610
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047		5,000		6,211
Commercial Services-Finance — 0.2%
Equifax, Inc. Senior Notes 2.60% due 12/15/2025		20,000		21,353
Equifax, Inc. Senior Notes 3.10% due 05/15/2030		5,000		5,447
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030		30,000		32,100
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029		10,000		10,907
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		65,000		70,688
				140,495
Computer Services — 0.2%
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028*		35,000		35,929

51

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computer Services (continued)
International Business Machines Corp. Senior Notes 1.95% due 05/15/2030	$	100,000	$	103,168
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025*		15,000		16,637
				155,734
Computers — 0.1%
Apple, Inc. Senior Notes 2.20% due 09/11/2029		45,000		48,393
Apple, Inc. Senior Notes 3.45% due 02/09/2045		10,000		11,675
Apple, Inc. Senior Notes 4.38% due 05/13/2045		5,000		6,699
HP, Inc. Senior Notes 2.20% due 06/17/2025		15,000		15,713
HP, Inc. Senior Notes 3.00% due 06/17/2027		15,000		16,216
				98,696
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		10,000		10,116
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 3.10% due 03/26/2030		15,000		17,208
Containers-Metal/Glass — 0.1%
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023		110,000		116,765
Data Processing/Management — 0.2%
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029		13,000		15,299
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		10,000		11,982
Fiserv, Inc. Senior Notes 2.25% due 06/01/2027		110,000		116,181
				143,462
Decision Support Software — 0.1%
MSCI, Inc. Company Guar. Notes 3.88% due 02/15/2031*		30,000		31,266

Security Description	Principal Amount(15)		Value (Note 2)
Decision Support Software (continued)
MSCI, Inc. Company Guar. Notes 5.38% due 05/15/2027*	$	75,000	$	80,063
				111,329
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		5,000		5,288
Diversified Banking Institutions — 1.4%
Bank of America Corp. Senior Notes 2.46% due 10/22/2025		55,000		57,988
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		85,000		92,775
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		30,000		33,924
Bank of America Corp. Senior Notes 4.08% due 03/20/2051		85,000		105,259
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		45,000		58,867
Citigroup, Inc. Senior Notes 2.31% due 11/04/2022		30,000		30,549
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		15,000		16,546
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025		85,000		91,964
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030		30,000		34,535
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		25,000		28,650
Citigroup, Inc. Senior Notes 4.41% due 03/31/2031		25,000		29,968
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		55,000		57,052
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		20,000		21,944
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		20,000		23,204
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		30,000		44,817
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031		45,000		48,281

52

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041	$	10,000	$	10,847
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		85,000		91,304
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		16,912
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		45,000		50,616
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030		35,000		40,169
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		35,000		37,915
Morgan Stanley Senior Notes 2.50% due 04/21/2021		45,000		45,545
Morgan Stanley Senior Notes 2.63% due 11/17/2021		10,000		10,250
Morgan Stanley Senior Notes 2.70% due 01/22/2031		65,000		69,238
Morgan Stanley Senior Notes 3.13% due 07/27/2026		20,000		22,141
Morgan Stanley Senior Notes 3.59% due 07/22/2028		15,000		16,870
Morgan Stanley Senior Notes 4.00% due 07/23/2025		15,000		16,954
Morgan Stanley Senior Notes 4.43% due 01/23/2030		10,000		11,948
				1,217,032
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 3.63% due 05/01/2030		25,000		25,891
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		20,000		20,192
				46,083
Drug Delivery Systems — 0.1%
Becton Dickinson and Co. Senior Notes 2.82% due 05/20/2030		5,000		5,392

Security Description	Principal Amount(15)		Value (Note 2)
Drug Delivery Systems (continued)
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024	$	70,000	$	75,756
				81,148
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.50% due 06/03/2030		60,000		61,233
Electric-Distribution — 0.1%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		20,000		23,357
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048		5,000		6,151
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048		15,000		18,992
Oglethorpe Power Corp. 1st Mtg. Bonds 3.75% due 08/01/2050*		5,000		4,980
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048		20,000		23,646
Sempra Energy Senior Notes 3.40% due 02/01/2028		25,000		27,495
Sempra Energy Senior Notes 3.80% due 02/01/2038		10,000		11,195
Sempra Energy Senior Notes 4.00% due 02/01/2048		5,000		5,639
				121,455
Electric-Integrated — 1.1%
AES Corp. Senior Sec. Notes 3.30% due 07/15/2025*		20,000		21,307
Alabama Power Co. Senior Notes 4.15% due 08/15/2044		20,000		24,429
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		15,000		17,008
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029		20,000		20,284
Cleco Corporate Holdings LLC Senior Notes 3.74% due 05/01/2026		10,000		10,669
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		5,000		7,452
Dominion Energy, Inc. Senior Notes 3.38% due 04/01/2030		15,000		16,913

53

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046	$	30,000	$	33,697
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		10,000		11,777
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044		40,000		50,755
Evergy Metro, Inc. 1st Mtg. Bonds 2.25% due 06/01/2030		5,000		5,294
Evergy, Inc. Senior Notes 2.45% due 09/15/2024		10,000		10,586
Evergy, Inc. Senior Notes 2.90% due 09/15/2029		30,000		32,199
Exelon Corp. Senior Notes 3.95% due 06/15/2025		45,000		50,722
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026		5,000		4,969
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030		10,000		9,780
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049		5,000		6,402
Georgia Power Co. Senior Notes 2.10% due 07/30/2023		25,000		26,098
Georgia Power Co. Senior Notes 4.30% due 03/15/2042		25,000		29,923
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		25,000		27,182
IPALCO Enterprises, Inc. Senior Sec. Notes 4.25% due 05/01/2030*		70,000		79,202
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050		25,000		27,704
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048		5,000		5,902
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 2.25% due 06/01/2030		25,000		25,888
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031		65,000		61,846

Security Description	Principal Amount(15)		Value (Note 2)
Electric-Integrated (continued)
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049	$	5,000	$	6,244
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050		5,000		6,263
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046		5,000		6,063
Public Service Enterprise Group, Inc. Senior Notes 1.60% due 08/15/2030		40,000		39,330
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024		30,000		32,099
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025		35,000		37,459
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030*		25,000		27,906
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029		15,000		15,760
Southern California Edison Co. 1st Mtg. Bonds 3.65% due 02/01/2050		20,000		20,667
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047		10,000		10,730
Southern California Edison Co. 1st Mtg. Notes Class C 4.13% due 03/01/2048		5,000		5,499
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,627
Southern Co. Senior Notes 3.25% due 07/01/2026		25,000		27,896
Southern Co. Senior Notes 3.70% due 04/30/2030		40,000		45,692
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048		5,000		6,147
				916,370
Electric-Transmission — 0.1%
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030*		40,000		43,014
Oncor Electric Delivery Co. LLC Senior Sec. Notes 3.10% due 09/15/2049		5,000		5,495

54

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Transmission (continued)
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029	$	10,000	$	13,149
				61,658
Electronic Components-Semiconductors — 0.4%
Broadcom, Inc. Company Guar. Notes 3.15% due 11/15/2025		20,000		21,663
Broadcom, Inc. Company Guar. Notes 5.00% due 04/15/2030		135,000		159,246
Intel Corp. Senior Notes 2.45% due 11/15/2029		25,000		27,218
Intel Corp. Senior Notes 3.10% due 02/15/2060		5,000		5,435
Intel Corp. Senior Notes 4.10% due 05/19/2046		20,000		24,963
Microchip Technology, Inc. Senior Sec. Notes 2.67% due 09/01/2023*		45,000		46,577
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040		25,000		29,298
				314,400
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 3.85% due 04/01/2060		55,000		64,929
Oracle Corp. Senior Notes 4.00% due 11/15/2047		35,000		41,493
				106,422
Finance-Consumer Loans — 0.0%
Navient Corp. Senior Notes 7.25% due 09/25/2023		23,000		23,748
Finance-Credit Card — 0.1%
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024		35,000		38,097
Mastercard, Inc. Senior Notes 3.35% due 03/26/2030		15,000		17,588
				55,685
Finance-Other Services — 0.2%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		135,000		145,684

Security Description	Principal Amount(15)		Value (Note 2)
Food-Confectionery — 0.0%
Mondelez International, Inc. Senior Notes 1.50% due 05/04/2025	$	15,000	$	15,415
Mondelez International, Inc. Senior Sec. Notes 1.50% due 02/04/2031		25,000		24,370
				39,785
Food-Misc./Diversified — 0.1%
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024		10,000		11,157
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025		5,000		5,805
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028		15,000		18,319
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048		5,000		6,804
Kellogg Co. Senior Notes 3.40% due 11/15/2027		35,000		39,463
				81,548
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 5.95% due 04/01/2030		15,000		19,011
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 3.38% due 08/15/2030		65,000		65,081
Service Corp. International Senior Notes 5.13% due 06/01/2029		51,000		56,515
				121,596
Gas-Distribution — 0.2%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		23,000		24,332
Dominion Energy Gas Holdings LLC Senior Notes 2.50% due 11/15/2024		35,000		37,240
NiSource, Inc. Senior Notes 3.49% due 05/15/2027		25,000		27,863
NiSource, Inc. Senior Notes 3.60% due 05/01/2030		50,000		56,974
				146,409
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		80,000		83,000

55

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Hotels/Motels — 0.1%
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024	$	55,000	$	54,725
Insurance Brokers — 0.2%
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022		25,000		25,867
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		30,000		33,130
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024		20,000		22,157
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029		10,000		12,108
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039		10,000		13,164
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029		10,000		10,776
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		21,843
Willis North America, Inc. Company Guar. Notes 4.50% due 09/15/2028		20,000		23,780
				162,825
Insurance-Life/Health — 0.2%
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030		95,000		110,634
Unum Group Senior Notes 4.00% due 06/15/2029		10,000		10,954
Unum Group Senior Notes 4.50% due 03/15/2025		15,000		16,662
Unum Group Senior Notes 4.50% due 12/15/2049		25,000		24,226
				162,476
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070*		11,000		11,343
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025*		45,000		47,319
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050*		15,000		16,911
				75,573

Security Description	Principal Amount(15)		Value (Note 2)
Insurance-Property/Casualty — 0.0%
Progressive Corp. Senior Notes 3.20% due 03/26/2030	$	25,000	$	28,588
Internet Security — 0.1%
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025*		50,000		51,172
Machinery-General Industrial — 0.1%
Otis Worldwide Corp. Senior Sec. Notes 2.57% due 02/15/2030		110,000		118,220
Medical Instruments — 0.1%
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025		15,000		15,674
Boston Scientific Corp. Senior Notes 3.75% due 03/01/2026		50,000		56,979
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		15,000		17,267
				89,920
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Senior Notes 2.80% due 06/30/2031		15,000		16,156
Medical Products — 0.1%
Baxter International, Inc. Senior Notes 3.95% due 04/01/2030*		15,000		17,970
Zimmer Biomet Holdings, Inc. Senior Notes 3.05% due 01/15/2026		70,000		76,809
				94,779
Medical-Biomedical/Gene — 0.3%
Amgen, Inc. Senior Notes 1.90% due 02/21/2025		10,000		10,468
Amgen, Inc. Senior Notes 2.20% due 02/21/2027		15,000		15,894
Amgen, Inc. Senior Notes 2.30% due 02/25/2031		70,000		73,433
Amgen, Inc. Senior Notes 2.45% due 02/21/2030		25,000		26,498
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		15,000		15,958
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		15,000		16,121

56

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022	$	2,000	$	2,082
Gilead Sciences, Inc. Senior Notes 1.65% due 10/01/2030		60,000		59,896
				220,350
Medical-Drugs — 0.3%
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029*		30,000		33,051
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		30,000		35,615
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042*		20,000		24,344
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029		20,000		23,294
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		55,000		62,525
Pfizer, Inc. Senior Notes 1.70% due 05/28/2030		25,000		25,765
Pfizer, Inc. Senior Notes 2.63% due 04/01/2030		10,000		11,181
Upjohn, Inc. Company Guar. Notes 1.65% due 06/22/2025*		10,000		10,236
Upjohn, Inc. Company Guar. Notes 2.30% due 06/22/2027*		5,000		5,178
				231,189
Medical-HMO — 0.2%
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		31,401
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		13,218
Centene Corp. Senior Notes 3.38% due 02/15/2030		25,000		25,937
Centene Corp. Senior Notes 4.63% due 12/15/2029		15,000		16,180
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030		20,000		20,956
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024		25,000		26,619

Security Description	Principal Amount(15)		Value (Note 2)
Medical-HMO (continued)
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029	$	20,000	$	22,304
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039		15,000		17,232
				173,847
Medical-Hospitals — 0.0%
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029		5,000		5,300
Multimedia — 0.0%
Walt Disney Co. Company Guar. Notes 2.65% due 01/13/2031		35,000		37,788
Non-Hazardous Waste Disposal — 0.0%
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049		5,000		6,361
Office Automation & Equipment — 0.0%
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029		20,000		19,925
Oil Companies-Exploration & Production — 0.0%
Hess Corp. Senior Notes 7.13% due 03/15/2033		9,000		10,843
Hess Corp. Senior Notes 7.30% due 08/15/2031		10,000		12,230
SM Energy Co. Senior Notes 6.13% due 11/15/2022		20,000		15,559
				38,632
Oil Companies-Integrated — 0.1%
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030		15,000		17,208
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040		25,000		30,588
				47,796
Oil Refining & Marketing — 0.1%
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025		40,000		45,203
Phillips 66 Company Guar. Notes 2.15% due 12/15/2030		15,000		14,587
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029		15,000		16,436
				76,226

57

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pharmacy Services — 0.1%
CVS Health Corp Senior Notes 4.13% due 04/01/2040	$	35,000	$	39,864
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		30,000		37,905
				77,769
Pipelines — 0.4%
Energy Transfer Operating LP Company Guar. Notes 4.95% due 06/15/2028		15,000		15,894
Energy Transfer Operating LP Company Guar. Notes 5.15% due 03/15/2045		10,000		9,054
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029		25,000		26,840
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		40,000		40,152
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049		5,000		5,168
Kinder Morgan Energy Partners LP Company Guar. Notes 3.50% due 03/01/2021		25,000		25,179
MPLX LP Senior Notes 1.75% due 03/01/2026		10,000		9,955
MPLX LP Senior Notes 4.13% due 03/01/2027		10,000		10,992
MPLX LP Senior Notes 4.25% due 12/01/2027		15,000		16,812
MPLX LP Senior Notes 4.70% due 04/15/2048		25,000		25,372
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,452
MPLX LP Senior Notes 5.50% due 02/15/2049		5,000		5,616
ONEOK, Inc. Company Guar. Notes 2.20% due 09/15/2025		5,000		4,930
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030		5,000		4,810
ONEOK, Inc. Company Guar. Bonds 4.45% due 09/01/2049		15,000		13,350
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026		15,000		17,251

Security Description	Principal Amount(15)		Value (Note 2)
Pipelines (continued)
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030*	$	25,000	$	28,161
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027		10,000		10,219
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		15,000		15,435
Williams Companies, Inc. Senior Notes 5.80% due 11/15/2043		5,000		5,864
Williams Partners LP Senior Notes 6.30% due 04/15/2040		7,000		8,655
				305,161
Real Estate Investment Trusts — 0.4%
American Tower Corp. Senior Notes 2.40% due 03/15/2025		20,000		21,137
Brixmor Operating Partnership LP Senior Notes 4.05% due 07/01/2030		40,000		42,784
Equinix, Inc. Senior Notes 1.80% due 07/15/2027		5,000		5,047
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031		40,000		41,641
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		20,000		22,273
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028		10,000		11,417
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2050*		40,000		42,809
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047*		75,000		75,911
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		50,000		52,724
VEREIT Operating Partnership LP Company Guar. Notes 3.40% due 01/15/2028		5,000		5,220
				320,963
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.63% due 04/15/2025		40,000		44,604

58

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040	$	55,000	$	62,481
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		10,000		11,468
Lowe's Cos., Inc. Senior Notes 4.55% due 04/05/2049		15,000		19,247
Lowe's Cos., Inc. Senior Bonds 5.00% due 04/15/2040		10,000		13,108
				106,304
Retail-Restaurants — 0.1%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		25,000		26,700
McDonald's Corp. Senior Notes 3.63% due 09/01/2049		25,000		28,071
McDonald's Corp. Senior Notes 4.20% due 04/01/2050		10,000		12,171
				66,942
Schools — 0.1%
Howard University Notes 2.65% due 10/01/2028		5,000		5,090
Howard University Notes 2.80% due 10/01/2030		5,000		5,160
Howard University Notes 2.90% due 10/01/2031		40,000		41,759
				52,009
Semiconductor Components-Integrated Circuits — 0.0%
QUALCOMM, Inc. Senior Notes 4.65% due 05/20/2035		5,000		6,721
QUALCOMM, Inc. Senior Notes 4.80% due 05/20/2045		20,000		26,991
				33,712
Steel-Producers — 0.0%
Steel Dynamics, Inc. Senior Notes 2.80% due 12/15/2024		23,000		24,263
Telephone-Integrated — 0.4%
AT&T, Inc. Senior Notes 3.50% due 02/01/2061		40,000		38,087
AT&T, Inc. Senior Notes 3.55% due 09/15/2055*		59,000		57,181

Security Description	Principal Amount(15)		Value (Note 2)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 3.65% due 09/15/2059*	$	2,000	$	1,965
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		4,000		4,482
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		10,000		11,806
AT&T, Inc. Senior Notes 4.50% due 03/09/2048		18,000		20,657
Verizon Communications, Inc. Senior Notes 3.15% due 03/22/2030		165,000		186,455
Verizon Communications, Inc. Senior Notes 4.00% due 03/22/2050		5,000		6,155
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		10,000		12,467
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		15,000		19,643
				358,898
Television — 0.2%
ViacomCBS, Inc. Senior Notes 4.20% due 05/19/2032		45,000		51,496
ViacomCBS, Inc. Senior Notes 4.95% due 01/15/2031		105,000		126,258
				177,754
Tobacco — 0.3%
Altria Group, Inc. Company Guar. Notes 2.35% due 05/06/2025		10,000		10,566
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		10,000		10,279
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026		10,000		11,552
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029		10,000		11,866
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044		25,000		31,099
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039		20,000		25,594
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049		10,000		13,395

59

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Tobacco (continued)
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028	$	30,000	$	30,149
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024		35,000		36,960
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029		15,000		15,972
Philip Morris International, Inc. Senior Notes 2.10% due 05/01/2030		45,000		46,288
				243,720
Transactional Software — 0.1%
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028*		40,000		40,425
Transport-Rail — 0.1%
Norfolk Southern Corp. Senior Notes 3.40% due 11/01/2049		5,000		5,539
Union Pacific Corp. Senior Notes 2.97% due 09/16/2062*		45,000		44,165
				49,704
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.30% due 03/15/2027		20,000		22,218
FedEx Corp. Company Guar. Notes 4.25% due 05/15/2030		30,000		36,062
				58,280
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024*		30,000		31,829
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025*		25,000		28,163
				59,992
Water — 0.0%
American Water Capital Corp. Senior Notes 2.80% due 05/01/2030		10,000		10,953
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049		15,000		18,769
				29,722
Total U.S. Corporate Bonds & Notes (cost $9,872,117)				10,534,974

Security Description	Principal Amount(15)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES — 0.9%
Cellular Telecom — 0.0%
Vodafone Group PLC Senior Notes 6.15% due 02/27/2037	$	25,000	$	34,449
Diversified Banking Institutions — 0.1%
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027		50,000		56,945
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024		25,000		27,433
				84,378
Diversified Manufacturing Operations — 0.0%
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049		5,000		6,315
Electronic Components-Misc. — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		25,000		26,875
Electronic Components-Semiconductors — 0.0%
NXP BV/NXP Funding LLC/NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029*		17,000		19,596
Medical-Biomedical/Gene — 0.1%
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027*		5,000		5,013
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030*		55,000		54,901
Royalty Pharma PLC Company Guar. Notes 3.30% due 09/02/2040*		10,000		9,917
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050*		10,000		9,698
				79,529
Medical-Drugs — 0.1%
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027*		25,000		26,531
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		11,000		11,199
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		50,000		44,110
				81,840

60

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030	$	55,000	$	56,595
Oil Companies-Integrated — 0.1%
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026		20,000		20,748
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040		30,000		34,173
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050		10,000		11,472
YPF SA Senior Notes 16.50% due 05/09/2022*	ARS	1,419,989		6,196
				72,589
Pipelines — 0.1%
TransCanada PipeLines, Ltd. Senior Notes 4.10% due 04/15/2030		30,000		34,598
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034		10,000		11,809
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038		5,000		5,885
				52,292
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Senior Notes 2.95% due 01/25/2030*		5,000		5,392
Alimentation Couche-Tard, Inc. Senior Notes 3.80% due 01/25/2050*		10,000		10,991
				16,383
Semiconductor Components-Integrated Circuits — 0.1%
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024*		50,000		56,226
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026*		8,000		9,458
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028*		10,000		12,367
				78,051
SupraNational Banks — 0.0%
Inter-American Development Bank Senior Notes 7.25% due 06/10/2021	MXN	715,000		32,665

Security Description	Principal Amount(15)		Value (Note 2)
Telephone-Integrated — 0.1%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036	$	25,000	$	35,961
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026		30,000		30,102
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		14,000		14,884
Nokia Oyj Senior Notes 6.63% due 05/15/2039		20,000		24,776
				39,660
Total Foreign Corporate Bonds & Notes (cost $790,788)				747,280
MUNICIPAL BONDS & NOTES — 0.9%
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029		5,000		5,158
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		15,000		15,121
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		25,000		26,084
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040		10,000		10,815
County of Riverside, CA Revenue Bonds 2.86% due 02/15/2026		70,000		75,088
County of Riverside, CA Revenue Bonds 3.07% due 02/15/2028		70,000		76,085
Florida State Board of Administration Finance Corp Series A Revenue Bonds 1.26% due 07/01/2025		65,000		65,998
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045		30,000		31,225
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049		80,000		87,345
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		29,000		43,183
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035		85,000		94,587

61

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028	$	85,000	$	110,070
State of California General Obligation Bonds 7.30% due 10/01/2039		15,000		24,634
State of Illinois General Obligation Bonds 4.95% due 06/01/2023		46,091		46,895
State of Illinois General Obligation Bonds 5.00% due 01/01/2023		10,000		10,244
State of Illinois General Obligation Bonds 5.56% due 02/01/2021		10,000		10,070
Total Municipal Bonds & Notes (cost $682,548)				732,602
U.S. GOVERNMENT AGENCIES — 16.3%
Federal Home Loan Mtg. Corp. — 0.6%
2.50% due 01/01/2028		3,031		3,208
2.50% due 04/01/2028		9,272		9,807
3.00% due 08/01/2027		2,864		3,009
3.50% due 03/01/2042		4,613		4,998
3.50% due 08/01/2042		22,655		24,432
3.50% due 09/01/2043		14,674		16,154
4.00% due 03/01/2023		9		10
4.00% due 10/01/2043		19,468		21,479
4.50% due 01/01/2039		496		551
5.00% due 05/01/2034		11,132		12,796
5.50% due 07/01/2034		3,636		4,254
5.50% due 05/01/2037		1,259		1,461
6.00% due 08/01/2026		7,123		7,948
6.50% due 05/01/2029		680		763
7.50% due 08/01/2023		20		20
Federal Home Loan Mtg. Corp. FRS 2.36% (6 ML+1.49%) due 02/01/2037		632		655
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(4)(6)(7)		174,833		8,759
Series K064, Class X1 0.74% due 03/25/2027(4)(6)(7)		315,150		11,059
Series K104, Class X1 1.13% due 01/25/2030(4)(6)(7)		169,861		15,148
Series K114, Class X1 1.21% due 06/25/2030(4)(6)(7)		204,976		19,172
Series K111, Class X1 1.68% due 05/25/2030(4)(6)(7)		99,968		12,877

Security Description	Principal Amount(15)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(4)	$	68,000	$	78,215
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(5)		14,376		16,306
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-DNA3, Class M1 0.90% (1 ML+0.75%) due 09/25/2048*(5)		177		177
Series 2018-HRP1, Class M2 1.80% (1 ML+1.65%) due 04/25/2043*(5)		12,638		12,170
Series 2019-HQA3, Class M2 2.00% (1 ML + 1.85%) due 09/25/2049*(5)		24,823		24,268
Series 2019-DNA3, Class M2 2.20% (1 ML + 2.05%) due 07/25/2049*(5)		32,532		31,847
Series 2019-HQA1, Class M2 2.50% (1 ML + 2.35%) due 02/25/2049*(5)		54,294		53,774
Series 2019-DNA2, Class M2 2.60% (1 ML+2.45%) due 03/25/2049*(5)		39,015		38,356
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(5)		25,372		25,754
Series 3964, Class MD 2.00% due 01/15/2041(5)		1,821		1,867
Series 4961, Class JB 2.50% due 12/15/2042(5)		43,933		45,837
Series 3883, Class PB 3.00% due 05/15/2041(5)		14,305		15,462
Series 1577, Class PK 6.50% due 09/15/2023(5)		639		675
Series 1226, Class Z 7.75% due 03/15/2022(5)		59		61
				523,329
Federal National Mtg. Assoc. — 2.3%
2.50% due 02/01/2043		52,832		56,283
2.50% due 03/01/2043		102,877		109,597
2.64% due 03/01/2027		26,759		29,267
2.78% due 03/01/2027		60,239		66,533
2.97% due 06/01/2027		103,490		115,498
3.00% due 12/01/2027		7,035		7,395
3.00% due 01/01/2028		6,447		6,772
4.50% due 01/01/2039		1,667		1,870
4.50% due 06/01/2039		21,426		23,627
4.50% due 09/01/2039		4,599		5,155
4.50% due 05/01/2041		4,085		4,592

62

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
5.00% due 05/01/2035	$	1,298	$	1,489
5.00% due 07/01/2040		29,604		34,088
5.50% due 12/01/2029		1,187		1,319
5.50% due 06/01/2035		80,312		94,447
5.50% due 06/01/2036		40,012		46,957
5.50% due 08/01/2037		8,094		9,399
5.50% due 06/01/2038		5,469		6,347
6.00% due 06/01/2021		3,603		3,622
6.00% due 12/01/2033		4,862		5,744
6.00% due 05/01/2034		3,811		4,510
6.00% due 08/01/2034		782		926
6.00% due 11/01/2038		1,024		1,204
7.00% due 06/01/2037		7,790		9,093
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.25% (1 ML +2.10%) due 06/25/2039*(5)		35,846		35,614
Series 2017-C01, Class 1M2 3.70% (1 ML+3.55%) due 07/25/2029(5)		21,223		21,832
Series 2016-C07, Class 2M2 4.50% (1 ML+4.35%) due 05/25/2029(5)		33,762		34,884
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R03, Class 1M2 2.30% (1 ML+2.15%) due 09/25/2031*(5)		20,508		20,427
Series 2019-HRP1, Class M2 2.30% (1 ML+2.15%) due 11/25/2039*(5)		18,262		16,352
Federal National Mtg. Assoc. FRS 2.33% (12 ML+1.82%) due 10/01/2040		1,350		1,406
2.96% (12 ML+1.57%) due 05/01/2037		1,165		1,215
Series 415, Class A3 STRIPS 3.00% due 11/25/2042(5)		34,501		37,298
Federal National Mtg. Assoc., REMIC VRS Series 2019-M21, Class X3 1.33% due 06/25/2034(4)(6)(7)		368,714		47,158
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(5)		28,986		29,518
Series 2012-128, Class PD 1.50% due 06/25/2042(5)		46,747		47,642
Series 2013-77, Class BP 1.70% due 06/25/2043(5)		24,177		24,567
Series 2011-117, Class MA 2.00% due 08/25/2040(5)		3,063		3,129

Security Description	Principal Amount(15)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Series 2012-21, Class PQ 2.00% due 09/25/2041(5)	$	12,193	$	12,563
Series 2012-18, Class GA 2.00% due 12/25/2041(5)		23,245		24,031
Series 2012-75, Class KC 2.50% due 12/25/2041(5)		23,540		24,310
Series 2016-11, Class GA 2.50% due 03/25/2046(5)		22,245		23,372
Series 2019-54, Class KC 2.50% due 09/25/2049(5)		73,136		76,888
Series 2019-41, Class AC 2.50% due 03/25/2053(5)		35,942		37,195
Series 2015-48, Class QB 3.00% due 02/25/2043(5)		33,012		34,301
Series 2016-38, Class NA 3.00% due 01/25/2046(5)		11,002		11,861
Series 2017-34, Class JK 3.00% due 05/25/2047(5)		16,972		17,580
Series 2017-72, Class B 3.00% due 09/25/2047(5)		29,447		31,620
Series 2017-72, Class CD 3.00% due 09/25/2047(5)		29,788		32,051
Series 2019-45, Class PT 3.00% due 08/25/2049(5)		47,730		51,430
Series 2017-96, Class PA 3.00% due 12/25/2054(5)		55,614		58,591
Series 2012-52, Class PA 3.50% due 05/25/2042(5)		13,673		14,829
Series 2017-26, Class CG 3.50% due 07/25/2044(5)		32,630		34,224
Series 2018-38, Class PC 3.50% due 03/25/2045(5)		23,769		24,420
Series 2018-80, Class GD 3.50% due 12/25/2047(5)		30,971		32,860
Series 2018-23, Class LA 3.50% due 04/25/2048(5)		29,690		32,314
Series 2019-7, Class JA 3.50% due 03/25/2049(5)		29,919		32,264
Series 2019-14, Class CA 3.50% due 04/25/2049(5)		32,173		35,192
Series 2017-35, Class AH 3.50% due 04/25/2053(5)		35,570		36,680
Series 2017-84, Class KA 3.50% due 04/25/2053(5)		22,558		23,239
Series 2019-15, Class AB 3.50% due 05/25/2053(5)		32,404		34,170
Series 2018-72, Class BA 3.50% due 07/25/2054(5)		46,340		48,872
Series 2018-19, Class DC 3.50% due 05/25/2056(5)		16,934		17,781
Series 2018-70, Class HA 3.50% due 10/25/2056(5)		35,460		38,076
Series 2019-12, Class HA 3.50% due 11/25/2057(5)		33,343		36,060
Series 2019-7, Class CA 3.50% due 11/25/2057(5)		29,902		32,424
Series 2019-28, Class JA 3.50% due 06/25/2059(5)		33,268		37,078

63

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Series 2017-49, Class JA 4.00% due 07/25/2053(5)	$	28,177	$	29,503
				1,942,555
Government National Mtg. Assoc. — 4.1%
2.50% due October 30 TBA		350,000		367,283
3.00% due October 30 TBA		525,000		549,702
3.00% due November 30 TBA		400,000		418,438
3.50% due October 30 TBA		600,000		631,758
3.50% due November 30 TBA		600,000		631,945
4.00% due 07/15/2041		16,633		18,075
4.00% due 08/15/2041		5,764		6,336
4.00% due 10/15/2041		8,018		8,634
4.00% due October 30 TBA		675,000		713,436
4.50% due 06/15/2041		65,256		72,009
6.00% due 11/15/2028		10,107		11,641
7.00% due 07/15/2033		4,584		5,324
9.00% due 11/15/2021		18		18
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(5)		37,775		38,234
Series 2015-151, Class BA 1.70% due 10/20/2045(5)		23,518		23,808
Series 2013-37, Class LG 2.00% due 01/20/2042(5)		31,657		32,573
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		375		423
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		3,262		3,785
				3,533,422
Uniform Mtg. Backed Securities — 9.3%
2.00% due October 15 TBA		850,000		883,734
2.00% due October 30 TBA		1,695,000		1,752,471
2.00% due November 30 TBA		1,500,000		1,548,256
2.50% due November 30 TBA		300,000		314,257
3.00% due October 30 TBA		550,000		576,157
3.00% due November 30 TBA		500,000		523,877
3.50% due October 30 TBA		1,075,000		1,133,411
4.00% due October 30 TBA		625,000		666,589
4.50% due October 30 TBA		425,000		459,731
				7,858,483
Total U.S. Government Agencies (cost $13,692,144)				13,857,789
U.S. GOVERNMENT TREASURIES — 9.0%
United States Treasury Bonds — 4.3%
1.00% due 02/15/2048 TIPS(10)		57,779		79,817
1.25% due 05/15/2050		206,000		195,829
2.25% due 08/15/2049		95,000		113,306
2.38% due 11/15/2049		185,000		226,524
2.50% due 02/15/2045		5,000		6,167
2.88% due 08/15/2045		145,000		190,907

Security Description	Shares/ Principal Amount(15)		Value (Note 2)
United States Treasury Bonds (continued)
3.38% due 05/15/2044(11)(12)	$	1,370,000	$	1,937,105
3.63% due 08/15/2043		160,000		233,694
3.63% due 02/15/2044		291,000		426,042
3.75% due 11/15/2043		140,000		208,348
				3,617,739
United States Treasury Notes — 4.7%
0.38% due 01/15/2027 TIPS(10)		176,953		194,724
0.63% due 01/15/2026 TIPS(10)		256,211		282,468
0.63% due 05/15/2030		1,065,000		1,061,838
0.88% due 01/15/2029 TIPS(10)		225,711		262,997
2.75% due 08/31/2025		915,000		1,025,622
2.88% due 09/30/2023		1,110,000		1,200,231
				4,027,880
Total U.S. Government Treasuries (cost $6,961,757)				7,645,619
FOREIGN GOVERNMENT OBLIGATIONS — 0.3%
Sovereign — 0.3%
Dominican Republic Senior Notes 6.40% due 06/05/2049*		150,000		150,525
Government of Romania Bonds 3.62% due 05/26/2030*	EUR	25,000		33,122
Government of Romania Senior Notes 4.00% due 02/14/2051*		36,000		37,080
Government of Romania Senior Notes 4.63% due 04/03/2049	EUR	42,000		59,937
Republic of Hungary Senior Bonds 6.38% due 03/29/2021		10,000		10,281
Republic of Peru Senior Notes 2.39% due 01/23/2026		5,000		5,245
Total Foreign Government Obligations (cost $284,128)				296,190
OPTIONS — PURCHASED†(13) — 0.1%
Over the Counter Put Options on Currency Contracts		26,270,438		59,337
Over the Counter Put Options on Interest Swap Contracts		190,000		13
Total Options — Purchased (cost $146,932)				59,350
ESCROWS AND LITIGATION TRUSTS — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†	$	10,000		120
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)		11,000		1

64

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount(15)			Value (Note 2)
ESCROWS AND LITIGATION TRUSTS (continued)
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)	$	15,000		$	1
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)		8,000			1
Total Escrows And Litigation Trusts (cost $0)					123
Total Long-Term Investment Securities (cost $75,286,904)					90,843,555
SHORT-TERM INVESTMENT SECURITIES — 1.3%
Registered Investment Companies — 1.3%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(14) (cost $1,129,681)		1,129,681			1,129,681
REPURCHASE AGREEMENTS — 5.8%
Bank of America Securities LLC Joint Repurchase Agreement(16)	$	1,055,000			1,055,000
Barclays Capital, Inc. Joint Repurchase Agreement(16)		940,000			940,000
BNP Paribas SA Joint Repurchase Agreement(16)		940,000			940,000
Deutsche Bank AG Joint Repurchase Agreement(16)		1,040,000			1,040,000
RBS Securities, Inc. Joint Repurchase Agreement(16)		995,000			995,000
Total Repurchase Agreements (cost $4,970,000)					4,970,000
TOTAL INVESTMENTS (cost $81,386,585)(17)		114.2	%		96,943,236
Liabilities in excess of other assets		(14.2	)		(12,055,969	)
NET ASSETS		100.0	%	$	84,887,267

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $8,365,162 representing 9.9% of net assets.

(1)  Securities classified as Level 3 (see Note 2).

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		4	$	0	$	3,462	$	865		0.00	%

(3)  Perpetual maturity — maturity date reflects the next call date.

(4)  Commercial Mortgage Backed Security

(5)  Collateralized Mortgage Obligation

(6)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(7)  Interest Only

(8)  Collateralized Loan Obligation

(9)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2020.

(10)  Principal amount of security is adjusted for inflation.

(11)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(12)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

(13)  Options — Purchased

65

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Over the Counter Put Options on Currency Contracts

Issue	Counterparty	Expiration Month	Strike Price		Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.9945 CNY per $1 USD	BNP Paribas SA	September 2021	CNY	7.99	$	6,036	$	36,553	$	24,296	$	(12,257	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.7455 CNY per $1 USD	NatWest Markets PLC	January 2021	CNY	7.75		7,619		33,271		5,539		(27,732	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.0600 CNY per $1 USD	NatWest Markets PLC	July 2021	CNY	8.06		6,827		36,209		21,074		(15,135	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.4845 CNY per $1 USD	NatWest Markets PLC	May 2021	CNY	8.49		5,789		36,139		8,428		(27,711	)
							$	142,172	$	59,337	$	(82,835	)

Over the Counter Put Options on Interest Rate Swap Contracts

Issue	Counterparty	Expiration Month	Strike Rate			Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 1.70% versus 3 Month USD LIBOR-BBA maturing on 11/23/2030	Bank of America, N.A.	November 2020		1.70	%	$	190	$	4,760	$	13	$	(4,747	)

BBA — British Bankers' Association

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(14)  The rate shown is the 7-day yield as of September 30, 2020.

(15)  Denominated in United States dollars unless otherwise indicated.

(16)  See Note 2 for details of Joint Repurchase Agreements.

(17)  See Note 4 for cost of investments on a tax basis.

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

CVR — Contingent Value Rights

DAC — Designated Activity Company

EUR — Euro Currency

MXN — Mexican Peso

SCRT — Seasoned Credit Risk Transfer Trust

STRIPS — Separate Trading of Registered Interest and Principal Securities

REMIC — Real Estate Mortgage Investment Conduit

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

66

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	4	Long	Australian 10 Year Bonds	December 2020	$	422,565	$	428,010	$	5,445
	5	Long	E-Mini Russell 2000 Index	December 2020		369,875		376,100		6,225
	53	Long	U.S. 10 Year Notes	December 2020		7,373,955		7,395,156		21,201
									$	32,871
									Unrealized (Depreciation)
	3	Short	Euro-Bund Futures	December 2020	$	612,441	$	613,848	$	(1,407	)
	1	Short	Euro-OAT Futures	December 2020		196,971		197,616		(645	)
	14	Short	U.S. Treasury 10 Year Ultra Bonds	December 2020		2,227,997		2,238,906		(10,909	)
	6	Short	U.S. Treasury Long Bonds	December 2020		1,056,516		1,057,688		(1,172	)
	53	Short	U.S. Treasury 5 Year Notes	December 2020		6,669,716		6,679,656		(9,940	)
									$	(24,073	)
Net Unrealized Appreciation (Depreciation)									$	8,798

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Goldman Sachs International	MXN	715,000	USD	35,229	06/10/2021	$	3,818	$	—
HSBC Bank USA	EUR	76,000	USD	89,965	12/16/2020		708		—
Standard Chartered Bank	EUR	4,000	USD	4,751	12/16/2020		53		—
Unrealized Appreciation (Depreciation)						$	4,579	$	—

EUR — Euro Currency

MXN — Mexican Peso

USD — United States Dollar

67

Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged		Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency	Upfront Payments Made (Received) by the Portfolio			Unrealized Appreciation (Depreciation)
USD	75	09/16/2050	USD-3 Month-LIBOR-BBA/Quarterly	0.81%/Semi-annually	$	234		$	5,688
USD	265	12/16/2025	USD-3 Month-LIBOR-BBA/Quarterly	0.38%/Semi-annually		(500	)		335
					$	(266	)	$	6,023

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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:
Medical-Biomedical/Gene	$	1,379,235	$	—		$	1,760	$	1,380,995
Television		127,698		—			3,462		131,160
Other Industries		46,859,007		742,671	**		—		47,601,678
Preferred Securities/Capital Securities		—		241,006			—		241,006
Asset Backed Securities		—		7,614,789			—		7,614,789
U.S. Corporate Bonds & Notes		—		10,534,974			—		10,534,974
Foreign Corporate Bonds & Notes		—		747,280			—		747,280
Municipal Bonds & Notes		—		732,602			—		732,602
U.S. Government Agencies		—		13,857,789			—		13,857,789
U.S. Government Treasuries		—		7,645,619			—		7,645,619
Foreign Government Obligations		—		296,190			—		296,190
Options — Purchased		—		59,350			—		59,350
Escrows and Litigation Trusts		—		120			3		123
Short-Term Investment Securities		1,129,681		—			—		1,129,681
Repurchase Agreement		—		4,970,000			—		4,970,000
Total Investments at Value	$	49,495,621	$	47,442,390		$	5,225	$	96,943,236
Other Financial Instruments:†
Futures Contracts	$	32,871	$	—		$	—	$	32,871
Forward Foreign Currency Contracts		—		4,579			—		4,579
Centrally Cleared Interest Rate Swap Contracts		—		6,023			—		6,023
Total Other Financial Instruments	$	32,871	$	10,602		$	—	$	43,473
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	24,073	$	—		$	—	$	24,073

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

68

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Diversified Financial Services	16.0	%
Uniform Mtg. Backed Securities	15.7
Repurchase Agreements	8.6
Government National Mtg. Assoc.	7.0
United States Treasury Bonds	6.8
United States Treasury Notes	5.4
Internet Content-Entertainment	4.3
Federal National Mtg. Assoc.	4.1
Enterprise Software/Service	3.8
Internet Application Software	3.7
Commercial Services-Finance	3.5
Diversified Banking Institutions	3.0
E-Commerce/Products	2.7
Computer Software	2.3
Medical Instruments	1.9
Electric-Integrated	1.8
Municipal Bonds & Notes	1.6
Medical-Drugs	1.5
Applications Software	1.3
Federal Home Loan Mtg. Corp.	1.2
Medical-Biomedical/Gene	1.0
Communications Software	1.0
Cable/Satellite TV	1.0
Registered Investment Companies	1.0
Chemicals-Specialty	0.8
Retail-Discount	0.8
Aerospace/Defense-Equipment	0.8
Telephone-Integrated	0.8
Entertainment Software	0.8
Banks-Super Regional	0.8
Pipelines	0.7
Computer Services	0.7
Electronic Components-Semiconductors	0.7
Cellular Telecom	0.7
Real Estate Investment Trusts	0.6
Brewery	0.6
Containers-Metal/Glass	0.6
Tobacco	0.6
Finance-Other Services	0.5
Coatings/Paint	0.5
Building Products-Cement	0.5
Sovereign	0.5
Computer Aided Design	0.5
Electronic Measurement Instruments	0.4
Aerospace/Defense	0.4
Television	0.4
Diagnostic Equipment	0.3
Insurance-Life/Health	0.3
Insurance Brokers	0.3
Medical-HMO	0.3
E-Commerce/Services	0.3
Retail-Apparel/Shoe	0.3
Gas-Distribution	0.3
Internet Content-Information/News	0.3
Data Processing/Management	0.3
Building-Residential/Commercial	0.3
Electric-Distribution	0.3
Oil Companies-Integrated	0.2
Semiconductor Components-Integrated Circuits	0.2
Machinery-General Industrial	0.2
Decision Support Software	0.2

Broadcast Services/Program	0.2	%
Retail-Building Products	0.2
Funeral Services & Related Items	0.2
Computers	0.2
Medical Products	0.2
Chemicals-Diversified	0.2
Banks-Fiduciary	0.2
Hazardous Waste Disposal	0.2
Food-Misc./Diversified	0.2
Drug Delivery Systems	0.2
Pharmacy Services	0.2
Insurance-Mutual	0.1
Internet Security	0.1
Trucking/Leasing	0.1
Oil Refining & Marketing	0.1
Electric-Transmission	0.1
Transport-Services	0.1
Diversified Manufacturing Operations	0.1
Retail-Restaurants	0.1
Metal-Iron	0.1
Finance-Credit Card	0.1
Hotels/Motels	0.1
Transport-Rail	0.1
Schools	0.1
Oil Companies-Exploration & Production	0.1
Transactional Software	0.1
Food-Confectionery	0.1
Retail-Auto Parts	0.1
Multimedia	0.1
Wireless Equipment	0.1
SupraNational Banks	0.1
Building Products-Air & Heating	0.1
Banks-Commercial	0.1
Finance-Consumer Loans	0.1
Electronic Components-Misc.	0.1
Options Purchased	0.1
Oil-U.S. Royalty Trusts	0.1
Rental Auto/Equipment	0.1
Beverages-Non-alcoholic	0.1
Gold Mining	0.1
Insurance-Property/Casualty	0.1
	123.2	%
Credit Quality†#
Aaa	56.6	%
Aa	1.1
A	9.8
Baa	15.0
Ba	4.0
B	0.3
Caa	0.6
Ca	0.2
Not Rated##	12.4
	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.

69

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.9%
Aerospace/Defense-Equipment — 0.7%
HEICO Corp., Class A		4,312	$	382,302
Applications Software — 1.2%
ServiceNow, Inc.†		1,439		697,915
Building Products-Cement — 0.5%
Martin Marietta Materials, Inc.		1,245		293,023
Chemicals-Specialty — 0.8%
Ecolab, Inc.		2,322		464,028
Coatings/Paint — 0.5%
Sherwin-Williams Co.		413		287,754
Commercial Services-Finance — 3.2%
Adyen NV†*		213		392,528
S&P Global, Inc.		403		145,322
Square, Inc., Class A†		7,660		1,245,133
				1,782,983
Communications Software — 1.0%
Zoom Video Communications, Inc., Class A†		1,225		575,885
Computer Aided Design — 0.5%
Autodesk, Inc.†		1,156		267,048
Computer Software — 2.3%
Slack Technologies, Inc., Class A†		13,103		351,947
Twilio, Inc., Class A†		3,693		912,503
				1,264,450
Containers-Metal/Glass — 0.4%
Ball Corp.		2,380		197,826
Diagnostic Equipment — 0.3%
Danaher Corp.		855		184,107
E-Commerce/Products — 2.6%
Amazon.com, Inc.†		384		1,209,112
Chewy, Inc., Class A†		4,912		269,325
				1,478,437
E-Commerce/Services — 0.3%
Match Group, Inc.†		1,601		177,151
Electronic Measurement Instruments — 0.4%
Roper Technologies, Inc.		596		235,486
Enterprise Software/Service — 3.6%
Coupa Software, Inc.†		2,011		551,497
Veeva Systems, Inc., Class A†		3,365		946,204
Workday, Inc., Class A†		2,403		516,957
				2,014,658
Entertainment Software — 0.8%
Activision Blizzard, Inc.		3,273		264,949
Take-Two Interactive Software, Inc.†		1,054		174,142
				439,091
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		1,301		130,165
Gold Mining — 0.1%
Royal Gold, Inc.		245		29,442

Security Description	Shares/ Principal Amount(13)		Value (Note 2)
Internet Application Software — 3.7%
Okta, Inc.†		4,336	$	927,254
Shopify, Inc., Class A†		1,148		1,174,369
				2,101,623
Internet Content-Entertainment — 4.3%
Facebook, Inc., Class A†		2,397		627,774
Spotify Technology SA†		3,781		917,157
Twitter, Inc.†		19,190		853,955
				2,398,886
Internet Content-Information/News — 0.3%
IAC/InterActiveCorp†		1,405		168,291
Medical Instruments — 1.7%
Intuitive Surgical, Inc.†		1,314		932,336
Medical-Biomedical/Gene — 0.5%
Royalty Pharma PLC, Class A		6,334		266,471
Medical-Drugs — 0.8%
Zoetis, Inc.		2,875		475,438
Oil-U.S. Royalty Trusts — 0.1%
Texas Pacific Land Trust		68		30,706
Retail-Apparel/Shoe — 0.3%
Lululemon Athletica, Inc.†		525		172,919
Retail-Discount — 0.8%
Costco Wholesale Corp.		1,306		463,630
Television — 0.0%
ION Media Networks, Inc.†(1)(2)		10		8,654
Total Common Stocks (cost $11,913,097)				17,920,705
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.4%
Diversified Banking Institutions — 0.4%
Credit Suisse Group AG 6.25% due 12/29/2049*(3) (cost $187,420)	$	200,000		214,228
ASSET BACKED SECURITIES — 16.0%
Diversified Financial Services — 16.0%
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(4)		120,000		133,192
Affirm Asset Securitization Trust Series 2020-Z1, Class A 3.46% due 10/15/2024*		90,149		90,742
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% (1 ML+0.17%) due 01/25/2037(5)		8,136		8,874
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025		40,000		40,734
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(5)(6)		75,244		76,196

70

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(5)(6)	$	26,087	$	26,670
Angel Oak Mtg. Trust LLC VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(5)(6)		107,488		108,124
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.72% (1 ML+1.58%) due 10/25/2034		13,221		13,431
Atrium XII FRS Series 12A, Class AR 1.09% (ML+0.83%) due 04/22/2027*(7)		247,177		245,867
BANK VRS Series 2017-BNK8, Class XA 0.87% due 11/15/2050(4)(6)(8)		988,516		42,519
BANK VRS Series 2019-BN20, Class XA 0.96% due 09/15/2062(4)(6)(8)		995,855		61,379
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6)		74,081		76,718
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6)		50,442		50,960
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(6)		45,254		46,146
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(6)		47,092		48,678
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(6)		47,280		49,227
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6)		57,890		60,191
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 1.00% (1 ML+0.85%) due 08/15/2036*(4)		152,000		147,565
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.51% due 02/25/2036(5)(6)		63,318		57,611
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 1.45% (1 ML+ 1.30%) due 03/25/2029*)		6,181		6,180

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Bellemeade Re, Ltd. FRS Series 2019-4A, Class M1A 1.58% (1 ML + 1.40%) due 10/25/2029*	$	37,196	$	37,128
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(4)(6)(8)		209,064		6,266
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(4)(6)(8)		361,948		10,617
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(4)(6)(8)		996,757		43,635
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.39% due 03/15/2062(4)(6)(8)		338,844		27,415
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.92% due 07/15/2053(4)(6)(8)		99,991		12,200
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 1.02% (3 ML+0.78%) due 04/27/2027*(7)		187,284		185,751
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(5)(6)		64,913		66,352
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.99% (1 Yr USTYCR+2.40%) due 03/25/2036(5)		30,240		29,837
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(5)(6)		41,069		41,445
Commercial Mtg. Trust FRS Series 2019-WCM, Class A 1.05% (1 ML+0.90%) due 10/15/2034*(4)		100,000		99,401
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(4)		125,105		135,635
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(4)		65,000		71,378
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(4)		140,000		147,857
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(4)		143,491		155,304
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(4)		150,000		163,785
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4)		195,000		208,479

71

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)	$	28,058	$	21,774
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.89% due 06/15/2057(4)(6)(8)		1,129,598		31,888
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(4)		95,000		100,461
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(5)(6)		38,415		39,883
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.83% due 09/15/2053(4)(6)(8)		100,989		11,466
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(4)		125,000		136,121
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(4)		85,000		90,451
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(5)(6)		15,076		15,108
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(5)(6)		79,065		80,150
Deephaven Residential Mtg. Trust VRS Series 2019-2A, Class A1 3.56% due 04/25/2059*(5)(6)		47,919		48,476
Domino's Pizza Master Issuer LLC Series 2019-1A, Class A2 3.67% due 10/25/2049*		49,625		52,748
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*		58,800		62,209
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027		35,000		35,829
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025*		85,000		87,065
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025*		25,000		25,653
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.24% due 05/25/2035(5)(6)		48,255		47,398

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Genworth Mtg. Insurance Co. FRS Series 2019-1, Class M1 2.05% (1 ML+1.90%) due 11/26/2029*(5)	$	150,000	$	146,909
GS Mtg. Securities Corp. VRS Series 2018-GS10, Class XA 0.48% due 07/10/2051(4)(6)(8)		1,193,991		28,753
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4)		125,000		124,581
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4)		30,445		35,343
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4)		100,000		100,810
GS Mtg. Securities Trust VRS Series 2020-GC45, Class XA 0.68% due 02/13/2053(4)(6)(8)		999,220		50,528
GS Mtg. Securities Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(4)		97,000		105,148
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(4)		140,000		152,069
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.39% due 04/25/2036(5)(6)		4,613		3,704
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.41% due 03/25/2047(5)(6)		15,731		12,731
Home Re, Ltd. FRS Series 2018-1, Class M1 1.75% (1 ML + 1.60%) due 10/25/2028*(5)		17,756		17,530
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% (1 ML+0.54%) due 05/25/2035(5)		39,210		38,889
JP Morgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(4)		25,000		25,977
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(4)		68,000		74,158
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(5)(9)		91,540		91,858
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(5)(9)		95,067		95,068
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(9)		117,960		119,418

72

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 1.65% (1 ML + 1.50%) due 05/01/2024*	$	79,280	$	78,176
LSTAR Securities Investment, Ltd. FRS Series 2019-3, Class A1 1.65% (1 ML+1.50%) due 04/01/2024*		73,284		73,049
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.70% due 12/25/2034(5)(6)		13,827		13,862
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.78% due 02/25/2035(5)(6)		9,213		9,448
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9)		53,658		53,807
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.15% due 12/15/2047(4)(6)(8)		237,429		7,607
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.58% due 06/15/2050(4)(6)(8)		121,644		7,701
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4)		105,000		106,738
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		27,879		18,647
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% (1 ML+0.28%) due 10/25/2035(5)		63,332		63,408
New Residential Advance Receivables Trust Series 2019-T4, Class AT4 2.33% due 10/15/2051*		100,000		100,718
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A1A 4.00% due 12/25/2057*(5)(6)		59,758		64,514
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 0.90% (1 ML + 0.75%) due 01/25/2048*(5)		74,216		74,051
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.65% (1 ML+1.50%) due 06/25/2057*(5)		57,804		57,836

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
New Residential Mtg. Loan Trust VRS Series 2019-NQM4, Class A1 2.49% due 09/25/2059*(5)(6)	$	78,580	$	79,995
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(5)(6)		75,127		78,666
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(5)(6)		57,349		61,957
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(5)(6)		51,871		55,768
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(5)(6)		92,548		100,281
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(5)(6)		94,669		102,421
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(5)(6)		75,488		81,564
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(5)(6)		57,128		62,451
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(5)(6)		82,002		88,399
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)(6)		17,622		18,289
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		49,834		50,008
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		50,235		50,661
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 1.55% (1 M + 1.40%) due 07/25/2029*		7,561		7,558
OCP CLO, Ltd. FRS Series 2015-9A, Class A1R 1.08% (3 ML+0.80%) due 07/15/2027*(7)		119,980		119,736
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 1.12% (3 ML+0.85%) due 04/17/2027*(7)		65,881		65,761

73

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
OnDeck Asset Securitization Trust II LLC Series 2019-1A, Class A 2.65% due 11/18/2024*	$	13,464	$	13,464
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		43,869		43,949
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% (1 ML+0.10%) due 02/25/2037		33,089		20,895
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 1.32% (3 ML+1.05%) due 04/30/2027*(7)		227,583		226,296
Preston Ridge Partners Mtg. Series 2020-3, Class A1 2.86% due 09/25/2025*(5)		100,000		99,998
Radnor RE, Ltd. FRS Series 2019-2, Class M1A 1.35% (1 ML+1.2%) due 06/25/2029*		9,986		9,978
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% (1 ML+0.13%) due 05/25/2037		82,199		67,237
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(4)		95,000		95,638
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026*		9,633		9,704
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.40% (1 ML+0.25%) due 11/25/2036		200,000		184,636
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		119,134		119,290
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(6)		102,541		105,175
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(6)		41,607		42,774
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(6)		93,281		97,005
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(4)		80,000		83,474

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Vericrest Opportunity Loan Trust Series 2020-NPL2, Class A1A 2.98% due 02/25/2050*(9)	$	77,582	$	77,589
Vericrest Opportunity Loan Trust Series 2020-NPL5, Class A1A 2.98% due 03/25/2050*(9)		73,942		73,894
Vericrest Opportunity Loan Trust Series 2019-NPL7, Class A1A 3.18% due 10/25/2049*(9)		48,943		49,038
Vericrest Opportunity Loan Trust Series 2019-NPL8, Class A1A 3.28% due 11/25/2049*(9)		70,155		70,219
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(9)		68,722		68,751
VOLT LXXXVII LLC Series 2020-NPL3, Class A1A 2.98% due 02/25/2050*(9)		80,390		80,391
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.11% due 09/15/2057(4)(6)(8)		703,690		27,352
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(4)		105,000		113,906
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.28% due 05/15/2048(4)(6)		10,000		9,446
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.94% due 10/25/2036(5)(6)		17,153		15,617
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*		48,625		51,185
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024*		60,000		61,413
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		71,770		72,234
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.99% due 02/15/2044*(4)(6)(8)		341,003		10
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(4)		145,280		156,967
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(4)		55,111		60,192
Total Asset Backed Securities (cost $8,731,694)				8,904,437

74

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 21.5%
Aerospace/Defense — 0.4%
Boeing Co. Senior Notes 3.25% due 02/01/2035	$	10,000	$	9,400
Boeing Co. Senior Notes 5.04% due 05/01/2027		15,000		16,514
Boeing Co. Senior Notes 5.15% due 05/01/2030		40,000		44,960
General Dynamics Corp. Company Guar. Bonds 4.25% due 04/01/2040		15,000		18,872
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040		35,000		47,047
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038		20,000		24,627
Raytheon Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		6,531
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025		35,000		39,775
Raytheon Technologies Corp. Senior Notes 3.65% due 08/16/2023		2,000		2,161
				209,887
Aerospace/Defense-Equipment — 0.1%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		25,000		27,428
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023		40,000		43,306
				70,734
Agricultural Operations — 0.0%
Archer-Daniels-Midland Co. Senior Notes 3.25% due 03/27/2030		15,000		17,195
Applications Software — 0.1%
Microsoft Corp. Senior Bonds 2.68% due 06/01/2060		13,000		13,713
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		17,000		22,392
				36,105
Auto-Cars/Light Trucks — 0.0%
General Motors Co. Senior Notes 6.13% due 10/01/2025		15,000		17,425
Banks-Commercial — 0.1%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		35,000		36,284

Security Description	Principal Amount(13)		Value (Note 2)
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.10% due 10/24/2024	$	35,000	$	37,040
State Street Corp. Senior Notes 2.35% due 11/01/2025		40,000		42,342
State Street Corp. Senior Notes 2.90% due 03/30/2026*		15,000		16,310
				95,692
Banks-Super Regional — 0.8%
Fifth Third Bancorp Senior Notes 2.38% due 01/28/2025		30,000		31,774
PNC Financial Services Group, Inc. Senior Notes 2.20% due 11/01/2024		60,000		63,469
Wells Fargo & Co. Senior Notes 2.41% due 10/30/2025		50,000		52,356
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		32,659
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		135,000		147,567
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		45,000		46,414
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024		40,000		43,461
Wells Fargo & Co. Senior Notes 5.01% due 04/04/2051		5,000		6,843
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		10,000		13,649
				438,192
Beverages-Non-alcoholic — 0.1%
PepsiCo, Inc. Senior Notes 3.63% due 03/19/2050		25,000		30,307
Brewery — 0.6%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		55,000		58,576
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		10,000		11,925
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		20,000		24,384

75

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039	$	75,000	$	97,098
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		30,000		31,072
Constellation Brands, Inc. Senior Notes 2.88% due 05/01/2030		30,000		32,392
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029		33,000		36,023
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		41,000		46,359
Constellation Brands, Inc. Company Guar. Notes 4.65% due 11/15/2028		5,000		6,018
				343,847
Broadcast Services/Program — 0.2%
Discovery Communications LLC Company Guar. Notes 3.63% due 05/15/2030		10,000		11,111
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		21,000		22,877
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024		35,000		38,795
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055*		40,000		40,612
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049		10,000		12,221
				125,616
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031*		15,000		14,805
Building Products-Air & Heating — 0.1%
Carrier Global Corp. Senior Notes 2.70% due 02/15/2031*		25,000		26,046
Carrier Global Corp. Senior Notes 2.72% due 02/15/2030*		10,000		10,460
				36,506
Building-Residential/Commercial — 0.3%
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		95,000		108,300
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		30,000		33,000
				141,300

Security Description	Principal Amount(13)		Value (Note 2)
Cable/Satellite TV — 1.0%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.25% due 02/01/2031*	$	15,000	$	15,547
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030*		30,000		31,501
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		55,000		62,542
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049		10,000		11,595
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048		10,000		12,476
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		25,000		33,531
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		5,000		5,553
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039		35,000		38,977
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		5,000		5,563
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040		40,000		46,779
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		15,000		18,422
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		10,000		12,425
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		15,000		19,172
Comcast Corp. Company Guar. Notes 4.70% due 10/15/2048		5,000		6,668
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058		15,000		21,493

76

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*	$	85,000	$	91,460
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		21,000		21,525
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		25,000		27,157
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		45,000		56,073
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		20,000		26,589
				565,048
Casino Hotels — 0.0%
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026		20,000		20,267
Cellular Telecom — 0.6%
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028*		70,000		71,667
T-Mobile USA, Inc. Senior Sec. Notes 3.30% due 02/15/2051*		15,000		14,861
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025*		45,000		49,379
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030*		55,000		62,404
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050*		15,000		17,995
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		90,000		94,050
				310,356
Chemicals-Diversified — 0.2%
Dow Chemical Co. Senior Notes 3.60% due 11/15/2050		25,000		25,305
Dow Chemical Co. Senior Notes 4.80% due 05/15/2049		10,000		11,934
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023		60,000		65,884
				103,123
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047		10,000		12,423

Security Description	Principal Amount(13)		Value (Note 2)
Commercial Services-Finance — 0.3%
Equifax, Inc. Senior Notes 2.60% due 12/15/2025	$	20,000	$	21,353
Equifax, Inc. Senior Notes 3.10% due 05/15/2030		5,000		5,447
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030		35,000		37,450
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029		10,000		10,907
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		75,000		81,563
				156,720
Computer Services — 0.7%
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028*		35,000		35,929
International Business Machines Corp. Senior Notes 1.95% due 05/15/2030		100,000		103,167
International Business Machines Corp. Senior Notes 3.00% due 05/15/2024		215,000		232,886
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025*		20,000		22,183
				394,165
Computers — 0.2%
Apple, Inc. Senior Notes 2.20% due 09/11/2029		55,000		59,148
Apple, Inc. Senior Notes 3.45% due 02/09/2045		15,000		17,512
HP, Inc. Senior Notes 2.20% due 06/17/2025		20,000		20,950
HP, Inc. Senior Notes 3.00% due 06/17/2027		20,000		21,622
				119,232
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		15,000		15,173
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 3.10% due 03/26/2030		15,000		17,207

77

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Metal/Glass — 0.2%
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023	$	125,000	$	132,687
Data Processing/Management — 0.3%
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029		17,000		20,006
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		10,000		11,982
Fiserv, Inc. Senior Notes 2.25% due 06/01/2027		120,000		126,743
				158,731
Decision Support Software — 0.2%
MSCI, Inc. Company Guar. Notes 3.88% due 02/15/2031*		30,000		31,266
MSCI, Inc. Company Guar. Notes 5.38% due 05/15/2027*		90,000		96,075
				127,341
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		10,000		10,577
Diversified Banking Institutions — 2.5%
Bank of America Corp. Senior Notes 2.46% due 10/22/2025		35,000		36,901
Bank of America Corp. Senior Notes 3.37% due 01/23/2026		105,000		114,604
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		70,000		79,155
Bank of America Corp. Senior Notes 4.08% due 03/20/2051		95,000		117,642
Bank of America Corp. Senior Notes 4.44% due 01/20/2048(6)		5,000		6,510
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		55,000		71,949
Citigroup, Inc. Senior Notes 2.31% due 11/04/2022		40,000		40,733
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022		25,000		26,063
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		35,000		38,608

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025	$	80,000	$	86,554
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030(6)		15,000		17,267
Citigroup, Inc. Senior Notes 4.41% due 03/31/2031		30,000		35,962
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		10,000		11,596
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		7,000		9,152
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		85,000		88,172
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		35,000		52,286
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		24,000		34,870
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031		35,000		37,552
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041		15,000		16,271
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051		5,000		5,366
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		90,000		96,674
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		34,880
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		50,000		56,241
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030		45,000		51,646
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		40,000		43,331
Morgan Stanley Senior Notes 2.50% due 04/21/2021		30,000		30,363
Morgan Stanley Senior Notes 2.63% due 11/17/2021		15,000		15,375
Morgan Stanley Senior Notes 2.70% due 01/22/2031		55,000		58,586
Morgan Stanley Senior Notes 3.13% due 07/27/2026		30,000		33,212

78

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 3.59% due 07/22/2028	$	50,000	$	56,235
Morgan Stanley Senior Notes 4.00% due 07/23/2025		20,000		22,605
				1,426,361
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 3.63% due 05/01/2030		30,000		31,069
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		25,000		25,240
				56,309
Drug Delivery Systems — 0.2%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		80,000		86,578
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.50% due 06/03/2030		65,000		66,336
Electric-Distribution — 0.3%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		25,000		29,197
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048		5,000		6,151
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048		20,000		25,322
Oglethorpe Power Corp. 1st Mtg. Bonds 3.75% due 08/01/2050*		5,000		4,980
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048		20,000		23,646
Sempra Energy Senior Notes 3.40% due 02/01/2028		30,000		32,994
Sempra Energy Senior Notes 3.80% due 02/01/2038		10,000		11,195
Sempra Energy Senior Notes 4.00% due 02/01/2048		5,000		5,639
				139,124
Electric-Integrated — 1.8%
AES Corp. Senior Sec. Notes 3.30% due 07/15/2025*		25,000		26,634

Security Description	Principal Amount(13)		Value (Note 2)
Electric-Integrated (continued)
Alabama Power Co. Senior Notes 4.15% due 08/15/2044	$	20,000	$	24,429
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		15,000		17,008
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029		20,000		20,284
Cleco Corporate Holdings LLC Senior Notes 3.74% due 05/01/2026		5,000		5,334
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		10,000		14,904
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		35,000		39,313
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		15,000		17,666
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044		45,000		57,100
Evergy Metro, Inc. 1st Mtg. Bonds 2.25% due 06/01/2030		5,000		5,294
Evergy, Inc. Senior Notes 2.45% due 09/15/2024		15,000		15,879
Evergy, Inc. Senior Notes 2.90% due 09/15/2029		30,000		32,199
Exelon Corp. Senior Notes 3.95% due 06/15/2025		40,000		45,087
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026		5,000		4,969
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030		10,000		9,780
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049		5,000		6,402
Georgia Power Co. Senior Notes 2.10% due 07/30/2023		30,000		31,317
Georgia Power Co. Senior Notes 4.30% due 03/15/2042		30,000		35,908
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		30,000		32,618
IPALCO Enterprises, Inc. Senior Sec. Notes 4.25% due 05/01/2030*		75,000		84,859

79

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050	$	25,000	$	27,704
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048		9,000		10,623
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 2.25% due 06/01/2030		25,000		25,888
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031		75,000		71,360
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049		5,000		6,244
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050		5,000		6,263
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046		5,000		6,063
Public Service Enterprise Group, Inc. Senior Notes 1.60% due 08/15/2030		50,000		49,163
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024		35,000		37,448
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025		40,000		42,811
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030*		30,000		33,487
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029		15,000		15,760
Southern California Edison Co. 1st Mtg. Bonds 3.65% due 02/01/2050		25,000		25,833
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047		10,000		10,730
Southern California Edison Co. 1st Mtg. Notes Class C 4.13% due 03/01/2048		5,000		5,499
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,627
Southern Co. Senior Notes 3.25% due 07/01/2026		30,000		33,476
Southern Co. Senior Notes 3.70% due 04/30/2030		35,000		39,981

Security Description	Principal Amount(13)		Value (Note 2)
Electric-Integrated (continued)
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048	$	5,000	$	6,147
				992,091
Electric-Transmission — 0.1%
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030*		45,000		48,390
Oncor Electric Delivery Co. LLC Senior Sec. Notes 3.10% due 09/15/2049		5,000		5,495
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029		10,000		13,149
				67,034
Electronic Components-Semiconductors — 0.7%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027		2,000		2,216
Broadcom, Inc. Company Guar. Notes 3.15% due 11/15/2025		20,000		21,663
Broadcom, Inc. Company Guar. Notes 4.25% due 04/15/2026		36,000		40,558
Broadcom, Inc. Company Guar. Notes 5.00% due 04/15/2030		145,000		171,042
Intel Corp. Senior Notes 3.10% due 02/15/2060		10,000		10,871
Intel Corp. Senior Notes 4.10% due 05/19/2046		20,000		24,962
Microchip Technology, Inc. Senior Sec. Notes 2.67% due 09/01/2023*		55,000		56,927
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040		30,000		35,158
				363,397
Enterprise Software/Service — 0.2%
Oracle Corp. Senior Notes 3.85% due 04/01/2060		70,000		82,636
Oracle Corp. Senior Notes 4.00% due 11/15/2047		30,000		35,566
				118,202
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 7.25% due 09/25/2023		32,000		33,040

80

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Credit Card — 0.1%
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024	$	40,000	$	43,539
Mastercard, Inc. Senior Notes 3.35% due 03/26/2030		15,000		17,589
				61,128
Finance-Other Services — 0.3%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		160,000		172,662
Food-Confectionery — 0.1%
Mondelez International, Inc. Senior Notes 1.50% due 05/04/2025		20,000		20,553
Mondelez International, Inc. Senior Sec. Notes 1.50% due 02/04/2031		25,000		24,370
				44,923
Food-Misc./Diversified — 0.2%
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024		15,000		16,735
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025		5,000		5,805
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028		15,000		18,319
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048		5,000		6,804
Kellogg Co. Senior Notes 3.40% due 11/15/2027		40,000		45,101
				92,764
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 5.95% due 04/01/2030		15,000		19,011
Funeral Services & Related Items — 0.2%
Service Corp. International Senior Notes 3.38% due 08/15/2030		55,000		55,069
Service Corp. International Senior Notes 5.13% due 06/01/2029		62,000		68,704
				123,773
Gas-Distribution — 0.3%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		30,000		31,737

Security Description	Principal Amount(13)		Value (Note 2)
Gas-Distribution (continued)
Dominion Energy Gas Holdings LLC Senior Notes 2.50% due 11/15/2024	$	40,000	$	42,561
NiSource, Inc. Senior Notes 3.49% due 05/15/2027		25,000		27,863
NiSource, Inc. Senior Notes 3.60% due 05/01/2030		60,000		68,368
				170,529
Hazardous Waste Disposal — 0.2%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		90,000		93,375
Hotels/Motels — 0.1%
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		60,000		59,700
Insurance Brokers — 0.3%
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022		30,000		31,041
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		40,000		44,173
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024		20,000		22,157
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029		10,000		12,108
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039		10,000		13,164
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029		15,000		16,164
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		21,843
Willis North America, Inc. Company Guar. Notes 4.50% due 09/15/2028		20,000		23,780
				184,430
Insurance-Life/Health — 0.3%
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030		105,000		122,279
Unum Group Senior Notes 4.00% due 06/15/2029		15,000		16,432
Unum Group Senior Notes 4.50% due 03/15/2025		20,000		22,216

81

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Life/Health (continued)
Unum Group Senior Notes 4.50% due 12/15/2049	$	25,000	$	24,226
				185,153
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070*		11,000		11,343
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025*		50,000		52,576
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050*		15,000		16,911
				80,830
Insurance-Property/Casualty — 0.1%
Progressive Corp. Senior Notes 3.20% due 03/26/2030		25,000		28,588
Internet Security — 0.1%
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025*		70,000		71,640
Machinery-General Industrial — 0.2%
Otis Worldwide Corp. Senior Sec. Notes 2.57% due 02/15/2030		120,000		128,968
Medical Instruments — 0.2%
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025		20,000		20,899
Boston Scientific Corp. Senior Notes 3.75% due 03/01/2026		55,000		62,677
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028		20,000		23,022
				106,598
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Senior Notes 2.80% due 06/30/2031		15,000		16,156
Medical Products — 0.2%
Baxter International, Inc. Senior Notes 3.95% due 04/01/2030*		15,000		17,970
Zimmer Biomet Holdings, Inc. Senior Notes 3.05% due 01/15/2026		80,000		87,782
				105,752

Security Description	Principal Amount(13)		Value (Note 2)
Medical-Biomedical/Gene — 0.4%
Amgen, Inc. Senior Notes 1.90% due 02/21/2025	$	10,000	$	10,468
Amgen, Inc. Senior Notes 2.20% due 02/21/2027		20,000		21,192
Amgen, Inc. Senior Notes 2.30% due 02/25/2031		80,000		83,923
Amgen, Inc. Senior Notes 2.45% due 02/21/2030		20,000		21,199
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		15,000		15,958
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		20,000		21,495
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		2,000		2,082
Gilead Sciences, Inc. Senior Notes 1.65% due 10/01/2030		70,000		69,878
				246,195
Medical-Drugs — 0.5%
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029*		35,000		38,560
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		35,000		41,551
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042*		20,000		24,344
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029		25,000		29,118
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		60,000		68,209
Pfizer, Inc. Senior Notes 1.70% due 05/28/2030		25,000		25,765
Pfizer, Inc. Senior Notes 2.63% due 04/01/2030		10,000		11,181
Upjohn, Inc. Company Guar. Notes 1.65% due 06/22/2025*		10,000		10,236
Upjohn, Inc. Company Guar. Notes 2.30% due 06/22/2027*		10,000		10,355
				259,319

82

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO — 0.3%
Anthem, Inc. Senior Notes 4.63% due 05/15/2042	$	30,000	$	37,681
Centene Corp. Senior Notes 3.38% due 02/15/2030		30,000		31,125
Centene Corp. Senior Notes 4.63% due 12/15/2029		15,000		16,180
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030		25,000		26,195
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024		25,000		26,619
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029		20,000		22,304
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039		20,000		22,976
				183,080
Medical-Hospitals — 0.0%
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029		5,000		5,300
Multimedia — 0.1%
Walt Disney Co. Company Guar. Notes 2.65% due 01/13/2031		40,000		43,187
Non-Hazardous Waste Disposal — 0.0%
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049		5,000		6,361
Office Automation & Equipment — 0.0%
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029		20,000		19,925
Oil Companies-Exploration & Production — 0.1%
Hess Corp. Senior Notes 7.13% due 03/15/2033		3,000		3,614
Hess Corp. Senior Notes 7.30% due 08/15/2031		20,000		24,460
SM Energy Co. Senior Notes 6.13% due 11/15/2022		25,000		19,449
				47,523
Oil Companies-Integrated — 0.1%
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030		15,000		17,207

Security Description	Principal Amount(13)		Value (Note 2)
Oil Companies-Integrated (continued)
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040	$	30,000	$	36,706
				53,913
Oil Refining & Marketing — 0.1%
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025		35,000		39,553
Phillips 66 Company Guar. Notes 2.15% due 12/15/2030		15,000		14,587
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029		15,000		16,435
				70,575
Pharmacy Services — 0.2%
CVS Health Corp Senior Notes 4.13% due 04/01/2040		35,000		39,864
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		35,000		44,222
				84,086
Pipelines — 0.6%
Energy Transfer Operating LP Company Guar. Notes 4.95% due 06/15/2028		15,000		15,894
Energy Transfer Operating LP Company Guar. Notes 5.15% due 03/15/2045		10,000		9,054
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029		30,000		32,208
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		50,000		50,190
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049		5,000		5,168
Kinder Morgan Energy Partners LP Company Guar. Notes 3.50% due 03/01/2021		30,000		30,214
MPLX LP Senior Notes 1.75% due 03/01/2026		15,000		14,932
MPLX LP Senior Notes 4.13% due 03/01/2027		10,000		10,992
MPLX LP Senior Notes 4.25% due 12/01/2027		20,000		22,416
MPLX LP Senior Notes 4.70% due 04/15/2048		25,000		25,373

83

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
MPLX LP Senior Notes 5.20% due 03/01/2047	$	5,000	$	5,452
MPLX LP Senior Notes 5.20% due 12/01/2047		5,000		5,501
ONEOK, Inc. Company Guar. Notes 2.20% due 09/15/2025		5,000		4,930
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030		5,000		4,810
ONEOK, Inc. Company Guar. Bonds 4.45% due 09/01/2049		15,000		13,350
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026		15,000		17,251
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030*		30,000		33,794
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027		10,000		10,219
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		20,000		20,579
Williams Companies, Inc. Senior Notes 5.80% due 11/15/2043		5,000		5,864
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045		3,000		3,364
Williams Partners LP Senior Notes 6.30% due 04/15/2040		8,000		9,892
				351,447
Real Estate Investment Trusts — 0.6%
American Tower Corp. Senior Notes 2.40% due 03/15/2025		20,000		21,137
Brixmor Operating Partnership LP Senior Notes 4.05% due 07/01/2030		45,000		48,132
Equinix, Inc. Senior Notes 1.80% due 07/15/2027		5,000		5,047
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031		45,000		46,846
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		20,000		22,273

Security Description	Principal Amount(13)		Value (Note 2)
Real Estate Investment Trusts (continued)
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028	$	15,000	$	17,125
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2050*		40,000		42,809
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047*		85,000		86,032
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		60,000		63,269
VEREIT Operating Partnership LP Company Guar. Notes 3.40% due 01/15/2028		10,000		10,441
				363,111
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 3.88% due 02/15/2031		30,000		30,450
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.63% due 04/15/2025		40,000		44,604
Retail-Building Products — 0.2%
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040		65,000		73,841
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		5,000		5,734
Lowe's Cos., Inc. Senior Notes 4.55% due 04/05/2049		20,000		25,664
Lowe's Cos., Inc. Senior Bonds 5.00% due 04/15/2040		15,000		19,662
				124,901
Retail-Restaurants — 0.1%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		15,000		16,020
McDonald's Corp. Senior Notes 3.63% due 09/01/2049		30,000		33,685
McDonald's Corp. Senior Notes 4.20% due 04/01/2050		10,000		12,171
				61,876
Schools — 0.1%
Howard University Notes 2.65% due 10/01/2028		10,000		10,179

84

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Schools (continued)
Howard University Notes 2.80% due 10/01/2030	$	5,000	$	5,160
Howard University Notes 2.90% due 10/01/2031		25,000		26,100
Howard University Notes 3.48% due 10/01/2041		10,000		10,189
				51,628
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 4.65% due 05/20/2035		10,000		13,441
QUALCOMM, Inc. Senior Notes 4.80% due 05/20/2045		20,000		26,992
				40,433
Steel-Producers — 0.0%
Steel Dynamics, Inc. Senior Notes 2.80% due 12/15/2024		25,000		26,373
Telephone-Integrated — 0.7%
AT&T, Inc. Senior Notes 3.50% due 02/01/2061		40,000		38,087
AT&T, Inc. Senior Notes 3.55% due 09/15/2055*		71,000		68,811
AT&T, Inc. Senior Notes 3.65% due 09/15/2059*		2,000		1,965
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		4,000		4,482
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		15,000		17,710
AT&T, Inc. Senior Notes 4.50% due 03/09/2048		18,000		20,657
Verizon Communications, Inc. Senior Notes 3.15% due 03/22/2030		125,000		141,254
Verizon Communications, Inc. Senior Notes 4.00% due 03/22/2050		10,000		12,311
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		31,000		38,238
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		50,000		62,334
				405,849

Security Description	Principal Amount(13)		Value (Note 2)
Television — 0.4%
ViacomCBS, Inc. Senior Notes 4.20% due 05/19/2032	$	35,000	$	40,052
ViacomCBS, Inc. Senior Notes 4.95% due 01/15/2031		130,000		156,320
				196,372
Tobacco — 0.5%
Altria Group, Inc. Company Guar. Notes 2.35% due 05/06/2025		10,000		10,566
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		20,558
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026		15,000		17,327
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029		10,000		11,866
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044		30,000		37,319
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039		20,000		25,594
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049		5,000		6,698
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028		30,000		30,149
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024		40,000		42,241
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029		20,000		21,296
Philip Morris International, Inc. Senior Notes 2.10% due 05/01/2030		50,000		51,431
				275,045
Transactional Software — 0.1%
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028*		45,000		45,478
Transport-Rail — 0.1%
Norfolk Southern Corp. Senior Notes 3.40% due 11/01/2049		5,000		5,539
Union Pacific Corp. Senior Notes 2.97% due 09/16/2062*		50,000		49,072
				54,611

85

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.30% due 03/15/2027	$	20,000	$	22,218
FedEx Corp. Company Guar. Notes 4.25% due 05/15/2030		35,000		42,073
				64,291
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024*		35,000		37,134
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025*		30,000		33,796
				70,930
Water — 0.0%
American Water Capital Corp. Senior Notes 2.80% due 05/01/2030		5,000		5,477
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049		15,000		18,769
				24,246
Total U.S. Corporate Bonds & Notes (cost $11,316,720)				12,102,506
FOREIGN CORPORATE BONDS & NOTES — 1.4%
Cellular Telecom — 0.1%
Vodafone Group PLC Senior Notes 6.15% due 02/27/2037		30,000		41,339
Diversified Banking Institutions — 0.1%
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027		60,000		68,334
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024		10,000		10,973
				79,307
Diversified Manufacturing Operations — 0.0%
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049		5,000		6,315
Electronic Components-Misc. — 0.1%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		30,000		32,250
Electronic Components-Semiconductors — 0.0%
NXP BV/NXP Funding LLC/NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029*		10,000		11,527

Security Description	Principal Amount(13)		Value (Note 2)
Medical-Biomedical/Gene — 0.1%
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027*	$	5,000	$	5,013
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030*		60,000		59,892
Royalty Pharma PLC Company Guar. Notes 3.30% due 09/02/2040*		15,000		14,876
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050*		10,000		9,697
				89,478
Medical-Drugs — 0.2%
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027*		30,000		31,837
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		14,000		14,253
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		55,000		48,522
				94,612
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030		60,000		61,740
Oil Companies-Exploration & Production — 0.0%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		0		0
Oil Companies-Integrated — 0.1%
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026		20,000		20,748
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040		30,000		34,174
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050		15,000		17,207
YPF SA Senior Notes 16.50% due 05/09/2022*	ARS	1,657,987		7,234
				79,363
Pipelines — 0.1%
TransCanada PipeLines, Ltd. Senior Notes 4.10% due 04/15/2030		30,000		34,598
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034		15,000		17,714

86

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038	$	5,000	$	5,885
				58,197
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Senior Notes 2.95% due 01/25/2030*		5,000		5,392
Alimentation Couche-Tard, Inc. Senior Notes 3.80% due 01/25/2050*		10,000		10,991
				16,383
Semiconductor Components-Integrated Circuits — 0.1%
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024*		55,000		61,848
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026*		15,000		17,734
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028*		10,000		12,367
				91,949
SupraNational Banks — 0.1%
Inter-American Development Bank Senior Notes 7.25% due 06/10/2021	MXN	800,000		36,548
Telephone-Integrated — 0.1%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		30,000		43,154
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026		30,000		30,102
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		15,000		15,947
Nokia Oyj Senior Notes 6.63% due 05/15/2039		20,000		24,776
				40,723
Total Foreign Corporate Bonds & Notes (cost $865,913)				812,987
MUNICIPAL BONDS & NOTES — 1.6%
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029		5,000		5,159
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		15,000		15,121

Security Description	Principal Amount(13)		Value (Note 2)
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029	$	30,000	$	31,301
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040		10,000		10,815
County of Riverside, CA Revenue Bonds 2.96% due 02/15/2027		80,000		86,578
County of Riverside, CA Revenue Bonds 3.07% due 02/15/2028		80,000		86,954
Florida State Board of Administration Finance Corp Series A Revenue Bonds 1.26% due 07/01/2025		75,000		76,151
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045		35,000		36,429
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049		95,000		103,722
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		34,000		50,629
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035		100,000		111,279
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028		100,000		129,494
State of California General Obligation Bonds 7.30% due 10/01/2039		20,000		32,845
State of California General Obligation Bonds 7.63% due 03/01/2040		5,000		8,655
State of Connecticut General Obligation Bonds 3.00% due 07/01/2021		5,000		5,097
State of Illinois General Obligation Bonds 4.95% due 06/01/2023		49,636		50,502
State of Illinois General Obligation Bonds 5.00% due 01/01/2023		10,000		10,244
State of Illinois General Obligation Bonds 5.56% due 02/01/2021		10,000		10,070

87

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of Illinois General Obligation Bonds 5.95% due 04/01/2022	$	20,000	$	21,102
Total Municipal Bonds & Notes (cost $821,930)				882,147
U.S. GOVERNMENT AGENCIES — 28.0%
Federal Home Loan Mtg. Corp. — 1.2%
2.50% due 01/01/2028		7,072		7,485
2.50% due 04/01/2028		15,896		16,812
3.00% due 08/01/2027		24,930		26,240
3.50% due 03/01/2042		7,207		7,810
3.50% due 08/01/2042		39,646		42,755
3.50% due 09/01/2043		26,414		29,076
4.00% due 03/01/2023		19		20
4.00% due 09/01/2040		2,623		2,880
4.00% due 10/01/2043		38,935		42,958
4.50% due 01/01/2039		968		1,074
5.00% due 12/01/2020		124		130
5.00% due 05/01/2021		541		570
5.00% due 07/01/2021		219		231
5.00% due 05/01/2034		20,630		23,711
5.50% due 05/01/2037		3,947		4,582
5.50% due 06/01/2037		2,163		2,513
6.50% due 05/01/2029		1,021		1,145
6.50% due 07/01/2035		1,328		1,535
Federal Home Loan Mtg. Corp. FRS 2.36% (6 ML+1.49%) due 02/01/2037		1,150		1,191
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(4)		79,000		90,867
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(4)(6)(8)		199,809		10,010
Series K064, Class X1 0.74% due 03/25/2027(4)(6)(8)		369,317		12,959
Series K104, Class X1 1.13% due 01/25/2030(4)(6)(8)		189,845		16,930
Series K114, Class X1 1.21% due 06/25/2030(4)(6)(8)		229,973		21,510
Series K111, Class X1 1.68% due 05/25/2030(4)(6)(8)		99,968		12,878
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058		19,168		21,741
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 1.80% (1 ML+1.65%) due 04/25/2043*		12,638		12,170

Security Description	Principal Amount(13)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Series 2019-HQA3, Class M2 2.00% (1 ML + 1.85%) due 09/25/2049*	$	39,007	$	38,135
Series 2019-DNA3, Class M2 2.20% (1 ML + 2.05%) due 07/25/2049*		35,785		35,032
Series 2019-HQA1, Class M2 2.50% (1 ML + 2.35%) due 02/25/2049*		65,153		64,529
Series 2019-DNA2, Class M2 2.60% (1 ML+2.45%) due 03/25/2049*		41,802		41,096
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(5)		29,216		29,657
Series 3964, Class MD 2.00% due 01/15/2041(5)		3,522		3,610
Series 4961, Class JB 2.50% due 12/15/2042		49,422		51,564
Series 3883, Class PB 3.00% due 05/15/2041		16,322		17,642
Series 1577, Class PK 6.50% due 09/15/2023(5)		958		1,012
Series 1226, Class Z 7.75% due 03/15/2022(5)		85		88
				694,148
Federal National Mtg. Assoc. — 4.1%
2.50% due 04/01/2028		27,739		29,008
2.50% due 02/01/2043		52,832		56,283
2.50% due 03/01/2043		100,538		107,106
2.66% due 03/01/2027		406,472		446,910
3.00% due 10/01/2027		10,793		11,344
3.00% due 12/01/2027		8,442		8,874
3.00% due 01/01/2028		17,192		18,060
4.00% due 11/01/2025		2,535		2,689
4.50% due 01/01/2039		3,335		3,740
4.50% due 09/01/2039		8,623		9,666
4.50% due 09/01/2040		15,892		17,887
4.50% due 05/01/2041		7,602		8,545
5.00% due 05/01/2035		175		201
5.00% due 07/01/2040		12,935		14,891
5.50% due 10/01/2021		831		841
5.50% due 06/01/2022		832		852
5.50% due 12/01/2029		2,454		2,725
5.50% due 05/01/2034		9,197		10,369
5.50% due 08/01/2037		16,189		18,797
5.50% due 06/01/2038		3,418		3,967
6.00% due 06/01/2026		6,461		7,202
6.00% due 04/01/2027		36,907		41,133
6.00% due 12/01/2033		13,260		15,664
6.00% due 05/01/2034		8,041		9,517
6.50% due 06/01/2035		13,407		14,995
6.50% due 10/01/2037		1,393		1,566
7.00% due 06/01/2037		8,097		9,452

88

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Federal National Mtg. Assoc. FRS 2.33% (12 ML+1.82%) due 10/01/2040	$	2,576	$	2,685
2.96% (12 ML+1.57%) due 05/01/2037		2,066		2,155
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R03, Class 1M2 2.30% (1 ML+2.15%) due 09/25/2031*		20,508		20,427
Series 2019-HRP1, Class M2 2.30% (1 ML+2.15%) due 11/25/2039*		21,914		19,623
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(5)		33,817		34,438
Series 2012-128, Class PD 1.50% due 06/25/2042(5)		53,636		54,662
Series 2013-77, Class BP 1.70% due 06/25/2043		28,046		28,498
Series 2011-117, Class MA 2.00% due 08/25/2040(5)		4,442		4,537
Series 2012-21, Class PQ 2.00% due 09/25/2041(5)		13,301		13,705
Series 2012-18, Class GA 2.00% due 12/25/2041(5)		26,151		27,035
Series 2012-75, Class KC 2.50% due 12/25/2041(5)		27,027		27,912
Series 2016-11, Class GA 2.50% due 03/25/2046(5)		26,289		27,622
Series 2019-54, Class KC 2.50% due 09/25/2049(5)		81,741		85,934
Series 2019-41, Class AC 2.50% due 03/25/2053(5)		41,692		43,146
Series 2015-48, Class QB 3.00% due 02/25/2043(5)		37,257		38,711
Series 2016-38, Class NA 3.00% due 01/25/2046(5)		11,002		11,861
Series 2017-34, Class JK 3.00% due 05/25/2047(5)		19,582		20,283
Series 2017-72, Class B 3.00% due 09/25/2047(5)		34,801		37,369
Series 2017-72, Class CD 3.00% due 09/25/2047(5)		34,753		37,393
Series 2019-45, Class PT 3.00% due 08/25/2049(5)		53,343		57,479
Series 2017-96, Class PA 3.00% due 12/25/2054(5)		65,428		68,930
Series 2012-52, Class PA 3.50% due 05/25/2042(5)		15,951		17,301
Series 2017-26, Class CG 3.50% due 07/25/2044(5)		37,292		39,113
Series 2018-38, Class PC 3.50% due 03/25/2045(5)		26,851		27,586

Security Description	Principal Amount(13)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Series 2018-80, Class GD 3.50% due 12/25/2047(5)	$	34,986	$	37,120
Series 2018-23, Class LA 3.50% due 04/25/2048(5)		34,170		37,189
Series 2019-7, Class JA 3.50% due 03/25/2049(5)		36,567		39,434
Series 2019-14, Class CA 3.50% due 04/25/2049(5)		35,748		39,103
Series 2017-35, Class AH 3.50% due 04/25/2053(5)		40,313		41,570
Series 2017-84, Class KA 3.50% due 04/25/2053(5)		25,781		26,559
Series 2019-15, Class AB 3.50% due 05/25/2053(5)		36,006		37,968
Series 2018-72, Class BA 3.50% due 07/25/2054(5)		49,429		52,130
Series 2018-19, Class DC 3.50% due 05/25/2056(5)		20,615		21,647
Series 2018-70, Class HA 3.50% due 10/25/2056(5)		37,823		40,613
Series 2019-12, Class HA 3.50% due 11/25/2057(5)		37,220		40,254
Series 2019-7, Class CA 3.50% due 11/25/2057(5)		36,309		39,372
Series 2019-28, Class JA 3.50% due 06/25/2059(5)		36,595		40,785
Series 2017-49, Class JA 4.00% due 07/25/2053(5)		30,739		32,185
Series 415, Class A3 STRIPS 3.00% due 11/25/2042		39,206		42,384
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.25% (1 ML +2.10%) due 06/25/2039*		39,431		39,175
Series 2017-C01, Class 1M2 3.70% (1 ML+3.55%) due 07/25/2029		24,760		25,471
Series 2016-C07, Class 2M2 4.50% (1 ML+4.35%) due 05/25/2029		39,469		40,781
				2,294,429
Government National Mtg. Assoc. — 7.0%
2.50% due October 30 TBA		150,000		157,529
2.50% due October 30 TBA		100,000		104,734
3.00% due October 30 TBA		550,000		575,878
3.00% due November 30 TBA		500,000		523,047
3.50% due October 30 TBA		810,000		852,873
3.50% due November 30 TBA		700,000		737,269
4.00% due 09/15/2040		10,710		11,624
4.00% due 11/15/2040		38,275		41,415
4.00% due October 30 TBA		650,000		690,612
4.50% due 02/15/2039		4,152		4,584
4.50% due 08/15/2041		69,617		77,087
5.50% due 05/15/2036		4,732		5,228

89

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
6.00% due 09/15/2032	$	6,363	$	7,533
6.00% due 12/15/2033		21,703		25,872
7.00% due 07/15/2033		4,754		5,521
7.00% due 11/15/2033		5,655		6,683
8.00% due 11/15/2031		1,448		1,454
9.00% due 11/15/2021		19		19
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(5)		43,254		43,779
Series 2015-151, Class BA 1.70% due 10/20/2045(5)		26,458		26,784
Series 2013-37, Class LG 2.00% due 01/20/2042		34,931		35,942
Series 2005-74, Class HA 7.50% due 09/16/2035(5)		37		40
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		3,742		4,227
				3,939,734
Uniform Mtg. Backed Securities — 15.7%
2.00% due October 15 TBA		1,000,000		1,039,688
2.00% due October 30 TBA		1,800,000		1,861,031
2.00% due November 30 TBA		1,800,000		1,857,907
2.50% due November 30 TBA		225,000		235,693
3.00% due October 30 TBA		600,000		628,535
3.00% due November 30 TBA		600,000		628,652
3.50% due October 30 TBA		1,025,000		1,080,694
4.00% due October 30 TBA		665,000		709,251
4.50% due October 30 TBA		425,000		459,730
5.00% due October 30 TBA		300,000		328,723
				8,829,904
Total U.S. Government Agencies (cost $15,568,997)				15,758,215
U.S. GOVERNMENT TREASURIES — 12.2%
United States Treasury Bonds — 6.8%
1.00% due 02/15/2048 (TIPS)(10)		68,284		94,329
1.25% due 05/15/2050		292,000		277,583
2.25% due 08/15/2049		135,000		161,014
2.50% due 02/15/2045(11)		213,000		262,722
2.88% due 08/15/2045		220,000		289,652
3.00% due 11/15/2045		170,000		228,869
3.13% due 05/15/2048		110,000		153,321
3.38% due 05/15/2044(12)		1,675,000		2,368,358
				3,835,848
United States Treasury Notes — 5.4%
0.38% due 01/15/2027 TIPS(10)		198,401		218,327
0.63% due 01/15/2026 TIPS(10)		294,370		324,537
0.88% due 01/15/2029 TIPS(10)		251,360		292,884
0.63% due 05/15/2030		985,000		982,076

Security Description	Shares/ Principal Amount(13)		Value (Note 2)
United States Treasury Notes (continued)
0.63% due 08/15/2030	$	430,000	$	427,615
2.75% due 08/31/2025		685,000		767,815
				3,013,254
Total U.S. Government Treasuries (cost $6,165,115)				6,849,102
FOREIGN GOVERNMENT OBLIGATIONS — 0.5%
Sovereign — 0.5%
Government of Macedonia Senior Notes 3.68% due 06/03/2026*	EUR	100,000		125,587
Government of Romania Bonds 3.62% due 05/26/2030*	EUR	30,000		39,746
Government of Romania Senior Notes 4.00% due 02/14/2051*		36,000		37,080
Government of Romania Senior Notes 4.63% due 04/03/2049	EUR	42,000		59,938
Republic of Hungary Senior Bonds 6.38% due 03/29/2021		16,000		16,449
Republic of Peru Senior Notes 2.39% due 01/23/2026		10,000		10,490
Total Foreign Government Obligations (cost $260,926)				289,290
OPTIONS — PURCHASED†(14) — 0.1%
Over the Counter Put Options on Currency Contracts		14,263,411		32,071
Over the Counter Put Options on Interest Swap Contracts		210,000		14
Total Options — Purchased (cost $82,539)				32,085
ESCROWS AND LITIGATION TRUSTS — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		19,000		228
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)		26,000		2
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)		16,000		2
Total Escrows And Litigation Trusts (cost $0)				234
Total Long-Term Investment Securities (cost $55,914,351)				63,765,936

90

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(13)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 1.0%
Registered Investment Companies — 1.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.02%(15) (cost $559,707)	$	559,707		$	559,707
REPURCHASE AGREEMENTS — 8.6%
Bank of America Securities LLC Joint Repurchase Agreement(16)		1,025,000			1,025,000
Barclays Capital, Inc. Joint Repurchase Agreement(16)		915,000			915,000
BNP Paribas SA Joint Repurchase Agreement(16)		915,000			915,000
Deutsche Bank AG Joint Repurchase Agreement(16)		1,010,000			1,010,000
RBS Securities, Inc. Joint Repurchase Agreement(16)		965,000			965,000
Total Repurchase Agreements (cost $4,830,000)					4,830,000
TOTAL INVESTMENTS (cost $61,304,058)(17)		123.2	%		69,155,643
Liabilities in excess of other assets		(23.2	)		(13,015,508	)
NET ASSETS		100.0	%	$	56,140,135

†  Non-income producing security

*    Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $9,545,280 representing 17.0% of net assets.

(1)  Securities classified as Level 3 (see Note 2).

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction

on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		10	$	0	$	8,564	$	865.45		0.00	%

(3)  Perpetual maturity — maturity date reflects the next call date.

(4)  Commercial Mortgage Backed Security

(5)  Collateralized Mortgage Obligation

(6)    Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(7)  Collateralized Loan Obligation

(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, 2020.

(10)  Principal amount of security is adjusted for inflation.

(11)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(12)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

(13)  Denominated in United States dollars unless otherwise indicated.

(14)  Options — Purchased

91

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Over the Counter Put Options on Currency Contracts

Issue	Counterparty	Expiration Month	Strike Price		Notional Amount(000's)		Value at Premiums Paid		Unrealized September 30, 2020		Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.9945 CNY per $1 USD	BNP Paribas SA	September 2021	CNY	7.99	$	3,231	$	19,564	$	13,004	$	(6,560	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.7455 CNY per $1 USD	NatWest Markets PLC	January 2021	CNY	7.75		4,109		17,943		2,987		(14,956	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.0600 CNY per $1 USD	NatWest Markets PLC	July 2021	CNY	8.06		3,678		19,508		11,354		(8,154	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.4845 CNY per $1 USD	NatWest Markets PLC	May 2021	CNY	8.49		3,246		20,263		4,726		(15,537	)
							$	77,278	$	32,071	$	(45,207	)

Over the Counter Put Options on Interest Rate Swap Contracts

Issue	Counterparty	Expiration Month	Strike Rate			Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 1.70% versus 3 Month USD LIBOR-BBA maturing on 11/23/2030	Bank of America, N.A.	November 2020		1.70	%	$	210	$	5,261	$	14	$	(5,247	)

BBA — British Bankers' Association

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(15)  The rate shown is the 7-day yield as of September 30, 2020.

(16)  See Note 2 for details of Joint Repurchase Agreements.

(17)  See Note 4 for cost of investments on a tax basis.

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EUR — Euro Currency

MXN — Mexican Peso

REMIC — Real Estate Mortgage Investment Conduit

SCRT — Seasoned Credit Risk Transfer Trust

STRIPS — Separate Trading of Registered Interest and Principal Securities

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

92

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	4	Long	Australian 10 Year Bonds	December 2020	$	422,565	$	428,010	$	5,445
	30	Long	U.S. Treasury 10 Year Notes	December 2020		4,174,111		4,185,937		11,826
									$	17,271
									Unrealized (Depreciation)
	3	Short	Euro-Bund Futures	December 2020	$	612,441	$	613,848	$	(1,407	)
	1	Short	Euro-OAT Futures	December 2020		196,972		197,616		(644	)
	25	Short	U.S. Treasury 5 Year Notes	December 2020		3,146,092		3,150,781		(4,689	)
	10	Short	U.S. Treasury 10 Year Ultra Notes	December 2020		1,591,469		1,599,219		(7,750	)
	6	Short	U.S. Treasury Long Bonds	December 2020		1,056,516		1,057,688		(1,172	)
									$	(15,662	)
Net Unrealized Appreciation (Depreciation)									$	1,609

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Goldman Sachs International	MXN	800,000	USD	39,417	06/10/2021	$	4,271	$	—
HSBC Bank USA	EUR	183,000	USD	216,625	12/16/2020		1,706		—
Standard Chartered Bank	EUR	12,000	USD	14,252	12/16/2020		159		—
Unrealized Appreciation (Depreciation)						$	6,136	$	—

EUR — Euro Currency

MXN — Mexican Peso

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged		Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency	Upfront Payments Made (Received) by the Portfolio			Unrealized Appreciation (Depreciation)
USD	290	12/16/2025	USD-3 Month-LIBOR-BBA/Quarterly	0.38%/Semi-annually	$	(547	)	$	367
USD	60	12/16/2030	USD-3 Month-LIBOR-BBA/Quarterly	0.75%/Semi-annually		(153	)		29
USD	135	09/16/2050	USD-3 Month-LIBOR-BBA/Quarterly	0.81%/Semi-annually		421			10,238
					$	(279	)	$	10,634

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

93

Seasons Series Trust SA Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs			Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Television	$	—	$	—		$	8,654	$	8,654
Other Industries		17,519,523		392,528	**		—		17,912,051
Preferred Securities/Capital Securities		—		214,228			—		214,228
Asset Backed Securities		—		8,904,437			—		8,904,437
U.S. Corporate Bonds & Notes		—		12,102,506			—		12,102,506
Foreign Corporate Bonds & Notes		—		812,987			—		812,987
Municipal Bond & Notes		—		882,147			—		882,147
U.S. Government Agencies		—		15,758,215			—		15,758,215
U.S. Government Treasuries		—		6,849,102			—		6,849,102
Foreign Government Obligations		—		289,290			—		289,290
Options — Purchased		—		32,085			—		32,085
Escrows and Litigation Trusts		—		228			6		234
Short-Term Investment Securities		559,707		—			—		559,707
Repurchase Agreements		—		4,830,000			—		4,830,000
Total Investments at Value	$	18,079,230	$	51,067,753		$	8,660	$	69,155,643
Other Financial Instruments:†
Futures Contracts	$	17,271	$	—		$	—	$	17,271
Forward Foreign Currency Contracts		—		6,136			—		6,136
Centrally Cleared Interest Rate Swap Contracts		—		10,634			—		10,634
Total Other Financial Instruments	$	17,271	$	16,770		$	—	$	34,041
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	15,662	$	—		$	—	$	15,662

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

94

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Uniform Mtg. Backed Securities	20.8	%
Diversified Financial Services	19.9
United States Treasury Bonds	9.6
Repurchase Agreements	8.9
Government National Mtg. Assoc.	8.4
United States Treasury Notes	5.8
Federal National Mtg. Assoc.	4.8
Diversified Banking Institutions	4.0
Electric-Integrated	2.2
Internet Content-Entertainment	2.2
Enterprise Software/Service	2.2
Commercial Services-Finance	1.9
Internet Application Software	1.9
Municipal Bonds & Notes	1.9
E-Commerce/Products	1.6
Federal Home Loan Mtg. Corp.	1.5
Cable/Satellite TV	1.3
Medical-Drugs	1.2
Computer Software	1.2
Medical Instruments	1.2
Pipelines	1.0
Banks-Super Regional	1.0
Medical-Biomedical/Gene	0.9
Telephone-Integrated	0.9
Real Estate Investment Trusts	0.9
Computer Services	0.8
Cellular Telecom	0.8
Brewery	0.8
Sovereign	0.7
Applications Software	0.7
Tobacco	0.7
Electronic Components-Semiconductors	0.6
Aerospace/Defense-Equipment	0.6
Communications Software	0.5
Finance-Other Services	0.5
Registered Investment Companies	0.5
Containers-Metal/Glass	0.5
Insurance-Life/Health	0.5
Aerospace/Defense	0.5
Television	0.4
Medical-HMO	0.4
Chemicals-Specialty	0.4
Retail-Discount	0.4
Entertainment Software	0.4
Insurance Brokers	0.4
Gas-Distribution	0.4
Data Processing/Management	0.4
Electric-Distribution	0.3
Building-Residential/Commercial	0.3
Coatings/Paint	0.3
Semiconductor Components-Integrated Circuits	0.3
Machinery-General Industrial	0.3
Decision Support Software	0.3
Oil Companies-Integrated	0.3
Retail-Building Products	0.3
Funeral Services & Related Items	0.3
Building Products-Cement	0.3
Computers	0.3
Computer Aided Design	0.3
Banks-Fiduciary	0.2
Medical Products	0.2

Chemicals-Diversified	0.2	%
Broadcast Services/Program	0.2
Electronic Measurement Instruments	0.2
Food-Misc./Diversified	0.2
Hazardous Waste Disposal	0.2
Drug Delivery Systems	0.2
Diagnostic Equipment	0.2
Pharmacy Services	0.2
Insurance-Mutual	0.2
Internet Security	0.2
Trucking/Leasing	0.2
Oil Refining & Marketing	0.2
E-Commerce/Services	0.2
Retail-Apparel/Shoe	0.2
Retail-Restaurants	0.2
Internet Content-Information/News	0.2
Diversified Manufacturing Operations	0.1
Electric-Transmission	0.1
Finance-Credit Card	0.1
Hotels/Motels	0.1
Metal-Iron	0.1
Transport-Rail	0.1
Transport-Services	0.1
Oil Companies-Exploration & Production	0.1
Schools	0.1
Transactional Software	0.1
Food-Confectionery	0.1
Retail-Auto Parts	0.1
Multimedia	0.1
Banks-Commercial	0.1
Wireless Equipment	0.1
SupraNational Banks	0.1
Electronic Components-Misc.	0.1
Building Products-Air & Heating	0.1
Rental Auto/Equipment	0.1
Insurance-Property/Casualty	0.1
Steel-Producers	0.1
Finance-Consumer Loans	0.1
Beverages-Non-alcoholic	0.1
Water	0.1
	128.7	%
Credit Quality†#
Aaa	54.3	%
Aa	0.8
A	9.5
Baa	14.3
Ba	4.3
B	0.3
Caa	0.5
Ca	0.2
Not Rated##	15.8
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

#  Calculated as a percentage of total debt issues, excluding short-term securities.

##  Represents debt issues that either have no rating, or the rating is unavailable from the data source.

95

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 16.6%
Aerospace/Defense-Equipment — 0.4%
HEICO Corp., Class A		1,704	$	151,077
Applications Software — 0.6%
ServiceNow, Inc.†		569		275,965
Building Products-Cement — 0.3%
Martin Marietta Materials, Inc.		494		116,268
Chemicals-Specialty — 0.4%
Ecolab, Inc.		918		183,453
Coatings/Paint — 0.3%
Sherwin-Williams Co.		163		113,569
Commercial Services-Finance — 1.6%
Adyen NV†*		84		154,800
S&P Global, Inc.		159		57,335
Square, Inc., Class A†		3,027		492,039
				704,174
Communications Software — 0.5%
Zoom Video Communications, Inc., Class A†		484		227,533
Computer Aided Design — 0.3%
Autodesk, Inc.†		457		105,572
Computer Software — 1.2%
Slack Technologies, Inc., Class A†		5,178		139,081
Twilio, Inc., Class A†		1,459		360,504
				499,585
Containers-Metal/Glass — 0.2%
Ball Corp.		941		78,216
Diagnostic Equipment — 0.2%
Danaher Corp.		338		72,782
E-Commerce/Products — 1.4%
Amazon.com, Inc.†		152		478,607
Chewy, Inc., Class A†		1,941		106,425
				585,032
E-Commerce/Services — 0.2%
Match Group, Inc.†		633		70,041
Electronic Measurement Instruments — 0.2%
Roper Technologies, Inc.		235		92,851
Enterprise Software/Service — 1.9%
Coupa Software, Inc.†		795		218,021
Veeva Systems, Inc., Class A†		1,330		373,983
Workday, Inc., Class A†		949		204,158
				796,162
Entertainment Software — 0.4%
Activision Blizzard, Inc.		1,294		104,749
Take-Two Interactive Software, Inc.†		417		68,897
				173,646
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc.		514		51,426
Gold Mining — 0.0%
Royal Gold, Inc.		97		11,657
Internet Application Software — 1.9%
Okta, Inc.†		1,713		366,325
Shopify, Inc., Class A†		453		463,405
				829,730

Security Description	Shares/ Principal Amount (17)		Value (Note 2)
Internet Content-Entertainment — 2.2%
Facebook, Inc., Class A†		947	$	248,019
Spotify Technology SA†		1,494		362,400
Twitter, Inc.†		7,583		337,443
				947,862
Internet Content-Information/News — 0.2%
IAC/InterActiveCorp†		555		66,478
Medical Instruments — 0.9%
Intuitive Surgical, Inc.†		519		368,251
Medical-Biomedical/Gene — 0.2%
Royalty Pharma PLC, Class A		2,503		105,301
Medical-Drugs — 0.4%
Zoetis, Inc.		1,136		187,860
Oil-U.S. Royalty Trusts — 0.0%
Texas Pacific Land Trust		27		12,192
Retail-Apparel/Shoe — 0.2%
Lululemon Athletica, Inc.†		207		68,180
Retail-Discount — 0.4%
Costco Wholesale Corp.		516		183,180
Television — 0.0%
ION Media Networks, Inc.†(1)(2)		4		3,462
Total Common Stocks (cost $4,698,454)				7,081,505
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7%
Diversified Banking Institutions — 0.7%
Credit Suisse Group AG 6.25% due 12/18/2024(3) (cost $254,242)	$	275,000		294,563
ASSET BACKED SECURITIES — 19.9%
Diversified Financial Services — 19.9%
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(8)		120,000		133,192
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% (1 ML+0.17%) due 01/25/2037(4)		9,735		10,617
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025		40,000		40,734
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(4)(5)		26,087		26,670
Angel Oak Mtg. Trust LLC VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(4)(5)		98,141		98,722
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.72% (1 ML+1.58%) due 10/25/2034		2,644		2,686
Atrium XII FRS Series 12A, Class AR 1.09% (3 ML+0.83%) due 04/22/2027*(6)		247,177		245,867

96

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
BANK VRS Series 2017-BNK8, Class XA 0.87% due 11/15/2050(5)(7)(8)	$	988,516	$	42,519
BANK VRS Series 2019-BN20, Class XA 0.96% due 09/15/2062(5)(7)(8)		995,855		61,379
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5)		74,081		76,718
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5)		50,442		50,960
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(5)		45,254		46,146
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(5)		47,092		48,678
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(5)		47,280		49,227
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5)		60,302		62,699
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 1.00% (1 ML+0.85%) due 08/15/2036*(8)		153,000		148,536
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.51% due 02/25/2036(4)(5)		75,248		68,465
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 1.45% (1 ML+ 1.30%) due 03/25/2029*(4)		6,181		6,180
Bellemeade Re, Ltd. FRS Series 2019-4A, Class M1A 1.58% (1 ML + 1.40%) due 10/25/2029*(4)		37,196		37,128
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(5)(7)(8)		211,045		6,325
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(5)(7)(8)		361,948		10,617
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(5)(7)(8)		996,757		43,635
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.39% due 03/15/2062(5)(7)(8)		315,923		25,561

Security Description	Principal Amount (17)		Value (Note 2)
Diversified Financial Services (continued)
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.92% due 07/15/2053(5)(7)(8)	$	99,991	$	12,200
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 2.70% (1 ML + 2.55%) due 12/15/2037*(8)		100,000		95,187
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(5)		64,913		66,352
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(8)		75,000		81,574
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.99% (1 Yr USTYCR+2.40%) due 03/25/2036(4)		33,390		32,945
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(4)(5)		41,069		41,445
Columbia Cent, Ltd. FRS Series 2018-27A, Class A1 1.39% (3 ML+1.15%) due 10/25/2028*(6)		250,000		248,781
Commercial Mtg. Trust FRS Series 2019-WCM, Class A 1.05% (1 ML+0.90%) due 10/15/2034*(5)(8)		100,000		99,401
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(8)		75,000		82,359
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(8)		155,000		163,699
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(8)		143,546		155,363
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(8)		149,000		162,693
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		30,648		23,783
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.89% due 06/15/2057(5)(7)(8)		1,120,710		31,637
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(8)		90,000		95,174
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(5)		38,415		39,883
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.83% due 09/15/2053(5)(7)(8)		99,989		11,353
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(8)		125,000		136,121

97

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(8)	$	85,000	$	90,451
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(4)(5)		15,076		15,108
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(4)(5)		76,136		77,181
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*		58,800		62,209
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027		35,000		35,829
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025*		80,000		81,943
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025*		25,000		25,653
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.24% due 05/25/2035(4)(5)		53,770		52,815
Genworth Mtg. Insurance Co. FRS Series 2019-1, Class M1 2.05% (1 ML+1.90%) due 11/26/2029*(4)		150,000		146,909
GS Mtg. Securities Corp. VRS Series 2018-GS10, Class XA 0.48% due 07/10/2051(5)(7)(8)		1,119,491		26,959
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(8)		160,000		159,463
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(8)		40,000		46,435
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(8)		100,000		100,810
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(8)		140,000		152,069
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.39% due 04/25/2036(4)(5)		5,535		4,445
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.41% due 03/25/2047(4)(5)		15,731		12,731
Home Re, Ltd. FRS Series 2018-1, Class M1 1.75% (1 ML + 1.60%) due 10/25/2028*(4)		17,756		17,529
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% (1 ML+0.54%) due 05/25/2035(4)		41,077		40,741

Security Description	Principal Amount (17)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(8)	$	25,000	$	25,977
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(8)		85,000		94,010
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(4)(9)		91,540		91,858
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(4)(9)		95,067		95,068
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(9)		117,960		119,418
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 1.65% (1 ML + 1.50%) due 05/01/2024*(4)		79,280		78,176
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 1.85% (1 ML+1.70%) due 03/01/2024*(4)		54,153		53,519
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.70% due 12/25/2034(4)(5)		14,665		14,702
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.78% due 02/25/2035(4)(5)		8,774		8,998
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9)		54,169		54,319
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.15% due 12/15/2047(5)(7)(8)		237,429		7,607
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(8)		25,000		27,274
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.58% due 06/15/2050(5)(7)(8)		126,510		8,009
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(8)		105,000		106,738
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		25,649		17,156
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% (1 ML+0.28%) due 10/25/2035(4)		66,042		66,121

98

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
New Residential Advance Receivables Trust Series 2019-T4, Class AT4 2.33% due 10/15/2051*	$	100,000	$	100,718
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A1A 4.00% due 12/25/2057*(4)(5)		59,758		64,514
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 0.90% (1 ML + 0.75%) due 01/25/2048*(4)(5)		71,657		71,497
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.65% (1 ML+1.50%) due 06/25/2057*(4)		58,182		58,214
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(4)(5)		75,127		78,666
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(5)		55,437		59,892
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(5)		51,918		55,819
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(5)		93,413		101,218
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(5)		96,923		104,859
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(5)		75,488		81,564
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(5)		57,128		62,451
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(4)(5)		82,002		88,399
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(5)		8,585		8,910
NRZ Excess Spread — Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		49,834		50,008

Security Description	Principal Amount (17)		Value (Note 2)
Diversified Financial Services (continued)
NRZ Excess Spread — Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*	$	50,235	$	50,661
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 1.55% (1 M + 1.40%) due 07/25/2029*(4)		7,561		7,558
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 1.12% (3 ML+0.85%) due 04/17/2027*(6)		65,881		65,761
OnDeck Asset Securitization Trust II LLC Series 2019-1A, Class A 2.65% due 11/18/2024*		13,464		13,464
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		43,553		43,633
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% (1 ML+0.10%) due 02/25/2037		39,982		25,248
PMT Credit Risk Transfer Trust FRS Series 2019-1R, Class A 2.15% (1 ML+2.00%) due 03/27/2024*(4)		67,802		61,022
Preston Ridge Partners Mtg. Series 2020-3, Class A1*(4)(9)		100,000		99,998
Radnor RE, Ltd. FRS Series 2019-2, Class M1A 1.35% (1 ML+1.2%) due 06/25/2029*(4)		9,986		9,978
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% (1 ML+0.13%) due 05/25/2037		95,399		78,035
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(8)		90,000		90,605
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026*		9,633		9,704
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.40% (1 ML+0.25%) due 11/25/2036		195,000		180,020
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		119,134		119,290
TICP CLO III-2 Ltd FRS Series 2018-3R, Class A 1.11% (3 ML+0.84%) due 04/20/2028*(6)		245,430		242,854
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(5)		31,299		32,083

99

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5)	$	96,509	$	98,988
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(5)		41,607		42,774
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(5)		87,797		91,301
Vericrest Opportunity Loan Trust Series 2020-NPL2, Class A1A 2.98% due 02/25/2050*(9)		77,582		77,589
Vericrest Opportunity Loan Trust Series 2020-NPL5, Class A1A 2.98% due 03/25/2050*(9)		73,942		73,894
Vericrest Opportunity Loan Trust Series 2019-NPL7, Class A1A 3.18% due 10/25/2049*(9)		48,943		49,038
Vericrest Opportunity Loan Trust Series 2019-NPL8, Class A1A 3.28% due 11/25/2049*(9)		70,155		70,219
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(9)		68,722		68,751
VOLT LXXXIII LLC Series 2019-NPL9, Class A1A 3.33% due 11/26/2049*(9)		69,447		69,620
VOLT LXXXVII LLC Series 2020-NPL3, Class A1A 2.98% due 02/25/2050*(9)		80,390		80,391
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.11% due 09/15/2057(5)(7)(8)		703,690		27,352
Wells Fargo Commercial Mtg. Trust Series 2015-NXS3, Class A4 3.62% due 09/15/2057(8)		60,000		66,784
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(8)		80,000		86,785
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.28% due 05/15/2048(5)(8)		10,000		9,446
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.94% due 10/25/2036(4)(5)		18,225		16,593
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*		48,625		51,185
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024*		55,000		56,295

Security Description	Principal Amount (17)		Value (Note 2)
Diversified Financial Services (continued)
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*	$	71,770	$	72,234
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.99% due 02/15/2044*(5)(7)(8)		385,577		12
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(8)		145,000		156,665
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(8)		130,000		142,062
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(8)		60,000		65,532
Total Asset Backed Securities (cost $8,382,307)				8,531,594
U.S. CORPORATE BONDS & NOTES — 26.7%
Aerospace/Defense — 0.5%
Boeing Co. Senior Notes 3.25% due 02/01/2035		10,000		9,400
Boeing Co. Senior Notes 5.04% due 05/01/2027		15,000		16,514
Boeing Co. Senior Notes 5.15% due 05/01/2030		35,000		39,340
General Dynamics Corp. Company Guar. Bonds 4.25% due 04/01/2040		15,000		18,872
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040		35,000		47,047
Raytheon Technologies Corp. Senior Notes 3.65% due 08/16/2023		2,000		2,161
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025		30,000		34,093
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038		15,000		18,471
Raytheon Technologies Corp. Senior Notes 4.63% due 11/16/2048		5,000		6,530
				192,428
Aerospace/Defense-Equipment — 0.2%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		25,000		27,428
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023		40,000		43,306
				70,734

100

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Agricultural Operations — 0.0%
Archer-Daniels-Midland Co. Senior Notes 3.25% due 03/27/2030	$	15,000	$	17,195
Applications Software — 0.1%
Microsoft Corp. Senior Bonds 2.68% due 06/01/2060		13,000		13,713
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		17,000		22,392
				36,105
Auto-Cars/Light Trucks — 0.0%
General Motors Co. Senior Notes 6.13% due 10/01/2025		15,000		17,425
Banks-Commercial — 0.1%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		40,000		41,467
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.10% due 10/24/2024		35,000		37,040
State Street Corp. Senior Notes 2.35% due 11/01/2025		40,000		42,341
State Street Corp. Senior Notes 2.90% due 03/30/2026*		20,000		21,747
				101,128
Banks-Super Regional — 1.0%
Fifth Third Bancorp Senior Notes 2.38% due 01/28/2025		30,000		31,774
PNC Financial Services Group, Inc. Senior Notes 2.20% due 11/01/2024		55,000		58,179
Wells Fargo & Co. Senior Notes 2.41% due 10/30/2025		35,000		36,649
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		32,659
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		120,000		131,171
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		65,000		67,043
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024		40,000		43,461
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		5,000		6,359

Security Description	Principal Amount (17)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Senior Notes 5.01% due 04/04/2051	$	10,000	$	13,687
				420,982
Beverages-Non-alcoholic — 0.1%
PepsiCo, Inc. Senior Notes 3.63% due 03/19/2050		20,000		24,246
Brewery — 0.8%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		45,000		47,926
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		10,000		11,924
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058		10,000		12,192
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039		90,000		116,518
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		25,000		25,893
Constellation Brands, Inc. Senior Notes 2.88% due 05/01/2030		20,000		21,595
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029		30,000		32,748
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		39,000		44,098
Constellation Brands, Inc. Company Guar. Notes 4.65% due 11/15/2028		10,000		12,036
				324,930
Broadcast Services/Program — 0.2%
Discovery Communications LLC Company Guar. Notes 3.63% due 05/15/2030		10,000		11,111
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		11,000		11,983
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024		15,000		16,626
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055*		41,000		41,628
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049		10,000		12,220
				93,568

101

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031*	$	15,000	$	14,805
Building Products-Air & Heating — 0.1%
Carrier Global Corp. Senior Notes 2.70% due 02/15/2031*		25,000		26,046
Carrier Global Corp. Senior Notes 2.72% due 02/15/2030*		5,000		5,230
				31,276
Building-Residential/Commercial — 0.3%
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		90,000		102,600
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		26,000		28,600
				131,200
Cable/Satellite TV — 1.3%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.25% due 02/01/2031*		15,000		15,547
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030*		30,000		31,501
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		55,000		62,542
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049		5,000		5,797
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		30,000		40,238
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		10,000		11,106
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039		30,000		33,409
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		5,000		5,563

Security Description	Principal Amount (17)		Value (Note 2)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040	$	40,000	$	46,779
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		5,000		6,141
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		15,000		18,638
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		15,000		19,172
Comcast Corp. Company Guar. Notes 4.70% due 10/15/2048		5,000		6,668
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058		15,000		21,492
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		83,000		89,308
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		25,000		25,625
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		25,000		27,157
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		45,000		56,073
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		15,000		19,942
				542,698
Casino Hotels — 0.0%
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026		20,000		20,267
Cellular Telecom — 0.7%
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028*		60,000		61,429
T-Mobile USA, Inc. Senior Sec. Notes 3.30% due 02/15/2051*		15,000		14,861
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025*		45,000		49,379
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030*		55,000		62,404
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050*		15,000		17,995

102

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026	$	85,000	$	88,825
				294,893
Chemicals-Diversified — 0.2%
Dow Chemical Co. Senior Notes 3.60% due 11/15/2050		25,000		25,305
Dow Chemical Co. Senior Notes 4.80% due 05/15/2049		10,000		11,934
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023		55,000		60,393
				97,632
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047		10,000		12,423
Commercial Services-Finance — 0.3%
Equifax, Inc. Senior Notes 2.60% due 12/15/2025		20,000		21,353
Equifax, Inc. Senior Notes 3.10% due 05/15/2030		5,000		5,447
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030		25,000		26,750
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029		10,000		10,908
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		70,000		76,125
				140,583
Computer Services — 0.8%
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028*		35,000		35,929
International Business Machines Corp. Senior Notes 1.95% due 05/15/2030		100,000		103,168
International Business Machines Corp. Senior Notes 3.00% due 05/15/2024		170,000		184,142
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025*		20,000		22,183
				345,422

Security Description	Principal Amount (17)		Value (Note 2)
Computers — 0.3%
Apple, Inc. Senior Notes 2.20% due 09/11/2029	$	50,000	$	53,771
Apple, Inc. Senior Notes 3.45% due 02/09/2045		15,000		17,512
HP, Inc. Senior Notes 2.20% due 06/17/2025		20,000		20,950
HP, Inc. Senior Notes 3.00% due 06/17/2027		20,000		21,622
				113,855
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		10,000		10,116
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 3.10% due 03/26/2030		15,000		17,207
Containers-Metal/Glass — 0.3%
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023		115,000		122,072
Data Processing/Management — 0.4%
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029		17,000		20,006
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		10,000		11,982
Fiserv, Inc. Senior Notes 2.25% due 06/01/2027		115,000		121,462
				153,450
Decision Support Software — 0.3%
MSCI, Inc. Company Guar. Notes 3.88% due 02/15/2031*		30,000		31,266
MSCI, Inc. Company Guar. Notes 5.38% due 05/15/2027*		85,000		90,737
				122,003
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		10,000		10,577
Diversified Banking Institutions — 3.1%
Bank of America Corp. Senior Notes 2.46% due 10/22/2025		35,000		36,901

103

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 3.37% due 01/23/2026	$	115,000	$	125,519
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		40,000		45,231
Bank of America Corp. Senior Notes 4.08% due 03/20/2051		95,000		117,642
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		55,000		71,949
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		4,000		5,041
Citigroup, Inc. Senior Notes 2.31% due 11/04/2022		45,000		45,824
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022		25,000		26,063
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		35,000		38,608
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025		70,000		75,735
Citigroup, Inc. Senior Notes 4.41% due 03/31/2031		30,000		35,962
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		7,000		9,152
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		35,000		36,306
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		60,000		65,832
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038		30,000		34,806
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		10,000		14,939
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031		5,000		5,365
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041		15,000		16,271
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051		5,000		5,366
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		50,000		53,708

Security Description	Principal Amount (17)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022	$	15,000	$	15,855
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		50,000		56,241
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030		45,000		51,646
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		40,000		43,331
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029		50,000		58,009
Morgan Stanley Senior Notes 2.50% due 04/21/2021		25,000		25,303
Morgan Stanley Senior Notes 2.63% due 11/17/2021		40,000		40,999
Morgan Stanley Senior Notes 2.70% due 01/22/2031		45,000		47,934
Morgan Stanley Senior Notes 3.13% due 07/27/2026		16,000		17,713
Morgan Stanley Senior Notes 3.59% due 07/22/2028		20,000		22,494
Morgan Stanley Senior Notes 4.00% due 07/23/2025		50,000		56,513
Morgan Stanley Senior Notes 4.43% due 01/23/2030		15,000		17,922
				1,320,180
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 3.63% due 05/01/2030		30,000		31,069
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021		25,000		25,240
				56,309
Drug Delivery Systems — 0.2%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		80,000		86,578
E-Commerce/Products — 0.2%
Amazon.com, Inc. Senior Notes 1.50% due 06/03/2030		65,000		66,336
Electric-Distribution — 0.3%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		25,000		29,197

104

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Distribution (continued)
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048	$	5,000	$	6,151
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048		20,000		25,322
Oglethorpe Power Corp. 1st Mtg. Bonds 3.75% due 08/01/2050*		5,000		4,980
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048		20,000		23,646
Sempra Energy Senior Notes 3.40% due 02/01/2028		30,000		32,994
Sempra Energy Senior Notes 3.80% due 02/01/2038		10,000		11,195
Sempra Energy Senior Notes 4.00% due 02/01/2048		5,000		5,639
				139,124
Electric-Integrated — 2.2%
AES Corp. Senior Sec. Notes 3.30% due 07/15/2025*		25,000		26,634
Alabama Power Co. Senior Notes 4.15% due 08/15/2044		20,000		24,429
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028		20,000		22,677
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029		20,000		20,284
Cleco Corporate Holdings LLC Senior Notes 3.74% due 05/01/2026		10,000		10,668
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		5,000		7,452
Dominion Energy, Inc. Senior Notes 3.38% due 04/01/2030		15,000		16,913
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		35,000		39,313
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046		15,000		17,666
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044		35,000		44,411
Evergy Metro, Inc. 1st Mtg. Bonds 2.25% due 06/01/2030		5,000		5,294

