Seasons Series Trust SA Allocation
Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
1
Seasons Series Trust SA Allocation
Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $239,073,285 | $— | $— | $239,073,285 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
2
Seasons Series Trust SA Allocation
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
3
Seasons Series Trust SA Allocation
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $432,859,081 | $— | $— | $432,859,081 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
4
Seasons Series Trust SA Allocation
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
5
Seasons Series Trust SA Allocation
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $477,234,835 | $— | $— | $477,234,835 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
6
Seasons Series Trust SA Allocation
Moderate Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
7
Seasons Series Trust SA Allocation
Moderate Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $278,160,123 | $— | $— | $278,160,123 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
8
Seasons Series Trust SA American
Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
9
Seasons Series Trust SA American
Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
10
Seasons Series Trust SA American
Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Inflation Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 10,000,000 | USD | Fixed 3.445% | 12-Month USA CPI | Maturity | Maturity | Apr 2027 | $ 368 | $ (153,486) | $ (153,118) | ||
Centrally Cleared | 50,000,000 | USD | Fixed 3.537 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 516 | (783,645) | (783,129) | ||
Centrally Cleared | 50,000,000 | USD | Fixed 3.540 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 516 | (790,027) | (789,511) | ||
Centrally Cleared | 25,000,000 | USD | Fixed 3.710 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 422 | (659,232) | (658,810) | ||
Centrally Cleared | 10,000,000 | USD | Fixed 3.060 | 12-Month USA CPI | Maturity | Maturity | Mar 2032 | 500 | (187,981) | (187,481) | ||
Centrally Cleared | 20,000,000 | USD | Fixed 3.040 | 12-Month USA CPI | Maturity | Maturity | Mar 2032 | 588 | (324,120) | (323,532) | ||
Centrally Cleared | 25,000,000 | USD | Fixed 3.990 | 12-Month USA CPI | Maturity | Maturity | Jun 2024 | 145 | (160,176) | (160,031) | ||
Centrally Cleared | 10,000,000 | USD | Fixed 2.310 | 12-Month USA CPI | Maturity | Maturity | Jan 2026 | 192 | 39,660 | 39,852 | ||
Centrally Cleared | 12,500,000 | USD | Fixed 2.415 | 12-Month USA CPI | Maturity | Maturity | Feb 2028 | 471 | 19,900 | 20,371 | ||
Centrally Cleared | 10,000,000 | USD | Fixed 2.438 | 12-Month USA CPI | Maturity | Maturity | Feb 2030 | 505 | 27,987 | 28,492 | ||
Centrally Cleared | 3,800,000 | USD | Fixed 2.619 | 12-Month USA CPI | Maturity | Maturity | Mar 2033 | 496 | (37,876) | (37,380) | ||
Centrally Cleared | 3,000,000 | USD | Fixed 2.495 | 12-Month USA CPI | Maturity | Maturity | May 2033 | 497 | (11,159) | (10,662) | ||
Centrally Cleared | 8,000,000 | USD | Fixed 2.663 | 12-Month USA CPI | Maturity | Maturity | Aug 2030 | 531 | (117,925) | (117,394) | ||
Centrally Cleared | 5,800,000 | USD | Fixed 2.650 | 12-Month USA CPI | Maturity | Maturity | Aug 2033 | 539 | (102,294) | (101,755) | ||
$6,286 | $(3,240,374) | $(3,234,088) |
CPI—Consumer Price Index |
USD—United States Dollar |
11
Seasons Series Trust SA American
Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
123 | Long | U.S. Treasury 10 Year Notes | March 2024 | $13,497,589 | $13,885,547 | $ 387,958 |
294 | Long | U.S. Treasury 2 Year Notes | March 2024 | 59,967,386 | 60,538,734 | 571,348 |
248 | Long | U.S. Treasury 5 Year Notes | March 2024 | 26,404,734 | 26,975,813 | 571,079 |
157 | Long | U.S. Treasury Ultra 10 Year Notes | March 2024 | 17,758,478 | 18,528,453 | 769,975 |
$2,300,360 |
* | 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 & Co. LLC | CAD | 31,541,947 | USD | 23,255,020 | 03/15/2024 | $— | $(572,836) |
CAD—Canadian Dollar |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $34,720,858 | $— | $34,720,858 | |||
Asset Backed Securities | — | 34,989,044 | — | 34,989,044 | |||
Collateralized Mortgage Obligations | — | 28,402,789 | — | 28,402,789 | |||
U.S. Government & Agency Obligations | — | 415,017,913 | — | 415,017,913 | |||
Foreign Government Obligations | — | 24,283,401 | — | 24,283,401 | |||
Municipal Securities | — | 1,421,665 | — | 1,421,665 | |||
Short-Term Investments | 30,128,428 | — | — | 30,128,428 | |||
Total Investments at Value | $30,128,428 | $538,835,670 | $— | $568,964,098 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $87,547 | $— | $87,547 | |||
Futures Contracts | 2,300,360 | — | — | 2,300,360 | |||
Total Other Financial Instruments | $2,300,360 | $87,547 | $— | $2,387,907 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $3,327,921 | $— | $3,327,921 | |||
Forward Foreign Currency Contracts | — | 572,836 | — | 572,836 | |||
Total Other Financial Instruments | $— | $3,900,757 | $— | $3,900,757 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
12
Seasons Series Trust SA Columbia
Focused Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
13
Seasons Series Trust SA Columbia
Focused Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $303,075,091 | $— | $— | $303,075,091 | |||
Preferred Stocks | 510,848 | — | — | 510,848 | |||
Repurchase Agreements | — | 6,328,574 | — | 6,328,574 | |||
Total Investments at Value | $303,585,939 | $6,328,574 | $— | $309,914,513 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
14
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
15
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
16
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
17
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
18
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
19
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
20
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
21
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
22
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
23
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
24
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
25
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
26
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
27
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
28
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
29
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
30
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
31
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
32
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
33
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
34
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
35
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
36
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
37
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 830,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 9,431 | $ 58,428 | $ 67,859 | ||
Centrally Cleared | 2,225,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 3,659 | 141,403 | 145,062 | ||
Centrally Cleared | 1,380,000 | USD | Fixed 3.250 | 12-Month SOFR | Annual | Annual | Jun 2053 | (14,845) | 32,679 | 17,834 | ||
Centrally Cleared | 2,165,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 9,216 | (119,986) | (110,770) | ||
$7,461 | $112,524 | $119,985 |
Credit Default Swaps - Buyer(1) | |||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount(2) | Currency | USD notional amount(2) | Pay fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(3) | |||||
Centrally Cleared | Federative Republic of Brazil | $1,710,000 | USD | $1,710,000 | 1.000% | Quarterly | Jun 2028 | $77,750 | $(66,711) | $11,039 |
(1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
7 | Long | U.S. Treasury 2 Year Notes | March 2024 | $1,426,144 | $1,441,398 | $ 15,254 |
79 | Long | U.S. Treasury 5 Year Notes | March 2024 | 8,379,665 | 8,593,102 | 213,437 |
3 | Long | U.S. Treasury Long Bonds | March 2024 | 345,798 | 374,813 | 29,015 |
$257,706 |
Unrealized (Depreciation) | ||||||
110 | Short | Canada 10 Year Bonds | March 2024 | $ 9,867,831 | $10,308,894 | $ (441,063) |
10 | Short | Euro Buxl 30 Year Bonds | March 2024 | 1,464,235 | 1,564,518 | (100,283) |
19 | Short | Euro-BTP | March 2024 | 2,425,485 | 2,499,177 | (73,692) |
40 | Short | Euro-BUND | March 2024 | 5,905,692 | 6,059,362 | (153,670) |
96 | Short | U.S. Treasury 10 Year Notes | March 2024 | 10,587,217 | 10,837,500 | (250,283) |
130 | Short | U.S. Treasury Ultra 10 Year Notes | March 2024 | 14,652,742 | 15,342,031 | (689,289) |
75 | Short | U.S. Treasury Ultra Bonds | March 2024 | 9,050,736 | 10,019,532 | (968,796) |
$(2,677,076) | ||||||
Net Unrealized Appreciation (Depreciation) | $(2,419,370) |
* | 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. |
38
Seasons Series Trust SA Multi-Managed
Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Citibank, N.A. | EUR | 366,000 | USD | 402,799 | 03/20/2024 | $— | $ (2,489) | |
Deutsche Bank AG | EUR | 7,052,000 | USD | 7,761,417 | 03/20/2024 | — | (47,575) | |
Goldman Sachs International | BRL | 8,177,000 | USD | 1,635,779 | 03/20/2024 | — | (35,376) | |
Unrealized Appreciation (Depreciation) | $— | $(85,440) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $231,028,261 | $— | $231,028,261 | |||
Asset Backed Securities | — | 38,251,044 | — | 38,251,044 | |||
Collateralized Mortgage Obligations | — | 59,892,895 | — | 59,892,895 | |||
U.S. Government & Agency Obligations | — | 507,697,989 | — | 507,697,989 | |||
Foreign Government Obligations | — | 11,345,692 | — | 11,345,692 | |||
Municipal Securities | — | 3,561,006 | — | 3,561,006 | |||
Escrows and Litigation Trusts | — | — | 0 | 0 | |||
Short-Term Investments | 1,021,091 | — | — | 1,021,091 | |||
Repurchase Agreements | — | 11,205,000 | — | 11,205,000 | |||
