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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07238
SUNAMERICA SERIES TRUST
(Exact name of registrant as specified in charter)
21650 Oxnard Street, Woodlands Hills, CA 91367
(Address of principal executive offices) (Zip code)
John T. Genoy
President
SunAmerica Asset Management, LLC
30 Hudson Street, 16th Floor
Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code: (201) 324-6414
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
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Item 1. Reports to Stockholders
This filing is on behalf of three of the sixty-one Investment Company Series of SunAmerica Series Trust.
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SUNAMERICA SERIES TRUST
SEMI-ANNUAL REPORT
JUNE 30, 2023
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Dear SunAmerica Series Trust Investor,
We are pleased to present our semiannual report for three series of the SunAmerica Series Trust, the underlying investment portfolios for the series of variable products issued by our Life Companies.
The following report contains the investment portfolio information and the financial statements of the SunAmerica Series Trust portfolios for the reporting period ended June 30, 2023. The report may also contain information on portfolios not currently available in your variable contract.
We believe this information will give you some insight into the performance of your underlying investments. If you have any questions, please contact your investment representative, or you may contact us directly at 1-800-445-7862.
Thank you for the confidence you place in us with your financial future, and we look forward to reporting to you once again in six months.
Sincerely,
John T. Genoy
President
SunAmerica Series Trust
Note: All performance figures quoted are for the SunAmerica Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59 1/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.
Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and “junk bonds” are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer’s creditworthiness.
Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
The portfolio operating expenses for a fund-of-funds are typically higher than those of a traditional portfolio because you pay the expenses of that portfolio and indirectly pay a proportionate share of the expenses of the underlying portfolios.
Investments are not guaranteed or endorsed by any bank, are not a deposit or obligation of any bank, and are not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank or Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
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Table of Contents
SUNAMERICA SERIES TRUST
EXPENSE EXAMPLE June 30, 2023 |
(unaudited)
Disclosure of Portfolio Expenses in Shareholder Reports
As a shareholder of a separate series (a “Portfolio”) in the SunAmerica Series Trust (the “Trust”), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. The example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at January 1, 2023 and held until June 30, 2023. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts”) offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust’s investment adviser and manager, as well as non-affiliated life insurance companies. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your variable contract prospectus for more details on the fees associated with the Variable Contract.
Actual Expenses
The “Actual” section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Expenses Paid During the Six Months Ended June 30, 2023” to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six Months Ended June 30, 2023” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts in which the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended June 30, 2023” column would have been higher and the “Ending Account Value” column would have been lower.