Security Description	Principal Amount (17)		Value (Note 2)
Electric-Integrated (continued)
Evergy, Inc. Senior Notes 2.45% due 09/15/2024	$	15,000	$	15,879
Evergy, Inc. Senior Notes 2.90% due 09/15/2029		25,000		26,833
Exelon Corp. Senior Notes 3.95% due 06/15/2025		35,000		39,451
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026		5,000		4,969
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030		10,000		9,780
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049		5,000		6,402
Georgia Power Co. Senior Notes 2.10% due 07/30/2023		25,000		26,098
Georgia Power Co. Senior Notes 4.30% due 03/15/2042		30,000		35,908
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		30,000		32,618
IPALCO Enterprises, Inc. Senior Sec. Notes 4.25% due 05/01/2030*		70,000		79,202
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050		25,000		27,704
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048		5,000		5,902
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 2.25% due 06/01/2030		25,000		25,888
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031		70,000		66,603
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049		5,000		6,243
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050		5,000		6,263
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046		5,000		6,063
Public Service Enterprise Group, Inc. Senior Notes 1.60% due 08/15/2030		40,000		39,330

105

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024	$	35,000	$	37,448
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025		40,000		42,811
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030*		30,000		33,487
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029		15,000		15,760
Southern California Edison Co. 1st Mtg. Bonds 3.65% due 02/01/2050		25,000		25,833
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047		7,000		7,511
Southern California Edison Co. 1st Mtg. Notes Class C 4.13% due 03/01/2048		5,000		5,499
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,627
Southern Co. Senior Notes 3.25% due 07/01/2026		30,000		33,476
Southern Co. Senior Notes 3.70% due 04/30/2030		40,000		45,692
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048		5,000		6,147
				961,168
Electric-Transmission — 0.1%
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030*		40,000		43,014
Oncor Electric Delivery Co. LLC Senior Sec. Notes 3.10% due 09/15/2049		5,000		5,495
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029		10,000		13,149
				61,658
Electronic Components-Semiconductors — 0.6%
Broadcom, Inc. Company Guar. Notes 5.00% due 04/15/2030		130,000		153,348
Intel Corp. Senior Notes 3.10% due 02/15/2060		5,000		5,435

Security Description	Principal Amount (17)		Value (Note 2)
Electronic Components-Semiconductors (continued)
Intel Corp. Senior Notes 4.10% due 05/19/2046	$	20,000	$	24,962
Microchip Technology, Inc. Senior Sec. Notes 2.67% due 09/01/2023*		50,000		51,752
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040		30,000		35,158
				270,655
Enterprise Software/Service — 0.3%
Oracle Corp. Senior Notes 3.85% due 04/01/2060		70,000		82,636
Oracle Corp. Senior Notes 4.00% due 11/15/2047		20,000		23,711
				106,347
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 7.25% due 09/25/2023		25,000		25,813
Finance-Credit Card — 0.1%
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024		40,000		43,539
Mastercard, Inc. Senior Notes 3.35% due 03/26/2030		15,000		17,589
				61,128
Finance-Other Services — 0.4%
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050*		160,000		172,662
Food-Confectionery — 0.1%
Mondelez International, Inc. Senior Notes 1.50% due 05/04/2025		20,000		20,553
Mondelez International, Inc. Senior Sec. Notes 1.50% due 02/04/2031		25,000		24,370
				44,923
Food-Misc./Diversified — 0.2%
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024		15,000		16,735
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025		5,000		5,805
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028		15,000		18,319
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048		5,000		6,804

106

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Food-Misc./Diversified (continued)
Kellogg Co. Senior Notes 3.40% due 11/15/2027	$	40,000	$	45,101
				92,764
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 5.95% due 04/01/2030		15,000		19,011
Funeral Services & Related Items — 0.3%
Service Corp. International Senior Notes 3.38% due 08/15/2030		50,000		50,063
Service Corp. International Senior Notes 5.13% due 06/01/2029		62,000		68,704
				118,767
Gas-Distribution — 0.4%
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		26,000		27,505
Dominion Energy Gas Holdings LLC Senior Notes 2.50% due 11/15/2024		40,000		42,560
NiSource, Inc. Senior Notes 3.49% due 05/15/2027		30,000		33,436
NiSource, Inc. Senior Notes 3.60% due 05/01/2030		55,000		62,671
				166,172
Hazardous Waste Disposal — 0.2%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		85,000		88,188
Hotels/Motels — 0.1%
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		60,000		59,700
Insurance Brokers — 0.4%
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022		30,000		31,041
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		16,565
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024		25,000		27,696
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029		15,000		18,162
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039		10,000		13,164

Security Description	Principal Amount (17)		Value (Note 2)
Insurance Brokers (continued)
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029	$	15,000	$	16,164
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		21,843
Willis North America, Inc. Company Guar. Notes 4.50% due 09/15/2028		20,000		23,780
				168,415
Insurance-Life/Health — 0.5%
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030		110,000		128,102
Unum Group Senior Notes 4.00% due 06/15/2029		10,000		10,955
Unum Group Senior Notes 4.50% due 03/15/2025		20,000		22,216
Unum Group Senior Notes 4.50% due 12/15/2049		35,000		33,916
				195,189
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070*		11,000		11,343
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025*		45,000		47,319
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050*		15,000		16,911
				75,573
Insurance-Property/Casualty — 0.1%
Progressive Corp. Senior Notes 3.20% due 03/26/2030		25,000		28,588
Internet Security — 0.2%
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025*		70,000		71,640
Machinery-General Industrial — 0.3%
Otis Worldwide Corp. Senior Sec. Notes 2.57% due 02/15/2030		115,000		123,594
Medical Instruments — 0.3%
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025		20,000		20,899
Boston Scientific Corp. Senior Notes 3.75% due 03/01/2026		60,000		68,374

107

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Instruments (continued)
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028	$	15,000	$	17,267
				106,540
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Senior Notes 2.80% due 06/30/2031		15,000		16,156
Medical Products — 0.2%
Baxter International, Inc. Senior Notes 3.95% due 04/01/2030*		15,000		17,970
Zimmer Biomet Holdings, Inc. Senior Notes 3.05% due 01/15/2026		75,000		82,295
				100,265
Medical-Biomedical/Gene — 0.5%
Amgen, Inc. Senior Notes 1.90% due 02/21/2025		10,000		10,468
Amgen, Inc. Senior Notes 2.20% due 02/21/2027		15,000		15,894
Amgen, Inc. Senior Notes 2.30% due 02/25/2031		85,000		89,168
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		15,000		15,958
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		20,000		21,495
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		2,000		2,082
Gilead Sciences, Inc. Senior Notes 1.65% due 10/01/2030		65,000		64,887
				219,952
Medical-Drugs — 0.6%
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029*		25,000		27,543
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		35,000		41,551
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042*		20,000		24,344
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029		25,000		29,118
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		60,000		68,209

Security Description	Principal Amount (17)		Value (Note 2)
Medical-Drugs (continued)
Pfizer, Inc. Senior Notes 1.70% due 05/28/2030	$	25,000	$	25,765
Pfizer, Inc. Senior Notes 2.63% due 04/01/2030		10,000		11,181
Upjohn, Inc. Company Guar. Notes 1.65% due 06/22/2025*		10,000		10,236
Upjohn, Inc. Company Guar. Notes 2.30% due 06/22/2027*		10,000		10,355
				248,302
Medical-HMO — 0.4%
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		31,401
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		13,218
Centene Corp. Senior Notes 3.38% due 02/15/2030		30,000		31,125
Centene Corp. Senior Notes 4.63% due 12/15/2029		15,000		16,180
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030		30,000		31,434
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024		25,000		26,619
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029		20,000		22,304
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039		15,000		17,232
				189,513
Medical-Hospitals — 0.0%
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029		5,000		5,300
Multimedia — 0.1%
Walt Disney Co. Company Guar. Notes 2.65% due 01/13/2031		40,000		43,187
Non-Hazardous Waste Disposal — 0.0%
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049		5,000		6,361
Office Automation & Equipment — 0.0%
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029		20,000		19,925

108

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production — 0.1%
Hess Corp. Senior Notes 7.13% due 03/15/2033	$	3,000	$	3,614
Hess Corp. Senior Notes 7.30% due 08/15/2031		20,000		24,460
SM Energy Co. Senior Notes 6.13% due 11/15/2022		25,000		19,449
				47,523
Oil Companies-Integrated — 0.1%
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030		15,000		17,208
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040		25,000		30,588
				47,796
Oil Refining & Marketing — 0.2%
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025		35,000		39,553
Phillips 66 Company Guar. Notes 2.15% due 12/15/2030		15,000		14,587
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029		15,000		16,435
				70,575
Pharmacy Services — 0.2%
CVS Health Corp Senior Notes 4.13% due 04/01/2040		30,000		34,170
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		35,000		44,222
				78,392
Pipelines — 0.8%
Energy Transfer Operating LP Company Guar. Notes 4.95% due 06/15/2028		15,000		15,894
Energy Transfer Operating LP Company Guar. Notes 5.15% due 03/15/2045		10,000		9,054
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029		25,000		26,840
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		45,000		45,171
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049		5,000		5,168

Security Description	Principal Amount (17)		Value (Note 2)
Pipelines (continued)
Kinder Morgan Energy Partners LP Company Guar. Notes 3.50% due 03/01/2021	$	35,000	$	35,250
MPLX LP Senior Notes 1.75% due 03/01/2026		5,000		4,977
MPLX LP Senior Notes 4.13% due 03/01/2027		10,000		10,992
MPLX LP Senior Notes 4.25% due 12/01/2027		30,000		33,624
MPLX LP Senior Notes 4.70% due 04/15/2048		20,000		20,298
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,452
MPLX LP Senior Notes 5.20% due 12/01/2047		5,000		5,501
ONEOK, Inc. Company Guar. Notes 2.20% due 09/15/2025		5,000		4,930
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030		5,000		4,810
ONEOK, Inc. Company Guar. Bonds 4.45% due 09/01/2049		15,000		13,350
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026		15,000		17,251
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030*		30,000		33,794
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027		10,000		10,219
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		20,000		20,579
Williams Companies, Inc. Senior Notes 5.80% due 11/15/2043		10,000		11,728
Williams Partners LP Senior Notes 6.30% due 04/15/2040		5,000		6,182
				341,064
Real Estate Investment Trusts — 0.9%
American Tower Corp. Senior Notes 2.40% due 03/15/2025		20,000		21,136

109

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Brixmor Operating Partnership LP Senior Notes 4.05% due 07/01/2030	$	40,000	$	42,784
Equinix, Inc. Senior Notes 1.80% due 07/15/2027		5,000		5,047
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031		40,000		41,641
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		25,000		27,842
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028		10,000		11,417
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2050*		40,000		42,809
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047*		85,000		86,032
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048*		70,000		73,814
VEREIT Operating Partnership LP Company Guar. Notes 3.40% due 01/15/2028		10,000		10,441
				362,963
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 3.88% due 02/15/2031		30,000		30,450
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.63% due 04/15/2025		40,000		44,604
Retail-Building Products — 0.3%
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040		60,000		68,161
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		5,000		5,734
Lowe's Cos., Inc. Senior Notes 4.55% due 04/05/2049		20,000		25,663
Lowe's Cos., Inc. Senior Bonds 5.00% due 04/15/2040		15,000		19,662
				119,220

Security Description	Principal Amount (17)		Value (Note 2)
Retail-Restaurants — 0.2%
McDonald's Corp. Senior Notes 3.35% due 04/01/2023	$	20,000	$	21,359
McDonald's Corp. Senior Notes 3.63% due 09/01/2049		30,000		33,686
McDonald's Corp. Senior Notes 4.20% due 04/01/2050		10,000		12,171
				67,216
Schools — 0.1%
Howard University Notes 2.65% due 10/01/2028		5,000		5,089
Howard University Notes 2.80% due 10/01/2030		15,000		15,481
Howard University Notes 2.90% due 10/01/2031		10,000		10,440
Howard University Notes 3.48% due 10/01/2041		15,000		15,283
				46,293
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 4.65% due 05/20/2035		5,000		6,721
QUALCOMM, Inc. Senior Notes 4.80% due 05/20/2045		20,000		26,991
				33,712
Steel-Producers — 0.1%
Steel Dynamics, Inc. Senior Notes 2.80% due 12/15/2024		25,000		26,373
Telephone-Integrated — 0.8%
AT&T, Inc. Senior Notes 3.50% due 02/01/2061		5,000		4,761
AT&T, Inc. Senior Notes 3.55% due 09/15/2055*		137,000		132,777
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		5,000		5,602
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		5,000		5,903
Verizon Communications, Inc. Senior Notes 3.15% due 03/22/2030		75,000		84,752
Verizon Communications, Inc. Senior Notes 4.00% due 03/22/2050		10,000		12,311

110

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034	$	60,000	$	74,801
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		10,000		13,101
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		15,000		20,773
				354,781
Television — 0.4%
ViacomCBS, Inc. Senior Notes 4.20% due 05/19/2032		30,000		34,331
ViacomCBS, Inc. Senior Notes 4.95% due 01/15/2031		130,000		156,319
				190,650
Tobacco — 0.6%
Altria Group, Inc. Company Guar. Notes 2.35% due 05/06/2025		15,000		15,849
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		15,000		15,419
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026		15,000		17,327
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029		10,000		11,866
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044		30,000		37,319
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039		20,000		25,594
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028		35,000		35,174
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024		35,000		36,961
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029		15,000		15,972
Philip Morris International, Inc. Senior Notes 2.10% due 05/01/2030		35,000		36,001
				247,482
Transactional Software — 0.1%
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028*		45,000		45,478

Security Description	Principal Amount (17)		Value (Note 2)
Transport-Rail — 0.1%
Norfolk Southern Corp. Senior Notes 3.40% due 11/01/2049	$	5,000	$	5,539
Union Pacific Corp. Senior Notes 2.97% due 09/16/2062*		50,000		49,072
				54,611
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.30% due 03/15/2027		10,000		11,109
FedEx Corp. Company Guar. Notes 4.25% due 05/15/2030		35,000		42,073
				53,182
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024*		35,000		37,134
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025*		30,000		33,796
				70,930
Water — 0.1%
American Water Capital Corp. Senior Notes 2.80% due 05/01/2030		5,000		5,477
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049		15,000		18,769
				24,246
Total U.S. Corporate Bonds & Notes (cost $10,645,454)				11,414,211
FOREIGN CORPORATE BONDS & NOTES — 1.9%
Cellular Telecom — 0.1%
Vodafone Group PLC Senior Notes 6.15% due 02/27/2037		30,000		41,339
Diversified Banking Institutions — 0.2%
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027		55,000		62,639
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024		10,000		10,973
				73,612
Diversified Manufacturing Operations — 0.0%
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049		5,000		6,315

111

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Electronic Components-Misc. — 0.1%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*	$	30,000	$	32,250
Electronic Components-Semiconductors — 0.0%
NXP BV/NXP Funding LLC/NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029*		10,000		11,527
Medical-Biomedical/Gene — 0.2%
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027*		5,000		5,013
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030*		55,000		54,901
Royalty Pharma PLC Company Guar. Notes 3.30% due 09/02/2040*		15,000		14,876
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050*		10,000		9,698
				84,488
Medical-Drugs — 0.2%
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027*		30,000		31,837
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		14,000		14,253
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		55,000		48,522
				94,612
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030		55,000		56,595
Oil Companies-Integrated — 0.2%
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026		20,000		20,748
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040		25,000		28,478
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050		15,000		17,207
YPF SA Senior Notes 16.50% due 05/09/2022*	ARS	1,676,987		7,317
				73,750
Pipelines — 0.2%
TransCanada PipeLines, Ltd. Senior Notes 4.10% due 04/15/2030		50,000		57,664

Security Description	Principal Amount (17)		Value (Note 2)
Pipelines (continued)
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034	$	15,000	$	17,714
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038		5,000		5,884
				81,262
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Senior Notes 2.95% due 01/25/2030*		5,000		5,392
Alimentation Couche-Tard, Inc. Senior Notes 3.80% due 01/25/2050*		10,000		10,991
				16,383
Semiconductor Components-Integrated Circuits — 0.2%
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024*		55,000		61,848
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026*		15,000		17,734
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028*		10,000		12,367
				91,949
SupraNational Banks — 0.1%
Inter-American Development Bank Senior Notes 7.25% due 06/10/2021	MXN	780,000		35,634
Telephone-Integrated — 0.1%
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036		30,000		43,154
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026		35,000		35,119
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		14,000		14,884
Nokia Oyj Senior Notes 6.63% due 05/15/2039		20,000		24,776
				39,660
Total Foreign Corporate Bonds & Notes (cost $869,106)				817,649
MUNICIPAL BONDS & NOTES — 1.9%
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040		10,000		10,815
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029		5,000		5,158
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		15,000		15,121

112

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029	$	30,000	$	31,301
County of Riverside, CA Revenue Bonds 2.96% due 02/15/2027		80,000		86,579
County of Riverside, CA Revenue Bonds 3.07% due 02/15/2028		80,000		86,954
Florida State Board of Administration Finance Corp Series A Revenue Bonds 1.26% due 07/01/2025		70,000		71,075
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045		35,000		36,429
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049		95,000		103,722
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		29,000		43,183
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035		100,000		111,279
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028		95,000		123,019
State of California General Obligation Bonds 7.55% due 04/01/2039		5,000		8,748
State of Connecticut General Obligation Bonds 3.00% due 07/01/2021		5,000		5,097
State of Illinois General Obligation Bonds 4.95% due 06/01/2023		49,636		50,502
State of Illinois General Obligation Bonds 5.00% due 01/01/2023		10,000		10,244
State of Illinois General Obligation Bonds 5.56% due 02/01/2021		10,000		10,070
State of Illinois General Obligation Bonds 5.95% due 04/01/2022		20,000		21,102
Total Municipal Bonds & Notes (cost $774,505)				830,398
U.S. GOVERNMENT AGENCIES — 35.5%
Federal Home Loan Mtg. Corp. — 1.5%
2.50% due 01/01/2028		4,041		4,277
2.50% due 04/01/2028		7,948		8,406
3.00% due 08/01/2027		3,579		3,761

Security Description	Principal Amount (17)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 10/01/2042	$	12,750	$	13,985
3.00% due 11/01/2042		4,758		5,071
3.00% due 02/01/2043		19,504		20,788
3.00% due 08/01/2043		42,891		46,733
3.50% due 02/01/2042		3,477		3,732
3.50% due 03/01/2042		2,883		3,124
3.50% due 09/01/2043		14,674		16,154
4.00% due 03/01/2023		9		10
4.00% due 10/01/2043		7,488		8,261
4.50% due 01/01/2039		438		486
5.00% due 12/01/2020		34		35
5.00% due 07/01/2021		448		471
5.00% due 05/01/2034		7,000		8,042
5.50% due 07/01/2034		4,243		4,963
5.50% due 07/01/2035		4,053		4,766
5.50% due 04/01/2037		1,378		1,599
5.50% due 05/01/2037		1,388		1,611
5.50% due 08/01/2037		7,729		8,957
6.50% due 05/01/2029		1,364		1,530
Federal Home Loan Mtg. Corp. FRS 2.36% (6 ML+1.49%) due 02/01/2037		546		565
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(5)(7)(8)		204,805		10,261
Series K064, Class X1 0.74% due 03/25/2027(5)(7)(8)		374,241		13,132
Series K104, Class X1 1.13% due 01/25/2030(5)(7)(8)		184,849		16,485
Series K114, Class X1 1.21% due 06/25/2030(5)(7)(8)		214,975		20,107
Series K111, Class X1 1.68% due 05/25/2030(5)(7)(8)		99,968		12,877
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(8)		82,000		94,318
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(4)		19,168		21,741
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 1.80% (1 ML+1.65%) due 04/25/2043*(4)		12,638		12,170
Series 2019-HQA3, Class M2 2.00% (1 ML + 1.85%) due 09/25/2049*(4)		24,823		24,268
Series 2019-DNA3, Class M2 2.20% (1 ML + 2.05%) due 07/25/2049*(4)		35,785		35,032

113

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Series 2019-HQA1, Class M2 2.50% (1 ML + 2.35%) due 02/25/2049*(4)	$	65,153	$	64,529
Series 2019-DNA2, Class M2 2.60% (1 ML+2.45%) due 03/25/2049*(4)		41,802		41,096
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(4)		28,063		28,486
Series 3964, Class MD 2.00% due 01/15/2041(4)		486		498
Series 4961, Class JB 2.50% due 12/15/2042(4)		49,422		51,564
Series 3883, Class PB 3.00% due 05/15/2041(4)		16,509		17,845
Series 1577, Class PK 6.50% due 09/15/2023(4)		1,534		1,620
Series 1226, Class Z 7.75% due 03/15/2022(4)		119		123
				633,479
Federal National Mtg. Assoc. — 4.8%
2.50% due 02/01/2043		105,664		112,567
2.50% due 03/01/2043		102,877		109,597
2.66% due 03/01/2027		208,193		228,905
2.78% due 03/01/2027		72,669		80,262
3.00% due 01/01/2028		6,447		6,772
4.50% due 01/01/2039		1,334		1,496
4.50% due 06/01/2039		21,426		23,627
4.50% due 05/01/2041		3,971		4,464
5.00% due 07/01/2040		12,848		14,794
5.50% due 03/01/2021		406		407
5.50% due 04/01/2021		972		977
5.50% due 06/01/2021		5,971		6,029
5.50% due 10/01/2021		3,257		3,305
5.50% due 12/01/2021		5,352		5,388
5.50% due 06/01/2022		17,806		18,184
5.50% due 12/01/2029		792		879
5.50% due 05/01/2034		1,826		2,058
5.50% due 08/01/2037		5,396		6,266
5.50% due 06/01/2038		410		476
6.00% due 06/01/2026		6,461		7,202
6.00% due 03/01/2027		9,077		10,129
6.00% due 12/01/2033		1,177		1,391
6.00% due 05/01/2034		4,573		5,412
6.00% due 08/01/2034		364		431
6.00% due 06/01/2040		2,412		2,833
6.50% due 11/01/2035		2,148		2,547
6.50% due 10/01/2037		792		890
7.00% due 06/01/2037		8,097		9,452
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.25% (1 ML +2.10%) due 06/25/2039*(5)		39,431		39,175

Security Description	Principal Amount (17)		Value (Note 2)
Federal National Mtg. Assoc (continued)
Series 2017-C01, Class 1M2 3.70% (1 ML+3.55%) due 07/25/2029(5)	$	24,760	$	25,471
Series 2016-C07, Class 2M2 4.50% (1 ML+4.35%) due 05/25/2029(5)		39,469		40,780
Series 2019-R03, Class 1M2 Federal National Mtg. Assoc. FRS 2.30% (1 ML+2.15%) due 09/25/2031*(4)		20,508		20,427
Series 2019-HRP1, Class M2 2.30% (1 ML+2.15%) due 11/25/2039*(5)		21,914		19,623
2.33% (12 ML+1.82%) due 10/01/2040		1,227		1,278
2.96% (12 ML+1.57%) due 05/01/2037		1,014		1,058
Federal National Mtg. Assoc., REMIC Series 2012-128, Class PD 1.50% due 06/25/2042(5)		52,111		53,108
Series 2013-43, Class XP 1.50% due 08/25/2041(5)		32,207		32,798
Series 2013-77, Class BP 1.70% due 06/25/2043(5)		27,078		27,515
Series 2011-117, Class MA 2.00% due 08/25/2040(5)		3,063		3,129
Series 2012-18, Class GA 2.00% due 12/25/2041(5)		26,151		27,035
Series 2012-21, Class PQ 2.00% due 09/25/2041(5)		13,301		13,705
Series 2012-75, Class KC 2.50% due 12/25/2041(5)		27,027		27,912
Series 2016-11, Class GA 2.50% due 03/25/2046(4)		26,289		27,622
Series 2019-41, Class AC 2.50% due 03/25/2053(5)		41,692		43,146
Series 2019-54, Class KC 2.50% due 09/25/2049(4)		77,438		81,411
Series 2015-48, Class QB 3.00% due 02/25/2043(5)		37,728		39,201
Series 2016-38, Class NA 3.00% due 01/25/204(5)		11,002		11,861
Series 2017-34, Class JK 3.00% due 05/25/2047(5)		19,582		20,283
Series 2017-72, Class B 3.00% due 09/25/2047(5)		34,801		37,369
Series 2017-72, Class CD 3.00% due 09/25/2047(5)		34,753		37,393
Series 2017-96, Class PA 3.00% due 12/25/2054(5)		45,800		48,251
Series 2019-45, Class PT 3.00% due 08/25/2049(5)		53,343		57,479
Series 2012-52, Class PA 3.50% due 05/25/2042(5)		15,951		17,301
Series 2017-26, Class CG 3.50% due 07/25/2044(5)		37,292		39,113
Series 2017-35, Class AH 3.50% due 04/25/2053(5)		37,941		39,125

114

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount (17)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc (continued)
Series 2017-49, Class JA 4.00% due 07/25/2053(5)	$	30,739	$	32,185
Series 2017-84, Class KA 3.50% due 04/25/2053(5)		24,170		24,899
Series 2018-19, Class DC 3.50% due 05/25/2056(5)		20,615		21,647
Series 2018-23, Class LA 3.50% due 04/25/2048(5)		34,170		37,189
Series 2018-38, Class PC 3.50% due 03/25/2045(5)		26,851		27,586
Series 2018-70, Class HA 3.50% due 10/25/2056(5)		37,823		40,613
Series 2018-72, Class BA 3.50% due 07/25/2054(5)		49,429		52,130
Series 2018-80, Class GD 3.50% due 12/25/2047(5)		34,986		37,120
Series 2019-7, Class CA 3.50% due 11/25/2057(5)		36,309		39,372
Series 2019-7, Class JA 3.50% due 03/25/2049(5)		36,567		39,434
Series 2019-12, Class HA 3.50% due 11/25/2057(5)		40,321		43,608
Series 2019-14, Class CA 3.50% due 04/25/2049(5)		39,323		43,013
Series 2019-15, Class AB 3.50% due 05/25/2053(5)		39,606		41,764
Series 2019-28, Class JA 3.50% due 06/25/2059(5)		36,595		40,785
Federal National Mtg. Assoc. Series 415, Class A3 STRIP 3.00% due 11/25/2042(5)		39,206		42,384
				2,063,038
Government National Mtg. Assoc — 8.4%
3.00% due October 30 TBA		1,000,000		1,046,572
3.50% due October 30 TBA		1,035,000		1,089,938
4.00% due 10/15/2040		16,905		18,437
4.00% due 02/15/2041		8,121		8,818
4.00% due 09/15/2041		9,067		9,811
4.00% due 10/15/2041		3,471		3,674
4.00% due October 30 TBA		650,000		690,612
4.50% due 06/15/2041		77,145		85,129
5.00% due 01/15/2033		819		910
5.00% due 01/15/2040		44,886		51,486
5.00% due October 30 TBA		300,000		328,547
5.50% due 04/15/2036		38,436		42,440
6.50% due 07/15/2028		39,906		44,199
6.50% due 08/15/2028		2,859		3,182
6.50% due 09/15/2028		5,017		5,670
6.50% due 11/15/2028		7,925		8,793
7.00% due 01/15/2033		3,573		4,225
7.00% due 05/15/2033		5,072		5,972
7.00% due 11/15/2033		2,211		2,613
8.00% due 02/15/2030		1,086		1,143
9.00% due 11/15/2021		22		22

Security Description	Principal Amount (17)		Value (Note 2)
Government National Mtg. Assoc (continued)
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(5)	$	41,524	$	42,028
Series 2015-151, Class BA 1.70% due 10/20/2045(5)		26,458		26,784
Series 2013-37, Class LG 2.00% due 01/20/2042(5)		34,931		35,942
Series 2005-74, Class HA 7.50% due 09/16/2035(5)		80		86
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		1,372		1,550
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		1,157		1,342
				3,559,925
Uniform Mtg. Backed Securities — 20.8%
2.00% due October 15 TBA		1,000,000		1,039,687
2.00% due October 30 TBA		3,375,000		3,486,657
3.00% due October 30 TBA		1,125,000		1,178,601
3.50% due October 30 TBA		1,425,000		1,502,429
4.00% due October 30 TBA		640,000		682,588
4.50% due October 30 TBA		425,000		459,730
5.50% due October 30 TBA		200,000		222,016
6.00% due October 30 TBA		300,000		335,027
				8,906,735
Total U.S. Government Agencies (cost $14,978,833)				15,163,177
U.S. GOVERNMENT TREASURIES — 15.4%
United States Treasury Bonds — 9.6%
1.00% due 02/15/2048 TIPS(10)		63,032		87,073
1.25% due 05/15/2050		223,000		211,989
1.38% due 08/15/2050		155,000		151,743
2.25% due 08/15/2046		115,000		136,122
2.50% due 02/15/2045(12)		150,000		185,016
3.00% due 05/15/2045(13)		370,000		496,421
3.00% due 11/15/2045		202,000		271,950
3.38% due 05/15/2044		1,185,000		1,675,525
3.63% due 08/15/2043		105,000		153,362
3.63% due 02/15/2044		105,000		153,727
3.75% due 11/15/2043		105,000		156,261
5.00% due 05/15/2037		256,000		415,180
				4,094,369
United States Treasury Notes — 5.8%
0.38% due 01/15/2027 TIPS(10)		193,039		212,426
0.63% due 01/15/2026 TIPS(10)		288,919		318,527
0.63% due 05/15/2030		1,300,000		1,296,141
0.88% due 01/15/2029		256,490		298,861
2.75% due 08/31/2025		325,000		364,292
				2,490,247
Total U.S. Government Treasuries (cost $5,677,279)				6,584,616

115

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount (17)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 0.7%
Sovereign — 0.7%
Dominican Republic Senior Notes 6.40% due 06/05/2049*	$	150,000	$	150,525
Government of Romania Bonds 3.62% due 05/26/2030*	EUR	30,000		39,746
Government of Romania Senior Notes 4.00% due 02/14/2051*	EUR	24,000		24,720
Government of Romania Senior Notes 4.63% due 04/03/2049	EUR	52,000		74,208
Republic of Hungary Senior Bonds 6.38% due 03/29/2021		16,000		16,449
Republic of Peru Senior Notes 2.39% due 01/23/2026		10,000		10,490
Total Foreign Government Obligations (cost $302,323)				316,138
OPTIONS — PURCHASED — 0.0%†(11)
Over the Counter Put Options on Currency Contracts		3,251,205		12,845
Over the Counter Put Options on Interest Rate Swap Contracts		2,732,468		14
Total Options — Purchased (cost $36,558)				12,859
ESCROWS AND LITIGATION TRUSTS — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		120
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)		11,000		1
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)		8,000		1
Total Escrows And Litigation Trusts (cost $0)				123
Total Long-Term Investment Securities (cost $46,619,061)				51,046,833
SHORT-TERM INVESTMENT SECURITIES — 0.5%
Registered Investment Companies — 0.5%
State Street Institutional Treasury Money Market Fund, Premier Class 0.02%(14) (cost $223,765)		223,765		223,765

Security Description	Principal Amount (17)			Value (Note 2)
REPURCHASE AGREEMENTS — 8.9%
Bank of America Securities LLC Joint Repurchase Agreement(15)	$	810,000		$	810,000
Barclays Capital, Inc. Joint Repurchase Agreement(15)		715,000			715,000
BNP Paribas SA Joint Repurchase Agreement(15)		715,000			715,000
Deutsche Bank AG Joint Repurchase Agreement(15)		795,000			795,000
RBS Securities, Inc. Joint Repurchase Agreement(15)		760,000			760,000
Total Repurchase Agreements (cost $3,795,000)					3,795,000
TOTAL INVESTMENTS (cost $50,637,826)(16)		128.7	%		55,065,598
Liabilities in excess of other assets		(28.7	)		(12,287,307	)
NET ASSETS		100.0	%	$	42,778,291

†  Non-income producing security

*    Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $8,757,804 representing 20.5% of net assets.

(1)  Securities classified as Level 3 (see Note 2).

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	03/05/2014		4	$	0	$	3,462	$	865.45		0.01	%

(3)  Perpetual maturity — maturity date reflects the next call date.

(4)  Collateralized Mortgage Obligation

(5)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

116

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

(6)  Collateralized Loan Obligation

(7)  Interest Only

(8)  Commercial Mortgage Backed Security

(9)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2020.

(10)  Principal amount of security is adjusted for inflation.

(11)  Options — Purchased

Over the Counter Put Options on Currency Contracts

Issue	Counterparty	Expiration Month	Strike Price		Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.9945 CNY per $1 USD	BNP Paribas SA	September 2021	CNY	7.99	$	1,284	$	7,778	$	5,170	$	(2,608	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.7455 CNY per $1 USD	NatWest Markets PLC	January 2021	CNY	7.75		1,678		7,326		1,220		(6,106	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.0600 CNY per $1 USD	NatWest Markets PLC	July 2021	CNY	8.06		1,448		7,680		4,470		(3,210	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.4845 CNY per $1 USD	NatWest Markets PLC	May 2021	CNY	8.49		1,364		8,513		1,985		(6,528	)
							$	31,297	$	12,845	$	(18,452	)

Over the Counter Put Options on Interest Rate Swap Contracts

Issue	Counterparty	Expiration Month	Strike Rate			Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 1.70% versus 3 Month USD LIBOR-BBA maturing on 11/23/2030	Bank of America, N.A.	November 2020		1.70	%	$	210	$	5,261	$	14	$	(5,247	)

BBA — British Bankers' Association

CNY — Chinese Yuan

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(12)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(13)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

(14)  The rate shown is the 7-day yield as of September 30, 2020.

(15)  See Note 2 for details of Joint Repurchase Agreements.

(16)  See Note 4 for cost of investments on a tax basis.

(17)  Denominated in United States dollars unless otherwise indicated.

ARS — Argentine Peso

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EUR — Euro Dollar

MXN — Mexican Peso

REMIC — Real Estate Mortgage Investment Conduit

SCRT — Structured Credit Risk Transfer

STRIPS — Separate Trading of Registered Interest and Principal Securities

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

117

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	4	Long	Australian 10 Year Bonds	December 2020	$	422,565	$	428,010	$	5,445
	2	Short	U.S. Treasury Ultra Bonds	December 2020		446,766		443,625		3,141
	26	Long	U.S. Treasury 10 Year Notes	December 2020		3,617,621		3,627,813		10,192
									$	18,778
									Unrealized (Depreciation)
	3	Short	Euro Bund Euro-Bund Futures	December 2020	$	612,441	$	613,848	$	(1,407	)
	1	Short	Euro Oat Euro-OAT Futures	December 2020		196,971		197,616		(645	)
	5	Short	U.S. Treasury Long Bonds	December 2020		880,648		881,406		(758	)
	18	Short	U.S. Treasury 5 Year Notes	December 2020		2,265,187		2,268,563		(3,376	)
	10	Short	U.S. Treasury 10 Year Ultra Bonds	December 2020		1,591,495		1,599,219		(7,724	)
									$	(13,910	)
Net Unrealized Appreciation (Depreciation)									$	4,868

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Goldman Sachs International	MXN	780,000	USD	38,431	06/10/2021	$	4,165	$	—
HSBC Bank USA	EUR	94,000	USD	111,272	12/16/2020		876		—
Standard Chartered Bank	EUR	4,000	USD	4,751	12/16/2020		53		—
Unrealized Appreciation (Depreciation)						$	5,094	$	—

EUR — Euro Currency

MXN — Mexican Peso

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged			Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency		Upfront Payments Made (Received) by the Portfolio			Unrealized Appreciation (Depreciation)
USD	335	09/29/2026	1 Year USD Federal Funds — H.15-OIS-Compound/Annually		1.00%/Annually	$	6,089		$	(22,041	)
USD	55	12/16/2030	USD-3 Month-LIBOR-BBA/Quarterly	0.75%/Semi-annually			(140	)		26
						$	5,949		$	(22,015	)

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

OIS — Overnight Index Swap

USD — United States Dollar

118

Seasons Series Trust SA Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs			Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Television	$	—	$	—		$	3,462	$	3,462
Other Industries		6,923,243		154,800	**		—		7,078,043
Preferred Securities/Capital Securities		—		294,563			—		294,563
Asset Backed Securities		—		8,531,594			—		8,531,594
U.S. Corporate Bonds & Notes		—		11,414,211			—		11,414,211
Foreign Corporate Bonds & Notes		—		817,649			—		817,649
Municipal Bond & Notes		—		830,398			—		830,398
U.S. Government Agencies		—		15,163,177			—		15,163,177
U.S. Government Treasuries		—		6,584,616			—		6,584,616
Foreign Government Obligations		—		316,138			—		316,138
Options — Purchased		—		12,859			—		12,859
Escrows and Litigation Trusts		—		120			3		123
Short-Term Investment Securities:		223,765		—			—		223,765
Repurchase Agreements		—		3,795,000			—		3,795,000
Total Investments at Value	$	7,147,008	$	47,915,125		$	3,465	$	55,065,598
Other Financial Instruments:†
Futures Contracts	$	18,778	$	—		$	—	$	18,778
Forward Foreign Currency Contracts		—		5,094			—		5,094
Centrally Cleared Interest Rate Swap Contracts		—		26			—		26
Total Other Financial Instruments	$	18,778	$	5,120		$	—	$	23,898
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	13,910	$	—		$	—	$	13,910
Centrally Cleared Interest Rate Swap Contracts		—		22,041			—		22,041
Total Other Financial Instruments	$	13,910	$	22,041		$	—	$	35,951

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

119

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Repurchase Agreements	5.2	%
E-Commerce/Products	4.8
Medical-Drugs	4.3
Applications Software	4.0
Commercial Paper	4.0
Computers	3.9
Exchange-Traded Funds	3.4
Diversified Banking Institutions	3.1
Web Portals/ISP	2.6
Electronic Components-Semiconductors	2.4
Telephone-Integrated	2.3
Electric-Integrated	2.1
Diversified Financial Services	2.0
Real Estate Investment Trusts	1.9
Aerospace/Defense	1.7
Uniform Mtg. Backed Securities	1.6
Cosmetics & Toiletries	1.6
United States Treasury Bonds	1.6
Semiconductor Components-Integrated Circuits	1.5
Cable/Satellite TV	1.4
Medical Products	1.4
Beverages-Non-alcoholic	1.4
Medical Instruments	1.2
Insurance-Multi-line	1.1
Electronic Forms	1.1
Retail-Restaurants	1.1
Federal National Mtg. Assoc.	1.0
Banks-Commercial	1.0
Entertainment Software	1.0
Medical-Biomedical/Gene	0.9
Data Processing/Management	0.9
Insurance-Life/Health	0.9
Networking Products	0.9
Enterprise Software/Service	0.9
Building-Residential/Commercial	0.8
Computer Services	0.8
Oil Companies-Integrated	0.8
Retail-Discount	0.7
Internet Content-Information/News	0.7
Chemicals-Diversified	0.7
Medical-HMO	0.7
United States Treasury Notes	0.6
Computer Aided Design	0.6
Government National Mtg. Assoc.	0.6
Pipelines	0.6
Instruments-Controls	0.6
Auto-Cars/Light Trucks	0.6
Cellular Telecom	0.6
Food-Confectionery	0.5
Auto-Heavy Duty Trucks	0.5
Retail-Consumer Electronics	0.5
Tobacco	0.5
Non-Hazardous Waste Disposal	0.5
Food-Misc./Diversified	0.5
Internet Content-Entertainment	0.5
Independent Power Producers	0.4
Internet Application Software	0.4
Investment Management/Advisor Services	0.4
Building Products-Air & Heating	0.4
Machinery-General Industrial	0.4

Transport-Services	0.4	%
Finance-Other Services	0.3
Food-Retail	0.3
Computer Data Security	0.3
Finance-Consumer Loans	0.3
Transport-Truck	0.3
Oil Companies-Exploration & Production	0.3
Industrial Automated/Robotic	0.3
Chemicals-Specialty	0.3
Web Hosting/Design	0.3
Auto/Truck Parts & Equipment-Original	0.3
Metal-Diversified	0.3
Retail-Building Products	0.3
Consulting Services	0.3
Electric Products-Misc.	0.3
Hotels/Motels	0.3
Oil-Field Services	0.3
Commercial Services-Finance	0.3
Diagnostic Equipment	0.3
Agricultural Chemicals	0.3
Pharmacy Services	0.2
Retail-Apparel/Shoe	0.2
Real Estate Management/Services	0.2
Apparel Manufacturers	0.2
Brewery	0.2
Recreational Vehicles	0.2
Medical-Wholesale Drug Distribution	0.2
Transport-Rail	0.2
Toys	0.2
Oil Refining & Marketing	0.2
Real Estate Operations & Development	0.2
Private Equity	0.2
Semiconductor Equipment	0.2
Containers-Metal/Glass	0.2
Miscellaneous Manufacturing	0.2
Broadcast Services/Program	0.2
Airlines	0.2
Medical-Hospitals	0.2
Electronic Components-Misc.	0.2
Finance-Credit Card	0.2
Audio/Video Products	0.2
Machinery-Pumps	0.2
Coatings/Paint	0.2
Distribution/Wholesale	0.2
Building & Construction Products-Misc.	0.2
Office Supplies & Forms	0.2
Finance-Auto Loans	0.2
Import/Export	0.2
Retail-Convenience Store	0.2
Containers-Paper/Plastic	0.2
Finance-Leasing Companies	0.2
Machinery-Electrical	0.2
Finance-Investment Banker/Broker	0.2
Machinery-Construction & Mining	0.1
Publishing-Periodicals	0.1
Building Products-Cement	0.1
Computers-Integrated Systems	0.1
Retail-Hypermarkets	0.1
Computer Software	0.1
E-Commerce/Services	0.1

120

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Diversified Minerals	0.1	%
Therapeutics	0.1
Retail-Misc./Diversified	0.1
Insurance-Property/Casualty	0.1
Commercial Services	0.1
Aerospace/Defense-Equipment	0.1
Human Resources	0.1
Federal Home Loan Mtg. Corp.	0.1
Electric-Distribution	0.1
Insurance-Reinsurance	0.1
Funeral Services & Related Items	0.1
Building & Construction-Misc.	0.1
Medical Labs & Testing Services	0.1
Machine Tools & Related Products	0.1
Diagnostic Kits	0.1
Food-Meat Products	0.1
Soap & Cleaning Preparation	0.1
Rental Auto/Equipment	0.1
Home Furnishings	0.1
Retail-Automobile	0.1
Advertising Agencies	0.1
Steel-Producers	0.1
Metal-Iron	0.1
Power Converter/Supply Equipment	0.1
Television	0.1
Computers-Periphery Equipment	0.1
Petrochemicals	0.1
Rubber/Plastic Products	0.1
Investment Companies	0.1
Food-Catering	0.1
Diversified Operations/Commercial Services	0.1
Paper & Related Products	0.1
Textile-Apparel	0.1
Municipal Bonds & Notes	0.1
Electric-Generation	0.1
Gas-Transportation	0.1
Insurance Brokers	0.1
Food-Flour & Grain	0.1
Banks-Super Regional	0.1
Retail-Toy Stores	0.1
Food-Wholesale/Distribution	0.1
Medical Laser Systems	0.1
Gambling (Non-Hotel)	0.1
Medical-Outpatient/Home Medical	0.1
	102.9	%

*  Calculated as a percentage of net assets

121

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 74.4%
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc.†		527	$	527
Aerospace/Defense — 1.6%
Lockheed Martin Corp.		4,934		1,891,104
Northrop Grumman Corp.		2,905		916,498
Teledyne Technologies, Inc.†		518		160,689
				2,968,291
Aerospace/Defense-Equipment — 0.0%
Airbus SE†		312		22,646
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		6,943		213,220
Airlines — 0.2%
Copa Holdings SA, Class A		2,239		112,711
Delta Air Lines, Inc.		5,112		156,325
Japan Airlines Co., Ltd.		3,100		58,195
				327,231
Airport Development/Maintenance — 0.0%
Aena SME SA†*		638		88,868
Apparel Manufacturers — 0.2%
Hermes International		313		269,801
Kering SA		288		191,343
				461,144
Appliances — 0.0%
Hoshizaki Corp.		800		63,800
Applications Software — 3.9%
BigCommerce Holdings, Inc., Series 1†		6,174		514,294
Intuit, Inc.		5,382		1,755,662
Microsoft Corp.		18,800		3,954,204
ServiceNow, Inc.†		2,531		1,227,535
				7,451,695
Audio/Video Products — 0.2%
Sony Corp.		4,500		344,182
Auto-Cars/Light Trucks — 0.5%
Ferrari NV		336		61,503
Fiat Chrysler Automobiles NV†		9,491		116,192
Ford Motor Co.		33,102		220,460
Peugeot SA†		11,151		201,056
Porsche Automobil Holding SE (Preference Shares)		2,023		120,783
Toyota Motor Corp.		100		6,614
Volkswagen AG (Preference Shares)		1,003		161,421
				888,029
Auto-Heavy Duty Trucks — 0.5%
Cummins, Inc.		3,508		740,749
Volvo AB, Class B		6,046		116,123
				856,872
Auto/Truck Parts & Equipment-Original — 0.3%
Allison Transmission Holdings, Inc.		3,953		138,908
Faurecia SE†		2,196		94,832
Gentex Corp.		4,771		122,853

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original (continued)
Koito Manufacturing Co., Ltd.		1,700	$	86,667
Stanley Electric Co., Ltd.		2,200		63,132
				506,392
Banks-Commercial — 0.8%
Banco Bilbao Vizcaya Argentaria SA		52,238		144,374
Bank Leumi Le-Israel BM		20,959		92,208
Bank Tabungan Pensiunan Nasional Syariah Tbk PT		328,600		72,752
BOC Hong Kong Holdings, Ltd.		27,500		72,951
DBS Group Holdings, Ltd.		9,800		144,142
DNB ASA†		6,865		94,817
FinecoBank Banca Fineco SpA†		4,005		55,108
HDFC Bank, Ltd.		15,462		227,707
ING Groep NV†		9,371		66,355
Israel Discount Bank, Ltd., Class A		20,175		54,380
KBC Group NV		1,718		86,025
Popular, Inc.		1,635		59,301
Sberbank of Russia PJSC ADR		9,312		108,640
Seven Bank, Ltd.		17,300		41,946
Skandinaviska Enskilda Banken AB, Class A†		21,383		189,280
Sumitomo Mitsui Trust Holdings, Inc.		3,700		98,455
				1,608,441
Beverages-Non-alcoholic — 1.3%
Coca-Cola Co.		24,506		1,209,861
Coca-Cola HBC AG		3,405		84,169
PepsiCo, Inc.		8,869		1,229,243
				2,523,273
Brewery — 0.2%
Carlsberg A/S, Class B		1,611		216,921
Constellation Brands, Inc., Class A		966		183,067
				399,988
Broadcast Services/Program — 0.1%
Discovery, Inc., Class A†		5,060		110,156
Building & Construction Products-Misc. — 0.1%
China Lesso Group Holdings, Ltd.		76,000		137,440
Cie de Saint-Gobain†		1,546		64,910
				202,350
Building & Construction-Misc. — 0.1%
Eiffage SA†		1,145		93,322
Obayashi Corp.		7,500		67,973
				161,295
Building Products-Air & Heating — 0.4%
Daikin Industries, Ltd.		1,200		221,269
Johnson Controls International PLC		11,071		452,250
				673,519
Building Products-Cement — 0.1%
CRH PLC		4,537		163,836
LafargeHolcim, Ltd.		1,442		65,732
				229,568

122

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Heavy Construction — 0.0%
ACS Actividades de Construccion y Servicios SA†		1,737	$	39,356
Building-Residential/Commercial — 0.7%
Berkeley Group Holdings PLC		1,267		68,930
Daiwa House Industry Co., Ltd.		3,700		95,066
Lennar Corp., Class A		5,988		489,100
Persimmon PLC		1,861		59,108
PulteGroup, Inc.		12,470		577,236
Taylor Wimpey PLC		38,106		53,025
				1,342,465
Cable/Satellite TV — 0.9%
Charter Communications, Inc., Class A†		725		452,646
Comcast Corp., Class A		25,865		1,196,515
Sirius XM Holdings, Inc.		21,366		114,522
				1,763,683
Cellular Telecom — 0.4%
China Mobile, Ltd.		40,500		260,360
Hikari Tsushin, Inc.		300		71,491
MTN Group, Ltd.		26,855		90,346
NTT DOCOMO, Inc.		3,600		133,504
Safaricom PLC		124,559		34,204
Telstra Corp., Ltd.		38,666		77,133
				667,038
Chemicals-Diversified — 0.6%
Arkema SA		717		76,066
Celanese Corp.		947		101,755
Covestro AG*		4,220		209,530
DuPont de Nemours, Inc.		3,326		184,526
Eastman Chemical Co.		3,351		261,780
ICL Group, Ltd.		14,250		50,306
Koninklijke DSM NV		497		81,904
Nitto Denko Corp.		1,400		91,272
PPG Industries, Inc.		1,160		141,613
				1,198,752
Chemicals-Specialty — 0.2%
Ashland Global Holdings, Inc.		1,258		89,217
NewMarket Corp.		240		82,157
Shin-Etsu Chemical Co., Ltd.		1,200		156,626
				328,000
Circuit Boards — 0.0%
Silergy Corp.		1,000		59,169
Coatings/Paint — 0.2%
Asian Paints, Ltd.		3,387		91,040
Axalta Coating Systems, Ltd.†		6,253		138,629
Sherwin-Williams Co.		93		64,797
				294,466
Commercial Services-Finance — 0.1%
Moody's Corp.		651		188,692
TransUnion		646		54,348
				243,040

Security Description	Shares		Value (Note 2)
Computer Aided Design — 0.6%
Cadence Design Systems, Inc.†		5,167	$	550,957
Synopsys, Inc.†		2,819		603,210
				1,154,167
Computer Data Security — 0.3%
Fortinet, Inc.†		5,560		655,024
Computer Services — 0.7%
Amdocs, Ltd.		3,458		198,524
CACI International, Inc., Class A†		568		121,075
Capgemini SE		549		70,313
Fujitsu, Ltd.		900		123,237
International Business Machines Corp.		904		109,990
Leidos Holdings, Inc.		4,564		406,881
Nomura Research Institute, Ltd.		4,100		120,499
Tata Consultancy Services, Ltd.		6,629		223,993
				1,374,512
Computer Software — 0.1%
Akamai Technologies, Inc.†		1,339		148,013
Dropbox, Inc., Class A†		4,321		83,223
				231,236
Computers — 3.8%
Apple, Inc.		62,944		7,289,545
Computers-Integrated Systems — 0.1%
Itochu Techno-Solutions Corp.		3,500		133,202
Otsuka Corp.		2,300		117,704
				250,906
Computers-Periphery Equipment — 0.1%
Logitech International SA		1,650		127,683
Consulting Services — 0.3%
Booz Allen Hamilton Holding Corp.		4,316		358,141
Nihon M&A Center, Inc.		2,900		165,419
				523,560
Consumer Products-Misc. — 0.0%
Spectrum Brands Holdings, Inc.		1,350		77,166
Containers-Metal/Glass — 0.1%
Crown Holdings, Inc.†		2,151		165,326
Silgan Holdings, Inc.		2,569		94,462
				259,788
Containers-Paper/Plastic — 0.1%
Berry Global Group, Inc.†		3,798		183,519
Cosmetics & Toiletries — 1.6%
Essity AB, Class B		7,068		238,833
Kose Corp.		600		73,362
L'Oreal SA		840		273,338
Procter & Gamble Co.		17,489		2,430,796
Unilever PLC		1,508		92,920
				3,109,249
Data Processing/Management — 0.8%
DocuSign, Inc.†		5,727		1,232,680
Fair Isaac Corp.†		787		334,774
				1,567,454

123

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diagnostic Equipment — 0.3%
10X Genomics, Inc., Class A†		1,067	$	133,033
Thermo Fisher Scientific, Inc.		786		347,035
				480,068
Diagnostic Kits — 0.1%
DiaSorin SpA		744		149,962
Distribution/Wholesale — 0.2%
Ferguson PLC		2,941		295,913
Diversified Banking Institutions — 2.6%
BNP Paribas SA†		4,968		179,971
Citigroup, Inc.		27,441		1,182,981
Credit Agricole SA		15,415		134,739
Goldman Sachs Group, Inc.		1,852		372,196
JPMorgan Chase & Co.		22,162		2,133,536
Morgan Stanley		13,293		642,717
Sumitomo Mitsui Financial Group, Inc.		8,800		244,870
				4,891,010
Diversified Financial Services — 0.1%
Hana Financial Group, Inc.		5,438		129,424
Diversified Manufacturing Operations — 0.0%
Toshiba Corp.		2,700		68,726
Diversified Minerals — 0.1%
BHP Group PLC		7,255		154,668
BHP Group, Ltd.		2,887		74,291
				228,959
Diversified Operations — 0.0%
CK Hutchison Holdings, Ltd.		13,500		81,849
Diversified Operations/Commercial Services — 0.1%
Brambles, Ltd.		16,107		121,255
E-Commerce/Products — 4.7%
Alibaba Group Holding, Ltd.†		36,600		1,353,419
Amazon.com, Inc.†		1,761		5,544,914
eBay, Inc.		30,976		1,613,850
JD.com, Inc. ADR†		2,617		203,105
Meituan Dianping, Class B†		8,400		264,174
				8,979,462
E-Commerce/Services — 0.1%
Auto Trader Group PLC*		8,243		59,626
MercadoLibre, Inc.†		113		122,320
				181,946
Electric Products-Misc. — 0.3%
AMETEK, Inc.		3,041		302,276
Brother Industries, Ltd.		3,600		57,178
Legrand SA		1,832		146,255
				505,709
Electric-Distribution — 0.1%
E.ON SE		12,784		141,246
Electric-Integrated — 1.9%
AES Corp.		3,581		64,852
AGL Energy, Ltd.		11,872		116,023
American Electric Power Co., Inc.		8,523		696,585

Security Description	Shares		Value (Note 2)
Electric-Integrated (continued)
Cia Paranaense de Energia, Class B (Preference Shares)		7,780	$	85,906
CLP Holdings, Ltd.		8,000		74,570
Enel SpA		23,109		200,659
Entergy Corp.		2,737		269,677
Exelon Corp.		15,698		561,360
IDACORP, Inc.		716		57,208
Pinnacle West Capital Corp.		2,481		184,958
Public Service Enterprise Group, Inc.		6,602		362,516
Southern Co.		16,794		910,571
				3,584,885
Electronic Components-Misc. — 0.2%
Garmin, Ltd.		2,162		205,087
Hoya Corp.		1,300		146,536
				351,623
Electronic Components-Semiconductors — 2.3%
Inphi Corp.†		4,093		459,439
MediaTek, Inc.		6,000		126,521
NVIDIA Corp.		4,086		2,211,425
Samsung Electronics Co., Ltd.		12,175		613,446
SK Hynix, Inc.		3,594		257,876
Xilinx, Inc.		5,918		616,892
				4,285,599
Electronic Forms — 1.1%
Adobe, Inc.†		4,442		2,178,490
Enterprise Software/Service — 0.8%
Oracle Corp.		4,659		278,142
SAP SE		80		12,458
TOTVS SA		27,247		131,483
Veeva Systems, Inc., Class A†		3,759		1,056,993
				1,479,076
Entertainment Software — 1.0%
Activision Blizzard, Inc.		13,140		1,063,683
Nexon Co., Ltd.		5,300		131,624
Sea, Ltd. ADR†		646		99,510
Take-Two Interactive Software, Inc.†		3,118		515,156
				1,809,973
Finance-Auto Loans — 0.1%
Ally Financial, Inc.		8,987		225,304
Finance-Consumer Loans — 0.3%
SLM Corp.		16,428		132,903
Synchrony Financial		19,318		505,552
				638,455
Finance-Credit Card — 0.2%
Capital One Financial Corp.		273		19,618
Discover Financial Services		5,370		310,278
				329,896
Finance-Investment Banker/Broker — 0.1%
Virtu Financial, Inc., Class A		6,274		144,365
Finance-Leasing Companies — 0.1%
Mitsubishi UFJ Lease & Finance Co., Ltd.		8,500		39,314

124

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Leasing Companies (continued)
ORIX Corp.		11,500	$	143,168
				182,482
Finance-Other Services — 0.3%
B3 SA — Brasil Bolsa Balcao		16,500		161,624
Deutsche Boerse AG		1,030		180,888
Hong Kong Exchanges & Clearing, Ltd.		2,600		122,211
SEI Investments Co.		1,974		100,121
Singapore Exchange, Ltd.		13,400		90,174
				655,018
Financial Guarantee Insurance — 0.0%
MGIC Investment Corp.		8,837		78,296
Food-Catering — 0.1%
Compass Group PLC		8,154		122,401
Food-Confectionery — 0.5%
Hershey Co.		2,892		414,540
Mondelez International, Inc., Class A		10,165		583,979
				998,519
Food-Dairy Products — 0.0%
a2 Milk Co., Ltd.†		6,355		64,725
Food-Flour & Grain — 0.1%
Wilmar International, Ltd.		31,900		103,338
Food-Meat Products — 0.1%
WH Group, Ltd.*		200,500		163,192
Food-Misc./Diversified — 0.4%
Associated British Foods PLC		3,561		85,780
Campbell Soup Co.		1,948		94,225
Nestle SA		4,279		507,657
				687,662
Food-Retail — 0.3%
Coles Group, Ltd.		5,822		71,006
Dino Polska SA†*		1,186		69,797
Kobe Bussan Co., Ltd.		900		49,484
Koninklijke Ahold Delhaize NV		8,012		237,120
Woolworths Group, Ltd.		6,623		173,150
				600,557
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		1,495		93,019
Funeral Services & Related Items — 0.1%
Fu Shou Yuan International Group, Ltd.		113,000		110,392
Garden Products — 0.0%
Scotts Miracle-Gro Co.		546		83,489
Gas-Distribution — 0.0%
China Resources Gas Group, Ltd.		18,000		80,588
Gas-Transportation — 0.1%
Snam SpA		20,526		105,541
Hazardous Waste Disposal — 0.0%
Tervita Corp.†		12		23
Home Furnishings — 0.1%
Tempur Sealy International, Inc.†		1,778		158,580

Security Description	Shares		Value (Note 2)
Hotels/Motels — 0.2%
Hilton Worldwide Holdings, Inc.		5,017	$	428,050
Human Resources — 0.1%
Adecco Group AG		2,360		124,714
Recruit Holdings Co., Ltd.		1,400		55,549
				180,263
Import/Export — 0.2%
ITOCHU Corp.		11,000		281,279
Independent Power Producers — 0.3%
NRG Energy, Inc.		9,540		293,259
Vistra Corp.		13,244		249,782
				543,041
Industrial Automated/Robotic — 0.3%
Rockwell Automation, Inc.		2,455		541,769
SMC Corp.		100		55,656
				597,425
Instruments-Controls — 0.6%
Honeywell International, Inc.		6,398		1,053,175
Insurance-Life/Health — 0.9%
Aflac, Inc.		14,107		512,789
Aviva PLC		53,864		198,068
Equitable Holdings, Inc.		13,330		243,139
Legal & General Group PLC		37,894		91,837
Lincoln National Corp.		5,333		167,083
Principal Financial Group, Inc.		5,297		213,310
Swiss Life Holding AG		130		49,117
Unum Group		8,577		144,351
				1,619,694
Insurance-Multi-line — 1.1%
Allianz SE		1,694		324,941
Allstate Corp.		7,845		738,528
American Financial Group, Inc.		850		56,933
Direct Line Insurance Group PLC		13,588		47,299
MetLife, Inc.		24,673		917,095
Zurich Insurance Group AG		213		74,057
				2,158,853
Insurance-Property/Casualty — 0.1%
Fidelity National Financial, Inc.		4,143		129,717
Gjensidige Forsikring ASA		3,351		68,026
				197,743
Insurance-Reinsurance — 0.0%
Reinsurance Group of America, Inc.		858		81,673
Internet Application Software — 0.4%
Okta, Inc.†		3,519		752,538
Internet Connectivity Services — 0.0%
21Vianet Group, Inc. ADR†		2,984		69,109
Internet Content-Entertainment — 0.4%
Facebook, Inc., Class A†		2,332		610,751
Kakao Corp.		295		91,831
				702,582
Internet Content-Information/News — 0.7%
Kakaku.com, Inc.		1,700		44,943

125

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Content-Information/News (continued)
M3, Inc.		1,300	$	80,719
Prosus NV†		2,109		193,745
Tencent Holdings, Ltd.		15,806		1,052,575
				1,371,982
Internet Security — 0.0%
Palo Alto Networks, Inc.†		311		76,117
Investment Management/Advisor Services — 0.4%
Ameriprise Financial, Inc.		3,051		470,190
Amundi SA†*		600		42,299
Hargreaves Lansdown PLC		2,166		43,419
LPL Financial Holdings, Inc.		1,137		87,174
Magellan Financial Group, Ltd.		1,723		70,224
				713,306
Machine Tools & Related Products — 0.1%
Techtronic Industries Co., Ltd.		13,000		170,946
Machinery-Construction & Mining — 0.1%
Sandvik AB†		13,906		271,266
Machinery-Electrical — 0.1%
Hitachi, Ltd.		5,800		195,980
Machinery-Farming — 0.0%
AGCO Corp.		778		57,782
Machinery-General Industrial — 0.3%
Atlas Copco AB, Class A†		3,045		144,921
Otis Worldwide Corp.		7,531		470,085
				615,006
Machinery-Pumps — 0.2%
Curtiss-Wright Corp.		635		59,220
Dover Corp.		2,192		237,481
				296,701
Medical Instruments — 1.2%
Edwards Lifesciences Corp.†		11,361		906,835
Medtronic PLC		13,565		1,409,675
				2,316,510
Medical Labs & Testing Services — 0.1%
PeptiDream, Inc.†		800		37,589
WuXi AppTec Co., Ltd.*		9,240		133,679
				171,268
Medical Laser Systems — 0.1%
Universal Vision Biotechnology Co., Ltd.		10,000		91,361
Medical Products — 1.3%
Abbott Laboratories		9,703		1,055,977
ABIOMED, Inc.†		1,379		382,066
Hologic, Inc.†		8,017		532,890
Sartorius Stedim Biotech		367		126,400
Zimmer Biomet Holdings, Inc.		2,980		405,697
				2,503,030
Medical-Biomedical/Gene — 0.9%
Advanz Pharma Corp., Ltd.†		52		262
Amgen, Inc.		1,477		375,394
Biogen, Inc.†		2,023		573,885

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene (continued)
Regeneron Pharmaceuticals, Inc.†		631	$	353,221
Vertex Pharmaceuticals, Inc.†		1,717		467,230
				1,769,992
Medical-Drugs — 4.0%
AbbVie, Inc.		4,911		430,154
Alkermes PLC†		5,345		88,567
Astellas Pharma, Inc.		4,700		69,967
AstraZeneca PLC		1,153		125,494
Bristol-Myers Squibb Co.		9,036		544,780
Chugai Pharmaceutical Co., Ltd.		1,800		80,773
Eli Lilly & Co.		6,060		897,001
Galapagos NV†		405		57,525
GlaxoSmithKline PLC		7,175		134,401
Hikma Pharmaceuticals PLC		2,728		91,371
Hypera SA		18,500		98,234
Jazz Pharmaceuticals PLC†		2,160		307,994
Johnson & Johnson		9,334		1,389,646
Kobayashi Pharmaceutical Co., Ltd.		400		38,719
Merck & Co., Inc.		13,236		1,097,926
Novartis AG		5,728		497,770
Novo Nordisk A/S, Class B		6,016		417,882
Ono Pharmaceutical Co., Ltd.		2,100		65,928
Pfizer, Inc.		11,541		423,555
Roche Holding AG		1,702		582,301
Shionogi & Co., Ltd.		3,200		171,203
Zoetis, Inc.		344		56,887
				7,668,078
Medical-HMO — 0.6%
Humana, Inc.		2,559		1,059,144
Medical-Wholesale Drug Distribution — 0.2%
Cardinal Health, Inc.		7,926		372,125
Suzuken Co., Ltd.		1,900		72,418
				444,543
Metal-Diversified — 0.3%
Anglo American PLC		7,804		188,456
Rio Tinto PLC		4,935		297,768
				486,224
Metal-Iron — 0.1%
Fortescue Metals Group, Ltd.		12,308		144,075
Miscellaneous Manufacturing — 0.2%
Airtac International Group		5,000		113,045
AptarGroup, Inc.		1,524		172,517
Knorr-Bremse AG		462		54,574
				340,136
Networking Products — 0.9%
Cisco Systems, Inc.		42,364		1,668,718
Non-Hazardous Waste Disposal — 0.4%
Republic Services, Inc.		2,424		226,281
Sunny Friend Environmental Technology Co., Ltd.		7,000		55,652
Waste Management, Inc.		3,601		407,525
				689,458

126

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Office Supplies & Forms — 0.2%
Avery Dennison Corp.		2,437	$	311,546
Oil Companies-Exploration & Production — 0.0%
MWO Holdings LLC†(1)(2)		10		0
Oil Companies-Integrated — 0.7%
Chevron Corp.		9,157		659,304
Eni SpA†		9,845		77,016
Lukoil PJSC ADR		2,378		137,494
Royal Dutch Shell PLC, Class B		22,836		276,247
TOTAL SE		2,901		99,600
				1,249,661
Oil Refining & Marketing — 0.2%
Reliance Industries, Ltd.		13,370		406,603
Oil-Field Services — 0.3%
Baker Hughes Co.		9,747		129,538
Schlumberger, Ltd.		22,450		349,322
				478,860
Petrochemicals — 0.1%
LG Chem, Ltd.		222		123,955
Pharmacy Services — 0.2%
Cigna Corp.		2,754		466,555
Pipelines — 0.2%
Kinder Morgan, Inc.		30,163		371,910
Power Converter/Supply Equipment — 0.1%
Voltronic Power Technology Corp.		4,200		143,346
Private Equity — 0.2%
3i Group PLC		10,339		132,717
Partners Group Holding AG		241		221,762
				354,479
Publishing-Periodicals — 0.1%
Wolters Kluwer NV		2,675		228,381
Radio — 0.0%
iHeartMedia, Inc., Class A† Class A		26		211
Real Estate Investment Trusts — 1.6%
AGNC Investment Corp.		20,734		288,410
Apartment Investment & Management Co., Class A		2,357		79,478
AvalonBay Communities, Inc.		1,225		182,942
Boston Properties, Inc.		1,350		108,405
Cousins Properties, Inc.†		3,768		107,727
Crown Castle International Corp.		4,046		673,659
Duke Realty Corp.		5,282		194,906
Equinix, Inc.		801		608,864
Equity Commonwealth		2,843		75,709
Equity LifeStyle Properties, Inc.		1,588		97,344
Equity Residential		2,868		147,214
Gaming and Leisure Properties, Inc.		3,098		114,409
Goodman Group		13,100		168,598
Invitation Homes, Inc.		7,786		217,930
				3,065,595
Real Estate Management/Services — 0.2%
A-Living Services Co., Ltd.*		18,750		95,475

Security Description	Shares		Value (Note 2)
Real Estate Management/Services (continued)
CBRE Group, Inc., Class A†		4,100	$	192,577
Daito Trust Construction Co., Ltd.		700		62,063
Jones Lang LaSalle, Inc.		515		49,265
Sichuan Languang Justbon Services Group Co., Ltd.		10,800		61,050
				460,430
Real Estate Operations & Development — 0.2%
CK Asset Holdings, Ltd.		29,000		141,493
Henderson Land Development Co., Ltd.		21,600		79,686
Nomura Real Estate Holdings, Inc.		3,400		64,669
Sun Hung Kai Properties, Ltd.		7,500		96,149
				381,997
Recreational Vehicles — 0.2%
Brunswick Corp.		3,223		189,867
Polaris, Inc.		2,757		260,095
				449,962
Rental Auto/Equipment — 0.1%
Cia de Locacao das Americas		21,927		92,731
Respiratory Products — 0.0%
Fisher & Paykel Healthcare Corp., Ltd.		2,066		45,476
Retail-Apparel/Shoe — 0.2%
Industria de Diseno Textil SA		9,033		251,142
Li Ning Co., Ltd.		37,500		175,964
				427,106
Retail-Automobile — 0.1%
Zhongsheng Group Holdings, Ltd.		20,500		128,848
Retail-Building Products — 0.3%
Lowe's Cos., Inc.		970		160,884
Wesfarmers, Ltd.		9,102		290,205
Wilcon Depot, Inc.		181,100		59,769
				510,858
Retail-Consumer Electronics — 0.5%
Best Buy Co., Inc.		8,257		918,922
Retail-Convenience Store — 0.1%
Casey's General Stores, Inc.		1,026		182,269
Retail-Discount — 0.7%
Costco Wholesale Corp.		237		84,135
Dollar General Corp.		2,387		500,363
Target Corp.		4,422		696,111
Walmart, Inc.		867		121,302
				1,401,911
Retail-Drug Store — 0.0%
Sundrug Co., Ltd.		2,000		75,299
Retail-Hypermarkets — 0.1%
Wal-Mart de Mexico SAB de CV		104,705		250,546
Retail-Jewelry — 0.0%
Pandora A/S		1,145		82,393
Retail-Misc./Diversified — 0.1%
Clicks Group, Ltd.		2,842		37,666
Poya International Co., Ltd.		6,040		115,454

127

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Misc./Diversified (continued)
Ryohin Keikaku Co., Ltd.		3,000	$	49,831
				202,951
Retail-Restaurants — 1.0%
Jubilant Foodworks, Ltd.		2,396		76,276
McDonald's Corp.		5,519		1,211,365
Yum! Brands, Inc.		6,243		569,986
				1,857,627
Retail-Toy Stores — 0.1%
JUMBO SA		5,626		98,863
Rubber-Tires — 0.0%
Cie Generale des Etablissements Michelin SCA		560		59,923
Rubber/Plastic Products — 0.1%
Elite Material Co., Ltd.		23,000		116,703
Security Services — 0.0%
Sohgo Security Services Co., Ltd.		800		38,121
Semiconductor Components-Integrated Circuits — 1.5%
QUALCOMM, Inc.		17,917		2,108,473
Taiwan Semiconductor Manufacturing Co., Ltd.		55,039		826,607
				2,935,080
Semiconductor Equipment — 0.2%
ASML Holding NV		350		129,057
Lasertec Corp.†		1,000		82,703
Tokyo Electron, Ltd.		600		157,038
				368,798
Shipbuilding — 0.0%
Yangzijiang Shipbuilding Holdings, Ltd.		78,900		57,532
Soap & Cleaning Preparation — 0.1%
Hindustan Unilever, Ltd.		5,755		161,410
Steel-Producers — 0.1%
Reliance Steel & Aluminum Co.		1,204		122,856
Telephone-Integrated — 1.9%
AT&T, Inc.		16,362		466,481
BT Group PLC		34,911		44,366
Deutsche Telekom AG		18,279		306,214
Elisa Oyj		1,127		66,428
KDDI Corp.		8,800		222,604
Nippon Telegraph & Telephone Corp.		6,500		132,984
SoftBank Group Corp.		600		37,048
Verizon Communications, Inc.		40,029		2,381,325
				3,657,450
Textile-Apparel — 0.1%
LVMH Moet Hennessy Louis Vuitton SE		249		116,406
Therapeutics — 0.1%
Neurocrine Biosciences, Inc.†		581		55,869
Sarepta Therapeutics, Inc.†		1,139		159,950
				215,819

Security Description	Shares/ Principal Amount		Value (Note 2)
Tobacco — 0.5%
Altria Group, Inc.		19,448	$	751,471
British American Tobacco PLC		3,763		135,253
				886,724
Toys — 0.2%
Nintendo Co., Ltd.		700		397,936
Transport-Rail — 0.2%
Aurizon Holdings, Ltd.		30,269		92,365
Hankyu Hanshin Holdings, Inc.		1,500		48,254
Odakyu Electric Railway Co., Ltd.		2,400		60,383
Union Pacific Corp.		570		112,216
West Japan Railway Co.		1,500		74,139
				387,357
Transport-Services — 0.4%
Deutsche Post AG		7,908		360,614
Expeditors International of Washington, Inc.		3,506		317,363
				677,977
Transport-Truck — 0.3%
Old Dominion Freight Line, Inc.		3,522		637,200
Web Hosting/Design — 0.3%
GoDaddy, Inc., Class A†		7,379		560,583
Web Portals/ISP — 2.5%
Alphabet, Inc., Class A†		3,112		4,560,947
NAVER Corp.		549		139,002
Yandex NV, Class A†		1,776		115,884
				4,815,833
Total Common Stocks (cost $118,039,174)				141,182,329
PREFERRED SECURITIES — 0.0%
Diversified Banking Institutions — 0.0%
GMAC Capital Trust I FRS Series 2 6.07% 3 ML+5.79% (cost $14,579)		580		14,483
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.3%
Banks-Commercial — 0.0%
Truist Financial Corp. Series N 4.80% due 09/01/2024(4)	$	25,000		25,094
Banks-Super Regional — 0.1%
Fifth Third Bancorp 5.10% due 06/30/2023(4)		9,000		8,283
Wells Fargo & Co. Series U 5.88% due 06/15/2025(4)		85,000		91,512
				99,795
Diversified Banking Institutions — 0.1%
Bank of America Corp. Series JJ 5.13% due 06/20/2024(4)		45,000		46,145

128

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Series Z 6.50% due 10/23/2024(4)	$	5,000	$	5,558
Bank of America Corp. Series AA 6.10% due 03/17/2025(4)		61,000		66,405
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(4)		11,000		11,550
JPMorgan Chase & Co. FRS 1.28% (3 ML+1.00%) due 05/15/2077		27,000		21,014
JPMorgan Chase & Co. Series HH 4.60% due 02/01/2025(4)		63,000		61,740
				212,412
Electric-Integrated — 0.0%
WEC Energy Group, Inc. FRS
2.39% (3 ML+2.11%) due 05/15/2067		50,000		40,578
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. 5.20% due 03/15/2044		37,000		39,203
Insurance-Multi-line — 0.0%
MetLife, Inc. 6.40% due 12/15/2066		45,000		55,983
Pipelines — 0.1%
Energy Transfer Partners LP Series B 6.63% due 02/15/2028(4)		80,000		54,376
TransCanada Trust 5.30% due 03/15/2077		40,000		40,070
				94,446
Total Preferred Securities/Capital Securities (cost $571,318)				567,511
ASSET BACKED SECURITIES — 1.9%
Diversified Financial Services — 1.9%
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 1.96% (12 MTA+0.94%) due 06/25/2046(5)		8,318		7,228
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 1.00% due 11/10/2042*(3)(6)(7)		232,932		2
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2006-T22, Class E 6.11% due 04/12/2038*(3)(6)		2,104		2,101
CD Commercial Mtg. Trust VRS Series 2016-CD1, Class XA 1.53% due 08/10/2049(3)(6)(7)		280,232		16,995
CD Mtg. Trust Series 2017-CD3, Class A4 3.63% due 02/10/2050(6)		26,000		29,467

Security Description	Principal Amount		Value (Note 2)
Diversified Financial Services (continued)
CFCRE Commercial Mtg. Trust VRS Series 2011-C1, Class D 6.29% due 04/15/2044*(3)(6)	$	101,000	$	98,953
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.92% due 09/10/2045*(3)(6)(7)		214,471		5,598
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(6)		50,000		54,147
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(3)(6)		68,000		67,300
Citigroup Commercial Mtg. Trust VRS Series 2014-GC19, Class D 5.09% due 03/10/2047*(3)(6)		30,000		28,557
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 3.97% due 05/25/2035(3)(5)		13,823		14,045
COMM Mtg. Trust Series 2014-UBS6, Class AM 4.05% due 12/10/2047(6)		26,000		28,468
COMM Mtg. Trust Series 2014-CR19, Class AM 4.08% due 08/10/2047(6)		56,000		61,202
COMM Mtg. Trust VRS Series 2014-CR14, Class AM 4.53% due 02/10/2047(3)(6)		26,000		28,467
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 0.92% due 08/10/2050(3)(6)(7)		447,245		10,521
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 0.97% due 05/10/2047(3)(6)(7)		272,343		7,492
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.04% due 12/10/2047(3)(6)(7)		377,601		11,007
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.10% due 08/10/2047(3)(6)(7)		285,127		9,543
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 1.11% due 08/10/2046(3)(6)(7)		249,964		6,694
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 1.13% due 08/10/2047(3)(6)(7)		511,400		15,239
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 1.17% due 11/10/2047(3)(6)(7)		558,271		19,232
Commercial Mtg. Trust Series 2013-LC6, Class AM 3.28% due 01/10/2046(6)		59,000		61,477
Commercial Mtg. Trust VRS Series 2013-CR6, Class D 4.09% due 03/10/2046*(3)(6)		36,000		29,546
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.59% due 12/10/2047(3)(6)		18,000		17,138

129

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(3)(6)	$	12,000	$	13,137
Commercial Mtg. Trust VRS Series 2014-CR17, Class C 4.78% due 05/10/2047(3)(6)		104,000		102,149
Commercial Mtg. Trust VRS Series 2010-C1, Class D 6.05% due 07/10/2046*(3)(6)		78,000		77,641
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.39% due 05/15/2038*(3)(6)(7)		6,128		120
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.65% due 02/15/2040*(3)(6)(7)		57,455		170
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 1.05% due 09/15/2039*(3)(6)(7)		499		0
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class XA 0.98% due 04/15/2050(3)(6)(7)		964,228		28,511
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.41% due 04/15/2050(3)(6)		81,000		74,309
CSMC Trust VRS Series 2016-NXSR, Class C 4.50% due 12/15/2049(3)(6)		37,000		34,515
DBUBS Mtg. Trust VRS Series 2011-LC2A, Class D 5.49% due 07/10/2044*(3)(6)		102,000		93,894
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.51% due 08/10/2044*(3)(6)		132,000		113,856
GS Mtg. Securities Corp. II VRS Series 2015-GC30, Class XA 0.75% due 05/10/2050(3)(6)(7)		329,113		9,484
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.64% due 02/10/2046(3)(6)(7)		708,430		21,917
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(6)		33,000		34,218
GS Mtg. Securities Trust Series 2016-CS3, Class A4 2.85% due 10/10/2049(6)		41,000		44,560
GS Mtg. Securities Trust Series 2017-GS7, Class AS 3.66% due 08/10/2050(6)		34,000		38,395
GS Mtg. Securities Trust Series 2013-GC10, Class B 3.68% due 02/10/2046*(6)		32,000		32,585
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.85% due 06/10/2047(3)(6)		68,000		66,021

Security Description	Principal Amount		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Trust VRS Series 2011-GC5, Class C 5.55% due 08/10/2044*(3)(6)	$	100,000	$	92,558
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.32% due 09/12/2037*(3)(6)(7)		2,147		13
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(6)		22,000		22,859
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(3)(6)		69,000		56,310
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(6)		19,000		19,703
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.32% due 05/15/2045(3)(6)		57,000		48,322
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.92% due 01/15/2047(3)(6)(7)		650,075		13,474
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C12, Class C 4.24% due 07/15/2045(3)(6)		50,000		50,500
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.71% due 09/15/2047(3)(6)		19,000		16,881
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C19, Class C 4.83% due 04/15/2047(3)(6)		38,000		36,744
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C14, Class C 4.86% due 08/15/2046(3)(6)		79,000		66,408
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, Class B 4.93% due 11/15/2045(3)(6)		38,000		39,980
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, Class C 5.37% due 11/15/2045(3)(6)		105,000		103,818
JPMCC Commercial Mtg. Securities Trust Series 2019-COR4, Class AS 4.29% due 03/10/2052(6)		79,000		93,254
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.27% due 04/15/2041(3)(6)		7,908		7,974

130

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.00% due 06/12/2043*(3)(6)(7)	$	37,644	$	1
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 7.23% due 07/15/2045*(3)(6)(7)		2,609		0
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.23% due 08/15/2047(3)(6)(7)		104,425		2,966
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C8, Class B 3.69% due 12/15/2048(3)(6)		19,000		19,596
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6, Class B 3.93% due 11/15/2045(6)		69,000		70,768
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class C 4.64% due 08/15/2047(3)(6)		85,000		84,927
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C5, Class E 4.83% due 08/15/2045*(3)(6)		67,000		65,040
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C12, Class C 4.92% due 10/15/2046(3)(6)		55,000		53,572
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C14, Class C 5.11% due 02/15/2047(3)(6)		60,000		62,742
Morgan Stanley Capital I Trust Series 2016-BNK2, Class AS 3.28% due 11/15/2049(6)		23,000		24,866
Morgan Stanley Capital I Trust VRS Series 2016-BNK2, Class C 4.03% due 11/15/2049(3)(6)		27,000		25,708
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class D 5.42% due 07/15/2049*(3)(6)		43,000		37,805
Towd Point Asset Trust FRS Series 2018-SL1, Class A 0.78% (1 ML+0.60%) due 01/25/2046*		49,833		49,056
UBS Commercial Mtg. Trust VRS Series 2012-C1, Class C 5.57% due 05/10/2045*(3)(6)		30,000		27,828
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.03% due 08/10/2049*(3)(6)		25,000		25,743
UBS-Citigroup Commercial Mtg. Trust Series 2011-C1, Class AS 5.15% due 01/10/2045*(6)		23,000		23,822

Security Description	Principal Amount		Value (Note 2)
Diversified Financial Services (continued)
Verus Securitization Trust VRS Series 2020-INV1, Class A1 1.98% due 03/25/2060*(3)(5)	$	94,530	$	95,567
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 1.07% (1 ML+0.92%) due 10/25/2044(5)		21,600		21,257
Wells Fargo Commercial Mtg. Trust Series 2016-BNK1, Class AS 2.81% due 08/15/2049(6)		29,000		30,123
Wells Fargo Commercial Mtg. Trust VRS Series 2016-BNK1, Class C 3.07% due 08/15/2049(3)(6)		113,000		91,734
Wells Fargo Commercial Mtg. Trust Series 2017-C39, Class A5 3.42% due 09/15/2050(6)		37,000		41,822
Wells Fargo Commercial Mtg. Trust VRS Series 2012-LC5, Class D 4.92% due 10/15/2045*(3)(6)		34,000		33,635
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.32% due 03/15/2045*(3)(6)(7)		229,425		5,190
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.67% due 12/15/2045*(3)(6)(7)		165,001		4,724
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.04% due 11/15/2045*(3)(6)(7)		101,247		2,997
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class AS 3.24% due 12/15/2045(6)		23,000		22,692
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(6)		63,000		65,570
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class AS 3.66% due 08/15/2045(6)		31,000		32,176
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(3)(6)		24,000		25,929
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS 4.39% due 12/15/2046(3)(6)		67,000		72,746
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.51% due 12/15/2045(3)(6)		18,000		9,678
WF-RBS Commercial Mtg. Trust VRS Series 2013-C16, Class AS 4.67% due 09/15/2046(3)(6)		20,000		21,732
WF-RBS Commercial Mtg. Trust Series 2012-C6, Class B 4.70% due 04/15/2045(6)		30,000		30,994
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class B 4.72% due 03/15/2047(3)(6)		66,000		70,516

131

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.97% due 06/15/2045*(3)(6)	$	55,000	$	28,828
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.97% due 11/15/2045*(3)(6)		51,000		45,285
WF-RBS Commercial Mtg. Trust VRS Series 2011-C5, Class C 5.84% due 11/15/2044*(3)(6)		101,000		101,918
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.85% due 03/15/2044*(3)(6)		34,000		16,118
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class D 5.86% due 02/15/2044*(3)(6)		26,000		25,787
Total Asset Backed Securities (cost $4,148,640)				3,556,157
CONVERTIBLE BONDS & NOTES — 0.0%
Cable/Satellite TV — 0.0%
DISH Network Corp. Senior Notes 3.38% due 08/15/2026		20,000		18,360
Oil Companies-Exploration & Production — 0.0%
Oasis Petroleum, Inc. Company Guar. Notes 2.63% due 09/15/2023(8)(9)		4,000		900
Total Convertible Bonds & Notes (cost $22,618)				19,260
U.S. CORPORATE BONDS & NOTES — 6.9%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028		71,000		84,155
Omnicom Group, Inc. Senior Notes 2.45% due 04/30/2030		55,000		56,574
Omnicom Group, Inc./Omnicom Capital, Inc. Senior Notes 3.60% due 04/15/2026		15,000		16,912
				157,641
Advertising Sales — 0.0%
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024		2,000		2,025
Outfront Media Capital LLC/Outfront Media Capital Corp. Company Guar. Notes 4.63% due 03/15/2030*		5,000		4,800
Outfront Media Capital LLC/Outfront Media Capital Corp. Company Guar. Notes 6.25% due 06/15/2025*		15,000		15,450
				22,275

Security Description	Principal Amount		Value (Note 2)
Aerospace/Defense — 0.1%
Boeing Co. Senior Notes 4.88% due 05/01/2025	$	32,000	$	34,820
Northrop Grumman Corp. Senior Notes 3.25% due 01/15/2028		55,000		61,797
				96,617
Aerospace/Defense-Equipment — 0.1%
L3Harris Technologies, Inc. Senior Notes 3.85% due 12/15/2026		38,000		43,662
L3Harris Technologies, Inc. Senior Notes 4.40% due 06/15/2028		25,000		29,801
TransDigm, Inc. Company Guar. Notes 5.50% due 11/15/2027		20,000		19,221
TransDigm, Inc. Senior Sec. Notes 6.25% due 03/15/2026*		25,000		26,107
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026		10,000		10,039
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024		28,000		27,930
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025		5,000		4,984
TransDigm, Inc. Senior Sec. Notes 8.00% due 12/15/2025*		5,000		5,438
				167,182
Agricultural Chemicals — 0.1%
CF Industries, Inc. Senior Sec. Notes 4.50% due 12/01/2026*		65,000		75,426
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		25,000		29,071
				104,497
Apparel Manufacturers — 0.0%
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024*		10,000		10,398
Hanesbrands, Inc. Company Guar. Notes 5.38% due 05/15/2025*		5,000		5,275
Levi Strauss & Co. Senior Notes 5.00% due 05/01/2025		5,000		5,116
				20,789
Applications Software — 0.1%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		20,000		21,847

132

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Applications Software (continued)
Microsoft Corp. Senior Notes 3.70% due 08/08/2046	$	38,000	$	47,716
ServiceNow, Inc. Senior Notes 1.40% due 09/01/2030		65,000		63,497
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027*		30,000		31,882
				164,942
Auto-Cars/Light Trucks — 0.1%
BMW US Capital LLC Company Guar. Notes 3.95% due 08/14/2028*		35,000		40,320
Ford Motor Co. Senior Notes 9.00% due 04/22/2025		20,000		22,930
General Motors Co. Senior Notes 6.13% due 10/01/2025		10,000		11,617
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026		8,000		8,572
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025		9,000		9,791
PM General Purchaser LLC Senior Sec. Notes 9.50% due 10/01/2028*		25,000		25,930
				119,160
Auto-Heavy Duty Trucks — 0.0%
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027*		20,000		20,575
Navistar International Corp. Company Guar. Notes 6.63% due 11/01/2025*		20,000		20,450
Navistar International Corp. Senior Sec. Notes 9.50% due 05/01/2025*		5,000		5,634
				46,659
Auto/Truck Parts & Equipment-Original — 0.0%
American Axle & Manufacturing, Inc. Company Guar. Notes 6.88% due 07/01/2028		10,000		9,700
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		2,000		2,060
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023		16,000		16,600
CIT Group, Inc. Senior Notes 5.25% due 03/07/2025		126,000		133,308
				151,968

Security Description	Principal Amount		Value (Note 2)
Banks-Mortgage — 0.0%
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024*	$	10,000	$	9,975
Freedom Mtg. Corp. Senior Notes 8.25% due 04/15/2025*		15,000		15,297
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025*		15,000		14,512
				39,784
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026*		10,000		10,752
Beverages-Non-alcoholic — 0.1%
Keurig Dr Pepper, Inc. Company Guar. Notes 3.20% due 05/01/2030		25,000		28,048
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025		25,000		28,799
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028		29,000		34,825
				91,672
Brewery — 0.0%
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.65% due 02/01/2026		18,000		20,178
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029		17,000		20,747
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049		14,000		18,822
				59,747
Broadcast Services/Program — 0.1%
Clear Channel Worldwide Holdings, Inc. Senior Sec. Notes 5.13% due 08/15/2027*		10,000		9,603
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 9.25% due 02/15/2024		8,000		7,755
Diamond Sports Group LLC/ Diamond Sports Finance Co. Senior Sec. Notes 5.38% due 08/15/2026*		20,000		14,150
Diamond Sports Group LLC/ Diamond Sports Finance Co. Company Guar. Notes 6.63% due 08/15/2027*		40,000		20,825
Discovery Communications LLC Company Guar. Notes 3.63% due 05/15/2030		23,000		25,555

133

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Broadcast Services/Program (continued)
Fox Corp. Senior Notes 4.03% due 01/25/2024	$	25,000	$	27,523
iHeartCommunications, Inc. Senior Sec. Notes 6.38% due 05/01/2026		16,268		16,948
iHeartCommunications, Inc. Company Guar. Notes 8.38% due 05/01/2027		32,299		31,815
Nexstar Broadcasting, Inc. Senior Sec. Notes 4.75% due 11/01/2028*		10,000		10,185
Nexstar Escrow, Inc. Company Guar. Notes 5.63% due 07/15/2027*		25,000		26,259
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*		15,000		14,212
Univision Communications, Inc. Senior Sec. Notes 6.63% due 06/01/2027*		15,000		14,644
Univision Communications, Inc. Senior Sec. Notes 9.50% due 05/01/2025*		10,000		10,700
				230,174
Building & Construction Products-Misc. — 0.1%
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024*		25,000		25,687
Builders FirstSource, Inc. Senior Sec. Notes 6.75% due 06/01/2027*		14,000		14,998
Louisiana-Pacific Corp. Senior Notes 4.88% due 09/15/2024		10,000		10,276
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031*		15,000		14,805
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027*		55,000		57,200
				122,966
Building & Construction-Misc. — 0.0%
TopBuild Corp. Company Guar. Notes 5.63% due 05/01/2026*		5,000		5,163
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 4.88% due 09/15/2028*		5,000		5,050
				10,213
Building Products-Cement — 0.0%
US Concrete, Inc. Company Guar. Notes 5.13% due 03/01/2029*		5,000		5,013

Security Description	Principal Amount		Value (Note 2)
Building Products-Cement (continued)
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024	$	18,000	$	18,562
				23,575
Building Products-Doors & Windows — 0.0%
Cornerstone Building Brands, Inc. Company Guar. Notes 8.00% due 04/15/2026*		8,000		8,400
JELD-WEN, Inc. Company Guar. Notes 4.63% due 12/15/2025*		5,000		5,025
JELD-WEN, Inc. Company Guar. Notes 4.88% due 12/15/2027*		5,000		5,095
JELD-WEN, Inc. Senior Sec. Notes 6.25% due 05/15/2025*		10,000		10,650
				29,170
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 4.88% due 07/01/2030*		10,000		10,750
Building-Heavy Construction — 0.0%
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025*		20,000		18,900
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022		20,000		20,509
MasTec, Inc. Company Guar. Notes 4.50% due 08/15/2028*		15,000		15,150
				54,559
Building-Residential/Commercial — 0.1%
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		25,000		28,180
Lennar Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		16,687
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		10,000		11,400
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032		20,000		27,500
Taylor Morrison Communities, Inc. Senior Notes 5.13% due 08/01/2030*		5,000		5,325
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028*		5,000		5,438
TRI Pointe Group, Inc. Company Guar. Notes 5.70% due 06/15/2028		10,000		10,950

134

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Residential/Commercial (continued)
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. Company Guar. Notes 5.88% due 06/15/2024	$	5,000	$	5,400
				110,880
Cable/Satellite TV — 0.5%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030*		5,000		5,250
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 05/01/2032*		10,000		10,437
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 06/01/2029*		110,000		119,212
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		20,000		20,775
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*		10,000		10,400
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.75% due 02/15/2028		12,000		13,267
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047		22,000		26,122
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		28,000		37,555
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		55,000		61,421
Comcast Corp. Company Guar. Notes 3.45% due 02/01/2050		112,000		126,522
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049		40,000		48,537
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		15,168
Cox Communications, Inc. Company Guar. Notes 2.95% due 10/01/2050*		31,000		29,831

Security Description	Principal Amount		Value (Note 2)
Cable/Satellite TV (continued)
Cox Communications, Inc. Senior Notes 3.35% due 09/15/2026*	$	25,000	$	27,805
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027*		25,000		28,000
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		76,000		81,510
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		29,000		30,414
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		40,000		41,020
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027*		90,000		93,825
Sirius XM Radio, Inc. Company Guar. Notes 5.50% due 07/01/2029*		5,000		5,363
				832,434
Casino Hotels — 0.0%
Boyd Gaming Corp. Company Guar. Notes 4.75% due 12/01/2027		5,000		4,906
Boyd Gaming Corp. Company Guar. Notes 6.00% due 08/15/2026		5,000		5,156
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026		5,000		5,206
Boyd Gaming Corp. Company Guar. Notes 8.63% due 06/01/2025*		5,000		5,482
Station Casinos LLC Company Guar. Notes 4.50% due 02/15/2028*		15,000		13,800
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025*		10,000		9,750
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027*		20,000		18,600
				62,900
Cellular Telecom — 0.2%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		16,000		16,740
Sprint Corp. Company Guar. Notes 7.63% due 03/01/2026		15,000		18,126

135

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023	$	53,000	$	60,884
T-Mobile USA, Inc. Senior Sec. Notes 3.75% due 04/15/2027*		96,000		107,725
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030*		39,000		44,250
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022		5,000		5,150
T-Mobile USA, Inc. Company Guar. Notes 4.50% due 02/01/2026		5,000		5,152
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027		10,000		10,674
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		5,013
				273,714
Chemicals-Diversified — 0.1%
Celanese US Holdings LLC Company Guar. Notes 3.50% due 05/08/2024		22,000		23,679
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022		19,000		20,434
Nutrition & Biosciences, Inc. Senior Sec. Notes 2.30% due 11/01/2030*		16,000		16,135
Nutrition & Biosciences, Inc. Senior Sec. Notes 3.47% due 12/01/2050*		9,000		9,087
				69,335
Chemicals-Specialty — 0.1%
Ecolab, Inc. Senior Notes 3.25% due 12/01/2027		65,000		73,731
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026*		35,000		35,700
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028		40,000		46,944
PQ Corp. Company Guar. Notes 5.75% due 12/15/2025*		30,000		30,862
Valvoline, Inc. Company Guar. Notes 4.25% due 02/15/2030*		10,000		10,200
Valvoline, Inc. Company Guar. Notes 4.38% due 08/15/2025		5,000		5,144

Security Description	Principal Amount		Value (Note 2)
Chemicals-Specialty (continued)
W.R. Grace & Co. Company Guar. Notes 4.88% due 06/15/2027*	$	10,000	$	10,327
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		25,000		26,562
				239,470
Circuit Boards — 0.0%
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025*		25,000		25,500
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		35,000		39,306
Commercial Services — 0.0%
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022*		25,000		25,063
Nielsen Finance LLC/Nielsen Finance Co Company Guar. Notes 5.63% due 10/01/2028*		10,000		10,343
TMS International Corp. Senior Notes 7.25% due 08/15/2025*		15,000		14,006
				49,412
Commercial Services-Finance — 0.1%
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030		40,000		42,800
IHS Markit, Ltd. Senior Notes 4.75% due 08/01/2028		20,000		23,792
Moody's Corp. Senior Bonds 2.55% due 08/18/2060		25,000		23,120
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026*		35,000		37,450
S&P Global, Inc. Company Guar. Notes 1.25% due 08/15/2030		17,000		16,726
S&P Global, Inc. Company Guar. Notes 2.50% due 12/01/2029		25,000		27,219
Sabre GLBL, Inc. Senior Sec. Notes 9.25% due 04/15/2025*		20,000		22,011
				193,118
Computer Services — 0.1%
Banff Merger Sub, Inc. Senior Notes 9.75% due 09/01/2026*		20,000		21,142

136

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computer Services (continued)
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Sec. Notes 5.75% due 06/01/2025*	$	5,000	$	5,238
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025*		45,000		45,927
				72,307
Computer Software — 0.0%
BY Crown Parent LLC/BY Bond Finance, Inc. Senior Sec. Notes 4.25% due 01/31/2026*		5,000		5,091
Computers — 0.1%
Apple, Inc. Senior Notes 4.38% due 05/13/2045		28,000		37,513
Dell International LLC/EMC Corp. Senior Sec. Notes 5.85% due 07/15/2025*		5,000		5,826
Dell International LLC/EMC Corp. Senior Sec. Notes 6.02% due 06/15/2026*		95,000		111,547
Dell International LLC/EMC Corp. Company Guar. Notes 7.13% due 06/15/2024*		10,000		10,402
Dell International LLC/EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046*		8,000		10,570
				175,858
Computers-Memory Devices — 0.0%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		10,000		10,831
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		5,000		5,058
Gartner, Inc. Company Guar. Notes 4.50% due 07/01/2028*		5,000		5,256
				10,314
Consumer Products-Misc. — 0.0%
Spectrum Brands, Inc. Company Guar. Notes 5.00% due 10/01/2029*		10,000		10,375
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024		30,000		30,825
				41,200
Containers-Metal/Glass — 0.1%
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024*		30,000		30,106

Security Description	Principal Amount		Value (Note 2)
Containers-Metal/Glass (continued)
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025*	$	15,000	$	14,119
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		25,000		29,656
Greif, Inc. Company Guar. Notes 6.50% due 03/01/2027*		20,000		20,719
Mauser Packaging Solutions Holding Co. Senior Sec. Notes 8.50% due 04/15/2024*		5,000		5,175
Owens-Brockway Glass Container, Inc. Company Guar. Notes 6.63% due 05/13/2027*		5,000		5,416
				105,191
Containers-Paper/Plastic — 0.1%
Berry Global Escrow Corp. Sec. Notes 5.63% due 07/15/2027*		5,000		5,250
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026*		5,000		5,050
Berry Global, Inc. Senior Sec. Notes 4.88% due 07/15/2026*		5,000		5,250
Berry Global, Inc. Sec. Notes 5.13% due 07/15/2023		7,000		7,106
Crown Americas LLC/Crown Americas Capital Corp. Company Guar. Notes 4.75% due 02/01/2026		10,000		10,375
Graphic Packaging International LLC Company Guar. Notes 3.50% due 03/01/2029*		10,000		10,063
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031		1,000		1,419
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030		20,000		28,182
				72,695
Data Processing/Management — 0.1%
Dun & Bradstreet Corp. Senior Sec. Notes 6.88% due 08/15/2026*		3,000		3,222
Fidelity National Information Services, Inc. Senior Notes 3.00% due 08/15/2026		3,000		3,328
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029		13,000		15,299

137

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management (continued)
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028	$	72,000	$	86,269
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028		80,000		95,009
				203,127
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc./ Ortho-Clinical Diagnostics SA Senior Notes 7.38% due 06/01/2025*		5,000		5,075
Direct Marketing — 0.0%
Terrier Media Buyer, Inc. Company Guar. Notes 8.88% due 12/15/2027*		20,000		20,150
Distribution/Wholesale — 0.0%
ABC Supply Co., Inc. Senior Sec. Notes 4.00% due 01/15/2028*		5,000		5,081
American Builders & Contractors Supply Co., Inc. Company Guar. Notes 5.88% due 05/15/2026*		5,000		5,188
PolyOne Corp. Senior Notes 5.75% due 05/15/2025*		5,000		5,300
Univar Solutions USA, Inc. Company Guar. Notes 5.13% due 12/01/2027*		20,000		20,525
				36,094
Diversified Banking Institutions — 0.3%
Bank of America Corp. Senior Notes 2.50% due 02/13/2031		60,000		63,081
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028		40,000		44,965
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		105,000		121,757
Goldman Sachs Group, Inc. Senior Notes 2.60% due 02/07/2030		27,000		28,539
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027		60,000		67,549
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029		48,000		55,978
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		13,076

Security Description	Principal Amount		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031	$	23,000	$	24,677
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		50,000		54,164
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048		85,000		103,291
				577,077
Diversified Manufacturing Operations — 0.0%
Amsted Industries, Inc. Senior Notes 4.63% due 05/15/2030*		10,000		10,325
Amsted Industries, Inc. Company Guar. Notes 5.63% due 07/01/2027*		10,000		10,638
				20,963
Drug Delivery Systems — 0.0%
Becton Dickinson and Co. Senior Notes 2.82% due 05/20/2030		40,000		43,136
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.50% due 06/03/2030		50,000		51,028
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027		30,000		34,206
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047		30,000		38,976
				124,210
E-Commerce/Services — 0.0%
Go Daddy Operating Co. LLC/ GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027*		5,000		5,203
Match Group, Inc. Senior Notes 4.13% due 08/01/2030*		5,000		5,058
Match Group, Inc. Senior Notes 4.63% due 06/01/2028*		10,000		10,300
Match Group, Inc. Senior Notes 5.00% due 12/15/2027*		16,000		16,880
TripAdvisor, Inc Company Guar. Notes 7.00% due 07/15/2025*		20,000		20,850
				58,291
Educational Software — 0.0%
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025*		25,000		25,605

138

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric Products-Misc. — 0.0%
WESCO Distribution, Inc. Company Guar. Notes 7.13% due 06/15/2025*	$	10,000	$	10,893
WESCO Distribution, Inc. Company Guar. Notes 7.25% due 06/15/2028*		15,000		16,435
				27,328
Electric-Distribution — 0.0%
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033		25,000		33,383
Electric-Generation — 0.1%
Vistra Operations Co. LLC Senior Sec. Notes 3.55% due 07/15/2024*		30,000		31,959
Vistra Operations Co. LLC Senior Sec. Notes 4.30% due 07/15/2029*		25,000		27,288
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027*		10,000		10,480
Vistra Operations Co. LLC Company Guar. Notes 5.50% due 09/01/2026*		25,000		26,094
Vistra Operations Co. LLC Company Guar. Notes 5.63% due 02/15/2027*		10,000		10,552
				106,373
Electric-Integrated — 0.2%
AES Corp. Senior Sec. Notes 3.30% due 07/15/2025*		5,000		5,327
AES Corp. Senior Notes 5.13% due 09/01/2027		30,000		31,953
AES Corp. Senior Notes 5.50% due 04/15/2025		30,000		30,932
American Electric Power Co., Inc. Senior Notes 4.30% due 12/01/2028		40,000		47,229
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		27,656
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037		5,000		7,178
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		11,883
Duke Energy Ohio, Inc. 1st Mtg. Notes 3.65% due 02/01/2029		55,000		63,859

Security Description	Principal Amount		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*	$	35,000	$	45,224
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		10,000		10,873
Pacific Gas & Electric Co. 1st Mtg. Notes 2.10% due 08/01/2027		35,000		33,865
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031		25,000		23,787
Pacific Gas & Electric Co. 1st Mtg. Notes 2.95% due 03/01/2026		15,000		15,278
PacifiCorp 1st Mtg. Notes 2.70% due 09/15/2030		22,000		24,123
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037		15,000		21,751
				400,918
Electronic Components-Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027		46,000		50,964
Broadcom, Inc. Company Guar. Notes 4.15% due 11/15/2030		45,000		50,550
Microchip Technology, Inc. Company Guar. Notes 4.25% due 09/01/2025*		20,000		20,751
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023		50,000		53,811
Qorvo, Inc. Company Guar. Notes 3.38% due 04/01/2031*		10,000		10,162
Qorvo, Inc. Company Guar. Notes 5.50% due 07/15/2026		10,000		10,606
				196,844
Electronic Measurement Instruments — 0.0%
Itron, Inc. Company Guar. Notes 5.00% due 01/15/2026*		10,000		10,250
Enterprise Software/Service — 0.1%
Boxer Parent Co., Inc. Senior Sec. Notes 7.13% due 10/02/2025*		5,000		5,340
Boxer Parent Co., Inc. Sec. Notes 9.13% due 03/01/2026*		15,000		15,900
Oracle Corp. Senior Notes 2.65% due 07/15/2026		30,000		32,755

139

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service (continued)
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028	$	75,000	$	88,550
				142,545
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031		51,000		69,825
Finance-Credit Card — 0.0%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		15,000		16,650
Finance-Investment Banker/Broker — 0.1%
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022*		39,000		42,082
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		35,000		36,266
				78,348
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 3.25% due 10/01/2029		32,000		30,354
Air Lease Corp. Senior Notes 4.63% due 10/01/2028		43,000		44,442
				74,796
Finance-Mortgage Loan/Banker — 0.0%
Nationstar Mtg. Holdings, Inc. Company Guar. Notes 5.50% due 08/15/2028*		15,000		14,981
Nationstar Mtg. Holdings, Inc. Company Guar. Notes 6.00% due 01/15/2027*		10,000		10,194
Nationstar Mtg. Holdings, Inc. Company Guar. Notes 9.13% due 07/15/2026*		5,000		5,363
PennyMac Financial Services, Inc. Senior Sec. Notes 5.38% due 10/15/2025*		15,000		15,187
				45,725
Finance-Other Services — 0.0%
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021		5,000		5,080
Intercontinental Exchange, Inc. Senior Notes 1.85% due 09/15/2032		20,000		19,871
Intercontinental Exchange, Inc. Senior Bonds 2.65% due 09/15/2040		40,000		39,864
				64,815

Security Description	Principal Amount		Value (Note 2)
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026	$	20,000	$	20,550
Kraft Heinz Foods Co. Company Guar. Notes 3.88% due 05/15/2027*		15,000		15,888
Kraft Heinz Foods Co. Company Guar. Notes 5.00% due 07/15/2035		20,000		23,030
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026*		63,000		65,678
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 05/15/2028*		10,000		10,800
				135,946
Food-Retail — 0.0%
Albertsons Cos, Inc./Safeway, Inc./ New Albertsons LP/Albertsons LLC Company Guar. Notes 4.63% due 01/15/2027*		15,000		15,348
Albertsons Cos, Inc./Safeway, Inc./ New Albertsons LP/Albertsons LLC Company Guar. Notes 4.88% due 02/15/2030*		5,000		5,212
Albertsons Cos. LLC/Safeway, Inc./ New Albertsons LP/Albertson's LLC Company Guar. Notes 7.50% due 03/15/2026*		15,000		16,456
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023*		25,000		22,375
				59,391
Footwear & Related Apparel — 0.0%
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026*		10,000		10,025
Wolverine World Wide, Inc. Company Guar. Notes 6.38% due 05/15/2025*		10,000		10,550
				20,575
Funeral Services & Related Items — 0.0%
Carriage Services, Inc. Company Guar. Notes 6.63% due 06/01/2026*		15,000		15,675
Service Corp. International Senior Notes 3.38% due 08/15/2030		10,000		10,012
Service Corp. International Senior Notes 4.63% due 12/15/2027		15,000		15,888
Service Corp. International Senior Notes 5.13% due 06/01/2029		20,000		22,163
				63,738

140

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Gambling (Non-Hotel) — 0.1%
Caesars Resort Collection LLC/ CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025*	$	25,000	$	24,188
Scientific Games International, Inc. Company Guar. Notes 7.00% due 05/15/2028*		5,000		5,012
Scientific Games International, Inc. Company Guar. Notes 7.25% due 11/15/2029*		20,000		20,300
Wynn Resorts Finance LLC/ Wynn Resorts Capital Corp. Company Guar. Notes 5.13% due 10/01/2029*		20,000		19,050
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. Senior Notes 7.75% due 04/15/2025*		5,000		5,295
				73,845
Garden Products — 0.0%
Scotts Miracle-Gro Co. Company Guar. Notes 4.50% due 10/15/2029		25,000		26,484
Golf — 0.0%
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025*		20,000		16,600
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		10,000		10,375
Clean Harbors, Inc. Company Guar. Notes 5.13% due 07/15/2029*		5,000		5,424
				15,799
Home Decoration Products — 0.0%
Newell Brands, Inc. Senior Notes 4.70% due 04/01/2026		15,000		15,975
Newell Brands, Inc. Senior Notes 4.88% due 06/01/2025		10,000		10,788
				26,763
Hotels/Motels — 0.1%
Hilton Domestic Operating Co., Inc. Company Guar. Notes  4.25% due 09/01/2024		5,000		4,975
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027		47,000		47,748
Marriott International, Inc. Senior Notes 4.63% due 06/15/2030		20,000		21,419

Security Description	Principal Amount		Value (Note 2)
Hotels/Motels (continued)
Marriott International, Inc. Senior Notes 5.75% due 05/01/2025	$	20,000	$	22,320
Wyndham Hotels & Resorts, Inc. Company Guar. Notes 5.38% due 04/15/2026*		5,000		5,088
				101,550
Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 4.50% due 02/15/2028*		25,000		25,603
Calpine Corp. Senior Notes 5.00% due 02/01/2031*		5,000		5,097
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026*		30,000		31,166
NRG Energy, Inc. Senior Sec. Notes 3.75% due 06/15/2024*		50,000		53,375
NRG Energy, Inc. Senior Sec. Notes 4.45% due 06/15/2029*		65,000		71,620
NRG Energy, Inc. Company Guar. Notes 5.25% due 06/15/2029*		5,000		5,438
NRG Energy, Inc. Company Guar. Notes 5.75% due 01/15/2028		10,000		10,787
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027		5,000		5,288
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026		10,000		10,643
				219,017
Insurance Brokers — 0.1%
Alliant Holdings Intermediate LLC/ Alliant Holdings Co-Issuer Senior Notes 6.75% due 10/15/2027*		10,000		10,491
HUB International, Ltd. Senior Notes 7.00% due 05/01/2026*		20,000		20,725
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029		33,000		39,956
USI, Inc. Senior Notes 6.88% due 05/01/2025*		10,000		10,125
				81,297
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		20,000		22,939

141

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Life/Health (continued)
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2029	$	15,000	$	17,320
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		15,000		22,378
				62,637
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070*		51,000		52,589
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		32,488
Internet Content-Entertainment — 0.1%
Netflix, Inc. Senior Notes 4.88% due 04/15/2028		15,000		16,762
Netflix, Inc. Senior Notes 4.88% due 06/15/2030*		5,000		5,700
Netflix, Inc. Senior Notes 5.38% due 11/15/2029*		10,000		11,787
Netflix, Inc. Senior Notes 5.88% due 11/15/2028		25,000		29,830
Netflix, Inc. Senior Notes 6.38% due 05/15/2029		5,000		6,150
				70,229
Investment Companies — 0.1%
Ares Capital Corp. Senior Notes 3.88% due 01/15/2026		65,000		66,199
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 4.75% due 09/15/2024		10,000		10,125
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.25% due 05/15/2027		10,000		10,418
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 05/15/2026		25,000		26,062
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024		10,000		10,258
				123,062

Security Description	Principal Amount		Value (Note 2)
Investment Management/Advisor Services — 0.0%
AG Issuer LLC Senior Sec. Notes 6.25% due 03/01/2028*	$	15,000	$	14,925
Neuberger Berman Group LLC / Neuberger Berman Finance Corp. Senior Notes 4.88% due 04/15/2045*		15,000		16,630
				31,555
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Senior Notes 3.10% due 03/01/2030		7,000		7,414
Oshkosh Corp. Senior Notes 4.60% due 05/15/2028		28,000		31,987
				39,401
Machinery-General Industrial — 0.1%
Otis Worldwide Corp. Senior Sec. Notes 2.57% due 02/15/2030		30,000		32,242
RBS Global, Inc./Rexnord LLC Company Guar. Notes 4.88% due 12/15/2025*		15,000		15,206
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026*		20,000		21,400
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025		10,000		10,378
				79,226
Medical Products — 0.0%
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025*		5,000		5,113
Medical-Biomedical/Gene — 0.0%
Amgen, Inc. Senior Notes 2.60% due 08/19/2026		12,000		13,046
Amgen, Inc. Senior Notes 4.66% due 06/15/2051		23,000		29,942
Emergent BioSolutions, Inc. Company Guar. Notes 3.88% due 08/15/2028*		5,000		5,020
				48,008
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029*		110,000		121,189
Bausch Health Americas, Inc. Company Guar. Notes 8.50% due 01/31/2027*		15,000		16,481
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029		110,000		128,118

142

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs (continued)
Upjohn, Inc. Company Guar. Notes 2.30% due 06/22/2027*	$	25,000	$	25,889
Zoetis, Inc. Senior Notes 2.00% due 05/15/2030		5,000		5,150
Zoetis, Inc. Senior Notes 3.90% due 08/20/2028		75,000		89,030
				385,857
Medical-HMO — 0.1%
Centene Corp. Senior Notes 3.00% due 10/15/2030		10,000		10,202
Centene Corp. Senior Notes 4.63% due 12/15/2029		30,000		32,360
Centene Corp. Senior Notes 4.75% due 05/15/2022		15,000		15,187
Centene Corp. Senior Notes 5.25% due 04/01/2025*		5,000		5,196
Centene Corp. Senior Notes 5.38% due 06/01/2026*		10,000		10,538
Centene Corp. Senior Notes 5.38% due 08/15/2026*		10,000		10,592
Molina Healthcare, Inc. Senior Notes 4.88% due 06/15/2025*		5,000		5,100
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030		4,000		4,191
UnitedHealth Group, Inc. Senior Notes 3.85% due 06/15/2028		80,000		94,418
				187,784
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		45,000		43,987
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.63% due 02/15/2025*		15,000		14,513
CHS/Community Health Systems, Inc. Senior Sec. Notes 8.00% due 03/15/2026*		15,000		14,745
CHS/Community Health Systems, Inc. Sec. Notes 8.13% due 06/30/2024*		17,000		12,410
HCA, Inc. Company Guar. Notes 3.50% due 09/01/2030		5,000		5,094

Security Description	Principal Amount		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029	$	35,000	$	39,587
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		45,000		52,501
HCA, Inc. Company Guar. Notes 5.38% due 09/01/2026		30,000		33,150
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047		10,000		12,380
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024		10,000		10,050
Tenet Healthcare Corp. Senior Sec. Notes 4.88% due 01/01/2026*		45,000		45,817
Tenet Healthcare Corp. Senior Sec. Notes 5.13% due 11/01/2027*		30,000		30,816
Tenet Healthcare Corp. Sec. Notes 6.25% due 02/01/2027*		10,000		10,322
Tenet Healthcare Corp. Senior Sec. Notes 7.50% due 04/01/2025*		5,000		5,375
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022		20,000		22,238
				352,985
Medical-Outpatient/Home Medical — 0.0%
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025*		15,000		11,775
Global Medical Response, Inc. Senior Sec. Notes 6.50% due 10/01/2025*		10,000		9,926
				21,701
Metal Processors & Fabrication — 0.0%
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027		20,000		18,400
Metal-Aluminum — 0.0%
Novelis Corp. Company Guar. Notes 4.75% due 01/30/2030*		10,000		9,822
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		40,000		41,100
				50,922
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 4.38% due 08/01/2028		10,000		10,340

143

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Metal-Copper (continued)
Freeport-McMoRan, Inc. Company Guar. Notes 4.63% due 08/01/2030	$	10,000	$	10,514
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043		5,000		5,544
				26,398
Metal-Diversified — 0.0%
Glencore Funding LLC Company Guar. Notes 1.63% due 09/01/2025*		16,000		15,866
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025*		16,000		17,561
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*		20,000		22,033
				55,460
Motion Pictures & Services — 0.0%
Lions Gate Capital Holdings LLC Company Guar. Notes 5.88% due 11/01/2024*		10,000		9,825
Lions Gate Capital Holdings LLC Company Guar. Notes 6.38% due 02/01/2024*		15,000		14,850
				24,675
Multimedia — 0.0%
Walt Disney Co. Company Guar. Notes 4.75% due 09/15/2044		20,000		25,411
Walt Disney Co. Company Guar. Notes 7.75% due 01/20/2024		20,000		24,331
Walt Disney Co. Company Guar. Notes 7.75% due 12/01/2045		3,000		5,204
				54,946
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 3.00% due 02/15/2031*		5,000		4,861
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026*		10,000		10,375
				15,236
Non-Hazardous Waste Disposal — 0.0%
Waste Pro USA, Inc. Senior Notes 5.50% due 02/15/2026*		30,000		30,360
Oil & Gas Drilling — 0.0%
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025		5,000		1,700

Security Description	Principal Amount		Value (Note 2)
Oil Companies-Exploration & Production — 0.3%
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022	$	14,000	$	11,410
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021		14,000		13,300
Apache Corp. Senior Notes 4.38% due 10/15/2028		10,000		9,150
Apache Corp. Senior Notes 4.63% due 11/15/2025		5,000		4,766
Apache Corp. Senior Notes 4.88% due 11/15/2027		5,000		4,725
Apache Corp. Senior Notes 5.10% due 09/01/2040		10,000		8,956
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 10.00% due 04/01/2022*		11,000		10,835
Comstock Resources, Inc. Company Guar. Notes 9.75% due 08/15/2026		5,000		5,144
Comstock Resources, Inc. Company Guar. Notes 9.75% due 08/15/2026		10,000		10,252
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		43,000		46,448
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028		5,000		4,331
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		5,000		4,963
Covey Park Energy LLC/Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025*		10,000		9,400
Devon Energy Corp. Senior Notes 5.60% due 07/15/2041		10,000		10,117
Devon Energy Corp. Senior Notes 7.95% due 04/15/2032		15,000		19,410
Devon Financing Co. LLC Senior Notes 7.88% due 09/30/2031		10,000		12,917
Diamondback Energy, Inc. Company Guar. Notes 3.25% due 12/01/2026		35,000		35,115
Diamondback Energy, Inc. Company Guar. Notes 4.75% due 05/31/2025		10,000		10,787

144

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025	$	5,000	$	5,192
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.75% due 01/30/2028*		30,000		30,150
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 6.63% due 07/15/2025*		15,000		15,412
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		65,000		74,439
Indigo Natural Resources LLC Senior Notes 6.88% due 02/15/2026*		15,000		14,599
Newfield Exploration Co. Company Guar. Notes 5.38% due 01/01/2026		5,000		4,696
Newfield Exploration Co. Company Guar. Notes 5.63% due 07/01/2024		5,000		4,850
Newfield Exploration Co. Company Guar. Notes 5.75% due 01/30/2022		15,000		14,994
Noble Energy, Inc. Senior Notes 3.90% due 11/15/2024		15,000		16,412
Noble Energy, Inc. Senior Notes 6.00% due 03/01/2041		5,000		6,936
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022(8)(9)		5,000		1,188
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023(8)(9)		10,000		2,325
Occidental Petroleum Corp. Senior Notes 2.90% due 08/15/2024		5,000		4,242
Occidental Petroleum Corp. Senior Notes 3.50% due 06/15/2025		10,000		8,300
Occidental Petroleum Corp. Senior Notes 4.85% due 03/15/2021		10,000		9,900
Occidental Petroleum Corp. Senior Notes 5.88% due 09/01/2025		10,000		9,165
Occidental Petroleum Corp. Senior Notes 6.45% due 09/15/2036		15,000		12,787
Occidental Petroleum Corp. Senior Notes 6.63% due 09/01/2030		10,000		9,225

Security Description	Principal Amount		Value (Note 2)
Oil Companies-Exploration & Production (continued)
SM Energy Co. Senior Notes 5.00% due 01/15/2024	$	15,000	$	8,025
SM Energy Co. Senior Notes 6.13% due 11/15/2022		4,000		3,112
SM Energy Co. Senior Notes 6.63% due 01/15/2027		10,000		4,442
SM Energy Co. Senior Notes 6.75% due 09/15/2026		10,000		4,450
SM Energy Co. Sec. Notes 10.00% due 01/15/2025*		5,000		4,750
Viper Energy Partners LP Company Guar. Notes 5.38% due 11/01/2027*		20,000		19,700
WPX Energy, Inc. Senior Notes 4.50% due 01/15/2030		5,000		4,916
WPX Energy, Inc. Senior Notes 5.25% due 10/15/2027		15,000		15,225
WPX Energy, Inc. Senior Notes 5.75% due 06/01/2026		10,000		10,350
WPX Energy, Inc. Senior Notes 5.88% due 06/15/2028		10,000		10,450
WPX Energy, Inc. Senior Notes 8.25% due 08/01/2023		10,000		11,300
				573,558
Oil Companies-Integrated — 0.1%
BP Capital Markets America, Inc. Company Guar. Notes 3.12% due 05/04/2026		20,000		22,080
BP Capital Markets America, Inc. Company Guar. Notes 3.94% due 09/21/2028		58,000		67,534
				89,614
Oil-Field Services — 0.0%
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026		20,000		19,104
USA Compression Partners LP/ USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026		15,000		14,869
USA Compression Partners LP/ USA Compression Finance Corp. Company Guar. Notes 6.88% due 09/01/2027		10,000		9,916
				43,889

145

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.75% due 08/15/2028*	$	5,000	$	5,012
Georgia-Pacific LLC Senior Notes 2.10% due 04/30/2027*		70,000		73,505
International Paper Co. Senior Notes 8.70% due 06/15/2038		5,000		7,714
Mercer International, Inc. Senior Notes 5.50% due 01/15/2026		5,000		4,800
Mercer International, Inc. Senior Notes 6.50% due 02/01/2024		10,000		10,025
				101,056
Pharmacy Services — 0.0%
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032*		55,383		69,160
Pipelines — 0.3%
Buckeye Partners LP Senior Notes 3.95% due 12/01/2026		5,000		4,659
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028*		5,000		4,819
Buckeye Partners LP Senior Notes 5.85% due 11/15/2043		5,000		4,632
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027		83,000		92,391
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025		15,000		17,098
DCP Midstream Operating LP Company Guar. Notes 5.63% due 07/15/2027		10,000		10,230
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037*		20,000		19,200
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032		30,000		41,301
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		9,000		9,576
Energy Transfer Operating LP Company Guar. Notes 2.90% due 05/15/2025		16,000		16,086

Security Description	Principal Amount		Value (Note 2)
Pipelines (continued)
Energy Transfer Operating LP Company Guar. Notes 5.88% due 01/15/2024	$	36,000	$	39,636
Energy Transfer Operating LP Company Guar. Notes 6.50% due 02/01/2042		2,000		2,095
Enterprise Products Operating LLC Company Guar. Notes 2.80% due 01/31/2030		75,000		79,834
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048		15,000		15,925
Global Partners LP/GLP Finance Corp Company Guar. Notes 6.88% due 01/15/2029*		5,000		5,050
Hess Midstream Operations LP Company Guar. Notes 5.63% due 02/15/2026*		30,000		30,562
Hess Midstream Partners LP Company Guar. Notes 5.13% due 06/15/2028*		10,000		9,981
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 5.00% due 02/01/2028*		10,000		9,750
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044		4,000		4,635
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032		24,000		33,413
Rattler Midstream LP Company Guar. Notes 5.63% due 07/15/2025*		10,000		10,075
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		35,000		38,007
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027		17,000		19,175
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028*		20,000		18,000
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 7.50% due 10/01/2025*		5,000		5,020
Targa Resources Partners Co. Company Guar. Notes 6.88% due 01/15/2029		5,000		5,349
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028		30,000		29,250

146

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. Company Guar. Notes 5.50% due 03/01/2030*	$	5,000	$	5,005
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 6.50% due 07/15/2027		15,000		15,637
				596,391
Private Equity — 0.0%
KKR Group Finance Co. VI LLC Company Guar. Notes 3.75% due 07/01/2029*		30,000		34,513
Protection/Safety — 0.0%
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 3.38% due 08/31/2027*		10,000		9,592
Prime Security Services Borrower LLC/Prime Finance, Inc. Sec. Notes 6.25% due 01/15/2028*		15,000		15,188
				24,780
Publishing-Periodicals — 0.0%
Meredith Corp. Senior Sec. Notes 6.50% due 07/01/2025*		15,000		15,450
Meredith Corp. Company Guar. Notes 6.88% due 02/01/2026		20,000		16,700
				32,150
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		5,000		5,101
Compass Minerals International, Inc. Company Guar. Notes 6.75% due 12/01/2027*		20,000		21,600
				26,701
Racetracks — 0.0%
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027*		10,000		10,373
Radio — 0.0%
Entercom Media Corp. Sec. Notes 6.50% due 05/01/2027*		15,000		13,050
Entercom Media Corp. Company Guar. Notes 7.25% due 11/01/2024*		15,000		12,750
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023*		10,000		9,163
				34,963

Security Description	Principal Amount		Value (Note 2)
Real Estate Investment Trusts — 0.3%
American Tower Corp. Senior Notes 2.75% due 01/15/2027	$	20,000	$	21,575
American Tower Corp. Senior Notes 2.90% due 01/15/2030		38,000		41,079
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027		26,000		29,093
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028		55,000		62,398
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047		5,000		6,180
Digital Realty Trust LP Company Guar. Notes 4.45% due 07/15/2028		100,000		118,979
Diversified Healthcare Trust Company Guar. Notes 9.75% due 06/15/2025		35,000		38,930
Equinix, Inc. Senior Notes 3.20% due 11/18/2029		48,000		52,900
Equinix, Inc. Senior Notes 5.38% due 05/15/2027		10,000		10,896
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		10,000		10,100
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.25% due 06/01/2025		10,000		10,858
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		10,000		11,083
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027*		10,000		10,198
Iron Mountain, Inc. Company Guar. Notes 5.25% due 03/15/2028*		20,000		20,825
iStar, Inc. Senior Notes 4.25% due 08/01/2025		20,000		18,662
iStar, Inc. Senior Notes 4.75% due 10/01/2024		15,000		14,512
iStar, Inc. Senior Notes 5.50% due 02/15/2026		15,000		14,058
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. Company Guar. Notes 4.25% due 02/01/2027*		15,000		12,975
Prologis LP Senior Notes 2.13% due 04/15/2027		8,000		8,518

147

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Prologis LP Senior Notes 2.25% due 04/15/2030	$	18,000	$	19,132
Service Properties Trust Company Guar. Notes 7.50% due 09/15/2025		5,000		5,314
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025		15,000		14,363
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		20,000		29,158
				581,786
Real Estate Management/Services — 0.0%
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026		17,000		19,903
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		5,000		5,733
				25,636
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025*		15,000		15,242
Rental Auto/Equipment — 0.0%
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*		15,000		16,494
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042*		39,000		49,673
				66,167
Research & Development — 0.0%
Jaguar Holding Co. II/PPD Development LP Company Guar. Notes 4.63% due 06/15/2025*		5,000		5,150
Jaguar Holding Co. II/PPD Development LP Company Guar. Notes 5.00% due 06/15/2028*		5,000		5,219
				10,369
Resorts/Theme Parks — 0.0%
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027*		20,000		18,966
Six Flags Theme Parks, Inc. Senior Sec. Notes 7.00% due 07/01/2025*		15,000		15,956
				34,922