Total Investments at Value | $1,021,091 | $862,981,887 | $0 | $864,002,978 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $232,510 | $— | $232,510 | |||
Futures Contracts | 257,706 | — | — | 257,706 | |||
Total Other Financial Instruments | $257,706 | $232,510 | $— | $490,216 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $186,697 | $— | $186,697 | |||
Futures Contracts | 2,677,076 | — | — | 2,677,076 | |||
Forward Foreign Currency Contracts | — | 85,440 | — | 85,440 | |||
Total Other Financial Instruments | $2,677,076 | $272,137 | $— | $2,949,213 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
39
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
40
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
41
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
42
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
43
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
44
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
45
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
46
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
47
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
48
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
49
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
50
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
51
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
52
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
53
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
54
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 105,000 | USD | Fixed 1.560% | 12-Month SOFR | Annual | Annual | Dec 2051 | $(609) | $34,187 | $33,578 | ||
Centrally Cleared | 20,000 | USD | Fixed 2.880 | 12-Month SOFR | Annual | Annual | Mar 2053 | 215 | 1,420 | 1,635 | ||
Centrally Cleared | 55,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 173 | 3,413 | 3,586 | ||
$(221) | $39,020 | $38,799 |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Long | E-Mini Russell 2000 Index | March 2024 | $100,257 | $102,385 | $ 2,128 |
3 | Long | Euro-Schatz | March 2024 | 351,536 | 352,861 | 1,325 |
5 | Long | U.S. Treasury 10 Year Notes | March 2024 | 557,500 | 564,453 | 6,953 |
2 | Long | U.S. Treasury 2 Year Notes | March 2024 | 410,734 | 411,828 | 1,094 |
7 | Long | U.S. Treasury 5 Year Notes | March 2024 | 745,125 | 761,414 | 16,289 |
$27,789 |
Unrealized (Depreciation) | ||||||
3 | Short | Canada 10 Year Bonds | March 2024 | $269,537 | $281,152 | $(11,615) |
1 | Short | Euro-BUND | March 2024 | 147,642 | 151,484 | (3,842) |
2 | Short | U.S. Treasury Ultra Bonds | March 2024 | 242,989 | 267,187 | (24,198) |
$(39,655) | ||||||
Net Unrealized Appreciation (Depreciation) | $(11,866) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Citibank, N.A. | EUR | 6,000 | USD | 6,603 | 03/20/2024 | $— | $ (41) | |
Deutsche Bank AG | EUR | 64,000 | USD | 70,438 | 03/20/2024 | — | (432) | |
Goldman Sachs International | BRL | 191,000 | USD | 38,209 | 03/20/2024 | — | (826) | |
Unrealized Appreciation (Depreciation) | $— | $(1,299) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
55
Seasons Series Trust SA Multi-Managed
Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $1,777,670 | $— | $0 | $1,777,670 | |||
Other Industries | 24,776,474 | — | — | 24,776,474 | |||
Corporate Bonds & Notes | — | 3,465,834 | — | 3,465,834 | |||
Asset Backed Securities | — | 665,965 | — | 665,965 | |||
Collateralized Mortgage Obligations | — | 1,483,328 | — | 1,483,328 | |||
U.S. Government & Agency Obligations | — | 5,168,731 | — | 5,168,731 | |||
Foreign Government Obligations | — | 119,187 | — | 119,187 | |||
Municipal Securities | — | 163,057 | — | 163,057 | |||
Escrows and Litigation Trusts | — | 7 | — | 7 | |||
Purchased Options | — | 7,988 | — | 7,988 | |||
Repurchase Agreements | — | 605,000 | — | 605,000 | |||
Total Investments at Value | $26,554,144 | $11,679,097 | $0 | $38,233,241 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $39,020 | $— | $39,020 | |||
Futures Contracts | 27,789 | — | — | 27,789 | |||
Total Other Financial Instruments | $27,789 | $39,020 | $— | $66,809 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $39,655 | $— | $— | $39,655 | |||
Forward Foreign Currency Contracts | — | 1,299 | — | 1,299 | |||
Total Other Financial Instruments | $39,655 | $1,299 | $— | $40,954 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
56
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
57
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
58
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
59
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
60
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
61
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
62
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
63
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
64
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
65
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
66
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
67
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 60,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 582 | $ 4,324 | $ 4,906 | ||
Centrally Cleared | 120,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 71 | 7,753 | 7,824 | ||
Centrally Cleared | 225,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 988 | (12,500) | (11,512) | ||
$1,641 | $(423) | $1,218 |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
6 | Long | U.S. Treasury 2 Year Notes | March 2024 | $1,227,234 | $1,235,484 | $ 8,250 |
21 | Long | U.S. Treasury 5 Year Notes | March 2024 | 2,227,508 | 2,284,242 | 56,734 |
3 | Long | U.S. Treasury Ultra 10 Year Notes | March 2024 | 338,219 | 354,047 | 15,828 |
$80,812 |
Unrealized (Depreciation) | ||||||
8 | Short | Canada 10 Year Bonds | March 2024 | $ 717,716 | $ 749,737 | $ (32,021) |
1 | Short | Euro-BTP | March 2024 | 127,657 | 131,536 | (3,879) |
2 | Short | Euro-BUND | March 2024 | 295,285 | 302,969 | (7,684) |
2 | Short | U.S. Treasury Long Bonds | March 2024 | 230,672 | 249,875 | (19,203) |
9 | Short | U.S. Treasury Ultra Bonds | March 2024 | 1,086,088 | 1,202,343 | (116,255) |
$(179,042) | ||||||
Net Unrealized Appreciation (Depreciation) | $(98,230) |
* | 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. |
68
Seasons Series Trust SA Multi-Managed
Income Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Citibank, N.A. | EUR | 11,000 | USD | 12,106 | 03/20/2024 | $— | $ (75) | |
Deutsche Bank AG | EUR | 491,000 | USD | 540,394 | 03/20/2024 | — | (3,312) | |
Goldman Sachs International | BRL | 564,000 | USD | 112,826 | 03/20/2024 | — | (2,440) | |
Unrealized Appreciation (Depreciation) | $— | $(5,827) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $7,950,774 | $— | $7,950,774 | |||
Asset Backed Securities | — | 2,258,849 | — | 2,258,849 | |||
Collateralized Mortgage Obligations | — | 3,904,328 | — | 3,904,328 | |||
U.S. Government & Agency Obligations | — | 13,468,332 | — | 13,468,332 | |||
Foreign Government Obligations | — | 671,203 | — | 671,203 | |||
Municipal Securities | — | 450,006 | — | 450,006 | |||
Common Stocks | 4,545,139 | — | — | 4,545,139 | |||
Escrows and Litigation Trusts | — | 10 | — | 10 | |||
Purchased Options | — | 2,028 | — | 2,028 | |||
Repurchase Agreements | — | 910,000 | — | 910,000 | |||
Total Investments at Value | $4,545,139 | $29,615,530 | $— | $34,160,669 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $12,077 | $— | $12,077 | |||
Futures Contracts | 80,812 | — | — | 80,812 | |||
Total Other Financial Instruments | $80,812 | $12,077 | $— | $92,889 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $12,500 | $— | $12,500 | |||
Futures Contracts | 179,042 | — | — | 179,042 | |||
Forward Foreign Currency Contracts | — | 5,827 | — | 5,827 | |||
Total Other Financial Instruments | $179,042 | $18,327 | $— | $197,369 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
69
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
70
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
71
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
72
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
73
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
74
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
75
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
76
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
77
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
78
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
79
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
80
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 85,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 946 | $ 6,004 | $ 6,950 | ||
Centrally Cleared | 155,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 488 | 9,618 | 10,106 | ||
Centrally Cleared | 200,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 851 | (11,084) | (10,233) | ||
$2,285 | $4,538 | $6,823 |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
12 | Long | U.S. Treasury 10 Year Notes | March 2024 | $1,327,284 | $1,354,687 | $27,403 |
5 | Long | U.S. Treasury 2 Year Notes | March 2024 | 1,018,675 | 1,029,571 | 10,896 |
13 | Long | U.S. Treasury 5 Year Notes | March 2024 | 1,383,344 | 1,414,055 | 30,711 |
3 | Long | U.S. Treasury Ultra 10 Year Notes | March 2024 | 347,781 | 354,046 | 6,265 |
$75,275 |
Unrealized (Depreciation) | ||||||
8 | Short | Canada 10 Year Bonds | March 2024 | $717,716 | $749,737 | $ (32,021) |
1 | Short | Euro Buxl 30 Year Bonds | March 2024 | 146,406 | 156,452 | (10,046) |
1 | Short | Euro-BTP | March 2024 | 127,657 | 131,535 | (3,878) |
1 | Short | Euro-BUND | March 2024 | 147,642 | 151,484 | (3,842) |
2 | Short | U.S. Treasury Long Bonds | March 2024 | 230,672 | 249,875 | (19,203) |
6 | Short | U.S. Treasury Ultra Bonds | March 2024 | 724,059 | 801,563 | (77,504) |
$(146,494) | ||||||
Net Unrealized Appreciation (Depreciation) | $(71,219) |
* | 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. |
81
Seasons Series Trust SA Multi-Managed
Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Citibank, N.A. | EUR | 12,000 | USD | 13,207 | 03/20/2024 | $— | $ (82) | |