Hypothetical Example for Comparison Purposes
The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in these Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The “Expenses Paid During the Six Months Ended June 30, 2023” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts in which the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended June 30, 2023” column would have been higher and the “Ending Account Value” column would have been lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the “Hypothetical” example is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.
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SUNAMERICA SERIES TRUST
EXPENSE EXAMPLE (continued) June 30, 2023 |
(unaudited)
Actual | Hypothetical | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value at January 1, 2023 | Ending June 30, 2023 | Expenses Paid June 30, 2023 | Beginning Account Value at January 1, 2023 | Ending June 30, 2023 | Expenses Paid June 30, 2023 | Annualized Expense Ratio* | |||||||||||||||||||||
SA Wellington Capital Appreciation | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,289.52 | $ | 4.20 | $ | 1,000.00 | $ | 1,021.12 | $ | 3.71 | 0.74 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,288.24 | $ | 5.05 | $ | 1,000.00 | $ | 1,020.38 | $ | 4.46 | 0.89 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,287.56 | $ | 5.62 | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | 0.99 | % | ||||||||||||||
SA Wellington Government and Quality Bond | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,021.01 | $ | 2.86 | $ | 1,000.00 | $ | 1,021.97 | $ | 2.86 | 0.57 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,020.16 | $ | 3.61 | $ | 1,000.00 | $ | 1,021.22 | $ | 3.61 | 0.72 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,020.28 | $ | 4.11 | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % | ||||||||||||||
SA Wellington Strategic Multi-Asset# | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,090.30 | $ | 4.46 | $ | 1,000.00 | $ | 1,020.53 | $ | 4.31 | 0.86 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,088.32 | $ | 5.75 | $ | 1,000.00 | $ | 1,019.29 | $ | 5.56 | 1.11 | % |
* | Expenses are equal to each Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181 days in the period then divided by 365 days (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies. |
# | During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the “Actual/Hypothetical Ending Account Value” would have been lower and the “Actual/Hypothetical Expenses Paid During the Six Months Ended June 30, 2023” and “Annualized Expense Ratio” would have been higher. If these fees and expenses had not been recouped, the “Actual/Hypothetical Ending Account Value” would have been higher and the “Actual/Hypothetical Expenses Paid During the Six Months Ended June 30, 2023” and the “Annualized Expense Ratio” would have been lower. |
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Industry Allocation* | |
Internet | 29.8% |
Software | 14.8 |
Healthcare-Products | 12.1 |
Semiconductors | 10.8 |
Pharmaceuticals | 5.1 |
Commercial Services | 3.8 |
Building Materials | 2.5 |
Beverages | 2.1 |
Biotechnology | 2.0 |
Diversified Financial Services | 1.8 |
Energy-Alternate Sources | 1.7 |
Food | 1.5 |
Electronics | 1.3 |
Media | 1.3 |
Distribution/Wholesale | 1.2 |
Apparel | 1.2 |
Food Service | 1.1 |
Miscellaneous Manufacturing | 1.0 |
Lodging | 1.0 |
Chemicals | 1.0 |
Retail | 1.0 |
Aerospace/Defense | 1.0 |
Electrical Components & Equipment | 0.8 |
Repurchase Agreements | 0.8 |
Pipelines | 0.7 |
Engineering & Construction | 0.7 |
Healthcare-Services | 0.7 |
102.8% |
* | Calculated as a percentage of net assets |
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Security Description | Shares or Principal Amount | Value | |
COMMON STOCKS — 102.0% | |||
Aerospace/Defense — 1.0% | |||