Security Description	Principal Amount		Value (Note 2)
Retail-Apparel/Shoe — 0.0%
Gap, Inc. Senior Sec. Notes 8.38% due 05/15/2023*	$	10,000	$	11,050
Gap, Inc. Senior Sec. Notes 8.63% due 05/15/2025*		5,000		5,475
L Brands, Inc. Company Guar. Notes 6.63% due 10/01/2030*		10,000		10,175
L Brands, Inc. Company Guar. Notes 6.75% due 07/01/2036		10,000		9,800
L Brands, Inc. Senior Sec. Notes 6.88% due 07/01/2025*		5,000		5,400
L Brands, Inc. Company Guar. Notes 7.50% due 06/15/2029		15,000		15,675
L Brands, Inc. Company Guar. Notes 9.38% due 07/01/2025*		5,000		5,738
				63,313
Retail-Automobile — 0.0%
Penske Automotive Group, Inc. Company Guar. Notes 3.50% due 09/01/2025		5,000		4,980
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024		10,000		10,155
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,000
				29,135
Retail-Building Products — 0.0%
Beacon Roofing Supply, Inc. Senior Sec. Notes 4.50% due 11/15/2026*		15,000		15,450
Beacon Roofing Supply, Inc. Company Guar. Notes 4.88% due 11/01/2025*		10,000		9,800
				25,250
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		5,000		5,306
Retail-Drug Store — 0.0%
Rite Aid Corp. Senior Sec. Notes 7.50% due 07/01/2025*		7,000		6,895
Rite Aid Corp. Senior Sec. Notes 8.00% due 11/15/2026*		10,000		9,988
				16,883

148

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024	$	15,000	$	15,677
Retail-Major Department Stores — 0.0%
Nordstrom, Inc. Senior Sec. Notes 8.75% due 05/15/2025*		10,000		10,959
Retail-Office Supplies — 0.0%
Staples, Inc. Senior Sec. Notes 7.50% due 04/15/2026*		40,000		36,966
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc. Senior Sec. Notes 5.88% due 06/01/2025*		15,000		15,354
Retail-Regional Department Stores — 0.0%
Macy's, Inc. Senior Sec. Notes 8.38% due 06/15/2025*		5,000		5,170
Retail-Restaurants — 0.1%
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024*		25,000		20,875
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025*		10,000		7,888
IRB Holding Corp. Senior Sec. Notes 7.00% due 06/15/2025*		10,000		10,662
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027*		10,000		10,493
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024*		20,000		20,506
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		15,000		15,585
Yum! Brands, Inc. Senior Notes 3.63% due 03/15/2031		10,000		10,000
Yum! Brands, Inc. Senior Notes 4.75% due 01/15/2030*		10,000		10,800
Yum! Brands, Inc. Senior Notes 7.75% due 04/01/2025*		5,000		5,545
				112,354
Software Tools — 0.0%
VMware, Inc. Senior Notes 3.90% due 08/21/2027		15,000		16,754

Security Description	Principal Amount		Value (Note 2)
Steel-Producers — 0.0%
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 6.63% due 01/31/2029*	$	15,000	$	15,167
Steel-Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 7.88% due 08/15/2023		5,000		5,113
Telecommunication Equipment — 0.0%
CommScope Technologies LLC Company Guar. Notes 6.00% due 06/15/2025*		9,000		9,122
CommScope, Inc. Senior Sec. Notes 5.50% due 03/01/2024*		5,000		5,138
CommScope, Inc. Senior Sec. Notes 6.00% due 03/01/2026*		15,000		15,637
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		35,000		31,150
				61,047
Telephone-Integrated — 0.4%
AT&T, Inc. Senior Notes 4.10% due 02/15/2028		65,000		75,250
AT&T, Inc. Senior Notes 4.30% due 02/15/2030		41,000		48,599
AT&T, Inc. Senior Notes 4.35% due 03/01/2029		34,000		40,022
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		5,000		5,874
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026*(8)(9)		5,000		5,040
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022(8)(9)		30,000		12,525
Level 3 Financing, Inc. Company Guar. Notes 3.63% due 01/15/2029*		10,000		9,875
Level 3 Financing, Inc. Company Guar. Notes 4.63% due 09/15/2027*		15,000		15,413
Level 3 Financing, Inc. Company Guar. Notes 5.25% due 03/15/2026		270,000		279,706
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028		35,000		43,750
Verizon Communications, Inc. Senior Notes 4.33% due 09/21/2028		129,000		156,412

149

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055	$	10,000	$	13,855
Zayo Group Holdings, Inc. Senior Sec. Notes 4.00% due 03/01/2027*		5,000		4,921
Zayo Group Holdings, Inc. Senior Notes 6.13% due 03/01/2028*		5,000		5,161
				716,403
Television — 0.1%
Gray Television, Inc. Company Guar. Notes 7.00% due 05/15/2027*		25,000		27,103
Sinclair Television Group, Inc. Company Guar. Notes 5.50% due 03/01/2030*		15,000		13,912
ViacomCBS, Inc. Senior Notes 2.90% due 01/15/2027		18,000		19,412
ViacomCBS, Inc. Senior Notes 4.00% due 01/15/2026		6,000		6,738
ViacomCBS, Inc. Senior Notes 4.20% due 06/01/2029		30,000		34,699
				101,864
Theaters — 0.0%
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		18,000		15,367
Cinemark USA, Inc. Senior Sec. Notes 8.75% due 05/01/2025*		5,000		5,300
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024*		5,000		4,838
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026*		10,000		9,650
Live Nation Entertainment, Inc. Senior Sec. Notes 6.50% due 05/15/2027*		10,000		10,792
				45,947
Tools-Hand Held — 0.0%
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025*		20,000		19,100
Toys — 0.0%
Mattel, Inc. Company Guar. Notes 5.88% due 12/15/2027*		20,000		21,525

Security Description	Principal Amount		Value (Note 2)
Transactional Software — 0.0%
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028*	$	10,000	$	10,106
Solera LLC/Solera Finance, Inc. Senior Notes 10.50% due 03/01/2024*		15,000		15,675
				25,781
Transport-Rail — 0.0%
Watco Cos LLC/finance Co. Senior Notes 6.50% due 06/15/2027*		35,000		35,809
Trucking/Leasing — 0.0%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026*		16,000		17,510
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc. Senior Notes 5.90% due 08/28/2028		15,000		17,325
Web Portals/ISP — 0.1%
Alphabet, Inc. Senior Notes 2.00% due 08/15/2026		35,000		37,529
Alphabet, Inc. Senior Notes 2.25% due 08/15/2060		50,000		47,279
				84,808
Total U.S. Corporate Bonds & Notes (cost $12,125,198)				13,019,403
FOREIGN CORPORATE BONDS & NOTES — 0.7%
Agricultural Chemicals — 0.1%
Nutrien, Ltd. Senior Notes 2.95% due 05/13/2030		10,000		10,941
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029		45,000		53,521
				64,462
Airlines — 0.0%
Delta Air Lines/Skymiles Senior Sec. Notes 4.75% due 10/20/2028*		25,000		25,957
Auto/Truck Parts & Equipment-Original — 0.0%
Clarios Global LP Senior Sec. Notes 6.75% due 05/15/2025*		10,000		10,525
Panther BF Aggregator 2 LP/Panther Finance Co, Inc. Senior Sec. Notes 6.25% due 05/15/2026*		10,000		10,486
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. Company Guar. Notes 8.50% due 05/15/2027*		15,000		15,487
				36,498

150

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial — 0.1%
Bank of Montreal Sub. Notes 3.80% due 12/15/2032	$	10,000	$	11,146
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		50,000		59,020
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031		19,000		21,354
Westpac Banking Corp. Sub. Notes 4.42% due 07/24/2039		30,000		36,380
				127,900
Building Products-Air & Heating — 0.0%
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047		35,000		43,847
Building Products-Doors & Windows — 0.0%
Masonite International Corp. Company Guar. Notes 5.38% due 02/01/2028*		5,000		5,332
Building-Residential/Commercial — 0.0%
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.25% due 09/15/2027*		15,000		15,126
Mattamy Group Corp. Senior Notes 4.63% due 03/01/2030*		20,000		20,252
Mattamy Group Corp. Senior Notes 5.25% due 12/15/2027*		20,000		20,550
				55,928
Cable/Satellite TV — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,000		1,072
Videotron, Ltd. Company Guar. Notes 5.13% due 04/15/2027*		30,000		31,560
				32,632
Cellular Telecom — 0.0%
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028		25,000		26,743
Chemicals-Specialty — 0.0%
Tronox Finance PLC Company Guar. Notes 5.75% due 10/01/2025*		5,000		4,925
Commercial Services — 0.0%
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025*		20,000		20,375

Security Description	Principal Amount		Value (Note 2)
Commercial Services-Finance — 0.1%
IHS Markit, Ltd. Company Guar. Notes 4.00% due 03/01/2026*	$	15,000	$	16,725
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025*		60,000		67,978
				84,703
Containers-Paper/Plastic — 0.0%
Intelligent Packaging, Ltd. Finco, Inc./ Intelligent Packaging, Ltd. Co-Issuer LLC Senior Sec. Notes 6.00% due 09/15/2028*		10,000		10,141
Cruise Lines — 0.0%
Carnival Corp. Senior Sec. Notes 11.50% due 04/01/2023*		5,000		5,603
Royal Caribbean Cruises, Ltd. Company Guar. Notes 9.13% due 06/15/2023*		5,000		5,300
				10,903
Diagnostic Equipment — 0.0%
DH Europe Finance II SARL Company Guar. Notes 3.40% due 11/15/2049		30,000		34,001
Diversified Financial Services — 0.0%
UBS-Barclays Commercial Mtg. Trust Series 2012-C3, Class AS 3.81% due 08/10/2049*(6)		29,000		30,249
Diversified Minerals — 0.0%
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		6,120
Finance-Consumer Loans — 0.0%
goeasy, Ltd. Company Guar. Notes 5.38% due 12/01/2024*		15,000		15,188
Insurance Brokers — 0.0%
Aon PLC Company Guar. Notes 4.25% due 12/12/2042		20,000		23,284
Insurance-Reinsurance — 0.1%
Fairfax Financial Holdings, Ltd. Senior Notes 4.85% due 04/17/2028		55,000		60,272
Machinery-Pumps — 0.0%
Husky III Holding, Ltd. Senior Notes 13.00% due 02/15/2025*(14)		20,000		20,700
Titan Acquisition, Ltd./Titan Co-Borrower LLC Senior Notes 7.75% due 04/15/2026*		5,000		4,975
				25,675

151

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Drugs — 0.1%
Bausch Health Cos., Inc. Company Guar. Notes 6.25% due 02/15/2029*	$	10,000	$	10,286
Bausch Health Cos., Inc. Company Guar. Notes 7.00% due 01/15/2028*		5,000		5,300
Bausch Health Cos., Inc. Company Guar. Notes 7.25% due 05/30/2029*		15,000		16,163
Mallinckrodt International Finance SA/ Mallinckrodt CB LLC Sec. Notes 10.00% due 04/15/2025*		4,000		3,060
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 5.50% due 11/01/2025*		25,000		25,656
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.13% due 04/15/2025*		50,000		51,187
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 7.00% due 03/15/2024*		15,000		15,525
				127,177
Metal-Copper — 0.0%
Hudbay Minerals, Inc. Company Guar. Notes 6.13% due 04/01/2029*		5,000		4,950
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025*		10,000		10,175
				15,125
Miscellaneous Manufacturing — 0.0%
Bombardier, Inc. Senior Notes 7.50% due 12/01/2024*		5,000		3,837
Bombardier, Inc. Senior Notes 7.88% due 04/15/2027*		20,000		15,169
				19,006
Non-Hazardous Waste Disposal — 0.1%
GFL Environmental, Inc. Senior Sec. Notes 5.13% due 12/15/2026*		15,000		15,489
GFL Environmental, Inc. Senior Notes 7.00% due 06/01/2026*		21,000		22,138
GFL Environmental, Inc. Senior Notes 8.50% due 05/01/2027*		9,000		9,765
Waste Connections, Inc. Senior Notes 3.50% due 05/01/2029		50,000		56,928
				104,320

Security Description	Principal Amount		Value (Note 2)
Oil & Gas Drilling — 0.0%
Nabors Industries, Ltd. Company Guar. Notes 7.25% due 01/15/2026*	$	5,000	$	2,463
Nabors Industries, Ltd. Company Guar. Notes 7.50% due 01/15/2028*		5,000		2,406
Precision Drilling Corp. Company Guar. Notes 7.13% due 01/15/2026*		20,000		12,864
Transocean Pontus, Ltd. Senior Sec. Notes 6.13% due 08/01/2025*		3,900		3,487
Transocean Poseidon, Ltd. Senior Sec. Notes 6.88% due 02/01/2027*		15,000		12,022
Transocean, Inc. Company Guar. Notes 11.50% due 01/30/2027*		1,000		410
				33,652
Oil Companies-Exploration & Production — 0.0%
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		5,000		2,825
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		25,000		23,825
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		17,000		16,676
				43,326
Oil Companies-Integrated — 0.0%
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		10,000		10,053
Equinor ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		40,464
				50,517
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025		15,000		18,075
Pipelines — 0.0%
Enbridge, Inc. Company Guar. Notes 4.25% due 12/01/2026		15,000		17,205
Retail-Convenience Store — 0.1%
Alimentation Couche-Tard, Inc. Senior Notes 2.95% due 01/25/2030*		30,000		32,350
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027*		50,000		55,963
				88,313

152

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Retail-Restaurants — 0.0%
1011778 BC ULC/New Red Finance, Inc. Senior Notes 4.00% due 10/15/2030*	$	10,000	$	10,077
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028*		15,000		15,282
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 4.38% due 01/15/2028*		5,000		5,099
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025*		20,000		20,507
				50,965
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025*(8)(9)		35,000		22,925
Security Services — 0.0%
GW B-CR Security Corp. Senior Notes 9.50% due 11/01/2027*		17,000		17,850
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 7.50% due 10/15/2039		12,000		15,146
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		25,000		26,094
Total Foreign Corporate Bonds & Notes (cost $1,325,657)				1,394,831
LOANS(10)(11)(12) — 0.2%
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc. FRS BTL-B 3.76% (3 ML +3.50%) due 08/21/2026		24,750		22,505
Auto-Heavy Duty Trucks — 0.0%
Navistar, Inc. FRS 1st Lien BTL-B 3.66% (1 ML+3.50%) due 11/06/2024		31,055		30,745
Broadcast Services/Program — 0.0%
iHeartCommunications, Inc. FRS BTL 4.75% (1 ML+4.00%) due 05/01/2026		14,963		14,401

Security Description	Principal Amount		Value (Note 2)
Building & Construction Products-Misc. — 0.0%
AZEK Co. LLC FRS BTL 4.75% (1 ML+3.75%) due 05/05/2024	$	5,570	$	5,547
Building-Heavy Construction — 0.0%
Brand Industrial Services, Inc. FRS BTL 5.25% (3 ML +4.25%) due 06/21/2024		4,862		4,522
Cellular Telecom — 0.0%
T-Mobile USA, Inc. FRS BTL 3.15% (1 ML +3.00%) due 04/01/2027		9,975		9,963
Chemicals-Specialty — 0.0%
Solenis International LLC FRS 1st Lien BTL 4.26% (3 ML+4.00%) due 06/26/2025		9,924		9,647
Computer Software — 0.0%
Rackspace Hosting, Inc. FRS 1st Lien 4.00% (3 ML+3.00%) due 11/03/2023		4,874		4,776
Diagnostic Kits — 0.0%
Ortho-Clinical Diagnostics SA FRS BTL-B 3.41% (1 ML+3.25%) due 06/30/2025		19,332		18,486
Enterprise Software/Service — 0.0%
Epicor Software Corp. FRS BTL 5.25% (1 ML+4.25%) due 07/30/2027		15,000		14,910
Epicor Software Corp. FRS 2nd Lien 8.75% (1 ML+7.75%) due 07/31/2028		10,000		10,208
				25,118
Environmental Consulting & Engineering — 0.0%
Robertshaw US Holding Corp. FRS 1st Lien 4.25% (3 ML+3.25%) due 02/28/2025		4,776		4,091
Robertshaw US Holding Corp. FRS 2nd Lien 9.00% (6 ML +8.00%) due 02/28/2026		10,000		6,000
				10,091
Machinery-Electrical — 0.1%
Vertiv Group Corp. FRS BTL-B 3.16% (1 ML+3.00%) due 03/02/2027		44,775		43,891

153

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
LOANS(10)(11)(12) (continued)
Machinery-Pumps — 0.0%
Titan Acquisition, Ltd. FRS BTL-B 3.36% (3 ML+3.00%) due 03/28/2025	$	19,428	$	18,311
Medical-Outpatient/Home Medical — 0.1%
Global Medical Response, Inc. FRS 1.00% (3 ML+4.75%) due 09/16/2025		35,000		34,183
Non-Hazardous Waste Disposal — 0.0%
GFL Environmental, Inc. FRS BTL-B 4.00% (1 ML+3.00%) due 05/30/2025		16,864		16,768
GFL Environmental, Inc. FRS BTL-B 4.00% (3 ML+3.00%) due 05/30/2025		3,018		3,001
				19,769
Oil Companies-Exploration & Production — 0.0%
California Resources Corp. 1st Lien 0.00% due 12/31/2022(2)		5,000		1,800
Rubber/Plastic Products — 0.0%
Gates Global LLC FRS BTL-B 3.75% (1 ML+2.75%) due 04/01/2024		6,779		6,662
Telephone-Integrated — 0.0%
Zayo Group Holdings, Inc. FRS BTL 3.15% (1 ML+3.00%) due 03/09/2027		9,950		9,634
Total Loans (cost $302,300)				290,051
MUNICIPAL BONDS & NOTES — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049		25,000		43,061
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		20,892
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		49,858
Total Municipal Bonds & Notes (cost $70,165)				113,811
U.S. GOVERNMENT AGENCIES — 3.3%
Federal Home Loan Mtg. Corp. — 0.1%
5.50% due 06/01/2035		2,309		2,721
7.50% due 10/01/2029		2,343		2,678

Security Description	Principal Amount		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K111, Class X1 1.68% due 05/25/2030(3)(6)(7)	$	295,906	$	38,117
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HQA2, Class M2 2.45% (1 ML+2.3%) due 10/25/2048*(5)		10,000		9,787
Series 2019-DNA2, Class M2 2.60% (1 ML+2.45%) due 03/25/2049*(5)		11,704		11,507
Series 2015-DN1, Class M3 4.30% (1 ML+4.15%) due 01/25/2025(5)		66,067		66,234
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 16.56% (-2.56*1 ML+16.95) due 06/15/2034(5)(13)		5,584		6,807
Series 3065, Class DC 19.40% (-3*1 ML+19.86) due 03/15/2035(5)(13)		16,437		23,725
Series 3072, Class SM 23.24% (-3.67*1 ML+23.8) due 11/15/2035(5)(13)		9,766		17,122
				178,698
Federal National Mtg. Assoc. — 1.0%
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C02, Class 2M2 2.75% (1 ML+2.60%) due 05/25/2024(5)		42,480		41,734
Series 2017-C01, Class 1M2 3.70% (1 ML+3.55%) due 07/25/2029(5)		10,611		10,916
Series 2015-C01, Class 1M2 4.45% (1 ML+4.30%) due 02/25/2025(5)		7,378		7,498
Series 2014-C04, Class 1M2 5.05% (1 ML+4.90%) due 11/25/2024(5)		173,563		179,964
Series 2016-C03, Class 1M2 5.45% (1 ML+5.30%) due 10/25/2028(5)		7,035		7,413
Series 2016-C02, Class 1M2 6.15% (1 ML+6.00%) due 09/25/2028(5)		140,957		149,167
Federal National Mtg. Assoc. 3.00% due 09/01/2046		451,524		474,722
3.00% due 10/01/2046		171,058		179,813
3.50% due 01/01/2047		20,927		22,246
4.00% due 04/01/2049		529,424		564,428
4.50% due 11/01/2020		8		9
5.00% due 03/01/2021		89		93
6.00% due 06/01/2036		1,012		1,196
6.50% due 06/01/2036		6,160		7,200

154

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
6.50% due 07/01/2036	$	2,304	$	2,691
6.50% due 09/01/2036		6,607		7,507
6.50% due 11/01/2036		19,109		22,198
7.00% due 06/01/2033		2,624		3,087
7.00% due 04/01/2035		3,842		4,518
7.50% due 04/01/2024		2,161		2,297
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2017-C07, Class 1EB2 1.15% (1 ML+1.00%) due 05/25/2030(5)		23,000		22,821
Series 2017-C02, Class 2ED3 1.50% (1 ML+1.35%) due 09/25/2029(5)		9,419		9,324
Series 2020-R01, Class 1M2 2.20% (1 ML+2.05%) due 01/25/2040*(5)		22,000		21,556
Series 2018-C05, Class 1M2 2.50% (1 ML+2.35%) due 01/25/2031(5)		10,313		10,116
Series 2016-C04, Class 1M2 4.40% (1 ML+4.25%) due 01/25/2029(5)		146,144		151,407
Series 2015-C03, Class 2M2 5.15% (1 ML+5.00%) due 07/25/2025(5)		5,834		5,972
Series 2016-C01, Class 1M2 6.90% (1 ML+6.75%) due 08/25/2028(5)		7,611		7,898
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.39% due 10/25/2041(3)(5)(7)		49,792		653
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 19.81% (-3*1 ML+20.25) due 08/25/2035(5)(13)		4,272		6,083
Series 2005-122, Class SE 22.58% (-3.5*1 ML+23.1) due 11/25/2035(5)(13)		4,235		6,177
Series 2006-8, Class HP 24.02% (-3.67*1 ML+24.57) due 03/25/2036(5)(13)		9,735		17,044
				1,947,748
Government National Mtg. Assoc. — 0.6%
3.50% due October 30 TBA		1,000,000		1,052,930
5.50% due 11/20/2049		16,437		18,068
6.50% due 08/20/2037		9,847		11,299
6.50% due 09/20/2037		2,333		2,754
				1,085,051
Uniform Mtg. Backed Securities — 1.6%
2.00% due November 30 TBA		1,000,000		1,032,171
2.50% due November 30 TBA		2,000,000		2,095,044
				3,127,215
Total U.S. Government Agencies (cost $6,319,156)				6,338,712

Security Description	Shares/ Principal Amount		Value (Note 2)
U.S. GOVERNMENT TREASURIES — 2.2%
United States Treasury Bonds — 1.6%
1.25% due 05/15/2050	$	80,000	$	76,050
2.75% due 08/15/2042(15)(16)(17)		1,780,000		2,285,005
3.00% due 02/15/2047		520,000		705,027
				3,066,082
United States Treasury Notes — 0.6%
1.63% due 10/31/2023		620,000		648,021
1.75% due 06/30/2022		540,000		555,293
				1,203,314
Total U.S. Government Treasuries (cost $3,534,318)				4,269,396
EXCHANGE-TRADED FUNDS — 3.4%
iShares Core MSCI Emerging Markets ETF		2,526		133,373
SPDR S&P 500 Trust ETF		16,849		5,642,562
SPDR S&P MidCap 400 ETF		2,250		762,367
Total Exchange-Traded Funds (cost $5,542,184)				6,538,302
EQUITY CERTIFICATES — 0.2%
Diversified Banking Institutions — 0.1%
UBS AG — Shenzhen Inovance Technology Co., Ltd.		14,000		119,020
Beverages-Wine/Spirits — 0.0%
UBS AG — Wuliangye Yibin Co., Ltd.		3,600		116,818
Medical Products — 0.1%
UBS AG — Shenzhen Mindray Bio-Medical.		2,690		137,451
Total Equity Certificates (cost $346,937)				373,289
WARRANTS† — 0.1%
Commercial Services — 0.1%
Centre Testing International Group Co., Ltd. Expires 01/11/2021		34,900		125,188
Radio — 0.0%
iHeartmedia, Inc. Expires 05/01/2039		198		1,455
Total Warrants (cost $83,989)				126,643
ESCROWS AND LITIGATION TRUSTS — 0.0%
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019(2)		20,000		2
GenOn Energy, Inc. Escrow Notes 9.88% due 10/15/2049(2)		20,000		0
Seventy Seven Energy, Inc. Escrow Notes 6.50% due 07/15/2022(2)		5,000		1
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020*		11,000		16

155

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Shares/ Security Description	Principal Amount			Value (Note 2)
ESCROWS AND LITIGATION TRUSTS (continued)
Vistra Energy Corp. CVR†(1)	$	1,362		$	1,487
Total Escrows And Litigation Trusts (cost $12)					1,506
Total Long-Term Investment Securities (cost $152,446,245)					177,805,684
SHORT-TERM INVESTMENT SECURITIES — 4.0%
Commercial Paper — 4.0%
Barclays Bank PLC 0.20% due 10/05/2020		1,000,000			999,977
BPCE SA 0.22% due 10/15/2020		900,000			899,966
Manhattan Asset Fdg. 0.15% due 10/27/2020		950,000			949,895
Matchpoint Finance PLC 0.20% due 11/13/2020		950,000			949,832
Nationwide Bldg Soc 0.16% due 10/26/2020		950,000			949,899
NRW.Bank 0.20% due 10/19/2020		900,000			899,954
Skandin Ens Banken AG 0.19% due 12/10/2020		1,000,000			999,708
Toronto Dominion Bank 0.17% due 12/23/2020		950,000			949,654
Total Short-Term Investment Securities (cost $7,598,634)					7,598,885
REPURCHASE AGREEMENTS — 5.2%
Agreement with Bank of America Securities LLC, bearing interest at 0.06%, dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $9,838,014 and collateralized by $9,719,000 of United States Treasury Notes, bearing interest at 1.75% due 04/30/2022 and having an approximate value of $10,034,774 (cost $9,838,000)		9,838,000			9,838,000
TOTAL INVESTMENTS (cost $169,882,879)(18)		102.9	%		195,242,569
Liabilities in excess of other assets		(2.9	)		(5,410,533	)
NET ASSETS		100.0	%	$	189,832,036

†  Non-income producing security

*    Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $7,735,966 representing 4.1% of net assets.

(1)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks
MWO Holdings LLC	08/24/2016		10	$	6,153	$	0	$	0		0.00	%
Escrows and Litigation Trusts
Vistra Energy Corp. CVR	10/06/2016		1,362		0		1,487		1.09		0.00
						$	1,487				0.00	%

(2)  Securities classified as Level 3 (see Note 2).

(3)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(4)  Perpetual maturity — maturity date reflects the next call date.

(5)  Collateralized Mortgage Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

(8)  Company has filed for bankruptcy protection.

(9)  Security in default of interest.

(10)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund/Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(11)  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.

(12)  All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.

(13)  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, 2020.

156

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PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

(14)  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.

(15)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(16)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

(17)  The security or a portion thereof was pledged as collateral to cover margin requirements for open forward foreign currency contracts.

(18)  See Note 4 for cost of investments on a tax basis

ADR — American Depositary Receipt

BTL — Bank Term Loan

CVR — Contingent Value Rights

ETF — Exchange-Traded Fund

REMIC — Real Estate Mortgage Investment Conduit

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal mount and maturity date will be determined upon settlement date.

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 MTA — 12 Month USD Treasury Average Index

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	116	Long	E-Mini Russell 2000 Index	December 2020	$	8,713,054	$	8,725,520	$	12,466
	8	Short	MSCI EAFE Index	December 2020		754,661		741,280		13,381
	13	Long	U.S. Treasury 2 Year Notes	December 2020		2,870,867		2,872,492		1,625
	3	Long	U.S. Treasury 5 Year Notes	December 2020		377,461		378,094		633
									$	28,105
									Unrealized (Depreciation)
	41	Short	S&P 500 E-Mini Index	December 2020	$	6,826,650	$	6,871,600	$	(44,950	)
	1	Short	U.S. Treasury 10 Year Notes	December 2020		139,148		139,531		(383	)
	30	Short	U.S. Treasury 10 Year Ultra Bonds	December 2020		4,775,156		4,797,656		(22,500	)
	3	Short	U.S. Treasury Long Bonds	December 2020		528,375		528,844		(469	)
									$	(68,302	)
Net Unrealized Appreciation (Depreciation)									$	(40,197	)

*  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.

157

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Over the Counter Total Return Swap Contracts

						Value
Swap Counterparty	Notional Amount (000's)		Maturity Date	Payments Received (Paid) by Portfolio/Frequency	Total Return Received or Paid by Portfolio/Frequency	Upfront Premiums Paid/(Received)		Unrealized Appreciation (Depreciation)
Citibank N.A.	$	9,690	06/10/2021	3 Month USD LIBOR-BBA plus 34 bps/Quarterly	Citibank U.S. Equity Custom Basket(1)/Quarterly	$	—	$	65,089
Citibank N.A.		8,898	06/10/2021	3 Month USD LIBOR-BBA less 11 bps/Quarterly	Russell 1000 Index Total Return/ Quarterly		—		(107,117	)
Goldman Sachs International		2,326	12/15/2025	3 Month USD LIBOR-BBA plus 35 bps/Monthly	Goldman Sachs U.S. Equity Custom Basket(2)/Monthly		—		(41,302	)
Net Unrealized Appreciation (Depreciation)						$	—	$	(83,330	)

BBA — British Banker's Association

LIBOR — London Interbank Offered Rate

(1)  The following list represents the components in the Citibank U.S. Equity Custom Basket:

Common Stocks	Percentage*			Shares		Value
Amazon.com, Inc.		6.1	%		186	$	586,369
Apple, Inc.		5.3			4,404		510,040
Microsoft Corp.		3.7			1,721		361,995
Alphabet, Inc., Class A		3.3			218		320,051
Adobe, Inc.		2.6			504		247,182
Verizon Communications, Inc.		2.3			3,724		221,554
Texas Instruments, Inc.		2.0			1,354		193,321
JPMorgan Chase & Co.		1.9			1,910		183,881
Medtronic PLC		1.9			1,762		183,069
Intuit, Inc.		1.9			558		182,087
Mondelez International, Inc., Class A		1.8			3,043		174,826
Honeywell International, Inc.		1.8			1,056		173,886
Fidelity National Information Services, Inc.		1.8			1,181		173,801
Veeva Systems, Inc., Class A		1.7			584		164,105
Lockheed Martin Corp.		1.7			420		160,987
Goldman Sachs Group, Inc.		1.5			741		148,941
NVIDIA Corp.		1.5			272		147,105
eBay, Inc.		1.4			2,582		134,504
Intercontinental Exchange, Inc.		1.4			1,335		133,522
Johnson & Johnson		1.3			873		129,977
Cognizant Technology Solutions Corp., Class A		1.3			1,828		126,901
Waste Management, Inc.		1.3			1,114		126,090
Starbucks Corp.		1.3			1,450		124,595
Clorox Co.		1.3			586		123,100
Take-Two Interactive Software, Inc.		1.3			744		122,972
Allstate Corp.		1.2			1,231		115,924
DTE Energy Co.		1.2			982		113,019
Charter Communications, Inc., Class A		1.1			177		110,585
Synopsys, Inc.		1.1			500		106,997
Exelon Corp.		1.1			2,899		103,665
US Bancorp		1.1			2,852		102,256
Hologic, Inc.		1.0			1,509		100,291
Hershey Co.		1.0			677		97,045
Costco Wholesale Corp.		1.0			271		96,190
Procter & Gamble Co.		1.0			691		96,062
Baxter International, Inc.		1.0			1,179		94,824
Cisco Systems, Inc.		1.0			2,342		92,261
Kinder Morgan, Inc.		0.9			7,396		91,193
Garmin, Ltd.		0.9			960		91,108
Leidos Holdings, Inc.		0.9			1,010		90,040
Facebook, Inc., Class A		0.9			338		88,545

158

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Common Stocks	Percentage*			Shares		Value
Merck & Co., Inc.		0.8	%		946	$	78,507
Dollar General Corp.		0.8			374		78,294
Cadence Design Systems, Inc.		0.8			726		77,397
PepsiCo, Inc.		0.8			537		74,407
Pfizer, Inc.		0.7			1,939		71,160
Carrier Global Corp.		0.7			2,224		67,914
F5 Networks, Inc.		0.7			533		65,480
Juniper Networks, Inc.		0.7			3,034		65,223
Electronic Arts, Inc.		0.7			499		65,095
State Street Corp.		0.7			1,079		64,027
Amgen, Inc.		0.7			249		63,258
American Electric Power Co., Inc.		0.6			763		62,361
Berry Global Group, Inc.		0.6			1,230		59,414
Maxim Integrated Products, Inc.		0.6			867		58,603
Bristol-Myers Squibb Co.		0.6			960		57,877
Exxon Mobil Corp.		0.6			1,671		57,364
Omnicom Group, Inc.		0.6			1,156		57,236
Teledyne Technologies, Inc.		0.6			181		56,253
Eli Lilly & Co.		0.5			356		52,751
Laboratory Corp. of America Holdings		0.5			277		52,110
Cabot Oil & Gas Corp.		0.5			2,884		50,060
Walt Disney Co.		0.5			392		48,608
Delta Air Lines, Inc.		0.5			1,583		48,394
C.H. Robinson Worldwide, Inc.		0.5			465		47,497
Thermo Fisher Scientific, Inc.		0.5			107		47,326
AbbVie, Inc.		0.5			520		45,532
VICI Properties, Inc.		0.5			1,923		44,934
Equity Residential		0.5			875		44,892
Ecolab, Inc.		0.4			210		42,030
Quest Diagnostics, Inc.		0.4			356		40,706
Loews Corp.		0.4			1,166		40,535
American Homes 4 Rent, Class A		0.4			1,413		40,236
Chemed Corp.		0.4			82		39,467
KLA Corp.		0.4			199		38,527
Target Corp.		0.4			238		37,417
Coca-Cola Co.		0.4			744		36,733
Amdocs, Ltd.		0.4			619		35,537
Gentex Corp.		0.3			1,236		31,821
Reliance Steel & Aluminum Co.		0.3			301		30,668
Zoetis, Inc.		0.3			183		30,284
AGNC Investment Corp.		0.3			2,165		30,113
Equity Commonwealth		0.3			1,097		29,216
Axalta Coating Systems, Ltd.		0.3			1,314		29,130
Biogen, Inc.		0.3			102		28,874
Camden Property Trust		0.3			316		28,148
Accenture PLC, Class A		0.3			124		27,935
Vertex Pharmaceuticals, Inc.		0.3			102		27,849
Western Union Co.		0.3			1,280		27,422
Allison Transmission Holdings, Inc.		0.3			774		27,208
QIAGEN NV		0.3			519		27,123
Chevron Corp.		0.3			371		26,696
NewMarket Corp.		0.3			75		25,756
Schneider National, Inc., Class B		0.3			1,024		25,329
Bright Horizons Family Solutions, Inc.		0.3			160		24,304
Prologis, Inc.		0.2			241		24,218
Zimmer Biomet Holdings, Inc.		0.2			176		23,919
Activision Blizzard, Inc.		0.2			286		23,151
HP, Inc.		0.2			1,192		22,638
UDR, Inc.		0.2			675		21,997
Ingersoll Rand, Inc.		0.2			598		21,271
Assurant, Inc.		0.2			174		21,100

159

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Common Stocks	Percentage*			Shares		Value
Regeneron Pharmaceuticals, Inc.		0.2	%		35	$	19,349
Black Knight, Inc.		0.2			220		19,136
American Financial Group, Inc.		0.2			280		18,751
Reinsurance Group of America, Inc.		0.2			174		16,573
CenterPoint Energy, Inc.		0.2			854		16,530
MGIC Investment Corp.		0.2			1,808		16,017
Silgan Holdings, Inc.		0.2			433		15,932
New York Community Bancorp, Inc.		0.1			1,611		13,327
EQT Corp.		0.1			945		12,216
Duke Realty Corp.		0.1			316		11,661
Equity LifeStyle Properties, Inc.		0.1			163		9,995
Republic Services, Inc.		0.1			104		9,696
AptarGroup, Inc.		0.1			77		8,714
Agilent Technologies, Inc.		0.1			85		8,585
Jazz Pharmaceuticals PLC		0.1			57		8,158
Incyte Corp.		0.1			79		7,048
Alexion Pharmaceuticals, Inc.		0.1			52		5,937
Moderna, Inc.		0.1			80		5,638
Terminix Global Holdings, Inc.		0.1			140		5,595
Exelixis, Inc.		0.1			229		5,595
Mettler-Toledo International, Inc.		0.1			6		5,510
Union Pacific Corp.		0.1			28		5,467
Bio-Rad Laboratories, Inc., Class A		0.1			10		5,211
Colgate-Palmolive Co.		0.1			64		4,912
BioMarin Pharmaceutical, Inc.		0.0			60		4,570
Sarepta Therapeutics, Inc.		0.0			32		4,442
Pinnacle West Capital Corp.		0.0			58		4,314
Mylan NV		0.0			291		4,314
Automatic Data Processing, Inc.		0.0			29		4,100
Chubb, Ltd.		0.0			34		3,930
United Therapeutics Corp.		0.0			37		3,759
Neurocrine Biosciences, Inc.		0.0			39		3,759
Bluebird Bio, Inc.		0.0			70		3,759
United Airlines Holdings, Inc.		0.0			104		3,632
Total components in the Citibank U.S. Equity Custom Basket		100.0	%			$	9,690,330

*  Represents the weighting of the component in the custom basket.

(2)  The following list represents the components in the Goldman U.S. Equity Custom Basket

Common Stocks	Percentage*			Shares		Value
PerkinElmer Inc		4.1	%		768	$	96,333
Ipsen SA		4.1			912		95,685
Merck KGaA		4.1			655		95,642
Thermo Fisher Scientific Inc		4.0			213		94,210
Mettler-Toledo International Inc		4.0			95		92,146
Zoetis Inc		3.9			551		91,168
Agilent Technologies Inc		3.7			853		86,083
IQVIA Holdings Inc		3.7			543		85,622
Pfizer Inc		3.7			2,323		85,270
Merck & Co Inc		3.5			987		81,894
Waters Corp		3.5			410		80,287
GlaxoSmithKline PLC		2.9			3,631		68,066
Johnson & Johnson		2.9			456		67,911
Sanofi		2.8			655		65,541
Illumina Inc		2.8			207		64,124
Perrigo Co PLC		2.7			1,345		61,759
Mylan NV		2.6			4,083		60,550
Alexion Pharmaceuticals Inc		2.6			527		60,262

160

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Common Stocks	Percentage*			Shares		Value
Bayer AG		2.5	%		925	$	57,825
Taisho Pharmaceutical Holdings Co Ltd		2.4			844		55,329
AbbVie Inc		2.3			613		53,715
Biogen Inc		2.3			187		52,967
Bristol-Myers Squibb Co		2.1			799		48,169
AstraZeneca PLC		2.1			441		48,169
Sumitomo Dainippon Pharma Co Ltd		2.0			3,521		46,147
CSL Ltd		1.9			215		44,182
Amgen Inc		1.9			170		43,139
Sartorius Stedim Biotech		1.8			124		42,754
Teva Pharmaceutical Industries Ltd		1.6			4,144		37,340
Gilead Sciences Inc		1.6			588		37,155
Galapagos NV		1.6			261		37,131
Vifor Pharma AG		1.4			240		32,630
Eisai Co Ltd		1.3			327		29,738
Hisamitsu Pharmaceutical Co Inc		1.3			572		29,083
Takeda Pharmaceutical Co Ltd		1.2			812		28,811
Eli Lilly and Co		1.0			165		24,426
Shionogi & Co Ltd		0.9			390		20,776
Hikma Pharmaceuticals PLC		0.9			593		19,859
H Lundbeck A/S		0.7			504		16,622
UCB SA		0.6			129		14,612
Astellas Pharma Inc		0.6			950		14,114
Incyte Corp		0.5			137		12,329
Grifols SA		0.5			374		10,776
Eurofins Scientific SE		0.3			10		8,091
Regeneron Pharmaceuticals Inc		0.3			13		7,327
Novartis AG		0.3			72		6,278
Daiichi Sankyo Co Ltd		0.2			197		6,039
Recordati SpA		0.1			57		2,914
Vertex Pharmaceuticals Inc		0.1			10		2,735
Orion Oyj		0.1			59		2,672
Total components in the Goldman U.S. Equity Custom Basket		100.0	%			$	2,326,407

*  Represents the weighting of the component in the custom basket.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Barclays Bank PLC	HKD	58,600	USD	7,560	11/18/2020	$	—	$	0
Citibank N.A.	DKK	632,700	USD	101,764	12/16/2020		1,974		—
	USD	87,168	GBP	65,400	12/16/2020		—		(2,739	)
							1,974		(2,739	)
Goldman Sachs International	USD	252,003	JPY	26,560,500	11/18/2020		—		(31	)
HSBC Bank USA	CNH	4,782,800	USD	684,468	11/18/2020		—		(18,745	)
	USD	583,376	EUR	490,900	12/16/2020		—		(6,850	)
	USD	303,137	GBP	227,500	12/16/2020		—		(9,444	)
							—		(35,039	)
JPMorgan Chase Bank	KRW	34,745,100	USD	29,327	11/18/2020		—		(471	)
	NOK	450,600	USD	50,623	12/16/2020		2,305		—
	USD	18,036	AUD	26,000	10/21/2020		587		—
	USD	573,774	JPY	60,414,100	11/18/2020		—		(642	)
	USD	158,691	SGD	218,600	11/18/2020		1,458		—
	USD	757,502	CHF	688,100	12/16/2020		—		(8,734	)
	USD	623,531	GBP	467,800	12/16/2020		—		(19,620	)
							4,350		(29,467	)

161

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
NatWest Markets PLC	SEK	2,050,900	USD	235,110	12/16/2020	$	5,895	$	—
State Street Bank and Trust Co.	USD	12,764	ILS	43,900	10/21/2020		53		—
	USD	51,875	JPY	5,464,500	11/18/2020		—		(35	)
	USD	1,021,101	EUR	858,300	12/16/2020		—		(13,091	)
							53		(13,126	)
UBS AG	USD	24,721	CAD	33,600	10/21/2020		514		—
	USD	435,103	EUR	366,100	12/16/2020		—		(5,145	)
	USD	425,945	GBP	319,500	12/16/2020		—		(13,484	)
							514		(18,629	)
Westpac Banking Corp.	USD	18,466	CAD	25,100	10/21/2020		387		—
	USD	599,869	JPY	63,222,200	11/18/2020		—		(98	)
							387		(98	)
Unrealized Appreciation (Depreciation)						$	13,173	$	(99,129	)

AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
CNH — Yuan Renminbi
DKK — Danish Krone
EUR — Euro Currency
GBP — Pound Sterling
HKD — Hong Kong Dollar
ILS — New Israeli Sheqel
JPY — Japanese Yen
KRW — South Korean Won
NOK — Norwegian Krone
SEK — Swedish Krona
SGD — Singpore Dollar
USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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:
Oil Companies-Exploration & Production	$	—	$	—		$	0	$	0
Other Industries		109,645,978		31,536,351	**		—		141,182,329
Preferred Securities		14,483		—			—		14,483
Preferred Securities/Capital Securities		—		567,511			—		567,511
Asset Backed Securities		—		3,556,157			—		3,556,157
Convertible Bonds & Notes		—		19,260			—		19,260
U.S. Corporate Bonds & Notes		—		13,019,403			—		13,019,403
Foreign Corporate Bonds & Notes		—		1,394,831			—		1,394,831
Loans:
Oil Companies-Exploration & Production		—		—			1,800		1,800
Other Industries		—		288,251			—		288,251
Municipal Bonds & Notes		—		113,811			—		113,811
U.S. Government Agencies		—		6,338,712			—		6,338,712
U.S. Government Treasuries		—		4,269,396			—		4,269,396
Exchange-Traded Funds		6,538,302		—			—		6,538,302
Equity Certificates		—		373,289			—		373,289
Warrants		—		126,643			—		126,643
Escrows and Litigations		—		1,503			3		1,506
Short-Term Investment Securities		—		7,598,885			—		7,598,885
Repurchase Agreements		—		9,838,000			—		9,838,000
Total Investments at Value	$	116,198,763	$	79,042,003		$	1,803	$	195,242,569
Other Financial Instruments:†
Futures Contracts	$	28,105	$	—		$	—	$	28,105
Over the Counter Total Return Swap Contracts		—		65,089			—		65,089
Forward Foreign Currency Contracts		—		13,173			—		13,173
Total Other Financial Instruments	$	28,105	$	78,262		$	—	$	106,367

162

Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	68,302	$	—	$	—	$	68,302
Over the Counter Total Return Swap Contracts		—		148,419		—		148,419
Forward Foreign Currency Contracts		—		99,129		—		99,129
Total Other Financial Instruments	$	68,302	$	247,548	$	—	$	315,850

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no material Level 3 transfers during the reporting period.

See Notes to Financial Statements

163

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
E-Commerce/Products	13.8	%
Applications Software	11.1
Internet Content-Entertainment	9.1
Computers	5.5
Finance-Credit Card	5.5
Web Portals/ISP	4.9
Commercial Services-Finance	4.8
Enterprise Software/Service	4.1
Medical-HMO	3.5
Electronic Components-Semiconductors	3.3
Data Processing/Management	2.7
E-Commerce/Services	2.2
Auto-Cars/Light Trucks	2.0
Computer Software	2.0
Retail-Apparel/Shoe	1.7
Electronic Measurement Instruments	1.6
Medical Instruments	1.6
Medical-Biomedical/Gene	1.5
Medical Products	1.2
Entertainment Software	1.2
Semiconductor Equipment	1.1
Transport-Services	1.0
Pharmacy Services	0.9
Athletic Footwear	0.9
Retail-Automobile	0.9
Transport-Rail	0.9
Internet Content-Information/News	0.8
Casino Hotels	0.8
Electronic Forms	0.8
Commercial Services	0.7
Retail-Restaurants	0.7
Medical-Hospitals	0.6
Internet Application Software	0.5
Auto-Heavy Duty Trucks	0.5
Diversified Financial Services	0.5
Semiconductor Components-Integrated Circuits	0.5
Aerospace/Defense	0.5
Diversified Manufacturing Operations	0.5
Auto/Truck Parts & Equipment-Original	0.5
Registered Investment Companies	0.5
Insurance-Multi-line	0.5
Internet Gambling	0.4
Industrial Gases	0.4
Computer Data Security	0.3
Machinery-General Industrial	0.2
Finance-Other Services	0.2
Decision Support Software	0.2
Investment Management/Advisor Services	0.2
Finance-Investment Banker/Broker	0.2
Transport-Truck	0.1
Food-Wholesale/Distribution	0.1
Dental Supplies & Equipment	0.1
	100.3	%

*  Calculated as a percentage of net assets

164

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.3%
Aerospace/Defense — 0.5%
Teledyne Technologies, Inc.†		6,941	$	2,153,168
Applications Software — 11.0%
Epic Games, Inc.†(1)(2)		1,420		816,500
Intuit, Inc.		19,037		6,210,060
Microsoft Corp.		169,926		35,740,536
ServiceNow, Inc.†		10,616		5,148,760
Stripe, Inc., Class B†(1)(2)		10,760		168,824
				48,084,680
Athletic Footwear — 0.9%
NIKE, Inc., Class B		32,900		4,130,266
Auto-Cars/Light Trucks — 0.8%
Ferrari NV		17,966		3,307,361
XPeng, Inc. ADR†		12,016		241,161
				3,548,522
Auto-Heavy Duty Trucks — 0.5%
Cummins, Inc.		10,934		2,308,823
Auto/Truck Parts & Equipment-Original — 0.5%
Aptiv PLC		22,602		2,072,151
Casino Hotels — 0.8%
Las Vegas Sands Corp.		21,800		1,017,188
Wynn Resorts, Ltd. .		32,966		2,367,289
				3,384,477
Commercial Services — 0.7%
Cintas Corp.		9,428		3,137,921
Commercial Services-Finance — 4.8%
Avalara, Inc.†		10,971		1,397,047
Equifax, Inc.		6,835		1,072,412
Global Payments, Inc.		22,887		4,064,273
PayPal Holdings, Inc.†		38,006		7,488,322
S&P Global, Inc.		7,701		2,776,981
StoneCo, Ltd., Class A†		20,619		1,090,539
TransUnion		38,946		3,276,527
				21,166,101
Computer Data Security — 0.3%
Crowdstrike Holdings, Inc., Class A†		9,792		1,344,637
Computer Software — 2.0%
Datadog, Inc., Class A†		23,196		2,369,704
Slack Technologies, Inc., Class A†		69,169		1,857,879
Splunk, Inc.†		23,486		4,418,421
				8,646,004
Computers — 5.5%
Apple, Inc.		208,273		24,120,096
Data Processing/Management — 2.7%
Fidelity National Information Services, Inc.		45,742		6,733,680
Fiserv, Inc.†		49,806		5,132,508
				11,866,188
Decision Support Software — 0.2%
MSCI, Inc.		2,375		847,353
Dental Supplies & Equipment — 0.1%
Align Technology, Inc.†		1,355		443,573

Security Description	Shares		Value (Note 2)
Diversified Financial Services — 0.5%
ANT International Co., Ltd., Class C†(1)(2)		249,140	$	2,252,226
Diversified Manufacturing Operations — 0.5%
Parker-Hannifin Corp.		10,300		2,084,102
E-Commerce/Products — 13.8%
Alibaba Group Holding, Ltd. ADR†		41,486		12,196,054
Amazon.com, Inc.†		15,280		48,112,595
				60,308,649
E-Commerce/Services — 1.4%
Booking Holdings, Inc.†		1,643		2,810,647
Match Group, Inc.†		28,436		3,146,443
				5,957,090
Electronic Components-Semiconductors — 3.3%
Advanced Micro Devices, Inc.†		73,142		5,996,912
Marvell Technology Group, Ltd.		71,370		2,833,389
NVIDIA Corp.		10,481		5,672,527
				14,502,828
Electronic Forms — 0.8%
Adobe, Inc.†		6,700		3,285,881
Electronic Measurement Instruments — 1.6%
Fortive Corp.		37,672		2,870,983
Roper Technologies, Inc.		10,818		4,274,300
				7,145,283
Enterprise Software/Service — 3.9%
Palantir Technologies Inc., Class A†		52,011		494,105
Paycom Software, Inc.†		7,469		2,325,100
salesforce.com, Inc.†		43,639		10,967,353
Snowflake, Inc., Class A†		1,529		383,779
Snowflake, Inc., Class B†(1)		997		237,735
Temenos AG		5,106		687,607
Workday, Inc., Class A†		7,769		1,671,345
				16,767,024
Entertainment Software — 1.2%
Sea, Ltd. ADR†		32,800		5,052,512
Finance-Credit Card — 5.5%
Mastercard, Inc., Class A		34,940		11,815,660
Visa, Inc., Class A		60,748		12,147,777
				23,963,437
Finance-Investment Banker/Broker — 0.2%
Tradeweb Markets, Inc.		12,464		722,912
Finance-Other Services — 0.2%
Cboe Global Markets, Inc.		9,900		868,626
Food-Wholesale/Distribution — 0.0%
Maplebear, Inc. (dba Instacart) Non-Voting Shares†(1)(2)		167		7,732
Maplebear, Inc. (dba Instacart) Voting Shares†(1)(2)		3,211		148,669
				156,401
Industrial Gases — 0.4%
Linde PLC		6,850		1,631,191
Insurance-Multi-line — 0.5%
Chubb, Ltd.		17,426		2,023,507

165

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Application Software — 0.5%
Shopify, Inc., Class A†		1,666	$	1,704,268
Wix.com, Ltd.†		2,503		637,890
				2,342,158
Internet Content-Entertainment — 9.1%
Facebook, Inc., Class A†		84,792		22,207,025
Netflix, Inc.†		19,802		9,901,594
Snap, Inc., Class A†		179,686		4,691,601
Spotify Technology SA†		12,152		2,947,711
				39,747,931
Internet Content-Information/News — 0.8%
GoodRx Holdings, Inc.†		2,312		128,547
Tencent Holdings, Ltd.		52,700		3,509,471
				3,638,018
Internet Gambling — 0.4%
DraftKings, Inc., Class A†		31,850		1,874,054
Investment Management/Advisor Services — 0.2%
XP, Inc., Class A†		20,236		843,639
Machinery-General Industrial — 0.2%
Westinghouse Air Brake Technologies Corp.		14,524		898,745
Medical Instruments — 1.6%
Alcon, Inc.†		10,473		594,595
Intuitive Surgical, Inc.†		8,950		6,350,383
				6,944,978
Medical Products — 1.2%
Stryker Corp.		25,765		5,368,653
Medical-Biomedical/Gene — 1.5%
Argenx SE ADR†		1,503		394,567
Incyte Corp.†		18,669		1,675,356
Vertex Pharmaceuticals, Inc.†		16,390		4,460,047
				6,529,970
Medical-HMO — 3.5%
Anthem, Inc.		11,799		3,169,094
Centene Corp.†		38,580		2,250,371
Humana, Inc.		4,500		1,862,505
UnitedHealth Group, Inc.		25,986		8,101,655
				15,383,625
Medical-Hospitals — 0.6%
HCA Healthcare, Inc.		20,799		2,593,219
Pharmacy Services — 0.9%
Cigna Corp.		24,447		4,141,566
Retail-Apparel/Shoe — 1.7%
Lululemon Athletica, Inc.†		10,462		3,445,869
Ross Stores, Inc.		43,518		4,061,100
				7,506,969
Retail-Automobile — 0.9%
CarMax, Inc.†		4,160		382,346
Carvana Co.†		15,390		3,432,893
				3,815,239

Security Description	Shares		Value (Note 2)
Retail-Restaurants — 0.7%
Chipotle Mexican Grill, Inc.†		2,467	$	3,068,233
Semiconductor Components-Integrated Circuits — 0.5%
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		26,600		2,156,462
Semiconductor Equipment — 1.1%
ASML Holding NV		12,499		4,615,506
Transport-Rail — 0.9%
Norfolk Southern Corp.		5,852		1,252,269
Union Pacific Corp.		12,586		2,477,806
				3,730,075
Transport-Services — 0.9%
FedEx Corp.		16,204		4,075,630
Transport-Truck — 0.1%
JB Hunt Transport Services, Inc.		5,198		656,923
Web Portals/ISP — 4.9%
Alphabet, Inc., Class A†		7,975		11,688,160
Alphabet, Inc., Class C†		6,769		9,947,722
				21,635,882
Total Common Stocks (cost $258,396,340)				425,543,104
CONVERTIBLE PREFERRED SECURITIES — 2.5%
Applications Software — 0.1%
Magic Leap, Inc., Series C†(1)(2)		26,666		184,306
Magic Leap, Inc., Series D†(1)(2)		16,678		135,092
				319,398
Auto-Cars/Light Trucks — 1.2%
Aurora Innovation, Inc., Series B†(1)(2)		35,120		324,519
GM Cruise Holdings, LLC Class F†(1)(2)		33,800		616,850
Rivian Automotive, Inc., Series D†(1)(2)		114,924		1,780,173
Rivian Automotive, Inc., Series E†(1)(2)		166,666		2,581,656
				5,303,198
E-Commerce/Services — 0.8%
Airbnb, Inc., Series D†(1)(2)		13,329		1,133,987
Airbnb, Inc., Series E†(1)(2)		8,841		752,163
DoorDash, Inc., Series G†(1)(2)		1,701		390,432
Doordash, Inc., Series H†(1)(2)		717		164,574
Rappi, Inc., Series E†(1)(2)		9,191		549,126
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2)		19,048		865,922
				3,856,204
Enterprise Software/Service — 0.2%
UiPath, Inc., Series D-1†(1)(2)		36,408		676,951
UiPath, Inc., Series D-2†(1)(2)		6,114		113,680
Uipath, Inc.,Series E†(1)(2)		897		16,678
				807,309
Food-Wholesale/Distribution — 0.1%
Maplebear, Inc. (dba Instacart), Series G†(1)(2)		6,559		315,435

166

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares			Value (Note 2)
CONVERTIBLE PREFERRED SECURITIES (continued)
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Series E†(1)(2)		12,598		$	0
Transport-Services — 0.1%
Waymo LLC, Series A-2†(1)(2)		4,915			422,037
Total Convertible Preferred Securities (cost $10,473,038)					11,023,581
Total Long-Term Investment Securities (cost $268,869,378)					436,566,685
SHORT-TERM INVESTMENT SECURITIES — 0.5%
Registered Investment Companies — 0.5%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(3)		563,495			563,495
T. Rowe Price Government Reserve Fund 0.09%(3)		1,496,733			1,496,733
Total Short-Term Investment Securities (cost $2,060,228)					2,060,228
TOTAL INVESTMENTS (cost $270,929,606)(4)		100.3	%		438,626,913
Liabilities in excess of other assets		(0.3	)		(1,364,780	)
NET ASSETS		100.0	%	$	437,262,133

†  Non-income producing security

(1)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ANT International Co., Ltd., Class C	06/07/2018		249,140	$	1,397,675	$	2,252,226	$	9.04		0.52	%
Epic Games, Inc.	06/18/2020		1,420		816,500		816,500		575.00		0.19
Maplebear, Inc. (dba Instacart) Non-Voting Shares	08/07/2020		167		7,738		7,732		46.30		0.00

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks (continued)
Maplebear, Inc. (dba Instacart) Voting Shares	08/07/2020		3,211	$	148,778	$	148,669	$	46.30		0.03	%
Snowflake, Inc., Class B	03/17/2020		997		38,670		237,735		238.45		0.05
Stripe, Inc., Class B	12/17/2019		10,760		168,824		168,824		15.69		0.04
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		13,329		542,664		1,133,987		85.08		0.26
Airbnb, Inc., Series E	07/14/2015		8,841		823,048		752,163		85.08		0.17
Aurora Innovation, Inc., Series B	03/01/2019		35,120		324,519		324,519		9.24		0.07
DoorDash, Inc., Series G	11/12/2019		1,701		322,675		390,432		229.53		0.09
DoorDash, Inc., Series H	06/17/2020		717		164,574		164,574		229.53		0.04
GM Cruise Holdings, LLC, Class F	05/04/2019		33,800		616,850		616,850		18.25		0.14
Magic Leap, Inc., Series C	01/20/2016		26,666		614,198		184,306		6.91		0.04
Magic Leap, Inc., Series D	10/12/2017		16,678		450,306		135,092		8.10		0.03
Maplebear, Inc. (dba Instacart), Series G	07/02/2020		6,559		315,435		315,435		48.09		0.07
Rappi, Inc., Series E	09/08/2020		3,782		225,960
	09/24/2020		5,409		323,166
			9,191		549,126		549,126		59.75		0.13
Rivian Automotive, Inc., Series D	12/23/2019		114,924		1,234,744		1,780,173		15.49		0.41
Rivian Automotive, Inc., Series E	07/10/2020		166,666		2,581,656		2,581,656		15.49		0.59
UiPath, Inc., Series D-1	04/26/2019		36,408		477,572		676,951		18.59		0.15
UiPath, Inc., Series D-2	04/26/2019		6,114		80,199		113,680		18.59		0.03
UiPath, Inc., Series E	07/09/2020		897		16,678		16,678		18.59		0.00
Waymo LLC, Series A-2	05/08/2020		4,915		422,037		422,037		85.87		0.10
WeWork Cos., Inc., Series E	06/23/2015		12,598		414,343		0		0.00		0.00
Xiaoju Kuaizhi, Inc., Series A-17	10/19/2015		19,048		522,414		865,922		45.46		0.20
						$	14,655,267				3.35	%

(2)  Securities classified as Level 3 (see Note 2).

(3)  The rate shown is the 7-day yield as of September 30, 2020.

(4)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

167

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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	$	47,099,356	$	—		$	985,324	$	48,084,680
Diversified Financial Services		—		—			2,252,226		2,252,226
Enterprise Software/Service		15,841,682		925,342	#		—		16,767,024
Food-Wholesale/Distribution		—		—			156,401		156,401
Other Industries		354,178,708		4,104,065	**		—		358,282,773
Convertible Preferred Securities		—		—			11,023,581		11,023,581
Short-Term Investment Securities		2,060,228		—			—		2,060,228
Total Investments at Value	$	419,179,974	$	5,029,407		$	14,417,532	$	438,626,913

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

#  Amount includes $687,607 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Common Stocks			Convertible Preferred Securities
Balance as of March 31, 2020	$	1,912,551		$	6,173,401
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			—
Realized Loss		—			—
Change in unrealized appreciation (1)		746,233			1,464,278
Change in unrealized depreciation (1)		(114	)		(663,604	)
Net purchases		973,016			4,049,506
Net Sales		—			—
Transfers into Level 3		—			—
Transfers out of Level 3 (2)		(237,735	)		—
Balance as of September 30, 2020	$	3,393,951		$	11,023,581

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2020 includes:

Common Stocks		Convertible Preferred Securities
$	547,038	$	800,674

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, 2020.

(2)  Private Common Stock was converted to Restricted Common Stock following the Company's IPO listings. Securities are now valued using Level 2 inputs.

168

Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is quantitative information about Level 3 fair value measurements:

Description	Fair Value at September 30, 2020		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	1,141,725	Market Approach	Transaction Price*	$15.6900 - $575.0000 ($419.8712)#
	$	2,252,226	Market Approach	Transaction Price*	$4.0200
				Gross Profit Multiple*	15.00x
				Earns Before Interest &Taxes (EBIT) Mutilple*	24.95x
				Discount for Lack of Marketability	10.0%
Convertible Preferred Securities	$	7,952,111	Market Approach	Transaction Price*	$9.2403 - $229.5310 ($38.7872)#
	$	865,922	Market Approach	Transaction Price*	$50.9321
				Sales Multiple*	3.25x
				Gross Merchandise Value Mutilple*	0.85x
				Discount for Lack of Marketability	10.0%
	$	319,398	Market Approach	Liquidation Preference*	$23.0330 - $27.0000 ($24.7109)#
				Discount for Uncertainty	50.0% - 90.0% (70.0%)^
	$	0	Cost Approach	Estimated Restructure Value*	$0.00
	$	1,886,150	Market Approach	Transaction Price*	$55.0000
				Revenue Multiple*	5.64x - 7.30x (6.25x)^
				Gross Profit Mutilple*	8.27x
				Discount for Lack of Marketability	10.0% - 15.0% (12.5%)^

(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.

^  The average represents the arithmetic average of the inputs and is not weighted by the relative fair value or notional amount.

See Notes to Financial Statements

169

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Internet Content-Entertainment	8.5	%
Applications Software	7.5
E-Commerce/Products	7.4
Computers	6.3
Enterprise Software/Service	6.3
Commercial Services-Finance	5.1
Internet Application Software	4.1
Web Portals/ISP	3.5
Finance-Credit Card	3.1
Medical-Drugs	2.9
Electronic Components-Semiconductors	2.8
Medical Instruments	2.8
Computer Software	2.5
Medical-Biomedical/Gene	2.1
Retail-Discount	1.5
Diagnostic Equipment	1.5
Semiconductor Components-Integrated Circuits	1.5
Electronic Forms	1.4
Real Estate Investment Trusts	1.3
Chemicals-Specialty	1.1
Communications Software	1.1
Exchange-Traded Funds	1.1
Registered Investment Companies	1.0
Beverages-Non-alcoholic	1.0
Retail-Restaurants	0.9
Entertainment Software	0.9
Coatings/Paint	0.9
Retail-Apparel/Shoe	0.8
Aerospace/Defense-Equipment	0.8
Cosmetics & Toiletries	0.8
Transport-Rail	0.8
Athletic Footwear	0.8
Computer Aided Design	0.8
Building Products-Cement	0.7
Finance-Other Services	0.7
Medical Products	0.7
Aerospace/Defense	0.7
Auto-Cars/Light Trucks	0.6
Electronic Measurement Instruments	0.6
Computer Services	0.6
Retail-Building Products	0.5
Data Processing/Management	0.5
Medical-HMO	0.5
E-Commerce/Services	0.5
Industrial Gases	0.5
Containers-Metal/Glass	0.4
Cable/Satellite TV	0.4
Electronic Connectors	0.4
Machinery-Farming	0.3
Internet Content-Information/News	0.3
Consulting Services	0.3
Semiconductor Equipment	0.3
Diversified Banking Institutions	0.3
Multimedia	0.3
Auto/Truck Parts & Equipment-Original	0.2
Food-Misc./Diversified	0.2
Retail-Perfume & Cosmetics	0.2
Patient Monitoring Equipment	0.2
Finance-Investment Banker/Broker	0.2
Therapeutics	0.2

Casino Hotels	0.2	%
Insurance Brokers	0.2
Schools	0.2
Tobacco	0.2
Chemicals-Diversified	0.1
Food-Confectionery	0.1
Investment Management/Advisor Services	0.1
Oil Companies-Exploration & Production	0.1
Electric-Integrated	0.1
Instruments-Controls	0.1
Medical-Outpatient/Home Medical	0.1
Retail-Major Department Stores	0.1
Diversified Manufacturing Operations	0.1
Apparel Manufacturers	0.1
Retail-Auto Parts	0.1
Transport-Services	0.1
Building-Residential/Commercial	0.1
Auto-Heavy Duty Trucks	0.1
Hotels/Motels	0.1
Machinery-Construction & Mining	0.1
Electric Products-Misc.	0.1
Distribution/Wholesale	0.1
Drug Delivery Systems	0.1
Medical Labs & Testing Services	0.1
Non-Hazardous Waste Disposal	0.1
Insurance-Property/Casualty	0.1
Diagnostic Kits	0.1
Commercial Services	0.1
Oil-U.S. Royalty Trusts	0.1
Options Purchased	0.1
Gold Mining	0.1
Decision Support Software	0.1
Dental Supplies & Equipment	0.1
Machinery-Pumps	0.1
Wireless Equipment	0.1
Respiratory Products	0.1
Consumer Products-Misc.	0.1
	100.3	%

*  Calculated as a percentage of net assets

170

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.1%
Aerospace/Defense — 0.7%
Boeing Co.		7,404	$	1,223,585
Lockheed Martin Corp.		2,337		895,725
Northrop Grumman Corp.		1,473		464,717
Raytheon Technologies Corp.		7,693		442,655
Teledyne Technologies, Inc.†		350		108,574
TransDigm Group, Inc.		515		244,687
				3,379,943
Aerospace/Defense-Equipment — 0.8%
HEICO Corp., Class A		43,624		3,867,704
Howmet Aerospace, Inc.		1,865		31,183
L3Harris Technologies, Inc.		2,054		348,851
				4,247,738
Apparel Manufacturers — 0.1%
PVH Corp.		8,648		515,767
VF Corp.		1,609		113,032
				628,799
Applications Software — 7.5%
Intuit, Inc.		2,488		811,610
Microsoft Corp.		132,702		27,911,212
ServiceNow, Inc.†		21,457		10,406,645
				39,129,467
Athletic Footwear — 0.8%
NIKE, Inc., Class B		32,329		4,058,583
Auto-Cars/Light Trucks — 0.6%
Tesla, Inc.†		7,565		3,245,461
Auto-Heavy Duty Trucks — 0.1%
Cummins, Inc.		884		186,665
PACCAR, Inc.		3,289		280,486
				467,151
Auto/Truck Parts & Equipment-Original — 0.2%
Aptiv PLC		12,753		1,169,195
Banks-Commercial — 0.0%
First Republic Bank		801		87,357
SVB Financial Group†		315		75,795
				163,152
Beverages-Non-alcoholic — 1.0%
Coca-Cola Co.		50,783		2,507,157
Monster Beverage Corp.†		21,181		1,698,716
PepsiCo, Inc.		6,315		875,259
				5,081,132
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class B		1,734		130,605
Building & Construction Products-Misc. — 0.0%
Fortune Brands Home & Security, Inc.		1,313		113,601
Building Products-Air & Heating — 0.0%
Carrier Global Corp.		4,100		125,214
Building Products-Cement — 0.7%
Martin Marietta Materials, Inc.		15,193		3,575,825
Vulcan Materials Co.		1,258		170,509
				3,746,334

Security Description	Shares		Value (Note 2)
Building Products-Wood — 0.0%
Masco Corp.		2,485	$	136,998
Building-Maintenance & Services — 0.0%
Rollins, Inc.		659		35,711
Building-Residential/Commercial — 0.1%
D.R. Horton, Inc.		3,145		237,856
NVR, Inc.†		33		134,743
PulteGroup, Inc.		2,548		117,947
				490,546
Cable/Satellite TV — 0.4%
Charter Communications, Inc., Class A†		1,421		887,187
Comcast Corp., Class A		24,256		1,122,083
				2,009,270
Casino Hotels — 0.2%
Las Vegas Sands Corp.		15,567		726,356
MGM Resorts International		2,373		51,613
Wynn Resorts, Ltd.		922		66,209
				844,178
Chemicals-Diversified — 0.1%
Celanese Corp.		1,124		120,774
Dow, Inc.		7,042		331,326
FMC Corp.		1,231		130,375
PPG Industries, Inc.		1,143		139,538
				722,013
Chemicals-Specialty — 1.1%
Ecolab, Inc.		29,658		5,926,855
Coatings/Paint — 0.9%
Sherwin-Williams Co.		6,525		4,546,228
Commercial Services — 0.1%
Cintas Corp.		826		274,918
Quanta Services, Inc.		590		31,187
				306,105
Commercial Services-Finance — 5.1%
Adyen NV†*		2,150		3,962,142
Automatic Data Processing, Inc.		2,533		353,328
Equifax, Inc.		692		108,575
FleetCor Technologies, Inc.†		799		190,242
Global Payments, Inc.		1,393		247,369
IHS Markit, Ltd.		2,587		203,105
MarketAxess Holdings, Inc.		361		173,854
Moody's Corp.		1,534		444,630
PayPal Holdings, Inc.†		30,333		5,976,511
S&P Global, Inc.		6,369		2,296,661
Square, Inc., Class A†		77,496		12,596,975
				26,553,392
Communications Software — 1.1%
Zoom Video Communications, Inc., Class A†		12,394		5,826,543
Computer Aided Design — 0.8%
ANSYS, Inc.†		815		266,692
Autodesk, Inc.†		13,782		3,183,780
Cadence Design Systems, Inc.†		2,649		282,463

171

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computer Aided Design (continued)
Synopsys, Inc.†		1,442	$	308,559
				4,041,494
Computer Data Security — 0.0%
Fortinet, Inc.†		1,276		150,326
Computer Services — 0.6%
Accenture PLC, Class A		12,909		2,917,305
Leidos Holdings, Inc.		635		56,610
				2,973,915
Computer Software — 2.5%
Akamai Technologies, Inc.†		1,113		123,031
Citrix Systems, Inc.		610		84,003
Slack Technologies, Inc., Class A†		132,555		3,560,428
Twilio, Inc., Class A†		37,357		9,230,541
				12,998,003
Computers — 6.3%
Apple, Inc.		286,890		33,224,731
Computers-Memory Devices — 0.0%
NetApp, Inc.		970		42,525
Seagate Technology PLC		1,272		62,671
				105,196
Consulting Services — 0.3%
Gartner, Inc.†		848		105,958
Verisk Analytics, Inc.		7,708		1,428,369
				1,534,327
Consumer Products-Misc. — 0.1%
Kimberly-Clark Corp.		1,588		234,484
Containers-Metal/Glass — 0.4%
Ball Corp.		26,285		2,184,809
Cosmetics & Toiletries — 0.8%
Colgate-Palmolive Co.		3,666		282,832
Estee Lauder Cos., Inc., Class A		9,153		1,997,642
Procter & Gamble Co.		13,720		1,906,943
				4,187,417
Data Processing/Management — 0.5%
Broadridge Financial Solutions, Inc.		766		101,112
Fidelity National Information Services, Inc.		12,495		1,839,389
Fiserv, Inc.†		5,281		544,207
Jack Henry & Associates, Inc.		379		61,621
Paychex, Inc.		2,040		162,731
				2,709,060
Decision Support Software — 0.1%
MSCI, Inc.		795		283,640
Dental Supplies & Equipment — 0.1%
Align Technology, Inc.†		681		222,932
DENTSPLY SIRONA, Inc.		1,100		48,103
				271,035
Diagnostic Equipment — 1.5%
10X Genomics, Inc., Class A†		7,205		898,319
Adaptive Biotechnologies Corp.†		21,183		1,030,129
Danaher Corp.		19,760		4,254,921

Security Description	Shares		Value (Note 2)
Diagnostic Equipment (continued)
Thermo Fisher Scientific, Inc.		3,759	$	1,659,674
				7,843,043
Diagnostic Kits — 0.1%
IDEXX Laboratories, Inc.†		808		317,633
Disposable Medical Products — 0.0%
Teleflex, Inc.		442		150,466
Distribution/Wholesale — 0.1%
Copart, Inc.†		1,963		206,429
Fastenal Co.		3,815		172,018
LKQ Corp.†		1,383		38,351
				416,798
Diversified Banking Institutions — 0.3%
JPMorgan Chase & Co.		13,899		1,338,057
Diversified Manufacturing Operations — 0.1%
Illinois Tool Works, Inc.		1,668		322,274
Parker-Hannifin Corp.		672		135,972
Trane Technologies PLC		1,410		170,963
				629,209
Drug Delivery Systems — 0.1%
DexCom, Inc.†		910		375,129
E-Commerce/Products — 7.4%
Amazon.com, Inc.†		11,317		35,634,177
Chewy, Inc., Class A†		49,574		2,718,143
eBay, Inc.		6,317		329,116
Etsy, Inc.†		1,134		137,928
				38,819,364
E-Commerce/Services — 0.5%
Booking Holdings, Inc.†		389		665,455
Match Group, Inc.†		16,157		1,787,772
				2,453,227
E-Services/Consulting — 0.0%
CDW Corp.		1,356		162,083
Electric Products-Misc. — 0.1%
AMETEK, Inc.		2,182		216,891
Emerson Electric Co.		3,066		201,037
				417,928
Electric-Distribution — 0.0%
Sempra Energy		1,237		146,411
Electric-Integrated — 0.1%
NextEra Energy, Inc.		2,466		684,463
Electronic Components-Misc. — 0.0%
Garmin, Ltd.		1,417		134,417
Electronic Components-Semiconductors — 2.8%
Advanced Micro Devices, Inc.†		11,155		914,598
Broadcom, Inc.		3,821		1,392,067
Intel Corp.		23,034		1,192,701
IPG Photonics Corp.†		170		28,895
Marvell Technology Group, Ltd.		19,873		788,958
Microchip Technology, Inc.		2,399		246,521
Micron Technology, Inc.†		10,556		495,710
NVIDIA Corp.		15,617		8,452,233
Qorvo, Inc.†		1,085		139,976

172

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors (continued)
Skyworks Solutions, Inc.		921	$	134,005
Texas Instruments, Inc.		5,396		770,495
Xilinx, Inc.		1,439		150,001
				14,706,160
Electronic Connectors — 0.4%
Amphenol Corp., Class A		16,481		1,784,398
TE Connectivity, Ltd.		1,568		153,256
				1,937,654
Electronic Forms — 1.4%
Adobe, Inc.†		14,761		7,239,237
Electronic Measurement Instruments — 0.6%
Agilent Technologies, Inc.		1,670		168,570
FLIR Systems, Inc.		598		21,438
Keysight Technologies, Inc.†		1,778		175,631
Roper Technologies, Inc.		7,022		2,774,462
				3,140,101
Electronic Security Devices — 0.0%
Allegion PLC		876		86,645
Enterprise Software/Service — 6.3%
Atlassian Corp. PLC, Class A†		5,040		916,221
Coupa Software, Inc.†		20,345		5,579,413
HubSpot, Inc.†		3,738		1,092,356
Oracle Corp.		11,021		657,954
Paycom Software, Inc.†		465		144,754
salesforce.com, Inc.†		16,847		4,233,988
Snowflake, Inc., Class A†		3,366		844,866
Tyler Technologies, Inc.†		382		133,150
Veeva Systems, Inc., Class A†		37,977		10,678,753
Workday, Inc., Class A†		40,179		8,643,708
				32,925,163
Entertainment Software — 0.9%
Activision Blizzard, Inc.		33,115		2,680,660
Electronic Arts, Inc.†		1,454		189,616
Take-Two Interactive Software, Inc.†		11,751		1,941,500
				4,811,776
Finance-Consumer Loans — 0.0%
Synchrony Financial		5,158		134,985
Finance-Credit Card — 3.1%
American Express Co.		3,718		372,729
Discover Financial Services		1,805		104,293
Mastercard, Inc., Class A		21,152		7,152,972
Visa, Inc., Class A		42,902		8,579,113
Western Union Co.		3,905		83,684
				16,292,791
Finance-Investment Banker/Broker — 0.2%
Charles Schwab Corp.		27,755		1,005,564
Finance-Other Services — 0.7%
Cboe Global Markets, Inc.		7,827		686,741
CME Group, Inc.		1,738		290,785
Intercontinental Exchange, Inc.		27,004		2,701,750
Nasdaq, Inc.		513		62,950
				3,742,226

Security Description	Shares		Value (Note 2)
Food-Confectionery — 0.1%
Hershey Co.		938	$	134,453
Mondelez International, Inc., Class A		10,097		580,073
				714,526
Food-Meat Products — 0.0%
Tyson Foods, Inc., Class A		1,342		79,822
Food-Misc./Diversified — 0.2%
Campbell Soup Co.		846		40,921
Lamb Weston Holdings, Inc.		759		50,299
McCormick & Co., Inc.		5,276		1,024,072
				1,115,292
Food-Wholesale/Distribution — 0.0%
Sysco Corp.		2,174		135,266
Gold Mining — 0.1%
Royal Gold, Inc.		2,387		286,846
Home Furnishings — 0.0%
Leggett & Platt, Inc.		830		34,171
Hotels/Motels — 0.1%
Hilton Worldwide Holdings, Inc.		2,635		224,818
Marriott International, Inc., Class A		2,527		233,950
				458,768
Independent Power Producers — 0.0%
NRG Energy, Inc.		2,320		71,317
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		628		138,587
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		2,099		625,208
Linde PLC		7,505		1,787,166
				2,412,374
Instruments-Controls — 0.1%
Honeywell International, Inc.		3,067		504,859
Mettler-Toledo International, Inc.†		143		138,102
				642,961
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		606		76,059
Waters Corp.†		365		71,423
				147,482
Insurance Brokers — 0.2%
Aon PLC, Class A		1,387		286,138
Arthur J. Gallagher & Co.		928		97,979
Marsh & McLennan Cos., Inc.		2,936		336,759
Willis Towers Watson PLC		588		122,786
				843,662
Insurance-Multi-line — 0.0%
Cincinnati Financial Corp.		654		50,992
Insurance-Property/Casualty — 0.1%
Progressive Corp.		3,393		321,215
Internet Application Software — 4.1%
Okta, Inc.†		43,860		9,379,461
Shopify, Inc., Class A†		11,609		11,875,659
				21,255,120

173

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Content-Entertainment — 8.5%
Facebook, Inc., Class A†		78,002	$	20,428,724
Netflix, Inc.†		11,362		5,681,341
Snap, Inc., Class A†		30,960		808,366
Spotify Technology SA†		38,255		9,279,515
Twitter, Inc.†		192,711		8,575,639
				44,773,585
Internet Content-Information/News — 0.3%
IAC/InterActiveCorp†		14,217		1,702,912
Internet Security — 0.0%
NortonLifeLock, Inc.		3,482		72,565
Investment Management/Advisor Services — 0.1%
Ameriprise Financial, Inc.		743		114,504
BlackRock, Inc.		687		387,159
T. Rowe Price Group, Inc.		1,596		204,639
				706,302
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.		3,036		452,819
Machinery-Farming — 0.3%
Deere & Co.		7,993		1,771,489
Machinery-General Industrial — 0.0%
IDEX Corp.		409		74,606
Otis Worldwide Corp.		2,050		127,961
				202,567
Machinery-Pumps — 0.1%
Dover Corp.		807		87,430
Ingersoll Rand, Inc.†		2,575		91,670
Xylem, Inc.		1,009		84,877
				263,977
Medical Information Systems — 0.0%
Cerner Corp.		1,828		132,146
Medical Instruments — 2.8%
Boston Scientific Corp.†		61,698		2,357,481
Edwards Lifesciences Corp.†		5,908		471,577
Intuitive Surgical, Inc.†		16,536		11,732,953
				14,562,011
Medical Labs & Testing Services — 0.1%
Catalent, Inc.†		1,560		133,630
IQVIA Holdings, Inc.†		1,254		197,668
				331,298
Medical Products — 0.7%
Abbott Laboratories		9,757		1,061,854
ABIOMED, Inc.†		244		67,603
Baxter International, Inc.		2,165		174,109
Cooper Cos., Inc.		266		89,674
Hologic, Inc.†		1,329		88,339
STERIS PLC		436		76,819
Stryker Corp.		2,049		426,950
Varian Medical Systems, Inc.†		476		81,872
West Pharmaceutical Services, Inc.		6,021		1,655,173
				3,722,393

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene — 2.1%
Alexion Pharmaceuticals, Inc.†		1,208	$	138,231
Amgen, Inc.		3,283		834,407
Bio-Rad Laboratories, Inc., Class A†		146		75,257
BioMarin Pharmaceutical, Inc.†		9,415		716,293
Guardant Health, Inc.†		8,407		939,735
Illumina, Inc.†		5,486		1,695,613
Incyte Corp.†		1,766		158,481
Regeneron Pharmaceuticals, Inc.†		2,248		1,258,385
Royalty Pharma PLC, Class A		64,078		2,695,762
Seattle Genetics, Inc.†		8,333		1,630,685
Vertex Pharmaceuticals, Inc.†		2,475		673,497
				10,816,346
Medical-Drugs — 2.9%
AbbVie, Inc.		8,887		778,412
AstraZeneca PLC ADR		26,587		1,456,968
Bristol-Myers Squibb Co.		38,123		2,298,436
Eli Lilly & Co.		15,287		2,262,782
Johnson & Johnson		10,507		1,564,282
Merck & Co., Inc.		13,217		1,096,350
Zoetis, Inc.		33,596		5,555,770
				15,013,000
Medical-HMO — 0.5%
Humana, Inc.		4,126		1,707,710
UnitedHealth Group, Inc.		2,798		872,333
				2,580,043
Medical-Outpatient/Home Medical — 0.1%
American Well Corp†		21,557		638,949
Metal-Copper — 0.0%
Freeport-McMoRan, Inc.		7,589		118,692
Multimedia — 0.3%
Walt Disney Co.		10,474		1,299,614
Networking Products — 0.0%
Arista Networks, Inc.†		520		107,604
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		919		85,789
Waste Management, Inc.		2,142		242,410
				328,199
Office Automation & Equipment — 0.0%
Xerox Holdings Corp.		1,700		31,909
Zebra Technologies Corp., Class A†		507		127,997
				159,906
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		563		71,974
Oil Companies-Exploration & Production — 0.1%
Apache Corp.		2,224		21,061
Cabot Oil & Gas Corp.		2,386		41,421
ConocoPhillips		10,191		334,673
EOG Resources, Inc.		2,766		99,410
Hess Corp.		2,597		106,295
Pioneer Natural Resources Co.		968		83,238
				686,098

174

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Field Machinery & Equipment — 0.0%
National Oilwell Varco, Inc.		1,144	$	10,365
Oil Refining & Marketing — 0.0%
Phillips 66		2,075		107,568
Oil-U.S. Royalty Trusts — 0.1%
Texas Pacific Land Trust		667		301,191
Patient Monitoring Equipment — 0.2%
Insulet Corp.†		4,526		1,070,806
Real Estate Investment Trusts — 1.3%
Alexandria Real Estate Equities, Inc.		602		96,320
American Tower Corp.		11,065		2,674,742
Boston Properties, Inc.		592		47,538
Crown Castle International Corp.		2,313		385,114
Duke Realty Corp.		2,077		76,641
Equinix, Inc.		2,757		2,095,678
Essex Property Trust, Inc.		310		62,245
Extra Space Storage, Inc.		711		76,070
Federal Realty Investment Trust		275		20,196
Healthpeak Properties, Inc.†		2,404		65,269
Mid-America Apartment Communities, Inc.		489		56,700
Prologis, Inc.		4,001		402,581
Public Storage		636		141,650
Realty Income Corp.		1,475		89,606
SBA Communications Corp.		1,064		338,863
Simon Property Group, Inc.		1,163		75,223
UDR, Inc.		1,318		42,980
				6,747,416
Real Estate Management/Services — 0.0%
CBRE Group, Inc., Class A†		3,186		149,646
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		685		119,533
Respiratory Products — 0.1%
ResMed, Inc.		1,377		236,059
Retail-Apparel/Shoe — 0.8%
Lululemon Athletica, Inc.†		8,690		2,862,225
Ross Stores, Inc.		16,437		1,533,901
				4,396,126
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		222		261,436
O'Reilly Automotive, Inc.†		704		324,600
				586,036
Retail-Automobile — 0.0%
CarMax, Inc.†		1,549		142,369
Retail-Building Products — 0.5%
Home Depot, Inc.		7,262		2,016,730
Lowe's Cos., Inc.		4,739		786,011
				2,802,741
Retail-Discount — 1.5%
Costco Wholesale Corp.		15,685		5,568,175
Dollar General Corp.		2,366		495,961
Target Corp.		3,044		479,186

Security Description	Shares		Value (Note 2)
Retail-Discount (continued)
Walmart, Inc.		9,788	$	1,369,439
				7,912,761
Retail-Gardening Products — 0.0%
Tractor Supply Co.		541		77,547
Retail-Jewelry — 0.0%
Tiffany & Co.		1,026		118,862
Retail-Major Department Stores — 0.1%
TJX Cos., Inc.		11,393		634,020
Retail-Perfume & Cosmetics — 0.2%
Ulta Beauty, Inc.†		4,784		1,071,520
Retail-Restaurants — 0.9%
Chipotle Mexican Grill, Inc.†		266		330,827
Darden Restaurants, Inc.		569		57,321
Domino's Pizza, Inc.		374		159,055
McDonald's Corp.		14,402		3,161,095
Starbucks Corp.		11,107		954,313
Yum! Brands, Inc.		2,864		261,483
				4,924,094
Schools — 0.2%
Chegg, Inc.†		11,233		802,486
Semiconductor Components-Integrated Circuits — 1.5%
Analog Devices, Inc.		3,511		409,874
Maxim Integrated Products, Inc.		1,116		75,453
NXP Semiconductors NV		12,376		1,544,648
QUALCOMM, Inc.		48,100		5,660,408
				7,690,383
Semiconductor Equipment — 0.3%
Applied Materials, Inc.		8,678		515,907
KLA Corp.		1,477		286,154
Lam Research Corp.		1,384		459,142
Teradyne, Inc.		1,578		125,388
				1,386,591
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		227		31,950
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		1,269		118,918
Telecom Equipment-Fiber Optics — 0.0%
Corning, Inc.		3,398		110,129
Theaters — 0.0%
Live Nation Entertainment, Inc.†		905		48,761
Therapeutics — 0.2%
Sarepta Therapeutics, Inc.†		6,568		922,344
Tobacco — 0.2%
Altria Group, Inc.		6,887		266,114
Philip Morris International, Inc.		6,511		488,260
				754,374
Transport-Rail — 0.8%
CSX Corp.		14,761		1,146,487
Kansas City Southern		896		162,023
Norfolk Southern Corp.		1,309		280,113
Union Pacific Corp.		12,677		2,495,721
				4,084,344

175

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Transport-Services — 0.1%
Expeditors International of Washington, Inc.		828	$	74,951
United Parcel Service, Inc., Class B		3,023		503,722
				578,673
Transport-Truck — 0.0%
JB Hunt Transport Services, Inc.		467		59,019
Old Dominion Freight Line, Inc.		914		165,361
				224,380
Water — 0.0%
American Water Works Co., Inc.		861		124,742
Web Hosting/Design — 0.0%
VeriSign, Inc.†		509		104,269
Web Portals/ISP — 3.5%
Alphabet, Inc., Class A†		7,122		10,438,003
Alphabet, Inc., Class C†		5,402		7,938,779
				18,376,782
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		1,613		252,935
Total Common Stocks (cost $319,720,926)				514,136,792
EXCHANGE-TRADED FUNDS — 1.1%
SPDR Portfolio S&P 500 Growth ETF (cost $5,516,893)		113,970		5,711,037
OPTIONS — PURCHASED†(1) — 0.1%
Over the Counter Put Options on Currency Contracts (cost $705,755)		130,628,808		298,679
Total Long-Term Investment Securities (cost $325,943,574)				520,146,508

Security Description	Shares/ Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 1.0%
Registered Investment Companies — 1.0%
State Street Institutional Treasury Money Market Fund, Premier Class 0.02%(2)		4,080,603		$	4,080,603
State Street Institutional U.S. Government Money Market Fund, Administration Class 0.00%(2)		1,262,816			1,262,816
					5,343,419
U.S. Government Treasuries — 0.0%
United States Treasury Bills 0.15% due 03/25/2021(3)	$	90,000			89,953
Total Short-Term Investment Securities (cost $5,433,353)					5,433,372
TOTAL INVESTMENTS (cost $331,376,927)(4)		100.3	%		525,579,880
Liabilities in excess of other assets		(0.3	)		(1,335,904	)
NET ASSETS		100.0	%	$	524,243,976

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $3,962,142 representing 0.8% of net assets.

(1)  Options — Purchased

Over the Counter Put Options on Currency Contracts

Issue	Counterparty	Expiration Month	Strike Price		Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.9945 CNY per $1 USD	BNP Paribas SA	September 2021	CNY	7.99	$	29,790	$	180,396	$	119,905	$	(60,491	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 7.7455 CNY per $1 USD	Natwest Markets PLC	January 2021	CNY	7.75		37,366		163,178		27,165		(136,013	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.4845 CNY per $1 USD	Natwest Markets PLC	May 2021	CNY	8.48		27,180		169,687		39,575		(130,112	)
Put option to sell Chinese Yuan in exchange for U.S. Dollars at a strike price of 8.06 CNY per $1 USD	Natwest Markets PLC	July 2021	CNY	8.06		36,292		192,494		112,034		(80,460	)
							$	705,755	$	298,679	$	(407,076	)

176

Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

(2)  The rate shown is the 7-day yield as of September 30, 2020.

(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

CNY — Chinese Yuan

ETF — Exchange-Traded Funds

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	2	Long	S&P 500 E-Mini Index	December 2020	$	337,228	$	335,200	$	(2,028	)

*  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, 2020 (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	$	510,174,650	$	3,962,142	**	$	—	$	514,136,792
Exchange-Traded Funds		5,711,037		—			—		5,711,037
Options — Purchased		—		298,679			—		298,679
Short-Term Investment Securities:
Registered Investment Companies		5,343,419		—			—		5,343,419
U.S. Government Treasuries		—		89,953			—		89,953
Total Investments at Value	$	521,229,106	$	4,350,774		$	—	$	525,579,880
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	2,028	$	—		$	—	$	2,028

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

See Notes to Financial Statements

177

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Medical-Drugs	8.4	%
Electric-Integrated	5.4
Diversified Banking Institutions	4.2
Insurance-Property/Casualty	4.1
Medical-HMO	4.0
Medical Instruments	2.7
Electronic Components-Semiconductors	2.6
Telephone-Integrated	2.6
Real Estate Investment Trusts	2.4
Networking Products	2.4
Cosmetics & Toiletries	2.4
Insurance-Multi-line	2.3
Aerospace/Defense	2.2
Banks-Super Regional	1.9
Oil Companies-Integrated	1.8
Diversified Manufacturing Operations	1.7
Beverages-Non-alcoholic	1.7
Exchange-Traded Funds	1.7
Food-Confectionery	1.6
Banks-Commercial	1.6
Retail-Discount	1.5
Banks-Fiduciary	1.5
Medical Products	1.4
Chemicals-Diversified	1.3
Investment Management/Advisor Services	1.3
Transport-Rail	1.2
Cable/Satellite TV	1.2
Electric Products-Misc.	1.2
Drug Delivery Systems	1.2
Computer Services	1.0
Medical-Biomedical/Gene	1.0
Retail-Restaurants	1.0
Building-Residential/Commercial	0.9
Multimedia	0.9
Insurance-Life/Health	0.8
Oil Companies-Exploration & Production	0.8
Building Products-Air & Heating	0.7
Containers-Paper/Plastic	0.6
Telecom Equipment-Fiber Optics	0.6
Electric-Distribution	0.6
Consumer Products-Misc.	0.6
Apparel Manufacturers	0.6
Semiconductor Equipment	0.6
Medical Information Systems	0.6
Auto-Cars/Light Trucks	0.5
Food-Wholesale/Distribution	0.5
Machinery-Farming	0.5
Commercial Services-Finance	0.5
Auto/Truck Parts & Equipment-Original	0.5
Agricultural Operations	0.5
Medical-Wholesale Drug Distribution	0.5
Medical-Hospitals	0.5
Oil Refining & Marketing	0.5
Transport-Services	0.4
Pharmacy Services	0.4
Enterprise Software/Service	0.4
Retail-Major Department Stores	0.4
Non-Hazardous Waste Disposal	0.4
Retail-Building Products	0.4
Repurchase Agreements	0.4

Building Products-Cement	0.4	%
E-Commerce/Services	0.4
Medical Labs & Testing Services	0.4
Internet Infrastructure Software	0.4
Aerospace/Defense-Equipment	0.4
Semiconductor Components-Integrated Circuits	0.4
Building & Construction Products-Misc.	0.4
Retail-Auto Parts	0.4
Electronic Connectors	0.4
Transport-Truck	0.4
Private Equity	0.4
Electronic Components-Misc.	0.3
Food-Misc./Diversified	0.3
Software Tools	0.3
Data Processing/Management	0.3
Tobacco	0.3
Food-Retail	0.3
Paper & Related Products	0.3
Finance-Investment Banker/Broker	0.3
Entertainment Software	0.2
Instruments-Controls	0.2
Cellular Telecom	0.2
Finance-Credit Card	0.2
Insurance Brokers	0.2
Airlines	0.2
Finance-Other Services	0.2
Pipelines	0.2
Athletic Footwear	0.2
Gold Mining	0.2
Diagnostic Equipment	0.2
Chemicals-Specialty	0.1
Oil-Field Services	0.1
Electronic Measurement Instruments	0.1
Brewery	0.1
Computers	0.1
Industrial Gases	0.1
Internet Content-Entertainment	0.1
Tools-Hand Held	0.1
Machinery-Construction & Mining	0.1
Machinery-General Industrial	0.1
Distribution/Wholesale	0.1
Retail-Drug Store	0.1
Retail-Consumer Electronics	0.1
Cruise Lines	0.1
Broadcast Services/Program	0.1
Food-Meat Products	0.1
Agricultural Biotech	0.1
Computers-Memory Devices	0.1
Gas-Distribution	0.1
Machinery-Pumps	0.1
Electric-Generation	0.1
Advertising Agencies	0.1
Television	0.1
	99.4	%

*  Calculated as a percentage of net assets

178

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.3%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		8,225	$	137,111
Omnicom Group, Inc.		4,533		224,383
				361,494
Aerospace/Defense — 2.2%
Boeing Co.		6,268		1,035,850
General Dynamics Corp.		39,667		5,491,103
Lockheed Martin Corp.		6,269		2,402,782
Raytheon Technologies Corp.		107,763		6,200,683
				15,130,418
Aerospace/Defense-Equipment — 0.4%
Howmet Aerospace, Inc.		4,140		69,221
L3Harris Technologies, Inc.		14,638		2,486,118
				2,555,339
Agricultural Biotech — 0.1%
Corteva, Inc.		15,791		454,939
Agricultural Chemicals — 0.0%
CF Industries Holdings, Inc.		4,512		138,563
Mosaic Co.		7,277		132,951
				271,514
Agricultural Operations — 0.5%
Archer-Daniels-Midland Co.		74,010		3,440,725
Airlines — 0.2%
Alaska Air Group, Inc.		2,608		95,531
American Airlines Group, Inc.		10,728		131,847
Delta Air Lines, Inc.		13,455		411,454
Southwest Airlines Co.		12,443		466,612
United Airlines Holdings, Inc.†		6,138		213,296
				1,318,740
Apparel Manufacturers — 0.6%
Hanesbrands, Inc.		7,344		115,668
PVH Corp.		1,496		89,221
Ralph Lauren Corp.		1,016		69,058
Tapestry, Inc.		5,827		91,076
Under Armour, Inc., Class A†		3,977		44,662
Under Armour, Inc., Class C†		4,102		40,364
VF Corp.		52,430		3,683,207
				4,133,256
Appliances — 0.0%
Whirlpool Corp.		1,314		241,631
Athletic Footwear — 0.2%
NIKE, Inc., Class B		8,666		1,087,930
Auto-Cars/Light Trucks — 0.5%
Ford Motor Co.		82,427		548,964
General Motors Co.		26,566		786,088
Honda Motor Co., Ltd ADR		97,470		2,310,039
				3,645,091
Auto-Heavy Duty Trucks — 0.0%
Cummins, Inc.		1,153		243,468

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 0.5%
Aptiv PLC		5,696	$	522,209
BorgWarner, Inc.		4,372		169,371
Gentex Corp.		107,626		2,771,370
				3,462,950
Banks-Commercial — 1.6%
Citizens Financial Group, Inc.		9,004		227,621
First Republic Bank		1,852		201,979
M&T Bank Corp.		26,727		2,461,289
Regions Financial Corp.		20,254		233,529
SVB Financial Group†		393		94,564
Truist Financial Corp.		196,443		7,474,656
Zions Bancorp NA		3,459		101,072
				10,794,710
Banks-Fiduciary — 1.5%
Bank of New York Mellon Corp.		209,642		7,199,106
Northern Trust Corp.		32,160		2,507,515
State Street Corp.		7,433		441,000
				10,147,621
Banks-Super Regional — 1.9%
Comerica, Inc.		2,933		112,187
Fifth Third Bancorp		15,024		320,312
Huntington Bancshares, Inc.		21,460		196,788
KeyCorp		20,588		245,615
PNC Financial Services Group, Inc.		63,027		6,927,297
US Bancorp		88,296		3,165,412
Wells Fargo & Co.		86,910		2,043,254
				13,010,865
Beverages-Non-alcoholic — 1.7%
Coca-Cola Co.		48,929		2,415,625
Keurig Dr Pepper, Inc.		95,771		2,643,279
Monster Beverage Corp.†		2,570		206,114
PepsiCo, Inc.		45,058		6,245,039
				11,510,057
Brewery — 0.1%
Constellation Brands, Inc., Class A		3,544		671,623
Molson Coors Beverage Co., Class B		3,967		133,133
				804,756
Broadcast Services/Program — 0.1%
Discovery, Inc., Class A†		3,379		73,561
Discovery, Inc., Class C†		6,530		127,988
Fox Corp., Class A		7,250		201,767
Fox Corp., Class B		3,304		92,413
				495,729
Building & Construction Products-Misc. — 0.4%
Fortune Brands Home & Security, Inc.		28,617		2,475,943
Building Products-Air & Heating — 0.7%
Carrier Global Corp.		8,072		246,519
Johnson Controls International PLC		113,845		4,650,568
				4,897,087
Building Products-Cement — 0.4%
Martin Marietta Materials, Inc.		11,370		2,676,043

179

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Maintenance & Services — 0.0%
Rollins, Inc.		1,649	$	89,359
Building-Residential/Commercial — 0.9%
Lennar Corp., Class A		65,227		5,327,742
PulteGroup, Inc.		24,980		1,156,324
				6,484,066
Cable/Satellite TV — 1.2%
Comcast Corp., Class A		171,535		7,935,209
DISH Network Corp., Class A†		5,204		151,072
				8,086,281
Casino Hotels — 0.0%
Las Vegas Sands Corp.		2,979		139,000
MGM Resorts International		3,368		73,254
				212,254
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		12,272		1,403,426
Chemicals-Diversified — 1.3%
Celanese Corp.		35,916		3,859,174
DuPont de Nemours, Inc.		15,480		858,830
Eastman Chemical Co.		2,855		223,033
FMC Corp.		30,974		3,280,456
LyondellBasell Industries NV, Class A		5,422		382,197
PPG Industries, Inc.		2,439		297,753
				8,901,443
Chemicals-Specialty — 0.1%
Albemarle Corp.		2,244		200,344
Ecolab, Inc.		2,566		512,790
International Flavors & Fragrances, Inc.		2,256		276,247
				989,381
Commercial Services — 0.0%
Nielsen Holdings PLC		7,525		106,704
Quanta Services, Inc.		1,601		84,629
				191,333
Commercial Services-Finance — 0.5%
Automatic Data Processing, Inc.		18,427		2,570,382
Equifax, Inc.		1,025		160,823
Global Payments, Inc.		3,219		571,630
IHS Markit, Ltd.		2,124		166,755
				3,469,590
Computer Services — 1.0%
Accenture PLC, Class A		4,965		1,122,040
Amdocs, Ltd.		48,301		2,772,960
Cognizant Technology Solutions Corp., Class A		11,438		794,026
DXC Technology Co.		5,362		95,712
International Business Machines Corp.		18,786		2,285,693
Leidos Holdings, Inc.		1,410		125,702
				7,196,133

Security Description	Shares		Value (Note 2)
Computer Software — 0.0%
Akamai Technologies, Inc.†		961	$	106,229
Citrix Systems, Inc.		1,251		172,275
				278,504
Computers — 0.1%
Hewlett Packard Enterprise Co.		27,135		254,255
HP, Inc.		28,973		550,197
				804,452
Computers-Memory Devices — 0.1%
NetApp, Inc.		2,529		110,871
Seagate Technology PLC		1,883		92,776
Western Digital Corp.		6,382		233,262
				436,909
Consulting Services — 0.0%
Verisk Analytics, Inc.		1,062		196,799
Consumer Products-Misc. — 0.6%
Clorox Co.		2,662		559,473
Kimberly-Clark Corp.		24,409		3,604,233
				4,163,706
Containers-Metal/Glass — 0.0%
Ball Corp.		1,998		166,074
Containers-Paper/Plastic — 0.6%
Amcor PLC		33,086		365,600
Packaging Corp. of America		2,000		218,100
Sealed Air Corp.		93,342		3,622,603
WestRock Co.		5,477		190,271
				4,396,574
Cosmetics & Toiletries — 2.4%
Colgate-Palmolive Co.		55,027		4,245,333
Procter & Gamble Co.		42,157		5,859,402
Unilever NV		104,710		6,324,484
				16,429,219
Cruise Lines — 0.1%
Carnival Corp.		10,925		165,841
Norwegian Cruise Line Holdings, Ltd.†		5,814		99,478
Royal Caribbean Cruises, Ltd.		3,758		243,255
				508,574
Data Processing/Management — 0.3%
Broadridge Financial Solutions, Inc.		729		96,228
Fidelity National Information Services, Inc.		13,070		1,924,035
Jack Henry & Associates, Inc.		776		126,170
Paychex, Inc.		2,230		177,887
				2,324,320
Dental Supplies & Equipment — 0.0%
DENTSPLY SIRONA, Inc.		2,166		94,719
Diagnostic Equipment — 0.2%
Danaher Corp.		4,795		1,032,507
Dialysis Centers — 0.0%
DaVita, Inc.†		1,587		135,927

180

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Distribution/Wholesale — 0.1%
Fastenal Co.		3,630	$	163,677
LKQ Corp.†		2,835		78,614
WW Grainger, Inc.		949		338,575
				580,866
Diversified Banking Institutions — 4.2%
Bank of America Corp.		436,975		10,526,728
Citigroup, Inc.		43,916		1,893,219
Goldman Sachs Group, Inc.		7,258		1,458,640
JPMorgan Chase & Co.		144,710		13,931,232
Morgan Stanley		25,278		1,222,191
				29,032,010
Diversified Manufacturing Operations — 1.7%
3M Co.		12,151		1,946,347
A.O. Smith Corp.		2,856		150,797
Eaton Corp. PLC		8,440		861,133
General Electric Co.		184,645		1,150,338
Illinois Tool Works, Inc.		2,367		457,328
Parker-Hannifin Corp.		1,220		246,855
Siemens AG		30,330		3,835,098
Textron, Inc.		4,810		173,593
Trane Technologies PLC		24,657		2,989,661
				11,811,150
Drug Delivery Systems — 1.2%
Becton Dickinson and Co.		34,150		7,946,022
E-Commerce/Services — 0.4%
Booking Holdings, Inc.†		1,389		2,376,135
Expedia Group, Inc.		2,863		262,508
				2,638,643
Electric Products-Misc. — 1.2%
Emerson Electric Co.		122,609		8,039,472
Electric-Distribution — 0.6%
CenterPoint Energy, Inc.		11,493		222,389
Consolidated Edison, Inc.		7,056		548,957
Sempra Energy		28,899		3,420,486
				4,191,832
Electric-Generation — 0.1%
Siemens Energy AG†		15,165		408,945
Electric-Integrated — 5.4%
AES Corp.		14,031		254,101
Alliant Energy Corp.		5,266		271,989
Ameren Corp.		5,212		412,165
American Electric Power Co., Inc.		10,466		855,386
CMS Energy Corp.		6,039		370,855
Dominion Energy, Inc.		70,873		5,594,006
DTE Energy Co.		4,064		467,523
Duke Energy Corp.		48,923		4,332,621
Edison International		7,978		405,601
Entergy Corp.		37,325		3,677,632
Evergy, Inc.		4,785		243,174
Eversource Energy		40,418		3,376,924
Exelon Corp.		108,881		3,893,584
FirstEnergy Corp.		11,435		328,299

Security Description	Shares		Value (Note 2)
Electric-Integrated (continued)
NextEra Energy, Inc.		4,855	$	1,347,554
Pinnacle West Capital Corp.		61,024		4,549,339
PPL Corp.		16,217		441,265
Public Service Enterprise Group, Inc.		10,669		585,835
Southern Co.		22,278		1,207,913
WEC Energy Group, Inc.		6,654		644,773
Xcel Energy, Inc.		63,122		4,356,049
				37,616,588
Electronic Components-Misc. — 0.3%
nVent Electric PLC		136,105		2,407,697
Electronic Components-Semiconductors — 2.6%
Intel Corp.		193,909		10,040,608
IPG Photonics Corp.†		376		63,909
Micron Technology, Inc.†		51,242		2,406,324
Skyworks Solutions, Inc.		1,480		215,340
Texas Instruments, Inc.		34,622		4,943,675
Xilinx, Inc.		1,958		204,102
				17,873,958
Electronic Connectors — 0.4%
TE Connectivity, Ltd.		25,101		2,453,372
Electronic Measurement Instruments — 0.1%
Agilent Technologies, Inc.		2,797		282,329
FLIR Systems, Inc.		1,438		51,553
Fortive Corp.		7,110		541,853
				875,735
Engineering/R&D Services — 0.0%
Jacobs Engineering Group, Inc.		2,747		254,839
Enterprise Software/Service — 0.4%
Oracle Corp.		48,382		2,888,405
Entertainment Software — 0.2%
Activision Blizzard, Inc.		16,282		1,318,028
Electronic Arts, Inc.†		2,863		373,364
				1,691,392
Finance-Credit Card — 0.2%
American Express Co.		5,503		551,676
Capital One Financial Corp.		9,632		692,155
Discover Financial Services		2,456		141,908
				1,385,739
Finance-Investment Banker/Broker — 0.3%
Charles Schwab Corp.		62,055		2,248,253
Finance-Other Services — 0.2%
CME Group, Inc.		3,707		620,218
Intercontinental Exchange, Inc.		5,328		533,067
Nasdaq, Inc.		1,285		157,682
				1,310,967
Food-Confectionery — 1.6%
Hershey Co.		1,026		147,067
J.M. Smucker Co.		2,406		277,941
Mondelez International, Inc., Class A		180,793		10,386,558
				10,811,566

181

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Meat Products — 0.1%
Hormel Foods Corp.		5,919	$	289,380
Tyson Foods, Inc., Class A		3,228		192,001
				481,381
Food-Misc./Diversified — 0.3%
Campbell Soup Co.		2,392		115,701
Conagra Brands, Inc.		10,304		367,956
General Mills, Inc.		12,887		794,870
Kellogg Co.		5,353		345,750
Kraft Heinz Co.		13,668		409,357
Lamb Weston Holdings, Inc.		1,379		91,386
McCormick & Co., Inc.		1,281		248,642
				2,373,662
Food-Retail — 0.3%
Koninklijke Ahold Delhaize NV		57,680		1,707,076
Kroger Co.		16,410		556,463
				2,263,539
Food-Wholesale/Distribution — 0.5%
Sysco Corp.		57,757		3,593,641
Gas-Distribution — 0.1%
Atmos Energy Corp.		2,602		248,725
NiSource, Inc.		8,080		177,760
				426,485
Gold Mining — 0.2%
Newmont Corp.		16,940		1,074,843
Home Decoration Products — 0.0%
Newell Brands, Inc.		7,966		136,697
Home Furnishings — 0.0%
Leggett & Platt, Inc.		950		39,112
Human Resources — 0.0%
Robert Half International, Inc.		2,418		128,009
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		1,052		232,155
Industrial Gases — 0.1%
Linde PLC		3,214		765,350
Instruments-Controls — 0.2%
Honeywell International, Inc.		7,994		1,315,893
Mettler-Toledo International, Inc.†		187		180,595
				1,496,488
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		1,014		127,267
Waters Corp.†		496		97,057
				224,324
Insurance Brokers — 0.2%
Aon PLC, Class A		1,808		372,990
Arthur J. Gallagher & Co.		1,979		208,943
Marsh & McLennan Cos., Inc.		4,167		477,955
Willis Towers Watson PLC		1,413		295,063
				1,354,951

Security Description	Shares		Value (Note 2)
Insurance-Life/Health — 0.8%
Aflac, Inc.		125,136	$	4,548,694
Globe Life, Inc.		2,067		165,153
Lincoln National Corp.		3,832		120,056
Principal Financial Group, Inc.		5,385		216,854
Prudential Financial, Inc.		8,332		529,249
Unum Group		4,294		72,268
				5,652,274
Insurance-Multi-line — 2.3%
Allstate Corp.		6,588		620,194
American International Group, Inc.(1)		18,171		500,248
Chubb, Ltd.		89,480		10,390,418
Cincinnati Financial Corp.		1,704		132,861
Hartford Financial Services Group, Inc.		7,556		278,514
Loews Corp.		5,028		174,723
MetLife, Inc.		107,930		4,011,758
				16,108,716
Insurance-Property/Casualty — 4.1%
Assurant, Inc.		29,613		3,592,353
Berkshire Hathaway, Inc., Class B†		90,544		19,280,439
Progressive Corp.		46,517		4,403,765
Travelers Cos., Inc.		5,341		577,843
WR Berkley Corp.		2,966		181,371
				28,035,771
Insurance-Reinsurance — 0.0%
Everest Re Group, Ltd.		843		166,526
Internet Brokers — 0.0%
E*TRADE Financial Corp.		4,664		233,433
Internet Content-Entertainment — 0.1%
Twitter, Inc.†		16,685		742,483
Internet Infrastructure Software — 0.4%
F5 Networks, Inc.†		20,840		2,558,527
Internet Security — 0.0%
NortonLifeLock, Inc.		4,737		98,719
Investment Management/Advisor Services — 1.3%
Ameriprise Financial, Inc.		18,938		2,918,535
BlackRock, Inc.		7,287		4,106,589
Franklin Resources, Inc.		5,643		114,835
Invesco, Ltd.		7,942		90,618
LPL Financial Holdings, Inc.		14,674		1,129,025
Raymond James Financial, Inc.		2,575		187,357
T. Rowe Price Group, Inc.		1,245		159,634
				8,706,593
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.		4,683		698,469
Machinery-Farming — 0.5%
Deere & Co.		15,913		3,526,798

182

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-General Industrial — 0.1%
IDEX Corp.		685	$	124,951
Otis Worldwide Corp.		4,036		251,927
Westinghouse Air Brake Technologies Corp.		3,773		233,473
				610,351
Machinery-Pumps — 0.1%
Dover Corp.		1,245		134,883
Flowserve Corp.		2,746		74,938
Ingersoll Rand, Inc.†		2,114		75,259
Xylem, Inc.		1,556		130,891
				415,971
Medical Information Systems — 0.6%
Cerner Corp.		52,753		3,813,514
Medical Instruments — 2.7%
Boston Scientific Corp.†		12,373		472,772
Medtronic PLC		176,926		18,386,150
				18,858,922
Medical Labs & Testing Services — 0.4%
IQVIA Holdings, Inc.†		1,251		197,195
Laboratory Corp. of America Holdings†		2,055		386,895
Quest Diagnostics, Inc.		17,803		2,038,265
				2,622,355
Medical Products — 1.4%
Abbott Laboratories		15,686		1,707,107
ABIOMED, Inc.†		409		113,318
Baxter International, Inc.		5,873		472,307
Cooper Cos., Inc.		446		150,356
Henry Schein, Inc.†		3,012		177,045
Hologic, Inc.†		30,033		1,996,293
STERIS PLC		825		145,357
Stryker Corp.		2,344		488,419
Varian Medical Systems, Inc.†		865		148,780
Zimmer Biomet Holdings, Inc.		29,218		3,977,739
				9,376,721
Medical-Biomedical/Gene — 1.0%
Alexion Pharmaceuticals, Inc.†		1,942		222,223
Amgen, Inc.		5,065		1,287,320
Bio-Rad Laboratories, Inc., Class A†		126		64,948
Biogen, Inc.†		10,904		3,093,247
Gilead Sciences, Inc.		26,447		1,671,186
Illumina, Inc.†		1,232		380,786
Regeneron Pharmaceuticals, Inc.†		728		407,520
				7,127,230
Medical-Drugs — 8.4%
AbbVie, Inc.		17,497		1,532,562
AstraZeneca PLC ADR		55,342		3,032,742
Bristol-Myers Squibb Co.		21,395		1,289,904
Eli Lilly & Co.		33,696		4,987,682
GlaxoSmithKline PLC ADR		44,970		1,692,671
Johnson & Johnson		107,692		16,033,185
Merck & Co., Inc.		115,317		9,565,545

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Pfizer, Inc.		402,053	$	14,755,345
Roche Holding AG		4,930		1,686,687
Roche Holding AG ADR		77,323		3,310,198
				57,886,521
Medical-Generic Drugs — 0.0%
Mylan NV†		10,905		161,721
Perrigo Co. PLC		2,879		132,175
				293,896
Medical-HMO — 4.0%
Anthem, Inc.		24,456		6,568,637
Centene Corp.†		61,609		3,593,653
Humana, Inc.		2,791		1,155,167
UnitedHealth Group, Inc.		51,583		16,082,032
				27,399,489
Medical-Hospitals — 0.5%
HCA Healthcare, Inc.		5,562		693,470
Universal Health Services, Inc., Class B		24,079		2,576,935
				3,270,405
Medical-Wholesale Drug Distribution — 0.5%
AmerisourceBergen Corp.		3,100		300,452
Cardinal Health, Inc.		6,169		289,635
McKesson Corp.		18,651		2,777,693
				3,367,780
Metal-Copper — 0.0%
Freeport-McMoRan, Inc.		13,785		215,597
Multimedia — 0.9%
Walt Disney Co.		49,746		6,172,484
Networking Products — 2.4%
Cisco Systems, Inc.		419,261		16,514,691
Non-Hazardous Waste Disposal — 0.4%
Republic Services, Inc.		25,124		2,345,326
Waste Management, Inc.		3,443		389,644
				2,734,970
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		511		65,326
Oil Companies-Exploration & Production — 0.8%
Apache Corp.		3,026		28,656
Cabot Oil & Gas Corp.		3,111		54,007
Concho Resources, Inc.		4,149		183,054
ConocoPhillips		62,140		2,040,678
Devon Energy Corp.		8,075		76,389
Diamondback Energy, Inc.		3,329		100,269
EOG Resources, Inc.		6,141		220,707
Marathon Oil Corp.		16,653		68,111
Noble Energy, Inc.		10,223		87,407
Occidental Petroleum Corp.		17,659		176,767
Pioneer Natural Resources Co.		25,727		2,212,265
				5,248,310

183

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Integrated — 1.8%
Chevron Corp.		93,540	$	6,734,880
Exxon Mobil Corp.		89,192		3,061,961
TOTAL SE ADR		75,020		2,573,186
				12,370,027
Oil Field Machinery & Equipment — 0.0%
National Oilwell Varco, Inc.		5,652		51,207
Oil Refining & Marketing — 0.5%
HollyFrontier Corp.		3,144		61,968
Marathon Petroleum Corp.		13,726		402,721
Phillips 66		43,668		2,263,749
Valero Energy Corp.		8,601		372,596
				3,101,034
Oil-Field Services — 0.1%
Baker Hughes Co.		13,845		184,000
Halliburton Co.		18,531		223,299
Schlumberger, Ltd.		29,281		455,612
TechnipFMC PLC		8,910		56,222
				919,133
Paper & Related Products — 0.3%
International Paper Co.		8,292		336,157
Mondi PLC		91,400		1,923,557
				2,259,714
Pharmacy Services — 0.4%
Cigna Corp.		7,746		1,312,250
CVS Health Corp.		27,606		1,612,190
				2,924,440
Pipelines — 0.2%
Kinder Morgan, Inc.		41,063		506,307
ONEOK, Inc.		9,370		243,433
Williams Cos., Inc.		25,599		503,020
				1,252,760
Private Equity — 0.4%
Blackstone Group, Inc., Class A		46,636		2,434,399
Publishing-Newspapers — 0.0%
News Corp., Class A		8,206		115,048
News Corp., Class B		2,569		35,915
				150,963
Real Estate Investment Trusts — 2.4%
Alexandria Real Estate Equities, Inc.		1,138		182,080
Apartment Investment & Management Co., Class A		3,140		105,881
AvalonBay Communities, Inc.		2,969		443,390
Boston Properties, Inc.		1,673		134,342
Crown Castle International Corp.		3,718		619,047
Digital Realty Trust, Inc.		5,674		832,716
Duke Realty Corp.		3,205		118,264
Equity Residential		7,223		370,757
Essex Property Trust, Inc.		688		138,143
Extra Space Storage, Inc.		1,144		122,397
Federal Realty Investment Trust		842		61,836
Gaming and Leisure Properties, Inc.		90,746		3,351,250
Healthpeak Properties, Inc.†		6,018		163,389

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Highwoods Properties, Inc.		66,896	$	2,245,699
Host Hotels & Resorts, Inc.		200,144		2,159,554
Iron Mountain, Inc.		6,078		162,830
Kimco Realty Corp.		9,123		102,725
Mid-America Apartment Communities, Inc.		1,327		153,866
Prologis, Inc.		6,701		674,255
Public Storage		1,796		400,005
Realty Income Corp.		4,003		243,182
Regency Centers Corp.		3,328		126,530
Simon Property Group, Inc.		3,872		250,441
SL Green Realty Corp.		1,545		71,642
UDR, Inc.		3,299		107,580
Ventas, Inc.		7,870		330,225
Vornado Realty Trust		3,306		111,445
Welltower, Inc.		8,803		484,957
Weyerhaeuser Co.		84,742		2,416,842
				16,685,270
Retail-Apparel/Shoe — 0.0%
Gap, Inc.		4,334		73,808
L Brands, Inc.		4,924		156,632
				230,440
Retail-Auto Parts — 0.4%
Advance Auto Parts, Inc.		14,218		2,182,463
Genuine Parts Co.		3,043		289,602
				2,472,065
Retail-Building Products — 0.4%
Home Depot, Inc.		6,585		1,828,721
Lowe's Cos., Inc.		5,420		898,961
				2,727,682
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		4,859		540,758
Retail-Discount — 1.5%
Costco Wholesale Corp.		3,819		1,355,745
Dollar Tree, Inc.†		5,006		457,248
Target Corp.		3,802		598,511
Walmart, Inc.		56,890		7,959,480
				10,370,984
Retail-Drug Store — 0.1%
Walgreens Boots Alliance, Inc.		15,172		544,978
Retail-Gardening Products — 0.0%
Tractor Supply Co.		1,250		179,175
Retail-Major Department Stores — 0.4%
TJX Cos., Inc.		49,950		2,779,718
Retail-Perfume & Cosmetics — 0.0%
Ulta Beauty, Inc.†		535		119,829
Retail-Restaurants — 1.0%
Darden Restaurants, Inc.		1,482		149,296
McDonald's Corp.		30,224		6,633,866
				6,783,162
Savings & Loans/Thrifts — 0.0%
People's United Financial, Inc.		8,960		92,378

184

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Semiconductor Components-Integrated Circuits — 0.4%
Analog Devices, Inc.		19,466	$	2,272,461
Maxim Integrated Products, Inc.		3,154		213,242
				2,485,703
Semiconductor Equipment — 0.6%
Applied Materials, Inc.		28,950		1,721,077
KLA Corp.		11,543		2,236,341
				3,957,418
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		350		49,263
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		2,400		224,904
Software Tools — 0.3%
VMware, Inc., Class A†		16,238		2,332,913
Steel-Producers — 0.0%
Nucor Corp.		6,368		285,669
Telecom Equipment-Fiber Optics — 0.6%
Corning, Inc.		131,117		4,249,502
Telecommunication Equipment — 0.0%
Juniper Networks, Inc.		6,998		150,457
Telephone-Integrated — 2.6%
AT&T, Inc.		150,297		4,284,967
CenturyLink, Inc.		20,837		210,245
Verizon Communications, Inc.		221,040		13,149,670
				17,644,882
Television — 0.1%
ViacomCBS, Inc., Class B		11,892		333,095
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		1,262		123,159
Theaters — 0.0%
Live Nation Entertainment, Inc.†		989		53,287
Tobacco — 0.3%
Altria Group, Inc.		23,913		923,998
Philip Morris International, Inc.		18,396		1,379,516
				2,303,514
Tools-Hand Held — 0.1%
Snap-on, Inc.		1,149		169,052
Stanley Black & Decker, Inc.		3,368		546,290
				715,342
Toys — 0.0%
Hasbro, Inc.		2,688		222,351
Transport-Rail — 1.2%
CSX Corp.		8,069		626,719
Norfolk Southern Corp.		14,945		3,198,081
Union Pacific Corp.		22,946		4,517,379
				8,342,179
Transport-Services — 0.4%
C.H. Robinson Worldwide, Inc.		2,844		290,628
Expeditors International of Washington, Inc.		1,698		153,703

Security Description	Shares/ Prinicipal Amount		Value (Note 2)
Transport-Services (continued)
FedEx Corp.		5,085	$	1,278,979
United Parcel Service, Inc., Class B		8,203		1,366,866
				3,090,176
Transport-Truck — 0.4%
JB Hunt Transport Services, Inc.		721		91,120
Knight-Swift Transportation Holdings, Inc.		57,950		2,358,565
				2,449,685
Water — 0.0%
American Water Works Co., Inc.		1,911		276,866
Water Treatment Systems — 0.0%
Pentair PLC		3,500		160,195
Web Hosting/Design — 0.0%
VeriSign, Inc.†		1,002		205,260
Total Common Stocks (cost $651,160,758)				673,378,722
EXCHANGE-TRADED FUNDS — 1.7%
iShares Russell 1000 Value ETF		52,620		6,216,000
iShares S&P 500 Value ETF		45,600		5,127,720
Total Exchange-Traded Funds (cost $10,877,425)				11,343,720
WARRANTS — 0.0%
Oil Companies-Exploration & Production — 0.0%
Occidental Petroleum Corp. Expires 08/03/2027 (cost $11,762)		2,376		7,128
Total Long-Term Investment Securities (cost $662,049,945)				684,729,570
SHORT-TERM INVESTMENT SECURITIES — 0.0%
U.S. Government Treasuries — 0.0%
United States Treasury Bills 0.07% due 02/25/2021(2) (cost $99,972)	$	100,000		99,959
REPURCHASE AGREEMENTS — 0.4%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00%, dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $119,000 and collateralized by $102,100 of United States Treasury Notes, bearing interest at 2.88% due 05/15/2028 and having an approximate value of $121,495		119,000		119,000
Bank of America Securities LLC Joint Repurchase Agreement(3)		550,000		550,000
Barclays Capital, Inc. Joint Repurchase Agreement(3)		490,000		490,000
BNP Paribas SA Joint Repurchase Agreement(3)		490,000		490,000

185

Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Deutsche Bank AG Joint Repurchase Agreement(3)	$	540,000		$	540,000
RBS Securities, Inc. Joint Repurchase Agreement(3)		515,000			515,000
Total Repurchase Agreements (cost $2,704,000)					2,704,000
TOTAL INVESTMENTS (cost $664,853,917)(4)		99.4	%		687,533,529
Other assets less liabilities		0.6			4,262,126
NET ASSETS		100.0	%	$	691,795,655

†  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 Appreciation (Depreciation)
	4	Long	S&P 500 E-Mini Index	December 2020	$	674,456	$	670,400	$	(4,056	)

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Bank of America, N.A.	JPY	212,071,900	USD	2,021,417	12/30/2020	$	7,878	$	—
	USD	77,927	JPY	8,210,804	12/30/2020		32		—
							7,910		—
Credit Suisse AG	EUR	10,611,545	USD	12,455,831	12/31/2020		—		(12,286	)
							—		(12,286	)
JPMorgan Chase Bank	GBP	2,479,325	USD	3,168,725	12/31/2020		—		(32,588	)
	USD	157,569	GBP	123,688	12/31/2020		2,137		—
							2,137		(32,588	)
Morgan Stanley & Co., Inc.	CHF	1,473,044	USD	1,611,673	12/31/2020		7,796		—
	USD	143,356	CHF	131,246	12/31/2020		—		(453	)
							7,796		(453	)
Unrealized Appreciation (Depreciation)						$	17,843	$	(45,327	)

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

USD — United States Dollar

CHF — Swiss Franc

186

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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	$	664,226,305	$	9,152,417	**	$	—	$	673,378,722
Exchange-Traded Funds		11,343,720		—			—		11,343,720
Warrants		7,128		—			—		7,128
Short-Term Investment Securities		—		99,959			—		99,959
Repurchase Agreements		—		2,704,000			—		2,704,000
Total Investments at Value	$	675,577,153	$	11,956,376				$	687,533,529
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	17,843		$	—	$	17,843
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	4,056	$	—		$	—	$	4,056
Forward Foreign Currency Contracts		—		45,327			—		45,327
Total Other Financial Instruments	$	4,056	$	45,327		$	—	$	49,383

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

See Notes to Financial Statements

187

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Enterprise Software/Service	6.4	%
Medical-Biomedical/Gene	6.1
Computer Software	4.5
Commercial Services-Finance	3.7
Internet Content-Entertainment	3.6
Medical Products	2.8
Electronic Components-Semiconductors	2.7
Commercial Services	2.7
Data Processing/Management	2.4
Retail-Apparel/Shoe	2.3
Computer Aided Design	2.2
E-Commerce/Services	2.0
Distribution/Wholesale	1.9
Dental Supplies & Equipment	1.7
Retail-Restaurants	1.5
Semiconductor Equipment	1.5
Web Hosting/Design	1.4
Schools	1.3
Retail-Auto Parts	1.2
Communications Software	1.2
Internet Application Software	1.1
Medical-Drugs	1.1
Consulting Services	1.1
Patient Monitoring Equipment	1.1
Electronic Measurement Instruments	1.1
Drug Delivery Systems	1.1
Specified Purpose Acquisitions	1.1
Computer Services	1.1
Internet Gambling	1.1
Applications Software	1.0
Athletic Equipment	1.0
Exchange-Traded Funds	1.0
Diversified Manufacturing Operations	1.0
Beverages-Non-alcoholic	0.9
Healthcare Safety Devices	0.9
Building-Residential/Commercial	0.9
Diagnostic Kits	0.9
Repurchase Agreements	0.8
Medical-Wholesale Drug Distribution	0.8
Internet Security	0.8
Computer Data Security	0.8
Retail-Misc./Diversified	0.8
Medical Labs & Testing Services	0.7
Decision Support Software	0.7
E-Commerce/Products	0.7
Retail-Floor Coverings	0.7
Brewery	0.6
Diagnostic Equipment	0.6
Food-Catering	0.6
Entertainment Software	0.5
Containers-Metal/Glass	0.5
Real Estate Investment Trusts	0.5
Food-Misc./Diversified	0.5
Industrial Automated/Robotic	0.5
Transport-Truck	0.5
Soap & Cleaning Preparation	0.5
Advertising Services	0.5
Building-Mobile Home/Manufactured Housing	0.5
Therapeutics	0.5
Instruments-Controls	0.5