Deutsche Bank AG | EUR | 435,000 | USD | 478,760 | 03/20/2024 | — | (2,935) | |
Goldman Sachs International | BRL | 568,000 | USD | 113,626 | 03/20/2024 | — | (2,457) | |
Unrealized Appreciation (Depreciation) | $— | $(5,474) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $8,414,567 | $— | $8,414,567 | |||
Asset Backed Securities | — | 2,334,235 | — | 2,334,235 | |||
Collateralized Mortgage Obligations | — | 4,392,718 | — | 4,392,718 | |||
U.S. Government & Agency Obligations | — | 14,389,810 | — | 14,389,810 | |||
Foreign Government Obligations | — | 607,667 | — | 607,667 | |||
Municipal Securities | — | 466,141 | — | 466,141 | |||
Common Stocks | 11,637,098 | — | — | 11,637,098 | |||
Escrows and Litigation Trusts | — | 19 | — | 19 | |||
Purchased Options | — | 5,065 | — | 5,065 | |||
Repurchase Agreements | — | 1,365,000 | — | 1,365,000 | |||
Total Investments at Value | $11,637,098 | $31,975,222 | $— | $43,612,320 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $15,622 | $— | $15,622 | |||
Futures Contracts | 75,275 | — | — | 75,275 | |||
Total Other Financial Instruments | $75,275 | $15,622 | $— | $90,897 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $11,084 | $— | $11,084 | |||
Futures Contracts | 146,494 | — | — | 146,494 | |||
Forward Foreign Currency Contracts | — | 5,474 | — | 5,474 | |||
Total Other Financial Instruments | $146,494 | $16,558 | $— | $163,052 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
82
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
83
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
84
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
85
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
86
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
87
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
88
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
89
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
90
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
15 | Long | MSCI EAFE Index | March 2024 | $1,653,733 | $1,689,300 | $35,567 |
* | 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. |
Industry Allocation* | |
Banks | 11.2% |
Pharmaceuticals | 9.4 |
Semiconductors | 6.3 |
Insurance | 5.8 |
Oil & Gas | 4.4 |
Food | 3.7 |
Healthcare-Products | 3.0 |
Mining | 2.9 |
Auto Manufacturers | 2.8 |
Commercial Services | 2.7 |
Electric | 2.5 |
Chemicals | 2.5 |
Telecommunications | 2.5 |
Retail | 2.3 |
Cosmetics/Personal Care | 2.2 |
Machinery-Diversified | 2.1 |
Machinery-Construction & Mining | 2.0 |
Auto Parts & Equipment | 2.0 |
Miscellaneous Manufacturing | 1.9 |
Software | 1.9 |
Electrical Components & Equipment | 1.8 |
Internet | 1.7 |
Electronics | 1.5 |
Beverages | 1.4 |
Distribution/Wholesale | 1.4 |
Home Furnishings | 1.3 |
Diversified Financial Services | 1.3 |
Apparel | 1.2 |
Unaffiliated Investment Companies | 1.2 |
Aerospace/Defense | 1.1 |
Building Materials | 1.0 |
Computers | 0.7 |
Healthcare-Services | 0.6 |
Energy-Alternate Sources | 0.6 |
REITS | 0.5 |
Transportation | 0.5 |
Real Estate | 0.5 |
Household Products/Wares | 0.5 |
Home Builders | 0.5 |
Private Equity | 0.5 |
Biotechnology | 0.5 |
Engineering & Construction | 0.4 |
Food Service | 0.4 |
Hand/Machine Tools | 0.4 |
Agriculture | 0.4 |
Entertainment | 0.4 |
Lodging | 0.3 |
Advertising | 0.3 |
Media | 0.3 |
Packaging & Containers | 0.3 |
Iron/Steel | 0.3 |
Leisure Time | 0.2 |
Metal Fabricate/Hardware | 0.2 |
Repurchase Agreements | 0.2 |
Gas | 0.1 |
Investment Companies | 0.1 |
Toys/Games/Hobbies | 0.1 |
91
Seasons Series Trust SA Multi-Managed
International Equity Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Industry Allocation*(continued) | |
Short-Term Investments | 0.1% |
Forest Products & Paper | 0.1 |
Water | 0.1 |
Office/Business Equipment | 0.1 |
99.2% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $293,000,193 | $— | $— | $293,000,193 | |||
Unaffiliated Investment Companies | 3,466,100 | — | — | 3,466,100 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 74,846 | — | 74,846 | |||
Other Short-Term Investments | 227,626 | — | — | 227,626 | |||
Repurchase Agreements | — | 581,928 | — | 581,928 | |||
Total Investments at Value | $296,693,919 | $656,774 | $— | $297,350,693 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $35,567 | $— | $— | $35,567 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
92
Seasons Series Trust SA Multi-Managed
Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
93
Seasons Series Trust SA Multi-Managed
Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
94
Seasons Series Trust SA Multi-Managed
Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
95
Seasons Series Trust SA Multi-Managed
Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
2 | Long | S&P 500 E-Mini Index | March 2024 | $469,808 | $482,000 | $12,192 |
* | 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. |
96
Seasons Series Trust SA Multi-Managed
Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $346,074,571 | $— | $— | $346,074,571 | |||
Unaffiliated Investment Companies | 468,432 | — | — | 468,432 | |||
Purchased Options | — | 47,926 | — | 47,926 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 79,088 | — | 79,088 | |||
Other Short-Term Investments | 842,430 | — | — | 842,430 | |||
Repurchase Agreements | — | 384,996 | — | 384,996 | |||
Total Investments at Value | $347,385,433 | $512,010 | $— | $347,897,443 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $12,192 | $— | $— | $12,192 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
97
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
98
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
99
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
100
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
101
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
102
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
3 | Long | S&P 500 E-Mini Index | March 2024 | $704,712 | $723,000 | $18,288 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | EUR | 1,647,479 | USD | 1,807,737 | 03/28/2024 | $ — | $ (17,197) | |
USD | 128,173 | EUR | 116,285 | 03/28/2024 | 637 | — | ||
637 | (17,197) | |||||||
Goldman Sachs & Co. LLC | CAD | 1,072,289 | USD | 801,783 | 03/28/2024 | — | (8,400) | |
GBP | 3,006,994 | USD | 3,812,672 | 03/28/2024 | — | (21,757) | ||
— | (30,157) | |||||||
JPMorgan Chase Bank, N.A. | EUR | 1,647,479 | USD | 1,808,059 | 03/28/2024 | — | (16,876) | |
Morgan Stanley & Co. International PLC | CHF | 1,293,176 | USD | 1,505,566 | 03/28/2024 | — | (45,375) | |
EUR | 1,647,479 | USD | 1,808,059 | 03/28/2024 | — | (16,876) | ||
— | (62,251) | |||||||
Unrealized Appreciation (Depreciation) | $637 | $(126,481) |
CAD—Canadian Dollar |
CHF—Swiss Franc |
EUR—Euro Currency |
GBP—British Pound |
USD—United States Dollar |
103
Seasons Series Trust SA Multi-Managed
Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $502,931,788 | $— | $— | $502,931,788 | |||
Unaffiliated Investment Companies | 3,877,747 | — | — | 3,877,747 | |||
Short-Term Investments | — | 98,861 | — | 98,861 | |||
Repurchase Agreements | — | 3,062,471 | — | 3,062,471 | |||
Total Investments at Value | $506,809,535 | $3,161,332 | $— | $509,970,867 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $18,288 | $— | $— | $18,288 | |||
Forward Foreign Currency Contracts | — | 637 | — | 637 | |||
Total Other Financial Instruments | $18,288 | $637 | $— | $18,925 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $— | $126,481 | $— | $126,481 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
104
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
105
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
106
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
107
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
108
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
109
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Long | S&P Mid Cap 400 E-Mini Index | March 2024 | $266,991 | $280,950 | $13,959 |
* | 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. |
110
Seasons Series Trust SA Multi-Managed
Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Computer Data Security | $— | $— | $43,424 | $43,424 | |||
Computer Graphics | — | — | 43,733 | 43,733 | |||
Enterprise Software / Services | — | — | 5,750 | 5,750 | |||
Software | 22,974,639 | — | 161,337 | 23,135,976 | |||
Other Industries | 130,002,965 | — | — | 130,002,965 | |||
Convertible Preferred Stocks | — | — | 833,771 | 833,771 | |||
Unaffiliated Investment Companies | 3,096,299 | — | — | 3,096,299 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 44,487 | — | 44,487 | |||
Other Short-Term Investments | 51,063 | — | — | 51,063 | |||
Repurchase Agreements | — | 1,009,913 | — | 1,009,913 | |||
Total Investments at Value | $156,124,966 | $1,054,400 | $1,088,015 | $158,267,381 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $13,959 | $— | $— | $13,959 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
The following is a
reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | Warrants | |||
Balance as of March 31, 2023 | $981,923 | $737,377 | $0 | ||
Accrued Discounts | — | — | — | ||
Accrued Premiums | — | — | — | ||
Realized Gain | 651,329 | — | — | ||
Realized Loss | — | (68,787) | — | ||
Change in unrealized appreciation(1) | 49,969 | 179,823 | — | ||
Change in unrealized depreciation(1) | (612,459) | (14,642) | — | ||
Net purchases | — | — | — | ||
Net sales | (816,518) | (0) | (0) | ||
Transfers into Level 3 | — | — | — | ||
Transfers out of Level 3 | — | — | — | ||
Balance as of December 31, 2023 | $254,244 | $833,771 | $— |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at December 31, 2023 includes: |
Common Stocks | Convertible Preferred Securities | Warrants | |||
$43,100 | $96,394 | $— |
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 December 31, 2023.
Level 3 investments in
securities were not considered a significant portion of the Portfolio’s net assets at the end of the period.