Airbus SE | 120,918 | $ 17,479,343 | |
Apparel — 1.2% | |||
Deckers Outdoor Corp.† | 41,162 | 21,719,541 | |
Beverages — 2.1% | |||
Celsius Holdings, Inc.† | 131,381 | 19,600,731 | |
Monster Beverage Corp.† | 309,267 | 17,764,297 | |
37,365,028 | |||
Biotechnology — 2.0% | |||
United Therapeutics Corp.† | 58,120 | 12,829,990 | |
Vertex Pharmaceuticals, Inc.† | 67,159 | 23,633,924 | |
36,463,914 | |||
Building Materials — 2.5% | |||
Builders FirstSource, Inc.† | 147,355 | 20,040,280 | |
Johnson Controls International PLC | 375,779 | 25,605,581 | |
45,645,861 | |||
Chemicals — 1.0% | |||
Albemarle Corp. | 81,979 | 18,288,695 | |
Commercial Services — 3.8% | |||
Block, Inc.† | 564,888 | 37,604,594 | |
CoStar Group, Inc.† | 334,490 | 29,769,610 | |
67,374,204 | |||
Distribution/Wholesale — 1.2% | |||
Copart, Inc.† | 244,815 | 22,329,576 | |
Diversified Financial Services — 1.8% | |||
Tradeweb Markets, Inc., Class A | 473,028 | 32,392,958 | |
Electrical Components & Equipment — 0.8% | |||
Universal Display Corp. | 95,910 | 13,823,508 | |
Electronics — 1.3% | |||
Flex, Ltd.† | 864,422 | 23,892,624 | |
Energy-Alternate Sources — 1.7% | |||
First Solar, Inc.† | 61,967 | 11,779,307 | |
SolarEdge Technologies, Inc.† | 67,237 | 18,090,115 | |
29,869,422 | |||
Engineering & Construction — 0.7% | |||
Fluor Corp.† | 426,148 | 12,613,981 | |
Food — 1.5% | |||
Lamb Weston Holdings, Inc. | 235,593 | 27,081,415 | |
Food Service — 1.1% | |||
Aramark | 469,538 | 20,213,611 | |
Healthcare-Products — 12.1% | |||
Align Technology, Inc.† | 108,506 | 38,372,062 | |
Exact Sciences Corp.† | 384,078 | 36,064,924 | |
Hologic, Inc.† | 190,201 | 15,400,575 | |
Inspire Medical Systems, Inc.† | 88,069 | 28,590,720 | |
Insulet Corp.† | 97,779 | 28,193,597 | |
Intuitive Surgical, Inc.† | 133,931 | 45,796,366 | |
Shockwave Medical, Inc.† | 88,390 | 25,227,390 | |
217,645,634 | |||
Healthcare-Services — 0.7% | |||
agilon health, Inc.† | 680,164 | 11,794,044 | |
Internet — 29.8% | |||
Airbnb, Inc., Class A† | 168,203 | 21,556,896 |
Security Description | Shares or Principal Amount | Value | |
Internet (continued) | |||
Alphabet, Inc., Class A† | 1,139,404 | $ 136,386,659 | |
Amazon.com, Inc.† | 1,029,572 | 134,215,006 | |
Booking Holdings, Inc.† | 9,504 | 25,663,936 | |
Meta Platforms, Inc., Class A† | 303,962 | 87,231,015 | |
Netflix, Inc.† | 57,988 | 25,543,134 | |
Okta, Inc.† | 223,130 | 15,474,066 | |
Shopify, Inc., Class A† | 427,399 | 27,609,975 | |
Spotify Technology SA† | 174,160 | 27,961,388 | |
Uber Technologies, Inc.† | 769,370 | 33,213,703 | |
534,855,778 | |||
Lodging — 1.0% | |||
Las Vegas Sands Corp.† | 317,858 | 18,435,764 | |
Media — 1.3% | |||
Liberty Media Corp.-Liberty Formula One, Series C† | 305,005 | 22,960,776 | |
Miscellaneous Manufacturing — 1.0% | |||
Axon Enterprise, Inc.† | 95,595 | 18,652,496 | |
Pharmaceuticals — 5.1% | |||
Dexcom, Inc.† | 281,638 | 36,193,299 | |
Eli Lilly & Co. | 116,750 | 54,753,415 | |
90,946,714 | |||
Pipelines — 0.7% | |||
Cheniere Energy, Inc. | 85,736 | 13,062,737 | |
Retail — 1.0% | |||
Ross Stores, Inc. | 157,129 | 17,618,875 | |
Semiconductors — 10.8% | |||
Advanced Micro Devices, Inc.† | 235,380 | 26,812,136 | |
Broadcom, Inc. | 52,311 | 45,376,131 | |
NVIDIA Corp. | 288,273 | 121,945,244 | |
194,133,511 | |||
Software — 14.8% | |||
Activision Blizzard, Inc.† | 183,033 | 15,429,682 | |
DocuSign, Inc.† | 445,222 | 22,746,392 | |
Magic Leap, Inc., Class A†(1)(2) | 186 | 2,054 | |
Paycom Software, Inc. | 98,288 | 31,574,037 | |
Salesforce, Inc.† | 222,003 | 46,900,354 | |
ServiceNow, Inc.† | 67,709 | 38,050,427 | |
Veeva Systems, Inc., Class A† | 194,094 | 38,378,206 | |
Workday, Inc., Class A† | 262,490 | 59,293,866 | |
ZoomInfo Technologies, Inc.† | 499,933 | 12,693,299 | |
265,068,317 | |||
Total Common Stocks (cost $1,699,605,859) | 1,831,728,327 | ||
CONVERTIBLE PREFERRED STOCKS — 0.0% | |||