Electronic Connectors	0.5	%
Recreational Vehicles	0.5
Recreational Centers	0.5
E-Services/Consulting	0.4
Veterinary Diagnostics	0.4
Consumer Products-Misc.	0.4
Medical-HMO	0.4
Racetracks	0.4
Food-Confectionery	0.4
Retail-Discount	0.4
Retail-Gardening Products	0.4
Private Equity	0.4
Cable/Satellite TV	0.4
Medical Information Systems	0.4
Disposable Medical Products	0.3
Medical-Outpatient/Home Medical	0.3
Beverages-Wine/Spirits	0.3
Machinery-General Industrial	0.3
Respiratory Products	0.3
Retail-Perfume & Cosmetics	0.3
Office Automation & Equipment	0.3
Garden Products	0.3
Power Converter/Supply Equipment	0.3
Finance-Investment Banker/Broker	0.2
Retail-Automobile	0.2
Energy-Alternate Sources	0.2
Theaters	0.2
Building-Maintenance & Services	0.2
Internet Content-Information/News	0.2
Coatings/Paint	0.2
Multimedia	0.2
Human Resources	0.2
Building Products-Cement	0.2
Transport-Services	0.2
Building & Construction Products-Misc.	0.2
Semiconductor Components-Integrated Circuits	0.2
Machinery-Pumps	0.2
Medical Instruments	0.2
Aerospace/Defense-Equipment	0.2
Aerospace/Defense	0.2
Electronic Security Devices	0.2
Computers-Memory Devices	0.1
Machinery-Electrical	0.1
Investment Management/Advisor Services	0.1
Office Supplies & Forms	0.1
Oil Companies-Exploration & Production	0.1
Pipelines	0.1
Gold Mining	0.1
Networking Products	0.1
Banks-Commercial	0.1
Wireless Equipment	0.1
Containers-Paper/Plastic	0.1
Dialysis Centers	0.1
Finance-Other Services	0.1
Building Products-Air & Heating	0.1
Insurance-Property/Casualty	0.1
Electric Products-Misc.	0.1
Lighting Products & Systems	0.1
Non-Hazardous Waste Disposal	0.1
Casino Hotels	0.1

188

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Insurance Brokers	0.1	%
Medical-Hospitals	0.1
Insurance-Reinsurance	0.1
Auto/Truck Parts & Equipment-Original	0.1
Transport-Rail	0.1
Firearms & Ammunition	0.1
Lasers-System/Components	0.1
Chemicals-Diversified	0.1
Retail-Convenience Store	0.1
Insurance-Life/Health	0.1
Retail-Home Furnishings	0.1
Retail-Consumer Electronics	0.1
Television	0.1
U.S. Government Treasuries	0.1
	100.2	%

*  Calculated as a percentage of net assets

189

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.7%
Advertising Services — 0.5%
Trade Desk, Inc., Class A†		2,182	$	1,131,978
Aerospace/Defense — 0.2%
TransDigm Group, Inc.		713		338,761
Aerospace/Defense-Equipment — 0.2%
HEICO Corp.		940		98,381
HEICO Corp., Class A		1,636		145,048
Hexcel Corp.		1,300		43,615
L3Harris Technologies, Inc.		385		65,388
				352,432
Agricultural Chemicals — 0.0%
CF Industries Holdings, Inc.		2,900		89,059
Apparel Manufacturers — 0.0%
VF Corp.		489		34,352
Applications Software — 0.9%
BigCommerce Holdings, Inc., Series 1†		192		15,994
CDK Global, Inc.		405		17,654
Duck Creek Technologies, Inc.†		310		14,083
Elastic NV†		1,706		184,060
Five9, Inc.†		5,059		656,051
Jamf Holding Corp.†		256		9,628
Medallia, Inc.†		2,188		59,995
PTC, Inc.†		5,720		473,158
RealPage, Inc.†		6,634		382,384
Smartsheet, Inc., Class A†		5,390		266,374
Tanium Inc., Class B†(1)(2)		1,910		21,765
				2,101,146
Athletic Equipment — 1.0%
Peloton Interactive, Inc., Class A†		24,047		2,386,424
Auction Houses/Art Dealers — 0.0%
Ritchie Bros. Auctioneers, Inc.		1,400		82,950
Audio/Video Products — 0.0%
Dolby Laboratories, Inc., Class A		194		12,858
Auto-Cars/Light Trucks — 0.0%
Ferrari NV		440		81,000
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		800		68,224
Auto/Truck Parts & Equipment-Original — 0.1%
Allison Transmission Holdings, Inc.		1,910		67,117
Aptiv PLC		945		86,638
				153,755
Banks-Commercial — 0.1%
First Republic Bank		600		65,436
Signature Bank		700		58,093
SVB Financial Group†		336		80,848
Webster Financial Corp.		2,100		55,461
				259,838
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		1,288		50,412
Beverages-Non-alcoholic — 0.9%
Monster Beverage Corp.†		26,116		2,094,503

Security Description	Shares		Value (Note 2)
Beverages-Wine/Spirits — 0.3%
Brown-Forman Corp., Class A		1,006	$	69,092
Brown-Forman Corp., Class B		8,214		618,679
				687,771
Brewery — 0.6%
Boston Beer Co., Inc., Class A†		1,522		1,344,474
Constellation Brands, Inc., Class A		750		142,132
				1,486,606
Building & Construction Products-Misc. — 0.2%
Armstrong World Industries, Inc.		461		31,721
AZEK Co., Inc.†		168		5,848
Fortune Brands Home & Security, Inc.		1,644		142,239
Trex Co., Inc.†		3,026		216,662
				396,470
Building & Construction-Misc. — 0.0%
Frontdoor, Inc.†		376		14,630
Procore Technologies, Inc.†(1)(2)		198		8,910
				23,540
Building Products-Air & Heating — 0.1%
Carrier Global Corp.		8,160		249,206
Building Products-Cement — 0.2%
Vulcan Materials Co.		3,100		420,174
Building-Maintenance & Services — 0.2%
Rollins, Inc.		6,269		339,717
Terminix Global Holdings, Inc.†		3,600		143,568
				483,285
Building-Mobile Home/Manufactured Housing — 0.5%
Thor Industries, Inc.		11,896		1,133,213
Building-Residential/Commercial — 0.9%
Lennar Corp., Class A		21,270		1,737,334
NVR, Inc.†		79		322,566
				2,059,900
Cable/Satellite TV — 0.4%
Altice USA, Inc., Class A†		17,982		467,532
Cable One, Inc.		140		263,960
Sirius XM Holdings, Inc.		18,570		99,535
				831,027
Casino Hotels — 0.1%
MGM Resorts International		3,400		73,950
Wynn Resorts, Ltd.		1,484		106,566
				180,516
Chemicals-Diversified — 0.1%
FMC Corp.		667		70,642
PPG Industries, Inc.		600		73,248
				143,890
Chemicals-Specialty — 0.0%
NewMarket Corp.		149		51,006
W.R. Grace & Co.		526		21,192
				72,198
Coatings/Paint — 0.2%
RPM International, Inc.		5,596		463,573

190

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Commercial Services — 2.7%
Cintas Corp.		4,066	$	1,353,287
CoreLogic, Inc.		106		7,173
CoStar Group, Inc.†		5,357		4,545,468
Dun & Bradstreet Holdings, Inc.†		6,339		162,658
Morningstar, Inc.		475		76,290
Quanta Services, Inc.		723		38,218
				6,183,094
Commercial Services-Finance — 3.7%
Avalara, Inc.†		5,491		699,224
Equifax, Inc.		4,697		736,959
Euronet Worldwide, Inc.†		1,300		118,430
FleetCor Technologies, Inc.†		4,793		1,141,213
H&R Block, Inc.		3,548		57,797
IHS Markit, Ltd.		11,654		914,955
MarketAxess Holdings, Inc.		2,138		1,029,639
Square, Inc., Class A†		15,712		2,553,986
StoneCo, Ltd., Class A†		8,011		423,702
TransUnion		9,929		835,327
WEX, Inc.†		944		131,188
				8,642,420
Communications Software — 1.2%
RingCentral, Inc., Class A†		9,698		2,663,168
Computer Aided Design — 2.2%
ANSYS, Inc.†		4,362		1,427,377
Aspen Technology, Inc.†		3,780		478,510
Bentley Systems, Inc.†		1,016		31,903
Cadence Design Systems, Inc.†		15,527		1,655,644
Synopsys, Inc.†		7,461		1,596,505
				5,189,939
Computer Data Security — 0.8%
Crowdstrike Holdings, Inc., Class A†		5,395		740,841
Fortinet, Inc.†		7,299		859,895
Zscaler, Inc.†		1,840		258,870
				1,859,606
Computer Services — 1.1%
CACI International, Inc., Class A†		105		22,382
EPAM Systems, Inc.†		1,883		608,736
Genpact, Ltd.		4,809		187,311
Globant SA†		1,008		180,654
Leidos Holdings, Inc.		16,683		1,487,289
Science Applications International Corp.		196		15,370
				2,501,742
Computer Software — 4.5%
Akamai Technologies, Inc.†		8,348		922,788
Citrix Systems, Inc.		2,877		396,192
Cloudflare, Inc., Class A†		2,853		117,144
Datadog, Inc., Class A†		8,068		824,227
Dropbox, Inc., Class A†		6,421		123,668
Dynatrace, Inc.†		7,178		294,441
Fastly, Inc., Class A†		2,063		193,262
MongoDB, Inc.†		2,716		628,781
nCino, Inc.†		1,767		140,795

Security Description	Shares		Value (Note 2)
Computer Software (continued)
Nutanix, Inc., Class A†		4,789	$	106,220
Slack Technologies, Inc., Class A†		20,014		537,576
Splunk, Inc.†		24,559		4,620,285
Teradata Corp.†		2,171		49,282
Twilio, Inc., Class A†		5,883		1,453,630
ZoomInfo Technologies, Inc.† Class A		828		35,596
				10,443,887
Computers-Memory Devices — 0.1%
NetApp, Inc.		3,140		137,658
Pure Storage, Inc., Class A†		12,885		198,300
				335,958
Computers-Other — 0.0%
Lumentum Holdings, Inc.†		209		15,702
Consulting Services — 1.1%
Booz Allen Hamilton Holding Corp.		8,439		700,268
Gartner, Inc.†		4,464		557,777
Verisk Analytics, Inc.		7,396		1,370,553
				2,628,598
Consumer Products-Misc. — 0.4%
Clorox Co.		4,191		880,822
Reynolds Consumer Products, Inc.		2,935		89,870
				970,692
Containers-Metal/Glass — 0.5%
Ball Corp.		14,422		1,198,757
Crown Holdings, Inc.†		349		26,824
				1,225,581
Containers-Paper/Plastic — 0.1%
Amcor PLC		6,186		68,355
Berry Global Group, Inc.†		1,181		57,066
Graphic Packaging Holding Co.		1,585		22,333
Sealed Air Corp.		2,800		108,668
				256,422
Data Processing/Management — 2.4%
Broadridge Financial Solutions, Inc.		6,450		851,400
DocuSign, Inc.†		9,271		1,995,490
Fair Isaac Corp.†		4,209		1,790,424
Jack Henry & Associates, Inc.		1,562		253,966
Paychex, Inc.		8,486		676,928
				5,568,208
Decision Support Software — 0.7%
Databricks, Inc.(1)(2)†		689		33,072
MSCI, Inc.		4,315		1,539,506
				1,572,578
Dental Supplies & Equipment — 1.7%
Align Technology, Inc.†		12,120		3,967,603
Diagnostic Equipment — 0.6%
10X Genomics, Inc., Class A†		1,502		187,269
Adaptive Biotechnologies Corp.†		4,920		239,260
Avantor, Inc.†		36,146		812,923
Repligen Corp.†		1,366		201,540
				1,440,992

191

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diagnostic Kits — 0.9%
IDEXX Laboratories, Inc.†		3,771	$	1,482,418
Quidel Corp.†		2,308		506,329
				1,988,747
Dialysis Centers — 0.1%
DaVita, Inc.†		2,962		253,695
Disposable Medical Products — 0.3%
ICU Medical, Inc.†		507		92,660
Teleflex, Inc.		1,860		633,181
				725,841
Distribution/Wholesale — 1.9%
Copart, Inc.†		22,358		2,351,167
Fastenal Co.		13,654		615,659
HD Supply Holdings, Inc.†		1,900		78,356
IAA, Inc.†		5,736		298,674
Pool Corp.		1,924		643,655
Watsco, Inc.		500		116,445
WW Grainger, Inc.		855		305,038
				4,408,994
Diversified Manufacturing Operations — 1.0%
A.O. Smith Corp.		1,500		79,200
Trane Technologies PLC		17,873		2,167,101
				2,246,301
Drug Delivery Systems — 1.1%
DexCom, Inc.†		6,259		2,580,148
E-Commerce/Products — 0.6%
Chewy, Inc., Class A†		2,538		139,159
Etsy, Inc.†		6,588		801,298
Wayfair, Inc., Class A†		1,588		462,124
				1,402,581
E-Commerce/Services — 1.7%
Expedia Group, Inc.		396		36,309
GrubHub, Inc.†		231		16,708
Match Group, Inc.†		34,541		3,821,962
Zillow Group, Inc., Class A†		166		16,856
Zillow Group, Inc., Class C†		404		41,042
				3,932,877
E-Services/Consulting — 0.4%
CDW Corp.		8,462		1,011,463
Electric Products-Misc. — 0.1%
AMETEK, Inc.		700		69,580
Littelfuse, Inc.		852		151,094
				220,674
Electronic Components-Misc. — 0.0%
Hubbell, Inc.		450		61,578
Jabil, Inc.		731		25,044
				86,622
Electronic Components-Semiconductors — 2.7%
Inphi Corp.†		4,351		488,400
IPG Photonics Corp.†		559		95,013
Marvell Technology Group, Ltd.		44,126		1,751,802
Microchip Technology, Inc.		11,405		1,171,978
Monolithic Power Systems, Inc.		3,709		1,037,073

Security Description	Shares		Value (Note 2)
Electronic Components-Semiconductors (continued)
Skyworks Solutions, Inc.		2,100	$	305,550
Xilinx, Inc.		13,194		1,375,343
				6,225,159
Electronic Connectors — 0.5%
Amphenol Corp., Class A		10,181		1,102,297
Electronic Measurement Instruments — 1.1%
Agilent Technologies, Inc.		12,050		1,216,327
FLIR Systems, Inc.		1,200		43,020
Fortive Corp.		11,176		851,723
Keysight Technologies, Inc.†		5,045		498,345
				2,609,415
Electronic Security Devices — 0.2%
Allegion PLC		3,417		337,975
Electronics-Military — 0.0%
Mercury Systems, Inc.†		1,163		90,086
Energy-Alternate Sources — 0.2%
Enphase Energy, Inc.†		2,764		228,279
SolarEdge Technologies, Inc.†		1,278		304,611
				532,890
Enterprise Software/Service — 6.4%
Alteryx, Inc., Class A†		1,378		156,472
Atlassian Corp. PLC, Class A†		672		122,163
Bill.com Holdings, Inc.†		3,626		363,724
Black Knight, Inc.†		8,747		761,426
Ceridian HCM Holding, Inc.†		5,447		450,195
Coupa Software, Inc.†		3,830		1,050,339
Everbridge, Inc.†		897		112,780
Guidewire Software, Inc.†		21,401		2,231,482
HubSpot, Inc.†		2,083		608,715
Manhattan Associates, Inc.†		1,476		140,943
New Relic, Inc.†		1,339		75,466
PagerDuty, Inc.†		1,792		48,581
Paycom Software, Inc.†		4,222		1,314,309
Pegasystems, Inc.		927		112,204
Pluralsight, Inc., Class A†		2,731		46,782
SS&C Technologies Holdings, Inc.		5,787		350,229
Tyler Technologies, Inc.†		2,272		791,928
Veeva Systems, Inc., Class A†		11,799		3,317,761
Workday, Inc., Class A†		12,552		2,700,312
				14,755,811
Entertainment Software — 0.5%
Electronic Arts, Inc.†		1,100		143,451
Take-Two Interactive Software, Inc.†		4,221		697,394
Zynga, Inc., Class A†		43,501		396,729
				1,237,574
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		342		15,876
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		17		5,757
Finance-Consumer Loans — 0.0%
LendingTree, Inc.†		196		60,150
SLM Corp.		2,261		18,292
				78,442

192

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Credit Card — 0.0%
Western Union Co.		2,081	$	44,596
Finance-Investment Banker/Broker — 0.2%
Tradeweb Markets, Inc.		9,050		524,900
Virtu Financial, Inc., Class A		1,479		34,032
				558,932
Finance-Other Services — 0.1%
Cboe Global Markets, Inc.		2,174		190,747
Nasdaq, Inc.		506		62,091
				252,838
Firearms & Ammunition — 0.1%
Axon Enterprise, Inc.†		1,636		148,385
Food-Catering — 0.6%
Aramark		48,715		1,288,512
Food-Confectionery — 0.4%
Hershey Co.		6,266		898,168
Food-Meat Products — 0.0%
Tyson Foods, Inc., Class A		1,100		65,428
Food-Misc./Diversified — 0.5%
Beyond Meat, Inc.†		1,076		178,681
Campbell Soup Co.		2,287		110,622
Conagra Brands, Inc.		2,196		78,419
Kellogg Co.		2,227		143,842
Lamb Weston Holdings, Inc.		874		57,920
McCormick & Co., Inc.		3,264		633,542
				1,203,026
Food-Retail — 0.0%
Albertsons Cos., Inc., Class A†		449		6,219
Grocery Outlet Holding Corp.†		989		38,887
Sprouts Farmers Market, Inc.†		2,599		54,397
				99,503
Funeral Services & Related Items — 0.0%
Service Corp. International		1,500		63,270
Garden Products — 0.3%
Scotts Miracle-Gro Co.		993		151,840
Toro Co.		5,120		429,824
				581,664
Gold Mining — 0.1%
Kirkland Lake Gold, Ltd.		2,800		136,444
Royal Gold, Inc.		1,228		147,569
				284,013
Healthcare Safety Devices — 0.9%
Tandem Diabetes Care, Inc.†		18,159		2,061,047
Home Furnishings — 0.0%
Tempur Sealy International, Inc.†		916		81,698
Human Resources — 0.2%
Paylocity Holding Corp.†		2,605		420,499
Independent Power Producers — 0.0%
NRG Energy, Inc.		2,208		67,874

Security Description	Shares		Value (Note 2)
Industrial Automated/Robotic — 0.5%
Cognex Corp.		7,310	$	475,881
Rockwell Automation, Inc.		3,055		674,177
				1,150,058
Instruments-Controls — 0.5%
Mettler-Toledo International, Inc.†		1,081		1,043,976
Woodward, Inc.		900		72,144
				1,116,120
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		565		70,913
Waters Corp.†		118		23,090
				94,003
Insurance Brokers — 0.1%
Brown & Brown, Inc.		327		14,803
Selectquote, Inc.†		927		18,772
Selectquote, Inc. Lock-Up Shares†(1)		7,389		142,146
				175,721
Insurance-Life/Health — 0.1%
GoHealth, Inc., Class A†		3,336		43,451
Lincoln National Corp.		625		19,581
Primerica, Inc.		639		72,297
				135,329
Insurance-Property/Casualty — 0.1%
Alleghany Corp.		34		17,695
Assurant, Inc.		1,250		151,638
Erie Indemnity Co., Class A		376		79,065
				248,398
Insurance-Reinsurance — 0.1%
Axis Capital Holdings, Ltd.		1,793		78,964
RenaissanceRe Holdings, Ltd.		447		75,874
				154,838
Internet Application Software — 1.1%
Anaplan, Inc.†		6,410		401,138
Okta, Inc.†		6,310		1,349,393
Wix.com, Ltd.†		986		251,282
Zendesk, Inc.†		6,188		636,869
				2,638,682
Internet Content-Entertainment — 3.6%
Pinterest, Inc., Class A†		8,726		362,216
Roku, Inc.†		9,177		1,732,618
Snap, Inc., Class A†		88,373		2,307,419
Spotify Technology SA†		15,678		3,803,013
Twitter, Inc.†		4,200		186,966
				8,392,232
Internet Content-Information/News — 0.2%
GoodRx Holdings, Inc.†		394		21,906
IAC/InterActiveCorp†		3,811		456,482
				478,388
Internet Gambling — 1.1%
DraftKings, Inc., Class A†		18,980		1,116,783
DraftKings, Inc., Class A Lock-Up Shares†(1)		23,337		1,365,625
				2,482,408

193

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Security — 0.8%
FireEye, Inc.†		1,311	$	16,184
NortonLifeLock, Inc.		17,699		368,847
Palo Alto Networks, Inc.†		4,475		1,095,256
Proofpoint, Inc.†		3,881		409,640
				1,889,927
Investment Management/Advisor Services — 0.1%
Ares Management Corp., Class A		2,566		103,718
LPL Financial Holdings, Inc.		162		12,420
T. Rowe Price Group, Inc.		1,504		192,843
				308,981
Lasers-System/Components — 0.1%
Coherent, Inc.†		1,301		144,320
Lighting Products & Systems — 0.1%
Universal Display Corp.		1,123		202,971
Machine Tools & Related Products — 0.0%
Lincoln Electric Holdings, Inc.		636		58,537
Machinery-Electrical — 0.1%
BWX Technologies, Inc.		4,095		230,590
Vertiv Holdings Co.†		5,738		99,382
				329,972
Machinery-General Industrial — 0.3%
IDEX Corp.		400		72,964
Middleby Corp.†		800		71,768
Nordson Corp.		2,006		384,791
Otis Worldwide Corp.		1,900		118,598
				648,121
Machinery-Pumps — 0.2%
Graco, Inc.		4,660		285,891
Xylem, Inc.		900		75,708
				361,599
Medical Information Systems — 0.4%
Cerner Corp.		10,064		727,526
Change Healthcare, Inc.†		4,660		67,617
Oak Street Health, Inc.†		240		12,826
				807,969
Medical Instruments — 0.2%
Bio-Techne Corp.		934		231,380
Bruker Corp.		3,248		129,108
				360,488
Medical Labs & Testing Services — 0.7%
Catalent, Inc.†		3,100		265,546
Charles River Laboratories International, Inc.†		1,132		256,341
IQVIA Holdings, Inc.†		3,186		502,209
Laboratory Corp. of America Holdings†		140		26,358
PPD, Inc.†		5,844		216,170
Syneos Health, Inc.†		193		10,260
Teladoc Health, Inc.†		1,696		371,831
				1,648,715

Security Description	Shares		Value (Note 2)
Medical Products — 2.8%
ABIOMED, Inc.†		8,941	$	2,477,194
Cooper Cos., Inc.		1,170		394,430
Haemonetics Corp.†		1,216		106,096
Hill-Rom Holdings, Inc.		204		17,036
Hologic, Inc.†		10,702		711,362
Masimo Corp.†		1,279		301,921
Novocure, Ltd.†		9,994		1,112,432
Penumbra, Inc.†		2,103		408,781
STERIS PLC		1,017		179,185
Varian Medical Systems, Inc.†		299		51,428
West Pharmaceutical Services, Inc.		2,804		770,820
				6,530,685
Medical-Biomedical/Gene — 6.1%
ACADIA Pharmaceuticals, Inc.†		7,995		329,794
Acceleron Pharma, Inc.†		3,214		361,671
Alexion Pharmaceuticals, Inc.†		2,107		241,104
Alnylam Pharmaceuticals, Inc.†		6,420		934,752
Apellis Pharmaceuticals, Inc.†		8,833		266,492
Argenx SE ADR†		3,217		844,527
Ascendis Pharma A/S ADR†		3,302		509,565
Berkeley Lights, Inc.†		134		10,232
BioMarin Pharmaceutical, Inc.†		9,536		725,499
BioNTech SE ADR†		1,400		96,922
Bluebird Bio, Inc.†		1,275		68,786
Blueprint Medicines Corp.†		1,400		129,780
Exact Sciences Corp.†		33,986		3,464,873
Exelixis, Inc.†		11,585		283,253
FibroGen, Inc.†		3,200		131,584
Genmab A/S ADR†		2,000		73,220
Guardant Health, Inc.†		1,965		219,648
Immunomedics, Inc.†		5,388		458,142
Incyte Corp.†		11,191		1,004,280
Ionis Pharmaceuticals, Inc.†		5,081		241,093
Iovance Biotherapeutics, Inc.†		3,604		118,644
Kodiak Sciences, Inc.†		2,975		176,150
Livongo Health, Inc.†		2,846		398,582
Moderna, Inc.†		7,472		528,644
Royalty Pharma PLC, Class A		5,332		224,317
Sage Therapeutics, Inc.†		1,296		79,211
Seattle Genetics, Inc.†		10,975		2,147,698
Ultragenyx Pharmaceutical, Inc.†		1,683		138,326
				14,206,789
Medical-Drugs — 1.1%
Galapagos NV†		7,331		1,041,742
Galapagos NV ADR†		305		43,282
Global Blood Therapeutics, Inc.†		1,531		84,419
Horizon Therapeutics PLC†		9,125		708,830
Jazz Pharmaceuticals PLC†		1,100		156,849
MyoKardia, Inc.†		608		82,889
PRA Health Sciences, Inc.†		2,806		284,641
Reata Pharmaceuticals, Inc., Class A†		2,343		228,255
				2,630,907
Medical-Generic Drugs — 0.0%
Perrigo Co. PLC		1,300		59,683

194

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-HMO — 0.4%
Centene Corp.†		7,452	$	434,675
Molina Healthcare, Inc.†		2,908		532,281
				966,956
Medical-Hospitals — 0.1%
Acadia Healthcare Co., Inc.†		2,546		75,056
Universal Health Services, Inc., Class B		800		85,616
				160,672
Medical-Outpatient/Home Medical — 0.3%
Amedisys, Inc.†		2,178		514,944
Chemed Corp.		405		194,542
				709,486
Medical-Wholesale Drug Distribution — 0.8%
AmerisourceBergen Corp.		1,830	��	177,364
Cardinal Health, Inc.		7,655		359,402
McKesson Corp.		9,212		1,371,943
				1,908,709
Multimedia — 0.2%
FactSet Research Systems, Inc.		1,320		442,042
Networking Products — 0.1%
Arista Networks, Inc.†		1,262		261,146
Non-Hazardous Waste Disposal — 0.1%
Waste Connections, Inc.		1,923		199,607
Office Automation & Equipment — 0.3%
Zebra Technologies Corp., Class A†		2,395		604,642
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		2,347		300,040
Oil Companies-Exploration & Production — 0.1%
Cabot Oil & Gas Corp.		3,445		59,805
Concho Resources, Inc.		1,417		62,518
Venture Global LNG, Inc., Series B†(1)(2)		3		11,544
Venture Global LNG, Inc., Series C†(1)(2)		42		161,616
				295,483
Patient Monitoring Equipment — 1.1%
Insulet Corp.†		11,067		2,618,342
Physical Therapy/Rehabilitation Centers — 0.0%
Encompass Health Corp.		1,164		75,637
Pipelines — 0.1%
Cheniere Energy, Inc.†		6,054		280,118
Equitrans Midstream Corp.		982		8,308
				288,426
Poultry — 0.0%
Pilgrim's Pride Corp.†		427		6,390
Power Converter/Supply Equipment — 0.3%
Generac Holdings, Inc.†		2,983		577,628

Security Description	Shares		Value (Note 2)
Private Equity — 0.4%
Apollo Global Management, Inc.		2,214	$	99,076
Blackstone Group, Inc., Class A		13,953		728,347
Carlyle Group, Inc.		286		7,056
				834,479
Protection/Safety — 0.0%
ADT, Inc.		6,100		49,837
Racetracks — 0.4%
Penn National Gaming, Inc.†		12,686		922,272
Radio — 0.0%
Liberty Media Corp. — Liberty SiriusXM, Series A†		252		8,359
Liberty Media Corp. — Liberty SiriusXM, Series C†		526		17,400
				25,759
Real Estate Investment Trusts — 0.5%
Americold Realty Trust		527		18,840
Brookfield Property REIT, Inc., Class A		1,080		13,219
CoreSite Realty Corp.		709		84,286
CubeSmart		2,100		67,851
Equity LifeStyle Properties, Inc.		1,865		114,325
Extra Space Storage, Inc.		2,323		248,538
Iron Mountain, Inc.		4,384		117,447
MGM Growth Properties LLC, Class A		2,900		81,142
SBA Communications Corp.		219		69,747
Simon Property Group, Inc.		6,268		405,414
				1,220,809
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Class A†(1)(2)		587		0
Recreational Centers — 0.5%
Planet Fitness, Inc., Class A†		16,913		1,042,179
Recreational Vehicles — 0.5%
Polaris, Inc.		11,197		1,056,325
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		400		69,800
Resort/Theme Parks — 0.0%
Vail Resorts, Inc.		84		17,973
Respiratory Products — 0.3%
ResMed, Inc.		3,752		643,205
Retail-Apparel/Shoe — 2.3%
Burlington Stores, Inc.†		15,512		3,196,868
Lululemon Athletica, Inc.†		6,004		1,977,538
Ross Stores, Inc.		2,350		219,302
				5,393,708
Retail-Auto Parts — 1.2%
AutoZone, Inc.†		761		896,184
O'Reilly Automotive, Inc.†		3,930		1,812,044
				2,708,228

195

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Automobile — 0.2%
CarMax, Inc.†		2,319	$	213,139
Carvana Co.†		1,430		318,976
Vroom, Inc.†		509		26,356
				558,471
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		1,081		120,305
Retail-Convenience Store — 0.1%
Casey's General Stores, Inc.		800		142,120
Retail-Discount — 0.4%
Dollar Tree, Inc.†		6,886		628,967
Ollie's Bargain Outlet Holdings, Inc.†		2,767		241,698
				870,665
Retail-Floor Coverings — 0.7%
Floor & Decor Holdings, Inc., Class A†		20,141		1,506,547
Retail-Gardening Products — 0.4%
Tractor Supply Co.		5,824		834,812
Retail-Home Furnishings — 0.1%
Williams-Sonoma, Inc.		1,428		129,148
Retail-Misc./Diversified — 0.8%
Five Below, Inc.†		14,438		1,833,626
Retail-Perfume & Cosmetics — 0.3%
Ulta Beauty, Inc.†		2,715		608,106
Retail-Restaurants — 1.5%
Chipotle Mexican Grill, Inc.†		1,459		1,814,573
Domino's Pizza, Inc.		1,966		836,100
Dunkin' Brands Group, Inc.		4,527		370,806
Papa John's International, Inc.		892		73,394
Restaurant Brands International, Inc.		1,192		68,552
Wendy's Co.		4,691		104,586
Yum China Holdings, Inc.		2,065		109,342
Yum! Brands, Inc.		800		73,040
				3,450,393
Schools — 1.3%
2U, Inc.†		22,051		746,647
Bright Horizons Family Solutions, Inc.†		2,687		408,531
Chegg, Inc.†		25,825		1,844,938
Grand Canyon Education, Inc.†		900		71,946
				3,072,062
Semiconductor Components-Integrated Circuits — 0.2%
Maxim Integrated Products, Inc.		5,407		365,567
Semiconductor Equipment — 1.5%
Entegris, Inc.		10,862		807,481
KLA Corp.		9,063		1,755,866
MKS Instruments, Inc.		1,075		117,422
Teradyne, Inc.		9,628		765,041
				3,445,810
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		448		63,056
Soap & Cleaning Preparation — 0.5%
Church & Dwight Co., Inc.		12,134		1,137,077

Security Description	Shares		Value (Note 2)
Specified Purpose Acquisitions — 1.1%
BowX Acquisition Corp.†		79,800	$	818,748
Churchill Capital Corp.†		79,365		795,237
Churchill Capital Corp. III, Class A†		86,844		890,151
				2,504,136
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		600		74,508
Telecom Equipment-Fiber Optics — 0.0%
Corning, Inc.		2,200		71,302
Telecom Services — 0.0%
Switch, Inc., Class A		2,310		36,059
Telecommunication Equipment — 0.0%
CommScope Holding Co., Inc.†		313		2,817
Television — 0.1%
Nexstar Media Group, Inc., Class A		764		68,707
World Wrestling Entertainment, Inc., Class A		1,201		48,604
				117,311
Theaters — 0.2%
Live Nation Entertainment, Inc.†		9,414		507,226
Therapeutics — 0.5%
Agios Pharmaceuticals, Inc.†		1,654		57,890
GW Pharmaceuticals PLC ADR†		400		38,940
Neurocrine Biosciences, Inc.†		6,090		585,614
Sarepta Therapeutics, Inc.†		3,197		448,955
				1,131,399
Tools-Hand Held — 0.0%
MSA Safety, Inc.		211		28,310
Toys — 0.0%
Mattel, Inc.†		5,341		62,490
Transport-Rail — 0.1%
Kansas City Southern		825		149,185
Transport-Services — 0.2%
C.H. Robinson Worldwide, Inc.		544		55,592
Expeditors International of Washington, Inc.		3,962		358,640
				414,232
Transport-Truck — 0.5%
JB Hunt Transport Services, Inc.		1,692		213,835
Landstar System, Inc.		1,410		176,941
Old Dominion Freight Line, Inc.		4,100		741,772
XPO Logistics, Inc.†		119		10,074
				1,142,622
Travel Services — 0.0%
Virgin Galactic Holdings, Inc.†		1,506		28,960
Veterinary Diagnostics — 0.4%
Elanco Animal Health, Inc.†		35,107		980,539
Vitamins & Nutrition Products — 0.0%
Herbalife Nutrition, Ltd.†		315		14,695
Web Hosting/Design — 1.4%
GoDaddy, Inc., Class A†		34,423		2,615,115
VeriSign, Inc.†		3,109		636,879
				3,251,994

196

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		1,454	$	228,002
Ubiquiti, Inc.		182		30,332
				258,334
Total Common Stocks (cost $157,869,603)				226,873,434
CONVERTIBLE PREFERRED SECURITIES — 0.6%
Advertising Services — 0.0%
Nanigans, Inc., Series B†(1)(2)		6,300		2,394
Applications Software — 0.1%
Magic Leap, Inc., Series C†(1)(2)		4,974		34,379
Tanium, Inc., Series G†(1)(2)		32,619		371,700
				406,079
Building & Construction-Misc. — 0.0%
Procore Technologies, Inc. Series B†(1)(2)		132		5,940
Decision Support Software — 0.0%
Databricks, Inc. Series F†(1)(2)		1,680		80,640
E-Commerce/Products — 0.1%
One Kings Lane Inc., Series E†(2)		11,800		1,888
The Honest Co., Inc., Series C†(1)(2)		4,317		152,822
				154,710
E-Commerce/Services — 0.3%
Airbnb, Inc., Series D†(1)(2)		2,091		177,895
Airbnb, Inc., Series E†(1)(2)		2,711		230,643
Rappi, Inc., Series E†(1)(2)		1,959		117,042
				525,580
Enterprise Software/Service — 0.0%
UiPath, Inc., Series D-1†(1)(2)		5,019		93,321
UiPath, Inc., Series D-2†(1)(2)		843		15,674
Uipath, Inc., Series E†(1)(2)		105		1,952
				110,947
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Series D-1†(1)(2)		3,588		0
WeWork Cos., Inc., Series D-2†(1)(2)		2,819		0

Security Description	Shares/ Principal Amount			Value (Note 2)
Real Estate Management/Services (continued)
WeWork Cos., Inc., Series E†(1)(2)		2,120		$	0
					0
Total Convertible Preferred Securities (cost $1,252,940)					1,286,290
EXCHANGE-TRADED FUNDS — 1.0%
iShares Russell Midcap Growth Index Fund (cost $6,415,723)		13,709			2,369,875
Total Long-Term Investment Securities (cost $165,538,266)					230,529,599
SHORT-TERM INVESTMENT SECURITIES — 0.1%
Registered Investment Companies — 0.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(4)		50,177			50,177
T. Rowe Price Government Reserve Fund 0.09%(4)		182			182
					50,359
U.S. Government Treasuries — 0.1%
United States Treasury Bills 0.11% due 12/31/2020(5)	$	60,000			59,985
Total Short-Term Investment Securities (cost $110,342)					110,344
REPURCHASE AGREEMENTS — 0.8%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $268,000 and collateralized by $229,800 of United States Treasury Notes, bearing interest at 2.88% due 05/15/2028 and having an approximate value of $273,453		268,000			268,000
Bank of America Securities LLC Joint Repurchase Agreement(3)		360,000			360,000
Barclays Capital, Inc. Joint Repurchase Agreement(3)		315,000			315,000
BNP Paribas SA Joint Repurchase Agreement(3)		315,000			315,000
Deutsche Bank AG Joint Repurchase Agreement(3)		350,000			350,000
RBS Securities, Inc. Joint Repurchase Agreement(3)		335,000			335,000
Total Repurchase Agreements (cost $1,943,000)					1,943,000
TOTAL INVESTMENTS (cost $167,591,608)(6)		100.2	%		232,582,943
Liabilities in excess of other assets		(0.2	)		(532,070	)
NET ASSETS		100.0	%	$	232,050,873

197

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

†  Non-income producing security

(1)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Databricks, Inc.	07/24/2020		468	$	22,481
	08/28/2020		221		10,608
			689	$	33,089	$	33,072	$	48.00		0.01	%
DraftKings, Inc., Class A, Lock-Up Shares	07/13/2015		22,928		244,282
	04/24/2020		247		0
	08/04/2020		162		1,863
			23,337		246,145		1,365,625		58.52		0.59	%
Procore Technologies, Inc.	05/06/2020		198		8,910		8,910		45.00		0.01
Selectquote, Inc., Lock-Up Shares	05/06/2020		7,389		133,000		142,146		19.24		0.06
Tanium, Inc., Series B	09/24/2020		1,910		21,765		21,765		11.40		0.01
Venture Global LNG, Inc., Series B	03/08/2018		3		9,060		11,544		3,848.00		0.00
Venture Global LNG, Inc., Series C	10/16/2017		39		147,069
	03/09/2018		3		9,060
			42		156,129		161,616		3,848.00		0.07
WeWork Cos., Inc., Class A	05/26/2017		587		8,319		0		0.00		0.00

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		2,091	$	85,131	$	177,895	$	85.08		0.08	%
Airbnb, Inc., Series E	06/24/2015		2,392		222,682
	07/14/2015		319		29,697
			2,711		252,379		230,643		85.08		0.10
Databricks, Inc. Series F	10/22/2019		1,680		72,153		80,640		48.00		0.03
The Honest Co., Inc., Series C	08/20/2014		4,317		116,806		152,822		35.40		0.07
Magic Leap, Inc., Series C	12/28/2015		4,974		114,566		34,379		6.91		0.01
Nanigans, Inc., Series B	03/16/2015		6,300		68,787		2,394		0.38		0.00
Procore Technologies, Inc., Series B	07/15/2020		132		5,940		5,940		45.00		0.00
Rappi Inc., Series E	09/08/2020		1,959		117,042		117,042		59.75		0.05
Tanium, Inc., Series G	08/26/2015		32,619		161,930		371,700		11.40		0.16
UiPath, Inc., Series D-1	04/26/2019		5,019		65,835		93,321		18.59		0.04
UiPath, Inc., Series D-2	04/26/2019		843		11,058		15,674		18.59		0.01
UiPath, Inc., Series E	07/09/2020		105		1,952		1,952		18.59		0.00
WeWork Cos., Inc., Series D-1	12/09/2014		3,588		59,744		0		0.00		0.00
WeWork Cos., Inc., Series D-2	12/09/2014		2,819		46,940		0		0.00		0.00
WeWork Cos., Inc., Series E	06/23/2015		2,120		69,726		0		0.00		0.00
						$	3,029,080				1.31	%

(2)  Securities classified as Level 3 (see Note 2).

(3)  See Note 2 for details of Joint Repurchase Agreements.

(4)  The rate shown is the 7-day yield as of September 30, 2020.

(5)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(6)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	2	Long	S&P MidCap 400 E-Mini Index	December 2020	$	377,213	$	371,180	$	(6,033	)

*  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.

198

Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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	$	2,079,381	$	—	$	21,765	$	2,101,146
Building & Construction-Misc.		14,630		—		8,910		23,540
Decision Support Software		1,539,506		—		33,072		1,572,578
Insurance Brokers		33,575		142,146		—		175,721
Internet Gambling		1,116,783		1,365,625		—		2,482,408
Oil Companies-Exploration & Production		122,323		—		173,160		295,483
Real Estate Management/Services		—		—		0		0
Other Industries		220,222,558		—		—		220,222,558
Convertible Preferred Securities		—		—		1,286,290		1,286,290
Exchange-Traded Funds		2,369,875		—		—		2,369,875
Short-Term Investment Securities:
Registered Investment Companies		50,359		—		—		50,359
U.S. Government Treasuries		—		59,985		—		59,985
Repurchase Agreements		—		1,943,000		—		1,943,000
Total Investments at Value	$	227,548,990	$	3,510,756	$	1,523,197	$	232,582,943
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	6,033	$	—	$	—	$	6,033

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no material Level 3 transfers during the reporting period.

See Notes to Financial Statements

199

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	7.9	%
Electric-Integrated	5.8
Oil Companies-Exploration & Production	2.8
Banks-Commercial	2.5
Medical Products	2.5
Chemicals-Diversified	2.4
Insurance-Multi-line	2.0
Banks-Fiduciary	1.9
Insurance Brokers	1.8
Diversified Manufacturing Operations	1.7
Agricultural Operations	1.7
Medical-Wholesale Drug Distribution	1.6
Gold Mining	1.5
Dental Supplies & Equipment	1.4
Food-Misc./Diversified	1.2
Insurance-Life/Health	1.2
Banks-Super Regional	1.1
Electric-Distribution	1.1
Distribution/Wholesale	1.1
Medical-Hospitals	1.0
Computer Services	1.0
Containers-Paper/Plastic	1.0
Medical Labs & Testing Services	1.0
Insurance-Property/Casualty	1.0
Airlines	1.0
Building & Construction Products-Misc.	0.9
Electronic Components-Semiconductors	0.9
Building-Residential/Commercial	0.9
Publishing-Newspapers	0.9
Electronic Measurement Instruments	0.9
Apparel Manufacturers	0.9
Food-Baking	0.8
Transport-Services	0.8
Auto-Heavy Duty Trucks	0.8
Machinery-Farming	0.8
Medical-Biomedical/Gene	0.8
Agricultural Biotech	0.8
Machinery-Pumps	0.8
Food-Retail	0.8
Pipelines	0.8
Gas-Distribution	0.7
Building Products-Cement	0.7
Finance-Other Services	0.7
Medical-Drugs	0.7
Exchange-Traded Funds	0.7
Investment Management/Advisor Services	0.7
Oil Companies-Integrated	0.7
Tools-Hand Held	0.7
Television	0.7
Commercial Services	0.7
Metal-Copper	0.7
Silver Mining	0.6
Semiconductor Components-Integrated Circuits	0.6
Insurance-Reinsurance	0.6
Medical-Generic Drugs	0.6
Cable/Satellite TV	0.6
Finance-Investment Banker/Broker	0.6
Transport-Truck	0.6
Food-Wholesale/Distribution	0.6
Oil-Field Services	0.6

Non-Ferrous Metals	0.6	%
Auto/Truck Parts & Equipment-Original	0.5
Schools	0.5
Wireless Equipment	0.5
Private Equity	0.5
Aerospace/Defense-Equipment	0.5
Commercial Services-Finance	0.5
Building Products-Wood	0.4
Electronic Components-Misc.	0.4
Engineering/R&D Services	0.4
Investment Companies	0.4
Hotels/Motels	0.4
Telecom Equipment-Fiber Optics	0.4
Internet Brokers	0.4
U.S. Government Agencies	0.4
Retail-Restaurants	0.4
Finance-Credit Card	0.4
Instruments-Scientific	0.4
Semiconductor Equipment	0.4
Machinery-General Industrial	0.4
Transport-Rail	0.4
Food-Confectionery	0.4
Building Products-Air & Heating	0.4
Food-Catering	0.4
Non-Hazardous Waste Disposal	0.4
Retail-Discount	0.4
Brewery	0.3
Office Automation & Equipment	0.3
Finance-Auto Loans	0.3
Appliances	0.3
Enterprise Software/Service	0.3
Broadcast Services/Program	0.3
Recreational Vehicles	0.3
Electronic Connectors	0.3
Registered Investment Companies	0.3
Savings & Loans/Thrifts	0.3
Medical Instruments	0.3
E-Commerce/Services	0.3
Veterinary Diagnostics	0.3
Coatings/Paint	0.3
Oil Refining & Marketing	0.3
Rental Auto/Equipment	0.3
Finance-Consumer Loans	0.3
Machinery-Electrical	0.3
Chemicals-Specialty	0.3
Consumer Products-Misc.	0.3
Computers	0.3
Telephone-Integrated	0.2
Internet Content-Entertainment	0.2
Entertainment Software	0.2
Water	0.2
Retail-Auto Parts	0.2
Home Decoration Products	0.2
Aerospace/Defense	0.2
Beverages-Non-alcoholic	0.2
Footwear & Related Apparel	0.2
Food-Meat Products	0.2
Transport-Marine	0.2
Medical Information Systems	0.2
Batteries/Battery Systems	0.2

200

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Toys	0.2	%
Electric Products-Misc.	0.2
Auto-Cars/Light Trucks	0.2
Steel-Producers	0.2
Real Estate Operations & Development	0.2
Retail-Jewelry	0.2
Cruise Lines	0.2
Pastoral & Agricultural	0.1
Publishing-Books	0.1
Computer Software	0.1
Oil Field Machinery & Equipment	0.1
Retail-Consumer Electronics	0.1
Real Estate Management/Services	0.1
Retail-Gardening Products	0.1
Retail-Automobile	0.1
Resorts/Theme Parks	0.1
Advertising Agencies	0.1
Computers-Memory Devices	0.1
Paper & Related Products	0.1
Casino Hotels	0.1
Textile-Home Furnishings	0.1
Retail-Apparel/Shoe	0.1
Applications Software	0.1
Retail-Major Department Stores	0.1
Electronic Parts Distribution	0.1
Independent Power Producers	0.1
Containers-Metal/Glass	0.1
Industrial Automated/Robotic	0.1
Agricultural Chemicals	0.1
Diagnostic Kits	0.1
Professional Sports	0.1
Shipbuilding	0.1
Human Resources	0.1
Repurchase Agreements	0.1
Telecommunication Equipment	0.1
Hazardous Waste Disposal	0.1
Web Hosting/Design	0.1
Disposable Medical Products	0.1
Data Processing/Management	0.1
Water Treatment Systems	0.1
Radio	0.1
Internet Infrastructure Software	0.1
Athletic Equipment	0.1
	100.0	%

*  Calculated as a percentage of net assets

201

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.3%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		5,062	$	84,384
Omnicom Group, Inc.		2,771		137,164
				221,548
Aerospace/Defense — 0.2%
Spirit AeroSystems Holdings, Inc., Class A		1,366		25,831
Teledyne Technologies, Inc.†		472		146,419
TransDigm Group, Inc.		530		251,814
				424,064
Aerospace/Defense-Equipment — 0.5%
HEICO Corp.		114		11,931
HEICO Corp., Class A		199		17,643
Hexcel Corp.		1,086		36,435
Howmet Aerospace, Inc.		5,143		85,991
L3Harris Technologies, Inc.		4,597		780,755
				932,755
Agricultural Biotech — 0.8%
Corteva, Inc.		55,389		1,595,757
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		2,782		85,435
Mosaic Co.		4,500		82,215
				167,650
Agricultural Operations — 1.6%
Archer-Daniels-Midland Co.		26,441		1,229,242
Bunge, Ltd.		44,029		2,012,125
				3,241,367
Airlines — 1.0%
Alaska Air Group, Inc.		7,966		291,795
American Airlines Group, Inc.		6,586		80,942
Copa Holdings SA, Class A		408		20,539
Delta Air Lines, Inc.		14,218		434,786
JetBlue Airways Corp.†		3,546		40,176
Southwest Airlines Co.		24,912		934,200
United Airlines Holdings, Inc.†		3,781		131,390
				1,933,828
Apparel Manufacturers — 0.9%
Capri Holdings, Ltd.†		1,849		33,282
Carter's, Inc.		558		48,312
Columbia Sportswear Co.		375		32,617
Hanesbrands, Inc.		4,517		71,143
PVH Corp.		5,276		314,661
Ralph Lauren Corp.		9,569		650,405
Tapestry, Inc.		3,602		56,299
Under Armour, Inc., Class A†		2,453		27,547
Under Armour, Inc., Class C†		2,565		25,240
Urban Outfitters, Inc.†		10,390		216,216
VF Corp.		3,958		278,049
				1,753,771
Appliances — 0.3%
Whirlpool Corp.		3,548		652,442

Security Description	Shares		Value (Note 2)
Applications Software — 0.1%
BigCommerce Holdings, Inc., Series 1†		20	$	1,666
CDK Global, Inc.		1,385		60,372
Duck Creek Technologies, Inc.†		32		1,454
Jamf Holding Corp.†		132		4,965
Nuance Communications, Inc.†		3,663		121,575
RealPage, Inc.†		144		8,300
				198,332
Athletic Equipment — 0.1%
Peloton Interactive, Inc., Class A†		964		95,667
Audio/Video Products — 0.0%
Dolby Laboratories, Inc., Class A		724		47,987
Auto-Cars/Light Trucks — 0.2%
Ford Motor Co.		50,838		338,581
Auto-Heavy Duty Trucks — 0.8%
Cummins, Inc.		1,922		405,850
PACCAR, Inc.		14,883		1,269,222
				1,675,072
Auto/Truck Parts & Equipment-Original — 0.5%
Allison Transmission Holdings, Inc.		517		18,167
Aptiv PLC		3,491		320,055
BorgWarner, Inc.		2,696		104,443
Gentex Corp.		3,196		82,297
Lear Corp.		4,430		483,092
				1,008,054
Banks-Commercial — 2.5%
Associated Banc-Corp		1,974		24,912
Bank of Hawaii Corp.		513		25,917
Bank OZK		1,591		33,920
BOK Financial Corp.		408		21,016
Citizens Financial Group, Inc.		5,553		140,380
Commerce Bancshares, Inc.		1,310		73,740
Cullen/Frost Bankers, Inc.		729		46,619
East West Bancorp, Inc.		1,836		60,111
First Citizens BancShares, Inc., Class A		82		26,140
First Hawaiian, Inc.		1,688		24,425
First Horizon National Corp.		7,108		67,028
First Republic Bank		2,219		242,004
FNB Corp.		4,200		28,476
M&T Bank Corp.		4,983		458,884
PacWest Bancorp		1,520		25,962
Pinnacle Financial Partners, Inc.		962		34,238
Popular, Inc.		7,108		257,807
Prosperity Bancshares, Inc.		6,467		335,185
Regions Financial Corp.		12,520		144,356
Signature Bank		4,920		408,311
SVB Financial Group†		2,553		614,303
Synovus Financial Corp.		1,905		40,329
TCF Financial Corp.		1,965		45,902
Truist Financial Corp.		15,006		570,978
Umpqua Holdings Corp.		21,532		228,670
Webster Financial Corp.		1,166		30,794
Westamerica BanCorp		12,932		702,854
Western Alliance Bancorp		1,273		40,252

202

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Wintrust Financial Corp.		7,323	$	293,286
Zions Bancorp NA		2,103		61,450
				5,108,249
Banks-Fiduciary — 1.9%
Northern Trust Corp.		22,114		1,724,228
State Street Corp.		36,011		2,136,533
				3,860,761
Banks-Super Regional — 1.1%
Comerica, Inc.		9,702		371,101
Fifth Third Bancorp		58,528		1,247,817
Huntington Bancshares, Inc.		13,160		120,677
KeyCorp		48,090		573,714
				2,313,309
Batteries/Battery Systems — 0.2%
Energizer Holdings, Inc.		9,468		370,578
Beverages-Non-alcoholic — 0.2%
Coca-Cola European Partners PLC		10,730		416,431
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class A		87		5,975
Brown-Forman Corp., Class B		348		26,212
				32,187
Brewery — 0.3%
Carlsberg A/S, Class B		3,412		459,426
Molson Coors Beverage Co., Class B		6,816		228,745
				688,171
Broadcast Services/Program — 0.3%
Discovery, Inc., Class A†		2,033		44,258
Discovery, Inc., Class C†		4,242		83,143
Fox Corp., Class A		11,393		317,067
Fox Corp., Class B		2,084		58,290
Liberty Media Corp. - Liberty Formula One, Series A†		326		10,924
Liberty Media Corp. - Liberty Formula One, Series C†		2,582		93,649
Madison Square Garden Entertainment Corp.†		242		16,575
				623,906
Building & Construction Products-Misc. — 0.9%
Armstrong World Industries, Inc.		2,435		167,552
AZEK Co., Inc.†		440		15,316
Fortune Brands Home & Security, Inc.		7,646		661,532
Owens Corning		10,427		717,482
Summit Materials, Inc., Class A†		22,170		366,692
				1,928,574
Building & Construction-Misc. — 0.0%
Frontdoor, Inc.†		928		36,108
Building Products-Air & Heating — 0.4%
Carrier Global Corp.		7,256		221,598
Johnson Controls International PLC		9,709		396,613
Lennox International, Inc.		450		122,674
				740,885

Security Description	Shares		Value (Note 2)
Building Products-Cement — 0.7%
Eagle Materials, Inc.		538	$	46,440
Martin Marietta Materials, Inc.		810		190,642
MDU Resources Group, Inc.		2,597		58,432
Vulcan Materials Co.		8,840		1,198,174
				1,493,688
Building Products-Wood — 0.4%
Masco Corp.		16,012		882,742
Building-Maintenance & Services — 0.0%
Rollins, Inc.		241		13,060
Terminix Global Holdings, Inc.†		1,723		68,713
				81,773
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		718		68,397
Building-Residential/Commercial — 0.9%
D.R. Horton, Inc.		4,308		325,814
Lennar Corp., Class A		3,527		288,085
Lennar Corp., Class B		204		13,394
NVR, Inc.†		39		159,242
PulteGroup, Inc.		3,485		161,321
Toll Brothers, Inc.		18,274		889,213
				1,837,069
Cable/Satellite TV — 0.6%
DISH Network Corp., Class A†		14,212		412,574
Liberty Broadband Corp., Class A†		322		45,663
Liberty Broadband Corp., Class C†		5,366		766,641
Sirius XM Holdings, Inc.		6,114		32,771
				1,257,649
Casino Hotels — 0.1%
MGM Resorts International		6,133		133,393
Wynn Resorts, Ltd.		960		68,937
				202,330
Cellular Telecom — 0.0%
United States Cellular Corp.†		189		5,581
Chemicals-Diversified — 2.4%
Celanese Corp.		6,525		701,111
DuPont de Nemours, Inc.		9,857		546,866
Eastman Chemical Co.		11,734		916,660
FMC Corp.		7,650		810,212
Huntsman Corp.		2,609		57,946
LyondellBasell Industries NV, Class A		3,343		235,648
Olin Corp.		1,857		22,990
PPG Industries, Inc.		8,343		1,018,513
Westlake Chemical Corp.		10,435		659,701
				4,969,647
Chemicals-Specialty — 0.3%
Albemarle Corp.		1,375		122,760
Ashland Global Holdings, Inc.		721		51,133
Cabot Corp.		725		26,122
Chemours Co.		2,127		44,476
Element Solutions, Inc.†		2,827		29,712
International Flavors & Fragrances, Inc.		1,394		170,695
NewMarket Corp.		15		5,135

203

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty (continued)
Valvoline, Inc.		2,414	$	45,962
W.R. Grace & Co.		470		18,936
				514,931
Coal — 0.0%
Peabody Energy Corp.		39,133		90,006
Coatings/Paint — 0.3%
Axalta Coating Systems, Ltd.†		23,783		527,269
RPM International, Inc.		273		22,615
				549,884
Commercial Services — 0.7%
Cintas Corp.		1,489		495,584
CoreLogic, Inc.		979		66,249
Dun & Bradstreet Holdings, Inc.†		569		14,601
Macquarie Infrastructure Corp.		957		25,734
Morningstar, Inc.		45		7,227
Nielsen Holdings PLC		4,642		65,824
Quanta Services, Inc.		12,832		678,299
				1,353,518
Commercial Services-Finance — 0.5%
Equifax, Inc.		407		63,858
Euronet Worldwide, Inc.†		655		59,671
Global Payments, Inc.		2,723		483,550
H&R Block, Inc.		746		12,152
IHS Markit, Ltd.		2,354		184,813
Sabre Corp.		3,593		23,390
TransUnion		220		18,509
WEX, Inc.†		524		72,820
				918,763
Computer Aided Design — 0.0%
Aspen Technology, Inc.†		60		7,596
Synopsys, Inc.†		140		29,957
				37,553
Computer Data Security — 0.0%
Crowdstrike Holdings, Inc., Class A†		542		74,427
Computer Services — 1.0%
Amdocs, Ltd.		12,417		712,860
CACI International, Inc., Class A†		271		57,766
Cognizant Technology Solutions Corp., Class A		5,921		411,036
DXC Technology Co.		3,303		58,959
Genpact, Ltd.		1,493		58,152
Leidos Holdings, Inc.		8,531		760,539
Science Applications International Corp.		658		51,600
				2,110,912
Computer Software — 0.1%
Akamai Technologies, Inc.†		367		40,568
Citrix Systems, Inc.		1,169		160,983
nCino, Inc.†		17		1,355
Teradata Corp.†		330		7,491
Twilio, Inc., Class A†		300		74,127
				284,524

Security Description	Shares		Value (Note 2)
Computers — 0.3%
Hewlett Packard Enterprise Co.		16,811	$	157,519
HP, Inc.		18,657		354,296
				511,815
Computers-Integrated Systems — 0.0%
NCR Corp.†		1,656		36,664
Computers-Memory Devices — 0.1%
NetApp, Inc.		1,321		57,912
Pure Storage, Inc., Class A†		1,343		20,669
Western Digital Corp.		3,909		142,874
				221,455
Computers-Other — 0.0%
Lumentum Holdings, Inc.†		870		65,363
Consulting Services — 0.0%
FTI Consulting, Inc.†		469		49,700
Consumer Products-Misc. — 0.3%
Clorox Co.		478		100,461
Reynolds Consumer Products, Inc.		12,411		380,025
Spectrum Brands Holdings, Inc.		552		31,552
				512,038
Containers-Metal/Glass — 0.1%
Ardagh Group SA		241		3,386
Ball Corp.		266		22,110
Crown Holdings, Inc.†		1,515		116,443
Silgan Holdings, Inc.		1,024		37,652
				179,591
Containers-Paper/Plastic — 1.0%
Amcor PLC		17,457		192,900
Berry Global Group, Inc.†		9,876		477,208
Graphic Packaging Holding Co.		39,800		560,782
Packaging Corp. of America		1,220		133,041
Sealed Air Corp.		2,025		78,590
Sonoco Products Co.		1,305		66,647
WestRock Co.		17,108		594,332
				2,103,500
Cosmetics & Toiletries — 0.0%
Coty, Inc., Class A		3,754		10,136
Cruise Lines — 0.2%
Carnival Corp.		6,132		93,084
Norwegian Cruise Line Holdings, Ltd.†		3,585		61,339
Royal Caribbean Cruises, Ltd.		2,288		148,102
				302,525
Data Processing/Management — 0.1%
Jack Henry & Associates, Inc.		216		35,119
Paychex, Inc.		878		70,038
				105,157
Dental Supplies & Equipment — 1.4%
DENTSPLY SIRONA, Inc.		35,072		1,533,699
Patterson Cos., Inc.		56,546		1,363,041
				2,896,740
Diagnostic Kits — 0.1%
QIAGEN NV†		2,930		153,122

204

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Dialysis Centers — 0.0%
DaVita, Inc.†		900	$	77,085
Disposable Medical Products — 0.1%
ICU Medical, Inc.†		185		33,811
Teleflex, Inc.		225		76,594
				110,405
Distribution/Wholesale — 1.1%
Fastenal Co.		1,411		63,622
HD Supply Holdings, Inc.†		20,195		832,842
IAA, Inc.†		1,333		69,409
LKQ Corp.†		23,632		655,315
Univar Solutions, Inc.†		24,038		405,762
Watsco, Inc.		424		98,745
WW Grainger, Inc.		154		54,943
				2,180,638
Diversified Manufacturing Operations — 1.7%
A.O. Smith Corp.		1,729		91,291
Carlisle Cos., Inc.		704		86,149
Eaton Corp. PLC		7,705		786,141
ITT, Inc.		8,149		481,198
Parker-Hannifin Corp.		1,669		337,705
Textron, Inc.		36,757		1,326,560
Trane Technologies PLC		3,114		377,573
Trinity Industries, Inc.		1,182		23,049
				3,509,666
E-Commerce/Products — 0.0%
Wayfair, Inc., Class A†		76		22,117
E-Commerce/Services — 0.3%
Expedia Group, Inc.		1,564		143,403
GrubHub, Inc.†		1,083		78,334
Lyft, Inc., Class A†		3,161		87,086
TripAdvisor, Inc.		1,309		25,643
Zillow Group, Inc., Class A†		667		67,727
Zillow Group, Inc., Class C†		1,627		165,287
				567,480
Electric Products-Misc. — 0.2%
AMETEK, Inc.		2,988		297,007
Littelfuse, Inc.		307		54,444
				351,451
Electric-Distribution — 1.1%
CenterPoint Energy, Inc.† PIPE		11,287		218,403
CenterPoint Energy, Inc.		58,591		1,133,736
Consolidated Edison, Inc.		4,367		339,753
Sempra Energy		4,228		500,426
				2,192,318
Electric-Integrated — 5.8%
AES Corp.		41,695		755,096
Alliant Energy Corp.		3,255		168,121
Ameren Corp.		9,055		716,069
Avangrid, Inc.		738		37,240
CMS Energy Corp.		16,065		986,552
DTE Energy Co.		2,504		288,060
Edison International		12,617		641,448

Security Description	Shares		Value (Note 2)
Electric-Integrated (continued)
Entergy Corp.		2,618	$	257,952
Evergy, Inc.		2,949		149,868
Eversource Energy		13,671		1,142,212
FirstEnergy Corp.		45,951		1,319,253
Hawaiian Electric Industries, Inc.		1,394		46,337
IDACORP, Inc.		656		52,414
OGE Energy Corp.		2,603		78,064
PG&E Corp.†		213,689		2,006,540
Pinnacle West Capital Corp.		10,849		808,793
PPL Corp.		10,044		273,297
Public Service Enterprise Group, Inc.		20,577		1,129,883
WEC Energy Group, Inc.		4,117		398,937
Xcel Energy, Inc.		6,852		472,857
				11,728,993
Electronic Components-Misc. — 0.4%
Garmin, Ltd.		1,949		184,882
Hubbell, Inc.		704		96,335
Jabil, Inc.		1,551		53,137
nVent Electric PLC		2,024		35,805
Sensata Technologies Holding PLC†		11,848		511,123
				881,282
Electronic Components-Semiconductors — 0.9%
Cree, Inc.†		1,410		89,873
IPG Photonics Corp.†		432		73,427
Marvell Technology Group, Ltd.		26,342		1,045,778
Microchip Technology, Inc.		789		81,078
ON Semiconductor Corp.†		5,286		114,653
Qorvo, Inc.†		1,487		191,838
Skyworks Solutions, Inc.		2,174		316,317
				1,912,964
Electronic Connectors — 0.3%
Amphenol Corp., Class A		1,532		165,870
TE Connectivity, Ltd.		4,461		436,018
				601,888
Electronic Measurement Instruments — 0.9%
Agilent Technologies, Inc.		3,686		372,065
FLIR Systems, Inc.		1,699		60,909
Fortive Corp.		3,877		295,466
Keysight Technologies, Inc.†		1,619		159,925
National Instruments Corp.		21,155		755,234
Trimble, Inc.†		3,249		158,226
				1,801,825
Electronic Parts Distribution — 0.1%
Arrow Electronics, Inc.†		1,002		78,817
Avnet, Inc.		1,277		32,998
SYNNEX Corp.		541		75,772
				187,587
Electronic Security Devices — 0.0%
Allegion PLC		420		41,542
Electronics-Military — 0.0%
Mercury Systems, Inc.†		132		10,225
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		1,196		79,175

205

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Engineering/R&D Services — 0.4%
AECOM†		1,991	$	83,303
Jacobs Engineering Group, Inc.		1,632		151,401
KBR, Inc.		28,110		628,540
				863,244
Enterprise Software/Service — 0.3%
Ceridian HCM Holding, Inc.†		416		34,382
Guidewire Software, Inc.†		876		91,341
Manhattan Associates, Inc.†		89		8,499
Pegasystems, Inc.		52		6,294
SolarWinds Corp.†		606		12,326
SS&C Technologies Holdings, Inc.		2,316		140,164
Verint Systems, Inc.†		6,893		332,105
				625,111
Entertainment Software — 0.2%
Electronic Arts, Inc.†		3,266		425,919
Take-Two Interactive Software, Inc.†		110		18,174
Zynga, Inc., Class A†		2,046		18,660
				462,753
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		1,483		68,841
Finance-Auto Loans — 0.3%
Ally Financial, Inc.		23,892		598,972
Credit Acceptance Corp.†		120		40,637
Santander Consumer USA Holdings, Inc.		967		17,590
				657,199
Finance-Consumer Loans — 0.3%
LendingTree, Inc.†		5		1,534
OneMain Holdings, Inc.		847		26,469
SLM Corp.		37,041		299,662
Synchrony Financial		7,597		198,813
				526,478
Finance-Credit Card — 0.4%
Alliance Data Systems Corp.		609		25,566
Discover Financial Services		11,787		681,053
Western Union Co.		4,306		92,277
				798,896
Finance-Investment Banker/Broker — 0.6%
Evercore, Inc., Class A		514		33,646
Interactive Brokers Group, Inc., Class A		955		46,155
Jefferies Financial Group, Inc.		2,953		53,154
Lazard, Ltd., Class A		33,660		1,112,463
Tradeweb Markets, Inc.		164		9,512
Virtu Financial, Inc., Class A		88		2,025
				1,256,955
Finance-Leasing Companies — 0.0%
Air Lease Corp.		1,387		40,806

Security Description	Shares		Value (Note 2)
Finance-Other Services — 0.7%
Cboe Global Markets, Inc.		3,507	$	307,704
Nasdaq, Inc.		8,450		1,036,900
SEI Investments Co.		1,503		76,232
				1,420,836
Financial Guarantee Insurance — 0.0%
Assured Guaranty, Ltd.		1,051		22,576
MGIC Investment Corp.		4,399		38,975
				61,551
Food-Baking — 0.8%
Flowers Foods, Inc.		70,361		1,711,883
Food-Catering — 0.4%
Aramark		15,630		413,414
Compass Group PLC		20,976		314,874
				728,288
Food-Confectionery — 0.4%
Hershey Co.		438		62,783
J.M. Smucker Co.		5,743		663,431
Tootsie Roll Industries, Inc.		1,200		37,080
				763,294
Food-Flour & Grain — 0.0%
Seaboard Corp.		3		8,510
Food-Meat Products — 0.2%
Hormel Foods Corp.		3,637		177,813
Tyson Foods, Inc., Class A		3,747		222,871
				400,684
Food-Misc./Diversified — 1.2%
Beyond Meat, Inc.†		136		22,584
Campbell Soup Co.		5,398		261,101
Conagra Brands, Inc.		6,353		226,866
Hain Celestial Group, Inc.†		1,060		36,358
Ingredion, Inc.		5,831		441,290
Kellogg Co.		9,205		594,551
Kraft Heinz Co.		18,289		547,756
Lamb Weston Holdings, Inc.		1,466		97,152
McCormick & Co., Inc.		713		138,393
Post Holdings, Inc.†		830		71,380
TreeHouse Foods, Inc.†		732		29,668
				2,467,099
Food-Retail — 0.8%
Albertsons Cos., Inc., Class A†		32,883		455,429
Grocery Outlet Holding Corp.†		430		16,908
Kroger Co.		31,809		1,078,643
Sprouts Farmers Market, Inc.†		241		5,044
				1,556,024
Food-Wholesale/Distribution — 0.6%
Sysco Corp.		17,743		1,103,969
US Foods Holding Corp.†		2,862		63,594
				1,167,563
Footwear & Related Apparel — 0.2%
Skechers U.S.A., Inc., Class A†		13,638		412,140

206

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Funeral Services & Related Items — 0.0%
Service Corp. International		2,241	$	94,525
Garden Products — 0.0%
Scotts Miracle-Gro Co.		33		5,046
Toro Co.		138		11,585
				16,631
Gas-Distribution — 0.7%
Atmos Energy Corp.		4,875		466,001
National Fuel Gas Co.		13,019		528,441
NiSource, Inc.		19,751		434,522
UGI Corp.		2,709		89,343
				1,518,307
Gold Mining — 1.5%
Barrick Gold Corp.		23,602		663,452
Cia de Minas Buenaventura SAA ADR		60,439		738,565
Endeavour Mining Corp.†		500		12,448
Franco-Nevada Corp.		9,167		1,280,991
Gold Fields, Ltd. ADR		24,875		305,714
Royal Gold, Inc.		243		29,201
				3,030,371
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc.†		670		37,540
Stericycle, Inc.†		1,190		75,041
				112,581
Healthcare Safety Devices — 0.0%
Tandem Diabetes Care, Inc.†		84		9,534
Home Decoration Products — 0.2%
Newell Brands, Inc.		26,054		447,087
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,720		70,813
Tempur Sealy International, Inc.†		159		14,181
				84,994
Hotels/Motels — 0.4%
Choice Hotels International, Inc.		453		38,940
Extended Stay America, Inc.		2,305		27,545
Hilton Worldwide Holdings, Inc.		3,558		303,569
Hyatt Hotels Corp., Class A		455		24,283
Wyndham Destinations, Inc.		1,094		33,651
Wyndham Hotels & Resorts, Inc.		7,635		385,567
				813,555
Human Resources — 0.1%
ManpowerGroup, Inc.		754		55,291
Robert Half International, Inc.		1,454		76,975
				132,266
Independent Power Producers — 0.1%
NRG Energy, Inc.		2,069		63,601
Vistra Corp.		6,356		119,874
				183,475
Industrial Automated/Robotic — 0.1%
Rockwell Automation, Inc.		777		171,468

Security Description	Shares		Value (Note 2)
Instruments-Controls — 0.0%
Mettler-Toledo International, Inc.†		18	$	17,384
Woodward, Inc.		725		58,116
				75,500
Instruments-Scientific — 0.4%
PerkinElmer, Inc.		5,209		653,781
Waters Corp.†		738		144,412
				798,193
Insurance Brokers — 1.8%
Arthur J. Gallagher & Co.		10,191		1,075,966
Brown & Brown, Inc.		23,916		1,082,678
Marsh & McLennan Cos., Inc.		4,906		562,718
Willis Towers Watson PLC		4,982		1,040,341
				3,761,703
Insurance-Life/Health — 1.2%
American National Group, Inc.		96		6,483
Athene Holding, Ltd., Class A†		12,897		439,530
Brighthouse Financial, Inc.†		19,104		514,089
Equitable Holdings, Inc.		33,651		613,794
Globe Life, Inc.		1,367		109,223
GoHealth, Inc., Class A†		489		6,369
Lincoln National Corp.		2,198		68,863
Primerica, Inc.		194		21,949
Principal Financial Group, Inc.		3,539		142,516
Prudential Financial, Inc.		5,159		327,700
Unum Group		2,648		44,566
Voya Financial, Inc.		1,637		78,461
				2,373,543
Insurance-Multi-line — 2.0%
American Financial Group, Inc.		946		63,363
Cincinnati Financial Corp.		9,378		731,203
CNA Financial Corp.		22,407		671,986
Hartford Financial Services Group, Inc.		20,874		769,416
Kemper Corp.		8,573		572,933
Loews Corp.		35,678		1,239,810
				4,048,711
Insurance-Property/Casualty — 1.0%
Alleghany Corp.		164		85,354
Arch Capital Group, Ltd.†		5,124		149,877
Assurant, Inc.		6,113		741,568
Erie Indemnity Co., Class A		140		29,439
Fidelity National Financial, Inc.		3,581		112,121
First American Financial Corp.		1,413		71,936
Hanover Insurance Group, Inc.		3,903		363,682
Lemonade, Inc.†		165		8,204
Markel Corp.†		176		171,371
Mercury General Corp.		356		14,728
Old Republic International Corp.		3,687		54,346
White Mountains Insurance Group, Ltd.		39		30,381
WR Berkley Corp.		1,814		110,926
				1,943,933

207

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Reinsurance — 0.6%
Axis Capital Holdings, Ltd.		984	$	43,335
Everest Re Group, Ltd.		3,127		617,708
Reinsurance Group of America, Inc.		5,532		526,591
RenaissanceRe Holdings, Ltd.		436		74,007
				1,261,641
Internet Brokers — 0.4%
E*TRADE Financial Corp.		8,772		439,038
TD Ameritrade Holding Corp.		9,512		372,395
				811,433
Internet Content-Entertainment — 0.2%
Pinterest, Inc., Class A†		890		36,944
Twitter, Inc.†		10,026		446,157
				483,101
Internet Infrastructure Software — 0.1%
F5 Networks, Inc.†		794		97,479
Internet Security — 0.0%
FireEye, Inc.†		2,236		27,603
Investment Companies — 0.4%
Groupe Bruxelles Lambert SA		9,057		816,317
Investment Management/Advisor Services — 0.7%
Affiliated Managers Group, Inc.		602		41,165
Ameriprise Financial, Inc.		1,568		241,645
Eaton Vance Corp.		1,442		55,012
Franklin Resources, Inc.		3,529		71,815
Invesco, Ltd.		4,912		56,046
LPL Financial Holdings, Inc.		942		72,223
Raymond James Financial, Inc.		8,042		585,136
T. Rowe Price Group, Inc.		2,200		282,084
				1,405,126
Lasers-System/Components — 0.0%
Coherent, Inc.†		55		6,101
Lighting Products & Systems — 0.0%
Acuity Brands, Inc.		512		52,403
Machine Tools & Related Products — 0.0%
Colfax Corp.†		1,290		40,454
Lincoln Electric Holdings, Inc.		427		39,301
				79,755
Machinery-Construction & Mining — 0.0%
Oshkosh Corp.		882		64,827
Machinery-Electrical — 0.3%
BWX Technologies, Inc.		445		25,058
Regal Beloit Corp.		5,284		496,009
				521,067
Machinery-Farming — 0.8%
AGCO Corp.		18,224		1,353,497
CNH Industrial NV†		38,724		300,947
				1,654,444
Machinery-General Industrial — 0.4%
Crane Co.		634		31,783
Gates Industrial Corp. PLC†		581		6,461
IDEX Corp.		981		178,944

Security Description	Shares		Value (Note 2)
Machinery-General Industrial (continued)
Middleby Corp.†		718	$	64,412
Nordson Corp.		137		26,279
Otis Worldwide Corp.		5,320		332,074
Westinghouse Air Brake Technologies Corp.		2,358		145,913
				785,866
Machinery-Pumps — 0.8%
Curtiss-Wright Corp.		541		50,454
Dover Corp.		1,873		202,921
Flowserve Corp.		1,695		46,256
Graco, Inc.		1,076		66,013
Ingersoll Rand, Inc.†		16,638		592,313
Xylem, Inc.		7,362		619,291
				1,577,248
Machinery-Thermal Process — 0.0%
GrafTech International, Ltd.		884		6,047
Marine Services — 0.0%
SEACOR Marine Holdings, Inc.†		10,789		21,902
Medical Information Systems — 0.2%
Change Healthcare, Inc.†		25,552		370,760
Oak Street Health, Inc.†		105		5,611
				376,371
Medical Instruments — 0.3%
Alcon, Inc.†		1,343		76,247
Bio-Techne Corp.		30		7,432
Boston Scientific Corp.†		10,726		409,840
Bruker Corp.		773		30,727
Integra LifeSciences Holdings Corp.†		930		43,915
				568,161
Medical Labs & Testing Services — 1.0%
Catalent, Inc.†		2,117		181,342
Charles River Laboratories International, Inc.†		73		16,531
IQVIA Holdings, Inc.†		1,539		242,592
Laboratory Corp. of America Holdings†		3,907		735,571
PPD, Inc.†		320		11,837
Quest Diagnostics, Inc.		6,464		740,063
Syneos Health, Inc.†		804		42,741
Teladoc Health, Inc.†		90		19,732
				1,990,409
Medical Products — 2.5%
Baxter International, Inc.		8,842		711,073
Cooper Cos., Inc.		558		188,113
Envista Holdings Corp.†		2,079		51,310
Globus Medical, Inc., Class A†		965		47,787
Haemonetics Corp.†		43		3,752
Henry Schein, Inc.†		1,857		109,154
Hill-Rom Holdings, Inc.		767		64,052
Hologic, Inc.†		19,074		1,267,849
STERIS PLC		1,037		182,709
Varian Medical Systems, Inc.†		1,033		177,676
Zimmer Biomet Holdings, Inc.		16,657		2,267,684
				5,071,159

208

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene — 0.8%
Acceleron Pharma, Inc.†		40	$	4,501
Alexion Pharmaceuticals, Inc.†		2,346		268,453
Berkeley Lights, Inc.†		55		4,200
Bio-Rad Laboratories, Inc., Class A†		275		141,751
BioMarin Pharmaceutical, Inc.†		3,919		298,158
Bluebird Bio, Inc.†		475		25,626
Exact Sciences Corp.†		254		25,895
Exelixis, Inc.†		2,521		61,638
Incyte Corp.†		3,939		353,486
Ionis Pharmaceuticals, Inc.†		2,665		126,454
Nektar Therapeutics†		2,257		37,444
Royalty Pharma PLC, Class A		4,827		203,072
Sage Therapeutics, Inc.†		617		37,711
United Therapeutics Corp.†		565		57,065
				1,645,454
Medical-Drugs — 0.7%
Alkermes PLC†		29,944		496,172
Horizon Therapeutics PLC†		188		14,604
Jazz Pharmaceuticals PLC†		2,507		357,473
PRA Health Sciences, Inc.†		5,380		545,747
Reata Pharmaceuticals, Inc., Class A†		33		3,215
				1,417,211
Medical-Generic Drugs — 0.6%
Mylan NV†		21,543		319,483
Perrigo Co. PLC		20,511		941,660
				1,261,143
Medical-HMO — 0.0%
Molina Healthcare, Inc.†		251		45,943
Medical-Hospitals — 1.0%
Acadia Healthcare Co., Inc.†		1,145		33,755
Select Medical Holdings Corp.†		70,938		1,476,929
Universal Health Services, Inc., Class B		5,767		617,184
				2,127,868
Medical-Wholesale Drug Distribution — 1.6%
AmerisourceBergen Corp.		5,160		500,107
Cardinal Health, Inc.		32,919		1,545,547
Covetrus, Inc.†		27,964		682,322
McKesson Corp.		537		79,975
Premier, Inc., Class A		13,358		438,543
				3,246,494
Metal Processors & Fabrication — 0.0%
Timken Co.		825		44,732
Metal-Copper — 0.7%
Freeport-McMoRan, Inc.		86,387		1,351,093
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		837		94,748

Security Description	Shares		Value (Note 2)
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp., Class A†		773	$	7,328
Lions Gate Entertainment Corp., Class B†		1,491		13,002
				20,330
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		1,992		48,884
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		668		33,460
Networking Products — 0.0%
Arista Networks, Inc.†		136		28,142
Non-Ferrous Metals — 0.6%
Cameco Corp.		81,279		820,918
NAC Kazatomprom JSC GDR		19,387		283,045
NAC Kazatomprom JSC GDR		1,161		16,953
				1,120,916
Non-Hazardous Waste Disposal — 0.4%
Republic Services, Inc.		7,663		715,341
Office Automation & Equipment — 0.3%
Xerox Holdings Corp.		2,356		44,222
Zebra Technologies Corp., Class A†		2,530		638,724
				682,946
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		638		81,562
Oil & Gas Drilling — 0.0%
Helmerich & Payne, Inc.		1,361		19,939
Patterson-UTI Energy, Inc.		24,487		69,788
				89,727
Oil Companies-Exploration & Production — 2.8%
Apache Corp.		16,419		155,488
Cabot Oil & Gas Corp.		25,135		436,344
Canadian Natural Resources, Ltd.		45,819		733,562
Cimarex Energy Co.		1,308		31,824
Concho Resources, Inc.		2,543		112,197
Continental Resources, Inc.		974		11,961
Devon Energy Corp.		4,974		47,054
Diamondback Energy, Inc.		4,384		132,046
EQT Corp.		122,214		1,580,227
Hess Corp.		25,608		1,048,135
Marathon Oil Corp.		10,265		41,984
Noble Energy, Inc.		6,203		53,036
Occidental Petroleum Corp.		10,940		109,509
Ovintiv, Inc.		38,741		316,126
Parsley Energy, Inc., Class A		3,921		36,701
Pioneer Natural Resources Co.		6,807		585,334
WPX Energy, Inc.†		42,500		208,250
				5,639,778
Oil Companies-Integrated — 0.7%
Equinor ASA		21,540		303,986
Imperial Oil, Ltd.		89,398		1,069,200
Murphy Oil Corp.		1,894		16,894
				1,390,080

209

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		30,954	$	280,443
Oil Refining & Marketing — 0.3%
HollyFrontier Corp.		1,945		38,336
Marathon Petroleum Corp.		8,436		247,512
Valero Energy Corp.		6,034		261,393
				547,241
Oil-Field Services — 0.5%
Baker Hughes Co.		8,553		113,669
Frank's International NV†		106,196		163,542
Halliburton Co.		26,590		320,410
NOW, Inc.†		16,932		76,871
Schlumberger, Ltd.		21,800		339,208
				1,013,700
Paper & Related Products — 0.1%
International Paper Co.		5,124		207,727
Pastoral & Agricultural — 0.1%
Sanderson Farms, Inc.		2,494		294,217
Physical Therapy/Rehabilitation Centers — 0.0%
Encompass Health Corp.		703		45,681
Pipelines — 0.8%
Antero Midstream Corp.		3,736		20,062
Equitrans Midstream Corp.		73,550		622,233
ONEOK, Inc.		5,716		148,502
Plains GP Holdings LP, Class A		42,291		257,552
Targa Resources Corp.		12,615		176,988
Williams Cos., Inc.		15,850		311,453
				1,536,790
Poultry — 0.0%
Pilgrim's Pride Corp.†		467		6,989
Power Converter/Supply Equipment — 0.0%
Generac Holdings, Inc.†		70		13,555
Private Equity — 0.5%
Apollo Global Management, Inc.		14,926		667,938
Carlyle Group, Inc.		1,374		33,897
KKR & Co., Inc., Class A		6,944		238,457
				940,292
Professional Sports — 0.1%
Madison Square Garden Sports Corp.		1,004		151,082
Protection/Safety — 0.0%
ADT, Inc.		2,009		16,414
Publishing-Books — 0.1%
John Wiley & Sons, Inc., Class A		562		17,821
Scholastic Corp.		13,051		273,941
				291,762
Publishing-Newspapers — 0.9%
New York Times Co., Class A		2,121		90,758
News Corp., Class A		121,433		1,702,491
News Corp., Class B		1,580		22,088
				1,815,337

Security Description	Shares		Value (Note 2)
Radio — 0.1%
Liberty Media Corp. - Liberty SiriusXM, Series A†		956	$	31,710
Liberty Media Corp. - Liberty SiriusXM, Series C†		1,998		66,094
				97,804
Real Estate Investment Trusts — 7.9%
AGNC Investment Corp.		7,239		100,694
Alexandria Real Estate Equities, Inc.		1,632		261,120
American Campus Communities, Inc.		1,783		62,262
American Homes 4 Rent, Class A		3,382		96,319
Americold Realty Trust		2,390		85,443
Annaly Capital Management, Inc.		42,201		300,471
Apartment Investment & Management Co., Class A		1,929		65,046
Apple Hospitality REIT, Inc.		2,730		26,235
AvalonBay Communities, Inc.		1,834		273,890
Boston Properties, Inc.		2,027		162,768
Brandywine Realty Trust		2,195		22,696
Brixmor Property Group, Inc.		30,371		355,037
Brookfield Property REIT, Inc., Class A		58		710
Camden Property Trust		1,229		109,356
CoreSite Realty Corp.		171		20,328
Corporate Office Properties Trust		1,462		34,679
Cousins Properties, Inc.†		1,928		55,122
CubeSmart		2,516		81,292
CyrusOne, Inc.		1,520		106,446
Douglas Emmett, Inc.		2,167		54,392
Duke Realty Corp.		4,800		177,120
Empire State Realty Trust, Inc., Class A		1,876		11,481
EPR Properties		6,925		190,438
Equity Commonwealth		17,877		476,065
Equity LifeStyle Properties, Inc.		1,337		81,958
Equity Residential		13,471		691,466
Essex Property Trust, Inc.		850		170,672
Extra Space Storage, Inc.		486		51,997
Federal Realty Investment Trust		2,618		192,266
First Industrial Realty Trust, Inc.		1,644		65,431
Gaming and Leisure Properties, Inc.		2,716		100,302
Healthcare Trust of America, Inc., Class A		2,831		73,606
Healthpeak Properties, Inc.†		7,027		190,783
Highwoods Properties, Inc.		1,340		44,984
Host Hotels & Resorts, Inc.		29,411		317,345
Hudson Pacific Properties, Inc.		1,956		42,895
Invitation Homes, Inc.		7,311		204,635
Iron Mountain, Inc.		1,543		41,337
JBG SMITH Properties		1,587		42,436
Kilroy Realty Corp.		1,497		77,784
Kimco Realty Corp.		5,381		60,590
Lamar Advertising Co., Class A		1,120		74,110
Life Storage, Inc.		7,725		813,211
Medical Properties Trust, Inc.		33,915		597,921

210

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Mid-America Apartment Communities, Inc.		6,865	$	795,997
National Retail Properties, Inc.		2,231		76,992
New Residential Investment Corp.		5,397		42,906
Omega Healthcare Investors, Inc.		2,931		87,754
Outfront Media, Inc.		1,872		27,238
Paramount Group, Inc.		2,465		17,452
Park Hotels & Resorts, Inc.		3,062		30,589
Rayonier, Inc.		45,595		1,205,532
Realty Income Corp.		4,483		272,342
Regency Centers Corp.		15,046		572,049
Rexford Industrial Realty, Inc.		1,609		73,628
Simon Property Group, Inc.		845		54,655
SL Green Realty Corp.		951		44,098
Spirit Realty Capital, Inc.		9,402		317,317
Starwood Property Trust, Inc.		3,560		53,720
STORE Capital Corp.		3,035		83,250
Sun Communities, Inc.		6,082		855,190
Taubman Centers, Inc.		782		26,033
UDR, Inc.		3,816		124,440
Ventas, Inc.		4,864		204,093
VEREIT, Inc.		14,067		91,436
VICI Properties, Inc.		33,609		785,442
Vornado Realty Trust		2,286		77,061
Weingarten Realty Investors		1,580		26,797
Welltower, Inc.		5,450		300,240
Weyerhaeuser Co.		74,751		2,131,899
WP Carey, Inc.		10,435		679,945
				16,123,234
Real Estate Management/Services — 0.1%
CBRE Group, Inc., Class A†		4,348		204,225
Jones Lang LaSalle, Inc.		671		64,188
				268,413
Real Estate Operations & Development — 0.2%
Howard Hughes Corp.†		508		29,261
St. Joe Co.†		13,921		287,190
				316,451
Recreational Centers — 0.0%
Planet Fitness, Inc., Class A†		451		27,791
Recreational Vehicles — 0.3%
Brunswick Corp.		9,292		547,392
Polaris, Inc.		679		64,057
				611,449
Rental Auto/Equipment — 0.3%
AMERCO		116		41,294
Element Fleet Management Corp.		39,716		330,482
United Rentals, Inc.†		938		163,681
				535,457
Resorts/Theme Parks — 0.1%
Six Flags Entertainment Corp.		5,982		121,434
Vail Resorts, Inc.		479		102,492
				223,926

Security Description	Shares		Value (Note 2)
Retail-Apparel/Shoe — 0.1%
Burlington Stores, Inc.†		90	$	18,548
Foot Locker, Inc.		1,348		44,525
Gap, Inc.		2,378		40,497
L Brands, Inc.		2,988		95,048
				198,618
Retail-Auto Parts — 0.2%
Advance Auto Parts, Inc.		868		133,238
AutoZone, Inc.†		124		146,028
Genuine Parts Co.		1,831		174,256
				453,522
Retail-Automobile — 0.1%
AutoNation, Inc.†		747		39,539
CarMax, Inc.†		1,961		180,236
Penske Automotive Group, Inc.		415		19,779
Vroom, Inc.†		66		3,417
				242,971
Retail-Catalog Shopping — 0.0%
MSC Industrial Direct Co., Inc., Class A		582		36,829
Qurate Retail, Inc.		4,960		35,613
				72,442
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		2,436		271,102
Retail-Convenience Store — 0.0%
Casey's General Stores, Inc.		480		85,272
Retail-Discount — 0.4%
BJ's Wholesale Club Holdings, Inc.†		5,810		241,405
Dollar Tree, Inc.†		5,093		465,195
Ollie's Bargain Outlet Holdings, Inc.†		82		7,163
				713,763
Retail-Gardening Products — 0.1%
Tractor Supply Co.		1,805		258,729
Retail-Home Furnishings — 0.0%
Williams-Sonoma, Inc.		838		75,789
Retail-Jewelry — 0.2%
Tiffany & Co.		2,717		314,764
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		15,995		190,660
Retail-Perfume & Cosmetics — 0.0%
Ulta Beauty, Inc.†		49		10,975
Retail-Regional Department Stores — 0.0%
Kohl's Corp.		2,050		37,987
Retail-Restaurants — 0.4%
Darden Restaurants, Inc.		1,695		170,754
Dunkin' Brands Group, Inc.		158		12,942
Wendy's Co.		16,077		358,437
Yum China Holdings, Inc.		4,860		257,337
				799,470
Retail-Sporting Goods — 0.0%
Dick's Sporting Goods, Inc.		803		46,478
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		626		15,581

211

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Savings & Loans/Thrifts — 0.3%
Capitol Federal Financial, Inc.		47,716	$	442,089
New York Community Bancorp, Inc.		5,859		48,454
People's United Financial, Inc.		5,509		56,798
Sterling Bancorp		2,518		26,489
TFS Financial Corp.		636		9,343
				583,173
Schools — 0.5%
2U, Inc.†		595		20,147
Bright Horizons Family Solutions, Inc.†		239		36,337
Graham Holdings Co., Class B		52		21,014
Grand Canyon Education, Inc.†		4,213		336,787
Strategic Education, Inc.		5,913		540,862
				955,147
Semiconductor Components-Integrated Circuits — 0.6%
Analog Devices, Inc.		4,367		509,804
Cirrus Logic, Inc.†		761		51,329
Maxim Integrated Products, Inc.		2,312		156,314
NXP Semiconductors NV		4,417		551,286
				1,268,733
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		12,768		759,058
Entegris, Inc.		112		8,326
MKS Instruments, Inc.		176		19,224
				786,608
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		1,040		146,380
Silver Mining — 0.6%
Fresnillo PLC		83,954		1,294,688
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		273		33,901
Steel-Producers — 0.2%
Nucor Corp.		3,927		176,165
Reliance Steel & Aluminum Co.		826		84,285
Steel Dynamics, Inc.		2,611		74,753
				335,203
Telecom Equipment-Fiber Optics — 0.4%
Ciena Corp.†		1,991		79,023
Corning, Inc.		22,620		733,114
				812,137
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		2,361		21,249
Juniper Networks, Inc.		4,283		92,084
				113,333
Telephone-Integrated — 0.2%
CenturyLink, Inc.		14,256		143,843
GCI Liberty, Inc., Class A†		1,285		105,319
Telephone & Data Systems, Inc.		13,101		241,582
				490,744

Security Description	Shares		Value (Note 2)
Television — 0.7%
AMC Networks, Inc., Class A†		6,484	$	160,220
Nexstar Media Group, Inc., Class A		189		16,997
ViacomCBS, Inc., Class A		140		4,240
ViacomCBS, Inc., Class B		42,505		1,190,565
				1,372,022
Textile-Home Furnishings — 0.1%
Mohawk Industries, Inc.†		2,057		200,743
Therapeutics — 0.0%
Agios Pharmaceuticals, Inc.†		723		25,305
Tools-Hand Held — 0.7%
MSA Safety, Inc.		369		49,509
Snap-on, Inc.		701		103,138
Stanley Black & Decker, Inc.		7,619		1,235,802
				1,388,449
Toys — 0.2%
Hasbro, Inc.		1,657		137,067
Mattel, Inc.†		18,554		217,082
				354,149
Transport-Marine — 0.2%
Kirby Corp.†		776		28,068
SEACOR Holdings, Inc.†		6,247		181,663
Tidewater, Inc.†		26,570		178,284
				388,015
Transport-Rail — 0.4%
Kansas City Southern		4,310		779,377
Transport-Services — 0.8%
C.H. Robinson Worldwide, Inc.		12,632		1,290,864
Expeditors International of Washington, Inc.		1,740		157,505
Ryder System, Inc.		5,708		241,106
				1,689,475
Transport-Truck — 0.6%
JB Hunt Transport Services, Inc.		5,497		694,711
Knight-Swift Transportation Holdings, Inc.		9,785		398,249
Landstar System, Inc.		93		11,670
Old Dominion Freight Line, Inc.		175		31,661
Schneider National, Inc., Class B		768		18,993
XPO Logistics, Inc.†		1,124		95,158
				1,250,442
Travel Services — 0.0%
Virgin Galactic Holdings, Inc.†		122		2,346
Veterinary Diagnostics — 0.3%
Elanco Animal Health, Inc.†		19,714		550,612
Vitamins & Nutrition Products — 0.0%
Herbalife Nutrition, Ltd.†		1,014		47,303

212

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
Water — 0.2%
American Water Works Co., Inc.		2,362	$	342,207
Essential Utilities, Inc.		2,914		117,288
				459,495
Water Treatment Systems — 0.1%
Pentair PLC		2,150		98,406
Web Hosting/Design — 0.1%
VeriSign, Inc.†		542		111,029
Wireless Equipment — 0.5%
Motorola Solutions, Inc.		5,848		917,025
Ubiquiti, Inc.		21		3,500
ViaSat, Inc.†		760		26,136
				946,661
Total Common Stocks (cost $195,785,044)				200,560,473
CONVERTIBLE PREFERRED SECURITIES — 0.1%
Agricultural Operations — 0.1%
Bunge, Ltd. 4.88% (cost $220,716)		1,948		191,391
PREFERRED SECURITIES — 0.0%
Retail-Catalog Shopping — 0.0%
Qurate Retail, Inc. 8.00% (cost $31,721)		149		14,676
EXCHANGE-TRADED FUNDS — 0.7%
iShares Russell Mid-Cap Value ETF (cost $1,263,545)		17,390		1,405,808
FOREIGN CORPORATE BONDS & NOTES — 0.1%
Oil-Field Services — 0.1%
Weatherford International, Ltd. Company Guar. Notes 11.00% due 12/01/2024* (cost $166,110)	$	232,000		139,200
WARRANTS† — 0.0%
Oil Companies-Exploration & Production — 0.0%
Occidental Petroleum Corp. Expires 08/03/2027 (cost $6,570)		1,327		3,981
Total Long-Term Investment Securities (cost $197,473,706)				202,315,529
SHORT-TERM INVESTMENT SECURITIES — 0.7%
Registered Investment Companies — 0.3%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(2)		585,490		585,490
T. Rowe Price Government Reserve Fund 0.09%(2)		612		612
				586,102

Security Description	Principal Amount			Value (Note 2)
U.S. Government Agencies — 0.4%
Federal Home Loan Bank Disc. Notes 0.01% due 10/01/2020	$	811,000		$	811,000
U.S. Government Treasuries — 0.0%
United States Treasury Bills 0.14% due 08/12/2021(1)		50,000			49,953
Total Short-Term Investment Securities (cost $1,447,042)					1,447,055
REPURCHASE AGREEMENTS — 0.1%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00%, dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $124,000 and collateralized by $106,300 of United States Treasury Notes, bearing interest at 2.88%, due 05/15/2028 and having an approximate value of $126,493 (cost $124,000)		124,000			124,000
TOTAL INVESTMENTS (cost $199,044,748)(3)		100.0	%		203,886,584
Liabilities in excess of other assets		(0.0	)		(19,988	)
NET ASSETS		100.0	%	$	203,866,596

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $139,200 representing 0.1% 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, 2020.

(3)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

ETF — Exchange-Traded Funds

GDR — Global Depositary Receipt

213

Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	1	Long	S&P 400 E-Mini Index	December 2020	$	188,607	$	185,590	$	(3,017	)

*  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, 2020 (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	$	196,977,034	$	3,583,439	**	$	—	$	200,560,473
Convertible Preferred Securities		191,391		—			—		191,391
Preferred Securities		14,676		—			—		14,676
Exchange-Traded Funds		1,405,808		—			—		1,405,808
Foreign Corporate Bonds & Notes		—		139,200			—		139,200
Warrants		3,981		—			—		3,981
Short-Term Investment Securities:
Registered Investment Companies		586,102		—			—		586,102
U.S. Government Agencies		—		811,000			—		811,000
U.S. Government Treasuries		—		49,953			—		49,953
Repurchase Agreements		—		124,000			—		124,000
Total Investments at Value	$	199,178,992	$	4,707,592		$	—	$	203,886,584
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	3,017	$	—		$	—	$	3,017

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

See Notes to Financial Statements

214

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Banks-Commercial	6.2	%
Real Estate Investment Trusts	6.2
Medical-Drugs	2.8
Medical-Biomedical/Gene	2.5
Electronic Components-Semiconductors	2.3
Chemicals-Specialty	2.1
Computer Services	1.8
Insurance-Property/Casualty	1.8
Medical Products	1.8
Human Resources	1.7
Registered Investment Companies	1.7
Distribution/Wholesale	1.6
Building-Residential/Commercial	1.5
Building & Construction Products-Misc.	1.3
Enterprise Software/Service	1.3
Building-Mobile Home/Manufactured Housing	1.1
Semiconductor Equipment	1.1
Savings & Loans/Thrifts	1.1
Machinery-General Industrial	1.1
Insurance Brokers	1.1
Medical Labs & Testing Services	1.0
Electronic Components-Misc.	1.0
Retail-Restaurants	1.0
Insurance-Reinsurance	0.9
Building-Heavy Construction	0.9
Building & Construction-Misc.	0.9
Auto/Truck Parts & Equipment-Original	0.9
Pastoral & Agricultural	0.9
Building-Maintenance & Services	0.8
Finance-Investment Banker/Broker	0.8
Medical Information Systems	0.8
E-Services/Consulting	0.8
Electric-Integrated	0.8
Retail-Automobile	0.8
Telecommunication Equipment	0.8
Apparel Manufacturers	0.8
Diversified Manufacturing Operations	0.8
Medical-Wholesale Drug Distribution	0.8
Exchange-Traded Funds	0.7
Aerospace/Defense-Equipment	0.7
Commercial Services	0.7
Power Converter/Supply Equipment	0.7
Food-Wholesale/Distribution	0.7
Electronic Measurement Instruments	0.7
Applications Software	0.7
Medical Instruments	0.7
Gas-Distribution	0.7
Food-Misc./Diversified	0.6
Oil Companies-Exploration & Production	0.6
Water	0.6
Energy-Alternate Sources	0.6
Oil-Field Services	0.6
Data Processing/Management	0.6
Footwear & Related Apparel	0.6
Diagnostic Equipment	0.5
Transport-Truck	0.5
Disposable Medical Products	0.5
Investment Management/Advisor Services	0.5
E-Commerce/Services	0.5
Steel Pipe & Tube	0.5

Containers-Paper/Plastic	0.5	%
Communications Software	0.5
Commercial Services-Finance	0.5
Insurance-Life/Health	0.5
Transport-Services	0.5
Medical-Generic Drugs	0.5
Medical-HMO	0.5
Building Products-Wood	0.5
Auto/Truck Parts & Equipment-Replacement	0.5
Wireless Equipment	0.4
Diagnostic Kits	0.4
Retail-Sporting Goods	0.4
Beverages-Non-alcoholic	0.4
Filtration/Separation Products	0.4
Medical-Hospitals	0.4
Consulting Services	0.4
Investment Companies	0.4
Chemicals-Diversified	0.4
Publishing-Books	0.4
Computers-Other	0.4
Auto-Truck Trailers	0.4
Rubber/Plastic Products	0.4
Finance-Consumer Loans	0.4
Quarrying	0.3
Consumer Products-Misc.	0.3
Machinery-Electrical	0.3
Satellite Telecom	0.3
Telecom Services	0.3
Retail-Apparel/Shoe	0.3
Building Products-Doors & Windows	0.3
Gold Mining	0.3
Therapeutics	0.3
Home Furnishings	0.3
Semiconductor Components-Integrated Circuits	0.3
Paper & Related Products	0.3
Broadcast Services/Program	0.3
Computer Software	0.3
Financial Guarantee Insurance	0.3
Television	0.3
Insurance-Multi-line	0.3
Computer Data Security	0.3
Printing-Commercial	0.3
Schools	0.3
Private Equity	0.3
Machinery-Construction & Mining	0.2
Oil Refining & Marketing	0.2
Miscellaneous Manufacturing	0.2
Veterinary Diagnostics	0.2
Telecom Equipment-Fiber Optics	0.2
Containers-Metal/Glass	0.2
Engineering/R&D Services	0.2
Metal Products-Distribution	0.2
Athletic Equipment	0.2
Retail-Building Products	0.2
Electric Products-Misc.	0.2
Building Products-Air & Heating	0.2
Machinery-Pumps	0.2
Office Furnishings-Original	0.2
Internet Content-Information/News	0.2
Hotels/Motels	0.2

215

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Retail-Discount	0.2	%
Coal	0.2
Gambling (Non-Hotel)	0.2
Metal-Aluminum	0.2
Retail-Office Supplies	0.2
Retail-Regional Department Stores	0.2
Medical-Outpatient/Home Medical	0.2
Metal Processors & Fabrication	0.2
Airlines	0.2
Networking Products	0.2
Theaters	0.2
Vitamins & Nutrition Products	0.2
Dental Supplies & Equipment	0.2
Retail-Bedding	0.2
Electric-Generation	0.2
Real Estate Management/Services	0.1
Medical Laser Systems	0.1
Telephone-Integrated	0.1
Linen Supply & Related Items	0.1
Circuit Boards	0.1
Medical-Nursing Homes	0.1
Steel-Producers	0.1
Computers-Integrated Systems	0.1
Instruments-Controls	0.1
Transactional Software	0.1
Banks-Super Regional	0.1
Retail-Home Furnishings	0.1
X-Ray Equipment	0.1
Office Supplies & Forms	0.1
Oil & Gas Drilling	0.1
Metal-Iron	0.1
Internet Connectivity Services	0.1
Appliances	0.1
Electronic Security Devices	0.1
Rental Auto/Equipment	0.1
Rubber-Tires	0.1
Agricultural Operations	0.1
Tobacco	0.1
Repurchase Agreements	0.1
Machinery-Farming	0.1
Retail-Misc./Diversified	0.1
Web Hosting/Design	0.1
Casino Hotels	0.1
Advertising Agencies	0.1
Aerospace/Defense	0.1
Identification Systems	0.1
Food-Canned	0.1
Golf	0.1
Finance-Auto Loans	0.1
Finance-Mortgage Loan/Banker	0.1
Transport-Air Freight	0.1
Advanced Materials	0.1
Banks-Mortgage	0.1
Racetracks	0.1
Retail-Pawn Shops	0.1
Resorts/Theme Parks	0.1
Independent Power Producers	0.1
Auto Repair Centers	0.1
Wire & Cable Products	0.1
E-Marketing/Info	0.1

Diversified Minerals	0.1	%
Cosmetics & Toiletries	0.1
Oil Field Machinery & Equipment	0.1
Advertising Services	0.1
Retail-Leisure Products	0.1
Transport-Marine	0.1
Retail-Jewelry	0.1
Entertainment Software	0.1
Physical Therapy/Rehabilitation Centers	0.1
Internet Security	0.1
Steel-Specialty	0.1
Cable/Satellite TV	0.1
Recycling	0.1
U.S. Government Treasuries	0.1
Firearms & Ammunition	0.1
Electric-Distribution	0.1
	99.8	%

*  Calculated as a percentage of net assets

216

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.2%
Advanced Materials — 0.1%
Haynes International, Inc.		1,159	$	19,807
Lydall, Inc.†		1,558		25,770
Materion Corp.		1,876		97,608
				143,185
Advertising Agencies — 0.1%
MDC Partners, Inc., Class A†		114,143		183,770
Advertising Services — 0.1%
National CineMedia, Inc.		39,900		108,329
Aerospace/Defense — 0.1%
AeroVironment, Inc.†		2,025		121,520
National Presto Industries, Inc.		480		39,293
Park Aerospace Corp.		1,731		18,903
				179,716
Aerospace/Defense-Equipment — 0.7%
AAR Corp.		11,764		221,163
Aerojet Rocketdyne Holdings, Inc.†		6,751		269,298
Barnes Group, Inc.		4,292		153,396
Hexcel Corp.		10,599		355,597
Kaman Corp.		2,554		99,529
Moog, Inc., Class A		4,170		264,920
Triumph Group, Inc.		4,808		31,300
				1,395,203
Agricultural Operations — 0.1%
Andersons, Inc.		2,833		54,309
Fresh Del Monte Produce, Inc.		6,797		155,787
				210,096
Airlines — 0.2%
Allegiant Travel Co.		1,200		143,760
Hawaiian Holdings, Inc.		4,247		54,744
SkyWest, Inc.		4,633		138,341
				336,845
Apparel Manufacturers — 0.8%
Capri Holdings, Ltd.†		13,881		249,858
Deckers Outdoor Corp.†		1,550		341,015
Kontoor Brands, Inc.		4,323		104,617
Lakeland Industries, Inc.†		14,900		295,020
Oxford Industries, Inc.		12,807		516,891
				1,507,401
Appliances — 0.1%
Hamilton Beach Brands Holding Co., Class A		1,800		35,010
iRobot Corp.†		2,574		195,367
				230,377
Applications Software — 0.7%
Agilysys, Inc. †		1,873		45,252
Asana, Inc., Class A†		4,800		135,966
Digi International, Inc.†		2,681		41,904
Ebix, Inc.		2,169		44,681
JFrog, Ltd.†		1,500		126,975
Outset Medica, Inc.		1,400		70,000
PDF Solutions, Inc.†		2,697		50,461
PTC, Inc.†		9,332		771,943
				1,287,182

Security Description	Shares		Value (Note 2)
Athletic Equipment — 0.2%
Vista Outdoor, Inc.†		5,361	$	108,185
YETI Holdings, Inc.†		6,909		313,116
				421,301
Audio/Video Products — 0.0%
Daktronics, Inc.		3,378		13,377
Sonos, Inc.†		2,200		33,396
Universal Electronics, Inc.†		1,286		48,534
				95,307
Auto Repair Centers — 0.1%
Monro, Inc.		3,073		124,672
Auto-Truck Trailers — 0.4%
Wabash National Corp.		59,585		712,637
Auto/Truck Parts & Equipment-Original — 0.9%
Adient PLC†		2,700		46,791
American Axle & Manufacturing Holdings, Inc.†		10,458		60,343
Cooper-Standard Holdings, Inc.†		1,560		20,608
Dorman Products, Inc.†		2,666		240,953
Gentherm, Inc.†		24,002		981,682
Meritor, Inc.†		14,375		301,012
Methode Electronics, Inc.		3,465		98,752
Telenav, Inc.†		7,200		25,920
Titan International, Inc.		4,612		13,329
				1,789,390
Auto/Truck Parts & Equipment-Replacement — 0.5%
Douglas Dynamics, Inc.		6,000		205,200
Motorcar Parts of America, Inc.†		1,756		27,323
Standard Motor Products, Inc.		14,573		650,685
				883,208
B2B/E-Commerce — 0.0%
ePlus, Inc.†		1,251		91,573
Banks-Commercial — 6.2%
1st Source Corp.		2,340		72,166
Allegiance Bancshares, Inc.		1,735		40,547
Ameris Bancorp		6,416		146,157
Atlantic Union Bankshares Corp.		1,863		39,812
BancFirst Corp.		8,819		360,168
BancorpSouth Bank		9,500		184,110
BankUnited, Inc.		8,531		186,914
Banner Corp.		10,646		343,440
Cadence BanCorp		24,730		212,431
Cambridge Bancorp		4,357		231,618
Cathay General Bancorp		3,700		80,216
Central Pacific Financial Corp.		14,199		192,680
Central Valley Community Bancorp		900		11,115
CIT Group, Inc.		6,900		122,199
City Holding Co.		1,480		85,263
Columbia Banking System, Inc.		15,912		379,501
Community Bank System, Inc.		4,942		269,141
Customers Bancorp, Inc.†		2,677		29,982
CVB Financial Corp.		27,161		451,687
Eagle Bancorp, Inc.		2,976		79,727
Enterprise Financial Services Corp.		2,200		59,994
Equity Bancshares, Inc., Class A†		4,400		68,200

217

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
FB Financial Corp.		2,837	$	71,265
First BanCorp		20,142		105,141
First Citizens BancShares, Inc., Class A		1,645		524,393
First Commonwealth Financial Corp.		24,660		190,868
First Community Bankshares, Inc.		1,000		18,050
First Financial Bancorp		9,048		108,621
First Hawaiian, Inc.		15,292		221,275
First Horizon National Corp.		6,376		60,126
First Interstate BancSystem, Inc., Class A		22,813		726,594
First Merchants Corp.		15,025		347,979
First Midwest Bancorp, Inc.		10,553		113,761
Flagstar Bancorp, Inc.		3,890		115,261
Great Western Bancorp, Inc.		12,079		150,384
Hanmi Financial Corp.		2,830		23,234
Heritage Financial Corp.		22,867		420,524
HomeStreet, Inc.		2,096		53,993
Hope Bancorp, Inc.		27,638		209,634
Independent Bank Corp.		3,042		159,340
Independent Bank Corp.		4,400		55,308
Lakeland Financial Corp.		9,777		402,812
Meta Financial Group, Inc.		3,197		61,446
NBT Bancorp, Inc.		4,026		107,977
OFG Bancorp		4,740		59,060
Old National Bancorp		33,142		416,264
PacWest Bancorp		2,500		42,700
Park National Corp.		1,309		107,286
Preferred Bank		1,252		40,214
Premier Financial Corp.		1,700		26,478
S&T Bancorp, Inc.		3,624		64,109
Seacoast Banking Corp. of Florida†		24,168		435,749
ServisFirst Bancshares, Inc.		4,328		147,282
Simmons First National Corp., Class A		10,065		159,581
South State Corp.		8,639		415,968
Southside Bancshares, Inc.		2,897		70,774
Tompkins Financial Corp.		1,116		63,400
Triumph Bancorp, Inc.†		2,088		65,020
TrustCo Bank Corp.		8,903		46,474
Trustmark Corp.		23,400		500,994
UMB Financial Corp.		2,300		112,723
United Bankshares, Inc.		6,800		145,996
United Community Banks, Inc.		36,162		612,223
Veritex Holdings, Inc.		4,584		78,066
Webster Financial Corp.		2,200		58,102
West BanCorp, Inc.		1,550		24,552
Westamerica BanCorp		10,562		574,045
				12,162,114
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.		2,671		141,563
Banks-Super Regional — 0.1%
Independent Bank Group, Inc.		3,378		149,240
National Bank Holdings Corp., Class A		3,722		97,703
				246,943

Security Description	Shares		Value (Note 2)
Beverages-Non-alcoholic — 0.4%
Coca-Cola Consolidated, Inc.		429	$	103,251
National Beverage Corp.†		1,076		73,179
Primo Water Corp.		43,289		614,704
				791,134
Beverages-Wine/Spirits — 0.0%
MGP Ingredients, Inc.		1,218		48,403
Broadcast Services/Program — 0.3%
Hemisphere Media Group, Inc.†		17,100		148,599
Madison Square Garden Sports Corp.†		6,413		439,226
				587,825
Building & Construction Products-Misc. — 1.3%
American Woodmark Corp.†		1,569		123,229
Builders FirstSource, Inc.†		17,200		561,064
Gibraltar Industries, Inc.†		2,993		194,964
Louisiana-Pacific Corp.		10,600		312,806
Patrick Industries, Inc.		8,548		491,681
Simpson Manufacturing Co., Inc.		8,862		861,032
				2,544,776
Building & Construction-Misc. — 0.9%
Comfort Systems USA, Inc.		17,172		884,529
EMCOR Group, Inc.		10,325		699,106
MYR Group, Inc.†		6,143		228,397
				1,812,032
Building Products-Air & Heating — 0.2%
AAON, Inc.		3,764		226,781
SPX Corp.†		4,126		191,364
				418,145
Building Products-Cement — 0.0%
US Concrete, Inc.†		2,662		77,304
Building Products-Doors & Windows — 0.3%
Apogee Enterprises, Inc.		2,433		51,993
Cornerstone Building Brands, Inc.†		1,800		14,364
Griffon Corp.		4,146		81,013
Masonite International Corp.†		3,950		388,680
PGT Innovations, Inc.†		5,444		95,379
				631,429
Building Products-Light Fixtures — 0.0%
LSI Industries, Inc.		3,600		24,300
Building Products-Wood — 0.5%
Boise Cascade Co.		12,219		487,783
UFP Industries, Inc.		7,197		406,702
				894,485
Building-Heavy Construction — 0.9%
Aegion Corp.†		2,841		40,143
Arcosa, Inc.		9,863		434,860
Dycom Industries, Inc.†		11,449		604,736
Granite Construction, Inc.		4,315		75,987
MasTec, Inc.†		8,900		375,580
Tutor Perini Corp.†		28,500		317,205
				1,848,511

218

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Maintenance & Services — 0.8%
ABM Industries, Inc.		14,155	$	518,923
Terminix Global Holding, Inc.†		28,731		1,145,792
				1,664,715
Building-Mobile Home/Manufactured Housing — 1.1%
Cavco Industries, Inc.†		4,501		811,575
LCI Industries		5,863		623,178
Skyline Champion Corp.†		24,427		653,911
Winnebago Industries, Inc.		3,111		160,746
				2,249,410
Building-Residential/Commercial — 1.5%
Century Communities, Inc.†		2,679		113,402
Installed Building Products, Inc.†		2,091		212,759
KB Home		15,600		598,884
LGI Homes, Inc.†		2,038		236,755
M/I Homes, Inc.†		2,635		121,342
MDC Holdings, Inc.		4,624		217,790
Meritage Homes Corp.†		4,672		515,742
TRI Pointe Group, Inc.†		52,400		950,536
				2,967,210
Cable/Satellite TV — 0.1%
WideOpenWest, Inc.†		19,600		101,724
Casino Hotels — 0.1%
Boyd Gaming Corp.		6,200		190,278
Casino Services — 0.0%
Caesars Entertainment, Inc.†		700		39,242
Chemicals-Diversified — 0.4%
AdvanSix, Inc.†		2,588		33,334
Innospec, Inc.		2,268		143,610
Koppers Holdings, Inc.†		6,031		126,108
Quaker Chemical Corp.		1,216		218,527
Stepan Co.		2,166		236,094
				757,673
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.†		5,849		18,717
Chemicals-Other — 0.0%
American Vanguard Corp.		2,452		32,219
Chemicals-Specialty — 2.1%
Ashland Global Holdings, Inc.		10,014		710,193
Balchem Corp.		10,007		976,983
Ferro Corp.†		7,594		94,166
GCP Applied Technologies, Inc.†		4,447		93,165
H.B. Fuller Co.		4,761		217,958
Hawkins, Inc.		876		40,384
Ingevity Corp.†		900		44,496
Kraton Corp.†		2,942		52,426
Minerals Technologies, Inc.		4,200		214,620
PQ Group Holdings, Inc.†		1,200		12,312
Rogers Corp.†		1,724		169,055
Sensient Technologies Corp.		11,646		672,440
Tronox Holdings PLC, Class A		6,100		48,007
Valvoline, Inc.		36,046		686,316
				4,032,521

Security Description	Shares		Value (Note 2)
Circuit Boards — 0.1%
TTM Technologies, Inc.†		23,364	$	266,583
Coal — 0.2%
CONSOL Energy, Inc.†		2,404		10,650
Peabody Energy Corp.		2,800		6,440
SunCoke Energy, Inc.		19,942		68,201
Warrior Met Coal, Inc.		16,726		285,680
				370,971
Coffee — 0.0%
Farmer Brothers Co.†		7,000		30,940
Commercial Services — 0.7%
HMS Holdings Corp.†		8,172		195,719
LiveRamp Holdings, Inc.†		17,427		902,196
Medifast, Inc.		1,686		277,263
Team, Inc.†		2,828		15,554
				1,390,732
Commercial Services-Finance — 0.5%
Cardtronics PLC, Class A†		3,285		65,043
Euronet Worldwide, Inc.†		450		40,995
EVERTEC, Inc.		5,507		191,148
Evo Payments, Inc., Class A†		11,800		293,230
Green Dot Corp., Class A†		6,928		350,626
				941,042
Communications Software — 0.5%
8x8, Inc.†		9,623		149,638
Avaya Holdings Corp.†		53,600		814,720
				964,358
Computer Data Security — 0.3%
OneSpan, Inc.†		3,129		65,584
Qualys, Inc.†		3,250		318,532
SecureWorks Corp., Class A†		11,000		125,290
				509,406
Computer Services — 1.8%
CACI International, Inc., Class A†		1,250		266,450
ExlService Holdings, Inc.†		3,155		208,135
Insight Enterprises, Inc.†		5,438		307,682
Perspecta, Inc.		25,400		494,030
Science Applications International Corp.		10,270		805,373
Sykes Enterprises, Inc.†		8,248		282,164
TTEC Holdings, Inc.		1,683		91,808
Unisys Corp.†		5,818		62,078
Virtusa Corp.†		2,625		129,045
WNS Holdings, Ltd. ADR†		13,915		890,004
				3,536,769
Computer Software — 0.3%
Avid Technology, Inc.†		12,600		107,856
Cornerstone OnDemand, Inc.†		5,800		210,888
Simulations Plus, Inc.		1,397		105,278
Xperi Holding Corp.		13,492		155,023
				579,045

219

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Integrated Systems — 0.1%
Cubic Corp.		2,892	$	168,228
Diebold Nixdorf, Inc.†		7,171		54,786
MTS Systems Corp.		1,780		34,016
				257,030
Computers-Other — 0.4%
3D Systems Corp.†		11,184		54,914
Lumentum Holdings, Inc.†		8,833		663,623
				718,537
Consulting Services — 0.4%
Forrester Research, Inc.†		1,012		33,183
GP Strategies Corp.†		9,100		87,724
Huron Consulting Group, Inc.†		8,200		322,506
Kelly Services, Inc., Class A		8,301		141,449
R1 RCM, Inc.†		10,671		183,008
				767,870
Consumer Products-Misc. — 0.3%
Central Garden & Pet Co.†		897		35,817
Central Garden & Pet Co., Class A†		6,485		234,368
Quanex Building Products Corp.		9,129		168,339
WD-40 Co.		1,262		238,909
				677,433
Containers-Metal/Glass — 0.2%
Ardagh Group SA		31,755		446,158
Containers-Paper/Plastic — 0.5%
Graphic Packaging Holding Co.		64,065		902,676
Matthews International Corp., Class A		2,887		64,553
				967,229
Cosmetics & Toiletries — 0.1%
Edgewell Personal Care Co.†		2,000		55,760
Inter Parfums, Inc.		1,630		60,881
				116,641
Data Processing/Management — 0.6%
Bottomline Technologies DE, Inc.†		3,574		150,680
CommVault Systems, Inc.†		7,200		293,760
CSG Systems International, Inc.		17,100		700,245
				1,144,685
Dental Supplies & Equipment — 0.2%
Patterson Cos., Inc.		13,100		315,775
Diagnostic Equipment — 0.5%
Adaptive Biotechnologies Corp.†		2,700		131,301
BioTelemetry, Inc.†		3,156		143,850
Repligen Corp.†		5,357		790,372
				1,065,523
Diagnostic Kits — 0.4%
Meridian Bioscience, Inc.†		3,957		67,190
Natera, Inc.†		9,140		660,274
OraSure Technologies, Inc.†		6,607		80,407
				807,871

Security Description	Shares		Value (Note 2)
Dialysis Centers — 0.0%
American Renal Associates Holdings, Inc.†		400	$	2,760
Disposable Medical Products — 0.5%
CONMED Corp.		2,638		207,531
ICU Medical, Inc.†		3,427		626,319
Merit Medical Systems, Inc.†		4,508		196,098
				1,029,948
Distribution/Wholesale — 1.6%
Avient Corp.		9,600		254,016
Core-Mark Holding Co., Inc.		19,463		563,065
Fossil Group, Inc.†		8,610		49,421
G-III Apparel Group, Ltd.†		25,993		340,768
KAR Auction Services, Inc.		41,089		591,682
Resideo Technologies, Inc.†		11,396		125,356
ScanSource, Inc.†		17,041		337,923
Univar Solutions, Inc.†		50,004		844,067
Veritiv Corp.†		4,245		53,742
				3,160,040
Diversified Manufacturing Operations — 0.8%
Enerpac Tool Group Corp.		6,218		116,960
EnPro Industries, Inc.		15,932		898,724
Fabrinet†		5,192		327,252
Federal Signal Corp.		5,579		163,186
				1,506,122
Diversified Minerals — 0.1%
Livent Corp.†		13,503		121,122
Diversified Operations/Commercial Services — 0.0%
Viad Corp.		1,884		39,244
E-Commerce/Products — 0.0%
Liquidity Services, Inc.†		2,420		18,053
E-Commerce/Services — 0.5%
Cars.com, Inc.†		16,300		131,704
Groupon, Inc.†		1,125		22,950
Shutterstock, Inc.		2,040		106,162
Stamps.com, Inc.†		2,998		722,368
				983,184
E-Marketing/Info — 0.1%
comScore, Inc.†		24,900		50,796
QuinStreet, Inc.†		4,473		70,852
				121,648
E-Services/Consulting — 0.8%
Perficient, Inc.†		38,233		1,634,078
Electric Products-Misc. — 0.2%
Novanta, Inc.†		3,973		418,516
Electric-Distribution — 0.1%
Spark Energy, Inc., Class A		11,700		97,344
Electric-Generation — 0.2%
Atlantic Power Corp.†		156,800		307,328
Electric-Integrated — 0.8%
Avista Corp.		14,608		498,425
Black Hills Corp.		1,500		80,235
IDACORP, Inc.		7,558		603,884

220

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated (continued)
PNM Resources, Inc.		3,300	$	136,389
Portland General Electric Co.		7,300		259,150
				1,578,083
Electronic Components-Misc. — 1.0%
Advanced Energy Industries, Inc.†		3,539		222,745
Applied Optoelectronics, Inc.†		1,934		21,757
Bel Fuse, Inc., Class B		15,445		164,952
Benchmark Electronics, Inc.		14,166		285,445
Comtech Telecommunications Corp.		2,283		31,962
Knowles Corp.†		8,461		126,069
OSI Systems, Inc.†		4,052		314,476
Plexus Corp.†		2,700		190,701
Sanmina Corp.†		14,856		401,855
SMART Global Holdings, Inc.†		6,071		165,981
				1,925,943
Electronic Components-Semiconductors — 2.3%
Amkor Technology, Inc.†		35,100		393,120
CEVA, Inc.†		2,046		80,551
CTS Corp.		2,979		65,627
Diodes, Inc.†		3,876		218,800
DSP Group, Inc.†		2,019		26,610
MACOM Technology Solutions Holdings, Inc.†		27,465		934,085
ON Semiconductor Corp.†		35,623		772,663
Photronics, Inc.†		6,059		60,348
Rambus, Inc.†		47,102		644,826
Semtech Corp.†		16,657		882,155
Synaptics, Inc.†		5,300		426,226
				4,505,011
Electronic Measurement Instruments — 0.7%
Badger Meter, Inc.		2,688		175,715
FARO Technologies, Inc.†		1,642		100,129
Itron, Inc.†		3,724		226,196
Mesa Laboratories, Inc.		3,219		820,072
				1,322,112
Electronic Security Devices — 0.1%
Alarm.com Holdings, Inc.†		4,114		227,298
Energy-Alternate Sources — 0.6%
FutureFuel Corp.		14,083		160,124
Green Plains, Inc.†		5,994		92,787
Maxeon Solar Technologies, Ltd.†		3,125		53,000
Renewable Energy Group, Inc.†		7,628		407,488
REX American Resources Corp.†		3,104		203,653
SunPower Corp.†		25,300		316,503
				1,233,555
Engineering/R&D Services — 0.2%
Exponent, Inc.		4,766		343,295
KBR, Inc.		3,500		78,260
				421,555
Enterprise Software/Service — 1.3%
ACI Worldwide, Inc.†		9,700		253,461
Asure Software, Inc.†		8,800		66,440

Security Description	Shares		Value (Note 2)
Enterprise Software/Service (continued)
Donnelley Financial Solutions, Inc.†		7,880	$	105,277
eGain Corp.†		8,400		119,028
Evolent Health, Inc., Class A†		24,700		306,527
LivePerson, Inc.†		5,682		295,407
ManTech International Corp., Class A		2,506		172,613
MicroStrategy, Inc., Class A†		2,143		322,650
Omnicell, Inc.†		3,948		294,758
Progress Software Corp.		4,158		152,516
SPS Commerce, Inc.†		3,243		252,532
SVMK, Inc.†		7,500		165,825
				2,507,034
Entertainment Software — 0.1%
Glu Mobile, Inc.†		13,566		104,119
Filtration/Separation Products — 0.4%
ESCO Technologies, Inc.		9,715		782,640
Finance-Auto Loans — 0.1%
Credit Acceptance Corp.†		450		152,388
Finance-Consumer Loans — 0.4%
Encore Capital Group, Inc.†		2,893		111,641
Enova International, Inc.†		2,780		45,564
EZCORP, Inc., Class A†		9,710		48,841
Navient Corp.		28,500		240,825
Nelnet, Inc., Class A		550		33,137
PRA Group, Inc.†		4,208		168,110
World Acceptance Corp.†		418		44,120
				692,238
Finance-Investment Banker/Broker — 0.8%
Cowen, Inc., Class A		7,300		118,771
Greenhill & Co., Inc.		1,313		14,903
Houlihan Lokey, Inc.		21,316		1,258,710
Moelis & Co., Class A		500		17,570
Piper Sandler Cos.		2,418		176,514
StoneX Group, Inc.†		1,502		76,842
				1,663,310
Finance-Mortgage Loan/Banker — 0.1%
Mr. Cooper Group, Inc.†		6,712		149,812
Financial Guarantee Insurance — 0.3%
MBIA, Inc.†		2,600		15,756
MGIC Investment Corp.		17,100		151,506
NMI Holdings, Inc., Class A†		10,130		180,314
Radian Group, Inc.		15,600		227,916
				575,492
Firearms & Ammunition — 0.1%
Sturm Ruger & Co., Inc.		1,615		98,773
Food-Canned — 0.1%
Seneca Foods Corp., Class A†		4,720		168,646
Food-Misc./Diversified — 0.6%
B&G Foods, Inc.		11,824		328,353
Cal-Maine Foods, Inc.†		3,430		131,609
Hain Celestial Group, Inc.†		10,973		376,374
J&J Snack Foods Corp.		1,378		179,677
John B. Sanfilippo & Son, Inc.		3,314		249,809
				1,265,822