See Notes to Portfolio of
Investments
111
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
112
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
113
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
114
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
115
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
116
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
117
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
118
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
119
Seasons Series Trust SA Multi-Managed
Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Long | S&P Mid Cap 400 E-Mini Index | March 2024 | $266,991 | $280,950 | $13,959 |
* | 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 December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Packaging & Containers | $4,097,789 | $1,968 | $— | $4,099,757 | |||
Other Industries | 189,710,001 | — | — | 189,710,001 | |||
Unaffiliated Investment Companies | 1,286,749 | — | — | 1,286,749 | |||
Escrows and Litigation Trusts | — | — | 0 | 0 | |||
Short-Term Investments: | |||||||
Unaffiliated Investment Companies | 2,144,129 | — | — | 2,144,129 | |||
Other Short-Term Investments | — | 965,899 | — | 965,899 | |||
Repurchase Agreements | — | 143,320 | — | 143,320 | |||
Total Investments at Value | $197,238,668 | $1,111,187 | $0 | $198,349,855 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $13,959 | $— | $— | $13,959 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
120
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
121
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
122
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
123
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
124
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
125
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
126
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
127
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
128
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
129
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
130
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
131
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
132
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
133
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
134
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
135
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
136
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 65,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 723 | $ 4,591 | $ 5,314 | ||
Centrally Cleared | 120,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 71 | 7,753 | 7,824 | ||
Centrally Cleared | 230,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 1,016 | (12,784) | (11,768) | ||
$1,810 | $(440) | $1,370 |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Long | E-Mini Russell 2000 Index | March 2024 | $ 100,262 | $ 102,385 | $ 2,123 |
5 | Long | U.S. Treasury 10 Year Notes | March 2024 | 563,828 | 564,453 | 625 |
6 | Long | U.S. Treasury 2 Year Notes | March 2024 | 1,222,409 | 1,235,484 | 13,075 |
17 | Long | U.S. Treasury 5 Year Notes | March 2024 | 1,803,219 | 1,849,149 | 45,930 |
1 | Long | U.S. Treasury Ultra 10 Year Notes | March 2024 | 112,742 | 118,015 | 5,273 |
$67,026 |
Unrealized (Depreciation) | ||||||
8 | Short | Canada 10 Year Bonds | March 2024 | $717,716 | $749,737 | $ (32,021) |
1 | Short | Euro Buxl 30 Year Bonds | March 2024 | 146,406 | 156,452 | (10,046) |
1 | Short | Euro-BTP | March 2024 | 127,657 | 131,536 | (3,879) |
1 | Short | Euro-BUND | March 2024 | 147,642 | 151,484 | (3,842) |
2 | Short | U.S. Treasury Long Bonds | March 2024 | 230,641 | 249,875 | (19,234) |
5 | Short | U.S. Treasury Ultra Bonds | March 2024 | 603,382 | 667,968 | (64,586) |
$(133,608) | ||||||
Net Unrealized Appreciation (Depreciation) | $(66,582) |
* | 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. |
137
Seasons Series Trust SA Multi-Managed
Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Citibank, N.A. | EUR | 11,000 | USD | 12,106 | 03/20/2024 | $— | $ (75) | |
Deutsche Bank AG | EUR | 433,000 | USD | 476,559 | 03/20/2024 | — | (2,921) | |
Goldman Sachs International | BRL | 551,000 | USD | 110,225 | 03/20/2024 | — | (2,384) | |
Unrealized Appreciation (Depreciation) | $— | $(5,380) |
BRL—Brazilian Real |
EUR—Euro Currency |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $2,233,791 | $— | $0 | $2,233,791 | |||
Other Industries | 31,561,139 | — | — | 31,561,139 | |||
Corporate Bonds & Notes | — | 8,042,565 | — | 8,042,565 | |||
Asset Backed Securities | — | 2,333,266 | — | 2,333,266 | |||
Collateralized Mortgage Obligations | — | 3,855,935 | — | 3,855,935 | |||
U.S. Government & Agency Obligations | — | 13,702,405 | — | 13,702,405 | |||
Foreign Government Obligations | — | 601,442 | — | 601,442 | |||
Municipal Securities | — | 433,810 | — | 433,810 | |||
Escrows and Litigation Trusts | — | 10 | — | 10 | |||
Purchased Options | — | 10,062 | — | 10,062 | |||
Repurchase Agreements | — | 1,445,000 | — | 1,445,000 | |||
Total Investments at Value | $33,794,930 | $30,424,495 | $0 | $64,219,425 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $12,344 | $— | $12,344 | |||
Futures Contracts | 67,026 | — | — | 67,026 | |||
Total Other Financial Instruments | $67,026 | $12,344 | $— | $79,370 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $12,784 | $— | $12,784 | |||
Futures Contracts | 133,608 | — | — | 133,608 | |||
Forward Foreign Currency Contracts | — | 5,380 | — | 5,380 | |||
Total Other Financial Instruments | $133,608 | $18,164 | $— | $151,772 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
138
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
139
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
140
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
141
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
142
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
143
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
144
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
145
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
146
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
147
Seasons Series Trust SA Multi-Managed
Small Cap Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
16 | Long | E-Mini Russell 2000 Index | March 2024 | $1,614,168 | $1,638,160 | $23,992 |
* | 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 December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $5,641,973 | $— | $0 | $5,641,973 | |||
Other Industries | 152,358,306 | — | — | 152,358,306 | |||
Unaffiliated Investment Companies | 1,240,653 | — | — | 1,240,653 | |||
Warrants | 2,426 | — | — | 2,426 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 69,202 | — | 69,202 | |||
Other Short-Term Investments | 1,125,062 | — | — | 1,125,062 | |||
Repurchase Agreements | — | 140,680 | — | 140,680 | |||
Total Investments at Value | $160,368,420 | $209,882 | $0 | $160,578,302 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $23,992 | $— | $— | $23,992 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3
investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to
Portfolio of Investments
148
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
149
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
150
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
151
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
152
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
153
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
154
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
155
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
156
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
157
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
158
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
159
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
160
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
161
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
162
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
163
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
164
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
165
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
166
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
167
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
168
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
169
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
170
Seasons Series Trust SA Putnam Asset
Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Equity Swaps | |||||||||||
Counterparty | Pay/ Recieve | Underlying Reference | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | ||
Bank of America, N.A. | Pay | Alinma Bank AB | 1-Month SOFR + 1.000% | Monthly | 06/23/2025 | $101,960 | $— | $413 | $413 |
SOFR—Secured Overnight Financing Rate |
Written Options on Securities | ||||||||||
Counterparty (OTC)/Exchange-Traded | Name of Issuer | Strike price | Expiration date | Number of contracts | Notional amount | Premiums | Value | Unrealized Appreciation (Depreciation) | ||
Puts | ||||||||||
Citibank, N.A. | Put option on the S&P 500 Index | 3,500.00 | 12/20/2024 | (1,262) | $1,262 | $92,442 | $50,070 | $42,372 |
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PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
17 | Long | MSCI EAFE Index | March 2024 | $1,889,882 | $1,914,540 | $ 24,658 |
1 | Long | U.S. Treasury 10 Year Notes | March 2024 | 109,188 | 112,891 | 3,703 |
10 | Long | U.S. Treasury 2 Year Notes | March 2024 | 2,037,875 | 2,059,141 | 21,266 |
12 | Long | U.S. Treasury 5 Year Notes | March 2024 | 1,275,281 | 1,305,281 | 30,000 |
3 | Long | U.S. Treasury Ultra Bonds | March 2024 | 364,797 | 400,781 | 35,984 |
$115,611 |
Unrealized (Depreciation) | ||||||
10 | Short | S&P 500 E-Mini Index | March 2024 | $2,375,117 | $2,410,000 | $(34,883) |
Net Unrealized Appreciation (Depreciation) | $80,728 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | USD | 472,578 | TWD | 15,032,700 | 02/21/2024 | $ 23,505 | $ — | |
Citibank, N.A. | DKK | 632,700 | USD | 91,950 | 03/20/2024 | — | (2,114) | |
USD | 240,843 | HKD | 1,881,100 | 02/21/2024 | 330 | — | ||
330 | (2,114) | |||||||
Goldman Sachs International | ILS | 823,000 | USD | 214,239 | 01/17/2024 | — | (13,124) | |
USD | 858,107 | CNH | 6,240,500 | 02/21/2024 | 20,564 | — | ||
20,564 | (13,124) | |||||||
HSBC Bank PLC | EUR | 68,900 | USD | 74,734 | 03/20/2024 | — | (1,562) | |
USD | 78,619 | JPY | 11,588,600 | 02/21/2024 | 4,175 | — | ||
USD | 246,193 | SEK | 2,570,500 | 03/20/2024 | 9,434 | — | ||
13,609 | (1,562) | |||||||
JPMorgan Chase Bank, N.A. | NOK | 450,600 | USD | 41,805 | 03/20/2024 | — | (2,622) | |
USD | 81,189 | GBP | 64,400 | 03/20/2024 | 930 | — | ||
USD | 489,674 | JPY | 72,260,000 | 02/21/2024 | 26,588 | — | ||
USD | 494,128 | KRW | 641,501,100 | 02/21/2024 | 2,658 | — | ||
30,176 | (2,622) | |||||||
Morgan Stanley & Co. International PLC | EUR | 634,800 | USD | 695,948 | 03/20/2024 | — | (6,994) | |
JPY | 74,620,000 | USD | 527,168 | 02/21/2024 | — | (5,956) | ||
USD | 540,341 | GBP | 428,500 | 03/20/2024 | 6,054 | — | ||
6,054 | (12,950) | |||||||
State Street Bank & Trust Company | EUR | 604,300 | USD | 655,387 | 03/20/2024 | — | (13,781) | |
USD | 80,521 | AUD | 127,100 | 01/17/2024 | 6,131 | — | ||
USD | 467,961 | CHF | 404,300 | 03/20/2024 | 16,527 | — | ||
USD | 353,255 | CNY | 2,569,700 | 02/21/2024 | 9,891 | — | ||
USD | 98,969 | SGD | 134,200 | 02/21/2024 | 2,946 | — | ||
35,495 | (13,781) | |||||||
Westpac Banking Corp. | USD | 624,328 | EUR | 578,400 | 03/20/2024 | 16,160 | — | |
Unrealized Appreciation (Depreciation) | $145,893 | $(46,153) |
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PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
TWD—New Taiwan Dollar |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Pharmaceuticals | $10,621,719 | $— | $854 | $10,622,573 | |||
Other Industries | 143,887,124 | — | — | 143,887,124 | |||
Convertible Preferred Stocks | 21,090 | — | — | 21,090 | |||
Corporate Bonds & Notes | — | 15,599,909 | — | 15,599,909 | |||
Convertible Bonds & Notes | — | 20,544 | — | 20,544 | |||
Loans | — | 450,447 | — | 450,447 | |||
Asset Backed Securities | — | 235,393 | — | 235,393 | |||
Collateralized Mortgage Obligations | — | 4,452,889 | — | 4,452,889 | |||
U.S. Government & Agency Obligations | — | 13,274,230 | — | 13,274,230 | |||
Municipal Securities | — | 82,270 | — | 82,270 | |||
Unaffiliated Investment Companies | 1,490,253 | — | — | 1,490,253 | |||
Escrows and Litigation Trusts | — | 1,757 | 2 | 1,759 | |||
Purchased Options | — | 290,010 | — | 290,010 | |||
Warrants | — | 26,633 | — | 26,633 | |||
Short-Term Investments | — | 5,936,242 | — | 5,936,242 | |||
Repurchase Agreements | — | 5,000,000 | — | 5,000,000 | |||
Total Investments at Value | $156,020,186 | $45,370,324 | $856 | $201,391,366 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $413 | $— | $413 | |||
Futures Contracts | 115,611 | — | — | 115,611 | |||
Forward Foreign Currency Contracts | — | 145,893 | — | 145,893 | |||
Written Options | — | 42,372 | — | 42,372 | |||
Total Other Financial Instruments | $115,611 | $188,678 | $— | $304,289 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $34,883 | $— | $— | $34,883 | |||
Forward Foreign Currency Contracts | — | 46,153 | — | 46,153 | |||
Total Other Financial Instruments | $34,883 | $46,153 | $— | $81,036 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
173
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Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited)
174
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Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
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PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of December 31, 2023 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Applications Software | $— | $— | $240,378 | $240,378 | |||
Computer Graphics | — | — | 229,332 | 229,332 | |||
Entertainment Software | — | — | 968,420 | 968,420 | |||
Software | 57,303,850 | — | 8,402 | 57,312,252 | |||
Other Industries | 192,114,946 | — | — | 192,114,946 | |||
Convertible Preferred Stocks | — | — | 2,135,250 | 2,135,250 | |||
Escrows and Litigation Trusts | — | — | 495,008 | 495,008 | |||
Short-Term Investments | 545,834 | — | — | 545,834 | |||
Total Investments at Value | $249,964,630 | $— | $4,076,790 | $254,041,420 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
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PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is a
reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | Escrows and Litigation Trust | |||
Balance as of March 31, 2023 | $2,464,045 | $3,732,941 | $— | ||
Accrued Discounts | — | — | — | ||
Accrued Premiums | — | — | — | ||
Realized Gain | — | — | — | ||
Realized Loss | (675,500) | — | — | ||
Change in unrealized appreciation(1) | 787,727 | 78,051 | — | ||
Change in unrealized depreciation(1) | (328,282) | (1,490,352) | (10,515) | ||
Net purchases | — | — | 505,523 | ||
Net sales | (722,176) | — | — | ||
Transfers into Level 3 | — | — | — | ||
Transfers out of Level 3(2) | (79,282) | (185,390) | — | ||
Balance as of December 31, 2023 | $1,446,532 | $2,135,250 | $495,008 |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at December 31, 2023 includes: |
Common Stocks | Convertible Preferred Securities | Convertible Bonds & Notes | |||
$(148,103) | $(1,305,427) | $(10,515) |
Any differences between the
change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at December 31, 2023.