Advertising — 0.0% | |||
Zeenk, Inc., Series B†(1)(2) (cost $1,384,662) | 126,818 | 0 | |
WARRANTS — 0.0% | |||
Advertising — 0.0% | |||
Zeenk, Inc. Expires 06/18/2028†(1)(2) (cost $0) | 299,087 | 0 | |
Total Long-Term Investment Securities (cost $1,700,990,521) | 1,831,728,327 |
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Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 0.8% | ||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | $2,725,000 | $ 2,725,000 | ||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 2,810,000 | 2,810,000 | ||
BNP Paribas SA Joint Repurchase Agreement(3) | 2,800,000 | 2,800,000 | ||
Deutsche Bank AG Joint Repurchase Agreement(3) | 2,725,000 | 2,725,000 | ||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 2,740,000 | 2,740,000 | ||
Total Repurchase Agreements (cost $13,800,000) | 13,800,000 | |||
TOTAL INVESTMENTS (cost $1,714,790,521)(4) | 102.8% | 1,845,528,327 | ||
Other assets less liabilities | (2.8) | (50,819,380) | ||
NET ASSETS | 100.0% | $1,794,708,947 |
† | Non-income producing security |
(1) | Securities classified as Level 3 (see Note 2). |
(2) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of June 30, 2023, the Portfolio held the following restricted securities: |
Description | Acquisition Date | Shares or Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||
Common Stocks | ||||||||||||
Magic Leap, Inc., Class A | 12/28/2015 | 186 | $2,157,962 | $2,054 | $11.04 | 0.0% | ||||||
Convertible Preferred Stocks | ||||||||||||
Zeenk, Inc., Series B | 03/16/2015 | 126,818 | 1,384,662 | 0 | 0.00 | 0.0 | ||||||
Warrants | ||||||||||||
Zeenk, Inc. Expires 06/18/2028 | 12/14/2021 | 299,087 | 0 | 0 | 0.00 | 0.0 | ||||||
$2,054 | 0.0%** |
** | Amount represents the total value of the restricted securities divided by the net assets of the Portfolio and may not equal the sum of the individual percentages shown due to rounding. |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
(4) | See Note 6 for cost of investments on a tax basis. |
Table of Contents
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $ — | $17,479,343 | $ — | $ 17,479,343 | |||
Software | 265,066,263 | — | 2,054 | 265,068,317 | |||
Other Industries | 1,549,180,667 | — | — | 1,549,180,667 | |||
Convertible Preferred Stocks | — | — | 0 | 0 | |||
Warrants | — | — | 0 | 0 | |||
Repurchase Agreements | — | 13,800,000 | — | 13,800,000 | |||
Total Investments at Value | $1,814,246,930 | $31,279,343 | $2,054 | $1,845,528,327 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Table of Contents
Industry Allocation* | |
U.S. Government & Agency Obligations | 68.8% |
Banks | 6.9 |
Collateralized Mortgage Obligations | 5.9 |
Municipal Securities | 2.2 |
Diversified Financial Services | 1.9 |
Other Asset Backed Securities | 1.7 |
Insurance | 1.7 |
REITS | 1.6 |
Electric | 1.6 |
Repurchase Agreements | 1.6 |
Healthcare-Services | 1.1 |
Oil & Gas | 0.6 |
Pipelines | 0.5 |
Commercial Services | 0.5 |
Auto Loan Receivables | 0.5 |
Electronics | 0.4 |
Pharmaceuticals | 0.4 |
Media | 0.3 |
Software | 0.3 |
Agriculture | 0.3 |
Foreign Government Obligations | 0.2 |
Cosmetics/Personal Care | 0.2 |
Internet | 0.2 |
99.4% |
Credit Quality†# | |
Aaa | 76.7% |
Aa | 2.7 |
A | 14.8 |
Baa | 1.5 |
Not Rated@ | 4.3 |
100.0% |
* | Calculated as a percentage of net assets |
† | Source: Moody's |
# | Calculated as a percentage of total debt issues, excluding short-term securities. |
@ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
CORPORATE BONDS & NOTES — 18.5% | |||
Agriculture — 0.3% | |||
Philip Morris International, Inc. | |||
5.63%, 11/17/2029 | $ 1,230,000 | $ 1,253,288 | |
5.75%, 11/17/2032 | 2,351,000 | 2,407,600 | |
3,660,888 | |||
Banks — 6.9% | |||
Bank of America Corp. | |||
3.19%, 07/23/2030 | 5,015,000 | 4,420,253 | |
3.59%, 07/21/2028 | 2,245,000 | 2,086,872 | |
3.97%, 02/07/2030 | 2,645,000 | 2,448,898 | |