221

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Wholesale/Distribution — 0.7%
Calavo Growers, Inc.		1,531	$	101,459
Chefs' Warehouse, Inc.†		3,001		43,634
Performance Food Group Co.†		23,927		828,353
SpartanNash Co.		17,308		282,986
United Natural Foods, Inc.†		5,049		75,079
				1,331,511
Footwear & Related Apparel — 0.6%
Crocs, Inc.†		6,228		266,122
Steven Madden, Ltd.		31,787		619,846
Wolverine World Wide, Inc.		7,559		195,325
				1,081,293
Gambling (Non-Hotel) — 0.2%
Monarch Casino & Resort, Inc.†		1,176		52,450
Red Rock Resorts, Inc., Class A		18,536		316,965
				369,415
Gas-Distribution — 0.7%
Chesapeake Utilities Corp.		6,163		519,538
New Jersey Resources Corp.		1,600		43,232
Northwest Natural Holding Co.		3,920		177,929
ONE Gas, Inc.		3,300		227,733
South Jersey Industries, Inc.		9,287		178,960
Southwest Gas Holdings, Inc.		2,200		138,820
				1,286,212
Gold Mining — 0.3%
Pretium Resources, Inc.†		47,914		615,216
Golf — 0.1%
Callaway Golf Co.		8,694		166,403
Hazardous Waste Disposal — 0.0%
US Ecology, Inc.		2,909		95,037
Health Care Cost Containment — 0.0%
CorVel Corp.†		844		72,103
Home Furnishings — 0.3%
Ethan Allen Interiors, Inc.		2,012		27,242
Hooker Furniture Corp.		500		12,915
Purple Innovation, Inc.†		5,500		136,730
Sleep Number Corp.†		8,660		423,561
				600,448
Hotels/Motels — 0.2%
Extended Stay America, Inc.		31,578		377,357
Marcus Corp.		2,136		16,511
				393,868
Housewares — 0.0%
Tupperware Brands Corp.†		4,535		91,426
Human Resources — 1.7%
AMN Healthcare Services, Inc.†		4,338		253,599
ASGN, Inc.†		21,559		1,370,290
Barrett Business Services, Inc.		6,840		358,690
Cross Country Healthcare, Inc.†		47,926		311,040
Heidrick & Struggles International, Inc.		2,786		54,745
Insperity, Inc.		1,300		85,137
Kforce, Inc.		6,100		196,237

Security Description	Shares		Value (Note 2)
Human Resources (continued)
Korn Ferry		9,345	$	271,005
Resources Connection, Inc.		2,790		32,224
TrueBlue, Inc.†		28,929		448,110
				3,381,077
Identification Systems — 0.1%
Brady Corp., Class A		4,471		178,929
Independent Power Producers — 0.1%
Clearway Energy, Inc., Class A		4,100		101,270
Clearway Energy, Inc., Class C		1,000		26,960
				128,230
Industrial Automated/Robotic — 0.0%
Ichor Holdings, Ltd.†		2,119		45,707
Instruments-Controls — 0.1%
Watts Water Technologies, Inc., Class A		2,534		253,780
Insurance Brokers — 1.1%
Brown & Brown, Inc.		13,873		628,031
eHealth, Inc.†		7,694		607,826
Selectquote, Inc.†		22,279		451,150
Trean Insurance Group, Inc.†		24,381		371,810
				2,058,817
Insurance-Life/Health — 0.5%
American Equity Investment Life Holding Co.		11,790		259,262
CNO Financial Group, Inc.		19,900		319,196
Primerica, Inc.		1,050		118,797
Trupanion, Inc.†		2,996		236,384
				933,639
Insurance-Multi-line — 0.3%
Kemper Corp.		8,370		559,367
Insurance-Property/Casualty — 1.8%
Ambac Financial Group, Inc.†		6,029		76,990
AMERISAFE, Inc.		11,757		674,381
Employers Holdings, Inc.		2,702		81,735
First American Financial Corp.		1,500		76,365
HCI Group, Inc.		568		27,997
Heritage Insurance Holdings, Inc.		1,100		11,132
Horace Mann Educators Corp.		3,817		127,488
James River Group Holdings, Ltd.		17,274		769,211
Kinsale Capital Group, Inc.		1,959		372,563
Palomar Holdings, Inc.†		8,833		920,752
ProAssurance Corp.		4,975		77,809
ProSight Global, Inc.†		2,000		22,680
Safety Insurance Group, Inc.		1,322		91,337
Stewart Information Services Corp.		2,468		107,926
United Fire Group, Inc.		1,987		40,376
United Insurance Holdings Corp.		1,909		11,568
Universal Insurance Holdings, Inc.		2,676		37,036
				3,527,346
Insurance-Reinsurance — 0.9%
Argo Group International Holdings, Ltd.		2,100		72,303
Axis Capital Holdings, Ltd.		20,062		883,530
Essent Group, Ltd.		8,950		331,240

222

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Reinsurance (continued)
Reinsurance Group of America, Inc.		5,463	$	520,023
Third Point Reinsurance, Ltd.†		7,537		52,382
				1,859,478
Internet Connectivity Services — 0.1%
Cogent Communications Holdings, Inc.		3,886		233,354
Internet Content-Information/News — 0.2%
HealthStream, Inc.†		2,363		47,425
TechTarget, Inc.†		2,136		93,899
Yelp, Inc.†		12,800		257,152
				398,476
Internet Security — 0.1%
Proofpoint, Inc.†		975		102,911
Investment Companies — 0.4%
Compass Diversified Holdings		39,796		758,512
Investment Management/Advisor Services — 0.5%
Blucora, Inc.†		15,935		150,108
Boston Private Financial Holdings, Inc.		7,589		41,891
BrightSphere Investment Group, Inc.		5,548		71,569
Focus Financial Partners, Inc., Class A†		5,350		175,426
Stifel Financial Corp.		4,950		250,272
Virtus Investment Partners, Inc.		1,365		189,257
Waddell & Reed Financial, Inc., Class A		6,016		89,338
WisdomTree Investments, Inc.		10,378		33,210
				1,001,071
Linen Supply & Related Items — 0.1%
UniFirst Corp.		1,408		266,633
Machinery-Construction & Mining — 0.2%
Astec Industries, Inc.		8,787		476,695
Machinery-Electrical — 0.3%
Argan, Inc.		10,700		448,437
Bloom Energy Corp., Class A†		500		8,985
Franklin Electric Co., Inc.		3,540		208,258
				665,680
Machinery-Farming — 0.1%
Alamo Group, Inc.		909		98,199
Lindsay Corp.		1,000		96,680
				194,879
Machinery-General Industrial — 1.1%
Albany International Corp., Class A		12,147		601,398
Applied Industrial Technologies, Inc.		4,474		246,518
Chart Industries, Inc.†		3,253		228,588
DXP Enterprises, Inc.†		6,610		106,619
IDEX Corp.		3,568		650,839
Kadant, Inc.		1,600		175,392
Tennant Co.		1,705		102,914
				2,112,268

Security Description	Shares		Value (Note 2)
Machinery-Pumps — 0.2%
Cactus, Inc., Class A		10,209	$	195,911
CIRCOR International, Inc.†		1,846		50,488
SPX FLOW, Inc.†		3,917		167,726
				414,125
Medical Imaging Systems — 0.0%
Lantheus Holdings, Inc.†		6,169		78,161
Medical Information Systems — 0.8%
Allscripts Healthcare Solutions, Inc.†		63,146		514,009
Change Healthcare, Inc.†		60,002		870,629
Computer Programs & Systems, Inc.		4,666		128,828
NextGen Healthcare, Inc.†		5,109		65,089
Tabula Rasa HealthCare, Inc.†		1,929		78,645
				1,657,200
Medical Instruments — 0.7%
AngioDynamics, Inc.†		16,697		201,366
Bio-Techne Corp.		2,421		599,754
Natus Medical, Inc.†		14,427		247,135
NuVasive, Inc.†		4,900		237,993
				1,286,248
Medical Labs & Testing Services — 1.0%
Catalent, Inc.†		11,687		1,001,108
Fulgent Genetics, Inc.†		1,089		43,604
MEDNAX, Inc.†		6,300		102,564
Medpace Holdings, Inc.†		2,175		243,056
Personalis, Inc.†		3,000		65,010
Syneos Health, Inc.†		10,601		563,549
				2,018,891
Medical Laser Systems — 0.1%
Cutera, Inc.†		14,924		283,108
Medical Products — 1.8%
Accuray, Inc.†		56,700		136,080
Cardiovascular Systems, Inc.†		3,662		144,100
CryoLife, Inc.†		3,495		64,553
Envista Holdings Corp.†		38,737		956,029
Glaukos Corp.†		4,125		204,270
Hanger, Inc.†		3,518		55,655
Inogen, Inc.†		1,691		49,039
Integer Holdings Corp.†		9,158		540,414
Invacare Corp.		16,377		123,155
LeMaitre Vascular, Inc.		1,550		50,421
LivaNova PLC†		4,200		189,882
Luminex Corp.		3,981		104,501
Orthofix Medical, Inc.†		6,034		187,899
SeaSpine Holdings Corp.†		16,000		228,800
Sientra, Inc.†		81,930		278,562
Surmodics, Inc.†		1,260		49,027
Tactile Systems Technology, Inc.†		1,792		65,569
Zynex, Inc.†		1,794		31,305
				3,459,261
Medical-Biomedical/Gene — 2.5%
ACADIA Pharmaceuticals, Inc.†		7,200		297,000
Alder Biopharmaceuticals, Inc. CVR†(1)		11,600		10,208
AMAG Pharmaceuticals, Inc.†		3,801		35,729

223

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PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Amicus Therapeutics, Inc.†		15,000	$	211,800
ANI Pharmaceuticals, Inc.†		886		24,994
Arena Pharmaceuticals, Inc.†		4,560		341,042
Atara Biotherapeutics, Inc.†		11,600		150,336
Berkeley Lights, Inc.†		2,900		221,444
Biohaven Pharmaceutical Holding Co., Ltd.†		4,700		305,547
Black Diamond Therapeutics, Inc.†		4,200		126,966
Bluebird Bio, Inc.†		800		43,160
Bridgebio Pharma, Inc.†		3,700		138,824
CytomX Therapeutics, Inc.†		5,100		33,915
Eiger BioPharmaceuticals, Inc.†		12,100		98,494
Esperion Therapeutics, Inc.†		1,600		59,472
Evolus, Inc.†		37,418		146,304
Homology Medicines, Inc.†		3,100		33,170
Innoviva, Inc.†		5,804		60,652
Intercept Pharmaceuticals, Inc.†		6,500		269,490
LogicBio Therapeutics, Inc.†		20,600		187,048
Mersana Therapeutics, Inc.†		12,798		238,299
Myriad Genetics, Inc.†		15,798		206,006
NeoGenomics, Inc.†		10,196		376,131
Puma Biotechnology, Inc.†		16,000		161,440
REGENXBIO, Inc.†		7,758		213,500
REVOLUTION Medicines, Inc.†		2,100		73,080
Solid Biosciences, Inc.†		4,700		9,541
Sutro Biopharma, Inc.†		1,900		19,095
TCR2 Therapeutics, Inc.†		3,800		77,216
Viela Bio, Inc.†		4,500		126,360
VYNE Therapeutics, Inc.†		3,800		6,308
WaVe Life Sciences, Ltd.†		20,500		174,045
Xencor, Inc.†		11,085		429,987
Y-mAbs Therapeutics, Inc.†		500		19,195
				4,925,798
Medical-Drugs — 2.8%
Aerie Pharmaceuticals, Inc.†		12,268		144,394
Aimmune Therapeutics, Inc.†		4,600		158,470
Alector, Inc.†		1,900		20,017
Amphastar Pharmaceuticals, Inc.†		3,376		63,300
Athenex, Inc.†		11,300		136,730
Clovis Oncology, Inc.†		14,800		86,284
Coherus Biosciences, Inc.†		5,807		106,500
Corcept Therapeutics, Inc.†		9,602		167,123
Cytokinetics, Inc.†		6,509		140,920
Eagle Pharmaceuticals, Inc.†		2,418		102,717
Enanta Pharmaceuticals, Inc.†		1,649		75,491
Global Blood Therapeutics, Inc.†		3,900		215,046
Gritstone Oncology, Inc.†		2,100		5,565
Horizon Therapeutics PLC†		5,500		427,240
Intra-Cellular Therapies, Inc.†		12,520		321,263
Lannett Co., Inc.†		41,678		254,653
Marinus Pharmaceuticals, Inc.		12,800		164,480
MyoKardia, Inc.†		5,300		722,549
Pacira BioSciences, Inc.†		10,531		633,124
Phibro Animal Health Corp., Class A		1,873		32,590
Prestige Consumer Healthcare, Inc.†		1,650		60,093

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Protagonist Therapeutics, Inc.†		11,900	$	232,645
Reata Pharmaceuticals, Inc., Class A†		2,447		238,387
Seres Therapeutics, Inc.†		10,300		291,593
Spectrum Pharmaceuticals, Inc.†		13,455		54,896
Supernus Pharmaceuticals, Inc.†		4,862		101,324
TG Therapeutics, Inc.†		9,200		246,192
UroGen Pharma, Ltd.†		6,500		125,385
Vanda Pharmaceuticals, Inc.†		12,646		122,160
Voyager Therapeutics, Inc.†		8,100		86,427
				5,537,558
Medical-Generic Drugs — 0.5%
Arvinas, Inc.†		200		4,722
Endo International PLC†		104,518		344,910
Momenta Pharmaceuticals, Inc.†		10,984		576,440
				926,072
Medical-HMO — 0.5%
Magellan Health, Inc.†		8,180		619,880
Tivity Health, Inc.†		10,052		140,929
Triple-S Management Corp., Class B†		7,500		134,025
				894,834
Medical-Hospitals — 0.4%
Community Health Systems, Inc.†		62,281		262,826
Select Medical Holdings Corp.†		9,896		206,035
Tenet Healthcare Corp.†		12,300		301,473
				770,334
Medical-Nursing Homes — 0.1%
Ensign Group, Inc.		4,667		266,299
Medical-Outpatient/Home Medical — 0.2%
Addus HomeCare Corp.†		1,374		129,857
Pennant Group, Inc.†		2,325		89,652
Providence Service Corp.†		1,329		123,477
				342,986
Medical-Wholesale Drug Distribution — 0.8%
AdaptHealth Corp.†		16,342		356,419
Covetrus, Inc.†		9,063		221,137
Owens & Minor, Inc.		35,689		896,151
				1,473,707
Metal Processors & Fabrication — 0.2%
AZZ, Inc.		2,418		82,502
LB Foster Co., Class A†		1,000		13,420
Mueller Industries, Inc.		5,243		141,876
Standex International Corp.		1,143		67,666
Tredegar Corp.		2,383		35,435
				340,899
Metal Products-Distribution — 0.2%
Olympic Steel, Inc.		838		9,520
Worthington Industries, Inc.		10,100		411,878
				421,398
Metal-Aluminum — 0.2%
Arconic Corp.†		9,862		187,871
Century Aluminum Co.†		6,527		46,472
Kaiser Aluminum Corp.		2,485		133,171
				367,514

224

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Metal-Iron — 0.1%
Cleveland-Cliffs, Inc.		36,856	$	236,616
Miscellaneous Manufacturing — 0.2%
Hillenbrand, Inc.		6,900		195,684
John Bean Technologies Corp.		2,929		269,146
				464,830
Motion Pictures & Services — 0.0%
Eros International PLC†		5,400		11,934
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		3,952		60,663
Multimedia — 0.0%
E.W. Scripps Co., Class A		5,268		60,266
Networking Products — 0.2%
Extreme Networks, Inc.†		23,814		95,732
NeoPhotonics Corp.†		23,900		145,551
NETGEAR, Inc.†		2,761		85,094
				326,377
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		15,980		84,854
Office Furnishings-Original — 0.2%
HNI Corp.		8,900		279,282
Interface, Inc.		5,405		33,079
Steelcase, Inc., Class A		9,200		93,012
				405,373
Office Supplies & Forms — 0.1%
ACCO Brands Corp.		42,100		244,180
Oil & Gas Drilling — 0.1%
Helmerich & Payne, Inc.		9,923		145,372
Nabors Industries, Ltd.		593		14,493
Patterson-UTI Energy, Inc.		17,302		49,311
ProPetro Holding Corp.†		7,452		30,255
				239,431
Oil Companies-Exploration & Production — 0.6%
Berry Corp.		8,300		26,311
Bonanza Creek Energy, Inc.†		1,712		32,186
Callon Petroleum Co.†		3,670		17,689
CNX Resources Corp.†		5,900		55,696
Gulfport Energy Corp.†		13,452		7,090
Laredo Petroleum, Inc.†		831		8,144
Magnolia Oil & Gas Corp., Class A†		5,600		28,952
Matador Resources Co.†		10,140		83,756
Oasis Petroleum, Inc.†		27,264		7,634
Ovintiv, Inc.		7,300		59,568
Parsley Energy, Inc., Class A		37,630		352,217
PDC Energy, Inc.†		13,296		164,804
Penn Virginia Corp.†		1,401		13,800
QEP Resources, Inc.		22,373		20,198
Range Resources Corp.		26,843		177,701
SM Energy Co.		9,828		15,626
Southwestern Energy Co.†		55,902		131,370
Talos Energy, Inc.†		2,157		13,913
W&T Offshore, Inc.†		25,100		45,180
				1,261,835

Security Description	Shares		Value (Note 2)
Oil Field Machinery & Equipment — 0.1%
Dril-Quip, Inc.†		3,237	$	80,148
Exterran Corp.†		2,295		9,547
US Silica Holdings, Inc.		6,822		20,466
				110,161
Oil Refining & Marketing — 0.2%
CVR Energy, Inc.		800		9,904
Delek US Holdings, Inc.		4,900		54,537
Murphy USA, Inc.†		2,600		333,502
Par Pacific Holdings, Inc.†		3,687		24,961
PBF Energy, Inc., Class A		8,874		50,493
				473,397
Oil-Field Services — 0.6%
Archrock, Inc.		11,862		63,818
ChampionX Corp.†		3,400		27,166
Core Laboratories NV		4,107		62,673
DMC Global, Inc.		1,364		44,930
Helix Energy Solutions Group, Inc.†		13,023		31,385
Matrix Service Co.†		24,343		203,264
MRC Global, Inc.†		15,700		67,196
Newpark Resources, Inc.†		8,369		8,787
NexTier Oilfield Solutions, Inc.†		56,000		103,600
NOW, Inc.†		58,999		267,855
Oceaneering International, Inc.†		9,167		32,268
Oil States International, Inc.†		5,635		15,384
RPC, Inc.†		5,363		14,158
Solaris Oilfield Infrastructure, Inc., Class A		32,587		206,602
				1,149,086
Paper & Related Products — 0.3%
Clearwater Paper Corp.†		2,130		80,812
Domtar Corp.		4,900		128,723
Mercer International, Inc.		3,649		24,083
Neenah, Inc.		1,851		69,357
P.H. Glatfelter Co.		8,196		112,859
Schweitzer-Mauduit International, Inc.		2,894		87,949
Verso Corp., Class A		10,900		86,001
				589,784
Pastoral & Agricultural — 0.9%
Darling Ingredients, Inc.†		48,433		1,745,041
Physical Therapy/Rehabilitation Centers — 0.1%
U.S. Physical Therapy, Inc.		1,186		103,040
Power Converter/Supply Equipment — 0.7%
Generac Holdings, Inc.†		5,300		1,026,292
Powell Industries, Inc.		7,015		169,272
Vicor Corp.†		1,937		150,563
				1,346,127
Printing-Commercial — 0.3%
Deluxe Corp.		8,465		217,805
Ennis, Inc.		13,000		226,720
Quad/Graphics, Inc.		17,700		53,631
RR Donnelley & Sons Co.		6,592		9,624
				507,780

225

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Private Equity — 0.3%
Kennedy-Wilson Holdings, Inc.		33,907	$	492,330
Publishing-Books — 0.4%
Gannett Co, Inc.		11,955		15,542
Houghton Mifflin Harcourt Co.†		64,200		111,066
John Wiley & Sons, Inc., Class A		17,348		550,105
Scholastic Corp.		2,763		57,995
				734,708
Publishing-Periodicals — 0.0%
Meredith Corp.		3,724		48,859
Quarrying — 0.3%
Compass Minerals International, Inc.		11,478		681,219
Racetracks — 0.1%
Penn National Gaming, Inc.†		1,900		138,130
Real Estate Investment Trusts — 6.2%
Acadia Realty Trust		10,964		115,122
Agree Realty Corp.		6,072		386,422
Alexander & Baldwin, Inc.		9,136		102,415
American Assets Trust, Inc.		16,603		399,966
American Finance Trust, Inc.		4,300		26,961
Americold Realty Trust		8,500		303,875
Apollo Commercial Real Estate Finance, Inc.		12,542		113,003
Armada Hoffler Properties, Inc.		5,349		49,532
ARMOUR Residential REIT, Inc.		5,973		56,803
Blackstone Mtg. Trust, Inc., Class A		12,500		274,625
Brandywine Realty Trust		15,748		162,834
Broadstone Net Lease, Inc., Class A		7,900		132,562
Capstead Mtg. Corp.		8,907		50,057
CareTrust REIT, Inc.		10,339		183,983
Chatham Lodging Trust		4,336		33,040
City Office REIT, Inc.		1,800		13,536
Community Healthcare Trust, Inc.		1,972		92,211
CoreCivic, Inc.		11,045		88,360
CoreSite Realty Corp.		2,050		243,704
DiamondRock Hospitality Co.		50,620		256,643
Diversified Healthcare Trust		21,969		77,331
Douglas Emmett, Inc.		15,517		389,477
Easterly Government Properties, Inc.		9,957		223,136
EastGroup Properties, Inc.		900		116,397
Ellington Financial, Inc.		600		7,356
Equity LifeStyle Properties, Inc.		10,467		641,627
Essential Properties Realty Trust, Inc.		10,901		199,706
First Industrial Realty Trust, Inc.		7,575		301,485
Four Corners Property Trust, Inc.		7,794		199,448
Franklin Street Properties Corp.		8,918		32,640
GEO Group, Inc.		3,900		44,226
Getty Realty Corp.		7,251		188,599
Gladstone Commercial Corp.		2,700		45,495
Global Net Lease, Inc.		9,562		152,036
Granite Point Mtg. Trust, Inc.		5,097		36,138
Great Ajax Corp.		800		6,632
Hersha Hospitality Trust		4,366		24,188
Highwoods Properties, Inc.		1,700		57,069
Independence Realty Trust, Inc.		8,747		101,378

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Industrial Logistics Properties Trust		6,021	$	131,679
Innovative Industrial Properties, Inc.		2,003		248,592
Invesco Mtg. Capital, Inc.		19,468		52,758
Investors Real Estate Trust†		1,184		77,161
iStar, Inc.		6,938		81,938
Kite Realty Group Trust		9,575		110,879
KKR Real Estate Finance Trust, Inc.		8,310		137,364
Ladder Capital Corp.		11,900		84,728
Lexington Realty Trust		34,054		355,864
LTC Properties, Inc.		3,623		126,298
Mack-Cali Realty Corp.		11,956		150,885
National Storage Affiliates Trust		5,716		186,970
New Senior Investment Group, Inc.		12,800		51,200
New York Mtg. Trust, Inc.		34,876		88,934
NexPoint Residential Trust, Inc.		2,019		89,543
Office Properties Income Trust†		4,453		92,266
Pebblebrook Hotel Trust		2,400		30,072
PennyMac Mtg. Investment Trust		18,766		301,570
Physicians Realty Trust		9,700		173,727
Piedmont Office Realty Trust, Inc., Class A		7,300		99,061
Plymouth Industrial REIT, Inc.		2,000		24,680
PotlatchDeltic Corp.		5,700		239,970
PS Business Parks, Inc.		225		27,538
QTS Realty Trust, Inc., Class A		3,800		239,476
Ready Capital Corp.		3,800		42,560
Redwood Trust, Inc.		19,012		142,970
Retail Opportunity Investments Corp.		18,988		197,760
Retail Properties of America, Inc., Class A		19,781		114,928
RLJ Lodging Trust		5,000		43,300
RPT Realty		7,473		40,653
Ryman Hospitality Properties, Inc.		1,600		58,880
Sabra Health Care REIT, Inc.		5,100		70,304
Safehold, Inc.		1,274		79,115
Saul Centers, Inc.		3,378		89,787
SITE Centers Corp.†		14,812		106,646
STAG Industrial, Inc.		3,400		103,666
Summit Hotel Properties, Inc.		13,059		67,646
Sunstone Hotel Investors, Inc.		29,700		235,818
Tanger Factory Outlet Centers, Inc.		8,630		52,039
Terreno Realty Corp.		13,479		738,110
TPG RE Finance Trust, Inc.		1,900		16,074
Two Harbors Investment Corp.		9,218		46,920
UMH Properties, Inc.		3,900		52,806
Uniti Group, Inc.		17,925		188,840
Universal Health Realty Income Trust		1,182		67,362
Urstadt Biddle Properties, Inc., Class A		2,769		25,475
Washington Prime Group, Inc.		17,305		11,203
Washington Real Estate Investment Trust		7,603		153,048
Whitestone REIT		3,675		22,050
Xenia Hotels & Resorts, Inc.		20,000		175,600
				12,076,731

226

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Management/Services — 0.1%
Marcus & Millichap, Inc.†		2,215	$	60,957
RE/MAX Holdings, Inc., Class A		1,673		54,757
Realogy Holdings Corp.†		18,758		177,076
				292,790
Real Estate Operations & Development — 0.0%
St. Joe Co.†		2,881		59,435
Recycling — 0.1%
Harsco Corp.†		7,285		101,334
Rental Auto/Equipment — 0.1%
Rent-A-Center, Inc.		7,473		223,368
Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		1,500		136,215
Retail-Apparel/Shoe — 0.3%
Abercrombie & Fitch Co., Class A		5,759		80,223
Boot Barn Holdings, Inc.†		2,664		74,965
Buckle, Inc.		2,646		53,952
Caleres, Inc.		3,580		34,225
Cato Corp., Class A		1,906		14,905
Chico's FAS, Inc.		11,069		10,765
Children's Place, Inc.		1,347		38,187
Designer Brands, Inc., Class A		5,427		29,469
Genesco, Inc.†		1,291		27,808
Guess?, Inc.		12,665		147,167
Shoe Carnival, Inc.		794		26,662
Vera Bradley, Inc.†		2,035		12,434
Winmark Corp.		475		81,785
				632,547
Retail-Appliances — 0.0%
Conn's, Inc.†		1,775		18,780
Retail-Arts & Crafts — 0.0%
Michaels Cos., Inc.†		6,806		65,712
Retail-Automobile — 0.8%
America's Car-Mart, Inc.†		587		49,825
Asbury Automotive Group, Inc.†		8,730		850,738
Group 1 Automotive, Inc.		2,734		241,658
Lithia Motors, Inc., Class A		425		96,875
Sonic Automotive, Inc., Class A		7,931		318,509
				1,557,605
Retail-Bedding — 0.2%
Bed Bath & Beyond, Inc.		20,836		312,123
Retail-Bookstores — 0.0%
Barnes & Noble Education, Inc.†		2,784		7,183
Retail-Building Products — 0.2%
BMC Stock Holdings, Inc.†		6,800		291,244
Foundation Building Materials, Inc.†		2,074		32,603
GMS, Inc.†		3,946		95,099
				418,946
Retail-Computer Equipment — 0.0%
PC Connection, Inc.†		1,013		41,594
Retail-Discount — 0.2%
Big Lots, Inc.		8,696		387,842

Security Description	Shares		Value (Note 2)
Retail-Floor Coverings — 0.0%
Lumber Liquidators Holdings, Inc.†		2,664	$	58,741
Retail-Hair Salons — 0.0%
Regis Corp.†		2,237		13,735
Retail-Home Furnishings — 0.1%
Haverty Furniture Cos., Inc.		5,296		110,898
La-Z-Boy, Inc.		4,247		134,333
				245,231
Retail-Jewelry — 0.1%
Movado Group, Inc.		1,530		15,208
Signet Jewelers, Ltd.		4,833		90,377
				105,585
Retail-Leisure Products — 0.1%
MarineMax, Inc.†		4,197		107,737
Retail-Misc./Diversified — 0.1%
GameStop Corp., Class A†		5,022		51,224
PriceSmart, Inc.		2,151		142,934
				194,158
Retail-Office Supplies — 0.2%
ODP Corp.		18,162		353,251
Retail-Pawn Shops — 0.1%
FirstCash, Inc.		2,400		137,304
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		1,872		59,193
Retail-Regional Department Stores — 0.2%
Dillard's, Inc., Class A		5,100		186,252
Macy's, Inc.		28,644		163,271
				349,523
Retail-Restaurants — 1.0%
BJ's Restaurants, Inc.		2,057		60,558
Bloomin' Brands, Inc.		30,555		466,575
Brinker International, Inc.		10,161		434,078
Cheesecake Factory, Inc.		15,067		417,959
Chuy's Holdings, Inc.†		1,818		35,596
Dave & Buster's Entertainment, Inc.		4,381		66,416
Dine Brands Global, Inc.		1,516		82,758
El Pollo Loco Holdings, Inc.†		1,725		27,945
Fiesta Restaurant Group, Inc.†		1,606		15,048
Red Robin Gourmet Burgers, Inc.†		1,435		18,885
Ruth's Hospitality Group, Inc.		2,941		32,527
Shake Shack, Inc., Class A†		3,283		211,688
				1,870,033
Retail-Sporting Goods — 0.4%
Hibbett Sports, Inc.†		11,727		459,933
Zumiez, Inc.†		12,325		342,881
				802,814
Rubber-Tires — 0.1%
Cooper Tire & Rubber Co.		6,845		216,987
Rubber/Plastic Products — 0.4%
Myers Industries, Inc.		8,005		105,906
Proto Labs, Inc.†		2,466		319,347
Raven Industries, Inc.		3,309		71,210
Trinseo SA		8,383		214,940
				711,403

227

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Satellite Telecom — 0.3%
Gogo, Inc.†		36,800	$	340,032
Iridium Communications, Inc.†		10,767		275,420
KVH Industries, Inc.†		2,700		24,327
				639,779
Savings & Loans/Thrifts — 1.1%
Axos Financial, Inc.†		4,780		111,422
Banc of California, Inc.		4,088		41,370
BankFinancial Corp.		3,500		25,270
Berkshire Hills Bancorp, Inc.		4,651		47,022
Brookline Bancorp, Inc.		16,786		145,115
Capitol Federal Financial, Inc.		800		7,412
Dime Community Bancshares, Inc.		2,625		29,689
Flushing Financial Corp.		3,200		33,664
Investors Bancorp, Inc.		10,400		75,504
Meridian Bancorp, Inc.		22,800		235,980
Northfield Bancorp, Inc.		25,914		236,336
Northwest Bancshares, Inc.		11,800		108,560
OceanFirst Financial Corp.		25,526		349,451
Pacific Premier Bancorp, Inc.		8,711		175,439
People's United Financial, Inc.		5,206		53,674
Provident Financial Services, Inc.		6,755		82,411
Washington Federal, Inc.		19,700		410,942
				2,169,261
Schools — 0.3%
American Public Education, Inc.†		8,566		241,475
K12, Inc.†		7,000		184,380
Perdoceo Education Corp.†		6,383		78,128
				503,983
Seismic Data Collection — 0.0%
Geospace Technologies Corp.†		1,262		7,799
Semiconductor Components-Integrated Circuits — 0.3%
Cirrus Logic, Inc.†		2,100		141,645
MaxLinear, Inc.†		6,143		142,763
Power Integrations, Inc.		5,519		305,753
				590,161
Semiconductor Equipment — 1.1%
Axcelis Technologies, Inc.†		3,090		67,980
Brooks Automation, Inc.		6,810		315,030
Cohu, Inc.		11,465		196,969
Entegris, Inc.		12,814		952,593
FormFactor, Inc.†		7,115		177,377
Kulicke & Soffa Industries, Inc.		5,709		127,882
Onto Innovation, Inc.†		4,507		134,218
Ultra Clean Holdings, Inc.†		3,684		79,059
Veeco Instruments, Inc.†		16,181		188,832
				2,239,940
Steel Pipe & Tube — 0.5%
TimkenSteel Corp.†		3,493		12,400
Valmont Industries, Inc.		7,734		960,408
				972,808

Security Description	Shares		Value (Note 2)
Steel-Producers — 0.1%
Carpenter Technology Corp.		4,427	$	80,394
Commercial Metals Co.		9,200		183,816
				264,210
Steel-Specialty — 0.1%
Allegheny Technologies, Inc. †		11,691		101,946
Telecom Equipment-Fiber Optics — 0.2%
Ciena Corp.†		11,290		448,100
Telecom Services — 0.3%
ATN International, Inc.		1,017		50,992
Consolidated Communications Holdings, Inc.†		61,855		351,955
Spok Holdings, Inc.		1,616		15,368
Vonage Holdings Corp.†		21,311		218,012
				636,327
Telecommunication Equipment — 0.8%
ADTRAN, Inc.		29,028		297,682
Harmonic, Inc.†		8,995		50,192
PC-Tel, Inc.		5,500		31,130
Plantronics, Inc.		34,278		405,852
Viavi Solutions, Inc.†		65,121		763,869
				1,548,725
Telephone-Integrated — 0.1%
Cincinnati Bell, Inc.†		4,679		70,185
Shenandoah Telecommunications Co.		4,603		204,534
				274,719
Television — 0.3%
AMC Networks, Inc., Class A†		11,300		279,223
Central European Media Enterprises, Ltd., Class A†		32,900		137,851
Sinclair Broadcast Group, Inc., Class A		8,000		153,840
				570,914
Textile-Apparel — 0.0%
Unifi, Inc.†		1,380		17,719
Theaters — 0.2%
Cinemark Holdings, Inc.		32,200		322,000
Therapeutics — 0.3%
Anika Therapeutics, Inc.†		1,312		46,432
Flexion Therapeutics, Inc.†		34,211		356,137
La Jolla Pharmaceutical Co.†		4,500		18,135
Sarepta Therapeutics, Inc.†		1,350		189,580
				610,284
Tobacco — 0.1%
Universal Corp.		2,261		94,691
Vector Group, Ltd.		11,747		113,828
				208,519
Traffic Management Sys — 0.0%
Arlo Technologies, Inc.†		7,214		37,946
Transactional Software — 0.1%
Synchronoss Technologies, Inc.†		82,100		247,121

228

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Transport-Air Freight — 0.1%
Atlas Air Worldwide Holdings, Inc.†		2,413	$	146,952
Transport-Equipment & Leasing — 0.0%
Greenbrier Cos., Inc.		3,019		88,759
Transport-Marine — 0.1%
Diamond S Shipping, Inc.†		4,000		27,480
Dorian LPG, Ltd.†		3,386		27,122
SEACOR Holdings, Inc.†		1,765		51,326
				105,928
Transport-Services — 0.5%
Bristow Group, Inc.†		2,181		46,346
Echo Global Logistics, Inc.†		10,457		269,477
Forward Air Corp.		2,583		148,213
Hub Group, Inc., Class A†		6,094		305,888
Matson, Inc.		3,977		159,438
				929,362
Transport-Truck — 0.5%
ArcBest Corp.		16,549		514,012
Heartland Express, Inc.		4,583		85,244
Marten Transport, Ltd.		5,419		88,438
Saia, Inc.†		2,414		304,502
Schneider National, Inc., Class B		2,200		54,406
				1,046,602
Veterinary Diagnostics — 0.2%
Heska Corp.†		820		81,008
Neogen Corp.†		4,896		383,112
				464,120
Vitamins & Nutrition Products — 0.2%
Herbalife Nutrition, Ltd.†		3,100		144,615
USANA Health Sciences, Inc.†		2,381		175,361
				319,976
Water — 0.6%
American States Water Co.		7,905		592,480
Arch Resources, Inc., Class A		1,550		65,844
California Water Service Group		4,561		198,175
SJW Group		6,288		382,688
				1,239,187
Web Hosting/Design — 0.1%
NIC, Inc.		9,788		192,824
Wire & Cable Products — 0.1%
Encore Wire Corp.		1,905		88,430
Insteel Industries, Inc.		1,778		33,249
				121,679
Wireless Equipment — 0.4%
CalAmp Corp.†		3,173		22,814
Maxar Technologies, Inc.		33,143		826,586
				849,400
X-Ray Equipment — 0.1%
Varex Imaging Corp.†		19,206		244,300
Total Common Stocks (cost $187,770,582)				190,610,126

Security Description	Shares/ Principal Amount			Value (Note 2)
EXCHANGE-TRADED FUNDS — 0.7%
iShares Core S&P Small-Cap ETF (cost $1,460,093)		20,111		$	1,412,395
Total Long-Term Investment Securities (cost $189,230,675)					192,022,521
SHORT-TERM INVESTMENT SECURITIES — 1.8%
Registered Investment Companies — 1.7%
State Street Institutional Liquid Reserves Fund, Premier Class 0.11%(2)		3,297,334			3,297,994
U.S. Government Treasuries — 0.1%
United States Treasury Bills 0.16% due 05/20/2021(3)	$	100,000			99,934
Total Short-Term Investment Securities (cost $3,398,225)					3,397,928
REPURCHASE AGREEMENTS — 0.1%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00%, dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $205,000 and collateralized by $175,800 of United States Treasury Notes, bearing interest at 2.88% due 05/15/2028 and having an approximate value of $209,195. (cost $205,000)		205,000			205,000
TOTAL INVESTMENTS (cost $192,833,900)(4)		99.8	%		195,625,449
Other assets less liabilities		0.2			453,857
NET ASSETS		100.0	%	$	196,079,306

†  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, 2020.

(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

CVR — Contingent Value Rights

ETF — Exchange Traded Fund

229

Seasons Series Trust SA Multi-Managed Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	19	Long	E-Mini Russell 2000 Index	December 2020	$	1,449,067	$	1,429,180	$	(19,887	)

*  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, 2020 (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:
Medical-Biomedical/Gene	$	4,915,590	$	—	$	10,208	$	4,925,798
Other Industries		185,684,328		—		—		185,684,328
Exchange-Traded Funds		1,412,395		—		—		1,412,395
Short-Term Investment Securities:
Registered Investment Companies		3,297,994		—		—		3,297,994
U.S. Government Treasuries		—		99,934		—		99,934
Repurchase Agreements		—		205,000		—		205,000
Total Investments at Value	$	195,310,307	$	304,934	$	10,208	$	195,625,449
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	19,887	$	—	$	—	$	19,887

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

230

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Medical-Drugs	9.9	%
Banks-Commercial	5.1
Food-Misc./Diversified	3.1
Cosmetics & Toiletries	3.1
Auto-Cars/Light Trucks	2.7
Insurance-Life/Health	2.6
Diversified Banking Institutions	2.4
Industrial Automated/Robotic	2.2
Enterprise Software/Service	2.1
Oil Companies-Integrated	2.1
Electronic Components-Semiconductors	1.9
Medical Products	1.8
Telephone-Integrated	1.8
Insurance-Multi-line	1.8
Semiconductor Equipment	1.7
Repurchase Agreements	1.6
Diversified Manufacturing Operations	1.6
Semiconductor Components-Integrated Circuits	1.5
Retail-Apparel/Shoe	1.4
Chemicals-Diversified	1.2
Electronic Components-Misc.	1.2
Audio/Video Products	1.2
E-Commerce/Products	1.0
Electric-Integrated	1.0
Beverages-Wine/Spirits	1.0
Food-Retail	1.0
Diversified Minerals	0.9
Apparel Manufacturers	0.9
Insurance-Property/Casualty	0.8
Electric-Distribution	0.8
Power Converter/Supply Equipment	0.8
Machinery-Electrical	0.8
Medical-Biomedical/Gene	0.8
Chemicals-Specialty	0.7
Auto/Truck Parts & Equipment-Original	0.7
Transport-Rail	0.7
Retail-Jewelry	0.7
Internet Content-Information/News	0.7
Miscellaneous Manufacturing	0.7
Food-Dairy Products	0.7
Energy-Alternate Sources	0.7
Medical Instruments	0.7
Computer Services	0.7
Real Estate Management/Services	0.7
Machinery-General Industrial	0.7
Rubber-Tires	0.7
Human Resources	0.6
Electric-Generation	0.6
Finance-Other Services	0.6
Insurance-Reinsurance	0.6
Import/Export	0.6
Dialysis Centers	0.6
Wire & Cable Products	0.6
Distribution/Wholesale	0.6
Building & Construction Products-Misc.	0.6
Cellular Telecom	0.6
E-Commerce/Services	0.5
Medical Labs & Testing Services	0.5
Commercial Services	0.5
Building-Residential/Commercial	0.5

Toys	0.5	%
Metal-Copper	0.5
Food-Confectionery	0.5
Metal-Diversified	0.5
Retail-Building Products	0.5
Real Estate Investment Trusts	0.4
Real Estate Operations & Development	0.4
Coatings/Paint	0.4
Entertainment Software	0.4
Aerospace/Defense-Equipment	0.4
Web Portals/ISP	0.4
Athletic Footwear	0.4
Building Products-Air & Heating	0.4
Exchange-Traded Funds	0.4
Industrial Gases	0.4
Networking Products	0.4
Rental Auto/Equipment	0.4
Instruments-Controls	0.4
Machine Tools & Related Products	0.4
Brewery	0.4
Metal Products-Distribution	0.4
Paper & Related Products	0.3
Wireless Equipment	0.3
Investment Companies	0.3
Tobacco	0.3
Textile-Apparel	0.3
Hotels/Motels	0.3
U.S. Government Treasuries	0.3
Electronic Security Devices	0.3
Machinery-Material Handling	0.3
Optical Supplies	0.3
Computer Data Security	0.3
Oil Refining & Marketing	0.3
Soap & Cleaning Preparation	0.3
Diversified Operations	0.3
Investment Management/Advisor Services	0.2
Transport-Services	0.2
E-Marketing/Info	0.2
Food-Catering	0.2
Food-Flour & Grain	0.2
Electric Products-Misc.	0.2
Building-Heavy Construction	0.2
Commercial Services-Finance	0.2
Advertising Agencies	0.2
Internet Content-Entertainment	0.2
Building Products-Cement	0.2
Finance-Leasing Companies	0.2
Machinery-Construction & Mining	0.2
Office Automation & Equipment	0.2
Gas-Distribution	0.1
Advertising Services	0.1
Consulting Services	0.1
Retail-Drug Store	0.1
Containers-Paper/Plastic	0.1
Non-Ferrous Metals	0.1
Finance-Mortgage Loan/Banker	0.1
Registered Investment Companies	0.1
Metal-Aluminum	0.1
Photo Equipment & Supplies	0.1
Gambling (Non-Hotel)	0.1

231

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited) (continued)

Industry Allocation* (continued)
Multimedia	0.1	%
Aerospace/Defense	0.1
Public Thoroughfares	0.1
Auto-Heavy Duty Trucks	0.1
Gold Mining	0.1
Machinery-Farming	0.1
Resorts/Theme Parks	0.1
Security Services	0.1
Retail-Discount	0.1
Computer Aided Design	0.1
Publishing-Periodicals	0.1
Metal-Iron	0.1
Diagnostic Equipment	0.1
Telecommunication Equipment	0.1
Respiratory Products	0.1
	99.4	%
Country Allocation*
Japan	21.8	%
United Kingdom	12.7
Switzerland	11.3
Germany	11.0
France	7.7
Netherlands	4.7
Australia	3.4
United States	3.3
Hong Kong	2.3
Cayman Islands	2.2
Sweden	2.0
Italy	1.9
Spain	1.8
Denmark	1.8
Norway	1.5
South Korea	1.4
Canada	1.4
Taiwan	1.2
Belgium	1.1
Singapore	0.9
Finland	0.9
Jersey	0.5
Ireland	0.4
Israel	0.4
New Zealand	0.4
Austria	0.4
India	0.3
China	0.3
Indonesia	0.2
Luxembourg	0.1
Bermuda	0.1
	99.4	%

*  Calculated as a percentage of net assets

232

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.0%
Australia — 3.4%
Afterpay, Ltd.†		1,670	$	97,602
AGL Energy, Ltd.		4,893		47,819
AMP, Ltd.		26,838		25,258
Ampol, Ltd.		1,950		33,539
APA Group		9,214		68,321
Aristocrat Leisure, Ltd.		4,488		96,786
ASX, Ltd.		1,512		88,562
Aurizon Holdings, Ltd.		14,968		45,674
AusNet Services		14,552		19,698
Australia & New Zealand Banking Group, Ltd.		59,467		736,218
BGP Holdings PLC†(1)		98,723		0
BHP Group, Ltd.		36,292		933,895
BlueScope Steel, Ltd.		3,925		35,831
Brambles, Ltd.		11,853		89,230
Challenger, Ltd.		65,734		180,984
CIMIC Group, Ltd.†		747		9,952
Coca-Cola Amatil, Ltd.		3,958		26,988
Cochlear, Ltd.		513		72,916
Coles Group, Ltd.		10,417		127,047
Commonwealth Bank of Australia		13,825		631,864
Computershare, Ltd.		3,802		33,381
Crown Resorts, Ltd.		2,909		18,372
CSL, Ltd.		9,331		1,922,576
Dexus		8,522		54,386
Evolution Mining, Ltd.		12,645		52,497
Fortescue Metals Group, Ltd.		13,225		154,810
Goodman Group		12,851		165,393
GPT Group		15,212		42,631
IGO, Ltd.		146,136		440,179
Insurance Australia Group, Ltd.		18,048		56,799
LendLease Group		5,165		40,910
Macquarie Group, Ltd.		20,213		1,736,243
Magellan Financial Group, Ltd.		996		40,594
Medibank Private, Ltd.		21,507		38,742
Mirvac Group		30,722		48,116
National Australia Bank, Ltd.		24,961		318,485
Newcrest Mining, Ltd.		6,312		142,267
Northern Star Resources, Ltd.		5,779		56,825
Orica, Ltd.		3,168		35,104
Origin Energy, Ltd.		13,754		42,530
Qantas Airways, Ltd.†		7,131		20,777
QBE Insurance Group, Ltd.		11,474		71,011
Ramsay Health Care, Ltd.		1,430		67,835
REA Group, Ltd.		411		32,475
Rio Tinto, Ltd.		7,246		490,581
Santos, Ltd.		13,828		48,527
Scentre Group		246,716		390,379
SEEK, Ltd.		2,613		39,972
Sonic Healthcare, Ltd.		3,525		83,861
South32, Ltd.		239,482		351,151
Stockland		18,620		50,579
Suncorp Group, Ltd.		9,847		59,818
Sydney Airport		10,327		43,473
Tabcorp Holdings, Ltd.		18,754		45,007
Telstra Corp., Ltd.		32,508		64,849

Security Description	Shares		Value (Note 2)
Australia (continued)
TPG Telecom, Ltd.†		2,898	$	15,365
Transurban Group		21,360		216,472
Treasury Wine Estates, Ltd.		5,629		36,118
Vicinity Centres		30,068		29,712
Washington H. Soul Pattinson & Co., Ltd.		841		14,194
Wesfarmers, Ltd.		8,855		282,329
Westpac Banking Corp.		28,205		340,323
WiseTech Global, Ltd.		1,138		21,396
Woodside Petroleum, Ltd.		7,453		94,138
Woolworths Group, Ltd.		9,864		257,882
Worley, Ltd.		67,739		465,421
				12,442,669
Austria — 0.4%
ANDRITZ AG		569		17,529
Erste Group Bank AG†		55,473		1,160,123
OMV AG		1,150		31,415
Raiffeisen Bank International AG†		1,156		17,672
Verbund AG		532		29,045
voestalpine AG		906		23,819
				1,279,603
Belgium — 1.1%
Ageas SA/NV		1,367		55,787
Anheuser-Busch InBev SA NV		5,950		321,167
Colruyt SA		432		28,032
Elia Group SA/NV		241		24,062
Galapagos NV†		331		47,014
Groupe Bruxelles Lambert SA		882		79,496
KBC Group NV		1,951		97,692
Proximus SADP		1,188		21,686
Sofina SA		120		32,739
Solvay SA		579		49,791
Telenet Group Holding NV		355		13,761
UCB SA		11,229		1,275,177
Umicore SA		43,128		1,795,776
				3,842,180
Bermuda — 0.1%
CK Infrastructure Holdings, Ltd.		5,000		23,399
Dairy Farm International Holdings, Ltd.		2,674		10,122
Hongkong Land Holdings, Ltd.		9,100		33,890
Jardine Matheson Holdings, Ltd.		1,703		67,592
Jardine Strategic Holdings, Ltd.		1,762		34,908
Kerry Properties, Ltd.		5,000		12,776
Pacific Century Premium Developments, Ltd.†		3,564		938
				183,625
Canada — 1.4%
Canadian National Railway Co.		12,007		1,278,745
Element Fleet Management Corp.		96,923		806,509
Magna International, Inc.		18,888		864,126
National Bank of Canada		19,778		982,401
Sun Life Financial, Inc.		26,012		1,059,976
				4,991,757

233

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Cayman Islands — 2.2%
Alibaba Group Holding, Ltd. ADR†		8,832	$	2,596,431
ASM Pacific Technology, Ltd.		2,400		24,531
Baidu, Inc. ADR†		1,751		221,659
BeiGene, Ltd. ADR†		315		90,229
Budweiser Brewing Co. APAC, Ltd.*		13,400		39,144
China Mengniu Dairy Co., Ltd.		195,000		920,295
CK Asset Holdings, Ltd.		20,360		99,338
CK Hutchison Holdings, Ltd.		85,024		515,491
JOYY, Inc. ADR		6,655		536,859
Kingdee International Software Group Co., Ltd.		155,000		402,815
Melco Resorts & Entertainment, Ltd. ADR		1,676		27,905
Microport Scientific Corp.		6,000		23,990
Sands China, Ltd.		18,800		73,156
Sea, Ltd. ADR†		3,006		463,044
Tencent Holdings, Ltd.		27,700		1,844,637
WH Group, Ltd.*		75,000		61,045
Wharf Real Estate Investment Co., Ltd.		13,000		53,217
Wynn Macau, Ltd.†		12,000		19,209
XP, Inc., Class A†		3,170		132,157
				8,145,152
China — 0.3%
PICC Property & Casualty Co., Ltd.		656,000		459,012
Ping An Insurance Group Co. of China, Ltd.		47,500		490,021
				949,033
Denmark — 1.8%
Ambu A/S, Class B		1,276		36,127
AP Moller — Maersk A/S, Series A		25		36,517
AP Moller — Maersk A/S, Series B		51		80,856
Ascendis Pharma A/S ADR†		1,700		262,344
Carlsberg A/S, Class B		804		108,259
Chr. Hansen Holding A/S		824		91,580
Coloplast A/S, Class B		928		146,761
Danske Bank A/S†		5,387		72,970
Demant A/S†		846		26,613
DSV PANALPINA A/S		1,617		263,877
Genmab A/S†		510		185,187
GN Store Nord A/S		1,000		75,665
H. Lundbeck A/S		544		17,932
Novo Nordisk A/S, Class B		18,623		1,293,587
Novozymes A/S, Class B		1,625		102,211
Orsted A/S*		1,477		203,730
Pandora A/S		16,277		1,171,275
Tryg A/S		944		29,753
Vestas Wind Systems A/S		14,681		2,375,481
				6,580,725
Finland — 0.9%
Elisa Oyj		1,111		65,485
Fortum Oyj		3,469		70,212
Kone Oyj, Class B		2,654		233,319
Neste Oyj		3,304		173,737

Security Description	Shares		Value (Note 2)
Finland (continued)
Nokia Oyj†		44,154	$	173,066
Nordea Bank Abp†		25,302		192,735
Orion Oyj, Class B		822		37,200
Sampo Oyj, Class A		27,072		1,071,018
Stora Enso Oyj, Class R		64,063		1,003,907
UPM-Kymmene Oyj		4,168		126,857
Wartsila Oyj Abp		3,466		27,273
				3,174,809
France — 7.7%
Accor SA†		1,480		41,395
Aeroports de Paris		232		23,101
Air Liquide SA		9,382		1,488,767
Alstom SA†		18,734		932,720
Amundi SA†*		11,769		829,706
Arkema SA		539		57,182
Atos SE†		767		61,785
AXA SA		85,258		1,573,891
BioMerieux		324		50,719
BNP Paribas SA†		29,084		1,053,598
Bollore SA		6,891		25,721
Bouygues SA		1,780		61,710
Bureau Veritas SA†		2,294		51,526
Capgemini SE		1,257		160,991
Carrefour SA		4,728		75,677
Cie de Saint-Gobain†		4,041		169,665
Cie Generale des Etablissements Michelin SCA		8,650		925,591
CNP Assurances†		1,341		16,759
Covivio		406		28,658
Credit Agricole SA†		9,011		78,763
Danone SA		22,626		1,463,475
Dassault Aviation SA†		20		16,976
Dassault Systemes SE		1,032		192,504
Edenred		1,899		85,199
Eiffage SA†		661		53,874
Electricite de France SA		4,848		51,288
Engie SA†		95,667		1,278,635
EssilorLuxottica SA†		6,967		947,411
Eurazeo SE†		307		16,615
Faurecia SE†		593		25,608
Gecina SA		358		47,363
Getlink SE†		3,436		46,587
Hermes International		247		212,910
ICADE		233		13,079
Iliad SA		116		21,340
Ingenico Group SA†		473		73,190
Ipsen SA		4,739		497,178
JCDecaux SA†		665	��	11,523
Kering SA		1,577		1,047,735
Klepierre SA		1,536		21,549
L'Oreal SA		5,851		1,903,928
La Francaise des Jeux SAEM*		671		24,644
Legrand SA		8,860		707,326
LVMH Moet Hennessy Louis Vuitton SE		2,169		1,013,998
Natixis SA†		7,394		16,618

234

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
France (continued)
Orange SA		15,580	$	162,118
Orpea†		404		45,885
Pernod Ricard SA		1,658		264,600
Peugeot SA†		4,593		82,813
Publicis Groupe SA		1,692		54,832
Remy Cointreau SA		176		32,126
Renault SA†		1,501		38,744
Safran SA†		8,428		829,347
Sanofi		25,990		2,605,992
Sartorius Stedim Biotech		216		74,393
Schneider Electric SE		22,016		2,732,516
SCOR SE†		1,238		34,301
SEB SA		177		28,791
Societe Generale SA†		6,331		83,776
Sodexo SA		691		49,208
Suez SA		2,699		49,965
Teleperformance		2,246		691,685
Thales SA		832		62,299
TOTAL SE		49,878		1,712,463
Ubisoft Entertainment SA†		710		64,162
Valeo SA		1,788		54,647
Veolia Environnement SA		4,209		90,771
Vinci SA		4,024		335,645
Vivendi SA		6,481		180,640
Wendel SE		209		18,959
Worldline SA†*		1,070		87,737
				27,966,893
Germany — 11.0%
adidas AG†		4,800		1,553,583
Allianz SE		11,311		2,169,660
BASF SE		17,827		1,085,561
Bayer AG		27,335		1,708,456
Bayerische Motoren Werke AG		24,525		1,780,763
Bayerische Motoren Werke AG (Preference Shares)		444		24,328
Beiersdorf AG		10,503		1,194,380
Brenntag AG		1,207		76,802
Carl Zeiss Meditec AG		314		39,741
Commerzbank AG†		7,824		38,454
Continental AG		6,298		682,736
Covestro AG*		10,733		532,912
Daimler AG		6,684		360,404
Delivery Hero SE†*		1,009		116,065
Deutsche Bank AG†		15,333		129,277
Deutsche Boerse AG		1,484		260,619
Deutsche Lufthansa AG†		2,334		20,118
Deutsche Post AG		7,725		352,269
Deutsche Telekom AG		26,029		436,044
Deutsche Wohnen SE		34,497		1,726,115
E.ON SE		17,533		193,716
Evonik Industries AG		1,638		42,436
Evotec SE†		10,840		286,817
Fraport AG Frankfurt Airport Services Worldwide†		325		12,870

Security Description	Shares		Value (Note 2)
Germany (continued)
Fresenius Medical Care AG & Co. KGaA		1,664	$	140,505
Fresenius SE & Co. KGaA		42,454		1,932,488
Fuchs Petrolub SE (Preference Shares)		543		27,614
GEA Group AG		31,030		1,093,805
Hannover Rueck SE		471		73,014
HeidelbergCement AG		1,162		71,279
Henkel AG & Co. KGaA		812		76,058
Henkel AG & Co. KGaA (Preference Shares)		1,391		145,653
HOCHTIEF AG		193		15,025
Infineon Technologies AG		66,487		1,880,701
KION Group AG		10,403		893,421
Knorr-Bremse AG		13,346		1,576,506
LANXESS AG		649		37,247
LEG Immobilien AG		539		76,943
Merck KGaA		1,009		147,337
METRO AG		1,406		14,043
MTU Aero Engines AG		415		69,022
Muenchener Rueckversicherungs- Gesellschaft AG		7,253		1,841,532
Nemetschek SE		451		33,032
Porsche Automobil Holding SE (Preference Shares)		1,196		71,407
Puma SE†		648		58,386
RWE AG		5,017		188,094
SAP SE		38,109		5,934,463
Sartorius AG (Preference Shares)		278		114,201
Scout24 AG*		840		73,318
Siemens AG		35,570		4,497,673
Siemens Energy AG†		17,784		479,570
Siemens Healthineers AG*		17,354		779,259
Stroeer SE & Co. KGaA†		5,954		463,345
Symrise AG		1,005		139,034
TeamViewer AG†*		1,015		50,121
Telefonica Deutschland Holding AG		8,130		20,853
thyssenkrupp AG†		3,160		15,971
Uniper SE		1,572		50,791
United Internet AG		833		31,875
Volkswagen AG		254		44,402
Volkswagen AG (Preference Shares)		1,449		233,200
Vonovia SE		4,023		276,455
Zalando SE†*		11,918		1,115,545
				39,607,314
Hong Kong — 2.3%
AIA Group, Ltd.		420,200		4,139,465
Bank of East Asia, Ltd.		10,200		18,805
Beijing Enterprises Holdings, Ltd.		76,500		230,420
BOC Hong Kong Holdings, Ltd.		29,000		76,930
CLP Holdings, Ltd.		13,000		121,177
Galaxy Entertainment Group, Ltd.		17,000		115,062
Hang Lung Properties, Ltd.		16,000		40,800
Hang Seng Bank, Ltd.		6,000		89,064

235

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hong Kong (continued)
Henderson Land Development Co., Ltd.		11,062	$	40,809
Hong Kong & China Gas Co., Ltd.		83,651		120,211
Hong Kong Exchanges & Clearing, Ltd.		29,263		1,375,489
Link REIT		16,000		130,790
MTR Corp., Ltd.		12,000		59,553
New World Development Co., Ltd.		12,000		58,419
PCCW, Ltd.		33,000		19,723
Power Assets Holdings, Ltd.		11,000		57,854
Sino Land Co., Ltd.		24,000		27,931
SJM Holdings, Ltd.		16,000		18,896
Sun Hung Kai Properties, Ltd.		10,000		128,199
Swire Pacific, Ltd., Class A		4,000		19,396
Swire Properties, Ltd.		9,200		24,309
Techtronic Industries Co., Ltd.		101,000		1,328,115
				8,241,417
India — 0.3%
HDFC Bank, Ltd. ADR†		12,112		605,116
Housing Development Finance Corp., Ltd.		17,981		425,023
				1,030,139
Indonesia — 0.2%
Bank Central Asia Tbk PT		342,400		624,871
Ireland — 0.4%
CRH PLC		6,129		221,325
DCC PLC		7,989		615,672
Flutter Entertainment PLC		1,205		190,938
James Hardie Industries PLC CDI		3,461		82,436
Kerry Group PLC, Class A		1,242		159,439
Kingspan Group PLC†		1,202		109,326
Smurfit Kappa Group PLC		1,770		69,454
				1,448,590
Isle of Man — 0.0%
GVC Holdings PLC†		4,551		57,282
Israel — 0.4%
Azrieli Group, Ltd.		331		14,748
Bank Hapoalim BM		8,868		47,346
Bank Leumi Le-Israel BM		11,346		49,916
Check Point Software Technologies, Ltd.†		7,571		911,094
CyberArk Software, Ltd.†		302		31,233
Elbit Systems, Ltd.		207		25,141
ICL Group, Ltd.		5,500		19,416
Israel Discount Bank, Ltd., Class A		9,090		24,501
Mizrahi Tefahot Bank, Ltd.		1,101		19,510
NICE, Ltd.†		487		110,349
Teva Pharmaceutical Industries, Ltd. ADR†		8,555		77,080
Wix.com, Ltd.†		402		102,450
				1,432,784

Security Description	Shares		Value (Note 2)
Italy — 1.9%
Assicurazioni Generali SpA		8,616	$	121,343
Atlantia SpA†		3,869		60,672
DiaSorin SpA		197		39,708
Enel SpA		63,517		551,528
Eni SpA		19,867		155,416
FinecoBank Banca Fineco SpA†		63,527		874,116
Infrastrutture Wireless Italiane SpA*		1,874		20,780
Intesa Sanpaolo SpA†		799,283		1,500,836
Leonardo SpA		3,161		18,483
Mediobanca Banca di Credito Finanziario SpA		4,850		38,033
Moncler SpA†		19,429		795,779
Nexi SpA†*		2,942		58,996
Pirelli & C SpA†*		3,124		13,381
Poste Italiane SpA*		4,080		36,142
Prysmian SpA		67,753		1,970,069
Recordati SpA		817		41,799
Snam SpA		15,907		81,790
Telecom Italia SpA		65,300		26,130
Telecom Italia SpA (RSP)		685,922		277,860
Terna Rete Elettrica Nazionale SpA		10,988		76,984
UniCredit SpA†		16,598		136,879
				6,896,724
Japan — 21.8%
ABC-Mart, Inc.		300		15,616
Acom Co., Ltd.		3,100		13,431
Advantest Corp.		1,600		77,713
Aeon Co., Ltd.		5,100		137,096
Aeon Mall Co., Ltd.		800		11,246
AGC, Inc.		1,500		43,930
Air Water, Inc.		1,400		18,939
Aisin Seiki Co., Ltd.		1,300		41,565
Ajinomoto Co., Inc.		3,600		74,007
Alfresa Holdings Corp.		1,500		32,814
Amada Co., Ltd.		2,500		23,431
ANA Holdings, Inc.†		900		20,852
Aozora Bank, Ltd.		900		14,956
Asahi Group Holdings, Ltd.		3,000		104,489
Asahi Intecc Co., Ltd.		1,500		47,118
Asahi Kasei Corp.		84,500		737,633
Astellas Pharma, Inc.		129,500		1,927,807
Bandai Namco Holdings, Inc.		1,600		116,879
Bank of Kyoto, Ltd.		400		19,324
Benesse Holdings, Inc.		600		15,406
Bridgestone Corp.		4,200		132,664
Brother Industries, Ltd.		1,700		27,001
Calbee, Inc.		700		23,077
Canon, Inc.		7,800		129,463
Casio Computer Co., Ltd.		1,500		24,219
Central Japan Railway Co.		4,800		688,641
Chiba Bank, Ltd.		4,100		22,626
Chubu Electric Power Co., Inc.		5,000		60,816
Chugai Pharmaceutical Co., Ltd.		5,200		233,345
Chugoku Electric Power Co., Inc.		2,300		28,796
Coca-Cola Bottlers Japan Holdings, Inc.		938		15,701

236

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Concordia Financial Group, Ltd.		8,000	$	27,887
Cosmos Pharmaceutical Corp.		156		27,136
CyberAgent, Inc.		13,151		813,317
Dai Nippon Printing Co., Ltd.		1,900		38,485
Dai-ichi Life Holdings, Inc.		8,400		118,552
Daicel Corp.		1,900		13,693
Daifuku Co., Ltd.		748		75,286
Daiichi Sankyo Co., Ltd.		13,200		405,616
Daikin Industries, Ltd.		8,000		1,475,125
Daito Trust Construction Co., Ltd.		500		44,331
Daiwa House Industry Co., Ltd.		4,400		113,051
Daiwa House REIT Investment Corp.		15		38,411
Daiwa Securities Group, Inc.		11,300		47,428
Denso Corp.		12,500		547,532
Dentsu Group, Inc.		1,700		50,230
Disco Corp.		200		48,665
East Japan Railway Co.		2,400		147,883
Eisai Co., Ltd.		2,000		182,502
Electric Power Development Co., Ltd.		25,200		388,877
ENEOS Holdings, Inc.		23,950		85,524
FamilyMart Co., Ltd.		1,400		31,661
FANUC Corp.		1,500		287,756
Fast Retailing Co., Ltd.		500		313,730
Fuji Electric Co., Ltd.		1,000		31,595
FUJIFILM Holdings Corp.		2,800		137,972
Fujitsu, Ltd.		1,500		205,396
Fukuoka Financial Group, Inc.		1,300		21,887
GLP J-REIT		28		43,224
GMO Payment Gateway, Inc.		300		32,263
Hakuhodo DY Holdings, Inc.		1,800		23,261
Hamamatsu Photonics KK		13,700		690,309
Hankyu Hanshin Holdings, Inc.		1,800		57,905
Hikari Tsushin, Inc.		200		47,660
Hino Motors, Ltd.		2,200		14,258
Hirose Electric Co., Ltd.		225		28,969
Hisamitsu Pharmaceutical Co., Inc.		400		20,421
Hitachi Construction Machinery Co., Ltd.		800		28,971
Hitachi Metals, Ltd.		1,700		26,133
Hitachi, Ltd.		7,600		256,802
Honda Motor Co., Ltd.		24,200		570,975
Hoshizaki Corp.		400		31,900
Hoya Corp.		2,900		326,887
Hulic Co., Ltd.		2,400		22,511
Idemitsu Kosan Co., Ltd.		1,479		31,511
Iida Group Holdings Co., Ltd.		1,200		24,262
Inpex Corp.		8,000		42,798
Isetan Mitsukoshi Holdings, Ltd.		2,600		13,791
Isuzu Motors, Ltd.		4,300		37,671
Ito En, Ltd.		419		29,893
ITOCHU Corp.		10,500		268,493
Itochu Techno-Solutions Corp.		800		30,446
Japan Airlines Co., Ltd.†		900		16,895
Japan Airport Terminal Co., Ltd.		400		17,648
Japan Exchange Group, Inc.		4,000		111,938

Security Description	Shares		Value (Note 2)
Japan (continued)
Japan Post Bank Co., Ltd.		3,200	$	24,993
Japan Post Holdings Co., Ltd.		12,300		83,898
Japan Post Insurance Co., Ltd.		1,800		28,322
Japan Prime Realty Investment Corp.		6		18,632
Japan Real Estate Investment Corp.		10		51,129
Japan Retail Fund Investment Corp.		20		30,971
Japan Tobacco, Inc.		9,400		171,652
JFE Holdings, Inc.†		3,800		26,577
JGC Holdings Corp.		1,700		17,658
JSR Corp.		1,600		37,950
JTEKT Corp.		1,600		12,539
Kajima Corp.		3,500		41,920
Kakaku.com, Inc.		1,100		29,081
Kamigumi Co., Ltd.		800		15,751
Kansai Electric Power Co., Inc.		5,500		53,315
Kansai Paint Co., Ltd.		1,400		34,773
Kao Corp.		3,800		285,153
Kawasaki Heavy Industries, Ltd.†		1,100		14,887
KDDI Corp.		49,400		1,249,620
Keihan Holdings Co., Ltd.		800		33,178
Keikyu Corp.		1,700		26,112
Keio Corp.		800		49,470
Keisei Electric Railway Co., Ltd.		1,000		28,270
Keyence Corp.		4,600		2,143,796
Kikkoman Corp.		1,100		61,043
Kintetsu Group Holdings Co., Ltd.		1,300		55,458
Kirin Holdings Co., Ltd.		26,000		488,332
Kobayashi Pharmaceutical Co., Ltd.		399		38,622
Kobe Bussan Co., Ltd.		482		26,502
Koito Manufacturing Co., Ltd.		800		40,784
Komatsu, Ltd.		6,800		149,699
Konami Holdings Corp.		700		30,342
Kose Corp.		240		29,345
Kubota Corp.		8,100		144,900
Kuraray Co., Ltd.		2,500		24,280
Kurita Water Industries, Ltd.		800		26,404
Kyocera Corp.		2,500		142,845
Kyowa Kirin Co., Ltd.		2,100		59,648
Kyushu Electric Power Co., Inc.		3,000		27,249
Kyushu Railway Co.		1,200		25,635
Lasertec Corp.†		590		48,795
Lawson, Inc.		400		19,056
LINE Corp.†		500		25,469
Lion Corp.		1,800		37,018
LIXIL Group Corp.		2,100		42,224
M3, Inc.		3,400		211,112
Makita Corp.		1,800		85,855
Marubeni Corp.		12,900		73,189
Marui Group Co., Ltd.		1,500		28,774
Maruichi Steel Tube, Ltd.		400		10,004
Mazda Motor Corp.		4,400		25,729
McDonald's Holdings Co. Japan, Ltd.		500		24,323
Mebuki Financial Group, Inc.		7,200		16,336
Medipal Holdings Corp.		1,400		28,033
MEIJI Holdings Co., Ltd.		900		68,763
Mercari, Inc.†		700		32,344

237

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Minebea Mitsumi, Inc.		2,800	$	52,829
MISUMI Group, Inc.		46,000		1,285,673
Mitsubishi Chemical Holdings Corp.		10,000		57,737
Mitsubishi Corp.		31,600		755,979
Mitsubishi Electric Corp.		100,200		1,352,779
Mitsubishi Estate Co., Ltd.		9,200		139,049
Mitsubishi Gas Chemical Co., Inc.		1,200		22,263
Mitsubishi Heavy Industries, Ltd.		2,500		55,528
Mitsubishi Materials Corp.†		900		17,769
Mitsubishi Motors Corp.		5,200		11,478
Mitsubishi UFJ Financial Group, Inc.		488,200		1,937,384
Mitsubishi UFJ Lease & Finance Co., Ltd.		68,800		318,207
Mitsui & Co., Ltd.		12,700		218,151
Mitsui Chemicals, Inc.		1,400		33,867
Mitsui Fudosan Co., Ltd.		54,700		952,751
Miura Co., Ltd.		686		33,543
Mizuho Financial Group, Inc.		18,840		235,341
MonotaRO Co., Ltd.		1,000		49,805
MS&AD Insurance Group Holdings, Inc.		3,500		94,798
Murata Manufacturing Co., Ltd.		39,400		2,542,162
Nabtesco Corp.		43,300		1,577,667
Nagoya Railroad Co., Ltd.		1,500		41,103
NEC Corp.		1,900		111,218
Nexon Co., Ltd.		45,000		1,117,567
NGK Insulators, Ltd.		2,000		28,536
NGK Spark Plug Co., Ltd.		1,200		20,935
NH Foods, Ltd.		600		26,776
Nidec Corp.		3,500		325,504
Nihon M&A Center, Inc.		1,170		66,738
Nikon Corp.		2,400		16,216
Nintendo Co., Ltd.		3,000		1,705,441
Nippon Building Fund, Inc.		10		56,771
Nippon Express Co., Ltd.		600		34,928
Nippon Paint Holdings Co., Ltd.		1,100		113,201
Nippon Prologis REIT, Inc.		16		54,025
Nippon Shinyaku Co., Ltd.		400		32,979
Nippon Steel Corp.†		6,300		59,504
Nippon Telegraph & Telephone Corp.		100,000		2,045,905
Nippon Yusen KK		1,200		20,803
Nissan Chemical Corp.		1,000		53,344
Nissan Motor Co., Ltd.†		18,100		64,330
Nisshin Seifun Group, Inc.		1,500		23,917
Nissin Foods Holdings Co., Ltd.		500		47,000
Nitori Holdings Co., Ltd.		600		124,794
Nitto Denko Corp.		1,200		78,233
Nomura Holdings, Inc.		24,600		112,219
Nomura Real Estate Holdings, Inc.		900		17,118
Nomura Real Estate Master Fund, Inc.		33		41,489
Nomura Research Institute, Ltd.		2,500		73,475
NSK, Ltd.		2,800		21,432
NTT Data Corp.		72,000		922,993
NTT DOCOMO, Inc.		8,800		326,344
Obayashi Corp.		5,100		46,222
OBIC Co., Ltd.		500		87,978

Security Description	Shares		Value (Note 2)
Japan (continued)
Odakyu Electric Railway Co., Ltd.		2,300	$	57,867
Oji Holdings Corp.		6,700		30,748
Olympus Corp.		9,100		188,891
Omron Corp.		8,600		669,883
Ono Pharmaceutical Co., Ltd.		2,900		91,043
Oracle Corp. Japan		300		32,525
Oriental Land Co., Ltd.		1,600		224,148
ORIX Corp.		10,300		128,229
Orix JREIT, Inc.		20		30,854
Osaka Gas Co., Ltd.		2,900		56,500
Otsuka Corp.		800		40,941
Otsuka Holdings Co., Ltd.		21,800		924,555
Pan Pacific International Holdings Corp.		3,200		74,544
Panasonic Corp.		75,300		637,854
Park24 Co., Ltd.		800		12,914
PeptiDream, Inc.†		700		32,891
Persol Holdings Co., Ltd.		1,401		22,787
Pigeon Corp.		900		40,210
Pola Orbis Holdings, Inc.		8,544		161,368
Rakuten, Inc.		6,700		72,377
Recruit Holdings Co., Ltd.		57,200		2,269,547
Renesas Electronics Corp.†		45,721		334,874
Resona Holdings, Inc.		16,300		55,551
Ricoh Co., Ltd.		5,200		35,055
Rinnai Corp.		300		29,309
Rohm Co., Ltd.		700		54,050
Ryohin Keikaku Co., Ltd.		1,900		31,560
Santen Pharmaceutical Co., Ltd.		84,300		1,728,565
SBI Holdings, Inc.		1,800		46,576
SCSK Corp.		408		22,827
Secom Co., Ltd.		1,600		146,198
Sega Sammy Holdings, Inc.		1,400		17,028
Seibu Holdings, Inc.		1,600		17,211
Seiko Epson Corp.		2,200		25,290
Sekisui Chemical Co., Ltd.		57,400		917,575
Sekisui House, Ltd.		4,800		84,892
Seven & i Holdings Co., Ltd.		31,100		961,395
Seven Bank, Ltd.		4,600		11,153
SG Holdings Co., Ltd.		1,272		66,112
Sharp Corp.		1,700		21,062
Shimadzu Corp.		1,700		51,862
Shimamura Co., Ltd.		200		19,551
Shimano, Inc.		600		118,130
Shimizu Corp.		4,300		32,247
Shin-Etsu Chemical Co., Ltd.		2,800		365,461
Shinsei Bank, Ltd.		1,200		14,869
Shionogi & Co., Ltd.		2,100		112,352
Shiseido Co., Ltd.		3,100		177,880
Shizuoka Bank, Ltd.		3,300		22,824
Showa Denko KK		1,100		20,162
SMC Corp.		3,100		1,725,329
SoftBank Corp.		15,000		168,073
SoftBank Group Corp.		22,200		1,370,789
Sohgo Security Services Co., Ltd.		600		28,590
Sompo Holdings, Inc.		2,600		90,059
Sony Corp.		45,600		3,487,712

238

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Square Enix Holdings Co., Ltd.		700	$	46,540
Stanley Electric Co., Ltd.		18,600		533,748
Subaru Corp.		4,800		93,180
SUMCO Corp.		2,012		28,298
Sumitomo Chemical Co., Ltd.		11,600		38,409
Sumitomo Corp.		60,000		719,450
Sumitomo Dainippon Pharma Co., Ltd.		1,400		18,435
Sumitomo Electric Industries, Ltd.		5,900		66,297
Sumitomo Heavy Industries, Ltd.		900		20,938
Sumitomo Metal Mining Co., Ltd.		1,800		55,721
Sumitomo Mitsui Financial Group, Inc.		10,200		283,827
Sumitomo Mitsui Trust Holdings, Inc.		16,300		433,736
Sumitomo Realty & Development Co., Ltd.		2,400		71,004
Sumitomo Rubber Industries, Ltd.		21,700		201,292
Sundrug Co., Ltd.		596		22,439
Suntory Beverage & Food, Ltd.		1,100		41,344
Suzuken Co., Ltd.		500		19,057
Suzuki Motor Corp.		45,200		1,935,985
Sysmex Corp.		1,300		124,064
T&D Holdings, Inc.		4,200		41,537
Taiheiyo Cement Corp.		900		22,970
Taisei Corp.		1,500		50,543
Taisho Pharmaceutical Holdings Co., Ltd.		300		19,785
Taiyo Nippon Sanso Corp.		1,200		18,549
Takeda Pharmaceutical Co., Ltd.		59,000		2,101,697
Takeda Pharmaceutical Co., Ltd. ADR		19,618		349,985
TDK Corp.		1,000		109,354
TechnoPro Holdings, Inc.		8,700		537,987
Teijin, Ltd.		1,400		21,707
Terumo Corp.		26,600		1,059,785
THK Co., Ltd.		22,200		556,975
TIS, Inc.		1,752		37,237
Tobu Railway Co., Ltd.		1,500		46,331
Toho Co., Ltd.		900		37,097
Toho Gas Co., Ltd.		600		29,745
Tohoku Electric Power Co., Inc.		3,300		33,067
Tokio Marine Holdings, Inc.		52,700		2,307,848
Tokyo Century Corp.		300		16,326
Tokyo Electric Power Co. Holdings, Inc.†		11,300		31,067
Tokyo Electron, Ltd.		3,800		994,572
Tokyo Gas Co., Ltd.		2,900		66,255
Tokyu Corp.		3,900		50,620
Tokyu Fudosan Holdings Corp.		4,800		20,665
Toppan Printing Co., Ltd.		2,100		29,578
Toray Industries, Inc.		10,800		49,387
Toshiba Corp.		3,000		76,363
Tosoh Corp.		8,300		134,951
TOTO, Ltd.		1,100		50,470
Toyo Suisan Kaisha, Ltd.		700		36,994
Toyoda Gosei Co., Ltd.		500		11,460

Security Description	Shares		Value (Note 2)
Japan (continued)
Toyota Industries Corp.		1,100	$	69,556
Toyota Motor Corp.		61,500		4,067,583
Toyota Tsusho Corp.		1,700		47,477
Trend Micro, Inc.		1,000		61,018
Tsuruha Holdings, Inc.		287		40,617
Unicharm Corp.		3,200		142,957
United Urban Investment Corp.		23		25,650
USS Co., Ltd.		1,700		30,409
Welcia Holdings Co., Ltd.		9,500		417,679
West Japan Railway Co.		1,300		64,254
Yakult Honsha Co., Ltd.		900		49,935
Yamada Holdings Co., Ltd.		5,700		28,422
Yamaha Corp.		1,000		47,866
Yamaha Motor Co., Ltd.		2,200		31,989
Yamato Holdings Co., Ltd.		2,400		63,175
Yamazaki Baking Co., Ltd.		900		15,719
Yaskawa Electric Corp.		26,200		1,023,144
Yokogawa Electric Corp.		1,800		28,596
Yokohama Rubber Co., Ltd.		900		12,810
Z Holdings Corp.		113,600		758,979
ZOZO, Inc.		830		23,149
				78,737,985
Jersey — 0.5%
Amcor PLC CDI		45,245		503,129
Experian PLC		7,093		265,426
Ferguson PLC		1,755		176,582
Glencore PLC†		78,042		161,680
WPP PLC		86,885		678,550
				1,785,367
Luxembourg — 0.1%
ArcelorMittal SA†		5,598		74,655
Aroundtown SA†		8,999		45,233
Eurofins Scientific SE†		103		81,538
Samsonite International SA†*		187,800		191,650
SES SA FDR		2,995		21,189
Tenaris SA		3,688		18,384
				432,649
Netherlands — 4.7%
Aalberts NV		25,230		911,132
ABN AMRO Bank NV CVA†*		3,303		27,620
Adyen NV†*		141		259,843
Aegon NV		13,974		36,292
AerCap Holdings NV†		1,012		25,492
Airbus SE†		4,592		333,309
Akzo Nobel NV		15,566		1,576,445
Altice Europe NV†		4,866		23,305
Argenx SE†		349		91,931
ASML Holding NV		13,481		4,970,910
CNH Industrial NV†		7,991		62,103
Davide Campari-Milano NV		4,536		49,578
EXOR NV		847		46,091
Ferrari NV		984		180,117
Fiat Chrysler Automobiles NV†		8,573		104,953
Heineken Holding NV		900		70,042
Heineken NV		2,024		179,866

239

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Netherlands (continued)
ING Groep NV†		125,442	$	888,237
Just Eat Takeaway.com NV†*		987		110,532
Koninklijke Ahold Delhaize NV		8,596		254,404
Koninklijke DSM NV		1,346		221,815
Koninklijke KPN NV		27,899		65,601
Koninklijke Philips NV†		78,752		3,710,025
Koninklijke Vopak NV		549		30,930
NN Group NV		2,251		84,552
NXP Semiconductors NV		9,288		1,159,235
Prosus NV†		3,806		350,982
QIAGEN NV†		1,782		92,553
Randstad NV†		930		48,527
STMicroelectronics NV		4,978		152,164
Unilever NV		11,407		688,643
Wolters Kluwer NV		2,132		182,022
				16,989,251
New Zealand — 0.4%
a2 Milk Co., Ltd.†		5,778		58,849
Auckland International Airport, Ltd.		9,775		47,362
Fisher & Paykel Healthcare Corp., Ltd.		4,488		98,789
Mercury NZ, Ltd.		5,319		17,947
Meridian Energy, Ltd.		10,006		32,639
Ryman Healthcare, Ltd.		3,124		29,218
Spark New Zealand, Ltd.		14,346		44,741
Xero, Ltd.†		13,866		1,013,872
				1,343,417
Norway — 1.5%
Adevinta ASA†		1,872		32,104
DNB ASA†		157,821		2,179,775
Equinor ASA		163,396		2,305,944
Gjensidige Forsikring ASA		1,562		31,709
Mowi ASA		3,433		60,899
Norsk Hydro ASA†		10,503		28,910
Orkla ASA		5,865		59,355
Schibsted ASA, Class B†		765		30,565
Storebrand ASA†		99,356		520,408
Telenor ASA		5,632		94,364
Yara International ASA		1,383		53,251
				5,397,284
Papua New Guinea — 0.0%
Oil Search, Ltd.		15,416		29,278
Portugal — 0.0%
Banco Espirito Santo SA†(1)		59,101		0
EDP — Energias de Portugal SA		21,689		106,603
Galp Energia SGPS SA		3,915		36,289
Jeronimo Martins SGPS SA		1,966		31,586
				174,478
Singapore — 0.9%
Ascendas Real Estate Investment Trust		24,012		57,325
CapitaLand Commercial Trust		21,100		25,543
CapitaLand Mall Trust		20,200		28,761
CapitaLand, Ltd.		20,100		40,161
City Developments, Ltd.		3,600		20,247

Security Description	Shares		Value (Note 2)
Singapore (continued)
DBS Group Holdings, Ltd.		38,100	$	560,387
Genting Singapore, Ltd.		47,200		23,190
Jardine Cycle & Carriage, Ltd.		800		10,611
Keppel Corp., Ltd.		11,400		37,393
Mapletree Commercial Trust		16,800		24,043
Mapletree Logistics Trust		20,816		31,270
Oversea-Chinese Banking Corp., Ltd.		136,000		844,933
Singapore Airlines, Ltd.		10,500		26,838
Singapore Exchange, Ltd.		6,300		42,395
Singapore Technologies Engineering, Ltd.		12,200		31,091
Singapore Telecommunications, Ltd.		63,810		99,541
Suntec Real Estate Investment Trust		15,400		16,485
United Overseas Bank, Ltd.		51,100		717,350
UOL Group, Ltd.		3,600		17,632
Venture Corp., Ltd.		2,148		30,457
Wilmar International, Ltd.		226,900		735,031
Yangzijiang Shipbuilding Holdings, Ltd.		20,200		14,729
				3,435,413
South Korea — 1.4%
KT Corp.		12,771		250,459
NAVER Corp.		2,379		602,341
Samsung Electronics Co., Ltd.		63,020		3,175,305
Samsung SDI Co., Ltd.		3,227		1,194,518
				5,222,623
Spain — 1.8%
ACS Actividades de Construccion y Servicios SA		2,089		47,331
Aena SME SA†*		527		73,407
Amadeus IT Group SA		13,199		732,491
Banco Bilbao Vizcaya Argentaria SA		349,905		967,057
Banco Santander SA		129,778		241,771
Bankinter SA		5,265		22,653
CaixaBank SA		28,027		59,425
Cellnex Telecom SA*		2,471		150,177
Enagas SA		1,944		44,787
Endesa SA		2,480		66,327
Ferrovial SA		3,785		91,822
Grifols SA		2,330		67,150
Iberdrola SA		206,190		2,537,752
Industria de Diseno Textil SA		43,684		1,214,533
Mapfre SA		8,417		13,180
Naturgy Energy Group SA		2,306		46,239
Red Electrica Corp. SA		3,380		63,420
Repsol SA		11,618		77,599
Siemens Gamesa Renewable Energy SA		1,862		50,188
Telefonica SA		38,013		130,379
				6,697,688
SupraNational — 0.0%
HK Electric Investments & HK Electric Investments, Ltd.		20,500		21,173
HKT Trust & HKT, Ltd.		30,000		39,746

240

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
SupraNational (continued)
Unibail-Rodamco-Westfield (Euronext Amsterdam)		1,081	$	39,887
				100,806
Sweden — 2.0%
Alfa Laval AB†		2,457		54,227
Assa Abloy AB, Class B		41,625		971,571
Atlas Copco AB, Class A		5,244		249,579
Atlas Copco AB, Class B		3,047		126,948
Boliden AB		2,136		63,508
Electrolux AB, Series B		1,761		41,045
Elekta AB, Series B		52,842		664,530
Epiroc AB, Class A		5,147		74,705
Epiroc AB, Class B		3,046		42,364
EQT AB		1,861		36,017
Essity AB, Class B†		4,738		160,101
Evolution Gaming Group AB*		993		65,637
Hennes & Mauritz AB, Class B		6,274		108,218
Hexagon AB, Class B†		2,198		166,116
Husqvarna AB, Class B		3,264		35,939
ICA Gruppen AB		785		39,906
Industrivarden AB, Class C†		1,247		33,228
Investment AB Latour, Class B		1,156		27,103
Investor AB, Class B		3,557		231,945
Kinnevik AB Class B		1,889		76,466
L E Lundbergforetagen AB, Class B†		594		29,382
Lundin Energy AB		1,451		28,740
Nibe Industrier AB, Class B†		2,435		62,759
Sandvik AB†		8,816		171,975
Securitas AB, Class B†		2,445		37,419
Skandinaviska Enskilda Banken AB, Class A†		12,710		112,508
Skanska AB, Class B†		2,657		55,983
SKF AB, Class B		2,973		61,264
Svenska Cellulosa AB SCA, Class B†		4,732		64,864
Svenska Handelsbanken AB, Class A†		140,984		1,184,074
Swedbank AB, Class A†		7,072		110,604
Swedish Match AB		1,267		103,372
Tele2 AB, Class B		3,900		55,065
Telefonaktiebolaget LM Ericsson, Class B		132,678		1,450,653
Telia Co AB		19,163		78,805
Volvo AB, Class B†		11,615		223,085
				7,099,705
Switzerland — 11.3%
ABB, Ltd.		56,029		1,420,055
Adecco Group AG		1,212		64,048
Alcon, Inc.†		23,639		1,342,082
Baloise Holding AG		362		53,250
Banque Cantonale Vaudoise		235		23,823
Barry Callebaut AG		255		566,983
Chocoladefabriken Lindt & Spruengli AG		1		88,995
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate)		130		1,097,203

Security Description	Shares		Value (Note 2)
Switzerland (continued)
Cie Financiere Richemont SA		20,814	$	1,394,138
Clariant AG		1,555		30,572
Coca-Cola HBC AG		1,564		38,661
Credit Suisse Group AG		18,963		189,796
EMS-Chemie Holding AG		64		57,425
Geberit AG		289		171,241
Givaudan SA		72		310,322
Julius Baer Group, Ltd.		1,748		74,519
Kuehne & Nagel International AG		422		81,828
LafargeHolcim, Ltd.		4,089		186,391
Logitech International SA		1,284		99,360
Lonza Group AG		2,414		1,490,115
Nestle SA		94,958		11,265,731
Novartis AG		74,705		6,491,959
Partners Group Holding AG		146		134,345
Roche Holding AG		25,517		8,730,060
Schindler Holding AG (Participation Certificate)		3,459		944,426
Schindler Holding AG		157		42,713
SGS SA		47		125,978
Sika AG		5,045		1,239,406
Sonova Holding AG†		427		108,282
Straumann Holding AG		734		738,452
Swatch Group AG (TRQX)		411		18,453
Swatch Group AG (XEGT)		226		52,644
Swiss Life Holding AG		249		94,078
Swiss Prime Site AG		593		53,822
Swiss Re AG		2,301		170,311
Swisscom AG		202		107,151
Temenos AG		518		69,757
UBS Group AG		28,630		319,616
Vifor Pharma AG		355		48,325
Zurich Insurance Group AG		3,764		1,308,689
				40,845,005
Taiwan — 1.2%
Largan Precision Co., Ltd.		3,000		350,512
Taiwan Semiconductor Manufacturing Co., Ltd.		151,000		2,267,805
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		19,354		1,569,029
				4,187,346
United Kingdom — 12.7%
3i Group PLC		7,599		97,545
Admiral Group PLC		1,493		50,355
Anglo American PLC		9,580		231,344
Antofagasta PLC		135,807		1,790,577
Ashtead Group PLC		17,381		622,745
ASOS PLC†		17,502		1,161,390
Associated British Foods PLC		2,782		67,015
AstraZeneca PLC		10,248		1,115,401
Auto Trader Group PLC*		7,572		54,772
AVEVA Group PLC		505		31,225
Aviva PLC		140,319		515,978
BAE Systems PLC		25,110		155,318
Barclays PLC†		135,397		170,378
Barratt Developments PLC		7,952		48,621

241

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
Berkeley Group Holdings PLC		982	$	53,425
BHP Group PLC		94,970		2,024,648
BP PLC		158,221		459,380
British American Tobacco PLC		17,916		643,954
British Land Co. PLC		6,875		29,890
BT Group PLC		69,457		88,267
Bunzl PLC		53,753		1,734,258
Burberry Group PLC		61,912		1,239,612
Close Brothers Group PLC		9,546		125,276
Coca-Cola European Partners PLC		1,596		61,941
Compass Group PLC		50,094		751,969
Croda International PLC		1,007		81,301
Diageo PLC		93,735		3,211,192
Direct Line Insurance Group PLC		74,225		258,371
Evraz PLC		3,982		17,755
GlaxoSmithKline PLC		99,681		1,867,213
GlaxoSmithKline PLC ADR		27,908		1,050,457
Great Portland Estates PLC		62,451		481,935
Halma PLC		2,965		89,366
Hargreaves Lansdown PLC		2,593		51,978
Hikma Pharmaceuticals PLC		1,350		45,216
HSBC Holdings PLC		159,048		617,889
Imperial Brands PLC		7,391		130,280
Informa PLC†		11,731		56,878
InterContinental Hotels Group PLC†		1,355		71,139
Intertek Group PLC		1,260		102,491
J Sainsbury PLC		13,862		34,078
JD Sports Fashion PLC		3,420		35,792
Johnson Matthey PLC		25,291		764,807
Kingfisher PLC		245,731		939,139
Land Securities Group PLC		5,501		37,041
Legal & General Group PLC		46,588		112,907
Lloyds Banking Group PLC†		1,897,959		644,080
London Stock Exchange Group PLC		2,470		282,570
M&G PLC		20,304		41,556
Meggitt PLC†		144,789		480,163
Melrose Industries PLC†		467,111		689,189
Mondi PLC		3,792		79,804
National Grid PLC		191,757		2,207,451
Natwest Group PLC†		37,782		51,588
Next PLC		24,753		1,897,020
Ocado Group PLC†		28,748		1,015,951
Pearson PLC		5,876		41,557
Persimmon PLC		20,290		644,439
Prudential PLC		93,445		1,334,090
Reckitt Benckiser Group PLC		5,548		540,892
RELX PLC		15,083		333,861
Rentokil Initial PLC†		14,481		99,662
Rio Tinto PLC		8,762		528,682
Rolls-Royce Holdings PLC		15,080		25,022
Royal Dutch Shell PLC, Class A (London)		32,028		396,417
Royal Dutch Shell PLC, Class A (Euronext Amsterdam)		114,062		1,437,588
Royal Dutch Shell PLC, Class B		28,943		350,124

Security Description	Shares		Value (Note 2)
United Kingdom (continued)
Royal Dutch Shell PLC, Class B ADR		13,785	$	333,873
RSA Insurance Group PLC†		8,079		46,997
Sage Group PLC		8,518		78,887
Schroders PLC		971		33,840
Segro PLC		9,300		111,796
Severn Trent PLC		1,858		58,420
Smith & Nephew PLC		6,831		133,111
Smiths Group PLC		3,094		54,395
Spirax-Sarco Engineering PLC		576		81,893
SSE PLC		8,117		126,371
St James's Place PLC		4,191		50,078
Standard Chartered PLC†		57,803		265,002
Standard Life Aberdeen PLC		17,811		51,855
Taylor Wimpey PLC		28,459		39,601
Tesco PLC		76,482		209,682
THG Holdings, Ltd.†		16,222		125,216
Unilever PLC		90,288		5,563,357
United Utilities Group PLC		5,325		58,884
Vodafone Group PLC		209,084		277,388
Vodafone Group PLC ADR		47,536		637,933
Whitbread PLC		31,585		861,492
WM Morrison Supermarkets PLC		18,782		41,230
				45,745,516
United States — 0.9%
Autoliv, Inc. SDR		6,536		479,136
Booking Holdings, Inc.†		543		928,899
Broadcom, Inc.		2,888		1,052,156
International Flavors & Fragrances, Inc.		0		14
MercadoLibre, Inc.†		816		883,304
				3,343,509
Total Common Stocks (cost $314,581,501)				350,462,887
EXCHANGE-TRADED FUNDS — 0.4%
United States — 0.4%
iShares MSCI EAFE ETF (cost $1,354,645)		24,740		1,574,701
Total Long-Term Investment Securities (cost $315,936,146)				352,037,588
SHORT-TERM INVESTMENT SECURITIES — 0.4%
Registered Investment Companies — 0.1%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(2)		311,473		311,473
T. Rowe Price Government Reserve Fund 0.09%(2)		90,052		90,052
				401,525

242

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
U.S. Government Treasuries — 0.3%
United States Treasury Bills 0.14% due 04/22/2021(3)	$	500,000		$	499,690
0.16% due 05/20/2021(3)		250,000			249,835
0.17% due 05/20/2021(3)		230,000			229,849
					979,374
Total Short-Term Investment Securities (cost $1,380,609)					1,380,899
REPURCHASE AGREEMENTS — 1.6%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00%, dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $5,747,000 and collateralized by $4,926,200 of United States Treasury Notes, bearing interest at 2.88%, due 05/15/2028 and having an approximate value of $5,861,987 (cost $5,747,000)		5,747,000			5,747,000
TOTAL INVESTMENTS (cost $323,063,755)(4)		99.4	%		359,165,487
Other assets less liabilities		0.6			2,327,965
NET ASSETS		100.0	%	$	361,493,452

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $4,976,163 representing 1.4% of net assets.

(1)  Securities classified as Level 3 (see Note 2).

(2)  The rate shown is the 7-day yield as of September 30, 2020.

(3)  The Security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(4)  See Note 4 for cost of investments on a tax basis.

ADR — American Depositary Receipt

CDI — Chess Depositary Interest

CVA — Certification Van Aandelen (Dutch Cert.)

ETF — Exchange-Traded Funds

FDR — Fiduciary Depositary Receipt

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

SDR — Swedish Depositary Receipt

TRQX — Turquoise Stock Exchange

XEGT — Equiduct Stock Exchange

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	85	Long	MSCI EAFE Index	December 2020	$	8,124,853	$	7,876,100	$	(248,753	)

*  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.

243

Seasons Series Trust SA Multi-Managed International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs			Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Australia	$	—	$	12,442,669	**	$	0	$	12,442,669
Portugal		—		174,478	**		0		174,478
Other countries		19,706,448		318,139,292	**		—		337,845,740
Exchange-Traded Funds		1,574,701		—			—		1,574,701
Short-Term Investment Securities:
Registered Investment Companies		401,525		—			—		401,525
U.S. Government Treasuries		—		979,374			—		979,374
Repurchase Agreements		—		5,747,000			—		5,747,000
Total Investments at Value	$	21,682,674	$	337,482,813		$	0	$	359,165,487
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	248,753	$	—		$	—	$	248,753

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see note 2).

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

244

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
United States Treasury Notes	27.2	%
Uniform Mtg. Backed Securities	12.5
Diversified Financial Services	12.4
United States Treasury Bonds	9.0
Federal National Mtg. Assoc.	5.5
Government National Mtg. Assoc.	5.4
Repurchase Agreements	4.8
Diversified Banking Institutions	4.0
Federal Home Loan Mtg. Corp.	2.3
Electric-Integrated	2.1
Sovereign	1.5
Cable/Satellite TV	1.4
Telephone-Integrated	1.3
Pipelines	1.2
Medical-Drugs	1.1
Registered Investment Companies	1.0
Cellular Telecom	0.9
Medical-Biomedical/Gene	0.9
Electronic Components-Semiconductors	0.8
Tobacco	0.8
Banks-Super Regional	0.8
Banks-Commercial	0.8
Real Estate Investment Trusts	0.7
Brewery	0.7
Computer Services	0.6
Aerospace/Defense	0.6
Municipal Bonds & Notes	0.5
Insurance-Life/Health	0.5
Television	0.5
Commercial Services-Finance	0.4
Electric-Distribution	0.4
Data Processing/Management	0.4
Retail-Building Products	0.4
Insurance Brokers	0.4
Medical-HMO	0.4
Enterprise Software/Service	0.4
Oil Companies-Exploration & Production	0.4
Oil Companies-Integrated	0.3
Gas-Distribution	0.3
Computers	0.3
Medical Instruments	0.3
Broadcast Services/Program	0.3
Diversified Minerals	0.3
Semiconductor Components-Integrated Circuits	0.3
Machinery-General Industrial	0.3
Food-Misc./Diversified	0.3
E-Commerce/Products	0.3
Pharmacy Services	0.2
Banks-Fiduciary	0.2
Medical Products	0.2
Internet Content-Information/News	0.2
Paper & Related Products	0.2
Retail-Restaurants	0.2
Insurance-Mutual	0.2
Medical-Hospitals	0.2
Beverages-Non-alcoholic	0.2
Chemicals-Diversified	0.2
Auto-Cars/Light Trucks	0.2
Trucking/Leasing	0.2
Oil Refining & Marketing	0.2
Building-Residential/Commercial	0.2
Multimedia	0.2
Oil-Field Services	0.2
Food-Meat Products	0.2
Finance-Credit Card	0.2

Transport-Rail	0.2	%
Funeral Services & Related Items	0.2
Insurance-Property/Casualty	0.2
Steel-Producers	0.2
Agricultural Operations	0.2
Medical Labs & Testing Services	0.2
Electric-Generation	0.2
Beverages-Wine/Spirits	0.1
Diversified Manufacturing Operations	0.1
Hazardous Waste Disposal	0.1
Transport-Services	0.1
Applications Software	0.1
Containers-Metal/Glass	0.1
Decision Support Software	0.1
Aerospace/Defense-Equipment	0.1
Rental Auto/Equipment	0.1
Building Products-Air & Heating	0.1
Metal-Iron	0.1
Electric-Transmission	0.1
Federal Home Loan Bank	0.1
Food-Confectionery	0.1
Hotels/Motels	0.1
Food-Wholesale/Distribution	0.1
Web Portals/ISP	0.1
Finance-Commercial	0.1
Finance-Consumer Loans	0.1
Tennessee Valley Authority	0.1
SupraNational Banks	0.1
Airport Development/Maintenance	0.1
Drug Delivery Systems	0.1
Water	0.1
Agricultural Chemicals	0.1
Commercial Services	0.1
Internet Security	0.1
Containers-Paper/Plastic	0.1
Chemicals-Specialty	0.1
Machinery-Farming	0.1
Schools	0.1
Transactional Software	0.1
Retail-Auto Parts	0.1
Savings & Loans/Thrifts	0.1
Building-Heavy Construction	0.1
Batteries/Battery Systems	0.1
Tools-Hand Held	0.1
Gambling (Non-Hotel)	0.1
	116.8	%
Credit Quality†#
Aaa	60.0	%
Aa	1.2
A	8.6
Baa	16.4
Ba	3.3
B	1.4
Caa	0.6
Ca	0.1
Not Rated##	8.4
	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.

245

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES — 12.2%
Diversified Financial Services — 12.2%
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(1)	$	1,440,000	$	1,598,302
AASET Trust Series 2020-1A, Class A 3.35% due 01/16/2040*		242,675		223,605
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 0.65% (1 ML+0.50%) due 01/25/2036(2)		98,485		93,139
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 0.69% (1 ML+0.54%) due 11/25/2035(2)		86,649		85,135
Affirm Asset Securitization Trust Series 2020-Z1, Class A 3.46% due 10/15/2024*		378,625		381,116
Alternative Loan Trust Series 2005-64CB, Class 3A1 5.50% due 12/25/2035(2)		135,042		119,658
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.96% (12 MTA+0.94%) due 10/25/2046(2)		47,764		38,407
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025		545,000		555,007
AmeriCredit Automobile Receivables Trust Series 2019-1, Class A3 2.97% due 11/20/2023		200,000		203,877
Angel Oak Mtg. Trust VRS Series 2019-5, Class A1 2.59% due 10/25/2049*(2)(3)		524,712		531,317
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(2)(3)		936,372		948,213
Angel Oak Mtg. Trust I LLC VRS Series 2019-4, Class A1 2.99% due 07/26/2049*(2)(3)		430,466		436,395
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 1.73% (3 ML+1.47%) due 04/24/2029*(4)		1,064,920		1,060,609
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 1.34% (3 ML+1.10%) due 04/25/2026*(4)		236,645		236,231
BA Credit Card Trust Series 2019-A1, Class A1 1.74% due 01/15/2025		100,000		102,883
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023		134,000		135,999

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 1.42% (3 ML+1.15%) due 07/20/2025*(4)	$	15,819	$	15,797
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 0.21% (1 ML+0.06%) due 01/25/2037(2)		9,911		8,482
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 0.39% (1 ML+0.23%) due 02/20/2047(2)		222,732		217,862
BANK VRS Series 2018-BN14, Class XA 0.67% due 09/15/2060(1)(3)(5)		9,554,678		297,360
BANK VRS Series 2019-BN24, Class XA 0.77% due 11/15/2062(1)(3)(5)		2,264,117		117,394
BANK VRS Series 2019-BN23, Class XA 0.82% due 12/15/2052(1)(3)(5)		6,826,231		379,302
BANK VRS Series 2017-BNK8, Class XA 0.87% due 11/15/2050(1)(3)(5)		8,557,583		368,088
BANK VRS Series 2019-BN20, Class XA 0.96% due 09/15/2062(1)(3)(5)		4,585,910		282,648
BANK VRS Series 2019-BN18, Class XA 1.05% due 05/15/2062(1)(3)(5)		2,911,886		187,226
BANK VRS Series 2020-BN28, Class XA 1.79% due 03/15/2063(1)(3)(5)		4,850,000		723,352
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(1)		470,000		537,345
BANK Series 2019-BN16, Class A2 3.93% due 02/15/2052(1)		239,000		257,169
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3)		986,918		1,022,049
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3)		698,980		706,155
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3)		560,397		579,271

246

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(3)	$	882,015	$	905,984
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3)		822,518		855,212
BCAP LLC Trust FRS Series 2006-AA2, Class A1 0.32% (1 ML+0.17%) due 01/25/2037(2)		13,991		14,582
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 0.63% (1 ML+0.48%) due 02/25/2036(2)		39,063		37,963
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 0.65% (1 ML+0.50%) due 01/25/2036(2)		105,849		119,808
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 0.33% (1 ML+0.18%) due 10/25/2036(2)		53,571		45,557
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 0.35% (1 ML+0.20%) due 02/25/2037(2)		141,390		128,045
Bellemeade Re, Ltd. FRS Series 2019-3A, Class M1A 1.25% (1 ML + 1.10%) due 07/25/2029*(2)		90,836		90,653
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 1.45% (1 ML+ 1.30%) due 03/25/2029*(2)		49,038		49,031
Bellemeade Re, Ltd. FRS Series 2019-4A, Class M1A 1.58% (1 ML + 1.40%) due 10/15/2029*(2)		428,993		428,207
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(1)(3)(5)		2,625,679		78,691
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(1)(3)(5)		4,495,568		131,874
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(1)(3)(5)		9,229,971		404,060
Benchmark Mtg. Trust VRS Series 2019-B12, Class XA 1.20% due 08/15/2052(1)(3)(5)		2,033,849		136,763

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.39% due 03/15/2062(1)(3)(5)	$	5,800,218	$	469,282
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.92% due 07/15/2053(1)(3)(5)		1,259,883		153,722
Benchmark Mtg. Trust Series 2019-B11, Class A2 3.41% due 05/15/2052(1)		1,165,000		1,250,378
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(1)		432,000		449,806
Benchmark Mtg. Trust Series 2019-B9, Class AAB 3.93% due 03/15/2052(1)		300,000		346,871
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(1)(3)		1,000,000		1,184,845
Benefit Street Partners CLO X, Ltd. FRS Series 2016-10A, Class A1R 1.42% (3 ML + 1.14%) due 01/15/2029*(4)		680,000		676,685
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.88% due 07/25/2049*(2)(6)		1,277,186		1,311,341
BX Commercial Mtg. Trust FRS Series 2019-XL, Class A 1.07% (1 ML+0.92%) due 10/15/2036*(1)		1,167,636		1,167,286
BX Commercial Mtg. Trust FRS Series 2019-IMC, Class A 1.15% (1 ML+1.00%) due 04/15/2034*(1)		200,000		192,561
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 2.70% (1 ML + 2.55%) due 12/15/2037*(1)		675,000		642,509
Capital One Prime Auto Receivables Trust Series 2019-2, Class A3 1.92% due 05/15/2024		100,000		102,179
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 1.02% (3 ML+0.78%) due 04/27/2027*(4)		1,015,078		1,006,773
CarMax Auto Owner Trust Series 2019-3, Class A3 2.18% due 08/15/2024		160,000		164,376
CarMax Auto Owner Trust Series 2019-2, Class A3 2.68% due 03/15/2024		95,000		97,623
CarMax Auto Owner Trust Series 2018-4, Class A3 3.36% due 09/15/2023		250,000		256,328

247

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CD Commercial Mtg. Trust VRS Series 2016-CD2, Class A4 3.53% due 11/10/2049(1)(3)	$	1,300,000	$	1,462,819
CF Hippolyta LLC Series 2020-1, Class A2 1.99% due 07/15/2060*		255,574		260,641
Chase Mtg. Finance Corp. VRS Series 2016-SH2, Class M2 3.75% due 12/25/2045*(2)(3)		154,234		159,070
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 3.77% due 12/25/2035(2)(3)		94,525		91,490
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(2)		172,532		162,413
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 3.23% due 09/25/2047(2)(3)		110,968		102,435
CIFC Funding, Ltd. FRS Series 2012-2RA, Class A1 1.07% (3 ML+0.80%) due 01/20/2028*(4)		1,524,909		1,511,646
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(2)(3)		854,535		873,482
Cirrus Funding, Ltd. Series 2018-1A, Class A 4.80% due 01/25/2037*(4)		975,000		1,041,208
Citibank Credit Card Issuance Trust Series 2018-A1, Class A1 2.49% due 01/20/2023		100,000		100,682
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.09% due 07/10/2047(1)(3)(5)		3,411,921		105,659
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29, Class XA 1.18% due 04/10/2048(1)(3)(5)		2,926,639		118,417
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(1)		1,029,000		1,148,063
Citigroup Commercial Mtg. Trust Series 2015-GC35, Class A4 3.82% due 11/10/2048(1)		1,235,000		1,386,392
Citigroup Mtg. Loan Trust, Inc. VRS Series 2019-IMC1, Class A1 2.72% due 07/25/2049*(2)(3)		304,254		309,344
Citigroup Mtg. Loan Trust, Inc. Series 2019-E, Class A1 3.23% due 11/25/2070*(6)		390,898		395,283

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Mtg. Loan Trust, Inc. VRS Series 2018-RP3, Class A1 3.25% due 03/25/2061*(2)(3)	$	980,452	$	1,035,267
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(2)(3)		365,513		368,861
Columbia Cent, Ltd. FRS Series 2018-27A, Class A1 1.39% (3 ML+1.15%) due 10/25/2028*(4)		720,000		716,491
Commercial Mtg. Trust FRS Series 2019-WCM, Class A 1.05% (1 ML+0.90%) due 10/15/2034*(1)		1,040,000		1,033,773
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(1)		845,000		903,409
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 0.47% (1 ML+0.32%) due 11/25/2035(2)		36,248		31,163
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 0.69% (1 ML+0.54%) due 01/25/2036(2)		98,742		94,232
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 0.95% (1 ML+0.80%) due 12/25/2035(2)		73,591		59,563
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(2)		127,706		86,467
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 0.83% (1 ML+0.68%) due 03/25/2035(2)		40,292		36,414
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.28% due 11/20/2035(2)(3)		24,464		20,762
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 3.54% due 06/20/2035(2)(3)		54,452		55,051
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.89% due 06/15/2057(1)(3)(5)		9,280,298		261,974

248

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 2.06% due 01/15/2049(1)(3)(5)	$	2,120,160	$	156,771
CSAIL Commercial Mtg. Trust Series 2019-C17, Class A2 3.00% due 09/15/2052(1)		225,000		237,696
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(1)		740,022		799,524
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(1)		1,448,000		1,584,415
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(2)(3)		520,351		540,233
CSMC Trust VRS Series 2016-NXSR, Class A4 3.79% due 12/15/2049(1)(3)		1,536,000		1,724,817
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.83% due 09/15/2053(1)(3)(5)		958,895		108,875
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(1)		1,625,000		1,769,571
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(2)(3)		980,987		994,448
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 0.30% (1 ML+0.15%) due 12/25/2036(2)		142,424		128,388
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 0.30% (1 ML+0.15%) due 03/25/2037(2)		12,629		12,003
Domino's Pizza Master Issuer LLC Series 2019-1A, Class A2 3.67% due 10/25/2049*		337,450		358,686
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*		744,800		787,984
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027		470,000		481,133
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.94% (12 MTA+0.92%) due 03/19/2046(2)		259,753		226,273

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Eagle RE, Ltd. FRS Series 2018-1, Class M1 1.88% (1 ML+1.70%) due 11/25/2028*(2)	$	232,975	$	232,494
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025*		1,065,000		1,090,869
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025*		320,000		328,362
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 0.46% (1 ML+0.31%) due 09/25/2036		495,000		418,502
Genworth Mtg. Insurance Co. FRS Series 2019-1, Class M1 2.05% (1 ML+1.90%) due 11/26/2029*(2)		777,000		760,987
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023*		100,000		101,137
GM Financial Consumer Automobile Receivables Trust Series 2019-3, Class A3 2.18% due 04/16/2024		125,000		127,756
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 2.97% due 09/19/2035(2)(3)		19,877		18,485
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 3.69% due 04/19/2036(2)(3)		160,661		138,852
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 0.31% (1 ML+0.16%) due 02/25/2037(2)		17,927		21,129
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 2.42% (12 MTA+1.40%) due 10/25/2045(2)		142,030		116,805
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(1)		1,285,000		1,280,688
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(1)		155,000		179,937
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(1)		1,225,000		1,234,926
GS Mtg. Securities Trust VRS Series 2020-GC45, Class XA 0.79% due 02/13/2053(1)(3)(5)		5,051,055		255,419

249

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049	$	1,199,000	$	1,299,720
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(1)		1,307,000		1,457,601
GSAA Home Equity Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)		293,723		293,526
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 0.20% (1 ML+0.05%) due 12/25/2046		31,380		19,796
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 0.22% (1 ML+0.07%) due 12/25/2046		66,818		28,753
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 0.23% (1 ML+0.08%) due 02/25/2037		342,659		143,751
GSAA Home Equity Trust FRS Series 2006-19, Class A1 0.24% (1 ML+0.09%) due 12/25/2036		12,573		5,124
GSAA Home Equity Trust FRS Series 2006-3, Class A3 0.45% (1 ML+0.30%) due 03/25/2036		15,683		10,701
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 0.47% (1 ML+0.32%) due 04/25/2047		131,346		78,742
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)		93,244		38,882
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(3)		306,619		125,444
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 0.45% (1 ML+0.30%) due 01/25/2037(2)		378,172		107,808
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 3.08% due 10/25/2035(2)(3)		61,717		45,763
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.78% due 01/25/2036(2)(3)		5,990		5,954
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 3.78% due 01/25/2036(2)(3)		77,521		76,678
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 0.35% (1 ML+0.19%) due 01/19/2038(2)		8,926		8,050

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 0.40% (1 ML+0.24%) due 12/19/2036(2)	$	195,949	$	178,796
Home Re, Ltd. FRS Series 2018-1, Class M1 1.75% (1 ML + 1.60%) due 10/25/2028*(2)		210,114		207,432
Homeward Opportunities Fund I Trust VRS Series 2019-2, Class A1 2.70% due 09/25/2059*(2)(3)		376,638		380,462
Honda Auto Receivables Owner Trust Series 2020-3, Class A4 0.46% due 04/19/2027		60,000		59,987
Honda Auto Receivables Owner Trust Series 2020-2, Class A4 1.09% due 10/15/2026		100,000		101,889
Honda Auto Receivables Owner Trust Series 2019-1, Class A3 2.83% due 03/20/2023		47,000		48,033
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 0.42% (1 ML+0.27%) due 02/25/2036		200,000		193,102
ILPT Trust Series 2019-SURF, Class A 4.15% due 02/11/2041*(1)		475,000		541,646
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 0.43% (1 ML+0.28%) due 07/25/2035(2)		4,358		3,595
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.55% due 04/25/2037(2)(3)		135,471		96,119
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 3.70% due 12/25/2036(2)(3)		162,835		147,222
Jackson Park Trust Series 2019-LIC, Class A 2.77% due 10/14/2039*(1)		400,000		427,112
JP Morgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(1)		305,000		316,919
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(1)		923,772		951,348

250

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JP Morgan Mtg. Trust VRS Series 2017-6, Class A6 3.00% due 12/25/2048*(2)(3)	$	277,230	$	278,255
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 3.59% due 05/25/2036(2)(3)		68,995		61,293
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(1)		290,000		317,691
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(1)		1,110,000		1,227,654
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(2)(6)		788,159		790,893
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(2)(6)		1,002,960		1,002,967
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(6)		1,487,796		1,506,183
Lehman XS Trust FRS Series 2006-16N, Class A4A 0.34% (1 ML+0.19%) due 11/25/2046(2)		278,001		249,951
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 1.65% (1 ML + 1.50%) due 05/01/2024*(2)		951,361		938,114
LSTAR Securities Investment Trust FRS Series 2019-2A, Class A1 1.65% (1 ML+1.50%) due 04/01/2024*(2)		129,402		133,337
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 1.85% (1 ML+1.70%) due 03/01/2024*(2)		433,224		428,148
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 1.53% (3 ML+1.26%) due 07/20/2026*(4)		252,665		252,350
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 3.23% due 11/21/2034(2)(3)		44,545		44,945

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 3.32% due 07/25/2035(2)(3)	$	130,600	$	91,787
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(3)		321,036		338,815
MFRA Trust VRS Series 2017-RPL1, Class A1 2.59% due 02/25/2057*(2)(3)		192,630		194,921
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(6)		662,798		664,641
Mill City Mtg. Loan Trust VRS Series 2019-GS1, Class A1 2.75% due 07/25/2059*(2)(3)		1,506,214		1,573,763
Mill City Mtg. Loan Trust VRS Series 2018-3, Class A1 3.50% due 08/25/2058*(3)		853,657		909,783
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 0.30% (1 ML+0.15%) due 06/25/2036		4,987		4,334
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.15% due 12/15/2047(1)(3)(5)		1,853,263		59,380
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(1)		791,000		856,740
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(1)		52,000		51,852
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.58% due 06/15/2050(1)(3)(5)		1,727,345		109,357
Morgan Stanley Capital I Trust Series 2016-BNK2, Class A4 3.05% due 11/15/2049(1)		1,475,000		1,618,756
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(1)		755,000		767,499
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 0.32% (1 ML+0.17%) due 11/25/2036		236,782		93,899

251

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class A 1.05% (1 ML+0.90%) due 12/15/2033*(1)	$	300,000	$	298,871
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class D 1.95% (1 ML+1.80%) due 12/15/2033*(1)		575,000		559,615
Natixis Commercial Mtg. Securities Trust Series 2019-1776, Class C 2.91% due 10/15/2036*(1)		375,000		373,721
New Residential Advance Receivables Trust Series 2019-T4, Class AT4 2.33% due 10/15/2051*		1,155,000		1,163,291
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 0.90% (1 ML + 0.75%) due 01/25/2048*(2)		911,071		909,038
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.65% (1 ML+1.50%) due 06/25/2057*(2)		821,345		821,798
New Residential Mtg. Loan Trust VRS Series 2019-NQM4, Class A1 2.49% due 09/25/2059*(2)(3)		408,616		415,975
New Residential Mtg. Loan Trust 2020-NPL2 3.23% due 08/25/2060*(2)(6)		151,539		151,557
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(2)(3)		698,680		731,597
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(2)(3)		743,622		803,379
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(2)(3)		685,648		737,154
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(2)(3)		1,251,128		1,355,668

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(2)(3)	$	1,305,085	$	1,411,943
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(2)(3)		1,071,258		1,157,478
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(2)(3)		828,353		905,538
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(2)(3)		1,074,716		1,158,548
New Residential Mtg. Loan Trust VRS Series 2018-5A, Class A1 4.75% due 12/25/2057*(2)(3)		757,968		815,736
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.92% due 06/25/2036(2)(3)		106,491		94,508
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023*		616,988		619,146
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023*		394,343		397,688
OBX Trust VRS Series 2018-EXP2, Class 1A1 4.00% due 07/25/2058*(2)(3)		748,227		760,765
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 1.98% (3 ML+0.85%) due 04/17/2027*(4)		355,452		354,801
OnDeck Asset Securitization Trust II LLC Series 2019-1A, Class A 2.65% due 11/18/2024*		130,602		130,603
One Bryant Park Trust Series 2019-OBP, Class A 2.52% due 09/15/2054*(1)		320,000		340,499
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		602,804		603,909

252

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
OZLM, Ltd. FRS Series 2015-12A, Class A1R 1.32% (3 ML+1.05%) due 04/30/2027*(4)	$	1,907,147	$	1,896,361
OZLM, Ltd. FRS Series 2014-7RA, Class A1R 2.14% (3 ML+1.01%) due 07/17/2029*(4)		325,834		321,530
PMT Credit Risk Transfer Trust FRS Series 2019-1R, Class A 2.15% (1 ML+2.00%) due 03/27/2024*(2)		542,413		488,172
Preston Ridge Partners Mtg. Series 2020-3, Class A1 2.86% due 09/25/2025*(2)(6)		865,000		864,985
Preston Ridge Partners Mtg. Series 2019-3A, Class A1 3.35% due 07/25/2024*(6)		345,971		344,951
Pretium Mtg. Credit Partners I Series 2019-CFL1, Class A1 3.72% due 01/25/2059*(6)		622,155		620,932
Pretium Mtg. Credit Partners I LLC Series 2019-NPL3, Class A1 3.10% due 07/27/2059*(6)		687,705		688,336
PRPM VRS Series 2019-GS1, Class A1 3.50% due 10/25/2024*(2)(3)		355,173		355,634
RALI Series Trust FRS Series 2006-QA3, Class A2 0.45% (1 ML+0.30%) due 04/25/2036(2)		343,930		317,807
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(2)		61,174		60,478
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)		338,398		149,106
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)		154,288		93,548
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 4.27% due 04/25/2037(2)(3)		16,821		15,009
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A 3.23% due 03/15/2040*		229,143		206,619
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 0.24% (1 ML+0.09%) due 07/25/2036		168,855		81,354

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 2.25% (3 ML+1.12%) due 07/17/2026*(4)	$	83,445	$	83,322
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(1)		1,225,000		1,233,231
Shellpoint Co-Originator Trust VRS Series 2017-2, Class A1 3.50% due 10/25/2047*(2)(3)		178,728		183,429
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026*		29,270		29,432
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 0.33% (1 ML+0.18%) due 07/25/2037		37,734		35,627
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.40% (1 ML+0.25%) due 11/25/2036		290,000		267,722
Stanwhich Mtg. Loan Trust Series 2019-NPB2, Class A1 3.48% due 11/16/2024*(6)		1,299,268		1,289,047
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.45% (1 ML+0.30%) due 09/25/2034(2)		19,018		17,800
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 0.38% (1 ML+0.23%) due 02/25/2036(2)		97,934		89,464
Symphony CLO XIV, Ltd. FRS Series 2014-14A, Class AR 1.22% (3 ML+0.95%) due 07/14/2026*(4)		924,637		918,990
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 2.30% (3 ML+1.16%) due 10/20/2026*(4)		202,625		202,258
Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56% due 11/25/2031*		100,000		106,717
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024		150,000		156,055

253

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Vericrest Opportunity Loan Transferee Series 2019-NP10, Class A1A 3.43% due 12/27/2049*(6)	$	1,049,140	$	1,049,538
Vericrest Opportunity Loan Trust Series 2019-NPL7, Class A1A 3.18% due 10/25/2049*(6)		511,452		512,446
Vericrest Opportunity Loan Trust Series 2019-NPL8, Class A1A 3.28% due 11/25/2049*(6)		859,403		860,178
Verus Securitization Trust Series 2019-3, Class A1 2.78% due 07/25/2059*(2)(6)		773,512		788,820
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(1)		1,195,000		1,233,003
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(6)		841,840		842,206
VOLT LXXXIII LLC Series 2019-NPL9, Class A1A 3.33% due 11/26/2049*(6)		343,764		344,622
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 1.90% (12 MTA+0.88%) due 10/25/2046(2)		130,752		117,449
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 1.99% (12 MTA+0.82%) due 12/25/2046(2)		339,787		302,237
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.18% (COFI 11+1.50%) due 11/25/2046(2)		52,579		48,907
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.13% due 06/25/2037(2)(3)		114,062		105,399
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-5, Class 1A1 0.75% (1 ML+0.60%) due 07/25/2036(2)		65,124		41,468
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-AR9, Class 1A 1.85% (12 MTA+0.83%) due 11/25/2046(2)		106,622		92,917
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.11% due 09/15/2057(1)(3)(5)		6,852,535		266,353

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.23% due 05/15/2048(1)(3)(5)	$	2,834,399	$	111,104
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.28% due 05/15/2048(1)(3)		75,000		70,842
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 2.72% due 10/25/2036(2)(3)		46,330		44,346
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*		437,625		460,662
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024*		785,000		803,485
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		1,025,890		1,032,521
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.99% due 02/15/2044*(1)(3)(5)		358,053		11
Wingstop Funding LLC Series 2018-1, Class A2 4.97% due 12/05/2048*		410,850		421,195
Total Asset Backed Securities (cost $112,766,817)				115,205,738
U.S. CORPORATE BONDS & NOTES — 28.0%
Advertising Agencies — 0.0%
Omnicom Group, Inc. Senior Notes 2.45% due 04/30/2030		121,000		124,462
Omnicom Group, Inc. Senior Notes 4.20% due 06/01/2030		29,000		33,942
				158,404
Advertising Sales — 0.0%
National CineMedia LLC Senior Sec. Notes 5.88% due 04/15/2028*		59,000		49,265
Aerospace/Defense — 0.5%
BAE Systems Holdings, Inc. Company Guar. Notes 3.85% due 12/15/2025*		235,000		265,269
Boeing Co. Senior Notes 3.25% due 02/01/2035		160,000		150,395

254

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Aerospace/Defense (continued)
Boeing Co. Senior Notes 5.04% due 05/01/2027	$	1,270,000	$	1,398,156
General Dynamics Corp. Company Guar. Bonds 4.25% due 04/01/2040		280,000		352,273
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040		720,000		967,828
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025		785,000		892,102
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038		180,000		221,647
Raytheon Technologies Corp. Senior Notes 4.63% due 11/16/2048		195,000		254,688
United Technologies Corp. Senior Notes 3.75% due 11/01/2046		160,000		183,266
				4,685,624
Aerospace/Defense-Equipment — 0.1%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		820,000		899,623
Spirit AeroSystems, Inc. Sec. Notes 7.50% due 04/15/2025*		73,000		74,003
				973,626
Agricultural Operations — 0.1%
Archer-Daniels-Midland Co. Senior Notes 3.25% due 03/27/2030		390,000		447,076
Airlines — 0.0%
American Airlines, Inc. Senior Sec. Notes 11.75% due 07/15/2025*		80,000		77,200
Delta Air Lines, Inc. Senior Sec. Notes 7.00% due 05/01/2025*		97,000		106,508
				183,708
Applications Software — 0.1%
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		800,000		1,004,559
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027*		71,000		75,453
				1,080,012
Auction Houses/Art Dealers — 0.0%
Sotheby's Senior Sec. Notes 7.38% due 10/15/2027*		85,000		85,000

Security Description	Principal Amount(7)		Value (Note 2)
Auto-Cars/Light Trucks — 0.2%
Ford Motor Co. Senior Notes 4.75% due 01/15/2043	$	78,000	$	70,623
Ford Motor Co. Senior Notes 6.63% due 10/01/2028		97,000		104,518
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		16,000		18,460
General Motors Co. Senior Notes 4.88% due 10/02/2023		780,000		848,744
General Motors Co. Senior Notes 6.13% due 10/01/2025		175,000		203,290
General Motors Co. Senior Notes 6.80% due 10/01/2027		100,000		121,794
General Motors Financial Co., Inc. Senior Notes 2.75% due 06/20/2025		122,000		124,820
Hyundai Capital America Senior Notes 3.40% due 06/20/2024*		118,000		125,034
Tesla, Inc. Company Guar. Notes 5.30% due 08/15/2025*		55,000		56,925
				1,674,208
Auto-Heavy Duty Trucks — 0.0%
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024*		76,000		76,765
Cummins, Inc. Senior Notes 0.75% due 09/01/2025		93,000		93,283
PACCAR Financial Corp. Senior Notes 0.80% due 06/08/2023		83,000		83,587
				253,635
Auto/Truck Parts & Equipment-Original — 0.0%
BorgWarner, Inc. Senior Notes 2.65% due 07/01/2027		99,000		104,477
Dana, Inc. Senior Notes 5.38% due 11/15/2027		54,000		55,350
Lear Corp. Senior Notes 5.25% due 05/15/2049		89,000		96,536
				256,363
Banks-Commercial — 0.4%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		469,000		532,413