(2) | Private Common Stock and Convertible Preferred Securities were converted to Common Lock-up Shares following the Company's IPO listings. Securities are now valued using Level 1 inputs. |
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PORTFOLIO OF INVESTMENTS
— December 31, 2023— (unaudited) — (continued)
The following is quantitative
information about Level 3 fair value measurements:
Description | Fair Value at December 31, 2023 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average)# |
Common Stocks | $229,332 | Market Approach | Transaction Price* | $1,066.6611 |
$240,378 | Market Approach | Transaction Price* | ($20.13-$21.42) $20.775^ | |
Gross Profit Multiple* | 12.75x | |||
$968,420 | Market Approach | Revenue Multiple* | 5.78x | |
$8,402 | Market Approach & | Transaction Price* | $19.20 | |
Cost Approach | Tangible Book Value* | $0.00 | ||
Convertible Preferred Securities | $503,535 | Market Approach | Transaction Price* | ($47.7359-$1,066.6611)$112.4890 |
$235,294 | Market Approach | Transaction Price* | $20.85 | |
Adjustment to Last Capital Raise | 80.0% | |||
$289,027 | Market Approach | Transaction Price* | $78.2013 | |
Adjustment to Last Capital Raise* | -30.00% | |||
Sales Multiple* | 3.185x | |||
Volatility* | 80.00% | |||
Term (years) | 5.00 | |||
Discount for Lack of Marketability | 10.00% | |||
$420,251 | Market Approach | Employee Liquidity Transaction* | $24.2700 | |
Revenue Multiple* | 9.50x | |||
Sales Multiple* | 2.18x | |||
Volatility* | 80.00% | |||
Term (years) | 4.26 | |||
Discount for Lack of Marketability | 10.0% | |||
$41,716 | Market Approach | Revenue Multiple* | 13.3x | |
Gross Profit Multiple* | 16.9x | |||
$179,133 | Market Approach | Sales Multiple* | 1.4x | |
Discount for Lack of Marketability | 10.0% | |||
$129,858 | Market Approach | Sales Multiple* | 7.55x | |
Gross Profit Multiple* | 8.85x | |||
Discount for Lack of Marketability | 10.0% | |||
$336,436 | Market Approach | EBITDA Multiple* | 18.80x | |
Gross Merchandise Volume Multiple* | 0.55x | |||
Gross Profit Multiple* | 8.88x | |||
Discount for Lack of Marketability | 10.0% | |||
Escrow and Litagation Trusts | $495,008 | Income Approach | Discount for Lack of Marketability | $0.0208 |
(1) | The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship. |
# | The average represents the arithmetic average of the inputs and is weighted by the relative fair value or notional amount. |
^ | The average represents the arithmetic average of the inputs and is not weighted by the relative fair value or notional amount. |
See Notes to Portfolio of
Investments
178
NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited)
Note
1 — Security Valuation
In accordance with the
authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Portfolios disclose the fair value of their
investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling
an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the
inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or
liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability
developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market
participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 — Unadjusted
quoted prices in active markets for identical securities
Level 2 — Other
significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active
markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures adopted by the Board of Trustees (the “Board”), etc.)
Level 3 — Significant
unobservable inputs (includes inputs that reflect the Portfolios’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available
under the circumstances)
Changes in valuation
techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with
investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
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 December 31, 2023, is reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Stocks are generally
valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using
the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will
be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of
regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of
valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary
market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s shares,
and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign
markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that
closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures adopted by the Board to reflect what it believes to be the
fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio
is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and
when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures and
other debt securities are valued at evaluated bid prices obtained for the day of valuation from an independent pricing service, and are generally categorized as Level 2. The pricing 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
an independent pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate
loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by an independent loan pricing service, and are generally categorized as Level 2.
Investments in
registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last
sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Investments in registered investment companies are generally categorized
as Level 1.
Futures contracts
traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by an independent pricing service, and are generally categorized as
Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price
179
NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
reported by an independent pricing service
as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in over the counter (“OTC”) market are valued at the mid valuation provided by an
independent 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 an independent pricing service, and are generally categorized and 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 an independent pricing service, and are generally categorized as Level 2. Swap contracts traded in the OTC
market are valued at a mid valuation provided by an independent pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00
p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are
valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or
OTC market, and are generally categorized as Level 1 or Level 2. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments
or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
The Board must
determine fair value in good faith for portfolio holdings for which market quotations are not readily available or are unreliable. The Board has designated SAAMCo as the valuation designee ("Valuation Designee") to
perform the fair valuation determinations relating to any or all fund investments. SAAMCo, as the Valuation Designee, has adopted policies and procedures and has established a pricing review committee to determine the
fair value of the designated portfolio holdings on its behalf.
Derivative Instruments:
Forward Foreign Currency Contracts: A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract
will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized appreciation or
depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to a Portfolio
of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the
terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio’s
maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange
rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may
have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to
the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on
repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign
currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Futures: A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a
Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by a
Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. 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. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict
trading in futures contracts. While a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a
result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell
other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.
Future contracts
outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Options: An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put
option, it receives a premium which is equal to the current market value of the option written. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option.
The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the
underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a
gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related
to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are
increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased
upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.
Risks to a Portfolio
of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of
their contracts. If the counterparty defaults, a Portfolio’s loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an
unfavorable change in the value of the underlying securities. 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
180
NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
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, inflation, 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. Unlike a bilateral swap contract, for centrally cleared swaps, a Portfolio has no credit exposure to the counterparty as the CCP stands between the Portfolios and the counterparty. Swaps are
marked-to-market daily and the changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap
contracts. When the swap is terminated, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolio’s basis in the
contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a
Portfolio are included as part of realized gain (loss).
Credit Default Swap Agreements: Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to
as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or
index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event.
As the seller, a Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional amount of the swap. If a
Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional
amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or
securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a
Portfolio will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Portfolio for future potential losses as a result of a credit event on the reference bond or
other asset. A Portfolio effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Portfolio is a buyer of protection and a credit event occurs, as defined
under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other
deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery
value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors
and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified
valuation method, are used to calculate the settlement value.
Credit default swaps
on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange
for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in
lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection’s right to choose the deliverable obligation with the
lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers
(i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a
particular issuer’s default.
Credit default swaps
on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified
payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to
the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the
outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be
adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit
position with an active long or short position with respect to the likelihood of a particular referenced obligation’s default.
Credit default swaps
on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified
payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit
instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities
in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging
markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default
swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six
months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than
it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in
credit quality.
Implied credit
spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a
schedule at the end of each Portfolio’s Portfolio of Investments and serve as an indicator of the current status of the
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INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
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: Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical
custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of
securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will
receive a payment from or make a payment to the counterparty.
The counterparty to an
equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which
the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In
these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased
in value had it been invested in such stocks.
Therefore, the return
to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a
Portfolio may agree to pay to the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different
stocks (or indices of stocks).
A Portfolio will
generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments.
Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of
loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio’s risk of loss
consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock)
may also be sensitive to changes in interest rates.
Equity swap contracts
outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Inflation Swap Agreements: In an inflation swap, one party pays a fixed rate on a notional principal amount while the other party pays a floating rate linked to an inflation
index on that same notional amount. The party paying the floating rate pays the inflation adjusted rate multiplied by the notional principal amount. If the average inflation rate over the term of the swap is the same
as the fixed rate of the swap, the two legs will have the same value and the swap will break even.
Inflation swap
contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Interest Rate Swap Agreements: Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest with
respect to the notional amount of principal. Since interest rate swaps are individually negotiated, a Portfolio expects to achieve an acceptable degree of correlation between their respective portfolio investments and
their interest rate positions. A Portfolio will enter into interest rate swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolios receiving or paying, as the case may be,
only the net amount of the two payments.
A cross-currency swap
is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.
Interest rate swaps do
not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is
contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio’s risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually
entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities
transactions.
Interest rate swap
contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into 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.
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
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INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
provisions regarding, among other things,
the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio
and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a
Portfolio to post additional collateral upon the occurrence of certain events, such as when the Portfolio’s net assets fall below a specified level. In addition, Master Agreements typically specify certain
standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline the
Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and
short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate
early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the
terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in
excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a
particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments
subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements.