255

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
BankUnited, Inc. Sub. Notes 5.13% due 06/11/2030	$	240,000	$	263,900
Citizens Financial Group, Inc. Senior Notes 2.50% due 02/06/2030		34,000		36,049
Citizens Financial Group, Inc. Sub. Notes 2.64% due 09/30/2032*		81,000		80,771
Citizens Financial Group, Inc. Senior Notes 3.25% due 04/30/2030		51,000		56,296
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		181,000		269,142
Santander Holdings USA, Inc. Senior Notes 3.24% due 10/05/2026		67,000		71,695
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022		365,000		378,389
Truist Bank Sub. Notes 2.25% due 03/11/2030		1,745,000		1,800,234
Zions Bancorp NA Sub. Notes 3.25% due 10/29/2029		250,000		249,167
				3,738,056
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.10% due 10/24/2024		970,000		1,026,537
State Street Corp. Senior Notes 2.35% due 11/01/2025		1,105,000		1,169,681
				2,196,218
Banks-Super Regional — 0.8%
Fifth Third Bancorp Senior Notes 2.38% due 01/28/2025		430,000		455,433
PNC Financial Services Group, Inc. Senior Notes 2.55% due 01/22/2030		440,000		476,592
Wells Fargo & Co. Senior Notes 2.39% due 06/02/2028		50,000		52,164
Wells Fargo & Co. Senior Notes 2.41% due 10/30/2025		2,770,000		2,900,538
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		655,000		713,051
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		935,000		1,022,041

Security Description	Principal Amount(7)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Senior Notes 3.07% due 04/30/2041	$	195,000	$	203,990
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027		454,000		520,177
Wells Fargo & Co. Senior Notes 5.01% due 04/04/2051		81,000		110,860
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		275,000		364,032
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		250,000		341,217
				7,160,095
Batteries/Battery Systems — 0.1%
Energizer Holdings, Inc. Company Guar. Notes 4.38% due 03/31/2029*		60,000		60,600
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026*		150,000		161,280
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		111,000		114,608
				336,488
Beverages-Non-alcoholic — 0.2%
Coca-Cola Co. Senior Notes 2.50% due 03/15/2051		124,000		123,877
PepsiCo, Inc. Senior Notes 2.25% due 03/19/2025		133,000		142,462
PepsiCo, Inc. Senior Notes 2.88% due 10/15/2049		118,000		126,852
PepsiCo, Inc. Senior Notes 3.63% due 03/19/2050		955,000		1,157,730
				1,550,921
Beverages-Wine/Spirits — 0.0%
Pernod Ricard International Finance LLC Company Guar. Notes 2.75% due 10/01/2050*		151,000		147,537
Brewery — 0.7%
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046		247,000		304,558
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		501,000		597,415

256

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058	$	1,079,000	$	1,315,512
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039		1,565,000		2,026,111
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022		425,000		440,191
Constellation Brands, Inc. Senior Notes 2.88% due 05/01/2030		130,000		140,365
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029		325,000		354,770
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028		1,050,000		1,187,253
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025		40,000		46,503
Constellation Brands, Inc. Company Guar. Notes 4.65% due 11/15/2028		170,000		204,612
				6,617,290
Broadcast Services/Program — 0.3%
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		643,000		700,483
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025		509,000		571,383
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		20,000		22,752
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055*		825,000		837,627
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049		321,000		392,275
Fox Corp. Senior Notes 4.03% due 01/25/2024		125,000		137,616
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*		11,000		10,422
Univision Communications, Inc. Senior Sec. Notes 6.63% due 06/01/2027*		116,000		113,245
				2,785,803

Security Description	Principal Amount(7)		Value (Note 2)
Building & Construction Products-Misc. — 0.0%
Owens Corning Senior Notes 4.30% due 07/15/2047	$	236,000	$	259,417
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031*		75,000		74,024
				333,441
Building Products-Air & Heating — 0.1%
Carrier Global Corp. Senior Notes 2.70% due 02/15/2031*		515,000		536,542
Carrier Global Corp. Senior Notes 2.72% due 02/15/2030*		308,000		322,179
Carrier Global Corp. Senior Notes 3.38% due 04/05/2040*		174,000		182,304
Carrier Global Corp. Senior Notes 3.58% due 04/05/2050*		77,000		81,800
				1,122,825
Building Products-Cement — 0.0%
Martin Marietta Materials, Inc. Senior Notes 3.50% due 12/15/2027		125,000		140,504
Building Products-Doors & Windows — 0.0%
Griffon Corp. Company Guar. Notes 5.75% due 03/01/2028		77,000		80,375
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 4.88% due 07/01/2030*		41,000		44,075
Masco Corp. Senior Notes 2.00% due 10/01/2030		131,000		131,049
				175,124
Building-Residential/Commercial — 0.2%
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		1,205,000		1,373,700
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028		102,000		110,670
				1,484,370
Cable/Satellite TV — 1.3%
Block Communications, Inc. Company Guar. Notes 4.88% due 03/01/2028*		74,000		75,480
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028*		36,000		37,800

257

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 05/01/2025*	$	85,000	$	87,444
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		28,000		29,085
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.70% due 04/01/2051		35,000		34,590
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		125,000		142,142
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038		20,000		24,480
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047		270,000		320,587
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035		69,000		94,627
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		2,070,000		2,776,394
Comcast Corp. Company Guar. Notes 2.45% due 08/15/2052		109,000		102,181
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		895,000		993,960
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039		755,000		840,792
Comcast Corp. Company Guar. Notes 3.30% due 02/01/2027		128,000		144,415

Security Description	Principal Amount(7)		Value (Note 2)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046	$	85,000	$	94,579
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040		625,000		730,925
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038		52,000		61,705
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052		264,000		324,223
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		464,000		593,060
Comcast Corp. Company Guar. Notes 4.70% due 10/15/2048		175,000		233,380
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		55,000		72,464
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038		57,000		86,292
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		179,000		273,160
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		1,709,000		1,838,875
CSC Holdings LLC Senior Notes 3.38% due 02/15/2031*		1,020,000		987,615
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		60,000		64,350
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027*		70,000		73,682
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		300,000		306,000
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		125,000		155,760
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		143,000		190,113
				11,790,160
Casino Hotels — 0.0%
Boyd Gaming Corp. Company Guar. Notes 4.75% due 12/01/2027		49,000		48,081
Boyd Gaming Corp. Company Guar. Notes 8.63% due 06/01/2025*		45,000		49,333

258

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Hotels (continued)
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026	$	100,000	$	101,336
				198,750
Casino Services — 0.0%
Caesars Entertainment, Inc. Senior Sec. Notes 6.25% due 07/01/2025*		85,000		88,846
Cellular Telecom — 0.6%
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		195,000		224,006
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028*		1,230,000		1,259,299
T-Mobile USA, Inc. Senior Sec. Notes 3.00% due 02/15/2041*		21,000		20,779
T-Mobile USA, Inc. Senior Sec. Notes 3.30% due 02/15/2051*		285,000		282,352
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025*		315,000		345,650
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030*		1,507,000		1,709,872
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050*		460,000		551,851
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		1,120,000		1,170,400
				5,564,209
Chemicals-Diversified — 0.2%
Dow Chemical Co. Senior Notes 3.60% due 11/15/2050		455,000		460,554
Dow Chemical Co. Senior Notes 4.80% due 05/15/2049		241,000		287,609
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023		440,000		483,145
Olin Corp. Senior Notes 9.50% due 06/01/2025*		44,000		51,287
Westlake Chemical Corp. Senior Notes 3.38% due 06/15/2030		203,000		217,723
				1,500,318
Chemicals-Specialty — 0.1%
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022		173,000		179,275

Security Description	Principal Amount(7)		Value (Note 2)
Chemicals-Specialty (continued)
Huntsman International LLC Senior Notes 4.50% due 05/01/2029	$	162,000	$	182,228
Minerals Technologies, Inc. Company Guar. Notes 5.00% due 07/01/2028*		67,000		69,331
				430,834
Coal — 0.0%
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025*		91,000		82,084
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.30% due 05/15/2050		235,000		248,843
Commercial Services — 0.0%
Nielsen Finance LLC/Nielsen Finance Co Company Guar. Notes 5.63% due 10/01/2028*		36,000		37,235
Nielsen Finance LLC/Nielsen Finance Co Company Guar. Notes 5.88% due 10/01/2030*		57,000		58,995
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022*		105,000		105,263
Quanta Services, Inc. Senior Notes 2.90% due 10/01/2030		125,000		127,576
				329,069
Commercial Services-Finance — 0.3%
Equifax, Inc. Senior Notes 2.60% due 12/15/2025		428,000		456,945
Equifax, Inc. Senior Notes 3.10% due 05/15/2030		135,000		147,077
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030		595,000		636,656
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029		305,000		332,677
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023		1,345,000		1,462,688
MPH Acquisition Holdings LLC Company Guar. Notes 7.13% due 06/01/2024*		24,000		24,656
S&P Global, Inc. Company Guar. Bonds 2.30% due 08/15/2060		37,000		33,519
				3,094,218

259

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computer Services — 0.6%
Banff Merger Sub, Inc. Senior Notes 9.75% due 09/01/2026*	$	90,000	$	95,139
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028*		455,000		467,080
IBM Credit LLC Senior Notes 3.00% due 02/06/2023		480,000		510,159
International Business Machines Corp. Senior Notes 1.95% due 05/15/2030		1,890,000		1,949,866
International Business Machines Corp. Senior Notes 3.50% due 05/15/2029		1,020,000		1,175,605
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025*		502,000		556,793
Leidos, Inc. Company Guar. Notes 4.38% due 05/15/2030*		119,000		139,462
Presidio Holdings, Inc. Company Guar. Notes 8.25% due 02/01/2028*		70,000		73,325
Tempo Acquisition LLC/ Tempo Acquisition Finance Corp. Senior Sec. Notes 5.75% due 06/01/2025*		19,000		19,903
Tempo Acquisition LLC/ Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025*		50,000		51,030
				5,038,362
Computers — 0.3%
Apple, Inc. Senior Notes 1.13% due 05/11/2025		525,000		537,260
Apple, Inc. Senior Notes 2.05% due 09/11/2026		109,000		116,542
Apple, Inc. Senior Notes 3.45% due 02/09/2045		160,000		186,793
Apple, Inc. Senior Notes 4.45% due 05/06/2044		475,000		644,960
Dell International LLC/ EMC Corp. Company Guar. Notes 7.13% due 06/15/2024*		60,000		62,411

Security Description	Principal Amount(7)		Value (Note 2)
Computers (continued)
Dell International LLC/ EMC Corp. Senior Sec. Notes 8.10% due 07/15/2036*	$	148,000	$	194,626
Hewlett Packard Enterprise Co. Senior Notes 1.75% due 04/01/2026		274,000		276,017
Hewlett Packard Enterprise Co. Senior Notes 4.65% due 10/01/2024		118,000		133,434
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035		119,000		148,946
HP, Inc. Senior Notes 2.20% due 06/17/2025		395,000		413,771
HP, Inc. Senior Notes 3.00% due 06/17/2027		395,000		427,033
				3,141,793
Computers-Integrated Systems — 0.0%
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024		52,000		47,346
Diebold Nixdorf, Inc. Senior Sec. Notes 9.38% due 07/15/2025*		24,000		25,320
				72,666
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		160,000		161,848
Containers-Metal/Glass — 0.1%
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023		1,055,000		1,119,882
Silgan Holdings, Inc. Senior Notes 4.75% due 03/15/2025		63,000		64,103
				1,183,985
Containers-Paper/Plastic — 0.0%
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*		45,000		48,741
Sonoco Products Co Senior Notes 3.13% due 05/01/2030		173,000		187,522
				236,263
Cosmetics & Toiletries — 0.0%
Coty, Inc. Company Guar. Notes 6.50% due 04/15/2026*		152,000		119,320

260

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management — 0.4%
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029	$	286,000	$	336,574
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028		290,000		347,474
Fiserv, Inc. Senior Notes 2.25% due 06/01/2027		2,140,000		2,260,246
Fiserv, Inc. Senior Notes 3.20% due 07/01/2026		460,000		511,080
				3,455,374
Decision Support Software — 0.1%
MSCI, Inc. Company Guar. Notes 5.38% due 05/15/2027*		1,100,000		1,174,250
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc./ Ortho-Clinical Diagnostics SA Senior Notes 7.25% due 02/01/2028*		35,000		36,400
Ortho-Clinical Diagnostics, Inc./ Ortho-Clinical Diagnostics SA Senior Notes 7.38% due 06/01/2025*		7,000		7,105
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		175,000		185,097
				228,602
Direct Marketing — 0.0%
Terrier Media Buyer, Inc. Company Guar. Notes 8.88% due 12/15/2027*		40,000		40,300
Distribution/Wholesale — 0.0%
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025		87,000		90,697
KAR Auction Services, Inc. Company Guar. Notes 5.13% due 06/01/2025*		73,000		72,999
Performance Food Group, Inc. Company Guar. Notes 5.50% due 10/15/2027*		82,000		84,460
				248,156
Diversified Banking Institutions — 3.0%
Bank of America Corp. Senior Notes 1.49% due 05/19/2024		252,000		256,331
Bank of America Corp. Senior Notes 1.90% due 07/23/2031		118,000		117,293

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 2.46% due 10/22/2025	$	942,000	$	993,177
Bank of America Corp. Senior Notes 2.50% due 10/21/2022		1,090,000		1,113,412
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		104,000		117,602
Bank of America Corp. Senior Notes 3.95% due 01/23/2049		595,000		724,590
Bank of America Corp. Senior Notes 4.08% due 03/20/2051		1,799,000		2,227,775
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		100,000		114,572
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		440,000		572,859
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		694,000		979,687
Citigroup, Inc. Senior Notes 2.67% due 01/29/2031		118,000		124,195
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025		855,000		925,045
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028		210,000		234,040
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028		146,000		164,120
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026		625,000		700,377
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030		390,000		448,951
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029		405,000		468,432
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		770,000		882,426
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		122,000		141,470
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		75,000		94,124
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		84,000		110,383

261

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033	$	173,000	$	233,051
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		1,610,000		1,670,073
Goldman Sachs Group, Inc. Senior Notes 3.50% due 11/16/2026		142,000		157,083
Goldman Sachs Group, Inc. Senior Notes 3.80% due 03/15/2030		113,000		130,974
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		375,000		412,436
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		575,000		858,992
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		561,000		815,093
JPMorgan Chase & Co. Senior Notes 0.65% due 09/16/2024		173,000		173,066
JPMorgan Chase & Co. Senior Notes 2.01% due 03/13/2026		401,000		415,177
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031		142,000		152,352
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041		210,000		227,795
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051		337,000		361,642
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		1,105,000		1,186,947
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		1,421,000		1,598,358
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030		1,000,000		1,147,688
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024		990,000		1,072,448
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038		113,000		133,238
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		265,000		438,889
Morgan Stanley Senior Notes 2.70% due 01/22/2031		1,195,000		1,272,908

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 3.13% due 07/27/2026	$	1,445,000	$	1,599,703
Morgan Stanley Senior Notes 3.62% due 04/01/2031		62,000		71,237
Morgan Stanley Senior Notes 3.63% due 01/20/2027		396,000		448,771
Morgan Stanley Senior Notes 3.70% due 10/23/2024		510,000		565,823
Morgan Stanley Senior Notes 3.88% due 01/27/2026		610,000		695,263
Morgan Stanley Senior Notes 4.00% due 07/23/2025		540,000		610,335
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		29,000		34,070
				27,994,273
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 3.63% due 05/01/2030		830,000		859,559
General Electric Co. Senior Notes 4.35% due 05/01/2050		49,000		49,961
Illinois Tool Works, Inc. Senior Notes 3.50% due 03/01/2024		111,000		121,616
				1,031,136
Drug Delivery Systems — 0.1%
Becton Dickinson and Co. Senior Notes 2.82% due 05/20/2030		750,000		808,808
E-Commerce/Products — 0.2%
Amazon.com, Inc. Senior Notes 1.50% due 06/03/2030		955,000		974,626
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037		370,000		460,660
Amazon.com, Inc. Senior Notes 4.80% due 12/05/2034		75,000		103,399
				1,538,685
E-Commerce/Services — 0.0%
GrubHub Holdings, Inc. Company Guar. Notes 5.50% due 07/01/2027*		100,000		103,750

262

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric Products-Misc. — 0.0%
Emerson Electric Co. Senior Notes 0.88% due 10/15/2026	$	118,000	$	117,206
WESCO Distribution, Inc. Company Guar. Notes 7.13% due 06/15/2025*		32,000		34,858
WESCO Distribution, Inc. Company Guar. Notes 7.25% due 06/15/2028*		14,000		15,339
				167,403
Electric-Distribution — 0.4%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		465,000		543,055
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048		240,000		295,263
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.35% due 03/15/2031		157,000		156,331
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.85% due 01/27/2025		387,000		421,591
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 07/15/2024*		75,000		78,203
NSTAR Electric Co. Senior Notes 3.95% due 04/01/2030		113,000		136,689
Oglethorpe Power Corp. 1st Mtg. Bonds 3.75% due 08/01/2050*		95,000		94,622
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048		360,000		425,618
Sempra Energy Senior Notes 3.40% due 02/01/2028		820,000		901,847
Sempra Energy Senior Notes 3.80% due 02/01/2038		355,000		397,437
				3,450,656
Electric-Generation — 0.1%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		124,000		149,452
Liberty Utilities Finance GP Company Guar. Notes 2.05% due 09/15/2030*		77,000		75,910
Pattern Energy Operations LP/ Pattern Energy Operations, Inc. Company Guar. Notes 4.50% due 08/15/2028*		65,000		67,437

Security Description	Principal Amount(7)		Value (Note 2)
Electric-Generation (continued)
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027*	$	130,000	$	136,240
				429,039
Electric-Integrated — 2.1%
AEP Texas, Inc. Senior Notes 4.15% due 05/01/2049		58,000		69,652
AES Corp. Senior Sec. Notes 3.30% due 07/15/2025*		530,000		564,641
Alabama Power Co. Senior Notes 4.15% due 08/15/2044		445,000		543,544
Appalachian Power Co. Senior Notes 3.70% due 05/01/2050		122,000		138,556
Avangrid, Inc. Senior Notes 3.20% due 04/15/2025		293,000		322,216
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029		555,000		562,878
Cleco Corporate Holdings LLC Senior Notes 3.74% due 05/01/2026		226,000		241,109
Cleco Corporate Holdings LLC Senior Notes 4.97% due 05/01/2046		35,000		38,797
Consolidated Edison Co. of New York, Inc. Senior Notes 3.95% due 04/01/2050		28,000		34,139
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		387,000		576,778
Dominion Energy, Inc. Senior Notes 3.38% due 04/01/2030		20,000		22,551
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		236,000		300,139
DTE Electric Co. General Refunding Mtg. 3.95% due 03/01/2049		233,000		293,996
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		97,835
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		59,509
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		10,000		14,695
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043		135,000		179,284

263

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044	$	900,000	$	1,121,973
Entergy Texas, Inc. 1st Mtg. Bonds 4.50% due 03/30/2039		142,000		176,949
Evergy, Inc. Senior Notes 2.90% due 09/15/2029		925,000		992,817
Evergy, Inc. Senior Notes 4.85% due 06/01/2021		91,000		92,617
Exelon Corp. Senior Notes 2.45% due 04/15/2021		240,000		242,078
Exelon Corp. Senior Notes 4.70% due 04/15/2050		154,000		195,860
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026		100,000		99,379
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		295,000		413,608
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049		145,000		185,661
Georgia Power Co. Senior Notes 2.10% due 07/30/2023		865,000		902,977
Georgia Power Co. Senior Notes 4.30% due 03/15/2042		505,000		604,445
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		195,000		240,059
Interstate Power & Light Co. Senior Notes 3.50% due 09/30/2049		91,000		99,686
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024		740,000		804,580
IPALCO Enterprises, Inc. Senior Sec. Notes 4.25% due 05/01/2030*		1,475,000		1,668,893
Kentucky Utilities Co. 1st Mtg. Bonds 3.30% due 06/01/2050		51,000		56,024
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050		430,000		476,507
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048		240,000		283,294

Security Description	Principal Amount(7)		Value (Note 2)
Electric-Integrated (continued)
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 2.25% due 06/01/2030	$	580,000	$	600,606
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031		1,210,000		1,151,278
Pacific Gas & Electric Co. 1st Mtg. Notes 3.95% due 12/01/2047		105,000		97,317
Pacific Gas & Electric Co. 1st Mtg. Notes 4.30% due 03/15/2045		65,000		63,778
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049		122,000		152,342
Public Service Co. of Colorado 1st Mtg. Bonds 2.70% due 01/15/2051		205,000		208,365
Public Service Co. of Colorado 1st Mtg. Notes 3.70% due 06/15/2028		151,000		176,221
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048		104,000		133,659
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024		430,000		460,080
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025		1,025,000		1,097,025
Southern California Edison Co. 1st Mtg. Bonds 2.25% due 06/01/2030		210,000		210,711
Southern California Edison Co. 1st Mtg. Bonds 3.65% due 02/01/2050		533,000		550,769
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047		374,000		401,310
Southern Co. Senior Notes 3.70% due 04/30/2030		1,030,000		1,176,570
Talen Energy Supply LLC Senior Sec. Notes 6.63% due 01/15/2028*		82,000		79,437
Talen Energy Supply LLC Senior Sec. Notes 7.25% due 05/15/2027*		33,000		32,888
Union Electric Co Senior Sec. Notes 2.95% due 06/15/2027		118,000		130,123
				19,440,205

264

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Transmission — 0.1%
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030*	$	715,000	$	768,867
Oncor Electric Delivery Co. LLC Senior Sec. Notes 3.10% due 09/15/2049		120,000		131,884
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029		160,000		210,382
				1,111,133
Electronic Components-Semiconductors — 0.8%
Broadcom, Inc. Company Guar. Notes 4.15% due 11/15/2030		93,000		104,471
Broadcom, Inc. Company Guar. Notes 4.25% due 04/15/2026		921,000		1,037,618
Broadcom, Inc. Company Guar. Notes 5.00% due 04/15/2030		2,799,000		3,301,693
Intel Corp. Senior Notes 2.45% due 11/15/2029		895,000		974,419
Intel Corp. Senior Notes 3.10% due 02/15/2060		695,000		755,513
Microchip Technology, Inc. Senior Sec. Notes 2.67% due 09/01/2023*		740,000		765,924
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040		615,000		720,743
NVIDIA Corp. Senior Notes 3.70% due 04/01/2060		105,000		125,180
ON Semiconductor Corp. Company Guar. Notes 3.88% due 09/01/2028*		50,000		50,704
				7,836,265
Electronic Measurement Instruments — 0.0%
Trimble, Inc. Senior Notes 4.75% due 12/01/2024		16,000		17,724
Trimble, Inc. Senior Notes 4.90% due 06/15/2028		237,000		279,672
				297,396
Electronic Parts Distribution — 0.0%
Arrow Electronics, Inc. Senior Notes 4.00% due 04/01/2025		83,000		90,243
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024		105,000		112,309
				202,552

Security Description	Principal Amount(7)		Value (Note 2)
Enterprise Software/Service — 0.2%
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024	$	70,000	$	73,325
Oracle Corp. Senior Notes 3.85% due 04/01/2060		1,425,000		1,682,235
				1,755,560
Entertainment Software — 0.0%
Activision Blizzard, Inc. Senior Notes 2.50% due 09/15/2050		98,000		91,321
Finance-Auto Loans — 0.0%
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026		104,000		107,380
Finance-Commercial — 0.1%
GE Capital Funding LLC Company Guar. Notes 4.40% due 05/15/2030*		865,000		928,931
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024*		117,000		109,395
Enova International, Inc. Company Guar. Notes 8.50% due 09/15/2025*		31,000		29,295
Navient Corp. Senior Notes 5.00% due 03/15/2027		25,000		23,476
Springleaf Finance Corp. Company Guar. Notes 5.38% due 11/15/2029		15,000		15,600
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025		96,000		106,529
Synchrony Financial Senior Notes 4.50% due 07/23/2025		487,000		537,596
				821,891
Finance-Credit Card — 0.2%
Alliance Data Systems Corp. Company Guar. Notes 4.75% due 12/15/2024*		85,000		79,670
American Express Co. Senior Notes 3.40% due 02/22/2024		105,000		114,155
American Express Co. Senior Notes 4.20% due 11/06/2025		83,000		96,131
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024		755,000		821,803
Mastercard, Inc. Senior Notes 2.00% due 03/03/2025		162,000		172,478

265

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Credit Card (continued)
Visa, Inc. Senior Notes 0.75% due 08/15/2027	$	50,000	$	49,621
				1,333,858
Finance-Investment Banker/Broker — 0.0%
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		83,000		86,003
Finance-Mortgage Loan/Banker — 0.0%
Genworth Mtg. Holdings, Inc. Senior Notes 6.50% due 08/15/2025*		50,000		52,235
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. Company Guar. Notes 3.63% due 03/01/2029*		48,000		47,580
				99,815
Financial Guarantee Insurance — 0.0%
NMI Holdings, Inc. Senior Sec. Notes 7.38% due 06/01/2025*		32,000		34,200
Food-Confectionery — 0.1%
Mondelez International, Inc. Senior Notes 1.50% due 05/04/2025		420,000		431,609
Mondelez International, Inc. Senior Sec. Notes 1.50% due 02/04/2031		495,000		482,527
Mondelez International, Inc. Senior Notes 1.88% due 10/15/2032		73,000		72,829
				986,965
Food-Meat Products — 0.1%
NBM US Holdings, Inc. Company Guar. Notes 7.00% due 05/14/2026*		675,000		714,481
Smithfield Foods, Inc. Company Guar. Notes 4.25% due 02/01/2027*		94,000		102,711
Smithfield Foods, Inc. Senior Notes 5.20% due 04/01/2029*		81,000		94,756
				911,948
Food-Misc./Diversified — 0.3%
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024		455,000		507,639
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028		353,000		431,108
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048		100,000		136,077

Security Description	Principal Amount(7)		Value (Note 2)
Food-Misc./Diversified (continued)
Conagra Brands, Inc. Senior Notes 7.00% due 10/01/2028	$	139,000	$	186,137
Dole Food Co., Inc. Senior Sec. Notes 7.25% due 06/15/2025*		80,000		79,600
Kellogg Co. Senior Notes 3.40% due 11/15/2027		495,000		558,127
Kraft Heinz Foods Co. Company Guar. Notes 4.88% due 10/01/2049*		29,000		30,604
Lamb Weston Holdings, Inc. Company Guar. Notes 4.63% due 11/01/2024*		50,000		52,125
Mars, Inc. Senior Notes 2.38% due 07/16/2040*		74,000		74,003
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025*		184,000		208,126
				2,263,546
Food-Retail — 0.0%
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/ Albertsons LLC Company Guar. Notes 4.63% due 01/15/2027*		55,000		56,275
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/ Albertsons LLC Company Guar. Notes 5.75% due 03/15/2025		70,000		72,208
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/ Albertsons LLC Company Guar. Notes 5.88% due 02/15/2028*		45,000		48,038
				176,521
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.40% due 02/15/2030		117,000		117,402
Sysco Corp. Company Guar. Notes 5.95% due 04/01/2030		334,000		423,321
Sysco Corp. Company Guar. Bonds 6.60% due 04/01/2040		125,000		169,066
Sysco Corp. Company Guar. Notes 6.60% due 04/01/2050		46,000		64,572
US Foods, Inc. Senior Sec. Notes 6.25% due 04/15/2025*		41,000		43,409
				817,770

266

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Funeral Services & Related Items — 0.2%
Service Corp. International Senior Notes 3.38% due 08/15/2030	$	560,000	$	560,700
Service Corp. International Senior Notes 5.13% due 06/01/2029		724,000		802,286
				1,362,986
Gas-Distribution — 0.3%
Dominion Energy Gas Holdings LLC Senior Notes 2.50% due 11/15/2024		930,000		989,529
NiSource, Inc. Senior Notes 3.49% due 05/15/2027		780,000		869,334
NiSource, Inc. Senior Notes 3.60% due 05/01/2030		975,000		1,110,985
NiSource, Inc. Senior Notes 5.65% due 02/01/2045		84,000		115,886
				3,085,734
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		1,175,000		1,219,063
Hotels/Motels — 0.1%
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		802,000		797,990
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. Company Guar. Notes 6.13% due 12/01/2024		65,000		67,275
Wyndham Worldwide Corp. Senior Sec. Notes 6.00% due 04/01/2027		105,000		107,691
				972,956
Human Resources — 0.0%
Korn Ferry International Company Guar. Notes 4.63% due 12/15/2027*		72,000		72,720
Independent Power Producers — 0.0%
NRG Yield Operating LLC Company Guar. Notes 5.00% due 09/15/2026		70,000		71,925
Industrial Gases — 0.0%
Air Products and Chemicals, Inc. Senior Notes 1.50% due 10/15/2025		120,000		124,483
Instruments-Controls — 0.0%
Honeywell International, Inc. Senior Notes 0.48% due 08/19/2022		94,000		94,155

Security Description	Principal Amount(7)		Value (Note 2)
Insurance Brokers — 0.3%
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022	$	740,000	$	765,672
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		320,259
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023		295,000		323,216
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039		435,000		572,617
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029		245,000		264,007
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		610,000		666,226
Willis North America, Inc. Company Guar. Notes 3.88% due 09/15/2049		92,000		105,736
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048		33,000		44,425
				3,062,158
Insurance-Life/Health — 0.4%
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047		132,000		127,037
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030		2,015,000		2,346,599
Pacific LifeCorp Senior Notes 3.35% due 09/15/2050*		56,000		56,577
Prudential Financial, Inc. Senior Notes 1.50% due 03/10/2026		284,000		295,851
Unum Group Senior Notes 4.00% due 06/15/2029		310,000		339,591
Unum Group Senior Notes 4.50% due 03/15/2025		261,000		289,914
Unum Group Senior Notes 4.50% due 12/15/2049		495,000		479,675
Voya Financial, Inc. Company Guar. Notes 4.80% due 06/15/2046		15,000		18,299
				3,953,543
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070*		183,000		188,700

267

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Mutual (continued)
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024*	$	200,000	$	215,039
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025*		1,265,000		1,330,183
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050*		80,000		90,194
				1,824,116
Insurance-Property/Casualty — 0.1%
Chubb INA Holdings, Inc. Company Guar. Notes 1.38% due 09/15/2030		77,000		76,154
Progressive Corp. Senior Notes 3.20% due 03/26/2030		310,000		354,491
				430,645
Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		85,000		86,700
Internet Content-Entertainment — 0.0%
Netflix, Inc. Senior Notes 4.88% due 06/15/2030*		150,000		171,000
Internet Security — 0.1%
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025*		745,000		762,455
Investment Management/Advisor Services — 0.0%
AG Issuer LLC Senior Sec. Notes 6.25% due 03/01/2028*		75,000		74,625
Ameriprise Financial, Inc. Senior Notes 3.00% due 03/22/2022		128,000		132,820
				207,445
Machinery-Construction & Mining — 0.0%
Caterpillar Financial Services Corp. Senior Notes 0.65% due 07/07/2023		182,000		182,867
Caterpillar Financial Services Corp. Senior Notes 1.10% due 09/14/2027		136,000		136,134
				319,001
Machinery-Electrical — 0.0%
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023		189,000		202,251
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 1.88% due 01/15/2026		129,000		128,824

Security Description	Principal Amount(7)		Value (Note 2)
Machinery-Farming (continued)
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024	$	229,000	$	246,044
John Deere Capital Corp. Senior Notes 2.95% due 04/01/2022		238,000		247,327
John Deere Capital Corp. Senior Notes 3.65% due 10/12/2023		77,000		84,610
				706,805
Machinery-General Industrial — 0.2%
Otis Worldwide Corp. Senior Sec. Notes 2.57% due 02/15/2030		1,895,000		2,036,615
Machinery-Pumps — 0.0%
Xylem, Inc. Senior Notes 1.95% due 01/30/2028		233,000		242,776
Medical Instruments — 0.3%
Alcon Finance Corp. Company Guar. Notes 2.75% due 09/23/2026*		535,000		581,330
Alcon Finance Corp. Company Guar. Notes 3.00% due 09/23/2029*		560,000		605,672
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025		425,000		444,103
Boston Scientific Corp. Senior Notes 3.75% due 03/01/2026		1,295,000		1,475,754
				3,106,859
Medical Labs & Testing Services — 0.1%
Catalent Pharma Solutions, Inc. Company Guar. Notes 5.00% due 07/15/2027*		38,000		39,520
Quest Diagnostics, Inc. Senior Notes 2.80% due 06/30/2031		355,000		382,362
				421,882
Medical Products — 0.2%
Baxter International, Inc. Senior Notes 3.75% due 10/01/2025*		253,000		287,010
Baxter International, Inc. Senior Notes 3.95% due 04/01/2030*		390,000		467,225
Zimmer Biomet Holdings, Inc. Senior Notes 3.05% due 01/15/2026		1,300,000		1,426,451
				2,180,686
Medical-Biomedical/Gene — 0.7%
Amgen, Inc. Senior Notes 2.30% due 02/25/2031		1,965,000		2,061,361

268

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Amgen, Inc. Senior Notes 2.65% due 05/11/2022	$	450,000	$	465,533
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		768,000		817,039
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		596,000		640,543
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		24,000		24,983
Biogen, Inc. Senior Bonds 3.15% due 05/01/2050		71,000		70,065
Gilead Sciences, Inc. Senior Notes 1.65% due 10/01/2030		1,400,000		1,397,566
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		565,601
Regeneron Pharmaceuticals, Inc. Senior Notes 1.75% due 09/15/2030		140,000		137,029
Regeneron Pharmaceuticals, Inc. Senior Bonds 2.80% due 09/15/2050		78,000		73,512
				6,253,232
Medical-Drugs — 0.8%
AbbVie, Inc. Senior Notes 2.95% due 11/21/2026*		850,000		925,843
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029*		1,080,000		1,189,854
AbbVie, Inc. Senior Notes 4.05% due 11/21/2039*		107,000		123,046
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		649,000		770,478
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042*		305,000		371,238
AbbVie, Inc. Senior Notes 4.88% due 02/15/2021*		75,000		75,416
Bayer US Finance II LLC Company Guar. Notes 4.25% due 12/15/2025*		860,000		983,694
Bayer US Finance II LLC Company Guar. Notes 4.88% due 06/25/2048*		230,000		285,399
Bristol-Myers Squibb Co. Senior Notes 4.63% due 05/15/2044		104,000		139,339

Security Description	Principal Amount(7)		Value (Note 2)
Medical-Drugs (continued)
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023	$	115,000	$	123,815
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025		805,000		915,142
Pfizer, Inc. Senior Notes 1.70% due 05/28/2030		700,000		721,408
Upjohn, Inc. Company Guar. Notes 1.65% due 06/22/2025*		240,000		245,674
Upjohn, Inc. Company Guar. Notes 2.30% due 06/22/2027*		190,000		196,753
Upjohn, Inc. Company Guar. Notes 4.00% due 06/22/2050*		76,000		81,114
				7,148,213
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028		120,000		139,789
Par Pharmaceutical, Inc. Senior Sec. Notes 7.50% due 04/01/2027*		73,000		76,480
				216,269
Medical-HMO — 0.4%
Anthem, Inc. Senior Notes 2.25% due 05/15/2030		300,000		308,929
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		400,000		502,414
Centene Corp. Senior Notes 4.63% due 12/15/2029		195,000		210,339
UnitedHealth Group, Inc. Senior Notes 1.25% due 01/15/2026		155,000		159,129
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030		610,000		639,154
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029		550,000		613,360
UnitedHealth Group, Inc. Senior Notes 3.13% due 05/15/2060		76,000		81,566
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039		360,000		413,575

269

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO (continued)
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025	$	105,000	$	119,844
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		194,000		264,809
				3,313,119
Medical-Hospitals — 0.1%
Acadia Healthcare Co, Inc. Senior Notes 5.00% due 04/15/2029*		14,000		14,193
Acadia Healthcare Co., Inc. Company Guar. Notes 5.50% due 07/01/2028*		68,000		69,939
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029		85,000		90,100
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		200,000		219,000
LifePoint Health, Inc. Senior Sec. Notes 4.38% due 02/15/2027*		69,000		69,086
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024		75,000		75,375
Tenet Healthcare Corp. Company Guar. Notes 6.13% due 10/01/2028*		89,000		86,552
				624,245
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 4.60% due 03/15/2043		170,000		186,370
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 4.13% due 03/01/2028		36,000		36,450
Freeport-McMoRan, Inc. Company Guar. Notes 4.25% due 03/01/2030		47,000		48,175
Freeport-McMoRan, Inc. Company Guar. Notes 5.25% due 09/01/2029		48,000		51,600
				136,225
Metal-Iron — 0.0%
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025		48,000		44,520
Cleveland-Cliffs, Inc. Senior Sec. Notes 6.75% due 03/15/2026*		44,000		44,770
				89,290

Security Description	Principal Amount(7)		Value (Note 2)
Multimedia — 0.2%
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025*	$	107,000	$	104,593
Walt Disney Co. Company Guar. Notes 2.65% due 01/13/2031		1,165,000		1,257,816
Walt Disney Co. Company Guar. Bonds 2.75% due 09/01/2049		163,000		158,943
				1,521,352
Non-Hazardous Waste Disposal — 0.0%
Covanta Holding Corp. Company Guar. Notes 5.00% due 09/01/2030		74,000		74,688
Non-Profit Charity — 0.0%
Ford Foundation Notes 2.82% due 06/01/2070		100,000		104,337
Oil Companies-Exploration & Production — 0.3%
Apache Corp. Senior Notes 4.38% due 10/15/2028		59,000		53,985
Apache Corp. Senior Notes 4.63% due 11/15/2025		8,000		7,625
Apache Corp. Senior Notes 4.88% due 11/15/2027		50,000		47,250
Callon Petroleum Co. Company Guar. Notes 6.13% due 10/01/2024		32,000		9,120
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026		120,000		29,400
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.75% due 01/30/2028*		40,000		40,200
EOG Resources, Inc. Senior Notes 4.38% due 04/15/2030		73,000		86,015
EOG Resources, Inc. Senior Bonds 4.95% due 04/15/2050		78,000		95,841
Hess Corp. Senior Notes 7.13% due 03/15/2033		44,000		53,008
Hess Corp. Senior Notes 7.30% due 08/15/2031		875,000		1,070,095
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		149,000		135,217
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		108,000		111,203

270

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Marathon Oil Corp. Senior Notes 6.80% due 03/15/2032	$	92,000	$	98,621
Noble Energy, Inc. Senior Notes 4.20% due 10/15/2049		70,000		84,119
Noble Energy, Inc. Senior Notes 5.25% due 11/15/2043		102,000		135,230
Occidental Petroleum Corp. Senior Notes 5.88% due 09/01/2025		48,000		43,990
Occidental Petroleum Corp. Senior Notes 6.38% due 09/01/2028		74,000		68,502
Pioneer Natural Resources Co. Senior Notes 1.90% due 08/15/2030		111,000		104,109
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026		40,000		39,100
Southwestern Energy Co. Company Guar. Notes 8.38% due 09/15/2028		28,000		27,513
				2,340,143
Oil Companies-Integrated — 0.2%
BP Capital Markets America, Inc. Company Guar. Notes 2.77% due 11/10/2050		186,000		171,640
BP Capital Markets America, Inc. Company Guar. Notes 3.54% due 04/06/2027		350,000		391,779
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030		355,000		407,242
Chevron Corp. Senior Notes 1.55% due 05/11/2025		235,000		243,519
Chevron USA, Inc. Company Guar. Notes 1.02% due 08/12/2027		83,000		83,058
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040		695,000		850,355
				2,147,593
Oil Field Machinery & Equipment — 0.0%
Hi-Crush Partners LP Company Guar. Notes 9.50% due 08/01/2026*		147,000		7,166
Oil Refining & Marketing — 0.2%
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025		960,000		1,084,870
PBF Holding Co. LLC/PBF Finance Corp. Company Guar. Notes 6.00% due 02/15/2028*		94,000		63,079

Security Description	Principal Amount(7)		Value (Note 2)
Oil Refining & Marketing (continued)
Phillips 66 Company Guar. Notes 2.15% due 12/15/2030	$	117,000	$	113,782
Valero Energy Corp. Senior Notes 2.15% due 09/15/2027		84,000		83,661
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029		210,000		230,096
				1,575,488
Oil-Field Services — 0.1%
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026		28,000		26,745
Archrock Partners LP/Archrock Partners Finance Corp. Company Guar. Notes 6.88% due 04/01/2027*		67,000		64,178
Baker Hughes a GE Co. LLC/ Baker Hughes Co-Obligor, Inc. Senior Notes 4.49% due 05/01/2030		48,000		54,542
Halliburton Co. Senior Notes 2.92% due 03/01/2030		117,000		115,289
Nine Energy Service, Inc. Company Guar. Notes 8.75% due 11/01/2023*		116,000		34,800
Schlumberger Holdings Corp. Senior Notes 4.00% due 12/21/2025*		120,000		134,359
USA Compression Partners LP/ USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026		82,000		81,282
				511,195
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.75% due 08/15/2028*		70,000		70,175
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		224,000		259,983
Georgia-Pacific LLC Senior Notes 2.30% due 04/30/2030*		128,000		135,819
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		309,000		332,678
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		112,000		112,440
				911,095

271

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Petrochemicals — 0.0%
Chevron Phillips Chemical Co. LLC/ Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023*	$	112,000	$	118,840
Pharmacy Services — 0.2%
CVS Health Corp. Senior Notes 2.70% due 08/21/2040		53,000		50,514
CVS Health Corp Senior Notes 4.13% due 04/01/2040		285,000		324,609
CVS Health Corp Senior Notes 4.25% due 04/01/2050		59,000		69,348
CVS Health Corp. Senior Notes 4.78% due 03/25/2038		204,000		248,551
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		13,000		16,593
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		1,140,000		1,440,378
				2,149,993
Physical Therapy/Rehabilitation Centers — 0.0%
Encompass Health Corp. Company Guar. Notes 4.63% due 04/01/2031		21,000		21,000
Pipelines — 1.0%
Buckeye Partners LP Senior Notes 4.13% due 03/01/2025*		44,000		41,800
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028*		60,000		57,825
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 3.70% due 11/15/2029*		125,000		129,923
Cheniere Energy Partners LP Company Guar. Notes 4.50% due 10/01/2029		19,000		19,490
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025		62,000		63,426
Cheniere Energy, Inc. Senior Sec. Notes 4.63% due 10/15/2028*		52,000		53,365
Colonial Enterprises, Inc. Company Guar. Notes 3.25% due 05/15/2030*		48,000		53,696
DCP Midstream Operating LP Company Guar. Notes 5.63% due 07/15/2027		42,000		42,966
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037*		19,000		18,240

Security Description	Principal Amount(7)		Value (Note 2)
Pipelines (continued)
Enable Midstream Partners LP Senior Notes 4.95% due 05/15/2028	$	113,000	$	110,325
Energy Transfer Operating LP Company Guar. Notes 4.90% due 03/15/2035		168,000		165,373
Energy Transfer Operating LP Company Guar. Notes 4.95% due 06/15/2028		210,000		222,520
Energy Transfer Operating LP Company Guar. Notes 5.50% due 06/01/2027		17,000		18,719
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		1,351,000		1,356,122
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045		41,000		26,035
Enterprise Products Operating LLC Company Guar. Notes 3.20% due 02/15/2052		132,000		121,980
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048		91,000		96,614
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		109,000		92,904
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.50% due 10/01/2025		25,000		21,625
Gray Oak Pipeline LLC Senior Notes 2.00% due 09/15/2023*		176,000		176,971
Gray Oak Pipeline LLC Senior Notes 3.45% due 10/15/2027*		105,000		107,283
Harvest Midstream I LP Senior Notes 7.50% due 09/01/2028*		85,000		84,575
Holly Energy Partners LP/ Holly Energy Finance Corp. Company Guar. Notes 5.00% due 02/01/2028*		109,000		106,275
Kinder Morgan Energy Partners LP Company Guar. Notes 3.50% due 03/01/2021		485,000		488,467
Kinder Morgan, Inc. Company Guar. Notes 3.25% due 08/01/2050		128,000		115,269
MPLX LP Senior Notes 1.75% due 03/01/2026		265,000		263,806
MPLX LP Senior Notes 2.65% due 08/15/2030		95,000		92,726

272

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
MPLX LP Senior Notes 4.13% due 03/01/2027	$	275,000	$	302,292
MPLX LP Senior Notes 4.25% due 12/01/2027		560,000		627,644
MPLX LP Senior Notes 5.20% due 03/01/2047		310,000		338,007
MPLX LP Senior Notes 5.20% due 12/01/2047		155,000		170,516
MPLX LP Senior Notes 5.50% due 02/15/2049		55,000		61,772
NuStar Logistics LP Company Guar. Notes 6.38% due 10/01/2030		76,000		78,850
ONEOK Partners LP Company Guar. Notes 6.65% due 10/01/2036		72,000		81,038
ONEOK, Inc. Company Guar. Notes 2.20% due 09/15/2025		135,000		133,099
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030		237,000		227,983
ONEOK, Inc. Company Guar. Bonds 4.45% due 09/01/2049		190,000		169,103
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026		345,000		396,784
ONEOK, Inc. Company Guar. Notes 7.15% due 01/15/2051		50,000		59,413
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 4.30% due 01/31/2043		55,000		46,609
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030*		581,000		654,468
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027		305,000		311,678
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. Company Guar. Notes 4.88% due 02/01/2031*		76,000		73,600
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028		6,000		5,850

Security Description	Principal Amount(7)		Value (Note 2)
Pipelines (continued)
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*	$	510,000	$	524,775
Transcontinental Gas Pipe Line Co. LLC Senior Notes 3.25% due 05/15/2030*		85,000		91,874
Williams Cos., Inc. Senior Notes 4.90% due 01/15/2045		36,000		38,390
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045		125,000		140,181
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044		187,000		220,277
Williams Cos., Inc. Senior Notes 6.30% due 04/15/2040		119,000		147,144
				9,049,667
Poultry — 0.0%
Pilgrim's Pride Corp. Company Guar. Notes 5.88% due 09/30/2027*		80,000		82,600
Protection/Safety — 0.0%
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.25% due 04/15/2024*		99,000		103,702
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.75% due 04/15/2026*		75,000		80,204
Prime Security Services Borrower LLC/Prime Finance, Inc. Sec. Notes 6.25% due 01/15/2028*		45,000		45,563
				229,469
Real Estate Investment Trusts — 0.7%
Alexandria Real Estate Equities, Inc. Company Guar. Notes 1.88% due 02/01/2033		54,000		52,884
American Tower Corp. Senior Notes 2.10% due 06/15/2030		330,000		332,138
American Tower Corp. Senior Notes 2.40% due 03/15/2025		555,000		586,538
American Tower Corp. Senior Notes 3.10% due 06/15/2050		110,000		108,794
Brixmor Operating Partnership LP Senior Notes 4.05% due 07/01/2030		988,000		1,056,754
Columbia Property Trust Operating Partnership LP Company Guar. Notes 4.15% due 04/01/2025		179,000		187,435

273

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
CTR Partnership LP/ CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025	$	88,000	$	90,200
Equinix, Inc. Senior Notes 1.80% due 07/15/2027		115,000		116,074
ESH Hospitality, Inc. Company Guar. Notes 4.63% due 10/01/2027*		75,000		73,595
Essex Portfolio LP Company Guar. Notes 2.65% due 09/01/2050		106,000		99,473
GLP Capital LP/ GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031		665,000		692,285
GLP Capital LP/ GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029		575,000		640,360
GLP Capital LP/ GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		48,000		53,198
GLP Capital LP/ GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028		185,000		211,213
HAT Holdings I LLC/ HAT Holdings II LLC Company Guar. Notes 3.75% due 09/15/2030*		21,000		21,053
HAT Holdings I LLC/ HAT Holdings II LLC Company Guar. Notes 5.25% due 07/15/2024*		78,000		81,281
HAT Holdings I LLC/ HAT Holdings II LLC Company Guar. Notes 6.00% due 04/15/2025*		31,000		33,024
Host Hotels & Resorts LP Senior Notes 3.50% due 09/15/2030		101,000		96,678
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. Company Guar. Notes 4.25% due 02/01/2027*		74,000		64,010
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.75% due 02/01/2027		75,000		80,813
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027		55,000		57,349

Security Description	Principal Amount(7)		Value (Note 2)
Real Estate Investment Trusts (continued)
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer Senior Sec. Notes 5.88% due 10/01/2028*	$	75,000	$	74,813
Piedmont Operating Partnership LP Company Guar. Notes 3.15% due 08/15/2030		137,000		134,209
Prologis LP Senior Notes 1.25% due 10/15/2030		68,000		66,494
Prologis LP Senior Bonds 2.13% due 10/15/2050		50,000		45,022
Prologis LP Senior Notes 3.00% due 04/15/2050		110,000		118,122
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026		104,000		112,459
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 4.80% due 06/01/2024		83,000		87,214
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2050*		550,000		588,628
Simon Property Group LP Senior Notes 3.25% due 09/13/2049		98,000		89,877
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025		105,000		100,538
VEREIT Operating Partnership LP Company Guar. Notes 3.40% due 01/15/2028		165,000		172,275
Welltower, Inc. Senior Notes 2.75% due 01/15/2031		87,000		89,651
				6,414,451
Real Estate Management/Services — 0.0%
Cushman & Wakefield US Borrower LLC Senior Sec. Notes 6.75% due 05/15/2028*		60,000	��	62,289
Newmark Group, Inc. Senior Notes 6.13% due 11/15/2023		80,000		83,194
				145,483
Recycling — 0.0%
Harsco Corp. Company Guar. Notes 5.75% due 07/31/2027*		95,000		96,188

274

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Rental Auto/Equipment — 0.1%
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023*	$	120,000	$	63,600
Ashtead Capital, Inc. Company Guar. Notes 4.38% due 08/15/2027*		1,000,000		1,040,000
Avis Budget Car Rental LLC/ Avis Budget Finance, Inc. Company Guar. Notes 5.75% due 07/15/2027*		64,000		57,613
				1,161,213
Research & Development — 0.0%
Jaguar Holding Co. II/PPD Development LP Company Guar. Notes 5.00% due 06/15/2028*		52,000		54,275
Resorts/Theme Parks — 0.0%
SeaWorld Parks & Entertainment, Inc. Senior Sec. Notes 8.75% due 05/01/2025*		65,000		68,738
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027*		75,000		71,122
Six Flags Theme Parks, Inc. Senior Sec. Notes 7.00% due 07/01/2025*		7,000		7,446
				147,306
Retail-Apparel/Shoe — 0.0%
L Brands, Inc. Company Guar. Notes 6.63% due 10/01/2030*		26,000		26,455
Ross Stores, Inc. Senior Notes 5.45% due 04/15/2050		120,000		157,278
				183,733
Retail-Appliances — 0.0%
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022		59,000		52,538
Retail-Auto Parts — 0.1%
Advance Auto Parts, Inc. Company Guar. Notes 1.75% due 10/01/2027		88,000		87,739
Advance Auto Parts, Inc. Company Guar. Notes 3.90% due 04/15/2030		118,000		132,963
AutoZone, Inc. Senior Notes 3.63% due 04/15/2025		335,000		373,557
				594,259
Retail-Automobile — 0.0%
AutoNation, Inc. Senior Notes 4.75% due 06/01/2030		49,000		57,733

Security Description	Principal Amount(7)		Value (Note 2)
Retail-Building Products — 0.4%
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040	$	1,335,000	$	1,516,582
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025		985,000		1,098,669
Lowe's Cos., Inc. Senior Notes 4.55% due 04/05/2049		480,000		615,921
Lowe's Cos., Inc. Senior Bonds 5.00% due 04/15/2040		265,000		347,368
				3,578,540
Retail-Drug Store — 0.0%
Walgreens Boots Alliance, Inc. Senior Notes 4.10% due 04/15/2050		66,000		65,948
Retail-Major Department Stores — 0.0%
TJX Cos, Inc. Senior Notes 3.75% due 04/15/2027		109,000		124,961
Retail-Pawn Shops — 0.0%
FirstCash, Inc. Company Guar. Notes 4.63% due 09/01/2028*		57,000		58,069
Retail-Petroleum Products — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 4.75% due 09/15/2029		60,000		63,900
Retail-Regional Department Stores — 0.0%
Kohl's Corp. Senior Notes 5.55% due 07/17/2045		153,000		140,699
Kohl's Corp. Senior Notes 9.50% due 05/15/2025		58,000		68,583
				209,282
Retail-Restaurants — 0.2%
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024*		85,000		86,577
Darden Restaurants, Inc. Senior Notes 4.55% due 02/15/2048		122,000		121,309
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024*		105,000		87,675
McDonald's Corp. Senior Notes 3.35% due 04/01/2023		460,000		491,269
McDonald's Corp. Senior Notes 3.63% due 09/01/2049		830,000		931,969
McDonald's Corp. Senior Notes 4.20% due 04/01/2050		219,000		266,544
				1,985,343

275

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026	$	125,000	$	135,275
Savings & Loans/Thrifts — 0.1%
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		259,000		279,385
New York Community Bancorp, Inc. Sub. Notes 5.90% due 11/06/2028		293,000		298,463
				577,848
Schools — 0.1%
Howard University Notes 2.29% due 10/01/2026		100,000		102,095
Howard University Notes 2.70% due 10/01/2029		250,000		255,053
Howard University Notes 2.80% due 10/01/2030		100,000		103,204
Howard University Notes 2.90% due 10/01/2031		100,000		104,398
Howard University Notes 3.48% due 10/01/2041		95,000		96,794
				661,544
Security Services — 0.0%
Brink's Co. Company Guar. Notes 4.63% due 10/15/2027*		45,000		44,930
Brink's Co. Company Guar. Notes 5.50% due 07/15/2025*		29,000		30,233
				75,163
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 4.20% due 05/01/2030*		101,000		115,927
Software Tools — 0.0%
VMware, Inc. Senior Notes 4.70% due 05/15/2030		116,000		137,559
Steel-Producers — 0.1%
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026		57,000		59,280
Reliance Steel & Aluminum Co. Senior Notes 2.15% due 08/15/2030		52,000		50,879
Steel Dynamics, Inc. Senior Notes 2.80% due 12/15/2024		463,000		488,432

Security Description	Principal Amount(7)		Value (Note 2)
Steel-Producers (continued)
Steel Dynamics, Inc. Senior Notes 3.25% due 01/15/2031	$	39,000	$	41,731
Steel Dynamics, Inc. Senior Notes 3.45% due 04/15/2030		124,000		136,715
				777,037
Telecom Equipment-Fiber Optics — 0.0%
Corning, Inc. Senior Notes 5.45% due 11/15/2079		233,000		296,534
Telephone-Integrated — 1.1%
AT&T, Inc. Senior Notes 1.65% due 02/01/2028		39,000		39,074
AT&T, Inc. Senior Notes 3.50% due 02/01/2061		1,955,000		1,861,515
AT&T, Inc. Senior Notes 3.65% due 09/15/2059*		1,177,000		1,156,225
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		301,000		355,374
AT&T, Inc. Senior Notes 4.50% due 03/09/2048		526,000		603,645
AT&T, Inc. Senior Notes 4.85% due 07/15/2045		116,000		138,402
AT&T, Inc. Senior Notes 4.90% due 08/15/2037		344,000		415,691
CenturyLink, Inc. Senior Notes 5.13% due 12/15/2026*		61,000		62,671
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024		77,000		86,209
Verizon Communications, Inc. Senior Notes 1.50% due 09/18/2030		212,000		211,290
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		67,000		82,644
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		62,000		77,294
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		1,815,000		2,302,029
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		1,115,000		1,460,111
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		1,275,000		1,765,696

276

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Zayo Group Holdings, Inc. Senior Notes 6.13% due 03/01/2028*	$	56,000	$	57,803
				10,675,673
Television — 0.4%
Belo Corp. Company Guar. Notes 7.25% due 09/15/2027		45,000		49,725
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027		102,000		115,770
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		456,000		484,738
ViacomCBS, Inc. Senior Notes 4.20% due 05/19/2032		225,000		257,480
ViacomCBS, Inc. Senior Notes 4.95% due 01/15/2031		2,285,000		2,747,617
				3,655,330
Tobacco — 0.8%
Altria Group, Inc. Company Guar. Notes 2.35% due 05/06/2025		340,000		359,248
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026		785,000		842,008
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		700,000		719,546
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026		475,000		548,702
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039		785,000		1,004,574
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028		360,000		361,786
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024		1,905,000		2,011,713
Philip Morris International, Inc. Senior Notes 2.10% due 05/01/2030		815,000		838,321
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043		475,000		556,051
				7,241,949
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. Senior Notes 3.40% due 03/01/2026		105,000		117,680

Security Description	Principal Amount(7)		Value (Note 2)
Transactional Software — 0.1%
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028*	$	635,000	$	641,747
Transport-Air Freight — 0.0%
Cargo Aircraft Management, Inc. Company Guar. Notes 4.75% due 02/01/2028*		75,000		75,739
Transport-Equipment & Leasing — 0.0%
GATX Corp. Senior Notes 4.00% due 06/30/2030		87,000		100,218
GATX Corp. Senior Notes 4.35% due 02/15/2024		200,000		218,532
				318,750
Transport-Marine — 0.0%
Kirby Corp. Senior Notes 4.20% due 03/01/2028		118,000		122,263
Transport-Rail — 0.2%
Kansas City Southern Company Guar. Notes 2.88% due 11/15/2029		91,000		96,462
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048		68,000		75,604
Norfolk Southern Corp. Senior Notes 4.10% due 05/15/2049		149,000		186,648
Union Pacific Corp. Senior Notes 2.97% due 09/16/2062*		880,000		863,676
Union Pacific Corp. Senior Notes 3.84% due 03/20/2060		80,000		92,802
				1,315,192
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.25% due 05/15/2030		780,000		937,614
FedEx Corp. Pass Through Trust Senior Sec. Notes Series 2020-1, Class AA 1.88% due 08/20/2035		171,000		173,505
United Parcel Service, Inc. Senior Notes 3.90% due 04/01/2025		86,000		97,982
				1,209,101
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.70% due 11/01/2024*		585,000		620,667

277

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Trucking/Leasing (continued)
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.35% due 11/01/2029*	$	31,000	$	32,957
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.40% due 11/15/2026*		257,000		281,255
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.00% due 07/15/2025*		530,000		597,060
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.20% due 04/01/2027*		84,000		94,185
				1,626,124
Vitamins & Nutrition Products — 0.0%
HLF Financing SARL LLC/ Herbalife International, Inc. Company Guar. Notes 7.25% due 08/15/2026*		70,000		71,925
Water — 0.1%
American Water Capital Corp. Senior Notes 2.80% due 05/01/2030		315,000		345,033
American Water Capital Corp. Senior Bonds 3.45% due 05/01/2050		56,000		62,789
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049		255,000		319,071
Essential Utilities, Inc. Senior Bonds 3.35% due 04/15/2050		74,000		79,100
				805,993
Web Portals/ISP — 0.1%
Alphabet, Inc. Senior Notes 1.10% due 08/15/2030		145,000		144,359
Alphabet, Inc. Senior Notes 2.05% due 08/15/2050		849,000		794,656
				939,015
Total U.S. Corporate Bonds & Notes (cost $242,755,889)				263,088,366
FOREIGN CORPORATE BONDS & NOTES — 5.0%
Aerospace/Defense — 0.1%
BAE Systems PLC Senior Notes 3.00% due 09/15/2050*		201,000		203,201
BAE Systems PLC Senior Notes 3.40% due 04/15/2030*		206,000		230,228
				433,429

Security Description	Principal Amount(7)		Value (Note 2)
Agricultural Chemicals — 0.1%
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025*	$	150,000	$	136,500
Nutrien, Ltd. Senior Notes 3.95% due 05/13/2050		115,000		131,483
Syngenta Finance NV Company Guar. Notes 4.89% due 04/24/2025*		445,000		482,471
Yara International ASA Senior Notes 3.15% due 06/04/2030*		51,000		54,575
				805,029
Agricultural Operations — 0.1%
Kernel Holding SA Senior Notes 6.50% due 10/17/2024		540,000		538,650
Airlines — 0.0%
Delta Air Lines/Skymiles Senior Sec. Notes 4.50% due 10/20/2025*		21,524		22,102
Delta Air Lines/Skymiles Senior Sec. Notes 4.75% due 10/20/2028*		16,000		16,612
				38,714
Airport Development/Maintenance — 0.1%
International Airport Finance SA Senior Sec. Notes 12.00% due 03/15/2033*		947,799		831,694
Auto/Truck Parts & Equipment-Original — 0.0%
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025*		45,000		51,413
Banks-Commercial — 0.4%
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Senior Notes 5.38% due 04/17/2025*		154,000		171,402
Bank of Montreal Senior Notes 2.05% due 11/01/2022		342,000		353,467
Canadian Imperial Bank of Commerce Senior Notes 2.25% due 01/28/2025		204,000		215,157
Cooperatieve Rabobank UA Senior Notes 1.00% due 09/24/2026*		286,000		284,875
Danske Bank A/S Senior Notes 3.88% due 09/12/2023*		200,000		215,332
Danske Bank A/S Senior Notes 5.00% due 01/12/2022*		435,000		456,988

278

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Danske Bank A/S Senior Notes 5.38% due 01/12/2024*	$	455,000	$	511,786
DBS Group Holdings, Ltd. Senior Notes 2.85% due 04/16/2022*		203,000		209,424
Grupo Aval, Ltd. Company Guar. Notes 4.38% due 02/04/2030*		200,000		193,140
ING Groep NV Senior Notes 1.40% due 07/01/2026*		261,000		263,976
Metro Bank PLC Sub. Notes 5.50% due 06/26/2028	GBP	200,000		103,099
Shinhan Bank Co., Ltd. Sub. Notes 4.00% due 04/23/2029*		200,000		224,478
				3,203,124
Banks-Special Purpose — 0.0%
Industrial Bank of Korea Senior Notes 1.04% due 06/22/2025*		341,000		343,316
Beverages-Non-alcoholic — 0.0%
Coca-Cola Femsa SAB de CV Company Guar. Notes 1.85% due 09/01/2032		164,000		164,361
Beverages-Wine/Spirits — 0.1%
Diageo Capital PLC Company Guar. Notes 2.00% due 04/29/2030		1,088,000		1,122,113
Building Products-Air & Heating — 0.0%
Johnson Controls International PLC/ Tyco Fire & Security Finance SCA Senior Notes 1.75% due 09/15/2030		32,000		32,202
Building-Residential/Commercial — 0.0%
Mattamy Group Corp. Senior Notes 5.25% due 12/15/2027*		56,000		57,540
Cellular Telecom — 0.3%
Colombia Telecomunicaciones SA ESP Senior Notes 4.95% due 07/17/2030*		209,000		217,360
Numericable-SFR SA Senior Sec. Notes 7.38% due 05/01/2026*		200,000		209,580
Telefonica Celular del Paraguay SA Senior Notes 5.88% due 04/15/2027*		735,000		768,068
Vodafone Group PLC Senior Notes 4.88% due 06/19/2049		66,000		81,944

Security Description	Principal Amount(7)		Value (Note 2)
Cellular Telecom (continued)
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048	$	74,000	$	95,669
Vodafone Group PLC Senior Notes 6.15% due 02/27/2037		650,000		895,679
				2,268,300
Chemicals-Diversified — 0.0%
Braskem Netherlands Finance BV Company Guar. Notes 4.50% due 01/31/2030*		202,000		188,618
Chemicals-Other — 0.0%
MEGlobal Canada ULC Company Guar. Notes 5.00% due 05/18/2025*		200,000		215,543
Chemicals-Specialty — 0.0%
Albemarle Wodgina Pty, Ltd. Company Guar. Notes 3.45% due 11/15/2029		72,000		73,065
Computer Software — 0.0%
Camelot Finance SA Senior Sec. Notes 4.50% due 11/01/2026*		50,000		51,000
Containers-Paper/Plastic — 0.0%
Cascades, Inc./Cascades USA, Inc. Company Guar. Notes 5.38% due 01/15/2028*		70,000		73,588
Intertape Polymer Group, Inc. Company Guar. Notes 7.00% due 10/15/2026*		80,000		84,000
				157,588
Cruise Lines — 0.0%
Viking Cruises, Ltd. Senior Sec. Notes 13.00% due 05/15/2025*		10,000		11,575
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028*		75,000		66,403
				77,978
Diagnostic Equipment — 0.0%
DH Europe Finance II SARL Company Guar. Notes 3.25% due 11/15/2039		140,000		156,598
Diversified Banking Institutions — 0.8%
Banco Santander SA Senior Notes 2.71% due 06/27/2024		200,000		211,604
Barclays PLC Sub. Notes 3.56% due 09/23/2035		208,000		205,554
BNP Paribas SA Senior Notes 2.22% due 06/09/2026*		705,000		726,989

279

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
BNP Paribas SA Senior Notes 3.05% due 01/13/2031*	$	250,000	$	268,116
BNP Paribas SA Senior Notes 4.71% due 01/10/2025*		248,000		274,563
Credit Suisse Group AG Senior Notes 2.19% due 06/05/2026*		250,000		257,510
Deutsche Bank AG Senior Notes 2.22% due 09/18/2024		150,000		151,042
HSBC Holdings PLC Senior Notes 4.29% due 09/12/2026		200,000		223,298
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027		1,560,000		1,776,666
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024		675,000		740,696
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.19% due 02/25/2025		206,000		215,756
Mizuho Financial Group, Inc. Senior Notes 2.56% due 09/13/2025		332,000		348,935
Natwest Group PLC Sub. Notes 3.03% due 11/28/2035		200,000		192,116
NatWest Markets PLC Senior Notes 2.38% due 05/21/2023*		200,000		205,914
Royal Bank of Scotland Group PLC Senior Notes 2.36% due 05/22/2024		226,000		231,866
UniCredit SpA Senior Notes 2.57% due 09/22/2026*		350,000		346,879
UniCredit SpA Sub. Bonds 5.46% due 06/30/2035*		340,000		346,375
UniCredit SpA Senior Notes 6.57% due 01/14/2022*		610,000		647,343
				7,371,222
Diversified Financial Services — 0.2%
Fairstone Financial, Inc. Senior Notes 7.88% due 07/15/2024*		90,000		92,250
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035		487,000		514,057

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Financial Services (continued)
Power Finance Corp., Ltd. Senior Notes 3.95% due 04/23/2030*	$	975,000	$	940,958
				1,547,265
Diversified Manufacturing Operations — 0.0%
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049		175,000		221,017
Diversified Minerals — 0.3%
Anglo American Capital PLC Company Guar. Notes 2.63% due 09/10/2030*		682,000		680,145
Anglo American Capital PLC Company Guar. Notes 4.88% due 05/14/2025*		1,170,000		1,332,642
Anglo American Capital PLC Company Guar. Notes 5.38% due 04/01/2025*		200,000		229,901
Anglo American Capital PLC Company Guar. Notes 5.63% due 04/01/2030*		205,000		251,621
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 4.50% due 09/15/2027*		79,000		84,333
Teck Resources, Ltd. Senior Notes 3.90% due 07/15/2030*		80,000		83,706
Teck Resources, Ltd. Senior Notes 6.25% due 07/15/2041		58,000		67,049
				2,729,397
E-Commerce/Products — 0.1%
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027		465,000		520,724
Electric-Generation — 0.1%
Centrais Eletricas Brasileiras SA Senior Notes 3.63% due 02/04/2025*		215,000		214,462
Minejesa Capital BV Senior Sec. Notes 4.63% due 08/10/2030		200,000		205,522
				419,984
Electronic Components-Semiconductors — 0.0%
NXP BV/NXP Funding LLC/ NXP USA, Inc. Company Guar. Notes 3.15% due 05/01/2027*		105,000		113,483
NXP BV/NXP Funding LLC/ NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029*		49,000		56,484
				169,967

280

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 3.60% due 04/01/2040	$	575,000	$	658,647
Finance-Consumer Loans — 0.0%
goeasy, Ltd. Company Guar. Notes 5.38% due 12/01/2024*		64,000		64,800
Finance-Leasing Companies — 0.0%
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust Company Guar. Notes 3.88% due 01/23/2028		225,000		207,389
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023*		76,000		75,816
				283,205
Food-Meat Products — 0.1%
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025*		20,000		20,616
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024*		48,000		48,965
Minerva Luxembourg SA Company Guar. Notes 6.50% due 09/20/2026		485,000		503,187
				572,768
Gold Mining — 0.0%
AngloGold Ashanti Holdings PLC Company Guar. Notes 3.75% due 10/01/2030		208,000		213,371
Insurance-Life/Health — 0.0%
Athene Holding, Ltd. Senior Notes 6.15% due 04/03/2030		83,000		98,564
Manulife Financial Corp. Sub. Notes 4.06% due 02/24/2032		141,000		152,751
				251,315
Insurance-Property/Casualty — 0.0%
Enstar Group, Ltd. Senior Notes 4.95% due 06/01/2029		240,000		268,934
Internet Content-Information/News — 0.2%
Tencent Holdings, Ltd. Senior Notes 1.81% due 01/26/2026*		330,000		336,524
Tencent Holdings, Ltd. Senior Notes 2.39% due 06/03/2030*		730,000		742,287
Tencent Holdings, Ltd. Senior Notes 2.99% due 01/19/2023*		240,000		250,317

Security Description	Principal Amount(7)		Value (Note 2)
Internet Content-Information/News (continued)
Tencent Holdings, Ltd. Senior Notes 3.60% due 01/19/2028*	$	695,000	$	765,172
				2,094,300
Investment Companies — 0.0%
Huarong Finance II Co., Ltd. Company Guar. Notes 4.63% due 06/03/2026		200,000		218,191
Medical-Biomedical/Gene — 0.2%
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027*		60,000		60,157
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030*		1,160,000		1,157,910
Royalty Pharma PLC Company Guar. Notes 3.30% due 09/02/2040*		310,000		307,434
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050*		220,000		213,347
				1,738,848
Medical-Drugs — 0.3%
AstraZeneca PLC Senior Notes 2.13% due 08/06/2050		49,000		44,398
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037		315,000		478,543
Endo Dac/Endo Finance LLC/ Endo Finco, Inc. Company Guar. Notes 6.00% due 06/30/2028*		76,000		55,860
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		316,000		321,709
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026		262,000		291,324
Takeda Pharmaceutical Co., Ltd. Senior Notes 2.05% due 03/31/2030		295,000		297,904
Takeda Pharmaceutical Co., Ltd. Senior Notes 3.03% due 07/09/2040		345,000		357,531
Takeda Pharmaceutical Co., Ltd. Senior Bonds 3.18% due 07/09/2050		404,000		410,404
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		750,000		661,658
				2,919,331

281

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Hospitals — 0.1%
Rede D'or Finance SARL Company Guar. Notes 4.50% due 01/22/2030*	$	1,220,000	$	1,164,185
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 6.50% due 03/01/2024*		200,000		191,750
Metal-Iron — 0.1%
Mineral Resources, Ltd. Senior Notes 8.13% due 05/01/2027*		75,000		81,391
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030		915,000		941,535
				1,022,926
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 2.95% due 07/15/2030		85,000		85,630
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		102,000		100,054
MEG Energy Corp. Company Guar. Notes 7.13% due 02/01/2027*		65,000		58,294
Tullow Oil PLC Company Guar. Notes 7.00% due 03/01/2025*		540,000		251,100
				495,078
Oil Companies-Integrated — 0.1%
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027		90,000		81,367
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026		371,000		384,880
Equinor ASA Company Guar. Bonds 3.25% due 11/18/2049		77,000		81,651
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040		330,000		375,908
Petro-Canada Senior Notes 5.95% due 05/15/2035		69,000		85,311
Petroleos Mexicanos Company Guar. Notes 6.38% due 01/23/2045		34,000		26,061
Petroleos Mexicanos Company Guar. Notes 6.49% due 01/23/2027		34,000		31,875
Petroleos Mexicanos Company Guar. Notes 6.63% due 06/15/2035		34,000		28,235

Security Description	Principal Amount(7)		Value (Note 2)
Oil Companies-Integrated (continued)
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047	$	34,000	$	26,391
Total Capital International SA Company Guar. Notes 3.46% due 07/12/2049		65,000		71,000
YPF SA Senior Notes 16.50% due 05/09/2022*	ARS	22,904,817		99,937
				1,292,616
Oil-Field Services — 0.1%
Borets Finance DAC Company Guar. Notes 6.00% due 09/17/2026*		985,000		982,734
Paper & Related Products — 0.1%
Suzano Austria GmbH Company Guar. Notes 3.75% due 01/15/2031		54,000		54,132
Suzano Austria GmbH Company Guar. Notes 5.00% due 01/15/2030		960,000		1,034,400
				1,088,532
Petrochemicals — 0.0%
Alpek SAB de CV Company Guar. Notes 4.25% due 09/18/2029*		345,000		340,687
Pipelines — 0.2%
TransCanada PipeLines, Ltd. Senior Notes 4.10% due 04/15/2030		1,180,000		1,360,860
Real Estate Investment Trusts — 0.0%
Trust Fibro Uno Senior Notes 6.39% due 01/15/2050		200,000		199,500
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Senior Notes 3.80% due 01/25/2050*		230,000		252,793
Retail-Petroleum Products — 0.0%
eG Global Finance PLC Senior Sec. Notes 6.75% due 02/07/2025*		200,000		204,750
Satellite Telecom — 0.0%
Telesat Canada/Telesat LLC Senior Sec. Notes 4.88% due 06/01/2027*		41,000		41,166
Telesat Canada/Telesat LLC Company Guar. Notes 6.50% due 10/15/2027*		100,000		100,720
				141,886
Security Services — 0.0%
GW B-CR Security Corp. Senior Notes 9.50% due 11/01/2027*		71,000		74,550

282

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Semiconductor Components-Integrated Circuits — 0.3%
NXP BV/NXP Funding LLC Company Guar. Notes 4.63% due 06/01/2023*	$	295,000	$	322,626
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024*		1,292,000		1,452,876
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028*		275,000		340,099
TSMC Global, Ltd. Company Guar. Notes 0.75% due 09/28/2025*		200,000		198,221
TSMC Global, Ltd. Company Guar. Notes 1.38% due 09/28/2030*		200,000		196,001
				2,509,823
Steel-Producers — 0.1%
Metinvest BV Company Guar. Notes 5.63% due 06/17/2025*	EUR	360,000		390,426
SupraNational Banks — 0.1%
African Development Bank Senior Notes 0.75% due 04/03/2023		168,000		170,059
European Bank for Reconstruction & Development Senior Notes 1.50% due 02/13/2025		227,000		236,317
International Bank for Reconstruction & Development Senior Notes 3.13% due 11/20/2025		162,000		183,840
International Finance Corp. Senior Notes 0.50% due 03/20/2023		259,000		260,322
				850,538
Telephone-Integrated — 0.1%
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		78,000		103,740
Telefonica Emisiones SAU Company Guar. Notes 5.52% due 03/01/2049		510,000		635,087
				738,827
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026		375,000		376,275
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		59,000		89,820

Security Description	Principal Amount(7)		Value (Note 2)
Vitamins & Nutrition Products — 0.0%
Herbalife Nutrition, Ltd./HLF Financing, Inc. Company Guar. Notes 7.88% due 09/01/2025*	$	31,000	$	33,286
Wireless Equipment — 0.0%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		179,000		190,299
Total Foreign Corporate Bonds & Notes (cost $46,946,744)				47,065,702
U.S. GOVERNMENT AGENCIES — 25.9%
Federal Home Loan Bank — 0.1%
1.88% due 12/09/2022		1,000,000		1,036,377
Federal Home Loan Mtg. Corp. — 2.3%
2.36% (6 ML+1.49%) due 02/01/2037 FRS		11,584		11,995
2.38% due 01/13/2022		1,097,000		1,128,666
2.50% due 01/01/2028		86,130		91,152
2.50% due 04/01/2028		264,926		280,203
2.50% due 03/01/2031		166,677		174,310
2.50% due 10/01/2032		228,024		238,400
2.50% due 11/01/2032		788,657		845,133
3.00% due 08/01/2027		185,544		195,400
3.00% due 10/01/2042		207,472		227,571
3.00% due 11/01/2042		214,990		229,105
3.00% due 02/01/2043		410,713		432,017
3.00% due 04/01/2043		222,559		237,065
3.00% due 08/01/2043		906,377		970,784
3.00% due 07/01/2045		722,679		762,637
3.00% due 10/01/2045		368,608		388,347
3.00% due 08/01/2046		438,067		460,827
3.47% (12 ML+1.88%) due 11/01/2037 FRS		117,072		123,902
3.50% due 01/01/2032		517,686		550,519
3.50% due 11/01/2041		178,110		192,150
3.50% due 03/01/2042		95,427		103,405
3.50% due 08/01/2042		182,966		201,932
3.50% due 09/01/2043		58,697		64,614
3.50% due 03/01/2045		503,345		538,318
3.50% due 07/01/2045		1,234,315		1,333,459
3.50% due 08/01/2045		278,371		302,900
3.50% due 10/01/2045		443,887		473,290
3.50% due 11/01/2045		571,303		610,104
3.50% due 01/01/2046		20,413		21,890
3.50% due 11/01/2047		590,067		624,932
4.00% due 09/01/2040		136,217		150,081
4.00% due 07/01/2044		225,492		246,238
4.00% due 10/01/2045		201,591		218,572
4.00% due 07/01/2049		154,561		167,808
4.00% due 01/01/2050		370,411		394,797
4.50% due 07/01/2045		731,492		822,509
4.50% due 05/01/2048		395,703		428,740
5.00% due 09/01/2031		342,609		374,695
5.00% due 11/01/2043		279,656		321,748
5.00% due 04/01/2048		297,013		325,613
5.50% due 01/01/2036		106,809		124,102
6.00% due 03/01/2040		8,177		9,658

283

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
6.25% due 07/15/2032	$	206,000	$	322,970
6.75% due 03/15/2031		100,000		156,184
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K013, Class X1 0.64% due 01/25/2021(1)(3)(5)		1,700,000		22
Series K064, Class X1 0.74% due 03/25/2027(1)(3)(5)		5,111,346		179,357
Series K114, Class X1 1.21% due 06/25/2030(1)(3)(5)		2,899,664		271,210
Series K104, Class X1 1.25% due 01/25/2030(1)(3)(5)		2,502,956		223,213
Series K111, Class X1 1.68% due 05/25/2030(1)(3)(5)		1,124,465		144,850
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(2)		382,500		388,265
Series 4961, Class JB 2.50% due 12/15/2042(2)		653,454		681,782
Series 3883, Class PB 3.00% due 05/15/2041(2)		214,856		232,235
Series 4740, Class BA 3.00% due 09/15/2045(2)		298,952		307,938
Federal Home Loan Mtg. Corp. SCRT Series 2020-1, Class MA 2.50% due 08/25/2059(2)		601,786		629,163
Series 2019-3, Class MV 3.50% due 10/25/2058(2)		239,596		271,768
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 1.80% (1 ML+1.65%) due 04/25/2043*(2)		84,251		81,134
Series 2019-HQA3, Class M2 2.00% (1 ML + 1.85%) due 09/25/2049*(2)		343,975		336,280
Series 2019-DNA3, Class M2 2.20% (1 ML + 2.05%) due 07/25/2049*(2)		468,457		458,599
Series 2014-HQ2, Class M2 2.35% (1 ML+2.20%) due 09/25/2024(2)		72,819		72,819
Series 2019-HQA1, Class M2 2.50% (1 ML + 2.35%) due 02/25/2049*(2)		854,226		846,051
Series 2019-DNA2, Class M2 2.60% (1 ML+2.45%) due 03/25/2049*(2)		554,570		545,203
				21,548,631

Security Description	Principal Amount(7)		Value (Note 2)
Federal National Mtg. Assoc. — 5.5%
1.88% due 09/24/2026	$	837,000	$	907,174
2.40% (6 ML+1.54%) due 09/01/2035 FRS		111,017		114,765
2.50% due 04/01/2028		190,967		202,575
2.50% due 08/01/2031		642,737		672,695
2.50% due 01/01/2032		747,434		782,266
2.50% due 05/01/2050		780,956		828,654
2.50% due 06/01/2050		977,995		1,026,675
2.50% due 07/01/2050		591,173		620,599
2.63% due 09/06/2024		2,025,000		2,212,448
3.00% due 10/01/2027		237,572		249,718
3.00% due 10/01/2030		244,198		256,172
3.00% due 07/01/2034		757,584		794,385
3.00% due 03/01/2042		363,541		386,814
3.00% due 12/01/2042		116,212		123,846
3.00% due 05/01/2043		260,809		277,809
3.00% due 02/01/2045		193,246		203,554
3.00% due 08/01/2046		368,586		394,047
3.00% due 09/01/2046		237,425		249,729
3.00% due 12/01/2046		368,747		387,829
3.00% due 01/01/2047		162,262		170,455
3.00% due 04/01/2047		1,155,107		1,215,565
3.00% due 09/01/2048		545,071		571,942
3.00% due 11/01/2048		748,685		785,604
3.00% due 06/01/2049		538,991		576,387
3.00% due 03/01/2050		942,658		993,224
3.07% (12 ML+1.57%) due 05/01/2037 FRS		21,040		21,947
3.11% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS		40,477		42,672
3.12% (1 Yr USTYCR+2.22%) due 10/01/2035 FRS		89,030		93,817
3.28% (12 ML+1.91%) due 08/01/2035 FRS		72,843		76,760
3.32% (12 ML+1.67%) due 07/01/2039 FRS		89,301		93,439
3.50% due 08/01/2026		78,964		83,630
3.50% due 09/01/2026		107,962		114,379
3.50% due 08/01/2027		12,992		13,759
3.50% due 10/01/2028		37,928		41,095
3.50% due 03/01/2042		254,676		276,225
3.50% due 08/01/2042		585,612		632,244
3.50% due 07/01/2045		162,906		174,681
3.50% due 08/01/2045		384,536		413,039
3.50% due 09/01/2045		332,336		354,110
3.50% due 10/01/2045		362,926		397,358
3.50% due 11/01/2045		286,046		304,968
3.50% due 12/01/2045		490,199		522,891
3.50% due 02/01/2046		207,205		221,033
3.50% due 03/01/2046		318,945		338,936
3.50% due 07/01/2046		558,754		606,114
3.50% due 12/01/2047		2,308,372		2,479,140
3.50% due 04/01/2048		1,202,704		1,292,474
3.50% due 08/01/2049		556,945		586,969
3.72% (12 ML+1.77%) due 05/01/2040 FRS		106,908		111,470

284

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
3.76% (12 ML+1.83%) due 10/01/2040 FRS	$	44,575	$	46,429
3.99% (12 ML+1.82%) due 10/01/2040 FRS		26,500		27,617
4.00% due 03/01/2039		310,855		333,343
4.00% due 10/01/2040		93,993		103,559
4.00% due 11/01/2040		182,443		201,216
4.00% due 10/01/2041		170,471		188,366
4.00% due 11/01/2041		134,783		147,622
4.00% due 01/01/2043		590,964		656,830
4.00% due 02/01/2045		530,622		588,292
4.00% due 02/01/2046		32,803		35,539
4.00% due 01/01/2047		577,267		623,436
4.00% due 05/01/2047		110,702		118,728
4.00% due 07/01/2047		1,360,878		1,459,581
4.00% due 08/01/2047		244,518		262,217
4.00% due 06/01/2048		686,236		740,747
4.00% due 09/01/2048		571,053		611,009
4.00% due 01/01/2049		796,858		849,784
4.00% due 03/01/2049		112,089		119,454
4.50% due 10/01/2024		14,810		15,533
4.50% due 08/01/2045		656,231		751,589
4.50% due 06/01/2048		750,549		812,512
4.50% due 11/01/2048		499,695		541,911
4.50% due 12/01/2048		677,589		732,292
5.00% due 05/01/2040		151,852		168,950
5.00% due 06/01/2040		14,492		16,688
5.00% due 07/01/2040		344,487		396,828
5.00% due 02/01/2045		399,890		456,632
5.50% due 12/01/2029		22,759		25,273
5.50% due 08/01/2037		107,924		125,314
5.50% due 06/01/2038		54,692		63,473
6.00% due 11/01/2038		6,144		7,224
6.00% due 06/01/2040		52,258		61,373
6.50% due 10/01/2037		537		603
6.63% due 11/15/2030		871,000		1,338,256
7.25% due 05/15/2030		2,260,000		3,556,340
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.25% (1 ML +2.10%) due 06/25/2039*(2)		501,846		498,589
Series 2019-R03, Class 1M2 2.30% (1 ML+2.15%) due 09/25/2031*(2)		284,182		283,054
Series 2019-HRP1, Class M2 2.30% (1 ML+2.15%) due 11/25/2039*(2)		288,535		258,365
Series 2016-C07, Class 2M2 4.50% (1 ML+4.35%) due 05/25/2029(2)		528,937		546,516
Series 2014-C04, Class 1M2 5.05% (1 ML+4.90%) due 11/25/2024(2)		212,961		220,815

Security Description	Principal Amount(7)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Series 2015-C04, Class 1M2 5.85% (1 ML+5.70%) due 04/25/2028(2)	$	91,266	$	94,473
Series 2016-C02, Class 1M2 6.15% (1 ML+6.00%) due 09/25/2028(2)		58,993		62,429
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(2)		441,230		449,329
Series 2012-128, Class PD 1.50% due 06/25/2042(2)		701,847		715,276
Series 2013-77, Class BP 1.70% due 06/25/2043(2)		362,658		368,506
Series 2012-21, Class PQ 2.00% due 09/25/2041(2)		178,455		183,876
Series 2012-18, Class GA 2.00% due 12/25/2041(2)		337,056		348,452
Series 2012-75, Class KC 2.50% due 12/25/2041(2)		346,121		357,453
Series 2019-41, Class AC 2.50% due 03/25/2053(2)		533,854		552,464
Series 2015-48, Class QB 3.00% due 02/25/2043(2)		498,013		517,455
Series 2017-72, Class B 3.00% due 09/25/2047(2)		441,706		474,305
Series 2017-72, Class CD 3.00% due 09/25/2047(2)		456,747		491,451
Series 2018-27, Class EA 3.00% due 05/25/2048(2)		552,803		590,372
Series 2018-35, Class CD 3.00% due 05/25/2048(2)		356,331		373,702
Series 2019-45, Class PT 3.00% due 08/25/2049(2)		671,021		723,047
Series 2017-96, Class PA 3.00% due 12/25/2054(2)		552,869		582,459
Series 2012-52, Class PA 3.50% due 05/25/2042(2)		193,466		209,837
Series 2018-38, Class PC 3.50% due 03/25/2045(2)		338,935		348,211
Series 2018-77, Class PA 3.50% due 02/25/2048(2)		200,328		210,464
Series 2018-23, Class LA 3.50% due 04/25/2048(2)		451,502		491,402
Series 2018-72, Class BA 3.50% due 07/25/2054(2)		633,315		667,915
Series 2019-7, Class CA 3.50% due 11/25/2057(2)		474,868		514,919
				51,617,777
Government National Mtg. Assoc. — 5.4%
3.00% due 02/20/2045		175,537		185,338
3.00% due 05/20/2045		140,663		149,332
3.00% due 07/20/2045		32,665		34,518
3.00% due 05/20/2046		524,147		554,446
3.00% due 05/20/2050		984,625		1,034,808
3.00% due October 30 TBA		10,200,000		10,679,918

285

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
3.00% due November 30 TBA	$	10,100,000	$	10,570,281
3.50% due 03/20/2045		115,648		123,448
3.50% due 04/20/2045		175,051		186,866
3.50% due 07/20/2045		56,245		60,052
3.50% due 03/20/2047		279,615		298,279
3.50% due October 30 TBA		8,800,000		9,227,238
3.50% due November 30 TBA		5,500,000		5,792,832
4.00% due 03/15/2039		65,509		70,497
4.00% due 04/15/2039		5,791		6,256
4.00% due 05/15/2039		31,827		33,741
4.00% due 08/15/2039		5,824		6,238
4.00% due 10/15/2039		27,980		30,004
4.00% due 03/15/2040		29,386		31,699
4.00% due 09/15/2040		22,760		24,253
4.00% due 10/15/2040		13,135		14,108
4.00% due 12/15/2040		13,188		14,113
4.00% due 02/15/2041		4,064		4,349
4.00% due 06/15/2041		91,804		101,736
4.00% due 07/15/2041		18,263		19,836
4.00% due 08/15/2041		188,559		201,841
4.00% due 09/15/2041		38,987		42,140
4.00% due 10/15/2041		96,272		103,303
4.00% due 11/15/2041		103,605		110,674
4.00% due 12/15/2041		41,057		44,035
4.00% due 01/15/2042		18,848		20,135
4.00% due 02/15/2042		3,746		3,964
4.00% due 03/15/2042		74,184		80,574
4.00% due 04/15/2042		4,043		4,271
4.00% due 03/20/2044		83,889		91,504
4.00% due 07/20/2045		232,970		252,565
4.00% due 05/20/2048		28,306		30,318
4.50% due 09/15/2033		46,496		51,372
4.50% due 03/15/2039		55,741		62,059
4.50% due 05/15/2039		30,390		33,697
4.50% due 07/15/2039		16,782		18,601
4.50% due 10/15/2039		66,259		73,658
4.50% due 01/15/2040		16,838		18,684
4.50% due 02/15/2040		34,866		38,744
4.50% due 03/15/2040		20,953		22,926
4.50% due 04/15/2040		832		917
4.50% due 05/15/2040		3,172		3,481
4.50% due 07/15/2040		22,684		25,457
4.50% due 04/15/2041		9,848		10,784
4.50% due 05/15/2041		90,056		99,309
4.50% due 06/15/2041		9,360		10,396
4.50% due 07/15/2041		77,730		85,756
4.50% due 08/15/2041		45,361		50,461
4.50% due 04/20/2047		125,453		136,511
4.50% due October 30 TBA		6,800,000		7,286,625
5.00% due 06/15/2033		1,651		1,890
5.00% due 08/15/2033		12,101		13,704
5.00% due 09/15/2033		23,472		26,876
5.00% due 10/15/2033		13,109		14,958
5.00% due 11/15/2033		2,958		3,365

Security Description	Principal Amount(7)		Value (Note 2)
Government National Mtg. Assoc. (continued)
5.00% due 06/15/2034	$	34,991	$	39,104
5.00% due 05/15/2035		1,675		1,836
5.00% due 09/15/2035		1,310		1,474
5.00% due 11/15/2035		82,825		90,584
5.00% due 02/15/2036		23,202		25,453
5.00% due 02/20/2036		63,460		72,530
5.00% due 05/15/2036		57,726		64,762
5.00% due 06/15/2036		18,106		19,855
5.00% due 08/15/2038		216,546		240,764
5.50% due 02/15/2032		418		462
5.50% due 03/15/2032		2,508		2,865
5.50% due 12/15/2032		1,715		1,898
5.50% due 01/15/2033		1,515		1,775
5.50% due 02/15/2033		8,990		10,176
5.50% due 03/15/2033		39,051		43,871
5.50% due 04/15/2033		29,167		33,425
5.50% due 06/15/2033		34,644		39,760
5.50% due 07/15/2033		134,514		152,788
5.50% due 08/15/2033		30,938		34,602
5.50% due 09/15/2033		6,838		7,703
5.50% due 12/15/2033		1,315		1,452
5.50% due 01/15/2034		45,553		52,456
5.50% due 02/15/2034		27,196		30,023
6.00% due 04/15/2028		55,261		63,024
6.00% due 01/15/2029		12,082		13,441
6.00% due 03/15/2029		17,495		19,461
6.00% due 12/15/2031		2,945		3,279
6.00% due 04/15/2032		7,688		8,915
6.00% due 09/15/2032		6,767		7,836
6.00% due 10/15/2032		49,187		58,635
6.00% due 11/15/2032		11,667		13,550
6.00% due 01/15/2033		1,657		1,971
6.00% due 02/15/2033		17,228		20,479
6.00% due 03/15/2033		5,959		6,869
6.00% due 09/15/2033		11,657		13,001
6.00% due 01/15/2034		63,793		71,040
6.00% due 03/15/2034		12,951		14,425
6.00% due 05/15/2034		1,427		1,586
6.00% due 07/15/2034		3,703		4,132
6.00% due 08/15/2034		46,376		51,720
6.00% due 09/15/2034		1,703		1,906
6.00% due 11/15/2034		63,276		70,653
6.00% due 03/15/2035		13,899		15,504
6.00% due 08/15/2035		36,302		41,485
6.00% due 01/15/2036		20,360		24,142
6.00% due 02/15/2036		14,140		15,753
6.00% due 04/15/2036		40,110		44,735
6.00% due 05/15/2036		21,160		24,219
6.00% due 06/15/2036		32,758		38,334
6.00% due 07/15/2036		3,751		4,176
6.00% due 08/15/2036		37,165		43,583
6.00% due 09/15/2036		11,762		13,185
6.00% due 10/15/2036		122,316		137,765
6.00% due 11/15/2036		24,513		27,992
6.00% due 12/15/2036		7,991		9,029
6.50% due 09/15/2028		2,429		2,685

286

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
6.50% due 09/15/2031	$	970	$	1,072
6.50% due 10/15/2031		2,085		2,349
6.50% due 11/15/2031		1,048		1,158
6.50% due 12/15/2031		3,476		3,842
7.50% due 09/15/2030		13,962		14,188
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(2)		563,451		570,297
Series 2015-151, Class BA 1.70% due 10/20/2045(2)		349,831	��	354,141
				51,134,916
Tennessee Valley Authority — 0.1%
4.25% due 09/15/2065		577,000		877,729
Uniform Mtg. Backed Securities — 12.5%
2.00% due October 15 TBA		11,400,000		11,852,438
2.00% due October 30 TBA		19,540,000		20,202,528
2.00% due November 30 TBA		18,900,000		19,508,024
2.50% due October 30 TBA		5,800,000		6,083,883
2.50% due November 30 TBA		3,800,000		3,980,584
3.00% due October 15 TBA		3,100,000		3,253,063
3.00% due October 30 TBA		9,000,000		9,428,027
3.00% due November 30 TBA		8,000,000		8,382,031
3.50% due October 30 TBA		19,100,000		20,137,816
4.00% due October 30 TBA		10,300,000		10,985,393
4.50% due October 30 TBA		1,300,000		1,406,234
5.50% due October 30 TBA		1,900,000		2,109,148
				117,329,169
Total U.S. Government Agencies (cost $239,202,943)				243,544,599
U.S. GOVERNMENT TREASURIES — 36.2%
United States Treasury Bonds — 9.0%
1.13% due 05/15/2040		1,935,000		1,908,091
1.25% due 05/15/2050		2,004,000		1,905,052
1.38% due 08/15/2050		600,000		588,844
2.00% due 02/15/2050		1,475,000		1,673,434
2.25% due 08/15/2046		1,686,000		1,995,671
2.25% due 08/15/2049		2,738,000		3,265,600
2.38% due 11/15/2049		4,497,000		5,506,366
2.50% due 02/15/2045		1,100,000		1,356,781
2.50% due 02/15/2046		3,448,000		4,267,035
2.50% due 05/15/2046		1,283,000		1,588,665
2.75% due 11/15/2042		413,000		529,818
2.75% due 08/15/2047		568,000		738,910
2.75% due 11/15/2047		704,000		917,153
2.88% due 05/15/2043		1,014,000		1,326,399
2.88% due 08/15/2045		2,423,000		3,190,126
2.88% due 11/15/2046		499,000		661,019
2.88% due 05/15/2049		2,491,000		3,344,265
3.00% due 05/15/2042		875,000		1,165,322
3.00% due 11/15/2045		1,642,000		2,210,607

Security Description	Principal Amount(7)		Value (Note 2)
United States Treasury Bonds (continued)
3.00% due 02/15/2047	$	648,000	$	878,572
3.00% due 05/15/2047		2,224,000		3,019,775
3.00% due 02/15/2048		1,255,000		1,709,545
3.00% due 08/15/2048		806,000		1,101,103
3.00% due 02/15/2049		1,783,000		2,443,615
3.13% due 02/15/2043		1,267,000		1,719,903
3.13% due 08/15/2044(9)(16)		3,378,000		4,605,956
3.13% due 05/15/2048		626,000		872,536
3.38% due 05/15/2044		869,000		1,228,718
3.38% due 11/15/2048		1,188,000		1,732,995
3.63% due 08/15/2043		2,006,000		2,929,935
3.63% due 02/15/2044		1,706,000		2,497,691
3.75% due 11/15/2043		1,049,000		1,561,125
3.88% due 08/15/2040		640,000		948,750
4.38% due 11/15/2039		1,082,000		1,692,907
4.38% due 05/15/2040		953,000		1,498,444
4.50% due 02/15/2036		1,034,000		1,566,106
4.63% due 02/15/2040		1,159,000		1,868,887
4.75% due 02/15/2041		1,123,000		1,855,099
5.25% due 11/15/2028		1,045,000		1,438,140
5.25% due 02/15/2029		1,966,000		2,723,985
5.38% due 02/15/2031		1,289,000		1,900,419
6.13% due 11/15/2027		544,000		761,154
6.25% due 08/15/2023		1,613,000		1,895,779
6.38% due 08/15/2027		1,217,000		1,707,746
6.75% due 08/15/2026		377,000		517,580
				84,815,623
United States Treasury Notes — 27.2%
0.25% due 06/30/2025		2,161,000		2,160,240
0.25% due 08/31/2025		3,515,000		3,512,254
0.38% due 04/30/2025		3,294,000		3,313,430
0.38% due 07/31/2027		2,703,000		2,689,485
0.50% due 03/15/2023		6,231,000		6,285,035
0.50% due 05/31/2027		3,102,000		3,115,329
0.63% due 03/31/2027		3,002,000		3,041,401
0.63% due 05/15/2030		7,346,000		7,324,192
0.63% due 08/15/2030		3,865,000		3,845,675
1.13% due 07/31/2021		2,131,000		2,148,814
1.13% due 08/31/2021		1,430,000		1,442,848
1.13% due 09/30/2021		2,760,000		2,786,953
1.25% due 10/31/2021		760,000		769,203
1.38% due 08/31/2023		3,211,000		3,325,392
1.50% due 01/31/2022		12,752,000		12,984,126
1.50% due 02/28/2023		6,709,000		6,929,401
1.50% due 09/30/2024		4,507,000		4,738,160
1.50% due 08/15/2026		3,641,000		3,882,216
1.63% due 08/15/2022		3,220,000		3,310,437
1.63% due 11/15/2022		4,550,000		4,693,609
1.63% due 10/31/2023		4,501,000		4,704,424
1.63% due 02/15/2026		2,662,000		2,847,716
1.63% due 05/15/2026		4,204,000		4,505,013
1.63% due 08/15/2029		2,195,000		2,390,492
1.75% due 07/31/2021		120,000		121,617
1.75% due 05/15/2022		4,480,000		4,597,600
1.75% due 05/15/2023		4,495,000		4,683,755
1.75% due 07/31/2024		1,377,000		1,458,544

287

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
1.88% due 11/30/2021	$	8,203,000	$	8,368,983
1.88% due 03/31/2022		1,086,000		1,114,380
1.88% due 10/31/2022		3,569,000		3,698,098
1.88% due 08/31/2024		4,617,000		4,917,646
2.00% due 11/15/2021		4,434,000		4,526,837
2.00% due 11/30/2022		6,690,000		6,959,952
2.00% due 02/15/2023		7,666,000		8,001,687
2.00% due 05/31/2024		2,637,000		2,810,980
2.00% due 02/15/2025		5,373,000		5,784,580
2.00% due 08/15/2025		3,825,000		4,145,194
2.00% due 11/15/2026		6,034,000		6,624,436
2.13% due 08/15/2021		631,000		641,993
2.13% due 02/29/2024		2,824,000		3,011,200
2.13% due 03/31/2024		4,502,000		4,806,940
2.13% due 07/31/2024		4,388,000		4,710,415
2.13% due 09/30/2024		1,983,000		2,134,359
2.13% due 05/15/2025		2,689,000		2,920,086
2.25% due 11/15/2024		3,725,000		4,034,350
2.25% due 12/31/2024		3,515,000		3,815,285
2.25% due 11/15/2025		2,574,000		2,829,791
2.25% due 02/15/2027		1,843,000		2,057,969
2.25% due 08/15/2027		1,496,000		1,678,267
2.25% due 11/15/2027		3,171,000		3,566,384
2.38% due 03/15/2022		788,000		813,702
2.38% due 08/15/2024		5,657,000		6,130,995
2.38% due 05/15/2027		2,595,000		2,925,761
2.50% due 08/15/2023		6,555,000		6,995,926
2.50% due 05/15/2024		3,886,000		4,209,631
2.63% due 03/31/2025		3,886,000		4,300,557
2.63% due 02/15/2029(16)		4,613,000		5,390,363
2.75% due 08/15/2021		1,473,000		1,506,718
2.75% due 02/15/2028		3,272,000		3,807,662
2.88% due 07/31/2025		2,474,000		2,783,830
2.88% due 05/15/2028		1,784,000		2,099,824
3.00% due 10/31/2025		12,380,000		14,074,029
				255,806,171
Total U.S. Government Treasuries (cost $311,511,138)				340,621,794
MUNICIPAL BONDS & NOTES — 0.5%
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029		85,000		87,694
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039		335,000		337,710
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029		355,000		370,389
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040		160,000		173,040
Florida State Board of Administration Finance Corp Series A Revenue Bonds 1.26% due 07/01/2025		925,000		939,199

Security Description	Principal Amount(7)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028	$	1,260,000	$	1,631,624
State of Connecticut General Obligation Bonds 3.00% due 07/01/2021		60,000		61,165
State of Illinois General Obligation Bonds 4.95% due 06/01/2023		641,727		652,919
State of Illinois General Obligation Bonds 5.00% due 01/01/2023		70,000		71,705
State of Illinois General Obligation Bonds 5.56% due 02/01/2021		150,000		151,044
State of Illinois General Obligation Bonds 5.95% due 04/01/2022		220,000		232,124
Total Municipal Bonds & Notes (cost $4,606,989)				4,708,613
LOANS(10)(11)(12) — 1.2%
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc. FRS BTL 3.76% (3 ML +3.50%) due 08/21/2026		138,600		126,027
Aerospace/Defense-Equipment — 0.0%
TransDigm, Inc. FRS BTL-E 2.40% (1 ML +2.25%) due 05/30/2025		203,783		192,490
Airlines — 0.0%
SkyMiles IP, Ltd. FRS coupon TBD due 10/20/2027		100,000		100,750
WestJet Airlines, Ltd. FRS BTL-B 4.00% (3 ML +3.00%) due 12/11/2026		99,250		85,696
				186,446
Applications Software — 0.0%
SS&C Technologies, Inc. FRS BTL-B3 1.90% (1 ML +1.75%) due 04/16/2025		27,361		26,449
SS&C Technologies, Inc. FRS BTL-B5 1.90% (1 ML +1.75%) due 04/16/2025		97,974		94,790
				121,239

288

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(10)(11)(12) (continued)
Auto/Truck Parts & Equipment-Original — 0.0%
Panther BF Aggregator 2 LP FRS BTL-B 3.65% (1 ML +3.50%) due 04/30/2026	$	113,850	$	110,862
Panther BF Aggregator 2 LP FRS BTL-B 3.75% (1 ME +3.75%) due 04/30/2026	EUR	100,000		114,900
				225,762
Auto/Truck Parts & Equipment-Replacement — 0.0%
Adient US LLC FRS BTL-B 4.40% (1 ML +4.25%) due 05/06/2024		73,750		72,868
Adient US LLC FRS BTL-B 4.49% (3 ML +4.25%) due 05/06/2024		25,000		24,701
				97,569
Broadcast Services/Program — 0.0%
Nexstar Broadcasting, Inc. FRS BTL-B4 2.90% (1 ML +2.75%) due 09/18/2026		96,063		93,901
Building Products-Cement — 0.0%
Quikrete Holdings, Inc. FRS 1st Lien 2.65% (1 ML +2.50%) due 02/01/2027		124,063		121,000
Building Products-Doors & Windows — 0.0%
NCI Building Systems, Inc. FRS BTL 3.90% (1 ML +3.75%) due 04/12/2025		97,750		95,978
Building-Heavy Construction — 0.1%
Brand Industrial Services, Inc. FRS BTL 5.25% (3 ML +4.25%) due 06/21/2024		290,250		269,973
PowerTeam Services LLC FRS BTL 4.25% (3 ML +3.25%) due 03/06/2025		237,095		230,634
				500,607
Cable/Satellite TV — 0.1%
Altice Financing SA FRS 1st Lien 2.89% (1 ML +2.75%) due 01/31/2026		97,250		91,658
CSC Holdings LLC FRS BTL-B 2.40% (1 ML +2.25%) due 07/17/2025		146,032		140,994

Security Description	Principal Amount(7)		Value (Note 2)
Cable/Satellite TV (continued)
LCPR Loan Financing LLC FRS BTL-B 5.15% (1 ML +5.00%) due 10/15/2026	$	100,000	$	99,917
UPC Broadband Holding BV FRS BTL-B1 coupon TBD due 01/31/2029		50,000		48,287
UPC Broadband Holdings FRS BTL-B2 coupon TBD due 01/31/2029		50,000		48,288
				429,144
Casino Hotels — 0.0%
Boyd Gaming Corp. FRS BTL-B 2.36% (1 WL +2.25%) due 09/15/2023		78,704		76,383
Caesars Resort Collection LLC FRS BTL-B 2.90% (1 ML +2.75%) due 12/23/2024		144,306		134,846
				211,229
Cellular Telecom — 0.0%
Numericable Group SA FRS BTL-B 3.84% (1 ML +3.69%) due 01/31/2026		97,250		93,360
T-Mobile USA, Inc. FRS BTL 3.15% (1 ML +3.00%) due 04/01/2027		99,750		99,625
				192,985
Chemicals-Specialty — 0.0%
Diamond BC BV FRS BTL 3.26% (3 ML +3.00%) due 09/06/2024		111,838		104,358
Starfruit US HoldCo. LLC FRS BTL-B 3.15% (1 ML +3.00%) due 10/01/2025		144,309		139,258
				243,616
Commercial Services — 0.1%
AVSC Holding Corp. FRS BTL-B 4.25% (1 ML +3.25%) due 03/03/2025		83,730		62,135
AVSC Holding Corp. FRS BTL-B 4.25% (3 ML +3.25%) due 03/03/2025		87,078		64,619
Brightview Landscapes LLC FRS BTL-B 2.69% (1 ML +2.50%) due 08/15/2025		244,743		241,989

289

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(10)(11)(12) (continued)
Commercial Services (continued)
Techem Verwaltungsgesellschaft FRS BTL-B4 2.63% (3 ME +2.63%) due 07/15/2025	EUR	70,979		81,459
				450,202
Commercial Services-Finance — 0.1%
Financial & Risk US Holdings, Inc. FRS BTL 3.40% (1 ML +3.25%) due 10/01/2025		103,163		102,082
MPH Acquisition Holdings LLC FRS BTL-B 3.75% (3 ML +2.75%) due 06/07/2023		321,799		315,996
WEX, Inc. FRS BTL-B3 2.40% (1 ML +2.25%) due 05/15/2026		287,374		276,897
				694,975
Computer Services — 0.0%
Tempo Acquisition LLC FRS BTL-B 3.75% (1 ML +3.25%) due 10/01/2026		187,388		181,884
Consulting Services — 0.0%
AlixPartners LLP FRS BTL 2.65% (1 ML +2.50%) due 04/04/2024		96,500		93,984
Containers-Paper/Plastic — 0.1%
Berry Global, Inc. FRS BTL-Y 2.16% (1 ML +2.00%) due 07/01/2026		98,750		95,609
Flex Acquisition Co, Inc. FRS BTL 4.00% (3 ML +3.00%) due 12/29/2023		85,022		82,811
Reynolds Group Holdings, Inc. FRS BTL 2.90% (3 ML +1.75%) due 02/05/2023		90,841		89,776
Reynolds Group Holdings, Inc. FRS BTL 5.00% (3 ML +1.75%) due 02/05/2023		96,372		95,243
				363,439
Cosmetics & Toiletries — 0.0%
Coty, Inc. FRS BTL-B 2.41% (1 ML +2.25%) due 04/07/2025		107,256		95,458

Security Description	Principal Amount(7)		Value (Note 2)
Cosmetics & Toiletries (continued)
Sunshine Luxembourg VII SARL FRS BTL 4.47% (3 ML +4.25%) due 10/01/2026	$	163,763	$	162,622
				258,080
Data Processing/Management — 0.0%
Dun & Bradstreet Corp. FRS BTL 3.89% (1 ML +3.75%) due 02/06/2026		199,000		196,910
Diagnostic Equipment — 0.0%
LifeScan Global Corp. FRS BTL-B 7.18% (3 ML +6.00%) due 10/01/2024		87,750		82,485
Direct Marketing — 0.0%
Terrier Media Buyer, Inc. FRS BTL-B 4.40% (1 ML +4.25%) due 12/17/2026		119,100		115,914
Distribution/Wholesale — 0.0%
Univar USA, Inc. FRS BTL-B3 2.40% (1 ML +2.25%) due 07/01/202		89,525		88,182
Electronic Components-Semiconductors — 0.0%
Microchip Technology, Inc. FRS BTL-B 2.15% (1 ML +2.00%) due 05/29/2025		56,889		56,533
Enterprise Software/Service — 0.1%
Dcert Buyer, Inc. FRS BTL-B 4.15% (1 ML +4.00%) due 10/16/2026		134,325		132,377
Finastra USA, Inc. FRS BTL-B 4.50% (3 ML +3.50%) due 06/13/2024		221,051		206,407
Ultimate Software Group, Inc. FRS BTL-B 4.75% (3 ML +4.00%) due 05/04/2026		100,000		99,578
				438,362
Finance-Credit Card — 0.0%
Blackhawk Network Holdings, Inc. FRS 1st Lien 3.15% (1 ML +3.00%) due 06/15/2025		97,750		92,089
Finance-Investment Banker/Broker — 0.0%
Deerfield Dakota Holding LLC FRS BTL 4.75% (1 ML +3.75%) due 04/09/2027		264,338		262,465

290

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(10)(11)(12) (continued)
Food-Baking — 0.0%
Hostess Brands LLC FRS BTL 3.00% (1 ML +2.25%) due 08/03/2025	$	38,803	$	38,084
Hostess Brands LLC FRS BTL 3.00% (3 ML +2.25%) due 08/03/2025		104,192		102,260
				140,344
Food-Catering — 0.0%
Aramark Services, Inc. FRS BTL-B4 1.90% (1 ML +1.75%) due 01/15/2027		99,500		95,085
Food-Misc./Diversified — 0.0%
Froneri US, Inc. FRS BTL 2.40% (1 ML +2.25%) due 01/29/2027		99,750		95,791
Food-Wholesale/Distribution — 0.0%
US Foods, Inc. FRS BTL-B 2.15% (1 ML +2.00%) due 09/13/2026		133,650		127,469
Gambling (Non-Hotel) — 0.1%
Golden Entertainment, Inc. FRS 1st Lien 3.75% (1 ML +3.00%) due 10/21/2024		202,650		194,544
Scientific Games International, Inc. FRS BTL-B5 2.90% (1 ML +2.75%) due 08/14/2024		21,983		20,689
Scientific Games International, Inc. FRS BTL-B5 3.61% (3 ML +2.75%) due 08/14/2024		89,862		84,571
				299,804
Gas-Distribution — 0.0%
UGI Energy Services LLC FRS BTL-B 3.90% (1 ML +3.75%) due 08/13/2026		148,125		147,384
Insurance Brokers — 0.1%
HUB International, Ltd. FRS BTL-B 3.26% (3 ML +3.00%) due 04/25/2025		171,063		164,990
USI, Inc. FRS BTL 3.22% (3 ML +3.00%) due 05/16/2024		106,700		103,065
				268,055

Security Description	Principal Amount(7)		Value (Note 2)
Insurance-Property/Casualty — 0.1%
Asurion LLC FRS BTL-B6 3.15% (1 ML +3.00%) due 11/03/2023	$	286,622	$	281,913
Sedgwick Claims Management Services, Inc. FRS BTL 3.40% (1 ML +3.25%) due 12/31/2025		98,250		94,671
Sedgwick Claims Management Services, Inc. FRS BTL-B 4.15% (1 ML +4.00%) due 09/03/2026		162,938		160,290
				536,874
Machinery-Electrical — 0.0%
Brookfield WEC Holdings, Inc. FRS BTL 3.75% (1 ML +3.00%) due 08/01/2025		98,250		95,653
Machinery-General Industrial — 0.1%
Gardner Denver, Inc. FRS 1st Lien 1.90% (1 ML +1.75%) due 03/01/2027		122,184		117,984
RBS Global, Inc. FRS BTL-B 1.90% (1 ML +1.75%) due 08/21/2024		73,077		72,580
Vertical US Newco, Inc. FRS BTL-B 4.57% (3 ML+4.25%) due 07/30/2027		265,000		262,587
				453,151
Machinery-Pumps — 0.0%
CIRCOR International, Inc. FRS BTL-B 4.25% (1 ML +3.25%) due 12/11/2024		80,829		78,960
Medical Information Systems — 0.0%
Zelis Payments Buyer, Inc. FRS BTL 4.90% (1 ML +4.75%) due 09/30/2026		198,500		196,722
Medical Labs & Testing Services — 0.1%
Envision Healthcare Corp. FRS 1st Lien 3.90% (1 ML +3.75%) due 10/10/2025		112,988		80,598
Jaguar Holding Co. II FRS BTL 3.50% (1 ML +2.50%) due 08/18/2022		214,429		213,503
LGC Group Holdings, Ltd. FRS BTL-B 3.25% (1 ME +3.25%) due 04/21/2027	EUR	100,000		114,297

291

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
LOANS(10)(11)(12) (continued)
Medical Labs & Testing Services (continued)
Syneos Health, Inc. FRS BTL-B 1.90% (1 ML +1.75%) due 08/01/2024	$	114,085	$	111,268
				519,666
Medical-Drugs — 0.0%
Bausch Health Americas, Inc. FRS BTL 3.15% (1 ML +3.00%) due 06/02/2025		76,624		74,980
Medical-Generic Drugs — 0.0%
Endo Luxembourg Finance Co. I SARL FRS BTL-B 5.00% (3 ML +4.25%) due 04/29/2024		178,988		170,518
Oil Companies-Exploration & Production — 0.0%
California Resources Corp. FRS BTL 11.38% (1 ML +10.38%) due 12/31/2021(8)		130,000		2,681
Pharmacy Services — 0.0%
Change Healthcare Holdings LLC FRS BTL 3.50% (3 ML +2.50%) due 03/01/2024		110,537		108,188
Private Equity — 0.0%
SS&C European Holdings SARL FRS BTL-B4 1.90% (1 ML +1.75%) due 04/16/2025		19,223		18,582
Victory Capital Holdings, Inc. FRS BTL 2.80% (3 ML +2.50%) due 07/01/2026		80,736		79,491
				98,073
Professional Sports — 0.0%
Delta 2 Lux SARL FRS BTL-B3 3.50% (1 ML +2.50%) due 02/01/2024		153,800		148,887
Protection/Safety — 0.0%
APX Group, Inc. FRS BTL 5.15% (3 ML +4.00%) due 12/31/2025		98,256		96,316
Retail-Office Supplies — 0.0%
Staples, Inc. FRS BTL 5.25% (3 ML +5.00%) due 04/16/2026		126,770		116,674

Security Description	Principal Amount(7)		Value (Note 2)
Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL 5.75% (3 ML +5.00%) due 09/25/2024	$	121,250	$	120,083
Security Services — 0.0%
Verisure Holding AB FRS BTL-B coupon TBD due 07/20/2026	EUR	115,000		134,476
Telecom Services — 0.0%
Telenet Financing USD LLC FRS BTL 2.15% (1 ML +2.00%) due 04/30/2028		100,000		96,333
Telephone-Integrated — 0.0%
CenturyLink, Inc. FRS BTL-B 2.40% (1 ML +2.25%) due 03/15/2027		99,250		95,156
Television — 0.1%
Gray Television, Inc. FRS BTL-C 2.66% (1 ML +2.50%) due 01/02/2026		84,964		83,312
Ion Media Networks, Inc. FRS BTL-B1 3.19% (1 ML +3.00%) due 12/18/2024		264,970		263,711
				347,023
Theaters — 0.0%
Cineworld, Ltd. FRS BTL 2.77% (3 ML +2.50%) due 02/28/2025		85,007		56,833
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc. FRS BTL 1.90% (1 ML +1.75%) due 08/01/2027		205,088		199,155
Web Hosting/Design — 0.0%
Go Daddy Operating Co. LLC FRS BTL-B3 2.65% (1 ML +2.50%) due 08/10/2027		114,713		112,944
Total Loans (cost $11,751,460)				11,246,775
FOREIGN GOVERNMENT OBLIGATIONS — 1.5%
Sovereign — 1.5%
Abu Dhabi Government Senior Notes 3.13% due 04/16/2030*		350,000		391,258
Arab Republic of Egypt Senior Notes 5.75% due 05/29/2024*		200,000		204,421

292

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Arab Republic of Egypt Senior Notes 7.63% due 05/29/2032*	$	235,000	$	229,419
Arab Republic of Egypt Senior Notes 8.50% due 01/31/2047		200,000		193,212
Arab Republic of Egypt Senior Notes 8.88% due 05/29/2050*		200,000		197,912
Bermuda Senior Notes 2.38% due 08/20/2030*		200,000		202,250
Dominican Republic Senior Notes 6.40% due 06/05/2049*		1,110,000		1,113,885
Emirate of Abu Dhabi Senior Bonds 3.88% due 04/16/2050*		510,000		622,200
Federative Republic of Brazil Senior Notes 5.63% due 01/07/2041		200,000		216,602
Government of Macedonia Senior Notes 3.68% due 06/03/2026*	EUR	480,000		602,817
Government of Romania Senior Notes 3.00% due 02/14/2031*		100,000		102,612
Government of Romania Bonds 3.62% due 05/26/2030*	EUR	255,000		337,841
Government of Romania Senior Notes 4.00% due 02/14/2051*		572,000		589,160
Government of Romania Senior Notes 4.63% due 04/03/2049	EUR	730,000		1,041,770
Government of Ukraine Senior Notes 7.25% due 03/15/2033*		200,000		183,760
Government of Ukraine Senior Notes 7.75% due 09/01/2023		100,000		101,562
Kingdom of Jordan Senior Notes 5.75% due 01/31/2027		200,000		200,002
Kingdom of Jordan Senior Notes 5.85% due 07/07/2030*		200,000		193,754
Kingdom of Saudi Arabia Senior Notes 3.25% due 10/22/2030		200,000		217,196
Kingdom of Saudi Arabia Senior Notes 4.50% due 04/22/2060*		200,000		248,000
Oriental Republic of Uruguay Senior Notes 4.98% due 04/20/2055		100,000		133,000

Security Description	Principal Amount(7)		Value (Note 2)
Sovereign (continued)
Oriental Republic of Uruguay Notes 7.63% due 03/21/2036	$	200,000	$	311,252
Republic of Argentina Senior Notes 0.13% due 07/09/2035(6)		442,724		166,464
Republic of Argentina Senior Notes 1.00% due 07/09/2029		15,093		6,882
Republic of Armenia Senior Notes 3.95% due 09/26/2029		200,000		193,540
Republic of Belarus Senior Notes 6.88% due 02/28/2023		200,000		193,524
Republic of Colombia Senior Notes 3.13% due 04/15/2031		200,000		205,202
Republic of Colombia Senior Notes 4.50% due 03/15/2029		200,000		224,628
Republic of El Salvador Senior Notes 9.50% due 07/15/2052*		185,000		174,825
Republic of Ghana Senior Notes 6.38% due 02/11/2027*		290,000		260,634
Republic of Ghana Bank Guar. Notes 10.75% due 10/14/2030		200,000		242,396
Republic of Indonesia Senior Notes 2.63% due 06/14/2023	EUR	110,000		135,902
Republic of Indonesia Senior Notes 7.75% due 01/17/2038		100,000		154,484
Republic of Indonesia Senior Notes 8.50% due 10/12/2035		100,000		159,897
Republic of Italy Senior Notes 4.00% due 10/17/2049		244,000		261,472
Republic of Ivory Coast Senior Notes 6.38% due 03/03/2028		200,000		199,654
Republic of Kenya Senior Notes 6.88% due 06/24/2024		200,000		203,236
Republic of Senegal Senior Notes 4.75% due 03/13/2028	EUR	200,000		226,332
Republic of Senegal Notes 6.25% due 05/23/2033		480,000		472,627
Republic of Turkey Senior Notes 6.25% due 09/26/2022		200,000		201,534

293

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Turkey Senior Notes 6.63% due 02/17/2045	$	200,000	$	174,516
Russian Federation Senior Notes 4.38% due 03/21/2029		200,000		229,471
State of Qatar Senior Notes 3.40% due 04/16/2025*		295,000		323,314
State of Qatar Senior Notes 3.75% due 04/16/2030*		695,000		805,222
State of Qatar Senior Notes 4.82% due 03/14/2049		200,000		269,290
United Mexican States Senior Notes 1.13% due 01/17/2030	EUR	210,000		226,769
United Mexican States Senior Notes 4.50% due 04/22/2029		622,000		697,579
United Mexican States Senior Notes 4.75% due 03/08/2044		88,000		95,964
Total Foreign Government Obligations (cost $13,772,472)				14,139,243
COMMON STOCKS — 0.0%
Coal — 0.0%
Foresight Energy LLC†(8)(14)		1,359		11,315
Finance-Mortgage Loan/Banker — 0.0%
Mr. Cooper Group, Inc.†		165		3,683
Oil Companies-Exploration & Production — 0.0%
Ascent Resources — Marcellus LLC†(8)(14)		11,973		9,099
Television — 0.0%
ION Media Networks, Inc.†(8)(14)		22		19,040
Total Common Stocks (cost $48,529)				43,137
PREFERRED SECURITIES — 0.0%
Electric-Distribution — 0.0%
Entergy Louisiana LLC 4.70% (cost $188,874)		7,556		190,563
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5%
Banks-Money Center — 0.0%
BBVA Bancomer SA 5.13% due 01/18/2033*	$	200,000		192,500
Banks-Super Regional — 0.0%
Wells Fargo & Co. 5.95% due 12/01/2086		66,000		86,565
Diversified Banking Institutions — 0.2%
Credit Suisse Group AG 6.25% due 12/18/2024*(15)		1,210,000		1,296,077

Security Description	Principal Amount(7)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(15)	$	149,000	$	154,754
UBS Group AG 7.00% due 02/19/2025(15)		450,000		500,063
				1,950,894
Electric-Distribution — 0.0%
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043		110,000		113,303
Electric-Integrated — 0.0%
CMS Energy Corp. 4.75% due 06/01/2050		85,000		90,118
Dominion Resources, Inc. 5.75% due 10/01/2054		95,000		100,700
				190,818
Insurance-Life/Health — 0.1%
Prudential Financial, Inc. 5.63% due 06/15/2043		130,000		138,083
Prudential Financial, Inc. 5.70% due 09/15/2048		66,000		74,616
Voya Financial, Inc. 4.70% due 01/23/2048		99,000		99,093
				311,792
Metal-Diversified — 0.0%
Chinalco Capital Holdings, Ltd. 4.10% due 09/11/2024(15)		200,000		203,116
Oil Companies-Integrated — 0.0%
BP Capital Markets PLC 4.88% due 03/22/2030(15)		148,000		158,360
Pipelines — 0.0%
EnLink Midstream Partners LP 6.00% due 12/15/2022(15)		108,000		43,200
Enterprise Products Operating LLC 5.25% due 08/16/2077		83,000		79,037
				122,237
Real Estate Investment Trusts — 0.0%
Scentre Group Trust 2 Company Guar. Notes 5.13% due 09/24/2080*		206,000		202,368
Telephone-Integrated — 0.1%
SoftBank Group Corp. 6.00% due 07/19/2023(15)		1,070,000		984,400
Tools-Hand Held — 0.1%
Stanley Black & Decker, Inc. 4.00% due 03/15/2060		196,000		203,813
Total Preferred Securities/Capital Securities (cost $4,567,777)				4,720,166
WARRANTS — 0.0%
Oil Companies-Exploration & Production — 0.0%
Ascent Resources — Marcellus LLC†(8)(14) (cost $296)		3,100		62

294

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares/ Principal Amount(7)			Value (Note 2)
OPTIONS — PURCHASED†(17) — 0.0%
Over the Counter Put Options on Interest Rate Swap Contracts (cost $69,639)		2,780,000		$	186
ESCROWS AND LITIGATION TRUSTS — 0.0%
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(8)	$	131,000			13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(8)		99,000			10
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(8)		58,000			6
Paragon Offshore Finance Co. Escrow Loans†(8)		587			0
Waterford Gaming LLC/Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(8)		1,269			9
Total Escrows and Litigation Trusts (cost $1,726)					38
Total Long-Term Investment Securities (cost $988,191,293)					1,044,574,982
SHORT-TERM INVESTMENT SECURITIES — 1.0%
Registered Investment Companies — 1.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.03%(18) (cost $9,799,115)		9,799,115			9,799,115
REPURCHASE AGREEMENTS — 4.8%
Bank of America Securities LLC Joint Repurchase Agreement(13)	$	9,500,000			9,500,000
Barclays Capital, Inc. Joint Repurchase Agreement(13)		8,565,000			8,565,000
BNP Paribas SA Joint Repurchase Agreement(13)		8,565,000			8,565,000
Deutsche Bank AG Joint Repurchase Agreement(13)		9,485,000			9,485,000
RBS Securities, Inc. Joint Repurchase Agreement(13)		9,045,000			9,045,000
Total Repurchase Agreements (cost $45,160,000)					45,160,000
TOTAL INVESTMENTS (cost $1,043,150,408)(19)		116.8	%		1,099,534,097
Liabilities in excess of other assets		(16.8	)		(158,529,389	)
NET ASSETS		100.0	%	$	941,004,708

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $161,766,933 representing 17.2% of net assets.

†  Non-income producing security

(1)  Commercial Mortgage Backed Security

(2)  Collateralized Mortgage Obligation

(3)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(4)  Collateralized Loan Obligation

(5)  Interest Only

(6)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2020.

(7)  Denominated in United States dollar unless otherwise indicated.

(8)  Securities classified as Level 3 (see Note 2).

(9)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(10)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(11)  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.

(12)  All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.

(13)  See Note 2 for details of Joint Repurchase Agreements.

(14)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the

295

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

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, 2020, the Portfolio held the following restricted securities:

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Common Stocks:
Ascent Resources — Marcellus LLC	03/30/2018		11,973	$	36,240	$	9,099	$	0.76		0.00	%
Foresight Energy LLC	06/30/2020		1,359		12,284		11,315		8.33		0.00
ION Media Networks, Inc.	03/05/2014		22		0		19,040		865.45		0.00

Description	Acquistion Date	Shares		Acquistion Cost		Value		Value Per Share		% of Net Assets
Warrants:
Ascent Resources — Marcellus LLC	03/30/2018		3,100	$	296	$	62	$	0.02		0.00
						$	39,516				0.00	%

(15)  Perpetual maturity — maturity date reflects the next call date.

(16)  The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.

(17)  Options — Purchased

Over the Counter Put Options on Interest Rate Swap Contracts

Issue	Counterparty	Expiration Month	Strike Rate			Notional Amount(000's)		Premiums Paid		Value at September 30, 2020		Unrealized Appreciation (Depreciation)
Put option to enter into an interest rate swap for the right to pay a fixed rate of 1.70% versus 3 Month USD LIBOR-BBA maturing on 11/23/2030	Bank of America, N.A.	November 2020		1.70	%	$	2,780	$	69,639	$	186	$	(69,453	)

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(18)  The rate shown is the 7-day yield as of September 30, 2020.

(19)  See Note 4 for cost of investments on a tax basis.

ARS — Argentine Peso

BTL — Bank Term Loan

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EUR — European Currency

GBP — Pound Sterling

REMIC — Real Estate Mortgage Investment Conduit

SCRT — Seasoned Credit Risk Transfer

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TBD — Senior loans purchased on a when-issued or delayed delivery basis. Certain details associated with the purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on the FRS and VRS are the current interest rates at September 30, 2020 and unless otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month Libor

1 WL — 1 Week Libor

1 ME — 1 Month Euribor

3 ME — 3 Month Euribor

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

12 MTA — 12 Month USD Treasury Average Index

1 Yr USTYCR — 1 Year US Treasury Curve Rate

COFI — 11th District Cost of Funds

296

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	55	Long	Australian 10 Year Bonds	December 2020	$	5,810,276	$	5,885,141	$	74,865
	29	Long	U.S. Treasury 5 Year Notes	December 2020		3,647,656		3,654,906		7,250
	49	Long	U.S. Treasury Long Bonds	December 2020		8,606,327		8,637,781		31,454
									$	113,569
									Unrealized (Depreciation)
	40	Short	Euro Bund	December 2020	$	8,165,826	$	8,184,637	$	(18,811	)
	2	Short	Euro Buxl 30 Year Bonds	December 2020		515,198		522,162		(6,964	)
	14	Short	Euro-OAT	December 2020		2,755,814		2,766,630		(10,816	)
	106	Short	U.S. Treasury 10 Year Notes	December 2020		14,744,031		14,790,312		(46,281	)
	111	Short	U.S. Treasury 10 Year Ultra Bonds	December 2020		17,684,820		17,751,328		(66,508	)
	1	Short	U.S. Treasury 2 Year Notes	December 2020		220,867		220,961		(94	)
									$	(149,474	)
Net Unrealized Appreciation (Depreciation)									$	(35,905	)

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
HSBC Bank USA	EUR	2,441,000	USD	2,889,522	12/16/2020	$	22,748	$	—
JPMorgan Chase Bank	GBP	142,000	USD	186,612	12/16/2020		3,296		—
Morgan Stanley & Co., Inc.	EUR	422,000	USD	492,148	10/30/2020		—		(2,912	)
Standard Chartered Bank	EUR	121,000	USD	143,710	12/16/2020		1,605		—
Unrealized Appreciation (Depreciation)						$	27,649	$	(2,912	)

EUR — Euro Currency

GBP — Pound Sterling

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged		Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency	Upfront Payments Made (Received) by the Portfolio			Unrealized Appreciation (Depreciation)
USD	4,485	12/16/2030	USD-3 Month-LIBOR-BBA/Quarterly	0.75%/Semi-annually	$	(11,414	)	$	2,146
USD	7,560	12/16/2025	USD-3 Month-LIBOR-BBA/Quarterly	0.38%/Semi-annually		(6,913	)		2,217
					$	(18,327	)	$	4,363

297

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)

											Value(4)
Reference Obligation	Fixed Deal (Pay) Rate			Frequency	Maturity Date	Implied Credit Spread at September 30, 2020(2)			Notional Amount (000's)(3)		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Markit CDX North America High Yield Index		(1.00	)%	Quarterly	12/20/2025		0.55	%	$	1,130	$	(26,175	)	$	2,529
Markit CDX North America Investment Grade Index		(5.00	)	Quarterly	12/20/2025		0.00			3,715		(159,661	)		6,160
											$(185,836)			$8,689

Over the Counter Credit Default Swaps on Credit Indices — Buy Protection(1)

												Value(4)
Reference Obligation	Fixed Deal (Pay) Rate			Frequency	Maturity Date	Counterparty	Implied Credit Spread at September 30, 2020(2)			Notional Amount (000's)(3)		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Markit CMBX North America AAA 12 Indices		(0.50	)%	Quarterly	08/17/2061	Goldman Sachs International		0.54	%	$	2,535	$	46,076		$	(38,297	)
Markit CMBX North America AAA 12 Indices		(0.50	)	Quarterly	08/17/2061	Goldman Sachs International		0.54			540		1,287			370
Markit CMBX North America AAA 12 Indices		(0.50	)	Quarterly	08/17/2061	Goldman Sachs International		0.54			1,425		(5,108	)		9,481
												$42,255			$(28,446)

BBA — British Bankers' Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

(1)  If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.

(3)  The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)  The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

298

Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Asset Backed Securities	$	—	$	115,205,738	$	—	$	115,205,738
U.S. Corporate Bonds & Notes		—		263,088,366		—		263,088,366
Foreign Corporate Bonds & Notes		—		47,065,702		—		47,065,702
U.S. Government Agencies		—		243,544,599		—		243,544,599
U.S. Government Treasuries		—		340,621,794		—		340,621,794
Municipal Bond & Notes		—		4,708,613		—		4,708,613
Loans:
Oil Companies-Exploration & Production		—		—		2,681		2,681
Other Industries		—		11,244,094		—		11,244,094
Foreign Government Obligations		—		14,139,243		—		14,139,243
Common Stocks:
Coal		—		—		11,315		11,315
Finance-Mortgage Loan/Banker		3,683		—		—		3,683
Oil Companies-Exploration & Production		—		—		9,099		9,099
Television		—		—		19,040		19,040
Preferred Securities		190,563		—		—		190,563
Preferred Securities/Capital Securities		—		4,720,166		—		4,720,166
Warrants		—		—		62		62
Options — Purchased		—		186		—		186
Escrows and Litigation Trusts		—		—		38		38
Short-Term Investment Securities		9,799,115		—		—		9,799,115
Repurchase Agreements		—		45,160,000		—		45,160,000
Total Investments at Value	$	9,993,361	$	1,089,498,501	$	42,235	$	1,099,534,097
Other Financial Instruments:†
Futures Contracts	$	113,569	$	—	$	—	$	113,569
Forward Foreign Currency Contracts		—		27,649		—		27,649
Centrally Cleared Interest Rate Swap Contracts		—		4,363		—		4,363
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection		—		8,689		—		8,689
Over the Counter Credit Default Swaps on Credit Indices — Buy Protection		—		9,851		—		9,851
Total Other Financial Instruments	$	113,569	$	50,552	$	—	$	164,121
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	149,474	$	—	$	—	$	149,474
Forward Foreign Currency Contracts		—		2,912		—		2,912
Over the Counter Credit Default Swaps on Credit Indices — Buy Protection		—		38,297		—		38,297
Total Other Financial Instruments	$	149,474	$	41,209	$	—	$	190,683

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

There were no material Level 3 transfers during the reporting period.

See Notes to Financial Statements

299

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
United States Treasury Notes	47.3	%
Sovereign	35.3
Diversified Financial Services	4.5
Uniform Mtg. Backed Securities	4.2
Federal National Mtg. Assoc.	2.3
United States Treasury Bonds	1.6
Repurchase Agreements	1.4
Federal Home Loan Mtg. Corp.	0.8
SupraNational Banks	0.4
Cable/Satellite TV	0.2
Rental Auto/Equipment	0.2
Medical Labs & Testing Services	0.2
Television	0.2
Insurance-Property/Casualty	0.2
Building Products-Doors & Windows	0.2
Funeral Services & Related Items	0.2
Hazardous Waste Disposal	0.2
Medical-Hospitals	0.1
Chemicals-Specialty	0.1
Pipelines	0.1
Commercial Services-Finance	0.1
Professional Sports	0.1
Retail-Sporting Goods	0.1
Containers-Paper/Plastic	0.1
Medical-Drugs	0.1
Applications Software	0.1
Data Processing/Management	0.1
Consulting Services	0.1
Semiconductor Equipment	0.1
Enterprise Software/Service	0.1
Web Hosting/Design	0.1
Casino Hotels	0.1
Distribution/Wholesale	0.1
Retail-Restaurants	0.1
Insurance Brokers	0.1
Food-Catering	0.1
Food-Wholesale/Distribution	0.1
Computer Services	0.1
Auto/Truck Parts & Equipment-Original	0.1
Machinery-General Industrial	0.1
Theaters	0.1
Medical-HMO	0.1
Medical Information Systems	0.1
Cosmetics & Toiletries	0.1
Broadcast Services/Program	0.1
Industrial Gases	0.1
Commercial Services	0.1
Finance-Investment Banker/Broker	0.1
Gas-Distribution	0.1
Cellular Telecom	0.1
Building-Heavy Construction	0.1
Food-Baking	0.1
Aerospace/Defense-Equipment	0.1
Finance-Credit Card	0.1
Telecom Services	0.1
Retail-Building Products	0.1
	103.3	%

Credit Quality†#
Aaa	62.5	%
Aa	16.4
A	3.7
Baa	6.7
Ba	2.0
B	2.7
Caa	0.1
Not Rated##	5.9
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

#  Calculated as a percentage of total debt issues, excluding short-term securities.

##  Represents debt issues that either have no rating, or the rating is unavailable from the data source.

300

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Principal Amount(8)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 35.3%
Sovereign — 35.3%
Commonwealth of Australia Senior Notes 0.75% due 11/21/2027(1)	AUD	11,800,000	$	9,737,765
Commonwealth of Australia Senior Notes 3.00% due 09/20/2025(1)	AUD	3,568,750		3,037,546
Commonwealth of Australia Senior Notes 3.00% due 03/21/2047	AUD	3,500,000		3,240,767
Federal Republic of Germany Bonds 0.10% due 04/15/2023(1)	EUR	17,526,416		20,948,723
Government of Canada Bonds 2.00% due 12/01/2041(1)	CAD	13,082,434		14,565,414
Government of Canada Bonds 4.25% due 12/01/2021(1)	CAD	6,440,772		5,087,898
Government of France Bonds 0.10% due 03/01/2025(1)	EUR	5,039,744		6,130,062
Government of France Bonds 0.25% due 07/25/2024(1)	EUR	15,002,284		18,493,521
Government of France Bonds 1.10% due 07/25/2022(1)	EUR	15,277,452		18,604,524
Government of France Bonds 2.10% due 07/25/2023*(1)	EUR	6,853,982		8,644,207
Government of Japan Senior Notes 0.10% due 03/10/2025(1)	JPY	472,338,400		4,463,400
Government of Japan Senior Notes 0.10% due 03/10/2027(1)	JPY	2,091,257,768		19,761,509
Government of Japan Senior Notes 0.10% due 03/10/2028(1)	JPY	363,218,400		3,437,083
Government of New Zealand Senior Notes 2.00% due 09/20/2025(1)	NZD	2,566,541		1,920,321
Government of Romania Senior Notes 4.63% due 04/03/2049	EUR	860,000		1,227,291
Republic of Italy Senior Notes 2.35% due 09/15/2024*(1)	EUR	18,175,326		23,349,843
Republic of Italy Senior Notes 2.60% due 09/15/2023*(1)	EUR	8,845,283		11,239,793
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2024(1)	GBP	9,464,442		13,562,886
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2026(1)	GBP	5,674,747		8,672,314

Security Description	Principal Amount(8)		Value (Note 2)
Sovereign (continued)
United Kingdom Gilt Treasury Bonds 1.88% due 11/22/2022(1)	GBP	3,761,663	$	5,369,643
United Kingdom Gilt Treasury Bonds 2.50% due 07/17/2024(1)	GBP	10,779,347		16,784,768
Total Foreign Government Obligations (cost $217,288,325)				218,279,278
U.S. GOVERNMENT AGENCIES — 7.3%
Federal Home Loan Mtg. Corp. — 0.8%
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K114, Class X1 1.21% due 06/25/2030(2)(3)(4)		6,279,271		587,311
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2019-HQA3, Class M2 2.00% (1 ML + 1.85%) due 09/25/2049*(5)		961,002		939,505
Series 2018-HQA1, Class M2 2.45% (1 ML+2.30%) due 09/25/2030(5)		2,386,266		2,347,242
Series 2019-HQA1, Class M2 2.50% (1 ML + 2.35%) due 02/25/2049*(5)		1,118,456		1,107,753
				4,981,811
Federal National Mtg. Assoc. — 2.3%
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2018-C03, Class 1M2 2.30% (1 ML+2.15%) due 10/25/2030(5)		2,770,157		2,716,886
Series 2019-R03, Class 1M2 2.30% (1 ML+2.15%) due 09/25/2031*(5)		398,440		396,860
Series 2018-C02, Class 2M2 2.35% (1 ML+2.20%) due 08/25/2030(5)		2,433,199		2,353,790
Series 2018-C01, Class 1M2 2.40% (1 ML+2.25%) due 07/25/2030(5)		2,573,156		2,539,284
Series 2018-C05, Class 1M2 2.50% (1 ML+2.35%) due 01/25/2031(5)		2,927,295		2,871,254
Series 2018-R07, Class 1M2 2.55% (1 ML+2.40%) due 04/25/2031*(5)		393,732		391,595
Series 2018-C04, Class 2M2 2.70% (1 ML+2.55%) due 12/25/2030(5)		2,583,244		2,537,232
				13,806,901

301

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Uniform Mtg. Backed Securities — 4.2%
2.00% due October 30 TBA	$	12,620,000	$	13,047,897
2.00% due November 30 TBA		12,600,000		13,005,349
				26,053,246
Total U.S. Government Agencies (cost $45,323,911)				44,841,958
U.S. GOVERNMENT TREASURIES — 48.9%
United States Treasury Bonds TIPS(1) — 1.6%
0.25% due 02/15/2050		4,548,442		5,376,163
0.75% due 02/15/2045		1,716,187		2,187,870
1.00% due 02/15/2048		1,281,647		1,770,475
1.00% due 02/15/2049		602,258		841,663
				10,176,171
United States Treasury Notes TIPS(1) — 47.3%
0.13% due 04/15/2025		6,699,572		7,130,421
0.13% due 07/15/2026		30,369,075		32,944,515
0.13% due 07/15/2030		7,699,248		8,564,611
0.25% due 07/15/2029		36,332,765		40,652,485
0.38% due 01/15/2027		15,518,207		17,076,696
0.63% due 01/15/2026		82,650,430		91,120,485
0.88% due 01/15/2029(14)		81,158,566		94,565,580
				292,054,793
Total U.S. Government Treasuries (cost $287,795,230)				302,230,964
ASSET BACKED SECURITIES — 4.5%
Diversified Financial Services — 4.5%
AASET Trust Series 2020-1A, Class A 3.35% due 01/16/2040*		304,800		280,848
Atlas Senior Loan Fund, Ltd. FRS Series 2018-9A, Class A 1.14% (3 ML+0.87%) due 04/20/2028*(6)		3,435,993		3,405,419
Atrium XIII FRS Series 13A, Class A1 1.44% (3 ML+1.18%) due 11/21/2030*(6)		3,700,000		3,672,886
BANK VRS Series 2019-BN18, Class XA 1.05% due 05/15/2062(2)(3)(4)		6,988,724		449,354
Bear Stearns ARM Trust VRS Series 2005-6, Class 3A1 3.20% due 08/25/2035(2)(5)		937,225		920,985
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.39% due 03/15/2062(2)(3)(4)		7,628,981		617,243
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 1.28% (3 ML+1.00%) due 01/15/2031*(6)		1,970,951		1,934,784

Security Description	Principal Amount(8)		Value (Note 2)
Diversified Financial Services (continued)
CF Hippolyta LLC Series 2020-1, Class A1 1.69% due 07/15/2060*	$	843,000	$	852,527
CSMC Trust VRS Series 2018-RPL8, Class A1 4.13% due 07/25/2058*(2)		1,144,120		1,148,632
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.83% due 09/15/2053(2)(3)(4)		2,094,771		237,844
Dryden Senior Loan Fund FRS Series 2015-41A, Class AR 1.25% (3 ML+0.97%) due 04/15/2031*(6)		2,045,000		2,019,356
Dryden Senior Loan Fund FRS Series 2015-37A, Class AR 1.38% (3 ML+1.10%) due 01/15/2031*(6)		2,500,000		2,478,533
LCM XX LP FRS Series -20A, Class AR 1.31% (3 ML+1.04%) due 10/20/2027*(6)		1,625,000		1,609,959
Magnetite, Ltd. FRS Series 2012-7A, Class A1R2 1.08% (3 ML+0.80%) due 01/15/2028*(6)		2,000,000		1,979,810
Neuberger Berman CLO XIX, Ltd. FRS Series 2015-19A, Class A1R2 1.08% (3 ML+0.80%) due 07/15/2027*(6)		2,393,624		2,369,937
Pretium Mortgage Credit Partners I Series 2020-NPL2, Class A1 3.72% due 02/27/2060*(7)		242,904		243,297
Venture CLO, Ltd. FRS Series 2017-29A, Class A 1.56% (3 ML+1.28%) due 09/07/2030*(6)		1,110,000		1,100,397
Vericrest Opportunity Loan Transferee Series 2019-NP10, Class A1A 3.43% due 12/27/2049*(7)		1,455,058		1,455,609
Vericrest Opportunity Loan Trust Series 2019-NPL7, Class A1A 3.18% due 10/25/2049*(7)		501,664		502,639
VOLT LXXXV LLC Series 2020-NPL1, Class A1A 3.23% due 01/25/2050*(7)		432,321		433,144
Total Asset Backed Securities (cost $27,921,434)				27,713,203

302

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 0.6%
Cable/Satellite TV — 0.1%
CSC Holdings LLC Senior Notes 3.38% due 02/15/2031*	$	870,000	$	842,377
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030*		205,000		207,368
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.38% due 05/15/2027*		202,000		215,635
Funeral Services & Related Items — 0.2%
Service Corp. International Senior Notes 3.38% due 08/15/2030		870,000		871,087
Hazardous Waste Disposal — 0.2%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		830,000		861,125
Medical-HMO — 0.1%
Centene Corp. Senior Notes 4.63% due 12/15/2029		375,000		404,498
Total U.S. Corporate Bonds & Notes (cost $3,433,464)				3,402,090
FOREIGN CORPORATE BONDS & NOTES — 0.4%
SupraNational Banks — 0.4%
Inter-American Development Bank Senior Notes 3.15% due 06/26/2029	AUD	2,880,000		2,421,612
Wireless Equipment — 0.0%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		231,000		245,293
Total Foreign Corporate Bonds & Notes (cost $2,549,479)				2,666,905
LOANS(9)(10)(11) — 4.9%
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc. FRS BTL 3.76% (3 ML +3.50%) due 08/21/2026		282,150		256,555
Aerospace/Defense-Equipment — 0.1%
TransDigm, Inc. FRS BTL-F 2.40% (1 ML +2.25%) due 12/09/2025		294,009		277,949
Airlines — 0.0%
SkyMiles IP, Ltd. FRS BTL coupon TBD due 10/20/2027		120,000		120,900

Security Description	Principal Amount(8)		Value (Note 2)
Airlines (continued)
WestJet Airlines, Ltd. FRS BTL-B 4.00% (3 ML +3.00%) due 12/11/2026	$	153,838	$	132,829
				253,729
Applications Software — 0.1%
SS&C Technologies, Inc. FRS BTL-B5 1.90% (1 ML +1.75%) due 04/16/2025		631,935		611,397
Auto Repair Centers — 0.0%
Belron Finance US LLC FRS BTL-B 2.75% (3 ML +2.50%) due 11/13/2025		186,675		183,875
Auto/Truck Parts & Equipment-Original — 0.1%
Panther BF Aggregator 2 LP FRS BTL-B 3.65% (1 ML +3.50%) due 04/30/2026		198,000		192,803
Panther BF Aggregator 2 LP FRS BTL-B 3.75% (1 ME +3.75%) due 04/30/2026	EUR	250,000		287,250
				480,053
Auto/Truck Parts & Equipment-Replacement — 0.0%
Adient US LLC FRS BTL-B 4.40% (1 ML +4.25%) due 05/06/2024		114,313		112,945
Adient US LLC FRS BTL-B 4.49% (3 ML +4.25%) due 05/06/2024		38,750		38,286
				151,231
Broadcast Services/Program — 0.1%
NEP Group, Inc. FRS BTL 3.40% (1 ML +3.25%) due 10/20/2025		108,075		92,675
Nexstar Broadcasting, Inc. FRS BTL-B3 2.39% (1 ML +2.25%) due 01/17/2024		65,502		63,619
Nexstar Broadcasting, Inc. FRS BTL-B4 2.90% (1 ML +2.75%) due 09/18/2026		187,322		183,107
				339,401
Building Products-Air & Heating — 0.0%
Ingersoll-Rand Services Co. FRS BTL-B 1.90% (1 ML +1.75%) due 03/01/2027		179,100		172,943

303

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
LOANS(9)(10)(11) (continued)
Building Products-Cement — 0.0%
Quikrete Holdings, Inc. FRS 1st Lien 2.65% (1 ML +2.50%) due 02/01/2027	$	148,875	$	145,200
Building Products-Doors & Windows — 0.2%
NCI Building Systems, Inc. FRS BTL 3.90% (1 ML +3.75%) due 04/12/2025		891,754		875,591
Building-Heavy Construction — 0.1%
PowerTeam Services LLC FRS BTL 4.25% (3 ML +3.25%) due 03/06/2025		300,000		291,825
Cable/Satellite TV — 0.1%
CSC Holdings LLC FRS BTL 2.40% (1 ML +2.25%) due 01/15/2026		615,625		594,591
LCPR Loan Financing LLC FRS BTL-B 5.15% (1 ML +5.00%) due 10/15/2026		100,000		99,916
UPC Broadband Holding BV FRS BTL-B1 coupon TBD due 01/31/2029		105,000		101,404
				795,911
Casino Hotels — 0.1%
Boyd Gaming Corp. FRS BTL-B 2.36% (1 WL +2.25%) due 09/15/2023		249,056		241,709
Caesars Resort Collection LLC FRS BTL-B 2.90% (1 ML +2.75%) due 12/23/2024		342,947		320,465
				562,174
Cellular Telecom — 0.1%
Numericable Group SA FRS BTL-B 3.84% (1 ML +3.69%) due 01/31/2026		196,465		188,606
T-Mobile USA, Inc. FRS BTL 3.15% (1 ML +3.00%) due 04/01/2027		104,738		104,607
				293,213
Chemicals-Specialty — 0.1%
ASP Unifrax Holdings, Inc. FRS BTL-B1 3.97% (3 ML +3.75%) due 12/12/2025		315,572		273,364

Security Description	Principal Amount(8)		Value (Note 2)
Chemicals-Specialty (continued)
Diamond BC BV FRS BTL 3.26% (3 ML +3.00%) due 09/06/2024	$	195,970	$	182,864
Element Solutions, Inc. FRS BTL-B 2.15% (1 ML +2.00%) due 01/31/2026		167,038		162,862
Starfruit US HoldCo. LLC FRS BTL-B 3.15% (1 ML +3.00%) due 10/01/2025		124,755		120,389
Starfruit Finco BV FRS BTL-B 3.25% (1 ME +3.25%) due 10/01/2025	EUR	100,000		115,157
				854,636
Commercial Services — 0.1%
AVSC Holding Corp. FRS BTL-B 4.25% (1 ML +3.25%) due 03/03/2025		96,799		71,833
AVSC Holding Corp. FRS BTL-B 4.25% (3 ML +3.25%) due 03/03/2025		100,669		74,705
Brightview Landscapes LLC FRS BTL-B 2.69% (1 ML +2.50%) due 08/15/2025		171,922		169,988
				316,526
Commercial Services-Finance — 0.1%
EVO Payments International LLC FRS BTL 3.40% (1 ML +3.25%) due 12/22/2023		181,191		178,473
Financial & Risk US Holdings, Inc. FRS BTL 3.40% (1 ML +3.25%) due 10/01/2025		309,488		306,248
WEX, Inc. FRS BTL-B3 2.40% (1 ML +2.25%) due 05/15/2026		342,987		330,482
				815,203
Computer Services — 0.1%
Science Applications International Corp. FRS BTL-B 2.02% (1 ML +1.88%) due 10/31/2025		373,350		363,643
Tempo Acquisition LLC FRS BTL-B 3.75% (1 ML +3.25%) due 10/01/2026		129,382		125,581
				489,224

304

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
LOANS(9)(10)(11) (continued)
Consulting Services — 0.1%
AlixPartners LLP FRS BTL 2.65% (1 ML +2.50%) due 04/04/2024	$	392,377	$	382,147
Consumer Products-Misc. — 0.0%
Reynolds Consumer Products LLC FRS BTL 1.90% (1 ML +1.75%) due 02/04/2027		95,460		94,028
Containers-Metal/Glass — 0.0%
Berlin Packaging LLC FRS 1st Lien 3.16% (1 ML +3.00%) due 11/07/2025		194,351		187,731
Berlin Packaging LLC FRS 1st Lien 3.23% (3 ML +3.00%) due 11/07/2025		1,639		1,583
				189,314
Containers-Paper/Plastic — 0.1%
Berry Global, Inc. FRS BTL-W 2.16% (1 ML +2.00%) due 10/01/2022		175,000		173,542
Berry Global, Inc. FRS BTL-Y 2.16% (1 ML +2.00%) due 07/01/2026		197,500		191,218
Flex Acquisition Co, Inc. FRS BTL 4.00% (3 ML +3.00%) due 12/29/2023		196,994		191,872
Reynolds Group Holdings, Inc. FRS BTL 2.90% (1 ML +2.75%) due 02/05/2023		74,377		73,505
Reynolds Group Holdings, Inc. FRS BTL 5.00% (USFRBPLR +1.75%) due 02/05/2023		78,906		77,981
				708,118
Cosmetics & Toiletries — 0.1%
Sunshine Luxembourg VII SARL FRS BTL 4.47% (3 ML +4.25%) due 10/01/2026		357,300		354,812
Data Processing/Management — 0.1%
Dun & Bradstreet Corp. FRS BTL 3.89% (1 ML +3.75%) due 02/06/2026		263,675		260,906

Security Description	Principal Amount(8)		Value (Note 2)
Data Processing/Management (continued)
Evertec Group LLC FRS BTL-B 3.65% (1 ML +3.50%) due 11/27/2024	$	330,644	$	328,991
				589,897
Diagnostic Equipment — 0.0%
Avantor, Inc. FRS BTL 3.25% (1 ML +2.25%) due 11/21/2024		66,312		65,317
Direct Marketing — 0.0%
Terrier Media Buyer, Inc. FRS BTL-B 4.40% (1 ML +4.25%) due 12/17/2026		143,913		140,063
Distribution/Wholesale — 0.1%
American Builders & Contractors Supply Co., Inc. FRS BTL 2.15% (1 ML +2.00%) due 01/15/2027		267,300		259,281
HD Supply, Inc. FRS BTL-B5 1.90% (1 ML +1.75%) due 10/17/2023		193,514		192,547
Univar Solutions USA, Inc. FRS BTL-B5 2.15% (1 ML +2.00%) due 07/01/2026		99,250		96,644
				548,472
Electronic Components-Semiconductors — 0.0%
Microchip Technology, Inc. FRS BTL-B 2.15% (1 ML +2.00%) due 05/29/2025		235,901		234,426
Enterprise Software/Service — 0.1%
Dcert Buyer, Inc. FRS BTL-B 4.15% (1 ML +4.00%) due 10/16/2026		203,975		201,018
MA FinanceCo. LLC FRS BTL-B 2.65% (1 ML +2.50%) due 06/21/2024		24,851		23,658
Seattle SpinCo, Inc. FRS BTL-B3 2.65% (1 ML +2.50%) due 06/21/2024		167,821		159,745
Ultimate Software Group, Inc. FRS 1st Lien 3.90% (1 ML +3.75%) due 05/04/2026		99,000		98,087

305

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
LOANS(9)(10)(11) (continued)
Enterprise Software/Service (continued)
Ultimate Software Group, Inc. FRS BTL-B 4.75% (3 ML +4.00%) due 05/04/2026	$	100,000	$	99,578
				582,086
Finance-Credit Card — 0.1%
Blackhawk Network Holdings, Inc. FRS 1st Lien 3.15% (1 ML +3.00%) due 06/15/2025		294,724		277,654
Finance-Investment Banker/Broker — 0.1%
Deerfield Dakota Holding LLC FRS BTL 4.75% (1 ML +3.75%) due 04/09/2027		309,225		307,035
Food-Baking — 0.1%
Hostess Brands LLC FRS BTL 3.00% (1 ML +2.25%) due 08/03/2025		79,781		78,302
Hostess Brands LLC FRS BTL 3.00% (3 ML +2.25%) due 08/03/2025		214,226		210,254
				288,556
Food-Catering — 0.1%
8th Avenue Food & Provisions, Inc. FRS BTL 3.65% (1 ML +3.50%) due 10/01/2025		147,375		146,024
Aramark Services, Inc. FRS BTL-B1 1.90% (1 ML +1.75%) due 03/11/2025		375,000		358,359
				504,383
Food-Misc./Diversified — 0.0%
Froneri US, Inc. FRS BTL 2.40% (1 ML +2.25%) due 01/29/2027		109,725		105,370
Food-Wholesale/Distribution — 0.1%
US Foods, Inc. FRS BTL-B 1.90% (1 ML +1.75%) due 06/27/2023		342,839		329,125
US Foods, Inc. FRS BTL-B 2.15% (1 ML +2.00%) due 09/13/2026		168,300		160,516
				489,641

Security Description	Principal Amount(8)		Value (Note 2)
Gambling (Non-Hotel) — 0.0%
Golden Entertainment, Inc. FRS 1st Lien 3.75% (1 ML +3.00%) due 10/21/2024	$	97,229	$	93,340
Gas-Distribution — 0.1%
UGI Energy Services LLC FRS BTL-B 3.90% (1 ML +3.75%) due 08/13/2026		301,188		299,682
Hotels/Motels — 0.0%
Hilton Worldwide Finance LLC FRS BTL-B 1.90% (1 ML +1.75%) due 06/22/2026		136,839		132,107
Industrial Gases — 0.1%
Messer Industries USA, Inc. FRS BTL 2.72% (3 ML +2.50%) due 03/02/2026		216,700		212,258
Messer Industries GmbH FRS BTL-B 2.50% (3 ME +2.50%) due 03/02/2026	EUR	100,000		115,398
				327,656
Insurance Brokers — 0.1%
HUB International, Ltd. FRS BTL-B 3.26% (3 ML +3.00%) due 04/25/2025		269,486		259,919
USI, Inc. FRS BTL 3.22% (3 ML +3.00%) due 05/16/2024		270,127		260,926
				520,845
Insurance-Property/Casualty — 0.2%
Asurion LLC FRS BTL-B4 3.15% (1 ML +3.00%) due 08/04/2022		162,585		160,269
Asurion LLC FRS 2nd Lien 6.65% (1 ML +6.50%) due 08/04/2025		281,818		282,019
Sedgwick Claims Management Services, Inc. FRS BTL 3.40% (1 ML +3.25%) due 12/31/2025		525,638		506,489
Sedgwick Claims Management Services, Inc. FRS BTL-B 4.15% (1 ML +4.00%) due 09/03/2026		197,500		194,291
				1,143,068

306

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
LOANS(9)(10)(11) (continued)
Investment Management/Advisor Services — 0.0%
NFP Corp. FRS BTL 3.40% (1 ML +3.25%) due 02/15/2027	$	127,704	$	122,117
Leisure Products — 0.0%
Hayward Industries, Inc. FRS 1st Lien 3.65% (1 ML +3.50%) due 08/05/2024		140,099		136,246
Machinery-Electrical — 0.0%
Brookfield WEC Holdings, Inc. FRS BTL 3.75% (1 ML +3.00%) due 08/01/2025		98,744		96,134
Machinery-General Industrial — 0.1%
Altra Industrial Motion Corp. FRS BTL-B 2.15% (1 ML +2.00%) due 10/01/2025		201,119		195,840
Vertical US Newco, Inc. FRS BTL-B 4.57% (6 ML +4.25%) due 07/30/2027		220,000		217,996
				413,836
Machinery-Pumps — 0.0%
CIRCOR International, Inc. FRS BTL-B 4.25% (1 ML +3.25%) due 12/11/2024		244,936		239,272
Medical Information Systems — 0.1%
Zelis Payments Buyer, Inc. FRS BTL 4.90% (1 ML +4.75%) due 09/30/2026		397,000		393,444
Medical Labs & Testing Services — 0.2%
Biogroup LCD FRS BTL-B coupon TBD due 04/25/2026	EUR	185,000		212,746
Envision Healthcare Corp. FRS 1st Lien 3.90% (1 ML +3.75%) due 10/10/2025		677,925		483,586
LGC Group Holdings, Ltd. FRS BTL-B 3.25% (1 ME +3.25%) due 04/21/2027	EUR	100,000		114,298
Quintiles IMS, Inc. FRS BTL-B 1.90% (1 ML +1.75%) due 03/07/2024		200,000		196,821

Security Description	Principal Amount(8)		Value (Note 2)
Medical Labs & Testing Services (continued)
Syneos Health, Inc. FRS BTL-B 1.90% (1 ML +1.75%) due 08/01/2024	$	186,871	$	182,257
				1,189,708
Medical Products — 0.0%
Agiliti Health, Inc. FRS BTL-B 3.19% (1 ML +3.00%) due 01/04/2026		123,125		119,431
Medical-Drugs — 0.1%
Bausch Health Americas, Inc. FRS BTL 2.90% (1 ML +2.75%) due 11/27/2025		688,000		671,230
Medical-Generic Drugs — 0.0%
Endo Luxembourg Finance Co. I SARL FRS BTL-B 5.00% (3 ML +4.25%) due 04/29/2024		171,456		163,342
Medical-Hospitals — 0.1%
Surgery Center Holdings, Inc. FRS BTL 4.25% (1 ML +3.25%) due 09/03/2024		338,030		318,956
Universal Health Services, Inc. FRS BTL-B 1.90% (1 ML +1.75%) due 10/31/2025		545,288		542,561
				861,517
Pharmacy Services — 0.0%
Change Healthcare Holdings LLC FRS BTL 3.50% (1 ML +2.5%) due 03/01/20		2,037		1,994
Change Healthcare Holdings LLC FRS BTL 3.50% (3 ML +2.5%) due 03/01/20		74,525		72,941
Milano Acquisition Corp. FRS BTL coupon TBD due 10/01/2027		115,000		113,563
				188,498
Pipelines — 0.1%
BCP Raptor II LLC FRS BTL 4.90% (1 ML +4.75%) due 11/03/2025		330,813		230,466

307

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
LOANS(9)(10)(11) (continued)
Pipelines (continued)
BCP Renaissance Parent LLC FRS BTL-B 4.50% (2 ML +3.50%) due 10/31/2024	$	171,458	$	158,084
Grizzly Finco FRS BTL 3.55% (3 ML +3.25%) due 10/01/2025		230,300		222,047
Lower Cadence Holdings LLC FRS BTL-B 4.15% (1 ML +4.00%) due 05/22/2026		98,750		90,850
Medallion Midland Acquisition LLC FRS BTL 4.25% (1 ML +3.25%) due 10/30/2024		146,977		137,914
				839,361
Private Equity — 0.0%
Victory Capital Holdings, Inc. FRS BTL 2.80% (3 ML +2.50%) due 07/01/2026		84,773		83,466
Professional Sports — 0.1%
Delta 2 Lux SARL FRS BTL-B3 3.50% (1 ML +2.50%) due 02/01/2024		750,000		726,042
Racetracks — 0.0%
Penn National Gaming, Inc. FRS BTL 3.00% (1 ML +2.25%) due 10/15/2025		221,063		214,667
Real Estate Investment Trusts — 0.0%
VICI Properties 1 LLC FRS BTL 1.91% (1 ML +1.75%) due 12/20/2024		150,000		144,713
Rental Auto/Equipment — 0.2%
United Rentals North America, Inc. FRS BTL 1.90% (1 ML +1.75%) due 10/31/2025		1,362,200		1,355,672
Research & Development — 0.0%
PAREXEL International Corp. FRS BTL 2.90% (1 ML +2.75%) due 09/27/2024		207,950		199,009

Security Description	Principal Amount(8)		Value (Note 2)
Retail-Auto Parts — 0.0%
Harbor Freight Tools USA, Inc. FRS BTL 3.25% (1 ML +2.50%) due 08/18/2023	$	123,727	$	121,845
Retail-Building Products — 0.1%
Beacon Roofing Supply, Inc. FRS BTL-B 2.40% (1 ML +2.25%) due 01/02/2025		269,472		260,462
Retail-Office Supplies — 0.0%
Staples, Inc. FRS BTL 5.25% (3 ML +5.00%) due 04/16/2026		197,500		181,771
Retail-Restaurants — 0.1%
IRB Holding Corp. FRS BTL-B 3.75% (3 ML +2.75%) due 02/05/2025		289,070		275,520
Restaurant Brands International FRS BTL-B 1.90% (1 ML +1.75%) due 11/19/2026		270,934		259,952
				535,472
Retail-Sporting Goods — 0.1%
Bass Pro Group LLC FRS BTL 5.75% (3 ML +5.00%) due 09/25/2024		725,050		718,072
Security Services — 0.0%
Verisure Holding AB FRS BTL-B 4.00% (3 ME +4.00%) due 07/20/2026	EUR	155,000		181,250
Semiconductor Equipment — 0.1%
Entegris, Inc. FRS BTL-B 2.15% (1 ML +2.00%) due 11/06/2025		190,313		189,480
Cabot Microelectronics Corp. FRS BTL-B 2.19% (1 ML +2.00%) due 11/17/2025		400,042		392,708
				582,188
Telecom Services — 0.1%
MTN Infrastructure TopCo, Inc. FRS BTL 4.00% (1 ML +3.00%) due 11/15/2024		172,794		169,771

308

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Principal Amount(8)		Value (Note 2)
LOANS(9)(10)(11) (continued)
Telecom Services (continued)
UPC Broadband Holdings FRS BTL-B2 coupon TBD due 01/31/2029	$	105,000	$	101,404
				271,175
Telephone-Integrated — 0.0%
CenturyLink, Inc. FRS BTL-B 2.40% (1 ML +2.25%) due 03/15/2027		168,725		161,765
Television — 0.2%
Gray Television, Inc. FRS BTL-C 2.66% (1 ML +2.50%) due 01/02/2026		556,516		545,695
Ion Media Networks, Inc. FRS BTL-B1 3.19% (1 ML +3.00%) due 12/18/2024		403,756		401,838
				947,533
Theaters — 0.1%
Cineworld, Ltd. FRS BTL 2.77% (3 ML +2.50%) due 02/28/2025		608,712		406,967
Transport-Rail — 0.0%
Savage Enterprises LLC FRS BTL-B 3.16% (1 ML +3.00%) due 08/01/2025		174,558		172,900
Veterinary Diagnostics — 0.0%
Elanco Animal Health, Inc. FRS BTL 1.91% (1 ML +1.75%) due 08/01/2027		239,269		232,347
Web Hosting/Design — 0.1%
Go Daddy Operating Co. LLC FRS BTL-B 1.90% (1 ML +1.75%) due 02/15/2024		110,707		108,078
Go Daddy Operating Co. LLC FRS BTL-B3 2.65% (1 ML +2.50%) due 08/10/2027		114,713		112,944
Web.com Group, Inc. FRS BTL 3.90% (1 ML +3.75%) due 10/10/2025		358,927		345,467
				566,489
Total Loans (cost $31,234,331)				30,042,594

Security Description	Shares/ Principal Amount(8)			Value (Note 2)
COMMON STOCKS — 0.0%
Printing-Commercial — 0.0%
Quad/Graphics, Inc.		56		$	170
Television — 0.0%
ION Media Networks, Inc.†(12)(13)		233			201,649
Total Common Stocks (cost $2)					201,819
Total Long-Term Investment Securities (cost $615,546,176)					629,378,811
REPURCHASE AGREEMENTS — 1.4%
Bank of America Securities LLC Joint Repurchase Agreement(15)	$	1,790,000			1,790,000
Barclays Capital, Inc. Joint Repurchase Agreement(15)		1,605,000			1,605,000
BNP Paribas SA Joint Repurchase Agreement(15)		1,605,000			1,605,000
Deutsche Bank AG Joint Repurchase Agreement(15)		1,775,000			1,775,000
RBS Securities, Inc. Joint Repurchase Agreement(15)		1,695,000			1,695,000
Total Repurchase Agreements (cost $8,470,000)					8,470,000
TOTAL INVESTMENTS (cost $624,016,176)(16)		103.3	%		637,848,811
Liabilities in excess of other assets		(3.3	)		(20,237,646	)
NET ASSETS		100.0	%	$	617,611,165

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $73,683,838 representing 11.9% of net assets.

†  Non-income producing security

(1)  Principal amount of security is adjusted for inflation.

(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)  Commercial Mortgage Backed Security

(4)  Interest Only

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2020.

(8)  Denominated in United States dollars unless otherwise indicated.

(9)  All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.

309

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

(10)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(11)  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.

(12)  Securities classified as Level 3 (see Note 2).

(13)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	12/21/2016		233	$	2	$	201,649	$	865.45		0.03	%

(14)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(15)  See Note 2 for details of Joint Repurchase Agreements.

(16)  See Note 4 for cost of investments on a tax basis.

AUD — Australian Dollar

BTL — Bank Term Loan

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

NZD — New Zealand Dollar

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.

TBD  — Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on the FRS and VRS are the current interest rates at September 30, 2020 and unless otherwise, the dates shown are the original maturity dates.

Index Legend

1 ME — 1 Month Euribor

1 ML — 1 Month Libor

1 WL — 1 Week Libor

2 ML — 2 Month Libor

3 ME — 3 Month Euribor

3 ML — 3 Month Libor

6 ML — 6 Month Libor

USFRBPLR — US Federal Reserve Bank Prime Loan

310

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation
	71	Long	Australian 10 Year Bonds	December 2020	$	7,500,633	$	7,597,183	$	96,550
	37	Long	Euro-BTP Futures	December 2020		6,337,950		6,402,115		64,165
	28	Long	U.S. Treasury Long Bonds	December 2020		4,929,301		4,935,875		6,574
	64	Long	U.S. Treasury 5 Year Notes	December 2020		8,050,117		8,066,000		15,883
	308	Long	U.S. Treasury 10 Year Notes	December 2020		42,857,466		42,975,625		118,159
	95	Short	U.S. Treasury Ultra Bonds	December 2020		21,221,162		21,072,188		148,974
									$	450,305
									Unrealized (Depreciation)
	51	Short	Euro- Bund Futures	December 2020	$	10,411,360	$	10,435,413	$	(24,053	)
	18	Short	Euro- OAT Futures	December 2020		3,543,417		3,557,095		(13,678	)
	29	Short	U.S. Treasury 10 Year Ultra Bonds	December 2020		4,624,509		4,637,734		(13,225	)
									$	(50,956	)
Net Unrealized Appreciation (Depreciation)									$	399,349

*  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)
Barclays Bank PLC	EUR	1,041,000	USD	1,215,515	10/30/2020	$	—	$	(5,711	)
	GBP	34,219,000	USD	43,583,851	10/30/2020		—		(577,068	)
							—		(582,779	)
BNP Paribas SA	USD	796,652	EUR	679,000	10/30/2020		—		(98	)
Goldman Sachs International	EUR	587,000	USD	703,565	12/16/2020		14,177		—
Morgan Stanley & Co., Inc.	AUD	25,483,170	USD	17,987,423	10/30/2020		—		(266,039	)
	CAD	26,002,000	USD	19,508,543	10/30/2020		—		(20,806	)
	EUR	92,771,519	USD	108,192,743	10/30/2020		—		(640,053	)
	JPY	2,949,383,000	USD	28,045,824	10/30/2020		71,719		—
	NZD	2,602,000	USD	1,706,857	10/30/2020		—		(14,476	)
							71,719		(941,374	)
State Street Bank andTrust Co.	GBP	315,000	USD	407,276	10/30/2020		757		—
Unrealized Appreciation (Depreciation)						$86,653		$(1,524,251)

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

NZD — New Zealand Dollar

USD — United States Dollar

311

Seasons Series Trust SA Wellington Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Foreign Government Obligations	$	—	$	218,279,278	$	—	$	218,279,278
U.S. Government Agencies		—		44,841,958		—		44,841,958
U.S. Government Treasuries		—		302,230,964		—		302,230,964
Asset Backed Securities		—		27,713,203		—		27,713,203
U.S. Corporate Bonds & Notes		—		3,402,090		—		3,402,090
Foreign Corporate Bonds & Notes		—		2,666,905		—		2,666,905
Loans		—		30,042,594		—		30,042,594
Common Stocks:
Printing-Commercial		170		—		—		170
Television		—		—		201,649		201,649
Repurchase Agreements		—		8,470,000		—		8,470,000
Total Investments at Value	$	170	$	637,646,992	$	201,649	$	637,848,811
Other Financial Instruments:†
Futures Contracts	$	450,305	$	—	$	—	$	450,305
Forward Foreign Currency Contracts		—		86,653		—		86,653
	$	450,305	$	86,653	$	—	$	536,958
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	50,956	$	—	$	—	$	50,956
Forward Foreign Currency Contracts		—		1,524,251		—		1,524,251
Total Other Financial Instruments	$	50,956	$	1,524,251	$	—	$	1,575,207

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

†  Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.

At the beginning and end of the reporting period, Level 3 investment in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.

See Notes to Financial Statements

312

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Diversified Banking Institutions	11.4	%
Electric-Integrated	8.1
Telephone-Integrated	4.9
Gold Mining	4.6
Retail-Building Products	4.5
Medical-HMO	4.5
Transport-Rail	4.5
Medical-Drugs	4.3
Chemicals-Diversified	3.9
Medical Products	3.4
Banks-Super Regional	3.1
Insurance-Multi-line	3.0
Tobacco	3.0
Pharmacy Services	2.9
Retail-Catalog Shopping	2.9
Computer Software	2.8
Metal-Copper	2.8
Instruments-Controls	2.7
Semiconductor Components-Integrated Circuits	2.7
Networking Products	2.6
Pipelines	2.6
Telecom Equipment-Fiber Optics	2.6
Semiconductor Equipment	2.5
Machinery-Construction & Mining	1.7
Oil Refining & Marketing	1.6
Food-Meat Products	1.5
Aerospace/Defense	1.4
Repurchase Agreements	1.3
Oil Companies-Integrated	1.2
Oil-Field Services	1.1
	100.1	%

*  Calculated as a percentage of net assets

313

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.1%
Aerospace/Defense — 1.4%
Raytheon Technologies Corp.		67,500	$	3,883,950
Banks-Super Regional — 3.1%
Wells Fargo & Co.		362,400		8,520,024
Chemicals-Diversified — 3.9%
FMC Corp.		100,400		10,633,364
Computer Software — 2.8%
Teradata Corp.†		341,587		7,754,025
Diversified Banking Institutions — 11.4%
Bank of America Corp.		345,900		8,332,731
Citigroup, Inc.		171,500		7,393,365
JPMorgan Chase & Co.		87,200		8,394,744
Morgan Stanley		153,000		7,397,550
				31,518,390
Electric-Integrated — 8.1%
AES Corp.		480,800		8,707,288
FirstEnergy Corp.		265,400		7,619,634
NextEra Energy, Inc.		21,700		6,023,052
				22,349,974
Food-Meat Products — 1.5%
Tyson Foods, Inc., Class A		70,000		4,163,600
Gold Mining — 4.6%
Barrick Gold Corp.		452,985		12,733,408
Instruments-Controls — 2.7%
Honeywell International, Inc.		45,500		7,489,755
Insurance-Multi-line — 3.0%
MetLife, Inc.		225,000		8,363,250
Machinery-Construction & Mining — 1.7%
Caterpillar, Inc.		30,925		4,612,464
Medical Products — 3.4%
Baxter International, Inc.		115,000		9,248,300
Medical-Drugs — 4.3%
Bristol-Myers Squibb Co.		195,000		11,756,550
Medical-HMO — 4.5%
Centene Corp.†		73,200		4,269,756
Humana, Inc.		19,400		8,029,466
				12,299,222
Metal-Copper — 2.8%
Freeport-McMoRan, Inc.		493,400		7,716,776
Networking Products — 2.6%
Cisco Systems, Inc.		185,000		7,287,150
Oil Companies-Integrated — 1.2%
Chevron Corp.		44,500		3,204,000
Oil Refining & Marketing — 1.6%
Marathon Petroleum Corp.		150,000		4,401,000
Oil-Field Services — 1.1%
TechnipFMC PLC		475,000		2,997,250
Pharmacy Services — 2.9%
Cigna Corp.		48,000		8,131,680
Pipelines — 2.6%
Williams Cos., Inc.		370,000		7,270,500

Security Description	Shares/ Principal Amount			Value (Note 2)
Retail-Building Products — 4.5%
Lowe's Cos., Inc.		75,000		$	12,439,500
Retail-Catalog Shopping — 2.2%
Qurate Retail, Inc.		842,702			6,050,600
Semiconductor Components-Integrated Circuits — 2.7%
QUALCOMM, Inc.		62,900			7,402,072
Semiconductor Equipment — 2.5%
Applied Materials, Inc.		115,000			6,836,750
Telecom Equipment-Fiber Optics — 2.6%
Corning, Inc.		221,400			7,175,574
Telephone-Integrated — 4.9%
Verizon Communications, Inc.		225,000			13,385,250
Tobacco — 3.0%
Philip Morris International, Inc.		110,000			8,248,900
Transport-Rail — 4.5%
CSX Corp.		83,500			6,485,445
Union Pacific Corp.		29,500			5,807,665
					12,293,110
Total Common Stocks (cost $232,537,706)					270,166,388
PREFERRED SECURITIES — 0.7%
Retail-Catalog Shopping — 0.7%
Qurate Retail, Inc. 8.00% (cost $3,799,160)		20,250			1,994,625
Total Long-Term Investment Securities (cost $236,336,866)					272,161,013
REPURCHASE AGREEMENTS — 1.3%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00%, dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $3,487,000 and collateralized by $2,989,000 of United States Treasury Notes, bearing interest at 2.88% due 05/15/2028 and having an approximate value of $3,556,794 (cost $3,487,000)	$	3,487,000			3,487,000
TOTAL INVESTMENTS (cost $239,823,866)(1)		100.1	%		275,648,013
Liabilities in excess of other assets		(0.1	)		(388,421	)
NET ASSETS		100.0	%	$	275,259,592

†  Non-income producing security

(1)  See Note 4 for cost of investments on a tax basis.

314

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (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	$	270,166,388		$	—	$	—	$	270,166,388
Preferred Securities		1,994,625			—		—		1,994,625
Repurchase Agreements		—	��		3,487,000		—		3,487,000
Total Investments at Value	$	272,161,013		$	3,487,000	$	—	$	275,648,013

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

See Notes to Financial Statements

315

Seasons Series Trust SA Allocation Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	57.1	%
International Equity Investment Companies	21.8
Domestic Fixed Income Investment Companies	21.1
	100.0	%

*  Calculated as a percentage of net assets

316

Seasons Series Trust SA Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 57.1%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		949,398	$	17,639,821
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		1,121,346		15,766,125
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		97,431		2,253,573
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		135,337		1,936,668
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		215,659		2,493,018
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1		192,191		5,471,687
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		173,621		10,663,829
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1		107,774		1,286,816
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1		147,386		1,852,648
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1		86,950		1,359,028
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1		143,195		2,331,214
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		144,341		1,498,256
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1		264,689		5,423,476
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		332,581		11,021,729
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		142,153		3,451,483
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1		208,253		4,683,599
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		560,019		15,400,527
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1		311,258		4,986,352
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		483,916		8,734,683
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		365,753		5,921,546
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		196,589		2,129,057
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		376,701		8,735,692
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1†		218,822		2,374,215
SunAmerica Series Trust SA WellsCap Aggressive Growth Portfolio, Class 1		49,712		1,503,276
Total Domestic Equity Investment Companies (cost $127,808,995)				138,918,318

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies — 21.1%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		519,448		$	8,544,920
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		624,227			7,946,407
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		91,585			946,993
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1		7,900			84,295
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1		564,304			8,052,611
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1		546,767			6,342,503
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1		424,429			4,651,742
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		669,123			6,577,478
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		1,474,985			8,186,164
Total Domestic Fixed Income Investment Companies (cost $48,614,787)					51,333,113
International Equity Investment Companies — 21.8%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		1,878,217			15,927,281
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1†		213,516			3,170,717
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1		523,041			9,540,272
SunAmerica Series Trust SA International Index Portfolio, Class 1		458,133			4,984,483
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		377,201			3,172,262
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		1,026,132			10,210,015
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		708,164			6,097,291
Total International Equity Investment Companies (cost $52,068,749)					53,102,321
TOTAL INVESTMENTS (cost $228,492,531)(2)		100.0	%		243,353,752
Liabilities in excess of other assets		(0.0	)		(119,591	)
NET ASSETS		100.0	%	$	243,234,161

317

Seasons Series Trust SA Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

#  The Seasons Series Trust SA Allocation Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Signifcant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	243,353,752	$	—	$	—	$	243,353,752

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

See Notes to Financial Statements

318

Seasons Series Trust SA Allocation Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	47.2	%
Domestic Fixed Income Investment Companies	36.0
International Equity Investment Companies	16.8
	100.0	%

*  Calculated as a percentage of net assets

319

Seasons Series Trust SA Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 47.2%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		1,549,474	$	28,789,227
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		1,782,162		25,057,195
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		173,787		4,019,692
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		217,310		3,109,707
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		372,036		4,300,737
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1		308,536		8,784,011
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		280,957		17,256,383
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1		190,343		2,272,689
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1		246,875		3,103,213
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1		145,247		2,270,204
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1		251,323		4,091,543
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		237,468		2,464,913
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1		418,575		8,576,602
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		540,584		17,914,946
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		227,864		5,532,549
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1		343,032		7,714,789
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		864,416		23,771,446
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1		511,663		8,196,835
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		787,447		14,213,414
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		595,451		9,640,360
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		320,470		3,470,685
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		614,989		14,261,588
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1†		340,179		3,690,943
SunAmerica Series Trust SA WellsCap Aggressive Growth Portfolio, Class 1		81,677		2,469,920
Total Domestic Equity Investment Companies(cost $203,231,058)				224,973,591

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies — 36.0%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		1,924,363		$	31,655,774
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		3,295,478			41,951,435
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		391,291			4,045,950
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1		15,762			168,180
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1		1,080,666			15,421,098
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1		1,759,364			20,408,624
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1		1,383,443			15,162,534
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		3,152,269			30,986,805
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		2,132,908			11,837,640
Total Domestic Fixed Income Investment Companies(cost $159,273,686)					171,638,040
International Equity Investment Companies — 16.8%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		2,803,907			23,777,133
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1†		320,038			4,752,561
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1		786,186			14,340,029
SunAmerica Series Trust SA International Index Portfolio, Class 1		678,636			7,383,555
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		564,676			4,748,928
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		1,536,947			15,292,618
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		1,098,454			9,457,692
Total International Equity Investment Companies(cost $77,576,769)					79,752,516
TOTAL INVESTMENTS(cost $440,081,513)(2)		100.0	%		476,364,147
Liabilities in excess of other assets		(0.0	)		(201,488	)
NET ASSETS		100.0	%	$	476,162,659

320

Seasons Series Trust SA Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

#  The Seasons Series Trust SA Allocation Moderate Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information on the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	476,364,147	$	—	$	—	$	476,364,147

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

See Notes to Financial Statements

321

Seasons Series Trust SA Allocation Moderate Portfolio

PORTFOLIO OF PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	45.9	%
Domestic Equity Investment Companies	41.3
International Equity Investment Companies	12.8
	100.0	%

*  Calculated as a percentage of net assets

322

Seasons Series Trust SA Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 41.3%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		832,480	$	15,467,478
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1		1,042,400		14,656,138
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		66,687		1,542,474
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		92,836		1,328,486
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		185,148		2,140,312
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1		180,148		5,128,819
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		152,106		9,342,348
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1		95,901		1,145,057
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1		131,215		1,649,366
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1		62,023		969,418
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1		136,622		2,224,205
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		101,957		1,058,316
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1		228,199		4,675,802
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		314,876		10,434,983
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		122,710		2,979,401
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1		185,467		4,171,160
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		443,398		12,193,455
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1		287,336		4,603,125
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		428,741		7,738,774
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		312,881		5,065,538
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		198,718		2,152,120
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		329,173		7,633,515
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1†		209,419		2,272,200

Security Description	Shares			Value (Note 2)
Domestic Equity Investment Companies (continued)
SunAmerica Series Trust SA WellsCap Aggressive Growth Portfolio, Class 1		40,215		$	1,216,111
Total Domestic Equity Investment Companies (cost $109,906,328)					121,788,601
Domestic Fixed Income Investment Companies — 45.9%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		1,567,822			25,790,679
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		2,866,369			36,488,884
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		378,901			3,917,831
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1		10,572			112,803
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1		579,580			8,270,609
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1		1,385,677			16,073,848
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1		1,092,196			11,970,464
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		2,689,085			26,433,706
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		1,111,703			6,169,951
Total Domestic Fixed Income Investment Companies (cost $125,664,381)					135,228,775
International Equity Investment Companies — 12.8%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		1,292,770			10,962,693
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1†		166,511			2,472,689
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1		371,416			6,774,621
SunAmerica Series Trust SA International Index Portfolio, Class 1		319,553			3,476,730
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		295,157			2,482,273
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		720,296			7,166,948
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		522,105			4,495,320
Total International Equity Investment Companies (cost $37,225,637)					37,831,274
TOTAL INVESTMENTS (cost $272,796,346)(2)		100.0	%		294,848,650
Liabilities in excess of other assets		(0.0	)		(138,539	)
NET ASSETS		100.0	%	$	294,710,111

323

Seasons Series Trust SA Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

#  The Seasons Series Trust SA Allocation Moderate Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information on the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Signifcant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	294,848,650	$	—	$	—	$	294,848,650

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

See Notes to Financial Statements

324

Seasons Series Trust SA Allocation Balanced Portfolio

PORTFOLIO PROFILE — September 30, 2020 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	60.8	%
Domestic Equity Investment Companies	30.3
International Equity Investment Companies	8.9
	100.0	%

*  Calculated as a percentage of net assets

325

Seasons Series Trust SA Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 30.3%
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1		487,808	$	9,063,475
Seasons Series Trust SA Multi- Managed Large Cap Value Portfolio, Class 1		561,695		7,897,427
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1		43,329		1,002,191
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1		50,890		728,243
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1		95,609		1,105,236
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1		110,088		3,134,196
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		88,617		5,442,883
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1		70,174		837,875
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1		80,618		1,013,366
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1		44,621		697,432
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1		94,736		1,542,304
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1		58,195		604,062
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1		134,868		2,763,450
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1		184,337		6,108,915
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1		68,336		1,659,193
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1		105,778		2,378,955
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		265,439		7,299,575
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1		160,559		2,572,148
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		258,039		4,657,610
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1		184,080		2,980,256
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		116,138		1,257,775

Security Description	Shares		Value (Note 2)
Domestic Equity Investment Companies (continued)
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1		192,215	$	4,457,463
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1†		125,189		1,358,305
SunAmerica Series Trust SA WellsCap Aggressive Growth Portfolio, Class 1		28,064		848,655
Total Domestic Equity Investment Companies (cost $64,563,904)				71,410,990
Domestic Fixed Income Investment Companies — 60.8%
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1		1,685,393		27,724,710
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		3,271,421		41,645,194
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1		496,830		5,137,227
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1		4,503		48,045
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1		343,354		4,899,662
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1		1,471,769		17,072,524
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1		1,152,283		12,629,024
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		3,108,711		30,558,630
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1		637,945		3,540,595
Total Domestic Fixed Income Investment Companies (cost $133,589,335)				143,255,611
International Equity Investment Companies — 8.9%
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1		709,814		6,019,222
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1†		94,645		1,405,479
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1		204,268		3,725,847
SunAmerica Series Trust SA International Index Portfolio, Class 1		182,971		1,990,720
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1		168,260		1,415,068

326

Seasons Series Trust SA Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2020 (unaudited) (continued)

Security Description	Shares			Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) (continued)
International Equity Investment Companies (continued)
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1		404,573		$	4,025,497
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1		291,710			2,511,624
Total International Equity Investment Companies(cost $20,683,419)					21,093,457
TOTAL INVESTMENTS (cost $218,836,658)(2)		100.0	%		235,760,058
Liabilities in excess of other assets		(0.0	)		(116,978	)
NET ASSETS		100.0	%	$	235,643,080

#  The Seasons Series Trust SA Allocation Balanced Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  See Note 4 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2020 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Signifcant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	235,760,058	$	—	$	—	$	235,760,058

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

See Notes to Financial Statements

327

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

September 30, 2020 (unaudited)

	SA Multi- Managed Growth Portfolio		SA Multi- Managed Moderate Growth Portfolio		SA Multi- Managed Income/ Equity Portfolio		SA Multi- Managed Income Portfolio		SA Putnam Asset Allocation Diversified Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	54,303,064	$	91,973,236	$	64,325,643	$	51,270,598	$	185,404,569
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		865,000		4,970,000		4,830,000		3,795,000		9,838,000
Cash		256,222		379,146		2,927		3,327		71,960
Foreign cash*		1,939		558		1,256		471		43,987
Cash collateral for futures contracts		42,017		62,548		256		629		21,359
Cash collateral for centrally cleared swap contracts		—		—		—		17,695		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		—		—		—		—		—
Dividends and interest		75,981		192,286		200,518		197,468		497,619
Investments sold		39,062		59,110		—		—		3,234,173
Investments sold on an extended settlement basis		984,999		3,302,664		3,845,445		3,219,849		2,156,188
Receipts on swap contracts		13		7		13		—		8,985
Prepaid expenses and other assets		7,501		8,341		6,352		6,246		7,274
Due from investment adviser for expense reimbursements/fee waivers		2,957		3,489		1,851		1,054		23,391
Variation margin on futures contracts		4,137		19,341		14,622		16,974		21,325
Unrealized appreciation on forward foreign currency contracts		1,656		4,579		6,136		5,094		13,173
Swap premiums paid		406		234		421		6,089		—
Unrealized appreciation on swap contracts		9,986		6,023		10,634		26		65,089
Total assets		56,594,940		100,981,562		73,246,074		58,540,520		201,407,092
LIABILITIES:
Payable for:
Fund shares redeemed		43,627		45,287		44,868		12,132		751,022
Investments purchased		146,410		1,375,840		459,476		182,456		2,771,890
Investments purchased on an extended settlement basis		4,892,923		14,407,939		16,432,228		15,399,485		7,420,964
Payments on swap contracts		—		25		46		—		—
Investment advisory and management fees		37,594		59,315		37,488		27,059		132,548
Service fees — Class 2		2,286		5,263		3,791		2,997		6,502
Service fees — Class 3		4,598		6,689		3,688		2,815		25,023
Transfer agent fees and expenses		98		98		98		123		516
Trustees' fees and expenses		360		605		417		332		1,359
Other accrued expenses		114,632		124,180		107,161		105,801		137,851
Accrued foreign tax on capital gains		—		—		—		—		26,955
Variation margin on futures contracts		2,664		14,248		7,848		6,848		52,878
Due to custodian		—		—		—		—		—
Due to broker		68,305		54,306		8,130		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		99,129
Swap premiums received		189		500		700		140		—
Unrealized depreciation on swap contracts		—		—		—		22,041		148,419
Total liabilities		5,313,686		16,094,295		17,105,939		15,762,229		11,575,056
NET ASSETS	$	51,281,254	$	84,887,267	$	56,140,135	$	42,778,291	$	189,832,036
* Cost
Investments (unaffiliated)	$	43,296,323	$	76,416,585	$	56,474,058	$	46,842,826	$	160,044,879
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	1,956	$	660	$	1,357	$	581	$	44,053

See Notes to Financial Statements

328

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA Multi- Managed Growth Portfolio		SA Multi- Managed Moderate Growth Portfolio		SA Multi- Managed Income/ Equity Portfolio		SA Multi- Managed Income Portfolio		SA Putnam Asset Allocation Diversified Growth Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	29,649,669	$	54,966,819	$	39,031,373	$	33,356,442	$	160,913,775
Total accumulated earnings (loss)		21,631,585		29,920,448		17,108,762		9,421,849		28,918,261
NET ASSETS	$	51,281,254	$	84,887,267	$	56,140,135	$	42,778,291	$	189,832,036
Class 1 (unlimited shares authorized):
Net assets	$	10,473,425	$	9,677,260	$	7,637,190	$	4,728,032	$	15,380,395
Shares of beneficial interest issued and outstanding		521,056		639,893		564,339		368,399		1,242,948
Net asset value, offering and redemption price per share	$	20.10	$	15.12	$	13.53	$	12.83	$	12.37
Class 2 (unlimited shares authorized):
Net assets	$	18,513,984	$	42,665,674	$	30,623,150	$	24,353,613	$	53,129,171
Shares of beneficial interest issued and outstanding		922,176		2,827,418		2,267,102		1,901,090		4,295,344
Net asset value, offering and redemption price per share	$	20.08	$	15.09	$	13.51	$	12.81	$	12.37
Class 3 (unlimited shares authorized):
Net assets	$	22,293,845	$	32,544,333	$	17,879,795	$	13,696,646	$	121,322,470
Shares of beneficial interest issued and outstanding		1,113,342		2,159,877		1,323,520		1,069,540		9,849,557
Net asset value, offering and redemption price per share	$	20.02	$	15.07	$	13.51	$	12.81	$	12.32

See Notes to Financial Statements

329

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA T. Rowe Price Growth Stock Portfolio			SA Multi- Managed Large Cap Growth Portfolio		SA Multi- Managed Large Cap Value Portfolio		SA Multi- Managed Mid Cap Growth Portfolio		SA Multi- Managed Mid Cap Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	438,626,913		$	525,579,880	$	684,329,281	$	230,639,943	$	203,762,584
Investments at value (affiliated)*		—			—		500,248		—		—
Repurchase agreements (cost approximates value)		—			—		2,704,000		1,943,000		124,000
Cash		—			81,942		4,082,159		15,805		2,366
Foreign cash*		—			660		2		—		33,689
Cash collateral for futures contracts		—			—		50,025		—		—
Cash collateral for centrally cleared swap contracts		—			—		—		—		—
Due from broker		—			—		—		—		—
Receivable for:
Fund shares sold		4,105			202,920		393,760		81,249		124,424
Dividends and interest		66,753			127,506		1,393,748		35,066		433,753
Investments sold		343,234			—		2,162,340		987,426		58,058
Investments sold on an extended settlement basis		—			—		—		—		—
Receipts on swap contracts		—			—		—		—		—
Prepaid expenses and other assets		7,917			9,176		11,193		8,212		7,056
Due from investment adviser for expense reimbursements/fee waivers		—			33,483		—		—		—
Variation margin on futures contracts		—			1,830		3,660		2,460		1,230
Unrealized appreciation on forward foreign currency contracts		—			—		17,843		—		—
Swap premiums paid		—			—		—		—		—
Unrealized appreciation on swap contracts		—			—		—		—		—
Total assets		439,048,922			526,037,397		695,648,259		233,713,161		204,547,160
LIABILITIES:
Payable for:
Fund shares redeemed		866,456			1,000,548		982,195		392,267		301,986
Investments purchased		502,394			—		1,845,127		938,037		58,735
Investments purchased on an extended settlement basis		—			—		391,342		—		—
Payments on swap contracts		—			—		—		—		—
Investment advisory and management fees		299,031			334,017		432,855		158,644		145,537
Service fees — Class 2		5,391			4,590		2,534		2,971		2,308
Service fees — Class 3		7,136			4,035		2,202		3,047		2,399
Transfer agent fees and expenses		539			294		270		368		368
Trustees' fees and expenses		3,275			3,906		5,373		1,675		1,587
Other accrued expenses		102,549			125,990		145,379		165,272		167,641
Accrued foreign tax on capital gains		—			—		—		—		—
Variation margin on futures contracts		—			—		—		—		—
Due to custodian		18			—		—		—		—
Due to broker		—			320,041		—		7		3
Unrealized depreciation on forward foreign currency contracts		—			—		45,327		—		—
Swap premiums received		—			—		—		—		—
Unrealized depreciation on swap contracts		—			—		—		—		—
Total liabilities		1,786,789			1,793,421		3,852,604		1,662,288		680,564
NET ASSETS	$	437,262,133		$	524,243,976	$	691,795,655	$	232,050,873	$	203,866,596
* Cost
Investments (unaffiliated)	$	270,929,606		$	331,376,927	$	661,145,794	$	165,648,608	$	198,920,748
Investments (affiliated)	$	—	��	$	—	$	1,004,123	$	—	$	—
Foreign cash	$	—		$	662	$	2	$	—	$	34,364

See Notes to Financial Statements

330

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA T. Rowe Price Growth Stock Portfolio		SA Multi- Managed Large Cap Growth Portfolio		SA Multi- Managed Large Cap Value Portfolio		SA Multi- Managed Mid Cap Growth Portfolio		SA Multi- Managed Mid Cap Value Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	188,960,199	$	206,463,418	$	619,587,668	$	108,643,844	$	192,967,937
Total accumulated earnings (loss)		248,301,934		317,780,558		72,207,987		123,407,029		10,898,659
NET ASSETS	$	437,262,133	$	524,243,976	$	691,795,655	$	232,050,873	$	203,866,596
Class 1 (unlimited shares authorized):
Net assets	$	359,594,893	$	467,271,108	$	660,671,371	$	192,397,473	$	173,992,700
Shares of beneficial interest issued and outstanding		12,628,838		25,150,805		46,984,888		8,318,461		12,162,903
Net asset value, offering and redemption price per share	$	28.47	$	18.58	$	14.06	$	23.13	$	14.31
Class 2 (unlimited shares authorized):
Net assets	$	43,266,022	$	37,354,576	$	20,484,105	$	24,602,833	$	18,410,642
Shares of beneficial interest issued and outstanding		1,588,567		2,067,131		1,459,262		1,129,475		1,291,807
Net asset value, offering and redemption price per share	$	27.24	$	18.07	$	14.04	$	21.78	$	14.25
Class 3 (unlimited shares authorized):
Net assets	$	34,401,218	$	19,618,292	$	10,640,179	$	15,050,567	$	11,463,254
Shares of beneficial interest issued and outstanding		1,298,766		1,100,806		758,419		715,740		806,315
Net asset value, offering and redemption price per share	$	26.49	$	17.82	$	14.03	$	21.03	$	14.22

See Notes to Financial Statements

331

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA Multi- Managed Small Cap Portfolio		SA Multi- Managed International Equity Portfolio		SA Multi- Managed Diversified Fixed Income Portfolio		SA Wellington Real Return Portfolio		SA Columbia Focused Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	195,420,449	$	353,418,487	$	1,054,374,097	$	629,378,811	$	272,161,013
Investments at value (affiliated)*				—		—		—		—
Repurchase agreements (cost approximates value)		205,000		5,747,000		45,160,000		8,470,000		3,487,000
Cash		1,072,176		329,919		—		—		6
Foreign cash*		—		844,805		134,772		213,624		—
Cash collateral for futures contracts		170,716		—		3,196		3,477		—
Cash collateral for centrally cleared swap contracts		—		—		211,159		—		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		203,062		125,869		532,086		6,921,129		86,509
Dividends and interest		165,117		2,779,364		5,420,358		1,118,711		244,619
Investments sold		422,248		351,842		6,151,759		515,329		—
Investments sold on an extended settlement basis		360,000		29,583		56,966,234		13,196,333		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		18,614		8,211		12,777		9,462		18,325
Due from investment adviser for expense reimbursements/fee waivers		—		12,059		—		25,192		74,788
Variation margin on futures contracts		—		—		105,177		234,230		—
Unrealized appreciation on forward foreign currency contracts		—		—		27,649		86,653		—
Swap premiums paid		—		—		47,363		—		—
Unrealized appreciation on swap contracts		—		—		22,903		—		—
Total assets		198,037,382		363,647,139		1,169,169,530		660,172,951		276,072,260
LIABILITIES:
Payable for:
Fund shares redeemed		200,119		607,406		1,674,362		443,452		498,977
Investments purchased		1,502,828		385,607		5,120,729		248,670		—
Investments purchased on an extended settlement basis		—		458,927		220,175,040		39,547,236		—
Payments on swap contracts		—		—		6,905		—		—
Investment advisory and management fees		139,309		281,607		489,495		297,657		229,162
Service fees — Class 2		1,606		2,010		2,527		—		1,463
Service fees — Class 3		1,751		2,479		2,485		76,146		1,686
Transfer agent fees and expenses		270		343		319		393		172
Trustees' fees and expenses		1,544		2,670		7,680		5,182		1,973
Other accrued expenses		108,179		368,002		240,248		158,275		79,235
Accrued foreign tax on capital gains				—		—		—		—
Variation margin on futures contracts		2,470		44,625		53,662		138,044		—
Due to custodian		—		—		140,890		122,480		—
Due to broker		—		11		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		2,912		1,524,251		—
Swap premiums received		—		—		209,271		—		—
Unrealized depreciation on swap contracts		—		—		38,297		—		—
Total liabilities		1,958,076		2,153,687		228,164,822		42,561,786		812,668
NET ASSETS	$	196,079,306	$	361,493,452	$	941,004,708	$	617,611,165	$	275,259,592
* Cost
Investments (unaffiliated)	$	192,628,900	$	317,316,755	$	997,990,408	$	615,546,176	$	236,336,866
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	—	$	845,658	$	134,795	$	214,061	$	—

See Notes to Financial Statements

332

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA Multi- Managed Small Cap Portfolio		SA Multi- Managed International Equity Portfolio		SA Multi- Managed Diversified Fixed Income Portfolio		SA Wellington Real Return Portfolio		SA Columbia Focused Value Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	164,497,368	$	318,086,110	$	833,790,029	$	594,384,603	$	208,888,468
Total accumulated earnings (loss)		31,581,938		43,407,342		107,214,679		23,226,562		66,371,124
NET ASSETS	$	196,079,306	$	361,493,452	$	941,004,708	$	617,611,165	$	275,259,592
Class 1 (unlimited shares authorized):
Net assets	$	174,771,542	$	333,542,455	$	908,334,341	$	240,938,455	$	255,547,354
Shares of beneficial interest issued and outstanding		15,124,793		39,320,493		71,365,286		23,300,143		14,248,028
Net asset value, offering and redemption price per share	$	11.56	$	8.48	$	12.73	$	10.34	$	17.94
Class 2 (unlimited shares authorized):
Net assets	$	12,871,305	$	16,062,838	$	20,532,457	$	—	$	11,635,414
Shares of beneficial interest issued and outstanding		1,149,111		1,890,253		1,615,287		—		647,699
Net asset value, offering and redemption price per share	$	11.20	$	8.50	$	12.71	$	—	$	17.96
Class 3 (unlimited shares authorized):
Net assets	$	8,436,459	$	11,888,159	$	12,137,910	$	376,672,710	$	8,076,824
Shares of beneficial interest issued and outstanding		768,789		1,404,144		960,185		36,769,251		449,670
Net asset value, offering and redemption price per share	$	10.97	$	8.47	$	12.64	$	10.24	$	17.96

See Notes to Financial Statements

333

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA Allocation Growth Portfolio		SA Allocation Moderate Growth Portfolio		SA Allocation Moderate Portfolio		SA Allocation Balanced Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	—	$	—	$	—	$	—
Investments at value (affiliated)*		243,353,752		476,364,147		294,848,650		235,760,058
Repurchase agreements (cost approximates value)		—		—		—		—
Cash		—		—		—		—
Foreign cash*		—		—		—		—
Cash collateral for futures contracts		—		—		—		—
Cash collateral for centrally cleared swap contracts		—		—		—		—
Due from broker		—		—		—		—
Receivable for:
Fund shares sold		—		98		—		317,741
Dividends and interest		—		—		—		—
Investments sold		1,317,413		666,083		304,953		—
Investments sold on an extended settlement basis		—		—		—		—
Receipts on swap contracts		—		—		—		—
Prepaid expenses and other assets		6,358		7,004		6,615		6,451
Due from investment adviser for expense reimbursements/fee waivers		2,001		3,926		2,440		1,935
Variation margin on futures contracts		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—
Swap premiums paid		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—
Total assets		244,679,524		477,041,258		295,162,658		236,086,185
LIABILITIES:
Payable for:
Fund shares redeemed		1,315,603		663,107		302,818		152
Investments purchased		—		—		—		315,795
Investments purchased on an extended settlement basis		—		—		—		—
Payments on swap contracts		—		—		—		—
Investment advisory and management fees		20,005		39,261		24,397		19,346
Service fees — Class 2		—		—		—		—
Service fees — Class 3		49,973		98,105		60,970		48,312
Transfer agent fees and expenses		172		175		169		196
Trustees' fees and expenses		1,665		3,592		2,277		1,793
Other accrued expenses		57,945		74,359		61,916		57,511
Accrued foreign tax on capital gains		—		—		—		—
Variation margin on futures contracts		—		—		—		—
Due to custodian		—		—		—		—
Due to broker		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—
Swap premiums received		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—
Total liabilities		1,445,363		878,599		452,547		443,105
NET ASSETS	$	243,234,161	$	476,162,659	$	294,710,111	$	235,643,080
* Cost
Investments (unaffiliated)	$	—	$	—	$	—	$	—
Investments (affiliated)	$	228,492,531	$	440,081,513	$	272,796,346	$	218,836,658
Foreign cash	$	—	$	—	$	—	$	—

See Notes to Financial Statements

334

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2020 (unaudited)

	SA Allocation Growth Portfolio		SA Allocation Moderate Growth Portfolio		SA Allocation Moderate Portfolio		SA Allocation Balanced Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	215,668,427	$	420,219,244	$	262,499,908	$	213,345,638
Total accumulated earnings (loss)		27,565,734		55,943,415		32,210,203		22,297,442
NET ASSETS	$	243,234,161	$	476,162,659	$	294,710,111	$	235,643,080
Class 1 (unlimited shares authorized):
Net assets	$	197,942	$	228,382	$	106,169	$	258,020
Shares of beneficial interest issued and outstanding		13,340		20,781		9,533		24,356
Net asset value, offering and redemption price per share	$	14.84	$	10.99	$	11.14	$	10.59
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	$	243,036,219	$	475,934,277	$	294,603,942	$	235,385,060
Shares of beneficial interest issued and outstanding		16,465,626		43,376,780		26,504,393		22,242,554
Net asset value, offering and redemption price per share	$	14.76	$	10.97	$	11.12	$	10.58

See Notes to Financial Statements

335

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

For the Six Months Ended September 30, 2020 (unaudited)

	SA Multi- Managed Growth Portfolio			SA Multi- Managed Moderate Growth Portfolio			SA Multi- Managed Income/ Equity Portfolio			SA Multi- Managed Income Portfolio			SA Putnam Asset Allocation Diversified Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	101,981		$	150,093		$	15,800		$	6,438		$	1,422,765
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		149,536			391,778			480,388			476,799			455,683
Total investment income*		251,517			541,871			496,188			483,237			1,878,448
Expenses:
Investment advisory and management fees		214,715			341,006			218,669			159,606			757,877
Service Fees:
Class 2		12,974			30,317			21,908			17,569			37,141
Class 3		26,492			38,444			21,612			16,743			143,121
Transfer agent fees and expenses		292			292			292			368			1,563
Custodian and accounting fees		57,062			69,352			58,952			58,779			58,676
Reports to shareholders		1,633			2,768			1,901			1,441			5,435
Audit and tax fees		32,184			32,176			31,156			31,156			34,000
Legal fees		10,353			9,514			9,018			10,538			20,868
Trustees' fees and expenses		613			1,033			704			558			2,358
Interest expense		—			8			11			6			130
Other expenses		22,297			22,834			16,206			16,855			13,949
Total expenses before fee waivers, expense reimbursements and fees paid indirectly		378,615			547,744			380,429			313,619			1,075,118
Fees waived and expenses reimbursed by investment advisor (Note 3)		(16,888	)		(20,059	)		(10,799	)		(6,218	)		(133,743	)
Fees paid indirectly (Note 5)		(333	)		(522	)		—			—
Net expenses		361,394			527,163			369,630			307,401			941,375
Net investment income (loss)		(109,877	)		14,708			126,558			175,836			937,073
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		4,243,345			6,229,422			3,860,405			2,112,650			1,607,263
Investments (affiliated)		—			—			—			—			—
Futures contracts		21,086			(114,248	)		(65,921	)		(88,061	)		579,076
Forward contracts		8,795			21,624			18,538			23,965			172,786
Swap contracts		(71,195	)		(182,036	)		(217,166	)		(143,533	)		(715,534	)
Net realized foreign exchange gain (loss) on other assets and liabilities		1,094			2,664			2,389			2,985			(3,430	)
Net realized gain (loss) on investments and foreign currencies		4,203,125			5,957,426			3,598,245			1,908,006			1,640,161
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		12,588,458			16,890,525			7,820,083			3,852,408			33,939,221
Investments (affiliated)		—			—			—			—			—
Futures contracts		(13,584	)		132,904			75,677			100,791			72,954
Forward contracts		(14,005	)		(36,324	)		(41,149	)		(40,875	)		(1,542	)
Swap contracts		75,897			178,608			216,277			139,078			384,340
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		262			686			781			773			5,282
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			(26,955	)
Net unrealized gain (loss) on investments and foreign currencies		12,637,028			17,166,399			8,071,669			4,052,175			34,373,300
Net realized and unrealized gain (loss) on investments and foreign currencies		16,840,153			23,123,825			11,669,914			5,960,181			36,013,461
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	16,730,276		$	23,138,533		$	11,796,472		$	6,136,017		$	36,950,534
* Net of foreign withholding taxes on interest and dividends of	$	142		$	274		$	146		$	141		$	41,859
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

336

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2020 (unaudited)

	SA T. Rowe Price Growth Stock Portfolio			SA Multi- Managed Large Cap Growth Portfolio			SA Multi- Managed Large Cap Value Portfolio			SA Multi- Managed Mid Cap Growth Portfolio			SA Multi- Managed Mid Cap Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	950,027		$	1,671,551		$	9,308,062		$	521,705		$	2,214,728
Dividends (affiliated)		—			—			11,659			—			—
Interest (unaffiliated)		4,516			1,433			554			649			14,033
Total investment income*		954,543			1,672,984			9,320,275			522,354			2,228,761
Expenses:
Investment advisory and management fees		1,775,630			1,981,493			2,536,512			935,440			842,740
Service Fees:
Class 2		31,113			25,326			14,923			16,846			13,326
Class 3		41,289			22,107			13,083			17,373			14,067
Transfer agent fees and expenses		1,727			916			839			1,145			1,145
Custodian and accounting fees		27,033			21,978			51,970			38,734			39,965
Reports to shareholders		12,150			15,948			15,691			4,885			3,485
Audit and tax fees		22,539			23,535			23,321			23,586			23,878
Legal fees		6,447			12,048			7,488			4,674			4,537
Trustees' fees and expenses		5,720			6,751			9,153			2,895			2,712
Interest expense		—			554			536			87			276
Other expenses		12,050			25,673			21,135			35,139			35,231
Total expenses before fee waivers, expense reimbursements and fees paid indirectly		1,935,698			2,136,329			2,694,651			1,080,804			981,362
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			(196,665	)		—			—			—
Fees paid indirectly (Note 5)		—			—			(391	)		(592	)		—
Net expenses		1,935,698			1,939,664			2,694,260			1,080,212			981,362
Net investment income (loss)		(981,155	)		(266,680	)		6,626,015			(557,858	)		1,247,399
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		41,379,099			57,848,916			(269,531	)		31,877,798			(1,729,237	)
Investments (affiliated)		—			—			(1,621	)		—			—
Futures contracts		—			99,186			198,370			129,820			148,800
Forward contracts		—			—			(1,180,301	)		—			—
Swap contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(581	)		184			(5,974	)		(938	)		1,811
Net realized gain (loss) on investments and foreign currencies		41,378,518			57,948,286			(1,259,057	)		32,006,680			(1,578,626	)
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		108,808,542			149,192,029			106,504,109			53,814,588			45,257,582
Investments (affiliated)		—			—			61,681			—			—
Futures contracts		—			(18,899	)		(37,798	)		(43,963	)		(78,877	)
Forward contracts		—			—			210,715			—			—
Swap contracts		—			—			—			—			—
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		877			(337	)		2,457			103			788
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		108,809,419			149,172,793			106,741,164			53,770,728			45,179,493
Net realized and unrealized gain (loss) on investments and foreign currencies		150,187,937			207,121,079			105,482,107			85,777,408			43,600,867
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	149,206,782		$	206,854,399		$	112,108,122		$	85,219,550		$	44,848,266
* Net of foreign withholding taxes on interest and dividends of	$	7,947		$	1,481		$	59,421		$	735		$	17,727
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

337

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2020 (unaudited)

	SA Multi- Managed Small Cap Portfolio			SA Multi- Managed International Equity Portfolio			SA Multi- Managed Diversified Fixed Income Portfolio			SA Wellington Real Return Portfolio			SA Columbia Focused Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,377,380		$	4,645,730		$	4,439		$	—		$	4,278,913
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		150			1,524			12,480,298			3,076,313			—
Total investment income*		1,377,530			4,647,254			12,484,737			3,076,313			4,278,913
Expenses:
Investment advisory and management fees		805,124			1,602,787			2,910,058			1,787,546			1,276,813
Service Fees:
Class 2		9,208			11,556			15,257			—			8,468
Class 3		10,168			14,285			15,215			445,064			9,792
Transfer agent fees and expenses		839			1,068			992			1,221			534
Custodian and accounting fees		34,633			104,368			155,771			79,245			15,257
Reports to shareholders		5,970			9,021			29,447			18,198			6,716
Audit and tax fees		24,076			44,051			32,872			32,608			22,189
Legal fees		7,964			7,164			10,884			7,174			5,100
Trustees' fees and expenses		2,405			4,427			12,952			8,722			3,238
Interest expense		—			2,947			—			47			—
Other expenses		22,618			27,475			13,419			12,471			10,688
Total expenses before fee waivers, expense reimbursements and fees paid indirectly		923,005			1,829,149			3,196,867			2,392,296			1,358,795
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			(68,450	)		—			(151,109	)		(418,928	)
Fees paid indirectly (Note 5)		(3,878	)		—			—			—			(1,693	)
Net expenses		919,127			1,760,699			3,196,867			2,241,187			938,174
Net investment income (loss)		458,403			2,886,555			9,287,870			835,126			3,340,739
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		294,883			(2,092,321	)		21,314,829			11,107,299			4,137,465
Investments (affiliated)		—			—			—			—			—
Futures contracts		470,395			1,179,425			(1,612,198	)		177,024			—
Forward contracts		—			—			367,261			(16,162,246	)		—
Swap contracts		—			—			(5,501,230	)		—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			74,506			75,283			(399,640	)		—
Net realized gain (loss) on investments and foreign currencies		765,278			(838,390	)		14,643,945			(5,277,563	)		4,137,465
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		43,866,471			68,521,770			24,191,522			36,402,686			48,583,906
Investments (affiliated)		—			—			—			—			—
Futures contracts		(126,026	)		(383,459	)		1,317,094			160,446			—
Forward contracts		—			—			(732,822	)		6,173,405			—
Swap contracts		—			—			5,101,108			—			—
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		—			63,707			71			25,302			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		43,740,445			68,202,018			29,876,973			42,761,839			48,583,906
Net realized and unrealized gain (loss) on investments and foreign currencies		44,505,723			67,363,628			44,520,918			37,484,276			52,721,371
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	44,964,126		$	70,250,183		$	53,808,788		$	38,319,402		$	56,062,110
* Net of foreign withholding taxes on interest and dividends of	$	3,554		$	419,911		$	3,753		$	115		$	10,528
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

338

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2020 (unaudited)

	SA Allocation Growth Portfolio			SA Allocation Moderate Growth Portfolio			SA Allocation Moderate Portfolio			SA Allocation Balanced Portfolio
Investment Income:
Dividends (unaffiliated)	$	—		$	—		$	—		$	—
Dividends (affiliated)		—			—			—			—
Interest (unaffiliated)		—			—			—			—
Total investment income*		—			—			—			—
Expenses:
Investment advisory and management fees		113,328			227,771			143,259			113,452
Service Fees:
Class 2		—			—			—			—
Class 3		283,109			569,156			358,021			283,392
Transfer agent fees and expenses		534			499			534			611
Custodian and accounting fees		9,500			9,500			9,500			9,500
Reports to shareholders		7,102			13,048			8,387			7,227
Audit and tax fees		17,147			20,451			20,451			20,451
Legal fees		4,883			6,172			5,122			4,801
Trustees' fees and expenses		3,035			6,164			3,888			3,098
Interest expense		—			—			—			—
Other expenses		6,954			7,959			7,084			6,842
Total expenses before fee waivers, expense reimbursements and fees paid indirectly		445,592			860,720			556,246			449,374
Fees waived and expenses reimbursed by investment advisor (Note 3)		(11,333	)		(22,777	)		(14,326	)		(11,345	)
Fees paid indirectly (Note 5)		—			—			—			—
Net expenses		434,259			837,943			541,920			438,029
Net investment income (loss)		(434,259	)		(837,943	)		(541,920	)		(438,029	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		—			—			—			—
Investments (affiliated)		1,374,695			3,598,653			2,251,470			1,562,056
Futures contracts		—			—			—			—
Forward contracts		—			—			—			—
Swap contracts		—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—
Net realized gain (loss) on investments and foreign currencies		1,374,695			3,598,653			2,251,470			1,562,056
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		—			—			—			—
Investments (affiliated)		46,554,300			80,516,871			45,009,125			29,044,042
Futures contracts		—			—			—			—
Forward contracts		—			—			—			—
Swap contracts		—			—			—			—
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		46,554,300			80,516,871			45,009,125			29,044,042
Net realized and unrealized gain (loss) on investments and foreign currencies		47,928,995			84,115,524			47,260,595			30,606,098
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	47,494,736		$	83,277,581		$	46,718,675		$	30,168,069
* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—

See Notes to Financial Statements

339

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS

	SA Multi-Managed Growth						SA Multi-Managed Moderate Growth						SA Multi-Managed Income/Equity
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(109,877	)	$	(48,039	)	$	14,708		$	384,886		$	126,558		$	585,099
Net realized gain (loss) on investments and foreign currencies		4,203,125			6,799,843			5,957,426			8,515,436			3,598,245			5,197,914
Net unrealized gain (loss) on investments and foreign currencies		12,637,028			(8,722,493	)		17,166,399			(10,764,022	)		8,071,669			(4,215,050	)
Net increase (decrease) in net assets resulting from operations		16,730,276			(1,970,689	)		23,138,533			(1,863,700	)		11,796,472			1,567,963
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(941,075	)		—			(800,262	)		—			(493,642	)
Distributable earnings — Class 2		—			(1,716,598	)		—			(3,436,786	)		—			(1,801,863	)
Distributable earnings — Class 3		—			(2,096,118	)		—			(2,698,542	)		—			(1,057,524	)
Total distributions to shareholders		—			(4,753,791	)		—			(6,935,590	)		—			(3,353,029	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(4,605,709	)		(3,255,925	)		(5,036,949	)		(5,163,160	)		(2,615,468	)		(6,683,359	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		12,124,567			(9,980,405	)		18,101,584			(13,962,450	)		9,181,004			(8,468,425	)
NET ASSETS:
Beginning of period		39,156,687			49,137,092			66,785,683			80,748,133			46,959,131			55,427,556
End of period	$	51,281,254		$	39,156,687		$	84,887,267		$	66,785,683		$	56,140,135		$	46,959,131

See Notes to Financial Statements

340

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Income						SA Putnam Asset Allocation Diversified Growth					SA T. Rowe Price Growth Stock
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)		For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	175,836		$	654,578		$	937,073	$	2,524,514		$	(981,155	)	$	(842,028	)
Net realized gain (loss) on investments and foreign currencies		1,908,006			2,592,317			1,640,161		(702,066	)		41,378,518			41,953,106
Net unrealized gain (loss) on investments and foreign currencies		4,052,175			(1,521,439	)		34,373,300		(19,317,922	)		108,809,419			(53,192,557	)
Net increase (decrease) in net assets resulting from operations		6,136,017			1,725,456			36,950,534		(17,495,474	)		149,206,782			(12,081,479	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(231,673	)		—		(680,663	)		—			(27,469,508	)
Distributable earnings — Class 2		—			(1,068,592	)		—		(2,239,459	)		—			(3,467,546	)
Distributable earnings — Class 3		—			(644,346	)		—		(4,972,393	)		—			(2,913,320	)
Total distributions to shareholders		—			(1,944,611	)		—		(7,892,515	)		—			(33,850,374	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(892,635	)		(7,353,820	)		1,070,667		11,068,218			(75,957,041	)		8,199,813
TOTAL INCREASE (DECREASE) IN NET ASSETS		5,243,382			(7,572,975	)		38,021,201		(14,319,771	)		73,249,741			(37,732,040	)
NET ASSETS:
Beginning of period		37,534,909			45,107,884			151,810,835		166,130,606			364,012,392			401,744,432
End of period	$	42,778,291		$	37,534,909		$	189,832,036	$	151,810,835		$	437,262,133		$	364,012,392

See Notes to Financial Statements

341

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Large Cap Growth						SA Multi-Managed Large Cap Value						SA Multi-Managed Mid Cap Growth
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(266,680	)	$	1,035,884		$	6,626,015		$	12,960,657		$	(557,858	)	$	(493,138	)
Net realized gain (loss) on investments and foreign currencies		57,948,286			66,145,760			(1,259,057	)		42,617,325			32,006,680			28,161,379
Net unrealized gain (loss) on investments and foreign currencies		149,172,793			(73,480,244	)		106,741,164			(141,528,421	)		53,770,728			(45,091,938	)
Net increase (decrease) in net assets resulting from operations		206,854,399			(6,298,600	)		112,108,122			(85,950,439	)		85,219,550			(17,423,697	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(55,344,237	)		—			(55,152,980	)		—			(18,858,906	)
Distributable earnings — Class 2		—			(3,972,860	)		—			(1,852,910	)		—			(2,366,970	)
Distributable earnings — Class 3		—			(2,098,250	)		—			(967,364	)		—			(1,562,239	)
Total distributions to shareholders		—			(61,415,347	)		—			(57,973,254	)		—			(22,788,115	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(110,756,741	)		348,962			(3,397,033	)		(12,565,146	)		(35,105,816	)		(2,668,059	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		96,097,658			(67,364,985	)		108,711,089			(156,488,839	)		50,113,734			(42,879,871	)
NET ASSETS:
Beginning of period		428,146,318			495,511,303			583,084,566			739,573,405			181,937,139			224,817,010
End of period	$	524,243,976		$	428,146,318		$	691,795,655		$	583,084,566		$	232,050,873		$	181,937,139

See Notes to Financial Statements

342

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Mid Cap Value						SA Multi-Managed Small Cap						SA Multi-Managed International Equity
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,247,399		$	2,765,075		$	458,403		$	545,094		$	2,886,555		$	6,806,616
Net realized gain (loss) on investments and foreign currencies		(1,578,626	)		6,694,029			765,278			28,865,959			(838,390	)		6,510,261
Net unrealized gain (loss) on investments and foreign currencies		45,179,493			(59,198,973	)		43,740,445			(80,464,026	)		68,202,018			(59,404,388	)
Net increase (decrease) in net assets resulting from operations		44,848,266			(49,739,869	)		44,964,126			(51,052,973	)		70,250,183			(46,087,511	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(12,680,991	)		—			(17,252,340	)		—			(37,640,580	)
Distributable earnings — Class 2		—			(1,407,763	)		—			(1,256,806	)		—			(1,987,847	)
Distributable earnings — Class 3		—			(868,334	)		—			(833,291	)		—			(1,447,692	)
Total distributions to shareholders		—			(14,957,088	)		—			(19,342,437	)		—			(41,076,119	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(9,866,915	)		1,218,171			(9,238,851	)		(31,654,484	)		2,496,180			(66,057,309	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		34,981,351			(63,478,786	)		35,725,275			(102,049,894	)		72,746,363			(153,220,939	)
NET ASSETS:
Beginning of period		168,885,245			232,364,031			160,354,031			262,403,925			288,747,089			441,968,028
End of period	$	203,866,596		$	168,885,245		$	196,079,306		$	160,354,031		$	361,493,452		$	288,747,089

See Notes to Financial Statements

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SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Multi-Managed Diversified Fixed Income						SA Wellington Real Return						SA Columbia Focused Value
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)		For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	9,287,870		$	23,810,903		$	835,126		$	13,096,929		$	3,340,739	$	4,950,643
Net realized gain (loss) on investments and foreign currencies		14,643,945			15,828,717			(5,277,563	)		24,389,071			4,137,465		21,682,806
Net unrealized gain (loss) on investments and foreign currencies		29,876,973			18,257,209			42,761,839			(21,024,865	)		48,583,906		(68,359,936	)
Net increase (decrease) in net assets resulting from operations		53,808,788			57,896,829			38,319,402			16,461,135			56,062,110		(41,726,487	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(28,191,817	)		—			(1,148,589	)		—		(5,277,270	)
Distributable earnings — Class 2		—			(566,207	)		—			—			—		(276,938	)
Distributable earnings — Class 3		—			(335,514	)		—			(1,223,857	)		—		(180,767	)
Total distributions to shareholders		—			(29,093,538	)		—			(2,372,446	)		—		(5,734,975	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(10,035,335	)		(92,918,543	)		(15,363,535	)		(144,194,793	)		14,122,009		(43,923,503	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		43,773,453			(64,115,252	)		22,955,867			(130,106,104	)		70,184,119		(91,384,965	)
NET ASSETS:
Beginning of period		897,231,255			961,346,507			594,655,298			724,761,402			205,075,473		296,460,438
End of period	$	941,004,708		$	897,231,255		$	617,611,165		$	594,655,298		$	275,259,592	$	205,075,473

See Notes to Financial Statements

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SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Allocation Growth						SA Allocation Moderate Growth
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(434,259	)	$	2,103,625		$	(837,943	)	$	5,779,614
Net realized gain (loss) on investments and foreign currencies		1,374,695			10,711,793			3,598,653			20,959,900
Net unrealized gain (loss) on investments and foreign currencies		46,554,300			(30,680,047	)		80,516,871			(48,199,887	)
Net increase (decrease) in net assets resulting from operations		47,494,736			(17,864,629	)		83,277,581			(21,460,373	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(4,689	)		—			(30,712	)
Distributable earnings — Class 2		—			—			—			—
Distributable earnings — Class 3		—			(6,021,253	)		—			(23,246,723	)
Total distributions to shareholders		—			(6,025,942	)		—			(23,277,435	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		3,405,680			55,094,028			(10,538,976	)		(14,705,043	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		50,900,416			31,203,457			72,738,605			(59,442,851	)
NET ASSETS:
Beginning of period		192,333,745			161,130,288			403,424,054			462,866,905
End of period	$	243,234,161		$	192,333,745		$	476,162,659		$	403,424,054

See Notes to Financial Statements

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SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Allocation Moderate						SA Allocation Balanced
	For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020			For the six months ended September 30, 2020 (unaudited)			For the year ended March 31, 2020
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(541,920	)	$	3,932,013		$	(438,029	)	$	3,371,130
Net realized gain (loss) on investments and foreign currencies		2,251,470			11,721,201			1,562,056			7,009,135
Net unrealized gain (loss) on investments and foreign currencies		45,009,125			(24,566,625	)		29,044,042			(12,345,135	)
Net increase (decrease) in net assets resulting from operations		46,718,675			(8,913,411	)		30,168,069			(1,964,870	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings — Class 1		—			(10,832	)		—			(5,475	)
Distributable earnings — Class 2		—			—			—			—
Distributable earnings — Class 3		—			(13,454,633	)		—			(7,899,310	)
Total distributions to shareholders		—			(13,465,465	)		—			(7,904,785	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(8,813,818	)		(15,885,236	)		(804,502	)		342,203
TOTAL INCREASE (DECREASE) IN NET ASSETS		37,904,857			(38,264,112	)		29,363,567			(9,527,452	)
NET ASSETS:
Beginning of period		256,805,254			295,069,366			206,279,513			215,806,965
End of period	$	294,710,111		$	256,805,254		$	235,643,080		$	206,279,513

See Notes to Financial Statements

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SEASONS SERIES TRUST
NOTES TO FINANCIALS STATEMENTS

Note 1.  Description of Business and Basis of Presentation: Seasons Series Trust (the "Trust"), organized as a Massachusetts business trust on October 10, 1995, is an open-end management investment company. The Trust consists of 19 separate series or portfolios (each, a "Portfolio," and collectively, the "Portfolios"). Shares of the Portfolios are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively, the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they are offered through the Variable Contracts issued by life insurance companies affiliated with the Trust's adviser, SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser"). SAAMCo and the life companies are indirect wholly-owned subsidiaries of American International Group, Inc., a Delaware corporation ("AIG"). SAAMCo serves as investment adviser for all the Portfolios of the Trust. Shares of the Trust are held by separate accounts of American General Life Insurance Company ("AGL"), a Texas life insurer, The Variable Annuity Life Insurance Company ("VALIC"), a Texas life insurer and The United States Life Insurance Company in The City of New York ("USL"), a New York life insurer. Each of the life insurance companies listed above are collectively referred to as the "Life Companies."

Each of the Portfolios represents a separate managed portfolio of securities with its own investment objectives. The Board of Trustees (the "Board"), may establish additional portfolios or classes in the future. Six of the Portfolios, called the "Seasons Strategies Portfolios," are available only through the selection of one of four "strategies" described in the Seasons Variable Contract prospectus. The Seasons Strategies Portfolios may also be available indirectly through certain investment options under other Variable Contracts offered by the Life Companies. Thirteen additional Portfolios, called the "Seasons Select Portfolios," the "Seasons Focused Portfolio" and the "Seasons Managed Allocation Portfolios," are available in addition to the Seasons Strategies Portfolios as variable investment options under Variable Contracts offered by the Life Companies. All shares may be purchased or redeemed at net asset value without any sales or redemption charge. Please refer to your Seasons Variable Contract prospectus for sales and/or redemption charges under your Variable Contract. Each Seasons Managed Allocation Portfolio is structured as a "fund-of-funds" which means that it pursues its principal investment strategy by investing its assets in a combination of the portfolios of the Trust, SunAmerica Series Trust and Anchor Series Trust (collectively, the "Underlying Portfolios").

Class 1 shares, Class 2 shares and/or Class 3 shares of each Portfolio may be offered only in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses; (ii) Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not subject to service fees; and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio, pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class' average daily net assets.

The investment goal for each Portfolio is as follows:

Seasons Strategies Portfolios

The SA Multi-Managed Growth Portfolio seeks long-term growth of capital by allocating its assets among three distinct, actively-managed investment components, each with a different investment strategy, which include a small-cap growth component, a fixed income component and a growth component.

The SA Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective by allocating its assets among three distinct, actively-managed investment components, each with a different investment strategy, which include a small-cap growth component, a fixed income component and a growth component.

The SA Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital by allocating its assets among two distinct, actively-managed investment components, each with a different investment strategy, which include a fixed income component and a growth component.

The SA Multi-Managed Income Portfolio seeks capital preservation by allocating its assets among two distinct, actively-managed investment components, each with a different investment strategy which include a fixed income component and a growth component.

The SA Putnam Asset Allocation Diversified GrowthPortfolio 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.

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The SA T. Rowe Price Growth Stock Portfolio seeks long-term capital appreciation with a secondary objective of increasing dividend income by investing, under normal circumstances, at least 80% of its net assets in common stocks of a diversified group of growth companies.

Seasons Select Portfolios

The SA Multi-Managed Large Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large capitalization companies selected through a growth strategy.

The SA Multi-Managed Large Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large companies selected through a value strategy.

The SA Multi-Managed Mid Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a growth strategy.

The SA Multi-Managed Mid Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a value strategy.

The SA Multi-Managed Small Cap Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of small-cap companies.

The SA Multi-Managed International Equity Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of issuers in at least three countries other than the U.S.

The SA Multi-Managed Diversified Fixed Income Portfolio seeks relatively high current income and, secondarily, capital appreciation by investing, under normal circumstances, at least 80% of its net assets in fixed income securities including U.S. and foreign government securities, asset- and mortgage-backed securities, investment-grade debt securities, and lower-rated fixed income securities, or junk bonds.

The SA Wellington Real Return Portfolio seeks total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management by investing, under normal circumstances, primarily in inflation-indexed bonds issued by the United States and foreign governments and their agencies and instrumentalities, as well as inflation-indexed securities issued by U.S. and foreign corporations.

Seasons Focused Portfolio

The SA Columbia Focused Value Portfolio seeks long-term growth of capital by investing in equity securities selected on the basis of value criteria. The Portfolio invests primarily in equity securities of large-cap companies.

Seasons Managed Allocation Portfolios

The SA Allocation Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 70% of its net assets in equity portfolios.

The SA Allocation Moderate Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 30% and no more than 90% of its net assets in equity portfolios and at least 10% and no more than 70% of its net assets in fixed income portfolios.

The SA Allocation Moderate Portfolio seeks long-term capital appreciation and moderate current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 20% and no more than 80% of its net assets in equity portfolios and at least 20% and no more than 80% of its net assets in fixed income portfolios.

The SA Allocation Balanced Portfolio seeks long-term capital appreciation and current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests no more than 70% of its net assets in equity portfolios.

Each Portfolio is diversified as such term is defined under the Investment Company Act of 1940, as amended (the "1940 Act").

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Indemnifications: The Trust's organizational documents provide current and former officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current (and certain former) trustees who is not an "interested person," as defined in Section 2(a)(19) of the Act, of the Trust (collectively, the "Disinterested Trustees"), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trust's maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.

Note 2.  Significant Accounting Policies: The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The Portfolios are considered investment companies under GAAP and follow the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:

Security Valuation: In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 1 — Unadjusted quoted prices in active markets for identical securities

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board, etc.)

Level 3 — Significant unobservable inputs (includes inputs that reflect the Portfolios' own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment's assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of each Portfolio's assets and liabilities classified in the fair value hierarchy as of September 30, 2020, is reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

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As of the close of regular trading on the New York Stock Exchange ("NYSE"), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security's price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio's shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Senior floating rate loans ("Loans") are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter ("OTC") market are valued at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Option contracts on swaps ("swaptions") and other option derivatives (i.e., straddle options) are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the OTC market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC Procedures") for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as

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Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Derivative Instruments

Forward Foreign Currency Contracts: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Putnam Asset Allocation Diversified Growth, SA Multi-Managed Large Cap Value, SA Multi-Managed Diversified Fixed Income and SA Wellington Real Return Portfolios used forward contracts to attempt to protect the value of securities and related receivable and payables against changes in future foreign exchange rates, to manage and/or gain exposure to certain foreign currencies and to enhance total return.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized appreciation or depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to a Portfolio of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio's maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Futures: During the period, the SA Multi-Managed Large Cap Growth, SA Multi-Managed Large Cap Value, SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value, SA Multi-Managed Small Cap and SA Multi-Managed International Equity Portfolios used futures contracts to increase or decrease exposure to equity or bond markets. The SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Diversified Fixed Income and SA Wellington Real Return Portfolios used futures contracts to manage duration and yield curve positioning and to increase exposure to equity or bond markets. The SA Putnam Asset Allocation Diversified Growth Portfolio used futures contracts to hedge against changes in interest rates, increase exposure to equity or bond markets and enhance total return.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the "broker"). Subsequent payments are made or received by a Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statement of Assets and Liabilities as variation margin for changes in the value of the contracts and as cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to a Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the

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Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.

Futures contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Options: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Diversified Fixed Income and SA Multi-Managed Large Cap Growth Portfolios used option contracts to seek protection against a decline in the value of a Portfolio's securities or an increase in prices of securities that may be purchased or to generate income.

An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put option, it receives a premium which is equal to the current market value of the option written. The premiums on written options are recorded as a liability on the Statement of Assets and Liabilities. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option and which is included on the Portfolio's Statement of Assets and Liabilities as an investment. The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.

Risks to a Portfolio of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying security, and for written options, may result in losses in excess of the amounts shown on the statement of assets and liabilities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.

Option contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Swap Contracts: Certain Portfolios may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract ("centrally cleared swaps"). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and a Portfolio faces the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash collateral for centrally clear swap contracts. Unlike a bilateral swap contract, for centrally cleared swaps, a Portfolio has no credit exposure to the counterparty as the CCP stands between the Portfolios and the counterparty. Swaps are marked-to-market daily and the changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolio's basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Portfolio are included as part of realized gain (loss).

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Credit Default Swap Agreements: During the period, the SA Multi-Managed Diversified Fixed Income Portfolio used credit default swaps to manage credit risk (i.e., hedging), as a substitute for physical securities and to enhance returns.

Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional amount of the swap. If a Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a Portfolio will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Portfolio for future potential losses as a result of a credit event on the reference bond or other asset. A Portfolio effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection's right to choose the deliverable obligation with the lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer's default.

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation's default.

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if

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there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule at the end of each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Portfolio is the seller of protection, if any, are disclosed on a schedule at the end of each Portfolio's Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Equity Swap Agreements: During the period, the SA Putnam Asset Allocation Diversified Growth Portfolio used equity swaps, a type of total return swap, to hedge the portfolio's sector exposure, to gain exposure to certain sectors and to enhance total return.

Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

The counterparty to an equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks.

Therefore, the return to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a Portfolio may agree to pay to the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).

A Portfolio will generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio's risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.

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Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Interest Rate Swap Agreements: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income and SA Multi-Managed Diversified Fixed Income used interest rate swap agreements, including cross-currency swaps, to manage exposure to fluctuations in interest rates and to make active interest rate anticipation decisions.

Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Since interest rate swaps are individually negotiated, a Portfolio expects to achieve an acceptable degree of correlation between their respective portfolio investments and their interest rate positions. A Portfolio will enter into interest rate swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolios receiving or paying, as the case may be, only the net amount of the two payments.

A cross-currency swap is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.

Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio's risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.

Interest rate swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.

Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss, which may be in excess of the amount reflected on the statement of assets and liabilities.

Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements ("Master Agreements") with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio's net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when the Portfolio's net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline the Portfolio's net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty's long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty's credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio's counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could

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be material to a Portfolio's financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables represent the value of derivatives held as of September 30, 2020, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the six months ended September 30, 2020. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of September 30, 2020, please refer to a schedule at the end of each Portfolio's Portfolio of Investments.

	Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Foreign Forward Exchange Contracts(4)		Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Foreign Forward Exchange Contracts(7)
	Interest Rate Contracts
Portfolio	Asset Derivatives								Liability Derivatives
SA Multi-Managed Growth	$	4,137	$	9,986	$	5	$	—	$	2,274	$	—	$	—	$	—
SA Multi-Managed Moderate Growth		19,341		6,023		13		—		13,598		—		—		—
SA Multi-Managed Income/ Equity		14,622		10,634		14		—		7,848		—		—		—
SA Multi-Managed Income		16,974		26		14		—		6,848		22,041		—		—
SA Putnam Asset Allocation Diversified Growth		17,125		—		—		—		406		—		—		—
SA Multi-Managed Diversified Fixed Income		105,177		4,363		186		—		53,662		—		—		—
SA Wellington Real Return		234,230		—		—		—		138,044		—		—		—
	Equity Contracts
Portfolio	Asset Derivatives								Liability Derivatives
SA Multi-Managed Growth	$	—	$	—	$	—	$	—	$	390	$	—	$	—	$	—
SA Multi-Managed Moderate Growth		—		—		—		—		650		—		—		—
SA Putnam Asset Allocation Diversified Growth		4,200		65,089		—		—		52,472		148,419		—		—
SA Multi-Managed Large Cap Growth		1,830		—		—		—		—		—		—		—
SA Multi-Managed Large Cap Value		3,660		—		—		—		—		—		—		—
SA Multi-Managed Mid Cap Growth		2,460		—		—		—		—		—		—		—
SA Multi-Managed Mid Cap Value		1,230		—		—		—		—		—		—		—
SA Multi-Managed Small Cap		—		—		—		—		2,470		—		—		—
SA Multi-Managed International Equity		—		—		—		—		44,625		—		—		—
	Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Foreign Forward Exchange Contracts(4)		Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Foreign Forward Exchange Contracts(7)
	Credit Contracts
	Asset Derivatives								Liability Derivatives
SA Multi-Managed Diversified Fixed Income	$	—	$	18,540	$	—	$	—	$	—	$	38,297	$	—	$	—

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	Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Foreign Forward Exchange Contracts(4)		Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Foreign Forward Exchange Contracts(7)
	Foreign Exchange Contracts
	Asset Derivatives								Liability Derivatives
SA Multi-Managed Growth	$	—	$	—	$	46,861	$	1,656	$	—	$	—	$	—	$	—
SA Multi-Managed Moderate Growth		—		—		59,337		4,579		—		—		—		—
SA Multi-Managed Income/ Equity		—		—		32,071		6,136		—		—		—		—
SA Multi-Managed Income		—		—		12,845		5,094		—		—		—		—
SA Putnam Asset Allocation Diversified Growth		—		—		—		13,173		—		—		—		99,129
SA Multi-Managed Large Cap Growth		—		—		298,679		—		—		—		—		—
SA Multi-Managed Large Cap Value		—		—		—		17,843		—		—		—		45,327
SA Multi-Managed Diversified Fixed Income		—		—		—		27,649		—		—		—		2,912
SA Wellington Real Return		—		—		—		86,653		—		—		—		1,524,251

Statement of Assets and Liabilities Location:

(1)  Variation margin on futures contracts

(2)  Unrealized appreciation on swap contracts

(3)  Investments at value (unaffiliated)

(4)  Unrealized appreciation on forward foreign currency contracts

(5)  Unrealized depreciation on swap contracts

(6)  Call and put options written, at value

(7)  Unrealized depreciation on forward foreign currency contracts

(8)  The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio's Portfolio of Investments in the following amounts:

Portfolio	Cumulative Appreciation (Depreciation)
SA Multi-Managed Growth	$	(2,216	)
SA Multi-Managed Moderate Growth		8,798
SA Multi-Managed Income/Equity		1,609
SA Multi-Managed Income		4,868
SA Putnam Asset Allocation Diversified Growth		(40,197	)
SA Multi-Managed Large Cap Growth		(2,028	)
SA Multi-Managed Large Cap Value		(4,056	)
SA Multi-Managed Mid Cap Growth		(6,033	)
SA Multi-Managed Mid Cap Value		(3,017	)
SA Multi-Managed Small Cap		(19,887	)
SA Multi-Managed International Equity		(248,753	)
SA Multi-Managed Diversified Fixed Income		(35,905	)
SA Wellington Real Return		399,349

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	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations
Portfolio	Futures Contracts(1)			Swap Contracts(2)			Written Options(3)		Purchased Options(4)			Foreign Forward Exchange Contracts(5)
	Interest Rate Contracts
SA Multi-Managed Growth	$	5,264		$	(71,195	)	$	—	$	—		$	—
SA Multi-Managed Moderate Growth		(143,703	)		(182,036	)		—		—			—
SA Multi-Managed Income/Equity		(65,921	)		(217,166	)		—		—			—
SA Multi-Managed Income		(88,061	)		(143,533	)		—		—			—
SA Putnam Asset Allocation Diversified Growth		(31,628	)		—			—		—			—
SA Multi-Managed Diversified Fixed Income		(1,612,198	)		(5,361,933	)		—		—			—
SA Wellington Real Return		177,024			—			—		—			—
	Equity Contracts
SA Multi-Managed Growth	$	15,822		$	—		$	—	$	—		$	—
SA Multi-Managed Moderate Growth		29,455			—			—		—			—
SA Putnam Asset Allocation Diversified Growth		610,704			(715,534	)		—		—			—
SA Multi-Managed Large Cap Growth		99,186			—			—		—			—
SA Multi-Managed Large Cap Value		198,370			—			—		—			—
SA Multi-Managed Mid Cap Growth		129,820			—			—		—			—
SA Multi-Managed Mid Cap Value		148,800			—			—		—			—
SA Multi-Managed Small Cap		470,395			—			—		—			—
SA Multi-Managed International Equity		1,179,425			—			—		—			—
	Credit Contracts
SA Multi-Managed Diversified Fixed Income	$	—		$	(139,297	)	$	—	$	—		$	—
	Foreign Exchange Contracts
SA Multi-Managed Growth	$	—		$	—		$	—	$	—		$	8,795
SA Multi-Managed Moderate Growth		—			—			—		—			21,624
SA Multi-Managed Income/Equity		—			—			—		—			18,538
SA Multi-Managed Income		—			—			—		—			23,965
SA Putnam Asset Allocation Diversified Growth		—			—			—		—			172,786
SA Multi-Managed Large Cap Growth		—			—			—		—			—
SA Multi-Managed Large Cap Value		—			—			—		—			(1,180,301	)
SA Multi-Managed Diversified Fixed Income		—			—			—		—			367,261
SA Wellington Real Return		—			—			—		—			(16,162,246	)
	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
Portfolio	Futures Contracts(6)			Swap Contracts(7)			Written Options(8)		Purchased Options(9)			Foreign Forward Exchange Contracts(10)
	Interest Rate Contracts
SA Multi-Managed Growth	$	(12,989	)	$	75,897		$	—	$	(202	)	$	—
SA Multi-Managed Moderate Growth		129,077			178,608			—		(512	)		—
SA Multi-Managed Income/Equity		75,677			216,277			—		(566	)		—
SA Multi-Managed Income		100,791			139,078			—		(566	)		—
SA Putnam Asset Allocation Diversified Growth		(41,923	)		—			—		—			—
SA Multi-Managed Diversified Fixed Income		1,317,094			5,120,865			—		(7,487	)		—
SA Wellington Real Return		160,446			—			—		—			—

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	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
Portfolio	Futures Contracts(6)			Swap Contracts(7)			Written Options(8)		Purchased Options(9)			Foreign Forward Exchange Contracts(10)
	Equity Contracts
SA Multi-Managed Growth	$	(595	)	$	—		$	—	$	—		$	—
SA Multi-Managed Moderate Growth		3,827			—			—		—			—
SA Putnam Asset Allocation Diversified Growth		114,877			384,340			—		—			—
SA Multi-Managed Large Cap Growth		(18,899	)		—			—		—			—
SA Multi-Managed Large Cap Value		(37,798	)		—			—		—			—
SA Multi-Managed Mid Cap Growth		(43,963	)		—			—		—			—
SA Multi-Managed Mid Cap Value		(78,877	)		—			—		—			—
SA Multi-Managed Small Cap		(126,026	)		—			—		—			—
SA Multi-Managed International Equity		(383,459	)		—			—		—			—
	Credit Contracts
SA Multi-Managed Diversified Fixed Income	$	—		$	(19,757	)	$	—	$	—		$	—
	Foreign Exchange Contracts
SA Multi-Managed Growth	$	—		$	—		$	—	$	(78,360	)	$	(14,005	)
SA Multi-Managed Moderate Growth		—			—			—		(99,596	)		(36,324	)
SA Multi-Managed Income/Equity		—			—			—		(54,248	)		(41,149	)
SA Multi-Managed Income		—			—			—		(22,143	)		(40,875	)
SA Putnam Asset Allocation Diversified Growth		—			—			—		—			(1,542	)
SA Multi-Managed Large Cap Growth		—			—			—		(489,282	)		—
SA Multi-Managed Large Cap Value		—			—			—		—			210,715
SA Multi-Managed Diversified Fixed Income		—			—			—		—			(732,822	)
SA Wellington Real Return		—			—			—		—			6,173,405

Statement of Operations Location:

(1)  Net realized gain (loss) on futures contracts

(2)  Net realized gain (loss) on swap contracts

(3)  Net realized gain (loss) on written options contracts

(4)  Net realized gain (loss) on investments

(5)  Net realized gain (loss) on forward contracts

(6)  Change in unrealized appreciation (depreciation) on futures contracts

(7)  Change in unrealized appreciation (depreciation) on swap contracts

(8)  Change in unrealized appreciation (depreciation) on written options contracts

(9)  Change in unrealized appreciation (depreciation) on investments

(10)  Change in unrealized appreciation (depreciation) on forward contracts

359

The following table represents the average monthly balances of derivatives held during the six months ended September 30, 2020.

	Average Amount Outstanding During the Period
Portfolio	Futures Contracts(1)		Foreign Exchange Contracts(1)		Purchased Options Contracts(2)		Interest Rate Swap Contracts(1)		Credit Swap Contracts(1)		Total Return Swap Contracts(2)
SA Multi-Managed Growth Portfolio .	$	4,517,078	$	162,119	$	42,549	$	370,000	$	—	$	—
SA Multi-Managed Moderate Growth Portfolio		17,292,118		443,643		54,040		860,000		—		—
SA Multi-Managed Income/Equity Portfolio		12,191,653		607,006		29,440		1,035,833		—		—
SA Multi-Managed Income Portfolio .		10,810,271		501,921		12,024		1,020,833		—		—
SA Putnam Asset Allocation: Diversified Growth Portfolio		22,564,274		6,633,573		—		—		—		19,412,918
SA Multi-Managed Large Cap Growth Portfolio		319,150		—		267,431		—		—		—
SA Multi-Managed Large Cap Value Portfolio		638,300		20,020,162		—		—		—		—
SA Multi-Managed Mid Cap Growth Portfolio		360,830		—		—		—		—		—
SA Multi-Managed Mid Cap Value Portfolio		180,415		—		—		—		—		—
SA Multi-Managed Small Cap Portfolio		1,429,875		—		—		—		—		—
SA Multi-Managed International Equity Portfolio		6,392,575		—		—		—		—		—
SA Multi-Managed Diversified Fixed Income Portfolio		104,609,497		7,036,402		927		27,955,000		6,516,000		—
SA Wellington Real Return Portfolio		102,021,855		214,125,533		—		—		—		—

(1) Amounts represent notional amounts in US dollars.

(2) Amounts represent values in US dollars.

The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of September 30, 2020. The repurchase agreements held by the Portfolios as of September 30, 2020, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments and the Notes to the Financial Statements for more information about the Portfolios' holdings in repurchase agreements.

	SA Multi-Managed Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)		Collateral Pledged/ (Received)(2)			Net Amount(3)
Bank of America, N.A.	$	—	$	—	$	5	$	5	$	—	$	—	$	—	$	—	$	5	$	—		$	5
BNP Paribas SA		—		—		19,233		19,233		—		—		—		—		19,233		—			19,233
Goldman Sachs International		1,442		—		—		1,442		—		—		—		—		1,442		—			1,442
HSBC Bank USA		214		—		—		214		—		—		—		—		214		—			214
NatWest Markets PLC				—		—		27,628		27,628		—		—		—		27,628		(27,628	)		—
Total	$	1,656	$	—	$	46,866	$	48,522	$	—	$	—	$	—	$	—	$	48,522	$	(27,628	)	$	20,894

(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.

360

	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)
Bank of Ameirca	$	—	$	—	$	13	$	13	$	—	$	—	$	—	$	—	$	13	$	—		$	13
BNP Paribas SA		—		—		24,296		24,296		—		—		—		—		24,296		—			24,296
Goldman Sachs International		3,818		—		—		3,818		—		—		—		—		3,818		—			3,818
HSBC Bank USA		708		—		—		708		—		—		—		—		708		—			708
NatWest Markets PLC		—		—		35,041		35,041		—		—		—		—		35,041		(35,041	)		—
Standard Chartered Bank		53		—		—		53		—		—		—		—		53		—			53
Total	$	4,579	$	—	$	59,350	$	63,929	$	—	$	—	$	—	$	—	$	63,929	$	(35,041	)	$	28,888

(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)
Bank of America, N.A.	$	—	$	—	$	14	$	14	$	—	$	—	$	—	$	—	$	14	$	—	$	14
BNP Paribas SA		—		—		13,004		13,004		—		—		—		—		13,004		—		13,004
Goldman Sachs International		4,271		—		—		4,271		—		—		—		—		4,271		—		4,271
HSBC Bank USA		1,706		—		—		1,706		—		—		—		—		1,706		—		1,706
NatWest Markets PLC		—		—		19,067		19,067		—		—		—		—		19,067		—		19,067
Standard Chartered Bank		159		—		—		159		—		—		—		—		159		—		159
Total	$	6,136	$	—	$	32,085	$	38,221	$	—	$	—	$	—	$	—	$	38,221	$	—	$	38,221

(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.

361

	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)
Bank of America, N.A.	$	—	$	—	$	14	$	14	$	—	$	—	$	—	$	—	$	14	$	—	$	14
BNP Paribas SA		—		—		5,170		5,170		—		—		—		—		5,170		—		5,170
Goldman Sachs International		4,165		—		—		4,165		—		—		—		—		4,165		—		4,165
HSBC Bank USA		876		—		—		876		—		—		—		—		876		—		876
NatWest Markets PLC		—		—		7,675		7,675		—		—		—		—		7,675		—		7,675
Standard Chartered Bank		53		—		—		53		—		—		—		—		53		—		53
Total	$	5,094	$	—	$	12,859	$	17,953	$	—	$	—	$	—	$	—	$	17,953	$	—	$	17,953

(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)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	0	$	—	$	—	$	0	$	(0	)	$	—	$	(0	)
Citibank N.A.		1,974		65,089		—		67,063		2,739		107,117		—		109,856		(42,793	)		—		(42,793	)
Goldman Sachs International		—		—		—		—		31		41,302		—		41,333		(41,333	)		—		(41,333	)
HSBC Bank USA		—		—		—		—		35,039		—		—		35,039		(35,039	)		—		(35,039	)
JPMorgan Chase Bank		4,350		—		—		4,350		29,467		—		—		29,467		(25,117	)		—		(25,117	)
NatWest Markets PLC		5,895		—		—		5,895		—		—		—		—		5,895			—		5,895
State Street Bank and Trust Co.		53		—		—		53		13,126		—		—		13,126		(13,073	)		—		(13,073	)
UBS AG		514		—		—		514		18,629		—		—		18,629		(18,115	)		—		(18,115	)
Westpac Banking Corp.		387		—		—		387		98		—		—		98		289			—		289
Total	$	13,173	$	65,089	$	—	$	78,262	$	99,129	$	148,419	$	—	$	247,548	$	(169,286	)	$	—	$	(169,286	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

362

	SA Multi-Managed 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)
BNP Paribas SA	$	—	$	—	$	119,905	$	119,905	$	—	$	—	$	—	$	—	$	119,905	$	(119,905	)	$	—
NatWest Markets PLC		—		—		178,774		178,774		—		—		—		—		178,774		(178,774	)		—
Total	$	—	$	—	$	298,679	$	298,679	$	—	$	—	$	—	$	—	$	298,679	$	(298,679	)	$	—

(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  Forward  Net	Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Foreign Currency Contracts		OTC Swaps		Options Written		Total		Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	7,910	$	—	$	—	$	7,910	$	—	$	—	$	—	$	—	$	7,910		$	—	$	7,910
Credit Suisse AG		—		—		—		—		12,286		—		—		12,286		(12,286	)		—		(12,286	)
JPMorgan Chase Bank		2,137		—		—		2,137		32,588		—		—		32,588		(30,451	)		—		(30,451	)
Morgan Stanley & Co., Inc.		7,796		—		—		7,796		453		—		—		453		7,343			—		7,343
Total	$	17,843	$	—	$	—	$	17,843	$	45,327	$	—	$	—	$	45,327	$	(27,484	)	$	—	$	(27,484	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

	SA Multi-Managed Diversified Fixed Income Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	—	$	—	$	186	$	186	$	—	$	—	$	—	$	—	$	186		$	—	$	186
Goldman Sachs International		—		9,851		—		9,851		—		38,297		—		38,297		(28,446	)		—		(28,446	)
HSBC Bank USA		22,748		—		—		22,748		—		—		—		—		22,748			—		22,748
JPMorgan Chase Bank		3,296		—		—		3,296		—		—		—		—		3,296			—		3,296
Morgan Stanley & Co., Inc.		—		—		—		—		2,912		—		—		2,912		(2,912	)		—		(2,912	)
Standard Chartered Bank		1,605		—		—		1,605		—		—		—		—		1,605			—		1,605
Total	$	27,649	$	9,851	$	186	$	37,686	$	2,912	$	38,297	$	—	$	41,209	$	(3,523	)	$	—	$	(3,523	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

363

	SA Wellington Real Return Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	582,779	$	—	$	—	$	582,779	$	(582,779	)	$	—	$	(582,779	)
BNP Paribas SA		—		—		—		—		98		—		—		98		(98	)		—		(98	)
Goldman Sachs International		14,177		—		—		14,177		—		—		—		—		14,177			—		14,177
Morgan Stanley & Co., Inc.		71,719		—		—		71,719		941,374		—		—		941,374		(869,655	)		—		(869,655	)
State Street Bank and Trust Co.		757		—		—		757		—		—		—		—		757			—		757
Total	$	86,653	$	—	$	—	$	86,653	$	1,524,251	$	—	$	—	$	1,524,251	$	(1,437,598	)	$	—	$	(1,437,598	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

Inflation-Indexed Bonds: Certain Portfolios may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statement of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statement of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.