The following table
represents the Portfolio’s objectives for using derivative instruments for the period ended December 31, 2023:
Objectives for Using Derivatives | |||||||||||||||
Fund | Futures Contracts | Foreign Forward Exchange Contracts | Options Contracts | Inflation Swap Contracts | Interest Rate Swap Contracts | Credit Default Swap Contracts | Equity Swap Contracts | ||||||||
SA American Century Inflation Protection | 1 | 2 | — | 3 | — | — | — | ||||||||
SA Multi-Managed Diversified Fixed Income . . . | 1 | 2 | — | — | 1 | 3, 4 | — | ||||||||
SA Multi-Managed Growth | 1, 5 | 2 | 6 | — | 1 | 3, 4 | — | ||||||||
SA Multi-Managed Income | 1 | 2 | 6 | — | 1 | 3, 4 | — | ||||||||
SA Multi-Managed Income/Equity | 1 | 2 | 6 | — | 1 | 3, 4 | — | ||||||||
SA Multi-Managed International Equity | 5 | — | — | — | — | — | — | ||||||||
SA Multi-Managed Large Cap Growth | 5 | — | 6 | — | — | — | — | ||||||||
SA Multi-Managed Large Cap Value | 5 | 2 | — | — | — | — | — | ||||||||
SA Multi-Managed Mid Cap Growth | 5 | — | — | — | — | — | — | ||||||||
SA Multi-Managed Mid Cap Value | 5 | — | — | — | — | — | — | ||||||||
SA Multi-Managed Moderate Growth | 1, 5 | 2 | 6 | — | 1 | 3, 4 | — | ||||||||
SA Multi-Managed Small Cap | 5 | — | — | — | — | — | — | ||||||||
SA Putnam Asset Allocation Diversified Growth . . | 1, 5 | 2 | 3 | — | — | — | 3 |
(1) | To manage interest rate risk and the duration of the portfolio. |
(2) | To manage foreign currency exchange rate risk. |
(3) | To manage against or gain exposure to certain securities and/or sectors. |
(4) | To manage credit risk. |
(5) | To manage exposures in certain securities markets. |
(6) | To manage foreign currency risk resulting directly or indirectly from investments in equity holdings. |
Note
2 — Repurchase Agreements
As of December 31,
2023, the following Portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:
Portfolio | Percentage Ownership | Principal Amount | ||
SA Multi-Managed Diversified Fixed Income Portfolio | 16.18% | $2,225,000 | ||
SA Multi-Managed Growth Portfolio | 0.87 | 120,000 | ||
SA Multi-Managed Income Portfolio | 1.31 | 180,000 | ||
SA Multi-Managed Income/Equity Portfolio | 1.96 | 270,000 | ||
SA Multi-Managed Large Cap Value Portfolio | 3.67 | 505,000 | ||
SA Multi-Managed Mid Cap Growth Portfolio | 1.09 | 150,000 | ||
SA Multi-Managed Moderate Growth Portfolio | 2.07 | 285,000 |
As of such date, the
repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America
Securities LLC, dated December 29, 2023, bearing interest at a rate of 5.29% per annum, with a principal amount of $13,750,000, a repurchase price of $13,762,084, and a maturity date of January 2, 2024. The repurchase
agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Bills | 4.80% | 12/26/2024 | $14,710,000 | $14,034,348 |
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NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
As of December 31,
2023, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||
SA Multi-Managed Diversified Fixed Income Portfolio | 16.29% | $2,280,000 | ||
SA Multi-Managed Growth Portfolio | 0.89 | 125,000 | ||
SA Multi-Managed Income Portfolio | 1.36 | 190,000 | ||
SA Multi-Managed Income/Equity Portfolio | 2.00 | 280,000 | ||
SA Multi-Managed Large Cap Value Portfolio | 3.82 | 535,000 | ||
SA Multi-Managed Mid Cap Growth Portfolio | 1.21 | 170,000 | ||
SA Multi-Managed Moderate Growth Portfolio | 2.14 | 300,000 |
As of such date, the
repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital,
Inc., dated December 29, 2023, bearing interest at a rate of 5.32% per annum, with a principal amount of $14,000,000, a repurchase price of $14,088,276 and a maturity date of January 2, 2024. The repurchase agreement
is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Notes | 1.88% | 02/15/2032 | $16,462,000 | $14,305,648 |
As of December 31,
2023, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:
Portfolio | Percentage Ownership | Principal Amount | ||
SA Multi-Managed Diversified Fixed Income Portfolio | 16.14% | $2,260,000 | ||
SA Multi-Managed Growth Portfolio | 0.86 | 120,000 | ||
SA Multi-Managed Income Portfolio | 1.29 | 180,000 | ||
SA Multi-Managed Income/Equity Portfolio | 1.96 | 275,000 | ||
SA Multi-Managed Large Cap Value Portfolio | 3.68 | 515,000 | ||
SA Multi-Managed Mid Cap Growth Portfolio | 1.11 | 155,000 | ||
SA Multi-Managed Moderate Growth Portfolio | 2.07 | 290,000 |
As of such date, the
repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated
December 29, 2023, bearing interest at a rate of 5.31% per annum, with a principal amount of $14,000,000, a repurchase price of $14,008,260, and a maturity date of January 2, 2024. The repurchase agreement is
collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Bonds | 4.63% | 02/15/2040 | $13,075,900 | $14,300,171 |
As of December 31,
2023, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | ||
SA Multi-Managed Diversified Fixed Income Portfolio | 16.14% | $2,220,000 | ||
SA Multi-Managed Growth Portfolio | 0.87 | 120,000 | ||
SA Multi-Managed Income Portfolio | 1.31 | 180,000 | ||
SA Multi-Managed Income/Equity Portfolio | 1.96 | 270,000 | ||
SA Multi-Managed Large Cap Value Portfolio | 3.67 | 505,000 | ||
SA Multi-Managed Mid Cap Growth Portfolio | 1.09 | 150,000 | ||
SA Multi-Managed Moderate Growth Portfolio | 2.07 | 285,000 |
As of such date, the
repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG,
dated December 29, 2023, bearing interest at a rate of 5.30% per annum, with a principal amount of $13,753,000, a repurchase price of $13,761,099 and a maturity date of January 2, 2024. The repurchase agreement is
collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Notes | 3.50% | 04/30/2028 | $14,256,000 | $14,112,146 |
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NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
As of December 31,
2023, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||
SA Multi-Managed Diversified Fixed Income Portfolio | 16.14% | $2,220,000 | ||
SA Multi-Managed Growth Portfolio | 0.87 | 120,000 | ||
SA Multi-Managed Income Portfolio | 1.31 | 180,000 | ||
SA Multi-Managed Income/Equity Portfolio | 1.96 | 270,000 | ||
SA Multi-Managed Large Cap Value Portfolio | 3.67 | 505,000 | ||
SA Multi-Managed Mid Cap Growth Portfolio | 1.09 | 150,000 | ||
SA Multi-Managed Moderate Growth Portfolio | 2.07 | 285,000 |
As of such date, the
repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc.,
dated December 29, 2023, bearing interest at a rate of 5.30% per annum, with a principal amount of $13,753,000 a repurchase price of $13,761,099, and a maturity date of January 2, 2024. The repurchase agreement is
collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Notes | 3.88% | 04/30/2025 | $14,070,000 | $14,026,346 |
Note
3 — Transactions with Affiliates:
As disclosed in the Portfolio of
Investments, certain Portfolios owned shares of various portfolios of the Seasons Series Trust, SunAmerica Series Trust and securities issued by
American International Group, Inc. (“AIG”) or an affiliate thereof. For the period ended December 31, 2023, transactions in these securities were as follows:
SA Allocation Balanced Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $349,906 | $— | $7,172,172 | $872,378 | $834,564 | $(44,513) | $(317,369) | $6,848,104 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | 42,680 | 164,938 | 2,798,970 | 279,421 | 256,555 | (1,950) | (36,766) | 2,783,120 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 768,236 | — | 39,968,940 | 1,676,846 | 9,213,572 | (1,855,247) | 1,690,980 | 32,267,947 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 128,074 | 16,634 | 5,735,548 | 281,886 | 489,536 | (79,461) | 335,610 | 5,784,047 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 13,058 | 4,499,733 | 104,967 | 928,190 | (196,753) | 983,046 | 4,462,803 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 100,703 | 627,108 | 4,624,242 | 842,695 | 410,487 | 68,773 | (309,557) | 4,815,666 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 803,220 | 22,977 | 82,097 | (58,526) | 149,929 | 835,503 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 17,058 | 104,967 | 1,585,581 | 158,296 | 332,969 | (17,422) | 53,902 | 1,447,388 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 4,945 | 35,038 | 1,602,148 | 74,450 | 573,147 | (190,969) | 234,242 | 1,146,724 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 92,040 | 2,226,794 | 133,487 | 395,282 | (253,606) | 648,670 | 2,360,063 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 369,794 | 5,273,914 | 488,570 | 924,594 | 43,359 | 557,473 | 5,438,722 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 10,581 | 100,884 | 1,229,343 | 140,187 | 152,622 | 29,162 | 16,647 | 1,262,717 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 32,164 | — | 2,832,982 | 100,958 | 250,473 | 5,934 | 58,247 | 2,747,648 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | 13,757 | — | 571,847 | 29,486 | 57,409 | (3,313) | 12,113 | 552,724 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | 524,081 | — | 5,754,941 | 9,749,990 | 826,473 | (144,338) | 424,940 | 14,959,060 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | 9,258 | — | 3,035,501 | 78,873 | 449,342 | (23,447) | 330,246 | 2,971,831 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | 34,619 | 89,426 | 2,171,555 | 169,544 | 666,580 | (49,928) | 61,751 | 1,686,342 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | 296,341 | — | 13,596,635 | 3,138,752 | 1,204,513 | (81,631) | 160,784 | 15,610,027 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 160,965 | — | 12,857,355 | 433,723 | 6,483,731 | (659,228) | 598,443 | 6,746,562 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 112,791 | 451,315 | 5,267,490 | 676,570 | 1,002,473 | (46,094) | (121,993) | 4,773,500 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 5,362 | 76,494 | 1,094,339 | 109,510 | 102,182 | (12,524) | 39,154 | 1,128,297 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | 22,017 | 140,129 | 1,511,781 | 199,483 | 133,408 | 22,180 | 18,405 | 1,618,441 | ||||||||