In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust's custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.

364

As of September 30, 2020, the following Portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.27	%	$	195,000
SA Multi-Managed Moderate Growth		1.47			1,055,000
SA Multi-Managed Income/Equity		1.42			1,025,000
SA Multi-Managed Income		1.13			810,000
SA Multi-Managed Large Cap Value		0.76			550,000
SA Multi-Managed Mid Cap Growth		0.50			360,000
SA Multi-Managed Diversified Fixed Income		13.19			9,500,000
SA Wellington Real Return Portfolio		2.49			1,790,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Bank of America Securities LLC, dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $72,000,000, a repurchase price of $72,000,100, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.63	%	05/15/2026	$	68,080,000	$	73,462,922

As of September 30, 2020, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.25	%	$	160,000
SA Multi-Managed Moderate Growth		1.45			940,000
SA Multi-Managed Income/Equity		1.41			915,000
SA Multi-Managed Income		1.10			715,000
SA Multi-Managed Large Cap Value		0.75			490,000
SA Multi-Managed Mid Cap Growth		0.48			315,000
SA Multi-Managed Diversified Fixed Income		13.18			8,565,000
SA Wellington Real Return Portfolio		2.47			1,605,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated September 30, 2020, bearing interest at a rate of 0.06% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,108, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Bonds		3.00	%	11/15/2044	$	48,840,000	$	66,451,183

365

As of September 30, 2020, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.25	%	$	160,000
SA Multi-Managed Moderate Growth		1.45			940,000
SA Multi-Managed Income/Equity		1.41			915,000
SA Multi-Managed Income		1.10			715,000
SA Multi-Managed Large Cap Value		0.75			490,000
SA Multi-Managed Mid Cap Growth		0.48			315,000
SA Multi-Managed Diversified Fixed Income		13.18			8,565,000
SA Wellington Real Return Portfolio		2.47			1,605,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,090, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Bonds		2.38	%	11/15/2049	$	53,840,900	$	67,052,221

As of September 30, 2020, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.25	%	$	180,000
SA Multi-Managed Moderate Growth		1.44			1,040,000
SA Multi-Managed Income/Equity		1.40			1,010,000
SA Multi-Managed Income		1.10			795,000
SA Multi-Managed Large Cap Value		0.75			540,000
SA Multi-Managed Mid Cap Growth		0.49			350,000
SA Multi-Managed Diversified Fixed Income		13.17			9,485,000
SA Wellington Real Return Portfolio		2.47			1,775,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $72,000,000, a repurchase price of $72,000,100, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.13	%	09/30/2024	$	68,278,000	$	73,544,193

As of September 30, 2020, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:

Portfolio	Percentage Ownership			Principal Amount
SA Multi-Managed Growth		0.25	%	$	170,000
SA Multi-Managed Moderate Growth		1.45			995,000
SA Multi-Managed Income/Equity		1.41			965,000
SA Multi-Managed Income		1.11			760,000
SA Multi-Managed Large Cap Value		0.75			515,000
SA Multi-Managed Mid Cap Growth		0.49			335,000
SA Multi-Managed Diversified Fixed Income		13.17			9,045,000
SA Wellington Real Return Portfolio		2.47			1,695,000

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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $68,670,000 a repurchase price of $68,670,095, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.88	%	09/30/2023	$	64,810,000	$	70,101,184

Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities ("SMBS") are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the "principal only" class) from the mortgage pool, while the other class will receive all or most of the interest (the "interest only" class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio's yield.

Mortgage-Backed Dollar Rolls: Certain Portfolios may enter into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio's obligation to repurchase the securities. Mortgage-Backed Dollar Rolls outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when- issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Securities purchased or sold on a when-issued or forward commitment basis outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios' books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates.

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Loans: Certain Portfolios may invest in senior loans which generally consist of direct debt obligations of companies (collectively, "Borrowers"), primarily U.S. companies and their affiliates, undertaken to finance the growth of the Borrower's business internally and externally, or to finance a capital restructuring. Transactions in senior loans may settle on a delayed basis. Unsettled loans at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.

Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and other countries' tax regulations require that taxes be paid on capital gains realized by a Portfolio.

Income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital shares activity of the respective class).

Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.

For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio in connection with its investment in the Underlying Portfolio.

Distributions received from Real Estate Investment Trust ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.

For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

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Each Portfolio recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Portfolios are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Portfolios file U.S. federal and certain state income tax returns. The Portfolios federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

LIBOR Risk: A Portfolio's investments, payment obligations and financing terms may be based on floating rates, such as London Interbank Offer Rate ("LIBOR"), Euro Interbank Offered Rate and other similar types of reference rates (each, a "Reference Rate"). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority ("FCA"), which regulates LIBOR, announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. This announcement and any additional regulatory or market changes may have an adverse impact on a Portfolio or its investments.

In advance of 2021, regulators and market participants are expected to work together to identify or develop successor Reference Rates. Additionally, prior to 2021, it is expected that market participants will focus on the transition mechanisms by which the Reference Rates in existing contracts or instruments may be amended, whether through market wide protocols, fallback contractual provisions, bespoke negotiations or amendments or otherwise. Nonetheless, the termination of certain Reference Rates presents risks to a Portfolio. At this time, it is not possible to completely identify or predict the effect of any such changes, any establishment of alternative Reference Rates or any other reforms to Reference Rates that may be enacted in the UK or elsewhere. The elimination of a Reference Rate or any other changes or reforms to the determination or supervision of Reference Rates could have an adverse impact on the market for or value of any securities or payments linked to those Reference Rates and other financial obligations held by a Portfolio or on its overall financial condition or results of operations. In addition, any substitute Reference Rate and any pricing adjustments imposed by a regulator or by counterparties or otherwise may adversely affect a Portfolio's performance and/or NAV.

New Accounting Pronouncements: In August 2018, the FASB issued Accounting Standards Update ("ASU") No. 2018–13 "Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement". The ASU eliminates, modifies, and adds disclosure requirements for fair value measurements and is for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Adoption of the ASU had no material impact on the Portfolios.

Note 3.  Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:

Portfolio	Assets	Management Fees
SA Multi-Managed Growth(1)	0-$250 million		0.89	%
	>$250 million		0.84	%
	>$500 million		0.79	%
SA Multi-Managed Moderate Growth(2)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
SA Multi-Managed Income/Equity(3)	0-$250 million		0.81	%
	>$250 million		0.76	%
	>$500 million		0.71	%
SA Multi-Managed Income(4)	0-$250 million		0.77	%
	>$250 million		0.72	%
	>$500 million		0.67	%
SA Putnam Asset Allocation Diversified Growth(5)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%

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Portfolio	Assets	Management Fees
SA T. Rowe Price Growth Stock	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
SA Multi-Managed Large Cap Growth(6), SA Multi-Managed Large Cap Value	0-$250 million		0.80	%
	>$250 million		0.75	%
	>$500 million		0.70	%
SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value,	0-$250 million		0.85	%
SA Multi-Managed Small Cap	>$250 million		0.80	%
	>$500 million		0.75	%
SA Multi-Managed International Equity(7)	0-$250 million		0.95	%
	>$250 million		0.90	%
	>$500 million		0.85	%
SA Multi-Managed Diversified Fixed Income	0-$200 million		0.70	%
	>$200 million		0.65	%
	>$400 million		0.60	%
SA Wellington Real Return(8)	0-$500 million		0.60	%
	>$500 million		0.55	%
SA Columbia Focused Value(9)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
SA Allocation Growth(10), SA Allocation Moderate Growth(10),
SA Allocation Moderate(10), SA Allocation Balanced(10)	>0		0.10	%

(1)  The Advisor has agreed to waive its advisor fee for the SA Multi-Managed Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.82% on the first $250 million, 0.77% on the next $250 million and 0.72% above $500 million. For the six months ended September 30, 2020, the amount of advisor fees waived was $16,888.

(2)  The Advisor has agreed to waive its advisor fee for the SA Multi-Managed Moderate Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.80% on the first $250 million, 0.75% on the next $250 million and 0.70% above $500 million. For the six months ended September 30, 2020, the amount of advisor fees waived was $20,059.

(3)  The Advisor has agreed to waive its advisor fee for the SA Multi-Managed Income/Equity Portfolio so that the advisory fee payable on average daily net assets equals 0.77% on the first $250 million, 0.72% on the next $250 million and 0.67% above $500 million. For the six months ended September 30, 2020, the amount of advisor fees waived was $10,799.

(4)  The Advisor has agreed to waive its advisor fee for the SA Multi-Managed Income Portfolio so that the advisory fee payable on average daily net assets equals 0.74% on the first $250 million, 0.69% on the next $250 million and 0.64% above $500 million. For the six months ended September 30, 2020, the amount of advisor fees waived was $6,218.

(5)  The Advisor has agreed, until further notice, to waive its advisory fees for the SA Putnam Asset Allocation Diversified Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.70% on the first $250 million, 0.65% on the next $250 million, and 0.60% above $500 million. For the six months ended September 30, 2020, the amount of advisor fees waived was $133,743.

(6)  The Advisor has agreed to waive its advisor fee for the SA Multi-Managed Large Cap Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.73% on the first $250 million, 0.67% on the next $250 million and 0.58% above $500 million. For the six months ended September 30, 2020, the amount of advisor fees waived was $196,665.

(7)  The Adviser contractually agreed to waive its advisory fees for the SA Multi-Managed International Equity Portfolio so that the advisory fee on average daily net assets equals 0.91% on the first $250 million, 0.86% on the next $250 million, and 0.81% above $500 million. For the six months ended September 30, 2020, the amount of advisory fees waived was $68,450.

(8)  The Adviser voluntarily agreed to waive 0.05% of advisory fees for the SA Wellington Real Return Portfolio. For the six months ended September 30, 2020, the amount of advisory fees waived was $151,109.

(9)  The Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Value Portfolio so that the advisory fee payable to SAAMCo equals 0.67% of average daily net assets. For the six months ended September 30, 2020, the amount of advisory fees waived was $418,928.

(10)  The Adviser contractually agreed to waive its advisory fee for the SA Allocation Growth, SA Allocation Moderate Growth, SA Allocation Moderate and SA Allocation Balanced Portfolios so that the advisory fee payable to SAAMCo equals 0.09% of average daily net assets. For the six months ended September 30, 2020, the amount of advisory fees waived was $11,333, $22,777, $14,326 and $11,345, respectively.

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The Agreement authorizes SAAMCo to retain one or more subadvisers to make the investment decisions for the Portfolios, and to place the purchase and sale orders for portfolio transactions. The organizations described below act as Subadvisers (with the exception of SAAMCo, which acts as Adviser) to the Trust and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Each of the Subadvisers is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trust and the oversight and supervision of SAAMCo, which pays the Subadvisers' fees. All subadvisory fees are payable by the Adviser to the respective Subadviser and do not increase Portfolio expenses. Portfolio management is allocated among the following Managers:

Portfolio	Subadviser/Adviser
SA Multi-Managed Growth	Morgan Stanley J.P. Morgan WMC
SA Multi-Managed Moderate Growth	Morgan Stanley J.P. Morgan WMC
SA Multi-Managed Income/Equity	Morgan Stanley WMC
SA Multi-Managed Income	Morgan Stanley WMC
SA Putnam Asset Allocation Diversified Growth	Putnam Investment Management, LLC
SA T. Rowe Price Growth Stock	T. Rowe Price Associates, Inc. ("T. Rowe Price")
SA Multi-Managed Large Cap Growth	Goldman Sachs Asset Management, L.P. Morgan Stanley SAAMCo
SA Multi-Managed Large Cap Value	SAAMCo American Century Investment Management, Inc. WMC
SA Multi-Managed Mid Cap Growth	SAAMCo T. Rowe Price WMC
SA Multi-Managed Mid Cap Value	T. Rowe Price Massachusetts Financial Services Company SAAMCo
SA Multi-Managed Small Cap	Schroder Investment Management J.P. Morgan SAAMCo
SA Multi-Managed International Equity	Schroder Investment Management T. Rowe Price SAAMCo
SA Multi-Managed Diversified Fixed Income	PineBridge WMC
SA Wellington Real Return	WMC
SA Columbia Focused Value	Columbia
SA Allocation Growth	SAAMCo
SA Allocation Moderate Growth	SAAMCo
SA Allocation Moderate	SAAMCo
SA Allocation Balanced	SAAMCo

The Trust has entered into a Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a wholly-owned subsidiary of VALIC, which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their "institutional" shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust and certain other mutual funds advised by SAAMCo pay VRSCO on an annual basis, a fee in the aggregate amount of $150,000 for Transfer Agency Serivces provided, pursuant to the agreement, which is allocated based on shareholder accounts. For the six months ended September 30, 2020, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.

Class 2 and Class 3 shares of each Portfolio are subject to Rule 12b-1 plans that provide for service fees payable at the annual rate of 0.15% and 0.25%, respectively, of the average daily net assets of Class 2 and Class 3 shares. The service fees are used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of

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reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. For the six months ended September 30, 2020, service fees were paid (see Statement of Operations) based on the aforementioned rates.

Note 4.  Federal Income Taxes: The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, investments in partnerships, straddle loss deferrals, inflation securities, treatment of defaulted securities and derivative transactions.

	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2020
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-Term Capital Gains
SA Multi-Managed Growth	$	887,684	$	6,038,834		$	(1,975,191	)	$	219,400	$	4,534,391
SA Multi-Managed Moderate Growth		1,919,677		7,544,374			(2,013,665	)		859,572		6,076,018
SA Multi-Managed Income/Equity		2,223,705		3,925,498			(251,956	)		1,016,806		2,336,223
SA Multi-Managed Income		1,830,327		1,777,905			342,461			1,041,462		903,149
SA Putnam Asset Allocation Diversified Growth		2,316,441		(598,357	)		(8,724,214	)		2,047,258		5,845,257
SA T. Rowe Price Growth Stock		99,818		43,346,315			55,649,018			—		33,850,374
SA Multi-Managed Large Cap Growth		6,553,237		60,868,671			43,504,250			2,151,774		59,263,573
SA Multi-Managed Large Cap Value		29,782,745		23,924,699			(93,607,586	)		21,597,978		36,375,276
SA Multi-Managed Mid Cap Growth		1,601,164		26,185,163			10,401,138			282,502		22,505,613
SA Multi-Managed Mid Cap Value		2,524,022		7,953,193			(44,426,820	)		4,440,112		10,516,976
SA Multi-Managed Small Cap		523,853		29,447,354			(43,353,395	)		537,990		18,804,447
SA Multi-Managed International Equity		6,177,960		5,616,955			(38,536,379	)		14,777,222		26,298,897
SA Multi-Managed Diversified Fixed Income		41,647,846		1,137,027			26,439,614			29,093,538		—
SA Wellington Real Return		21,414,633		—			(24,041,997	)		2,372,446		—
SA Columbia Focused Value.		4,824,787		18,805,786			(13,321,562	)		1,384,415		4,350,560
SA Allocation Growth		2,367,103		11,177,038			(33,473,146	)		20,885		6,005,057
SA Allocation Moderate Growth		173,002		19,697,228			(46,784,551	)		6,509,526		16,767,909
SA Allocation Moderate		84,004		11,743,275			(26,063,201	)		4,319,449		9,146,016
SA Allocation Balanced		63,820		6,543,224			(14,263,599	)		3,496,321		4,408,464

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

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	Tax Distributions
	For the year ended March 31, 2019
Portfolio	Ordinary Income		Long-Term Capital Gains
SA Multi-Managed Growth	$	684,520	$	4,230,919
SA Multi-Managed Moderate Growth		1,309,889		5,277,041
SA Multi-Managed Income/Equity		1,096,652		2,528,786
SA Multi-Managed Income		1,069,552		1,173,445
SA Putnam Asset Allocation Diversified Growth		4,314,411		4,347,882
SA T. Rowe Price Growth Stock		4,586,404		91,202,977
SA Multi-Managed Large Cap Growth		6,483,392		71,162,597
SA Multi-Managed Large Cap Value		28,590,066		74,545,561
SA Multi-Managed Mid Cap Growth		6,085,192		17,875,668
SA Multi-Managed Mid Cap Value		6,810,993		11,578,361
SA Multi-Managed Small Cap		2,650,034		17,861,305
SA Multi-Managed International Equity		12,595,044		—
SA Multi-Managed Diversified Fixed Income		28,570,835		1,076,122
SA Wellington Real Return		26,070,962		—
SA Columbia Focused Value.		12,784,517		28,776,694
SA Allocation Growth		5,690,119		9,958,843
SA Allocation Moderate Growth		22,476,266		52,126,746
SA Allocation Moderate		14,187,854		28,636,679
SA Allocation Balanced		10,608,543		18,193,269

As of March 31, 2020, for Federal income tax purposes, the Portfolios indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:

	Unlimited
Portfolio	ST		LT
SA Multi-Managed Growth	$	—	$	—
SA Multi-Managed Moderate Growth		—		—
SA Multi-Managed Income/Equity		—		—
SA Multi-Managed Income		—		—
SA Putnam Asset Allocation Diversified Growth		598,357		—
SA T. Rowe Price Growth Stock		—		—
SA Multi-Managed Large Cap Growth		—		—
SA Multi-Managed Large Cap Value		—		—
SA Multi-Managed Mid Cap Growth		—		—
SA Multi-Managed Mid Cap Value		—		—
SA Multi-Managed Small Cap		—		—
SA Multi-Managed International Equity		—		—
SA Multi-Managed Diversified Fixed Income		—		—
SA Wellington Real Return		—		—
SA Columbia Focused Value		—		—
SA Allocation Growth		—		—
SA Allocation Moderate Growth		—		—
SA Allocation Moderate		—		—
SA Allocation Balanced		—		—

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Under the current law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring the first day of the following year. For the fiscal year ended March 31, 2020, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:

Portfolio	Deferred Late Year Ordinary Losses		Deferred Post-October Short-Term Capital Loss		Deferred Post-October Long-Term Capital Loss
SA Multi-Managed Growth	$	—	$	—	$	—
SA Multi-Managed Moderate Growth		—		—		—
SA Multi-Managed Income/Equity		—		—		—
SA Multi-Managed Income		—		—		—
SA Putnam Asset Allocation Diversified Growth		—		—		—
SA T. Rowe Price Growth Stock				—		—
SA Multi-Managed Large Cap Growth		—		—		—
SA Multi-Managed Large Cap Value		—		—		—
SA Multi-Managed Mid Cap Growth		—		—		—
SA Multi-Managed Mid Cap Value		—		—		—
SA Multi-Managed Small Cap		—		—		—
SA Multi-Managed International Equity		—		—		—
SA Multi-Managed Diversified Fixed Income		—		—		—
SA Wellington Real Return		—		—		—
SA Columbia Focused Value		—		—		—
SA Allocation Growth		—		—		—
SA Allocation Moderate Growth		419,843		—		—
SA Allocation Moderate		272,570		—		—
SA Allocation Balanced		214,073		—		—

The amounts of aggregate unrealized gain (loss) and the cost of investment securities for Federal tax purposes, including short-term securities and repurchase agreements, were as follows:

Portfolio	Aggregate Unrealized Gain		Aggregate Unrealized Loss			Net Unrealized Gain/(Loss)		Cost of Investments
SA Multi-Managed Growth	$	11,713,017	$	(1,051,111	)	$	10,661,906	$	44,488,555
SA Multi-Managed Moderate Growth		16,713,820		(1,836,031	)		14,877,789		81,892,861
SA Multi-Managed Income/Equity		8,175,058		(355,100	)		7,819,958		61,380,847
SA Multi-Managed Income		4,773,541		(577,631	)		4,195,910		50,715,193
SA Putnam Asset Allocation Diversified Growth		33,518,152		(7,843,619	)		25,674,533		170,018,322
SA T. Rowe Price Growth Stock		166,662,006		(2,203,526	)		164,458,480		274,168,433
SA Multi-Managed Large Cap Growth		197,533,775		(4,856,732	)		192,677,043		332,883,938
SA Multi-Managed Large Cap Value		76,565,859		(63,434,155	)		13,131,704		674,574,742
SA Multi-Managed Mid Cap Growth		71,976,008		(7,804,256	)		64,171,752		168,367,228
SA Multi-Managed Mid Cap Value		26,717,498		(25,965,282	)		752,216		203,055,491
SA Multi-Managed Small Cap		32,535,209		(32,148,159	)		387,050		195,112,374
SA Multi-Managed International Equity		68,289,427		(38,686,609	)		29,602,818		329,179,211
SA Multi-Managed Diversified Fixed Income		62,634,683		(6,310,977	)		56,323,706		1,043,779,269
SA Wellington Real Return		31,823,717		(13,104,880	)		18,718,837		625,463,825
SA Columbia Focused Value		62,270,044		(27,007,700	)		35,262,344		240,385,669
SA Allocation Growth		20,498,791		(7,417,637	)		13,081,154		230,272,598
SA Allocation Moderate Growth		45,642,288		(11,909,968	)		33,732,320		442,631,827
SA Allocation Moderate		26,331,325		(7,385,401	)		18,945,924		275,902,726
SA Allocation Balanced		19,112,225		(4,331,782	)		14,780,443		220,979,615

374

Note 5.  Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the six months ended September 30, 2020, 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, 2020 were as follows:

Portfolio	Purchases of portfolio securities (excluding U.S. government securities)		Sales of portfolio securities (excluding U.S. government securities)		Purchases of U.S. government securities		Sales of U.S. government securities
SA Multi-Managed Growth	$	15,294,842	$	23,043,789	$	2,516,416	$	256,002
SA Multi-Managed Moderate Growth		24,000,742		35,496,444		3,850,093		1,058,973
SA Multi-Managed Income/ Equity		15,102,949		21,623,803		3,128,888		1,645,081
SA Multi-Managed Income		10,284,137		13,912,973		2,088,022		1,118,964
SA Putnam Asset Allocation Diversified Growth		54,228,548		49,291,490		12,827,292		16,372,596
SA T. Rowe Price Growth Stock		78,654,341		149,010,349		—		—
SA Multi-Managed Large Cap Growth		105,426,581		215,364,852		—		—
SA Multi-Managed Large Cap Value		141,471,095		140,010,372		—		—
SA Multi-Managed Mid Cap Growth		82,820,019		119,230,649		—		—
SA Multi-Managed Mid Cap Value		33,286,072		40,585,254		—		—
SA Multi-Managed Small Cap		35,141,375		42,171,297		—		—
SA Multi-Managed International Equity		41,857,126		42,892,081		—		—
SA Multi-Managed Diversified Fixed Income		172,169,930		208,785,714		74,757,574		74,579,611
SA Wellington Real Return		24,857,704		48,654,797		159,225,714		206,282,318
SA Columbia Focused Value Portfolio		62,568,897		38,872,437		—		—
SA Allocation Growth		41,818,805		38,861,091		—		—
SA Allocation Moderate Growth		53,557,693		64,952,194		—		—
SA Allocation Moderate		37,751,819		47,128,242		—		—
SA Allocation Balanced		42,840,729		44,102,297		—		—

Note 7.  Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:

	SA Multi-Managed Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,607		$	51,492			16,942		$	274,077			2,144		$	36,900			31,916		$	498,171
Reinvested dividends		—			—			60,597			941,075			—			—			110,534			1,716,598
Shares redeemed		(39,650	)		(736,251	)		(90,537	)		(1,433,931	)		(79,547	)		(1,435,313	)		(237,883	)		(3,815,903	)
Net increase (decrease)		(37,043	)	$	(684,759	)		(12,998	)	$	(218,779	)		(77,403	)	$	(1,398,413	)		(95,433	)	$	(1,601,134	)

375

	SA Multi-Managed Growth Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		9,196		$	146,779			50,371		$	810,057
Reinvested dividends		—			—			135,233			2,096,118
Shares redeemed		(149,628	)		(2,669,316	)		(271,314	)		(4,342,187	)
Net increase (decrease)		(140,432	)	$	(2,522,537	)		(85,710	)	$	(1,436,012	)
	SA Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		3,737		$	55,948			18,361		$	230,152			—		$	—			89,919		$	1,101,669
Reinvested dividends		—			—			65,919			800,262			—			—			283,329			3,436,786
Shares redeemed		(38,849	)		(533,342	)		(139,621	)		(1,720,433	)		(202,522	)		(2,790,937	)		(470,433	)		(5,655,124	)
Net increase (decrease)		(35,112	)	$	(477,394	)		(55,341	)	$	(690,019	)		(202,522	)	$	(2,790,937	)		(97,185	)	$	(1,116,669	)
	SA Multi-Managed Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		28,874		$	371,564			126,151		$	1,593,406
Reinvested dividends		—			—			222,652			2,698,542
Shares redeemed		(153,853	)		(2,140,182	)		(622,187	)		(7,648,420	)
Net increase (decrease)		(124,979	)	$	(1,768,618	)		(273,384	)	$	(3,356,472	)
	SA Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		17,220		$	219,196			35,049		$	392,104			133,004		$	1,641,931			179,749		$	2,006,944
Reinvested dividends		—			—			44,715			493,642			—			—			163,360			1,801,863
Shares redeemed		(70,206	)		(890,291	)		(187,302	)		(2,079,716	)		(203,857	)		(2,512,476	)		(725,524	)		(8,058,968	)
Net increase (decrease)		(52,986	)	$	(671,095	)		(107,538	)	$	(1,193,970	)		(70,853	)	$	(870,545	)		(382,415	)	$	(4,250,161	)

376

	SA Multi-Managed Income/Equity Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		53,311		$	664,660			130,931		$	1,467,074
Reinvested dividends		—			—			95,790			1,057,524
Shares redeemed		(139,678	)		(1,738,488	)		(344,021	)		(3,763,826	)
Net increase (decrease)		(86,367	)	$	(1,073,828	)		(117,300	)	$	(1,239,228	)
	SA Multi-Managed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		20,531		$	254,336			27,125		$	303,426			107,908		$	1,332,051			99,547		$	1,114,529
Reinvested dividends		—			—			20,815			231,673			—			—			96,096			1,068,592
Shares redeemed		(40,136	)		(490,446	)		(122,934	)		(1,378,865	)		(127,590	)		(1,557,141	)		(517,356	)		(5,753,667	)
Net increase (decrease)		(19,605	)	$	(236,110	)		(74,994	)	$	(843,766	)		(19,682	)	$	(225,090	)		(321,713	)	$	(3,570,546	)
	SA Multi-Managed Income Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		84,940		$	1,042,796			131,976		$	1,503,803
Reinvested dividends		—			—			57,893			644,346
Shares redeemed		(119,548	)		(1,474,231	)		(461,894	)		(5,087,657	)
Net increase (decrease)		(34,608	)	$	(431,435	)		(272,025	)	$	(2,939,508	)
	SA Putnam Asset Allocation Diversified Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		97,290		$	1,147,622			120,619		$	1,219,584			298,508		$	3,496,181			482,921		$	4,853,916
Reinvested dividends		—			—			57,587			680,663			—			—			189,303			2,239,459
Shares redeemed		(86,324	)		(1,009,551	)		(211,975	)		(2,523,662	)		(273,513	)		(3,135,729	)		(727,331	)		(8,596,659	)
Net increase (decrease)		10,966		$	138,071			(33,769	)	$	(623,415	)		24,995		$	360,452			(55,107	)	$	(1,503,284	)

377

	SA Putnam Asset Allocation Diversified Growth Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		629,974		$	7,175,613			1,794,220		$	20,214,599
Reinvested dividends		—			—			421,747			4,972,393
Shares redeemed		(568,984	)		(6,603,469	)		(1,033,130	)		(11,992,075	)
Net increase (decrease)		60,990		$	572,144			1,182,837		$	13,194,917
	SA T. Rowe Price Growth Stock Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		270,380		$	7,343,993			1,580,714		$	32,969,777			15,211		$	345,828			174,652		$	3,212,808
Reinvested dividends		—			—			1,220,325			27,469,508			—			—			160,832			3,467,546
Shares redeemed		(2,773,920	)		(72,705,992	)		(2,141,667	)		(49,594,751	)		(257,167	)		(6,219,477	)		(351,420	)		(7,814,882	)
Net increase (decrease)		(2,503,540	)	$	(65,361,999	)		659,372		$	10,844,534			(241,956	)	$	(5,873,649	)		(15,936	)	$	(1,134,528	)
	SA T. Rowe Price Growth Stock Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		17,488		$	388,028			148,670		$	2,773,194
Reinvested dividends		—			—			138,795			2,913,320
Shares redeemed		(216,528	)		(5,109,421	)		(334,942	)		(7,196,707	)
Net increase (decrease)		(199,040	)	$	(4,721,393	)		(47,477	)	$	(1,510,193	)
	SA Multi-Managed Large Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		145,454		$	2,423,431			1,166,543		$	14,876,582			28,160		$	384,296			34,964		$	491,323
Reinvested dividends		—			—			4,042,676			55,344,237			—			—			298,039			3,972,860
Shares redeemed		(6,692,309	)		(110,524,476	)		(4,553,493	)		(66,551,173	)		(127,417	)		(2,060,978	)		(443,345	)		(6,060,127	)
Net increase (decrease)		(6,546,855	)	$	(108,101,045	)		655,726		$	3,669,646			(99,257	)	$	(1,676,682	)		(110,342	)	$	(1,595,944	)

378

	SA Multi-Managed Large Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		35,337		$	590,945			7,057		$	101,984
Reinvested dividends		—			—			159,442			2,098,250
Shares redeemed		(99,527	)		(1,569,959	)		(276,815	)		(3,924,974	)
Net increase (decrease)		(64,190	)	$	(979,014	)		(110,316	)	$	(1,724,740	)
	SA Multi-Managed Large Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,352,319		$	31,309,954			3,881,586		$	44,933,781			43,542		$	587,269			23,556		$	332,800
Reinvested dividends		—			—			3,618,962			55,152,980			—			—			121,662			1,852,910
Shares redeemed		(2,506,979	)		(33,829,060	)		(7,241,389	)		(109,452,059	)		(75,847	)		(1,013,693	)		(270,710	)		(4,020,345	)
Net increase (decrease)		(154,660	)	$	(2,519,106	)		259,159		$	(9,365,298	)		(32,305	)	$	(426,424	)		(125,492	)	$	(1,834,635	)
	SA Multi-Managed Large Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		19,970		$	267,206			20,125		$	280,158
Reinvested dividends		—			—			63,517			967,364
Shares redeemed		(53,134	)		(718,709	)		(169,706	)		(2,612,735	)
Net increase (decrease)		(33,164	)	$	(451,503	)		(86,064	)	$	(1,365,213	)
	SA Multi-Managed Mid Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		21,426		$	453,534			311,955		$	4,933,898			13,683		$	234,467			11,738		$	193,687
Reinvested dividends		—			—			1,001,004			18,858,906			—			—			133,275			2,366,970
Shares redeemed		(1,645,933	)		(33,185,641	)		(1,254,001	)		(24,223,025	)		(74,332	)		(1,459,197	)		(198,062	)		(3,500,452	)
Net increase (decrease)		(1,624,507	)	$	(32,732,107	)		58,958		$	(430,221	)		(60,649	)	$	(1,224,730	)		(53,049	)	$	(939,795	)

379

	SA Multi-Managed Mid Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		1,940		$	38,640			11,804		$	213,508
Reinvested dividends		—			—			91,040			1,562,239
Shares redeemed		(63,359	)		(1,187,619	)		(172,271	)		(3,073,790	)
Net increase (decrease)		(61,419	)	$	(1,148,979	)		(69,427	)	$	(1,298,043	)
	SA Multi-Managed Mid Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		338,746		$	4,384,517			1,260,878		$	17,494,458			16,672		$	222,242			35,139		$	478,010
Reinvested dividends		—			—			812,363			12,680,991			—			—			90,415			1,407,763
Shares redeemed		(994,529	)		(13,003,598	)		(1,730,198	)		(26,618,191	)		(53,793	)		(726,152	)		(220,253	)		(3,336,791	)
Net increase (decrease)		(655,783	)	$	(8,619,081	)		343,043		$	3,557,258			(37,121	)	$	(503,910	)		(94,699	)	$	(1,451,018	)
	SA Multi-Managed Mid Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		7,480		$	103,916			32,774		$	414,172
Reinvested dividends		—			—			55,877			868,334
Shares redeemed		(62,946	)		(847,840	)		(137,058	)		(2,170,575	)
Net increase (decrease)		(55,466	)	$	(743,924	)		(48,407	)	$	(888,069	)
	SA Multi-Managed Small Cap Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		49,695		$	552,722			320,251		$	3,139,589			18,684		$	194,387			36,505		$	363,779
Reinvested dividends		—			—			1,352,064			17,252,340			—			—			101,437			1,256,806
Shares redeemed		(836,464	)		(9,104,300	)		(3,861,770	)		(50,775,900	)		(46,460	)		(487,229	)		(175,344	)		(2,162,481	)
Net increase (decrease)		(786,769	)	$	(8,551,578	)		(2,189,455	)	$	(30,383,971	)		(27,776	)	$	(292,842	)		(37,402	)	$	(541,896	)

380

	SA Multi-Managed Small Cap Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		14,071		$	148,748			38,327		$	356,698
Reinvested dividends		—			—			68,640			833,291
Shares redeemed		(52,362	)		(543,179	)		(153,976	)		(1,918,606	)
Net increase (decrease)		(38,291	)	$	(394,431	)		(47,009	)	$	(728,617	)
	SA Multi-Managed International Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,832,045		$	21,818,908			1,950,560		$	14,295,904			32,543		$	248,768			31,401		$	278,743
Reinvested dividends		—			—			4,407,562			37,640,580			—			—			231,954			1,987,847
Shares redeemed		(2,277,322	)		(18,240,564	)		(13,294,999	)		(117,157,952	)		(95,456	)		(762,467	)		(306,481	)		(2,558,306	)
Net increase (decrease)		554,723		$	3,578,344			(6,936,877	)	$	(65,221,468	)		(62,913	)	$	(513,699	)		(43,126	)	$	(291,716	)
	SA Multi-Managed International Equity Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		14,610		$	115,647			52,228		$	396,731
Reinvested dividends		—			—			169,519			1,447,692
Shares redeemed		(87,591	)		(684,112	)		(270,808	)		(2,388,548	)
Net increase (decrease)		(72,981	)	$	(568,465	)		(49,061	)	$	(544,125	)
	SA Multi-Managed Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,310,508		$	67,273,239			6,770,796		$	82,666,124			56,085		$	702,790			141,006		$	1,700,346
Reinvested dividends		—			—			2,365,085			28,191,817			—			—			47,501			566,207
Shares redeemed		(6,160,024	)		(76,884,883	)		(16,782,964	)		(201,382,252	)		(62,917	)		(788,330	)		(276,467	)		(3,317,192	)
Net increase (decrease)		(849,516	)	$	(9,611,644	)		(7,647,083	)	$	(90,524,311	)		(6,832	)	$	(85,540	)		(87,960	)	$	(1,050,639	)

381

	SA Multi-Managed Diversified Fixed Income Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		34,582		$	429,065			86,661		$	1,040,472
Reinvested dividends		—			—			28,266			335,514
Shares redeemed		(61,400	)		(767,216	)		(227,394	)		(2,719,579	)
Net increase (decrease)		(26,818	)	$	(338,151	)		(112,467	)	$	(1,343,593	)
	SA Wellington Real Return Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		82,207		$	873,710			819,569		$	8,049,747			3,262,425		$	32,944,549			2,611,258		$	25,317,408
Reinvested dividends		—			—			117,443			1,148,589			—			—			126,041			1,223,857
Shares redeemed		(3,525,106	)		(35,282,052	)		(9,738,439	)		(94,811,043	)		(1,388,754	)		(13,899,742	)		(8,839,111	)		(85,123,351	)
Net increase (decrease)		(3,442,899	)	$	(34,408,342	)		(8,801,427	)	$	(85,612,707	)		1,873,671		$	19,044,807			(6,101,812	)	$	(58,582,086	)
	SA Columbia Focused Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,696,816		$	28,293,059			552,423		$	7,981,167			19,350		$	310,199			19,621		$	309,359
Reinvested dividends		—			—			281,605			5,277,270			—			—			14,731			276,938
Shares redeemed		(788,641	)		(13,368,593	)		(3,013,767	)		(54,595,364	)		(41,945	)		(714,977	)		(129,218	)		(2,185,741	)
Net increase (decrease)		908,175		$	14,924,466			(2,179,739	)	$	(41,336,927	)		(22,595	)	$	(404,778	)		(94,866	)	$	(1,599,444	)
	SA Columbia Focused Value Portfolio
	Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount
Shares sold		5,543		$	91,955			15,743		$	239,556
Reinvested dividends		—			—			9,610			180,767
Shares redeemed		(28,746	)		(489,634	)		(77,336	)		(1,407,455	)
Net increase (decrease)		(23,203	)	$	(397,679	)		(51,983	)	$	(987,132	)

382

	SA Allocation Growth Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,195		$	61,331			126		$	1,484			1,051,447		$	14,737,926			4,649,896		$	62,961,962
Reinvested dividends		—			—			337			4,689			—			—			434,748			6,021,253
Shares redeemed		(2,298	)		(33,947	)		(324	)		(4,454	)		(814,934	)		(11,359,630	)		(1,016,333	)		(13,890,906	)
Net increase (decrease)		1,897		$	27,384			139		$	1,719			236,513		$	3,378,296			4,068,311		$	55,092,309
	SA Allocation Moderate Growth Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		42		$	442			17,505		$	180,309			1,262,454		$	13,341,903			2,280,260		$	23,696,971
Reinvested dividends		—			—			2,933			30,712			—			—			2,218,199			23,246,723
Shares redeemed		(231	)		(2,386	)		(36,597	)		(331,087	)		(2,306,850	)		(23,878,935	)		(5,983,582	)		(61,528,671	)
Net increase (decrease)		(189	)	$	(1,944	)		(16,159	)	$	(120,066	)		(1,044,396	)	$	(10,537,032	)		(1,485,123	)	$	(14,584,977	)
	SA Allocation Moderate Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—			773,454		$	8,167,276			1,615,973		$	16,990,903
Reinvested dividends		—			—			1,023			10,832			—			—			1,270,504			13,454,633
Shares redeemed		(75	)		(783	)		(12,296	)		(130,823	)		(1,599,715	)		(16,980,311	)		(4,476,914	)		(46,210,781	)
Net increase (decrease)		(75	)	$	(783	)		(11,273	)	$	(119,991	)		(826,261	)	$	(8,813,035	)		(1,590,437	)	$	(15,765,245	)
	SA Allocation Balanced Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020						For the six months ended September 30, 2020 (unaudited)						For the year ended March 31, 2020
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		8,666		$	91,683			3,429		$	33,803			1,178,079		$	11,986,078			2,292,151		$	22,738,269
Reinvested dividends		—			—			545			5,475			—			—			786,001			7,899,310
Shares redeemed		(96	)		(964	)		(10	)		(102	)		(1,274,191	)		(12,881,299	)		(3,065,508	)		(30,334,552	)
Net increase (decrease)		8,570		$	90,719			3,964		$	39,176			(96,112	)	$	(895,221	)		12,644		$	303,027

383

Note 8.  Transactions with Affiliates: The following Portfolio (s) incurred brokerage commissions with affiliated brokers for the six months ended September 30, 2020:

Portfolio	Goldman Sachs & Co.
SA Multi-Managed Large Cap Growth	$	1,600

As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust, SunAmerica Series Trust or Anchor Series Trust and securities issued by American International Group, Inc.("AIG") or an affiliate thereof. For the six months ended September 30, 2020, transactions in these securities were as follows:

SA Multi-Managed Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
American International Group, Inc.	$	11,659	$	—	$	442,369	$	—	$	2,181	$	(1,621	)	$	61,681	$	500,248

SA Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2020
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	6,493,651	$	4,075,067	$	2,154,294	$	140,666		$	(10,170	)	$	8,544,920
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1						11,435,291		762,884		4,784,985		250,312			282,905			7,946,407
SA Multi-Managed International Equity Portfolio, Class 1		—		—		12,376,362		1,640,464		1,121,145		(17,834	)		3,049,434			15,927,281
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		13,550,624		843,855		3,336,695		275,844			6,306,193			17,639,821
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		12,463,727		1,487,800		594,314		(178,823	)		2,587,735			15,766,125
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		2,383,790		95,285		1,071,781		(7,394	)		853,673			2,253,573
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		2,433,382		95,285		1,071,781		(479,600	)		959,382			1,936,668
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		2,165,501		120,438		390,861		(91,656	)		689,596			2,493,018
SA Wellington Real Return Portfolio, Class 1		—		—		3,526,465		79,417		2,785,242		93,598			32,755			946,993
SA T. Rowe Price Growth Stock Portfolio, Class 1		—		—		2,812,327		1,841,688		445,654		28,206			1,235,120			5,471,687
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1		—		—		8,226,318		522,835		1,144,420		274,969			2,784,127			10,663,829
SA AB Small & Mid Cap Value Portfolio, Class 1		—		—		—		1,165,257		99,279		13,649			207,189			1,286,816
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		578,711		11,165		506,588		1,409			(402	)		84,295

384

SA Allocation Growth Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
SA Emerging Market Equity Index, Class 1	$	—	$	—	$	2,485,543	$	156,570	$	218,119	$	(9,671	)	$	756,394	$	3,170,717
SA Federated Corporate Bond Portfolio, Class 1		—		—		2,358,846		7,000,036		2,053,465		198,333			548,861		8,052,611
SA Fidelity Institutional AM Real Estate Portfolio, Class 1		—		—		1,577,042		96,351		72,689		(11,127	)		263,071		1,852,648
SA Fidelity Institutional International Growth Portfolio, Class 1		—		—		5,516,311		2,590,363		685,933		86,545			2,032,986		9,540,272
SA Fixed Income Index Portfolio, Class 1		—		—		5,503,736		864,565		237,338		32,147			179,393		6,342,503
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		4,038,563		680,258		173,736		11,137			95,520		4,651,742
SA Franklin Small Company Value Portfolio, Class 1		—		—		1,117,504		74,221		106,070		(60,077	)		333,450		1,359,028
SA Franklin US Equity Small Beta Portfolio, Class 1		—		—		1,817,414		120,438		90,861		1,439			482,784		2,331,214
SA International Index Portfolio, Class 1		—		—		4,882,407		1,044,180		1,964,799		(132,973	)		1,155,668		4,984,483
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		1,100,212		72,263		229,516		(7,050	)		562,347		1,498,256
SA Janus Focused Growth Portfolio, Class 1		—		—		4,107,122		264,251		699,344		221,778			1,529,669		5,423,476
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		2,505,107		156,569		218,119		29,605			699,100		3,172,262
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		8,836,570		730,974		419,514		(46,182	)		1,919,881		11,021,729
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		7,820,819		997,494		2,666,990		128,547			297,608		6,577,478
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		2,456,946		169,146		302,659		69,405			1,058,645		3,451,483
SA Large Cap Growth Index Portfolio, Class 1		—		—		3,644,038		229,620		648,304		174,505			1,283,740		4,683,599
SA Large Cap Index Portfolio, Class 1		—		—		13,941,599		801,991		3,472,674		604,474			3,525,137		15,400,527
SA Large Cap Value Index Portfolio, Class 1		—		—		4,155,565		252,921		190,808		6,219			762,455		4,986,352
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		6,836,984		914,242		331,367		(77,082	)		1,391,906		8,734,683
SA MFS Blue Chip Growth, Class 1		—		—		4,653,763		289,051		793,066		62,890			1,708,908		5,921,546
SA Mid Cap Index Portfolio, Class 1		—		—		1,701,828		105,457		179,445		(8,015	)		509,232		2,129,057
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		7,795,935		1,550,500		921,251		(74,703	)		1,859,534		10,210,015

385

SA Allocation Growth Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
SA Oppenheimer Main Street Large Cap Portfolio, Class 1	$	—	$	—	$	6,907,510	$	433,576	$	602,099	$	(28,976	)	$	2,025,681	$	8,735,692
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		2,146,199		6,601,848		1,334,739		9,795			763,061		8,186,164
SA Putnam International Growth and Income Portfolio, Class 1		—		—		4,065,388		1,590,098		222,515		(65,203	)		729,523		6,097,291
SA Small Cap Index Portfolio, Class 1		—		—		2,047,943		120,438		415,861		(67,725	)		689,420		2,374,215
SA WellsCap Aggressive Growth Portfolio, Class 1		—		—		—		1,169,944		102,771		23,314			412,789		1,503,276
	$	—	$	—	$	192,467,043	$	41,818,805	$	38,861,091	$	1,374,695		$	46,554,300	$	243,353,752

†  Includes reinvestment of distributions paid.

SA Allocation Moderate Growth Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	23,040,988	$	9,022,530	$	1,054,520	$	67,927		$	578,849	$	31,655,774
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		39,644,232		4,241,469		4,275,175		280,455			2,060,454		41,951,435
SA Multi-Managed International Equity Portfolio, Class 1		—		—		19,600,852		1,073,777		1,586,231		(138,684	)		4,827,419		23,777,133
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		23,484,029		375,996		6,086,877		856,214			10,159,865		28,789,227
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		21,579,185		349,963		963,189		(209,865	)		4,301,101		25,057,195
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		4,094,245		47,659		1,628,355		142,964			1,363,179		4,019,692
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		3,904,722		41,765		1,617,126		(554,904	)		1,335,250		3,109,707
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		3,427,236		51,862		143,018		(33,478	)		998,135		4,300,737
SA Wellington Real Return Portfolio, Class 1		—		—		12,027,260		141,365		8,591,626		210,137			258,814		4,045,950
SA T. Rowe Price Growth Stock Portfolio, Class 1		—		—		5,131,076		2,441,056		1,010,771		54,019			2,168,631		8,784,011
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1		—		—		14,173,927		233,275		2,316,400		540,479			4,625,102		17,256,383

386

SA Allocation Moderate Growth Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2020
SA AB Small & Mid Cap Value Portfolio, Class 1	$	—	$	—	$	—	$	2,032,389	$	157,957	$	21,049		$	377,208		$	2,272,689
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		1,815,314		6,474		1,656,838		13,660			(10,430	)		168,180
SA Emerging Market Equity Index, Class 1		—		—		3,888,071		64,776		352,682		(16,724	)		1,169,120			4,752,561
SA Federated Corporate Bond Portfolio, Class 1		—		—		8,394,687		8,417,530		2,935,263		206,555			1,337,589			15,421,098
SA Fidelity Institutional AM Real Estate Portfolio, Class 1		—		—		2,969,780		45,378		375,140		(58,449	)		521,644			3,103,213
SA Fidelity Institutional International Growth Portfolio, Class 1		—		—		9,438,489		2,961,260		1,393,795		186,719			3,147,356			14,340,029
SA Fixed Income Index Portfolio, Class 1		—		—		17,884,776		2,608,960		773,078		98,890			589,076			20,408,624
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		13,403,157		1,982,600		575,340		55,735			296,382			15,162,534
SA Franklin Small Company Value Portfolio, Class 1		—		—		1,998,926		32,900		243,854		(132,717	)		614,949			2,270,204
SA Franklin US Equity Small Beta Portfolio, Class 1		—		—		3,317,095		55,103		151,957		373			870,929			4,091,543
SA International Index Portfolio, Class 1		—		—		7,972,588		879,100		3,091,605		(167,571	)		1,791,043			7,383,555
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		1,964,000		32,413		489,385		23,024			934,861			2,464,913
SA Janus Focused Growth Portfolio, Class 1		—		—		7,130,360		116,637		1,620,699		497,416			2,452,888			8,576,602
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		3,876,087		64,776		302,682		37,953			1,072,794			4,748,928
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		15,389,962		246,828		933,802		(113,395	)		3,325,353			17,914,946
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		27,910,224		2,877,154		1,682,130		63,972			1,817,585			30,986,805
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		4,121,025		74,885		531,787		122,381			1,746,045			5,532,549
SA Large Cap Growth Index Portfolio, Class 1		—		—		6,474,233		103,723		1,386,035		385,661			2,137,207			7,714,789
SA Large Cap Index Portfolio, Class 1		—		—		24,025,703		340,063		7,493,003		1,291,786			5,606,897			23,771,446
SA Large Cap Value Index Portfolio, Class 1		—		—		7,096,640		113,448		312,851		7,306			1,292,292			8,196,835
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		12,014,289		644,724		713,550		(171,694	)		2,439,645			14,213,414
SA MFS Blue Chip Growth, Class 1		—		—		8,077,560		129,654		1,582,544		253,140			2,762,550			9,640,360

387

SA Allocation Moderate Growth Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
SA Mid Cap Index Portfolio, Class 1	$	—	$	—	$	2,904,831	$	47,890	$	327,375	$	(27,521	)	$	872,860	$	3,470,685
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		12,665,515		713,623		833,409		(76,819	)		2,823,708		15,292,618
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		12,128,276		194,481		1,536,316		(23,577	)		3,498,724		14,261,588
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		6,918,611		6,137,937		2,614,774		8,758			1,387,108		11,837,640
SA Putnam International Growth and Income Portfolio, Class 1		—		—		6,234,264		2,528,019		335,080		(103,423	)		1,133,912		9,457,692
SA Small Cap Index Portfolio, Class 1		—		—		3,520,909		51,862		943,018		(76,111	)		1,137,301		3,690,943
SA WellsCap Aggressive Growth Portfolio, Class 1		—		—		—		2,032,389		332,957		77,012			693,476		2,469,920
	$	—	$	—	$	403,643,124	$	53,557,693	$	64,952,194	$	3,598,653		$	80,516,871	$	476,364,147

†  Includes reinvestment of distributions paid.

SA Allocation Moderate Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	18,394,606	$	8,042,075	$	1,218,051	$	80,057		$	491,992	$	25,790,679
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		32,168,909		4,861,636		2,570,659		194,449			1,834,549		36,488,884
SA Multi-Managed International Equity Portfolio, Class 1		—		—		9,017,023		785,632		995,243		(20,294	)		2,175,575		10,962,693
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		12,955,494		292,591		3,811,412		535,074			5,495,731		15,467,478
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		12,398,703		636,607		744,352		(183,470	)		2,548,650		14,656,138
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		2,325,998		28,217		1,506,008		12,306			681,961		1,542,474
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		2,061,730		26,863		1,125,856		(483,631	)		849,380		1,328,486
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		1,865,717		40,963		281,598		965			514,265		2,140,312
SA Wellington Real Return Portfolio, Class 1		—		—		9,755,531		118,940		6,354,773		138,328			259,805		3,917,831
SA T. Rowe Price Growth Stock Portfolio, Class 1		—		—		2,896,664		1,668,232		701,147		39,261			1,225,809		5,128,819

388

SA Allocation Moderate Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2020
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1	$	—	$	—	$	7,924,591	$	184,200	$	1,627,858	$	367,562		$	2,493,853		$	9,342,348
SA AB Small & Mid Cap Value Portfolio, Class 1		—		—		—		1,025,889		81,675		11,255			189,588			1,145,057
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		1,522,742		18,211		1,430,886		10,256			(7,520	)		112,803
SA Emerging Market Equity Index, Class 1		—		—		2,105,631		49,583		302,893		(18,595	)		638,963			2,472,689
SA Federated Corporate Bond Portfolio, Class 1		—		—		6,773,485		3,019,323		2,448,018		127,360			798,459			8,270,609
SA Fidelity Institutional AM Real Estate Portfolio, Class 1		—		—		1,605,408		35,111		241,369		(37,830	)		288,046			1,649,366
SA Fidelity Institutional International Growth Portfolio, Class 1		—		—		4,821,229		2,085,893		1,938,667		303,188			1,502,978			6,774,621
SA Fixed Income Index Portfolio, Class 1		—		—		14,299,213		2,057,115		841,218		109,022			449,716			16,073,848
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		10,890,441		1,420,057		626,190		61,279			224,877			11,970,464
SA Franklin Small Company Value Portfolio, Class 1		—		—		820,043		20,415		72,382		(39,592	)		240,934			969,418
SA Franklin US Equity Small Beta Portfolio, Class 1		—		—		1,902,543		43,889		224,212		10,780			491,205			2,224,205
SA International Index Portfolio, Class 1		—		—		2,947,000		260,089		330,907		(32,189	)		632,737			3,476,730
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		936,404		20,482		343,299		14,882			429,847			1,058,316
SA Janus Focused Growth Portfolio, Class 1		—		—		3,877,457		90,637		885,122		262,238			1,330,592			4,675,802
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		1,967,761		269,517		346,978		43,492			548,481			2,482,273
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		8,759,745		657,607		848,770		(63,660	)		1,930,061			10,434,983
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		22,193,848		3,996,586		1,363,074		67,177			1,539,169			26,433,706
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		2,248,358		58,319		349,534		81,036			941,222			2,979,401
SA Large Cap Growth Index Portfolio, Class 1		—		—		3,532,474		81,925		818,195		224,408			1,150,548			4,171,160
SA Large Cap Index Portfolio, Class 1		—		—		13,250,030		279,008		5,090,081		882,644			2,871,854			12,193,455
SA Large Cap Value Index Portfolio, Class 1		—		—		4,016,430		93,629		243,652		6,798			729,920			4,603,125

389

SA Allocation Moderate Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
SA Legg Mason BW Large Cap Value Portfolio, Class 1	$	—	$	—	$	6,547,688	$	480,007	$	537,632	$	(127,279	)	$	1,375,990	$	7,738,774
SA MFS Blue Chip Growth, Class 1		—		—		4,380,964		99,481		1,043,880		168,919			1,460,054		5,065,538
SA Mid Cap Index Portfolio, Class 1		—		—		1,752,448		39,238		157,743		(1,306	)		519,483		2,152,120
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		5,958,808		560,361		638,075		(57,872	)		1,343,726		7,166,948
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		6,576,349		152,147		985,934		(24,009	)		1,914,962		7,633,515
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		5,767,406		1,370,676		1,815,597		(24,467	)		871,933		6,169,951
SA Putnam International Growth and Income Portfolio, Class 1		—		—		3,595,181		1,707,965		1,416,801		(381,835	)		990,810		4,495,320
SA Small Cap Index Portfolio, Class 1		—		—		2,150,426		46,815		571,826		(51,007	)		697,792		2,272,200
SA WellsCap Aggressive Growth Portfolio, Class 1		—		—		—		1,025,888		196,675		45,770			341,128		1,216,111
	$	—	$	—	$	256,964,478	$	37,751,819	$	47,128,242	$	2,251,470		$	45,009,125	$	294,848,650

†  Includes reinvestment of distributions paid.

SA Allocation Balanced Portfolio  

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
Anchor Series Trust
SA Wellington Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	19,116,812	$	9,066,517	$	1,095,082	$	71,204		$	565,259	$	27,724,710
Seasons Series Trust
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1		—		—		33,501,622		7,657,795		1,752,877		131,130			2,107,524		41,645,194
SA Multi-Managed International Equity Portfolio, Class 1		—		—		4,388,977		977,825		391,701		42,453			1,001,668		6,019,222
SA Multi-Managed Large Cap Growth Portfolio, Class 1		—		—		7,604,689		332,359		2,378,406		297,182			3,207,651		9,063,475
SA Multi-Managed Large Cap Value Portfolio, Class 1		—		—		6,905,663		400,489		692,120		(206,082	)		1,489,477		7,897,427
SA Multi-Managed Mid Cap Growth Portfolio, Class 1		—		—		1,475,819		37,884		948,461		(7,606	)		444,555		1,002,191
SA Multi-Managed Mid Cap Value Portfolio, Class 1		—		—		1,320,767		29,603		834,703		(298,280	)		510,856		728,243
SA Multi-Managed Small Cap Portfolio, Class 1		—		—		973,468		40,976		176,654		(54,300	)		321,746		1,105,236

390

SA Allocation Balanced Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2020
SA Wellington Real Return Portfolio, Class 1	$	—	$	—	$	10,338,325	$	239,766	$	5,884,946	$	120,214		$	323,868		$	5,137,227
SA T. Rowe Price Growth Stock Portfolio, Class 1		—		—		1,683,711		1,227,875		509,215		21,039			710,786			3,134,196
SunAmerica Series Trust
SA AB Growth Portfolio, Class 1		—		—		4,607,150		208,670		1,037,247		233,962			1,430,348			5,442,883
SA AB Small & Mid Cap Value Portfolio, Class 1		—		—		—		730,028		33,694		4,470			137,071			837,875
SA DFA Ultra Short Bond Portfolio, Class 1		—		—		1,929,826		25,796		1,911,131		13,784			(10,230	)		48,045
SA Emerging Market Equity Index, Class 1		—		—		1,215,921		54,132		222,077		(13,362	)		370,865			1,405,479
SA Federated Corporate Bond Portfolio, Class 1		—		—		7,326,561		2,315,472		5,414,550		198,769			473,410			4,899,662
SA Fidelity Institutional AM Real Estate Portfolio, Class 1		—		—		923,704		40,976		96,653		(15,679	)		161,018			1,013,366
SA Fidelity Institutional International Growth Portfolio, Class 1		—		—		3,565,974		1,460,705		2,548,822		423,203			824,787			3,725,847
SA Fixed Income Index Portfolio, Class 1		—		—		14,885,922		2,360,480		758,013		95,276			488,859			17,072,524
SA Fixed Income Intermediate Index Portfolio, Class 1		—		—		11,445,748		1,442,471		561,034		55,150			246,689			12,629,024
SA Franklin Small Company Value Portfolio, Class 1		—		—		522,485		76,936		30,502		(16,687	)		145,200			697,432
SA Franklin US Equity Small Beta Portfolio, Class 1		—		—		1,323,920		59,187		192,387		10,659			340,925			1,542,304
SA International Index Portfolio, Class 1		—		—		1,032,237		873,287		126,530		(6,707	)		218,433			1,990,720
SA Invesco Growth Opportunities Portfolio, Class 1		—		—		544,078		22,764		220,918		2,881			255,257			604,062
SA Janus Focused Growth Portfolio, Class 1		—		—		2,284,422		104,335		563,624		163,385			774,932			2,763,450
SA JPMorgan Emerging Markets Portfolio, Class 1		—		—		950,114		332,988		180,274		(14,637	)		326,877			1,415,068
SA JPMorgan Equity-Income Portfolio, Class 1		—		—		5,126,258		335,987		443,349		(34,198	)		1,124,217			6,108,915
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		23,160,147		6,891,913		1,288,130		59,910			1,734,790			30,558,630
SA JPMorgan Mid Cap Growth Portfolio, Class 1		—		—		1,353,664		63,359		356,971		74,792			524,349			1,659,193

391

SA Allocation Balanced Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2020		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)		Value at September 30, 2020
SA Large Cap Growth Index Portfolio, Class 1	$	—	$	—	$	2,082,580	$	91,057	$	603,673	$	157,641		$	651,350	$	2,378,955
SA Large Cap Index Portfolio, Class 1		—		—		7,704,336		1,185,641		3,730,839		634,359			1,506,078		7,299,575
SA Large Cap Value Index Portfolio, Class 1		—		—		2,245,884		100,163		189,040		8,625			406,516		2,572,148
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		3,931,534		281,352		306,146		(70,841	)		821,711		4,657,610
SA MFS Blue Chip Growth, Class 1		—		—		2,607,504		113,822		704,591		95,521			868,000		2,980,256
SA Mid Cap Index Portfolio, Class 1		—		—		1,016,353		48,875		109,809		(330	)		302,686		1,257,775
SA Morgan Stanley International Equities Portfolio, Class 1		—		—		3,835,900		174,407		809,851		(59,997	)		885,038		4,025,497
SA Oppenheimer Main Street Large Cap Portfolio, Class 1		—		—		3,932,434		173,009		766,979		(26,129	)		1,145,128		4,457,463
SA PineBridge High-Yield Bond Portfolio, Class 1		—		—		5,974,025		1,221,478		4,277,494		(203,446	)		826,032		3,540,595
SA Putnam International Growth and Income Portfolio, Class 1		—		—		2,220,933		1,255,688		1,342,905		(322,222	)		700,130		2,511,624
SA Small Cap Index Portfolio, Class 1		—		—		1,356,061		54,634		462,204		(34,975	)		444,789		1,358,305
SA WellsCap Aggressive Growth Portfolio, Class 1		—		—		—		730,028		148,695		31,925			235,397		848,655
	$	—	$	—	$	206,415,528	$	42,840,729	$	44,102,297	$	1,562,056		$	29,044,042	$	235,760,058

†  Includes reinvestment of distributions paid.

The Managed Allocation Portfolios do not invest in underlying Seasons Series Trust Portfolios for the purpose of exercising management or control; however, investments by the Managed Allocation Portfolios within the set limits may represent a significant portion of an underlying Seasons Series Trust Portfolios' net assets.

At September 30, 2020, the following affiliates owned outstanding shares of the following Portfolios:

	Holder
Portfolio	USL			AGL			SA Allocation Balanced Portfolio			SA Allocation Growth Portfolio			SA Allocation Moderate Growth Portfolio			SA Allocation Moderate Portfolio			SAST SA VCP Dynamic Allocation Portfolio			SAST SA VCP Dynamic Strategy Portfolio
SA Multi-Managed Growth		1.69	%		98.31	%		—	%		—	%		—	%		—	%		—	%		—	%
SA Multi-Managed Moderate Growth		0.55			99.45			—			—			—			—			—			—
SA Multi-Managed Income/Equity		0.62			99.38			—			—			—			—			—			—
SA Multi-Managed Income		0.89			99.11			—			—			—			—			—			—
SA Putnam Asset Allocation Diversified Growth		3.20			96.80			—			—			—			—			—			—
SA T. Rowe Price Growth Stock		0.20			21.36			0.71			1.24			1.99			1.16			73.34			—
SA Multi-Managed Large Cap Growth		0.18			12.03			1.72			3.35			5.47			2.94			40.86			33.45

392

	Holder
Portfolio	USL			AGL			SA Allocation Balanced Portfolio			SA Allocation Growth Portfolio			SA Allocation Moderate Growth Portfolio			SA Allocation Moderate Portfolio			SAST SA VCP Dynamic Allocation Portfolio			SAST SA VCP Dynamic Strategy Portfolio
SA Multi-Managed Large Cap Value		0.05	%		4.91	%		1.14	%		2.28	%		3.62	%		2.12	%		47.64	%		38.24	%
SA Multi-Managed Mid Cap Growth		0.33			19.19			0.43			0.96			1.71			0.66			44.26			32.46
SA Multi-Managed Mid Cap Value		0.20			15.60			0.36			0.95			1.52			0.65			57.15			23.57
SA Multi-Managed Small Cap		0.19			11.65			0.56			1.27			2.18			1.09			36.57			46.49
SA Multi-Managed International Equity		0.17			7.86			1.67			4.41			6.58			3.03			52.88			23.40
SA Multi-Managed Diversified Fixed Income		0.06			3.63			4.42			0.84			4.46			3.88			64.51			18.20
SA Wellington Real Return		3.28			57.95			0.83			0.15			0.65			0.63			26.82			9.69
SA Columbia Focused Value		0.09			7.06			—			—			—			—			65.64			27.21
SA Allocation Growth		6.58			93.42			—			—			—			—			—			—
SA Allocation Moderate Growth		6.54			93.46			—			—			—			—			—			—
SA Allocation Moderate		6.74			93.26			—			—			—			—			—			—
SA Allocation Balanced		8.55			91.45			—			—			—			—			—			—

Note 9.  Investment Concentration: The International Equity Portfolio invests internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, and SA Multi-Managed Diversified Fixed Income Portfolios' concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.

Note 10.  Line of Credit: The Trust, 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. Prior to September 4, 2020, interest was payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street's discretionary bid rate on the uncommitted line of credit. The Trust, on behalf of each of the Portfolios, has paid State Street for its own account, such Portfolio's ratable portion of an upfront fee in an amount equal to $25,000 in the aggregate for the uncommitted line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. There is also a commitment fee of 25 basis points per annum on the daily unused portion of the committed line of credit. Effective September 4, 2020, 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.

393

For the six months ended September 30, 2020, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
SA Multi-Managed Moderate Growth		1	$	8	$	200,000		1.44	%
SA Multi-Managed Income/Equity		1		11		275,000		1.44
SA Multi-Managed Income		1		6		150,000		1.44
SA Putnam Asset Allocation Diversified Growth		6		130		541,667		1.43
SA Multi-Managed Large Cap Growth		26		554		505,769		1.21
SA Multi-Managed Large Cap Value		44		536		279,545		1.56
SA Multi-Managed Mid Cap Growth		3		87		675,000		1.97
SA Multi-Managed Mid Cap Value		17		149		148,529		1.75
SA Multi-Managed International Equity		27		261		197,222		1.79
SA Wellington Real Return		3		47		400,000		1.41

As of September 30, 2020, there were no outstanding borrowings.

Note 11.  Security Transactions with Affiliated Portfolios: The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board of Trustees. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions. For the six months ended September 30, 2020, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain(Loss)
SA Multi-Managed Large Cap Value	$	133,960	$	108,072	$	(27,572	)
SA Multi-Managed Mid Cap Value		—		154,918		(27,726	)

Note 12.  Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the six months ended September 30, 2020, none of the Portfolios participated in this program.

Note 13.  Other Matter: An outbreak of respiratory disease caused by a novel coronavirus was first detected in China and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this coronavirus may last for an extended period of time including through the issue date of these financial statements and has resulted in substantial market volatility and may result in a significant economic downturn.

394

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Growth Portfolio Class 1
03/31/16	$	19.31	$	0.10		$	(0.64	)	$	(0.54	)	$	(0.12	)	$	(2.76	)	$	(2.88	)	$	15.89		(2.79	)%	$	10,696		1.19	%		0.56	%		51	%
03/31/17		15.89		0.08			1.74			1.82			(0.10	)		(1.13	)		(1.23	)		16.48		11.72			10,069		1.22			0.51			48
03/31/18		16.48		0.07			1.81			1.88			(0.09	)		(1.25	)		(1.34	)		17.02		11.45			9,976		1.23	(2)		0.41	(2)		51
03/31/19		17.02		0.09			1.05			1.14			(0.18	)		(1.61	)		(1.79	)		16.37		7.37			9,349		1.25	(2)		0.54	(2)		55
03/31/20		16.37		0.01			(0.63	)		(0.62	)		(0.11	)		(1.69	)		(1.80	)		13.95		(4.91	)		7,783		1.31	(2)		0.06	(2)		97
09/30/20@		13.95		(0.03	)		6.18			6.15			—			—			—			20.10		44.09			10,473		1.34	#(2)		(0.29	)#(2)		36
SA Multi-Managed Growth Portfolio Class 2
03/31/16		19.29		0.07			(0.63	)		(0.56	)		(0.09	)		(2.76	)		(2.85	)		15.88		(2.90	)		19,939		1.34			0.40			51
03/31/17		15.88		0.06			1.73			1.79			(0.07	)		(1.13	)		(1.20	)		16.47		11.54			19,227		1.37			0.36			48
03/31/18		16.47		0.05			1.80			1.85			(0.06	)		(1.25	)		(1.31	)		17.01		11.29			19,251		1.38	(2)		0.26	(2)		51
03/31/19		17.01		0.07			1.04			1.11			(0.15	)		(1.61	)		(1.76	)		16.36		7.18			17,915		1.40	(2)		0.39	(2)		55
03/31/20		16.36		(0.01	)		(0.64	)		(0.65	)		(0.08	)		(1.69	)		(1.77	)		13.94		(5.08	)		13,934		1.45	(2)		(0.09	)(2)		97
09/30/20@		13.94		(0.04	)		6.18			6.14			—			—			—			20.08		44.05			18,514		1.49	#(2)		(0.44	)#(2)		36
SA Multi-Managed Growth Portfolio Class 3
03/31/16		19.24		0.05			(0.63	)		(0.58	)		(0.06	)		(2.76	)		(2.82	)		15.84		(3.00	)		27,626		1.44			0.30			51
03/31/17		15.84		0.04			1.74			1.78			(0.05	)		(1.13	)		(1.18	)		16.44		11.46			26,332		1.47			0.26			48
03/31/18		16.44		0.03			1.79			1.82			(0.04	)		(1.25	)		(1.29	)		16.97		11.13			23,755		1.48	(2)		0.16	(2)		51
03/31/19		16.97		0.05			1.04			1.09			(0.12	)		(1.61	)		(1.73	)		16.33		7.11			21,872		1.50	(2)		0.29	(2)		55
03/31/20		16.33		(0.03	)		(0.63	)		(0.66	)		(0.07	)		(1.69	)		(1.76	)		13.91		(5.19	)		17,440		1.56	(2)		(0.19	)(2)		97
09/30/20@		13.91		(0.05	)		6.16			6.11			—			—			—			20.02		43.93			22,294		1.59	#(2)		(0.54	)#(2)		36

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Growth Portfolio Class 1		0.00	%		0.04	%		0.07	%		0.07	%
SA Multi-Managed Growth Portfolio Class 2		0.00			0.04			0.07			0.07
SA Multi-Managed Growth Portfolio Class 3		0.00			0.04			0.07			0.07

See Notes to Financial Statements

395

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Moderate Growth Portfolio Class 1
03/31/16	$	15.05	$	0.14	$	(0.46	)	$	(0.32	)	$	(0.20	)	$	(2.10	)	$	(2.30	)	$	12.43		(2.00	)%	$	10,538		1.04	%		1.01	%		48	%
03/31/17		12.43		0.13		1.11			1.24			(0.16	)		(0.98	)		(1.14	)		12.53		10.24			9,579		1.07			1.02			44
03/31/18		12.53		0.11		1.05			1.16			(0.13	)		(0.66	)		(0.79	)		12.90		9.25			9,450		1.08	(2)		0.84	(2)		54
03/31/19		12.90		0.13		0.66			0.79			(0.18	)		(0.90	)		(1.08	)		12.61		6.67			9,208		1.08	(2)		1.04	(2)		53
03/31/20		12.61		0.08		(0.32	)		(0.24	)		(0.17	)		(1.03	)		(1.20	)		11.17		(2.64	)		7,539		1.12	(2)		0.66	(2)		84
09/30/20@		11.17		0.01		3.94			3.95			—			—			—			15.12		35.36			9,677		1.14	#(2)		0.21	#(2)		32
SA Multi-Managed Moderate Growth Portfolio Class 2
03/31/16		15.02		0.12		(0.45	)		(0.33	)		(0.18	)		(2.10	)		(2.28	)		12.41		(2.12	)		44,942		1.19			0.86			48
03/31/17		12.41		0.11		1.10			1.21			(0.13	)		(0.98	)		(1.11	)		12.51		10.06			42,741		1.22			0.86			44
03/31/18		12.51		0.09		1.05			1.14			(0.11	)		(0.66	)		(0.77	)		12.88		9.10			42,662		1.23	(2)		0.69	(2)		54
03/31/19		12.88		0.12		0.65			0.77			(0.16	)		(0.90	)		(1.06	)		12.59		6.50			39,368		1.23	(2)		0.89	(2)		53
03/31/20		12.59		0.06		(0.32	)		(0.26	)		(0.15	)		(1.03	)		(1.18	)		11.15		(2.81	)		33,790		1.27	(2)		0.50	(2)		84
09/30/20@		11.15		0.00		3.94			3.94			—			—			—			15.09		35.34			42,666		1.29	#(2)		0.06	#(2)		32
SA Multi-Managed Moderate Growth Portfolio Class 3
03/31/16		14.97		0.11		(0.46	)		(0.35	)		(0.14	)		(2.10	)		(2.24	)		12.38		(2.25	)		40,753		1.29			0.75			48
03/31/17		12.38		0.10		1.10			1.20			(0.11	)		(0.98	)		(1.09	)		12.49		9.95			38,030		1.32			0.76			44
03/31/18		12.49		0.08		1.05			1.13			(0.09	)		(0.66	)		(0.75	)		12.87		9.07			35,834		1.33	(2)		0.59	(2)		54
03/31/19		12.87		0.10		0.65			0.75			(0.14	)		(0.90	)		(1.04	)		12.58		6.37			32,172		1.33	(2)		0.78	(2)		53
03/31/20		12.58		0.05		(0.33	)		(0.28	)		(0.13	)		(1.03	)		(1.16	)		11.14		(2.92	)		25,456		1.37	(2)		0.41	(2)		84
09/30/20@		11.14		0.00		3.93			3.93			—			—			—			15.07		35.28			32,544		1.39	#(2)		(0.04	)#(2)		32

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.03	%		0.05	%		0.05	%
SA Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.03			0.05			0.05
SA Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.03			0.05			0.05

See Notes to Financial Statements

396

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Income/Equity Portfolio Class 1
03/31/16	$	12.61	$	0.19	$	(0.22	)	$	(0.03	)	$	(0.27	)	$	(1.30	)	$	(1.57	)	$	11.01		(0.11	)%	$	9,748		1.02	%		1.60	%		45	%
03/31/17		11.01		0.18		0.47			0.65			(0.19	)		(0.48	)		(0.67	)		10.99		6.03			8,749		1.06			1.57			42
03/31/18		10.99		0.16		0.58			0.74			(0.19	)		(0.35	)		(0.54	)		11.19		6.70			8,614		1.08			1.40			62
03/31/19		11.19		0.19		0.53			0.72			(0.23	)		(0.52	)		(0.75	)		11.16		6.86			8,087		1.10	(2)		1.71	(2)		51
03/31/20		11.16		0.14		0.22			0.36			(0.24	)		(0.51	)		(0.75	)		10.77		3.13			6,646		1.15	(2)		1.22	(2)		77
09/30/20@		10.77		0.04		2.72			2.76			—			—			—			13.53		25.63			7,637		1.21	#(2)		0.63	#(2)		30
SA Multi-Managed Income/Equity Portfolio Class 2
03/31/16		12.59		0.17		(0.22	)		(0.05	)		(0.25	)		(1.30	)		(1.55	)		10.99		(0.28	)		37,891		1.17			1.45			45
03/31/17		10.99		0.16		0.47			0.63			(0.17	)		(0.48	)		(0.65	)		10.97		5.85			35,229		1.22			1.42			42
03/31/18		10.97		0.14		0.58			0.72			(0.17	)		(0.35	)		(0.52	)		11.17		6.54			33,123		1.23			1.25			62
03/31/19		11.17		0.18		0.52			0.70			(0.21	)		(0.52	)		(0.73	)		11.14		6.69			30,313		1.25	(2)		1.56	(2)		51
03/31/20		11.14		0.12		0.22			0.34			(0.22	)		(0.51	)		(0.73	)		10.75		2.96			25,142		1.30	(2)		1.07	(2)		77
09/30/20@		10.75		0.03		2.73			2.76			—			—			—			13.51		25.67			30,623		1.36	#(2)		0.48	#(2)		30
SA Multi-Managed Income/Equity Portfolio Class 3
03/31/16		12.55		0.17		(0.23	)		(0.06	)		(0.21	)		(1.30	)		(1.51	)		10.98		(0.35	)		23,038		1.26			1.34			45
03/31/17		10.98		0.15		0.46			0.61			(0.14	)		(0.48	)		(0.62	)		10.97		5.67			20,590		1.31			1.32			42
03/31/18		10.97		0.13		0.59			0.72			(0.16	)		(0.35	)		(0.51	)		11.18		6.50			18,900		1.33			1.15			62
03/31/19		11.18		0.16		0.53			0.69			(0.20	)		(0.52	)		(0.72	)		11.15		6.55			17,028		1.35	(2)		1.46	(2)		51
03/31/20		11.15		0.11		0.22			0.33			(0.21	)		(0.51	)		(0.72	)		10.76		2.86			15,171		1.40	(2)		0.97	(2)		77
09/30/20@		10.76		0.02		2.73			2.75			—			—			—			13.51		25.56			17,880		1.46	#(2)		0.38	#(2)		30

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20
SA Multi-Managed Income/Equity Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Income/Equity Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Income/Equity Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/19			03/31/20			09/30/20#@
Multi-Managed Income/Equity Portfolio Class 1		0.03	%		0.04	%		0.04	%
Multi-Managed Income/Equity Portfolio Class 2		0.03			0.04			0.04
Multi-Managed Income/Equity Portfolio Class 3		0.03			0.04			0.04

See Notes to Financial Statements

397

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Income Portfolio Class 1
03/31/16	$	12.10	$	0.24	$	(0.22	)	$	0.02		$	(0.28	)	$	(0.82	)	$	(1.10	)	$	11.02		0.29	%	$	6,841		1.01	%		2.01	%		46	%
03/31/17		11.02		0.22		0.27			0.49			(0.23	)		(0.24	)		(0.47	)		11.04		4.50			6,106		1.08			1.95			41
03/31/18		11.04		0.20		0.25			0.45			(0.22	)		(0.22	)		(0.44	)		11.05		4.08			5,538		1.09			1.74			62
03/31/19		11.05		0.23		0.33			0.56			(0.25	)		(0.30	)		(0.55	)		11.06		5.39			5,122		1.14	(2)		2.07	(2)		49
03/31/20		11.06		0.19		0.32			0.51			(0.31	)		(0.25	)		(0.56	)		11.01		4.50			4,271		1.22	(2)		1.67	(2)		63
09/30/20@		11.01		0.06		1.76			1.82			—			—			—			12.83		16.53			4,728		1.32	#(2)		1.02	#(2)		25
SA Multi-Managed Income Portfolio Class 2
03/31/16		12.08		0.22		(0.22	)		0.00			(0.26	)		(0.82	)		(1.08	)		11.00		0.11			30,780		1.17			1.87			46
03/31/17		11.00		0.20		0.28			0.48			(0.21	)		(0.24	)		(0.45	)		11.03		4.41			29,068		1.23			1.80			41
03/31/18		11.03		0.18		0.25			0.43			(0.20	)		(0.22	)		(0.42	)		11.04		3.92			27,062		1.24			1.59			62
03/31/19		11.04		0.21		0.33			0.54			(0.23	)		(0.30	)		(0.53	)		11.05		5.22			24,779		1.29	(2)		1.92	(2)		49
03/31/20		11.05		0.17		0.32			0.49			(0.29	)		(0.25	)		(0.54	)		11.00		4.33			21,120		1.37	(2)		1.52	(2)		63
09/30/20@		11.00		0.05		1.76			1.81			—			—			—			12.81		16.45			24,354		1.47	#(2)		0.86	#(2)		25
SA Multi-Managed Income Portfolio Class 3
03/31/16		12.04		0.21		(0.22	)		(0.01	)		(0.23	)		(0.82	)		(1.05	)		10.98		0.01			20,719		1.26			1.75			46
03/31/17		10.98		0.19		0.28			0.47			(0.18	)		(0.24	)		(0.42	)		11.03		4.35			17,689		1.33			1.70			41
03/31/18		11.03		0.17		0.25			0.42			(0.19	)		(0.22	)		(0.41	)		11.04		3.81			16,906		1.34			1.49			62
03/31/19		11.04		0.20		0.33			0.53			(0.22	)		(0.30	)		(0.52	)		11.05		5.10			15,206		1.39	(2)		1.82	(2)		49
03/31/20		11.05		0.16		0.31			0.47			(0.27	)		(0.25	)		(0.52	)		11.00		4.21			12,143		1.47	(2)		1.41	(2)		63
09/30/20@		11.00		0.05		1.76			1.81			—			—			—			12.81		16.45			13,697		1.57	#(2)		0.76	#(2)		25

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20
SA Multi-Managed Income Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Income Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Income Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/19			03/31/20			09/30/20#@
Multi-Managed Income Portfolio Class 1		0.02	%		0.03	%		0.03	%
Multi-Managed Income Portfolio Class 2		0.02			0.03			0.03
Multi-Managed Income Portfolio Class 3		0.02			0.03			0.03

See Notes to Financial Statements

398

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1
03/31/16	$	13.99	$	0.19	$	(0.85	)	$	(0.66	)	$	(0.43	)	$	(1.42	)	$	(1.85	)	$	11.48		(4.69	)%	$	17,363		0.98	%		1.46	%		94	%
03/31/17		11.48		0.17		1.38			1.55			(0.11	)		(1.07	)		(1.18	)		11.85		13.98			15,897		1.04			1.41			106
03/31/18		11.85		0.19		1.29			1.48			(0.21	)		(0.97	)		(1.18	)		12.15		12.43			15,727		0.96			1.49			69
03/31/19		12.15		0.18		0.08			0.26			(0.25	)		(0.44	)		(0.69	)		11.72		2.43	(3)		14,836		0.93			1.47			101
03/31/20		11.72		0.20		(1.39	)		(1.19	)		(0.17	)		(0.41	)		(0.58	)		9.95		(10.95	)		12,257		0.91			1.68			66
09/30/20@		9.95		0.07		2.35			2.42			—			—			—			12.37		24.32			15,380		0.85	#		1.25	#		40
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2
03/31/16		13.98		0.17		(0.85	)		(0.68	)		(0.41	)		(1.42	)		(1.83	)		11.47		(4.88	)		60,314		1.13			1.31			94
03/31/17		11.47		0.15		1.39			1.54			(0.09	)		(1.07	)		(1.16	)		11.85		13.88			57,135		1.19			1.26			106
03/31/18		11.85		0.17		1.29			1.46			(0.19	)		(0.97	)		(1.16	)		12.15		12.25			55,477		1.11			1.33			69
03/31/19		12.15		0.16		0.08			0.24			(0.23	)		(0.44	)		(0.67	)		11.72		2.26	(3)		50,708		1.08			1.32			101
03/31/20		11.72		0.18		(1.39	)		(1.21	)		(0.15	)		(0.41	)		(0.56	)		9.95		(11.09	)		42,497		1.06			1.54			66
09/30/20@		9.95		0.06		2.36			2.42			—			—			—			12.37		24.32			53,129		1.00	#		1.10	#		40
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3
03/31/16		13.96		0.16		(0.85	)		(0.69	)		(0.40	)		(1.42	)		(1.82	)		11.45		(5.00	)		51,394		1.23			1.21			94
03/31/17		11.45		0.14		1.39			1.53			(0.08	)		(1.07	)		(1.15	)		11.83		13.77			49,593		1.29			1.16			106
03/31/18		11.83		0.15		1.28			1.43			(0.18	)		(0.97	)		(1.15	)		12.11		12.07			77,570		1.21			1.24			69
03/31/19		12.11		0.15		0.09			0.24			(0.22	)		(0.44	)		(0.66	)		11.69		2.25	(3)		100,587		1.18			1.23			101
03/31/20		11.69		0.17		(1.39	)		(1.22	)		(0.14	)		(0.41	)		(0.55	)		9.92		(11.16	)		97,057		1.16			1.42			66
09/30/20@		9.92		0.06		2.34			2.40			—			—			—			12.32		24.19			121,322		1.10	#		1.00	#		40

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1		0.10	%		0.10	%		0.10	%		0.12	%		0.15	%		0.15	%
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2		0.10			0.10			0.10			0.12			0.15			0.15
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3		0.10			0.10			0.10			0.12			0.15			0.15

  (3)  The Portfolio's performance figure was increased by less than 0.01% from reimbursement of losses on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

399

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income		Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
SA T. Rowe Price Growth Stock Portfolio Class 1
03/31/16	$	25.28	$	(0.05	)	$	(0.22	)	$	(0.27	)	$	—	$	(1.80	)	$	(1.80	)	$	23.21		(1.32	)%	$	387,062		0.87	%(1)		(0.19	)%(1)		43	%
03/31/17		23.21		(0.01	)		4.13			4.12			—		(2.54	)		(2.54	)		24.79		18.78			357,120		0.87	(1)		(0.04	)(1)		38
03/31/18		24.79		0.01			5.93			5.94			—		(3.42	)		(3.42	)		27.31		24.49			333,144		0.87	(1)		0.02	(1)		50
03/31/19		27.31		0.01			2.29			2.30			—		(6.91	)		(6.91	)		22.70		10.40			328,479		0.88			0.03			30
03/31/20		22.70		(0.04	)		(0.71	)		(0.75	)		—		(2.04	)		(2.04	)		19.91		(4.34	)		301,339		0.89			(0.17	)		44
09/30/20@		19.91		(0.05	)		8.61			8.56			—		—			—			28.47		42.99			359,595		0.87	#		(0.42	)#		19
SA T. Rowe Price Growth Stock Portfolio Class 2
03/31/16		24.88		(0.08	)		(0.23	)		(0.31	)		—		(1.80	)		(1.80	)		22.77		(1.51	)		47,757		1.02	(1)		(0.34	)(1)		43
03/31/17		22.77		(0.05	)		4.05			4.00			—		(2.54	)		(2.54	)		24.23		18.61			45,160		1.02	(1)		(0.19	)(1)		38
03/31/18		24.23		(0.04	)		5.80			5.76			—		(3.42	)		(3.42	)		26.57		24.31			43,404		1.02	(1)		(0.13	)(1)		50
03/31/19		26.57		(0.03	)		2.21			2.18			—		(6.91	)		(6.91	)		21.84		10.23			40,322		1.03			(0.12	)		30
03/31/20		21.84		(0.07	)		(0.67	)		(0.74	)		—		(2.04	)		(2.04	)		19.06		(4.47	)		34,893		1.04			(0.32	)		44
09/30/20@		19.06		(0.07	)		8.25			8.18			—		—			—			27.24		42.92			43,266		1.02	#		(0.58	)#		19
SA T. Rowe Price Growth Stock Portfolio Class 3
03/31/16		24.64		(0.11	)		(0.22	)		(0.33	)		—		(1.80	)		(1.80	)		22.51		(1.61	)		42,384		1.12	(1)		(0.44	)(1)		43
03/31/17		22.51		(0.07	)		4.00			3.93			—		(2.54	)		(2.54	)		23.90		18.52			39,088		1.12	(1)		(0.29	)(1)		38
03/31/18		23.90		(0.06	)		5.71			5.65			—		(3.42	)		(3.42	)		26.13		24.18			35,916		1.12	(1)		(0.23	)(1)		50
03/31/19		26.13		(0.06	)		2.16			2.10			—		(6.91	)		(6.91	)		21.32		10.08			32,944		1.13			(0.22	)		30
03/31/20		21.32		(0.09	)		(0.64	)		(0.73	)		—		(2.04	)		(2.04	)		18.55		(4.53	)		27,780		1.14			(0.42	)		44
09/30/20@		18.55		(0.08	)		8.02			7.94			—		—			—			26.49		42.80			34,401		1.12	#		(0.68	)#		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18
SA T. Rowe Price Growth Stock Portfolio Class 1		0.00	%		0.00	%		0.00	%
SA T. Rowe Price Growth Stock Portfolio Class 2		0.00			0.00			0.00
SA T. Rowe Price Growth Stock Portfolio Class 3		0.00			0.00			0.00

See Notes to Financial Statements

400

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Large Cap Growth Portfolio Class 1
03/31/16	$	13.80	$	0.07		$	(0.07	)	$	(0.00	)	$	(0.07	)	$	(1.28	)	$	(1.35	)	$	12.45		(0.04	)%	$	244,613		0.83	%		0.53	%		46	%
03/31/17		12.45		0.07			1.63			1.70			(0.06	)		(0.40	)		(0.46	)		13.69		13.96			475,135		0.82			0.58			47
03/31/18		13.69		0.07			2.54			2.61			(0.08	)		(0.90	)		(0.98	)		15.32		19.23			458,603		0.81			0.49			36
03/31/19		15.32		0.07			1.52			1.59			(0.10	)		(2.45	)		(2.55	)		14.36		11.68			445,895		0.77	(2)		0.44	(2)		45
03/31/20		14.36		0.03			(0.18	)		(0.15	)		(0.07	)		(1.88	)		(1.95	)		12.26		(2.43	)		388,579		0.76	(2)		0.23	(2)		69
09/30/20@		12.26		(0.01	)		6.33			6.32			—			—			—			18.58		51.55			467,271		0.74	#(2)		(0.09	)#(2)		21
SA Multi-Managed Large Cap Growth Portfolio Class 2
03/31/16		13.58		0.05			(0.07	)		(0.02	)		(0.05	)		(1.28	)		(1.33	)		12.23		(0.20	)		35,318		0.98			0.37			46
03/31/17		12.23		0.05			1.60			1.65			(0.04	)		(0.40	)		(0.44	)		13.44		13.79			33,597		0.97			0.40			47
03/31/18		13.44		0.05			2.49			2.54			(0.06	)		(0.90	)		(0.96	)		15.02		19.07			34,895		0.96			0.34			36
03/31/19		15.02		0.04			1.49			1.53			(0.07	)		(2.45	)		(2.52	)		14.03		11.52			31,938		0.92	(2)		0.28	(2)		45
03/31/20		14.03		0.01			(0.18	)		(0.17	)		(0.05	)		(1.88	)		(1.93	)		11.93		(2.65	)		25,851		0.91	(2)		0.08	(2)		69
09/30/20@		11.93		(0.02	)		6.16			6.14			—			—			—			18.07		51.47			37,355		0.89	#(2)		(0.24	)#(2)		21
SA Multi-Managed Large Cap Growth Portfolio Class 3
03/31/16		13.47		0.04			(0.08	)		(0.04	)		(0.04	)		(1.28	)		(1.32	)		12.11		(0.35	)		199,168		1.08			0.28			46
03/31/17		12.11		0.03			1.60			1.63			(0.03	)		(0.40	)		(0.43	)		13.31		13.73			18,151		1.06			0.18			47
03/31/18		13.31		0.04			2.46			2.50			(0.04	)		(0.90	)		(0.94	)		14.87		18.96			18,417		1.06			0.24			36
03/31/19		14.87		0.03			1.47			1.50			(0.06	)		(2.45	)		(2.51	)		13.86		11.38			17,679		1.02	(2)		0.19	(2)		45
03/31/20		13.86		(0.00	)		(0.18	)		(0.18	)		(0.03	)		(1.88	)		(1.91	)		11.77		(2.73	)		13,717		1.01	(2)		(0.02	)(2)		69
09/30/20@		11.77		(0.03	)		6.08			6.05			—			—			—			17.82		51.40			19,618		0.99	#(2)		(0.34	)#(2)		21

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20
SA Multi-Managed Large Cap Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Large Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Large Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Large Cap Growth Portfolio Class 1		0.05	%		0.07	%		0.08	%
SA Multi-Managed Large Cap Growth Portfolio Class 2		0.05			0.07			0.08
SA Multi-Managed Large Cap Growth Portfolio Class 3		0.05			0.07			0.08

See Notes to Financial Statements

401

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Large Cap Value Portfolio Class 1
03/31/16	$	17.04	$	0.30		$	(0.87	)	$	(0.57	)	$	(0.23	)	$	(0.87	)	$	(1.10	)	$	15.37		(3.19	)%	$	771,124		0.78	%		1.87	%		62	%
03/31/17		15.37		0.29			2.46			2.75			(0.28	)		(0.54	)		(0.82	)		17.30		18.05			979,942		0.78			1.78			43
03/31/18		17.30		0.32			0.92			1.24			(0.40	)		(1.42	)		(1.82	)		16.72		6.97			825,844		0.78			1.79			34
03/31/19		16.72		0.31			0.30			0.61			(0.34	)		(2.01	)		(2.35	)		14.98		4.25			702,244		0.79			1.92			36
03/31/20		14.98		0.28			(2.16	)		(1.88	)		(0.40	)		(0.90	)		(1.30	)		11.80		(14.52	)		556,173		0.80			1.80			62
09/30/20@		11.80		0.13			2.13			2.26			—			—			—			14.06		19.15			660,671		0.79	#		1.98	#		21
SA Multi-Managed Large Cap Value Portfolio Class 2
03/31/16		17.02		0.27			(0.86	)		(0.59	)		(0.20	)		(0.87	)		(1.07	)		15.36		(3.32	)		29,350		0.93			1.69			62
03/31/17		15.36		0.27			2.45			2.72			(0.25	)		(0.54	)		(0.79	)		17.29		17.90			29,795		0.93			1.61			43
03/31/18		17.29		0.29			0.92			1.21			(0.38	)		(1.42	)		(1.80	)		16.70		6.77			27,174		0.93			1.63			34
03/31/19		16.70		0.29			0.29			0.58			(0.31	)		(2.01	)		(2.32	)		14.96		4.06			24,198		0.94			1.78			36
03/31/20		14.96		0.25			(2.15	)		(1.90	)		(0.37	)		(0.90	)		(1.27	)		11.79		(14.61	)		17,581		0.95			1.64			62
09/30/20@		11.79		0.12			2.13			2.25			—			—			—			14.04		19.08			20,484		0.94	#		1.83	#		21
SA Multi-Managed Large Cap Value Portfolio Class 3
03/31/16		16.99		0.26			(0.87	)		(0.61	)		(0.16	)		(0.87	)		(1.03	)		15.35		(3.42	)		155,929		1.03			1.56			62
03/31/17		15.35		0.25			2.46			2.71			(0.24	)		(0.54	)		(0.78	)		17.28		17.80			16,087		1.02			1.28			43
03/31/18		17.28		0.27			0.92			1.19			(0.35	)		(1.42	)		(1.77	)		16.70		6.70			14,784		1.03			1.53			34
03/31/19		16.70		0.27			0.29			0.56			(0.29	)		(2.01	)		(2.30	)		14.96		3.94			13,131		1.04			1.68			36
03/31/20		14.96		0.24			(2.16	)		(1.92	)		(0.35	)		(0.90	)		(1.25	)		11.79		(14.71	)		9,330		1.05			1.54			62
09/30/20@		11.79		0.12			2.12			2.24			—			—			—			14.03		19.00			10,640		1.05	#		1.73	#		21
SA Multi-Managed Mid Cap Growth Portfolio Class 1
03/31/16		17.86		(0.01	)		(1.19	)		(1.20	)		—			(1.02	)		(1.02	)		15.64		(6.77	)		137,158		0.94			(0.08	)		47
03/31/17		15.64		(0.01	)		2.33			2.32			—			(0.87	)		(0.87	)		17.09		15.14			166,759		0.94			(0.04	)		47
03/31/18		17.09		(0.01	)		3.55			3.54			—			(1.65	)		(1.65	)		18.98		21.07			191,355		0.93			(0.03	)		45
03/31/19		18.98		(0.01	)		2.20			2.19			—			(2.19	)		(2.19	)		18.98		12.89			187,604		0.94			(0.07	)		37
03/31/20		18.98		(0.04	)		(1.42	)		(1.46	)		—			(2.07	)		(2.07	)		15.45		(9.65	)		153,668		0.95			(0.19	)		47
09/30/20@		15.45		(0.05	)		7.73			7.68			—			—			—			23.13		49.71			192,397		0.95	#		(0.48	)#		38
SA Multi-Managed Mid Cap Growth Portfolio Class 2
03/31/16		17.30		(0.04	)		(1.14	)		(1.18	)		—			(1.02	)		(1.02	)		15.10		(6.87	)		22,390		1.09			(0.23	)		47
03/31/17		15.10		(0.03	)		2.23			2.20			—			(0.87	)	��	(0.87	)		16.43		14.89			22,024		1.09			(0.20	)		47
03/31/18		16.43		(0.03	)		3.41			3.38			—			(1.65	)		(1.65	)		18.16		20.94			23,377		1.08			(0.18	)		45
03/31/19		18.16		(0.04	)		2.09			2.05			—			(2.19	)		(2.19	)		18.02		12.69			22,407		1.09			(0.22	)		37
03/31/20		18.02		(0.06	)		(1.32	)		(1.38	)		—			(2.07	)		(2.07	)		14.57		(9.72	)		17,335		1.10			(0.34	)		47
09/30/20@		14.57		(0.06	)		7.27			7.21			—			—			—			21.78		49.49			24,603		1.10	#		(0.63	)#		38
SA Multi-Managed Mid Cap Growth Portfolio Class 3
03/31/16		17.00		(0.05	)		(1.14	)		(1.19	)		—			(1.02	)		(1.02	)		14.79		(7.06	)		61,932		1.19			(0.30	)		47
03/31/17		14.79		(0.06	)		2.21			2.15			—			(0.87	)		(0.87	)		16.07		14.86			15,080		1.18			(0.35	)		47
03/31/18		16.07		(0.05	)		3.33			3.28			—			(1.65	)		(1.65	)		17.70		20.79			15,193		1.18			(0.28	)		45
03/31/19		17.70		(0.06	)		2.04			1.98			—			(2.19	)		(2.19	)		17.49		12.62			14,806		1.19			(0.32	)		37
03/31/20		17.49		(0.08	)		(1.27	)		(1.35	)		—			(2.07	)		(2.07	)		14.07		(9.84	)		10,933		1.20			(0.44	)		47
09/30/20@		14.07		(0.07	)		7.03			6.96			—			—			—			21.03		49.47			15,051		1.20	#		(0.73	)#		38

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Large Cap Value Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Multi-Managed Large Cap Value Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Large Cap Value Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Mid Cap Growth Portfolio Class 1		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Mid Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Mid Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

402

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
SA Multi-Managed Mid Cap Value Portfolio Class 1
03/31/16	$	20.42	$	0.19		$	(1.53	)	$	(1.34	)	$	(0.11	)	$	(3.15	)	$	(3.26	)	$	15.82		(5.94	)%	$	233,605		0.91	%		1.05	%		67	%
03/31/17		15.82		0.17			2.61			2.78			(0.19	)		(0.32	)		(0.51	)		18.09		17.65			238,924		0.91			1.02			84
03/31/18		18.09		0.15			1.11			1.26			(0.24	)		(2.32	)		(2.56	)		16.79		6.82			211,203		0.93			0.85			30
03/31/19		16.79		0.18			0.04			0.22			(0.16	)		(1.15	)		(1.31	)		15.70		1.65			195,861		0.94			1.08			29
03/31/20		15.70		0.20			(3.54	)		(3.34	)		(0.22	)		(0.88	)		(1.10	)		11.26		(23.20	)		144,314		0.96			1.25			36
09/30/20@		11.26		0.09			2.96			3.05			—			—			—			14.31		27.09			173,993		0.96	#		1.29	#		17
SA Multi-Managed Mid Cap Value Portfolio Class 2
03/31/16		20.38		0.15			(1.52	)		(1.37	)		(0.08	)		(3.15	)		(3.23	)		15.78		(6.12	)		27,278		1.06			0.84			67
03/31/17		15.78		0.15			2.60			2.75			(0.16	)		(0.32	)		(0.48	)		18.05		17.52			27,352		1.06			0.86			84
03/31/18		18.05		0.13			1.09			1.22			(0.21	)		(2.32	)		(2.53	)		16.74		6.63			25,021		1.08			0.70			30
03/31/19		16.74		0.15			0.04			0.19			(0.13	)		(1.15	)		(1.28	)		15.65		1.47			22,284		1.09			0.93			29
03/31/20		15.65		0.17			(3.53	)		(3.36	)		(0.19	)		(0.88	)		(1.07	)		11.22		(23.34	)		14,917		1.11			1.09			36
09/30/20@		11.22		0.08			2.95			3.03			—			—			—			14.25		27.01			18,411		1.11	#		1.14	#		17
SA Multi-Managed Mid Cap Value Portfolio Class 3
03/31/16		20.34		0.13			(1.51	)		(1.38	)		(0.06	)		(3.15	)		(3.21	)		15.75		(6.18	)		51,112		1.15			0.65			67
03/31/17		15.75		0.12			2.60			2.72			(0.14	)		(0.32	)		(0.46	)		18.01		17.35			18,771		1.16			0.65			84
03/31/18		18.01		0.11			1.09			1.20			(0.19	)		(2.32	)		(2.51	)		16.70		6.53			16,337		1.18			0.60			30
03/31/19		16.70		0.14			0.04			0.18			(0.11	)		(1.15	)		(1.26	)		15.62		1.40			14,219		1.19			0.82			29
03/31/20		15.62		0.16			(3.52	)		(3.36	)		(0.18	)		(0.88	)		(1.06	)		11.20		(23.41	)		9,654		1.21			0.99			36
09/30/20@		11.20		0.07			2.95			3.02			—			—			—			14.22		26.96			11,463		1.21	#		1.03	#		17
SA Multi-Managed Small Cap Portfolio Class 1
03/31/16		14.28		0.04			(1.38	)		(1.34	)		(0.05	)		(0.95	)		(1.00	)		11.94		(9.43	)		243,707		0.93			0.32			65
03/31/17		11.94		0.03			2.34			2.37			(0.03	)		(0.20	)		(0.23	)		14.08		19.77			266,149		0.91			0.27			33
03/31/18		14.08		0.03			1.55			1.58			(0.06	)		(1.32	)		(1.38	)		14.28		11.30			255,293		0.91	(2)		0.19	(2)		30
03/31/19		14.28		0.03			(0.16	)		(0.13	)		(0.03	)		(1.06	)		(1.09	)		13.06		(0.67	)		236,342		0.92	(2)		0.19	(2)		41
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			0.24			65
09/30/20@		9.00		0.03			2.53			2.56			—			—			—			11.56		28.44			174,772		0.95	#		0.50	#		19
SA Multi-Managed Small Cap Portfolio Class 2
03/31/16		13.97		0.02			(1.35	)		(1.33	)		(0.03	)		(0.95	)		(0.98	)		11.66		(9.61	)		18,131		1.08			0.13			65
03/31/17		11.66		0.01			2.29			2.30			(0.01	)		(0.20	)		(0.21	)		13.75		19.65			18,708		1.06			0.11			33
03/31/18		13.75		0.01			1.51			1.52			(0.04	)		(1.32	)		(1.36	)		13.91		11.13			17,739		1.06	(2)		0.04	(2)		30
03/31/19		13.91		0.01			(0.17	)		(0.16	)		(0.00	)		(1.06	)		(1.06	)		12.69		(0.88	)		15,415		1.07	(2)		0.03	(2)		41
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			0.10			65
09/30/20@		8.73		0.02			2.45			2.47			—			—			—			11.20		28.29			12,871		1.10	#		0.35	#		19
SA Multi-Managed Small Cap Portfolio Class 3
03/31/16		13.78		0.00			(1.33	)		(1.33	)		—			(0.95	)		(0.95	)		11.50		(9.70	)		51,317		1.17			0.01			65
03/31/17		11.50		(0.01	)		2.26			2.25			—			(0.20	)		(0.20	)		13.55		19.51			12,528		1.16			(0.09	)		33
03/31/18		13.55		(0.01	)		1.49			1.48			(0.02	)		(1.32	)		(1.34	)		13.69		11.03			12,309		1.16	(2)		(0.06	)(2)		30
03/31/19		13.69		(0.01	)		(0.15	)		(0.16	)		—			(1.06	)		(1.06	)		12.47		(0.92	)		10,647		1.17	(2)		(0.07	)(2)		41
03/31/20		12.47		0.00			(2.80	)		(2.80	)		—			(1.11	)		(1.11	)		8.56		(25.05	)		6,905		1.21			(0.01	)		65
09/30/20@		8.56		0.01			2.40			2.41			—			—			—			10.97		28.15			8,436		1.20	#		0.25	#		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed Mid Cap Value Class 1		0.01	%		0.00	%		0.00	%		—	%		—	%		—	%
SA Multi-Managed Mid Cap Value Class 2		0.01			0.00			0.00			—			—			—
SA Multi-Managed Mid Cap Value Class 3		0.01			0.01			0.00			—			—			—
SA Multi-Managed Small Cap Portfolio Class 1		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Small Cap Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
SA Multi-Managed Small Cap Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/18			03/31/19
SA Multi-Managed Small Cap Portfolio Class 1		0.00	%		0.00	%
SA Multi-Managed Small Cap Portfolio Class 2		0.00			0.00
SA Multi-Managed Small Cap Portfolio Class 3		0.00			0.00

See Notes to Financial Statements

403

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
SA Multi-Managed International Equity Portfolio Class 1
03/31/16	$	8.81	$	0.13	$	(1.00	)	$	(0.87	)	$	(0.11	)	$	—		$	(0.11	)	$	7.83		(9.94	)%	$	500,027		0.92	%(1)(2)		1.63	%(1)(2)		28	%
03/31/17		7.83		0.14		0.68			0.82			(0.15	)		—			(0.15	)		8.50		10.65			630,997		0.93	(1)(2)		1.82	(1)(2)		50
03/31/18		8.50		0.16		1.23			1.39			(0.20	)		—			(0.20	)		9.69		16.37	(3)		577,544		0.95	(2)		1.72	(2)		20
03/31/19		9.69		0.21		(0.66	)		(0.45	)		(0.26	)		—			(0.26	)		8.98		(4.44	)		410,320		0.99	(2)		2.27	(2)		22
03/31/20		8.98		0.17		(1.23	)		(1.06	)		(0.30	)		(0.78	)		(1.08	)		6.84		(14.19	)		265,249		1.04	(2)		1.88	(2)		20
09/30/20@		6.84		0.07		1.57			1.64			—			—			—			8.48		23.98			333,542		1.01	#(2)		1.70	#(2)		13
SA Multi-Managed International Equity Portfolio Class 2
03/31/16		8.82		0.13		(1.02	)		(0.89	)		(0.09	)		—			(0.09	)		7.84		(10.09	)		22,223		1.08	(1)(2)		1.52	(1)(2)		28
03/31/17		7.84		0.15		0.66			0.81			(0.14	)		—			(0.14	)		8.51		10.46			20,693		1.08	(1)(2)		1.84	(1)(2)		50
03/31/18		8.51		0.15		1.24			1.39			(0.19	)		—			(0.19	)		9.71		16.33	(3)		21,848		1.10	(2)		1.54	(2)		20
03/31/19		9.71		0.19		(0.66	)		(0.47	)		(0.24	)		—			(0.24	)		9.00		(4.61	)		17,959		1.14	(2)		2.07	(2)		22
03/31/20		9.00		0.14		(1.22	)		(1.08	)		(0.28	)		(0.78	)		(1.06	)		6.86		(14.30	)		13,398		1.19	(2)		1.61	(2)		20
09/30/20@		6.86		0.06		1.58			1.64			—			—			—			8.50		23.91			16,063		1.16	#(2)		1.55	#(2)		13
SA Multi-Managed International Equity Portfolio Class 3
03/31/16		8.79		0.12		(1.02	)		(0.90	)		(0.08	)		—			(0.08	)		7.81		(10.21	)		231,504		1.18	(1)(2)		1.40	(1)(2)		28
03/31/17		7.81		0.27		0.53			0.80			(0.13	)		—			(0.13	)		8.48		10.38			17,067		1.17	(1)(2)		2.85	(1)(2)		50
03/31/18		8.48		0.14		1.23			1.37			(0.18	)		—			(0.18	)		9.67		16.12	(3)		16,719		1.20	(2)		1.46	(2)		20
03/31/19		9.67		0.18		(0.65	)		(0.47	)		(0.23	)		—			(0.23	)		8.97		(4.66	)		13,689		1.24	(2)		1.96	(2)		22
03/31/20		8.97		0.14		(1.22	)		(1.08	)		(0.27	)		(0.78	)		(1.05	)		6.84		(14.34	)		10,100		1.29	(2)		1.53	(2)		20
09/30/20@		6.84		0.04		1.59			1.63			—			—			—			8.47		23.83			11,888		1.26	#(2)		1.46	#(2)		13
SA Multi-Managed Diversified Fixed Income Portfolio Class 1
03/31/16		11.92		0.23		(0.10	)		0.13			(0.23	)		(0.08	)		(0.31	)		11.74		1.15			750,909		0.68			1.99			37
03/31/17		11.74		0.25		(0.10	)		0.15			(0.14	)		(0.09	)		(0.23	)		11.66		1.37			1,128,112		0.67			2.15			40
03/31/18		11.66		0.27		(0.11	)		0.16			(0.27	)		(0.02	)		(0.29	)		11.53		1.38			1,023,385		0.68			2.29			63
03/31/19		11.53		0.31		0.13			0.44			(0.31	)		(0.03	)		(0.34	)		11.63		4.03			928,761		0.68			2.68			38
03/31/20		11.63		0.30		0.44			0.74			(0.38	)		—			(0.38	)		11.99		6.36			866,019		0.69			2.49			45
09/30/20@		11.99		0.13		0.61			0.74			—			—			—			12.73		6.17			908,334		0.69	#		2.03	#		23
SA Multi-Managed Diversified Fixed Income Portfolio Class 2
03/31/16		11.90		0.22		(0.10	)		0.12			(0.21	)		(0.08	)		(0.29	)		11.73		1.05			35,485		0.83			1.84			37
03/31/17		11.73		0.24		(0.10	)		0.14			(0.13	)		(0.09	)		(0.22	)		11.65		1.22			28,136		0.82			2.01			40
03/31/18		11.65		0.25		(0.12	)		0.13			(0.25	)		(0.02	)		(0.27	)		11.51		1.14			24,193		0.83			2.14			63
03/31/19		11.51		0.29		0.14			0.43			(0.29	)		(0.03	)		(0.32	)		11.62		3.91			19,873		0.83			2.53			38
03/31/20		11.62		0.28		0.45			0.73			(0.36	)		—			(0.36	)		11.99		6.27			19,442		0.84			2.34			45
09/30/20@		11.99		0.12		0.60			0.72			—			—			—			12.71		6.01			20,532		0.84	#		1.88	#		23
SA Multi-Managed Diversified Fixed Income Portfolio Class 3
03/31/16		11.85		0.20		(0.11	)		0.09			(0.20	)		(0.08	)		(0.28	)		11.66		0.83			436,441		0.93			1.74			37
03/31/17		11.66		0.29		(0.17	)		0.12			(0.11	)		(0.09	)		(0.20	)		11.58		1.13			16,843		0.92			1.92			40
03/31/18		11.58		0.24		(0.12	)		0.12			(0.23	)		(0.02	)		(0.25	)		11.45		1.07			14,967		0.93			2.04			63
03/31/19		11.45		0.28		0.14			0.42			(0.28	)		(0.03	)		(0.31	)		11.56		3.82			12,712		0.93			2.43			38
03/31/20		11.56		0.27		0.44			0.71			(0.34	)		—			(0.34	)		11.93		6.18			11,770		0.94			2.24			45
09/30/20@		11.93		0.11		0.60			0.71			—			—			—			12.64		5.95			12,138		0.94	#		1.78	#		23

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17
SA Multi-Managed International Equity Portfolio Class 1		0.00	%		0.00	%
SA Multi-Managed International Equity Portfolio Class 2		0.00			0.00
SA Multi-Managed International Equity Portfolio Class 3		0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Multi-Managed International Equity Portfolio Class 1		0.04	%		0.04	%		0.04	%		0.04	%		0.04	%		0.04	%
SA Multi-Managed International Equity Portfolio Class 2		0.04			0.04			0.04			0.04			0.04			0.04
SA Multi-Managed International Equity Portfolio Class 3		0.04			0.04			0.04			0.04			0.04			0.04

  (3)  The Portfolio's performance figure was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

404

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments		Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
SA Wellington Real Return Portfolio Class 1
03/31/16	$	9.94	$	0.01		$	0.01	$	0.02		$	(0.41	)	$	—	$	(0.41	)	$	9.55		0.24	%	$	156,274		0.63	%		0.09	%		32	%
03/31/17		9.55		0.08			0.11		0.19			—			—		—			9.74		1.99			275,808		0.62	(1)		0.86	(1)		53
03/31/18		9.74		0.09			0.05		0.14			(0.24	)		—		(0.24	)		9.64		1.42			364,977		0.58	(1)		0.96	(1)		23
03/31/19		9.64		0.12			0.10		0.22			(0.36	)		—		(0.36	)		9.50		2.40			337,714		0.60	(1)		1.24	(1)		22
03/31/20		9.50		0.21			0.02		0.23			(0.04	)		—		(0.04	)		9.69		2.40			259,205		0.59	(1)		2.09	(1)		31
09/30/20@		9.69		0.02			0.63		0.65			—			—		—			10.34		6.71			240,938		0.59	#(1)		0.40	#(1)		28
SA Wellington Real Return Portfolio Class 3
03/31/16		9.88		(0.01	)		0.01		(0.00	)		(0.38	)		—		(0.38	)		9.50		0.07			440,312		0.88			(0.08	)		32
03/31/17		9.50		0.07			0.09		0.16			—			—		—			9.66		1.68			418,436		0.87	(1)		0.75	(1)		53
03/31/18		9.66		0.07			0.04		0.11			(0.21	)		—		(0.21	)		9.56		1.18			412,469		0.83	(1)		0.72	(1)		23
03/31/19		9.56		0.10			0.10		0.20			(0.32	)		—		(0.32	)		9.44		2.17			387,047		0.85	(1)		1.02	(1)		22
03/31/20		9.44		0.17			0.03		0.20			(0.03	)		—		(0.03	)		9.61		2.14			335,450		0.84	(1)		1.74	(1)		31
09/30/20@		9.61		0.01			0.62		0.63			—			—		—			10.24		6.56			376,673		0.84	#(1)		0.19	#(1)		28

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Wellington Real Return Portfolio Class 1		0.02	%		0.05	%		0.05	%		0.05	%		0.05	%
SA Wellington Real Return Portfolio Class 3		0.02			0.05			0.05			0.05			0.05

See Notes to Financial Statements

405

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)				Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
SA Columbia Focused Value Portfolio Class 1
03/31/16	$	18.01	$	0.25	$	(1.12	)	$	(0.87	)	$	(0.17	)	$	(0.16	)	$	(0.33	)	$	16.81		(4.81	)%	$	285,988		0.81	%	��		1.45	%		110	%
03/31/17		16.81		0.25		3.75			4.00			(0.24	)		(1.74	)		(1.98	)		18.83		24.12			333,901		0.71				1.35			13
03/31/18		18.83		0.31		2.14			2.45			(0.33	)		(0.59	)		(0.92	)		20.36		12.87			287,475		0.71				1.51			4
03/31/19		20.36		0.58		(0.51	)		0.07			(0.84	)		(1.96	)		(2.80	)		17.63		1.76			273,629		0.72				2.95			16
03/31/20		17.63		0.32		(3.39	)		(3.07	)		(0.10	)		(0.30	)		(0.40	)		14.16		(17.99	)		188,851		0.73				1.77			12
09/30/20@		14.16		0.22		3.56			3.78			—			—			—			17.94		26.69			255,547		0.72	#			2.62	#		16
SA Columbia Focused Value Portfolio Class 2
03/31/16		17.99		0.22		(1.12	)		(0.90	)		(0.14	)		(0.16	)		(0.30	)		16.79		(4.99	)		13,865		0.97				1.28			110
03/31/17		16.79		0.22		3.74			3.96			(0.21	)		(1.74	)		(1.95	)		18.80		23.92			14,687		0.86				1.20			13
03/31/18		18.80		0.27		2.15			2.42			(0.30	)		(0.59	)		(0.89	)		20.33		12.74			14,853		0.86				1.35			4
03/31/19		20.33		0.55		(0.49	)		0.06			(0.74	)		(1.96	)		(2.70	)		17.69		1.61			13,536		0.87				2.80			16
03/31/20		17.69		0.30		(3.41	)		(3.11	)		(0.09	)		(0.30	)		(0.39	)		14.19		(18.14	)		9,512		0.88				1.62			12
09/30/20@		14.19		0.21		3.56			3.77			—			—			—			17.96		26.57			11,635		0.87	#			2.44	#		16
SA Columbia Focused Value Portfolio Class 3
03/31/16		17.95		0.21		(1.12	)		(0.91	)		(0.12	)		(0.16	)		(0.28	)		16.76		(5.07	)		31,162		1.07				1.19			110
03/31/17		16.76		0.22		3.72			3.94			(0.20	)		(1.74	)		(1.94	)		18.76		23.81			11,368		0.96				1.11			13
03/31/18		18.76		0.25		2.14			2.39			(0.28	)		(0.59	)		(0.87	)		20.28		12.60			10,566		0.96				1.25			4
03/31/19		20.28		0.53		(0.49	)		0.04			(0.65	)		(1.96	)		(2.61	)		17.71		1.51			9,295		0.97				2.70			16
03/31/20		17.71		0.28		(3.41	)		(3.13	)		(0.08	)		(0.30	)		(0.38	)		14.20		(18.20	)		6,713		0.98				1.52			12
09/30/20@		14.20		0.20		3.56			3.76			—			—			—			17.96		26.48			8,077		0.97	#			2.35	#		16

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized.

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Columbia Focused Value Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
SA Columbia Focused Value Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.00
SA Columbia Focused Value Portfolio Class 3		0.01			0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Columbia Focused Value Portfolio Class 1		0.23	%		0.31	%		0.32	%		0.32	%		0.32	%		0.33	%
SA Columbia Focused Value Portfolio Class 2		0.22			0.31			0.32			0.32			0.32			0.33
SA Columbia Focused Value Portfolio Class 3		0.22			0.31			0.32			0.32			0.32			0.33

See Notes to Financial Statements

406

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
SA Allocation Growth Portfolio Class 1
09/26/16##- 03/31/17	$	12.61	$	0.10		$	0.69		$	0.79		$	—		$	—		$	—		$	13.40		6.26	%	$	106		0.18	%#		1.53	%#		34	%
03/31/18		13.40		0.18			1.36			1.54			(0.16	)		(0.33	)		(0.49	)		14.45		11.50			153		0.15			1.27			68
03/31/19		14.45		0.33			0.07			0.40			(0.54	)		(1.05	)		(1.59	)		13.26		4.14			150		0.15			2.32			20
03/31/20		13.26		0.18			(1.13	)		(0.95	)		(0.01	)		(0.41	)		(0.42	)		11.89		(7.61	)		136		0.15			1.29			26
09/30/20@		11.89		(0.01	)		2.96			2.95			—			—			—			14.84		24.81			198		0.13	#		(0.13	)#		17
SA Allocation Growth Portfolio Class 3
03/31/16		13.31		0.09			(0.73	)		(0.64	)		(0.18	)		—			(0.18	)		12.49		(4.78	)		92,251		0.16			0.72			28
03/31/17		12.49		0.15			1.28			1.43			(0.23	)		(0.31	)		(0.54	)		13.38		11.67			93,250		0.34			1.13			34
03/31/18		13.38		0.16			1.34			1.50			(0.14	)		(0.33	)		(0.47	)		14.41		11.25			121,286		0.40			1.14			68
03/31/19		14.41		0.21			0.16			0.37			(0.49	)		(1.05	)		(1.54	)		13.24		3.89			160,980		0.40			1.55			20
03/31/20		13.24		0.15			(1.14	)		(0.99	)		(0.00	)		(0.41	)		(0.41	)		11.84		(7.90	)		192,198		0.40			1.09			26
09/30/20@		11.84		(0.03	)		2.95			2.92			—			—			—			14.76		24.66			243,036		0.38	#		(0.38	)#		17
SA Allocation Moderate Growth Portfolio Class 1
09/26/16##- 03/31/17		10.70		0.09			0.45			0.54			—			—			—			11.24		5.05			105		0.13	#		1.61	#		25
03/31/18		11.24		0.18			0.90			1.08			(0.18	)		(0.39	)		(0.57	)		11.75		9.64			147		0.11			1.51			57
03/31/19		11.75		0.15			0.13			0.28			(0.56	)		(1.40	)		(1.96	)		10.07		4.24			374		0.12			1.42			18
03/31/20		10.07		0.18			(0.60	)		(0.42	)		(0.18	)		(0.39	)		(0.57	)		9.08		(4.96	)		190		0.12			1.67			22
09/30/20@		9.08		(0.01	)		1.92			1.91			—			—			—			10.99		21.04			228		0.12	#		(0.12	)#		12
SA Allocation Moderate Growth Portfolio Class 3
03/31/16		13.78		0.12			(0.65	)		(0.53	)		(0.18	)		(1.07	)		(1.25	)		12.00		(3.72	)		523,326		0.12			0.93			22
03/31/17		12.00		0.14			0.97			1.11			(0.22	)		(1.67	)		(1.89	)		11.22		10.01			516,004		0.29			1.24			25
03/31/18		11.22		0.15			0.91			1.06			(0.17	)		(0.39	)		(0.56	)		11.72		9.43			507,613		0.36			1.29			57
03/31/19		11.72		0.19			0.07			0.26			(0.51	)		(1.40	)		(1.91	)		10.07		3.95			462,493		0.37			1.67			18
03/31/20		10.07		0.13			(0.58	)		(0.45	)		(0.15	)		(0.39	)		(0.54	)		9.08		(5.19	)		403,234		0.37			1.25			22
09/30/20@		9.08		(0.02	)		1.91			1.89			—			—			—			10.97		20.82			475,934		0.37	#		(0.37	)#		12

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.

  #  Annualized.

  ##  Commencement of operations.

  @  Unaudited

  (1)  Does not include underlying fund expenses that the Portfolios bear indirectly.

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Allocation Growth Portfolio Class 1		N/A			0.01	%#		0.01	%		0.01	%		0.01	%		0.01	%
SA Allocation Growth Portfolio Class 3		0.01	%		0.01			0.01			0.01			0.01			0.01
SA Allocation Moderate Growth Portfolio Class 1		N/A			0.01	#		0.01			0.01			0.01			0.01
SA Allocation Moderate Growth Portfolio Class 3		0.01			0.01			0.01			0.01			0.01			0.01

See Notes to Financial Statements

407

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
SA Allocation Moderate Portfolio Class 1
09/26/16##- 03/31/17	$	10.67	$	0.09		$	0.36		$	0.45		$	—		$	—		$	—		$	11.12		4.22	%	$	104		0.13	%#		1.64	%#		26	%
03/31/18		11.12		0.19			0.75			0.94			(0.19	)		(0.26	)		(0.45	)		11.61		8.40			113		0.12			1.61			60
03/31/19		11.61		0.19			0.16			0.35			(0.56	)		(1.20	)		(1.76	)		10.20		4.52			213		0.13			1.77			19
03/31/20		10.20		0.21			(0.49	)		(0.28	)		(0.18	)		(0.34	)		(0.52	)		9.40		(3.31	)		90		0.13			1.90			26
09/30/20@		9.40		(0.01	)		1.75			1.74			—			—			—			11.14		18.51			106		0.13	#		(0.13	)#		13
SA Allocation Moderate Portfolio Class 3
03/31/16		13.01		0.13			(0.54	)		(0.41	)		(0.16	)		(0.87	)		(1.03	)		11.57		(3.02	)		323,181		0.12			1.03			24
03/31/17		11.57		0.14			0.83			0.97			(0.21	)		(1.23	)		(1.44	)		11.10		8.97			324,003		0.29			1.23			26
03/31/18		11.10		0.16			0.75			0.91			(0.17	)		(0.26	)		(0.43	)		11.58		8.19			314,294		0.37			1.35			60
03/31/19		11.58		0.20			0.12			0.32			(0.50	)		(1.20	)		(1.70	)		10.20		4.27			294,856		0.38			1.79			19
03/31/20		10.20		0.14			(0.45	)		(0.31	)		(0.16	)		(0.34	)		(0.50	)		9.39		(3.64	)		256,715		0.38			1.33			26
09/30/20@		9.39		(0.02	)		1.75			1.73			—			—			—			11.12		18.42			294,604		0.38	#		(0.38	)#		13
SA Allocation Balanced Portfolio Class 1
09/26/16##- 03/31/17		10.41		0.09			0.21			0.30			—			—			—			10.71		2.88			103		0.13	#		1.72	#		22
03/31/18		10.71		0.20			0.48			0.68			(0.19	)		(0.37	)		(0.56	)		10.83		6.39			109		0.12			1.77			60
03/31/19		10.83		0.24			0.11			0.35			(0.55	)		(0.97	)		(1.52	)		9.66		4.33			114		0.13			2.29			22
03/31/20		9.66		0.17			(0.22	)		(0.05	)		(0.18	)		(0.20	)		(0.38	)		9.23		(0.78	)		146		0.14			1.76			31
09/30/20@		9.23		(0.01	)		1.37			1.36			—			—			—			10.59		14.73			258		0.13	#		(0.13	)#		19
SA Allocation Balanced Portfolio Class 3
03/31/16		12.44		0.14			(0.39	)		(0.25	)		(0.16	)		(0.83	)		(0.99	)		11.20		(1.90	)		256,605		0.13			1.18			28
03/31/17		11.20		0.13			0.63			0.76			(0.21	)		(1.06	)		(1.27	)		10.69		7.14			240,817		0.30			1.21			22
03/31/18		10.69		0.17			0.49			0.66			(0.18	)		(0.37	)		(0.55	)		10.80		6.16			225,749		0.35			1.53			60
03/31/19		10.80		0.21			0.12			0.33			(0.50	)		(0.97	)		(1.47	)		9.66		4.11			215,693		0.38			2.01			22
03/31/20		9.66		0.15			(0.22	)		(0.07	)		(0.16	)		(0.20	)		(0.36	)		9.23		(1.02	)		206,134		0.39			1.52			31
09/30/20@		9.23		(0.02	)		1.37			1.35			—			—			—			10.58		14.63			235,385		0.39	#		(0.39	)#		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.

  #  Annualized.

  ##  Commencement of operations.

  @  Unaudited

  (1)  Does not include underlying fund expenses that the Portfolios bear indirectly.

  (2)  Net of the following expense reimbursements and waivers (based on average net assets):

	03/31/16			03/31/17			03/31/18			03/31/19			03/31/20			09/30/20#@
SA Allocation Moderate Portfolio Class 1		N/A			0.01	%#		0.01	%		0.01	%		0.01	%		0.01	%
SA Allocation Moderate Portfolio Class 3		0.01	%		0.01			0.01			0.01			0.01			0.01
SA Allocation Balanced Portfolio Class 1		N/A			0.01	#		0.01			0.01			0.01			0.01
SA Allocation Balanced Portfolio Class 3		0.01			0.01			0.04			0.01			0.01			0.01

See Notes to Financial Statements

408

SEASONS SERIES TRUST
Statement Regarding Liquidity Risk Management Program — (unaudited)

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 period, the Program Administrator provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation.

During the 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, 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.

409

Filed under Rules 497(e) and 497(k)
Registration No. 333-08653

SEASONS SERIES TRUST
Supplement to the Prospectus

Seasons Series Trust

SA Multi-Managed Mid Cap Growth Portfolio
(the "Portfolio")

Supplement dated October 15, 2020, to the Portfolio's
Summary Prospectus, Prospectus and Statement of Additional Information
dated July 27, 2020, as supplemented and amended to date

Effective January 1, 2021, Donald J. Easley, CFA, a portfolio manager associated with T. Rowe Price Associates, Inc. will step down as the Portfolio's Co-Portfolio Manager and Co-Chairman of the Portfolio's Investment Advisory Committee. Accordingly, effective January 1, 2021, all references to Mr. Easley will be deleted. Donald J. Peters will become the Portfolio's sole Portfolio Manager and sole Chairman of the Portfolio's Investment Advisory Committee.

PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.

SCSP-812546-MCG1.1 (10/20)

410

SEASONS SERIES TRUST

VOTING PROXIES ON TRUST PORTFOLIO SECURITIES

A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trust's Portfolios which is available in the Trust's Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES

Information regarding how Seasons Series Trust Portfolios voted proxies related to securities held in Seasons Series Trust Portfolios during the most recent twelve month period ended June 30 is available, once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS

The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-PORT. The Trust's Forms N-PORT are available on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.

The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.

411

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ANNUITY SERVICE CENTER
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CHANGE SERVICE REQUESTED

J1906SAR.17 (11/20)

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Included in Item 1 to the Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by Item 22(b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item 10.

Item 11. Controls and Procedures.

(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the most recent fiscal half year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12.  Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a) (1) Not applicable.

(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

(3) Not applicable.

(4) Not applicable.

(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Seasons Series Trust
By:	/s/ John T. Genoy
John T. Genoy
President
Date: December 8, 2020

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 8, 2020
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: December 8, 2020