SA International Index Portfolio, Class 1 | 40,898 | — | 741,319 | 963,603 | 85,966 | 8,906 | 131,532 | 1,759,394 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 1,214,716 | 28,721 | 102,622 | (100,640) | 157,546 | 1,197,721 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 2,151,734 | 40,210 | 793,671 | (331,609) | 696,395 | 1,763,059 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 32,362 | — | 853,128 | 54,519 | 80,983 | (614) | 7,718 | 833,768 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 145,469 | 541,788 | 6,558,679 | 831,314 | 1,115,357 | (45,085) | (225,210) | 6,004,341 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | 22,411 | 93,055 | 2,846,435 | 181,524 | 236,030 | (6,007) | 407,492 | 3,193,414 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 974,026 | — | 30,737,378 | 5,938,543 | 2,724,675 | (334,252) | 453,282 | 34,070,276 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 2,297,003 | 55,726 | 196,545 | (36,459) | 350,091 | 2,469,816 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 26,241 | 126,214 | 4,215,156 | 1,274,136 | 429,551 | 63,685 | 689,588 | 5,813,014 | ||||||||
SA Large Cap Index Portfolio, Class 1 | 75,912 | 221,518 | 5,411,262 | 443,477 | 521,995 | 80,944 | 511,827 | 5,925,515 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | 86,468 | 464,902 | 3,653,592 | 2,635,457 | 477,827 | 84,408 | 204,267 | 6,099,897 |
185
NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
SA Allocation Balanced Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
SA MFS Blue Chip Growth, Class 1 | $20,515 | $68,627 | $4,703,036 | $189,828 | $1,308,872 | $(92,553) | $979,147 | $4,470,586 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | 25,329 | 247,360 | 2,864,453 | 344,493 | 256,555 | (48,245) | 185,783 | 3,089,929 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | 15,154 | 30,887 | 1,384,323 | 77,634 | 212,884 | 21,689 | 71,464 | 1,342,226 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 47,456 | — | 4,001,027 | 135,258 | 1,010,095 | (141,103) | 217,112 | 3,202,199 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | 75,092 | — | 1,657,047 | 411,613 | 382,296 | (15,649) | 116,060 | 1,786,775 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 460,736 | — | 4,180,312 | 3,605,074 | 522,663 | (35,553) | 244,768 | 7,471,938 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 90,370 | — | 4,670,256 | 189,796 | 1,449,209 | 303,544 | (4,146) | 3,710,241 | ||||||||
SA Small Cap Index Portfolio, Class 1 | 9,003 | 4,189 | 1,126,219 | 36,169 | 232,097 | 17,697 | 91,062 | 1,039,050 | ||||||||
SA Wellington Capital Appreciation Portfolio, Class 1 | — | — | — | 1,360,296 | 54,191 | 311 | 127,954 | 1,434,370 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | 441,875 | — | 26,528,930 | 1,037,023 | 7,110,088 | (1,525,999) | 1,218,654 | 20,148,520 | ||||||||
$5,222,855 | $4,080,365 | $238,011,036 | $39,597,463 | $45,074,371 | $(5,682,126) | $12,221,283 | $239,073,285 |
† | Includes reinvestment of distributions paid. |
SA Allocation Growth Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $248,810 | $— | $5,650,968 | $940,073 | $2,259,544 | $(363,117) | $66,077 | $4,034,457 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | 156,332 | 604,156 | 9,724,688 | 1,125,686 | 549,261 | (882) | (133,009) | 10,167,222 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 448,041 | — | 18,583,119 | 1,086,684 | 960,680 | (225,488) | 285,434 | 18,769,069 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 556,877 | 72,325 | 22,702,535 | 2,434,030 | 1,212,391 | (197,988) | 1,362,821 | 25,089,007 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 41,421 | 14,593,598 | 510,220 | 3,701,521 | (2,107,882) | 4,828,219 | 14,122,634 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 418,717 | 2,607,463 | 18,287,550 | 3,679,321 | 982,332 | (91,158) | (919,483) | 19,973,898 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 2,394,036 | 84,277 | 126,753 | (98,135) | 389,292 | 2,642,717 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 79,598 | 489,823 | 6,098,761 | 794,948 | 339,419 | (244) | 183,541 | 6,737,587 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 18,804 | 133,228 | 5,075,855 | 306,538 | 1,232,380 | (473,212) | 672,939 | 4,349,740 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 234,919 | 4,974,489 | 403,471 | 353,505 | (218,217) | 1,204,041 | 6,010,279 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 1,290,086 | 15,989,197 | 1,854,757 | 849,527 | 67,741 | 1,936,685 | 18,998,853 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 30,373 | 289,578 | 3,226,810 | 432,318 | 169,003 | 35,568 | 105,561 | 3,631,254 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 25,450 | — | 2,137,638 | 92,327 | 99,555 | 2,326 | 47,111 | 2,179,847 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | 98,352 | — | 3,874,546 | 239,533 | 209,455 | (8,247) | 77,676 | 3,974,053 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | 322,228 | — | 8,059,535 | 4,153,334 | 2,948,165 | (719,017) | 667,342 | 9,213,029 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | 41,491 | — | 12,138,861 | 503,632 | 691,219 | 12,937 | 1,377,337 | 13,341,548 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | 102,282 | 264,208 | 5,655,014 | 530,744 | 1,241,043 | (172,119) | 223,159 | 4,995,755 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | 192,541 | — | 9,487,437 | 2,315,609 | 1,493,358 | (333,511) | 362,907 | 10,339,084 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 95,352 | — | 6,347,908 | 300,206 | 2,948,522 | (338,185) | 316,696 | 3,678,103 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 349,741 | 1,399,427 | 15,739,847 | 2,240,779 | 2,642,476 | (415,205) | (100,534) | 14,822,411 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 16,654 | 237,610 | 3,382,815 | 374,446 | 330,978 | (28,875) | 116,606 | 3,514,014 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | 57,759 | 367,611 | 4,187,610 | 558,808 | 600,692 | 96,199 | 10,169 | 4,252,094 | ||||||||
SA International Index Portfolio, Class 1 | 173,429 | — | 4,889,552 | 2,353,139 | 281,827 | 32,940 | 477,810 | 7,471,614 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 3,747,858 | 154,507 | 232,380 | (120,098) | 313,536 | 3,863,423 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 5,650,839 | 182,599 | 874,631 | (226,467) | 1,403,076 | 6,135,416 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 193,188 | — | 4,845,525 | 361,741 | 253,505 | (63,130) | 110,207 | 5,000,838 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 401,876 | 1,496,760 | 17,833,473 | 2,460,478 | 2,948,103 | (166,806) | (568,533) | 16,610,509 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | 90,195 | 374,510 | 10,997,366 | 850,972 | 580,949 | (36,856) | 1,635,319 | 12,865,852 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 569,688 | — | 13,614,944 | 7,796,273 | 835,536 | (127,855) | 355,790 | 20,803,616 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 7,505,677 | 295,465 | 443,473 | (53,561) | 1,128,383 | 8,432,491 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 80,097 | 385,250 | 15,285,867 | 1,020,166 | 834,454 | 171,053 | 2,119,900 | 17,762,532 | ||||||||
SA Large Cap Index Portfolio, Class 1 | 320,460 | 935,135 | 21,761,986 | 2,076,023 | 1,240,944 | 325,936 | 2,141,252 | 25,064,253 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | 243,441 | 1,308,879 | 9,446,649 | 7,736,070 | 796,594 | 151,389 | 659,485 | 17,196,999 | ||||||||
SA MFS Blue Chip Growth, Class 1 | 73,230 | 244,972 | 14,410,110 | 789,288 | 2,306,867 | (84,542) | 3,174,237 | 15,982,226 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | 44,197 | 431,619 | 4,777,482 | 651,393 | 264,068 | (46,804) | 281,042 | 5,399,045 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | 47,293 | 96,394 | 3,815,749 | 270,101 | 190,129 | 25,170 | 276,986 | 4,197,877 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 214,604 | — | 16,189,719 | 735,096 | 2,770,324 | (480,458) | 831,033 | 14,505,066 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | 329,025 | — | 6,727,251 | 2,219,959 | 1,550,631 | (61,193) | 505,591 | 7,840,977 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 251,912 | — | 3,735,508 | 426,323 | 261,891 | (21,452) | 209,645 | 4,088,133 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 347,961 | — | 16,774,722 | 864,907 | 4,469,801 | 668,945 | 454,564 | 14,293,337 | ||||||||
SA Small Cap Index Portfolio, Class 1 | 27,379 | 12,740 | 3,290,284 | 138,441 | 597,878 | (6,475) | 341,023 | 3,165,395 |
186
NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
SA Allocation Growth Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
SA Wellington Capital Appreciation Portfolio, Class 1 | $— | $— | $— | $4,983,064 | $130,447 | $1,590 | $365,733 | $5,219,940 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | 263,912 | — | 12,539,665 | 692,716 | 1,044,218 | (240,617) | 175,341 | 12,122,887 | ||||||||
$6,931,289 | $13,318,114 | $396,153,043 | $62,020,462 | $48,850,429 | $(5,936,002) | $29,472,007 | $432,859,081 |
† | Includes reinvestment of distributions paid. |
SA Allocation Moderate Growth Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $444,822 | $— | $9,093,222 | $1,501,946 | $2,115,189 | $(310,700) | $(181,544) | $7,987,735 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | 147,178 | 568,780 | 9,648,715 | 780,024 | 767,514 | (2,771) | (126,063) | 9,532,391 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 893,170 | — | 39,779,571 | 1,133,423 | 3,672,999 | (725,662) | 764,356 | 37,278,689 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 474,554 | 61,634 | 20,600,035 | 1,265,773 | 1,552,471 | 197,655 | 788,640 | 21,299,632 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 41,484 | 13,647,908 | 119,383 | 2,235,721 | (661,462) | 3,230,503 | 14,100,611 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 371,964 | 2,316,321 | 17,069,564 | 2,797,486 | 1,308,262 | (40,973) | (841,348) | 17,676,467 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 2,505,575 | 16,017 | 191,879 | (98,616) | 389,307 | 2,620,404 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 59,657 | 367,113 | 4,814,416 | 458,801 | 384,793 | 4,122 | 135,755 | 5,028,301 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 12,715 | 90,086 | 4,461,313 | 124,641 | 1,761,652 | (547,616) | 649,570 | 2,926,256 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 260,291 | 5,591,515 | 289,411 | 348,870 | (168,915) | 1,281,295 | 6,644,436 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 1,155,104 | 16,010,470 | 1,253,391 | 2,330,784 | 436,117 | 1,515,272 | 16,884,466 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 29,359 | 279,912 | 3,803,907 | 332,567 | 779,096 | 145,986 | (28,433) | 3,474,931 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 42,097 | — | 3,700,692 | 65,294 | 276,231 | 6,780 | 76,911 | 3,573,446 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | 74,364 | — | 3,074,264 | 94,749 | 244,209 | (14,973) | 65,414 | 2,975,245 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | 622,763 | — | 14,460,062 | 4,729,067 | 1,560,921 | (282,091) | 315,862 | 17,661,979 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | 38,047 | — | 11,183,289 | 507,937 | 837,288 | 22,282 | 1,270,137 | 12,146,357 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | 101,715 | 262,745 | 5,855,031 | 398,151 | 1,370,484 | (255,655) | 300,794 | 4,927,837 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | 355,436 | — | 17,828,425 | 3,461,994 | 2,727,309 | (241,422) | 275,268 | 18,596,956 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 182,659 | — | 13,087,502 | 255,472 | 5,869,305 | (516,801) | 485,709 | 7,442,577 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 330,507 | 1,322,464 | 15,495,934 | 1,738,875 | 2,853,631 | (523,095) | 35,765 | 13,893,848 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 15,191 | 216,736 | 3,291,762 | 252,310 | 445,245 | (14,301) | 90,622 | 3,175,148 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | 64,229 | 408,789 | 4,377,957 | 497,769 | 296,539 | 50,703 | 68,967 | 4,698,857 | ||||||||
SA International Index Portfolio, Class 1 | 146,192 | — | 4,067,788 | 2,076,184 | 336,343 | 52,666 | 387,085 | 6,247,380 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 3,427,462 | 26,208 | 313,983 | (121,776) | 280,981 | 3,298,892 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 5,868,405 | 32,033 | 883,757 | (148,208) | 1,362,870 | 6,231,343 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 161,747 | — | 4,239,393 | 187,955 | 313,983 | (26,657) | 65,643 | 4,152,351 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 372,893 | 1,388,814 | 17,674,087 | 1,857,806 | 3,565,736 | (77,577) | (601,581) | 15,286,999 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | 85,928 | 356,791 | 10,903,715 | 508,239 | 784,957 | (127,976) | 1,674,629 | 12,173,650 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,098,425 | — | 30,598,132 | 10,439,528 | 2,497,274 | (380,702) | 685,313 | 38,844,997 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 7,086,084 | 49,507 | 595,146 | (91,540) | 1,060,011 | 7,508,916 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 72,391 | 348,184 | 14,412,935 | 512,303 | 1,098,940 | 288,730 | 1,820,760 | 15,935,788 | ||||||||
SA Large Cap Index Portfolio, Class 1 | 276,840 | 807,847 | 19,675,233 | 1,214,070 | 1,588,002 | 542,618 | 1,629,781 | 21,473,700 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | 239,680 | 1,288,658 | 10,460,115 | 6,708,802 | 1,194,671 | 210,594 | 610,573 | 16,795,413 | ||||||||
SA MFS Blue Chip Growth, Class 1 | 67,308 | 225,163 | 13,919,797 | 374,015 | 2,631,824 | 79,559 | 2,847,012 | 14,588,559 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | 47,085 | 459,824 | 5,336,116 | 543,310 | 436,087 | (78,977) | 338,115 | 5,702,477 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | 41,920 | 85,442 | 3,535,740 | 149,200 | 261,651 | 48,525 | 218,612 | 3,690,426 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 180,941 | — | 14,484,578 | 261,606 | 2,889,363 | (607,884) | 882,939 | 12,131,876 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | 276,971 | — | 6,217,587 | 1,308,303 | 1,347,792 | (55,481) | 424,158 | 6,546,775 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 507,233 | — | 7,920,741 | 566,243 | 714,121 | (816) | 389,350 | 8,161,397 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 323,677 | — | 15,776,733 | 408,825 | 4,047,686 | 341,945 | 722,520 | 13,202,337 | ||||||||
SA Small Cap Index Portfolio, Class 1 | 24,099 | 11,214 | 3,261,665 | 51,329 | 841,879 | (34,757) | 327,607 | 2,763,965 | ||||||||
SA Wellington Capital Appreciation Portfolio, Class 1 | — | — | — | 4,614,541 | 159,831 | 2,434 | 339,840 | 4,796,984 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | 509,449 | — | 27,891,232 | 669,149 | 5,158,573 | (1,106,029) | 858,262 | 23,154,041 | ||||||||
$8,693,206 | $12,323,396 | $466,138,667 | $54,633,637 | $65,591,991 | $(4,832,717) | $26,887,239 | $477,234,835 |
† | Includes reinvestment of distributions paid. |
187
NOTES TO PORTFOLIO OF
INVESTMENTS — December 31, 2023 — (unaudited) — (continued)
SA Allocation Moderate Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $282,433 | $— | $5,649,873 | $773,034 | $492,920 | $(53,694) | $(241,165) | $5,635,128 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | 59,011 | 228,051 | 3,849,016 | 350,110 | 333,354 | (893) | (50,946) | 3,813,933 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 686,579 | — | 32,994,165 | 1,171,521 | 5,503,236 | (1,169,030) | 1,112,164 | 28,605,584 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 223,643 | 29,046 | 9,960,658 | 403,437 | 786,565 | (70,768) | 517,108 | 10,023,870 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 22,509 | 7,174,659 | 122,173 | 1,008,232 | (311,025) | 1,662,960 | 7,640,535 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 195,411 | 1,216,876 | 8,917,724 | 1,550,992 | 733,378 | (52,177) | (413,548) | 9,269,613 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 1,146,510 | 21,016 | 111,118 | (56,698) | 188,830 | 1,188,540 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 25,729 | 158,328 | 2,268,097 | 216,796 | 378,162 | 1,650 | 55,518 | 2,163,899 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 7,989 | 56,601 | 2,652,385 | 100,316 | 988,900 | (354,913) | 424,169 | 1,833,057 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 135,307 | 2,964,667 | 175,517 | 267,662 | (141,549) | 719,135 | 3,450,108 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 607,320 | 8,294,120 | 735,190 | 1,168,243 | 203,516 | 809,459 | 8,874,042 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 14,592 | 139,127 | 1,830,551 | 181,040 | 344,453 | 33,285 | 27,012 | 1,727,435 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 27,782 | — | 2,439,619 | 65,980 | 206,805 | 5,101 | 50,218 | 2,354,113 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | 25,092 | — | 1,038,825 | 43,240 | 101,193 | (5,346) | 21,718 | 997,244 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | 463,648 | — | 8,382,730 | 5,526,441 | 898,442 | (114,699) | 243,106 | 13,139,136 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | 16,272 | — | 4,945,000 | 88,616 | 386,000 | 37,483 | 505,171 | 5,190,270 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | 49,691 | 128,360 | 2,968,054 | 219,078 | 801,244 | (119,780) | 139,474 | 2,405,582 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | 264,989 | — | 12,109,977 | 2,958,674 | 1,015,866 | (71,059) | 152,005 | 14,133,731 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 136,633 | — | 11,362,452 | 289,982 | 6,280,697 | (618,948) | 545,099 | 5,297,888 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 168,280 | 673,343 | 7,957,207 | 950,527 | 1,591,169 | (225,476) | (20,020) | 7,071,069 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 8,993 | 128,304 | 1,822,315 | 165,832 | 155,938 | (20,622) | 67,402 | 1,878,989 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | 29,134 | 185,424 | 1,992,697 | 246,082 | 166,677 | 28,419 | 26,242 | 2,126,763 | ||||||||
SA International Index Portfolio, Class 1 | 65,799 | — | 1,973,660 | 992,923 | 359,125 | 23,878 | 179,037 | 2,810,373 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 1,812,641 | 29,422 | 155,565 | (149,367) | 235,498 | 1,772,629 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 3,371,789 | 42,032 | 872,236 | (125,778) | 769,105 | 3,184,912 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 63,343 | — | 1,658,470 | 89,452 | 141,540 | (26,996) | 41,804 | 1,621,190 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 216,133 | 804,974 | 9,900,080 | 1,159,433 | 1,806,734 | (47,219) | (349,179) | 8,856,381 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | 39,956 | 165,906 | 5,064,366 | 283,621 | 411,137 | (35,164) | 753,867 | 5,655,553 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 827,591 | — | 24,306,648 | 6,218,184 | 2,117,948 | (277,526) | 431,374 | 28,560,732 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 3,659,591 | 63,936 | 334,750 | (37,499) | 539,082 | 3,890,360 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 36,998 | 177,954 | 7,351,032 | 332,643 | 622,261 | 171,996 | 905,282 | 8,138,692 | ||||||||
SA Large Cap Index Portfolio, Class 1 | 130,852 | 381,838 | 9,269,433 | 662,024 | 812,168 | 271,363 | 753,862 | 10,144,514 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | 127,855 | 687,425 | 5,546,773 | 3,637,938 | 657,775 | 119,439 | 314,265 | 8,960,640 | ||||||||
SA MFS Blue Chip Growth, Class 1 | 34,293 | 114,720 | 7,219,250 | 254,374 | 1,551,291 | 23,971 | 1,479,495 | 7,425,799 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | 29,960 | 292,579 | 3,370,074 | 375,080 | 277,795 | (50,908) | 214,371 | 3,630,822 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | 25,860 | 52,709 | 2,168,888 | 110,094 | 166,677 | 33,686 | 131,182 | 2,277,173 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 81,505 | — | 6,434,612 | 172,962 | 1,271,335 | (229,391) | 356,035 | 5,462,883 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | 121,334 | — | 2,339,808 | 855,529 | 491,274 | (19,604) | 181,859 | 2,866,318 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 425,055 | — | 5,081,363 | 2,023,870 | 528,131 | 21,801 | 247,982 | 6,846,885 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 143,455 | — | 6,934,644 | 240,326 | 1,796,472 | 303,400 | 167,133 | 5,849,031 | ||||||||
SA Small Cap Index Portfolio, Class 1 | 12,934 | 6,018 | 1,636,541 | 39,969 | 351,118 | 19,784 | 137,773 | 1,482,949 | ||||||||
SA Wellington Capital Appreciation Portfolio, Class 1 | — | — | — | 2,345,931 | 91,630 | 1,605 | 189,342 | 2,445,248 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | 385,093 | — | 21,590,050 | 699,533 | 4,621,392 | (1,038,456) | 826,775 | 17,456,510 | ||||||||
$5,453,917 | $6,392,719 | $273,411,014 | $36,984,870 | $43,158,608 | $(4,124,208) | $15,047,055 | $278,160,123 |
† | Includes reinvestment of distributions paid. |
SA Multi-Managed Large Cap Value Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at March 31, 2023 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at December 31, 2023 | ||||||||
American International Group, Inc. | ||||||||||||||||
$8,085 | $— | $430,376 | $— | $125,566 | $8,771 | $127,268 | $440,849 |
ADDITIONAL INFORMATION
Additional information
is available in the Trust’s Annual and Semiannual reports which may be obtained without charge from the EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.
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