Bank of New York Mellon Corp. | |||
4.97%, 04/26/2034 | 5,703,000 | 5,569,426 | |
Banque Federative du Credit Mutuel SA | |||
1.60%, 10/04/2026* | 11,525,000 | 10,169,093 | |
BNP Paribas SA | |||
2.82%, 11/19/2025* | 1,905,000 | 1,816,400 | |
Credit Agricole SA | |||
5.51%, 07/05/2033* | 2,625,000 | 2,640,683 | |
Credit Suisse AG | |||
7.50%, 02/15/2028 | 4,411,000 | 4,685,411 | |
Danske Bank A/S | |||
1.55%, 09/10/2027* | 10,225,000 | 8,881,253 | |
3.88%, 09/12/2023* | 1,350,000 | 1,344,802 | |
DNB Bank ASA | |||
1.54%, 05/25/2027* | 3,860,000 | 3,398,110 | |
Goldman Sachs Group, Inc. | |||
3.27%, 09/29/2025 | 2,075,000 | 2,004,810 | |
5.70%, 11/01/2024 | 6,580,000 | 6,568,963 | |
HSBC Holdings PLC | |||
7.39%, 11/03/2028 | 614,000 | 648,005 | |
JPMorgan Chase & Co. | |||
5.35%, 06/01/2034 | 6,692,000 | 6,745,332 | |
Morgan Stanley | |||
3.88%, 04/29/2024 | 6,125,000 | 6,035,255 | |
5.25%, 04/21/2034 | 8,609,000 | 8,500,941 | |
National Securities Clearing Corp. | |||
0.75%, 12/07/2025* | 8,905,000 | 7,946,197 | |
5.10%, 11/21/2027* | 5,155,000 | 5,123,699 | |
US Bancorp | |||
7.50%, 06/01/2026 | 400,000 | 417,831 | |
Wells Fargo & Co. | |||
3.00%, 10/23/2026 | 1,780,000 | 1,652,310 | |
4.90%, 07/25/2033 | 2,845,000 | 2,728,959 | |
95,833,503 | |||
Commercial Services — 0.5% | |||
ERAC USA Finance LLC | |||
4.90%, 05/01/2033* | 4,334,000 | 4,234,976 | |
5.40%, 05/01/2053* | 1,618,000 | 1,615,414 | |
Georgetown University | |||
5.12%, 04/01/2053 | 1,130,000 | 1,134,397 | |
6,984,787 | |||
Cosmetics/Personal Care — 0.2% | |||
Estee Lauder Cos., Inc. | |||
4.65%, 05/15/2033 | 940,000 | 924,193 | |
5.15%, 05/15/2053 | 2,376,000 | 2,419,804 | |
3,343,997 |
Security Description | Shares or Principal Amount | Value | |
Diversified Financial Services — 1.9% | |||
American Express Co. | |||
5.04%, 05/01/2034 | $ 8,929,000 | $ 8,733,650 | |
Capital One Financial Corp. | |||
6.38%, 06/08/2034 | 5,157,000 | 5,120,052 | |
Intercontinental Exchange, Inc. | |||
4.35%, 06/15/2029 | 12,685,000 | 12,406,399 | |
26,260,101 | |||
Electric — 1.6% | |||
Dominion Energy South Carolina, Inc. | |||
5.45%, 02/01/2041 | 1,195,000 | 1,188,857 | |
6.05%, 01/15/2038 | 2,400,000 | 2,560,314 | |
Duke Energy Carolinas LLC | |||
4.95%, 01/15/2033 | 191,000 | 189,585 | |
Florida Power & Light Co. | |||
5.05%, 04/01/2028 | 540,000 | 544,148 | |
NextEra Energy Capital Holdings, Inc. | |||
6.05%, 03/01/2025 | 490,000 | 491,842 | |
PG&E Wildfire Recovery Funding LLC | |||
5.10%, 06/01/2054 | 980,000 | 991,238 | |
5.21%, 12/01/2049 | 1,185,000 | 1,181,972 | |
San Diego Gas & Electric Co. | |||
5.35%, 04/01/2053 | 3,170,000 | 3,144,149 | |
SCE Recovery Funding LLC | |||
0.86%, 11/15/2033 | 1,223,033 | 1,012,499 | |
1.94%, 05/15/2040 | 630,000 | 458,372 | |
2.51%, 11/15/2043 | 365,000 | 245,949 | |
Southern California Edison Co. | |||
5.88%, 12/01/2053 | 3,612,000 | 3,683,752 | |
Texas Electric Market Stabilization Funding N LLC | |||
4.27%, 08/01/2036* | 3,896,409 | 3,706,938 | |
Virginia Electric & Power Co. | |||
3.80%, 09/15/2047 | 3,285,000 | 2,566,951 | |
21,966,566 | |||
Electronics — 0.4% | |||
Honeywell International, Inc. | |||
4.25%, 01/15/2029 | 1,250,000 | 1,216,631 | |
4.50%, 01/15/2034 | 4,746,000 | 4,641,765 | |
5,858,396 | |||
Healthcare-Services — 1.1% | |||
Bon Secours Mercy Health, Inc. | |||
2.10%, 06/01/2031 | 840,000 | 670,232 | |
3.56%, 08/01/2027 | 2,700,000 | 2,512,874 | |
4.30%, 07/01/2028 | 2,645,000 | 2,521,813 | |
Children's Hospital | |||
2.93%, 07/15/2050 | 1,135,000 | 738,148 | |
CommonSpirit Health | |||
3.82%, 10/01/2049 | 4,100,000 | 3,121,192 | |
Dignity Health | |||
3.81%, 11/01/2024 | 1,242,000 | 1,201,387 | |
Piedmont Healthcare, Inc. | |||
2.04%, 01/01/2032 | 4,525,000 | 3,566,812 | |
Sutter Health | |||
2.29%, 08/15/2030 | 950,000 | 785,332 | |
15,117,790 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
CORPORATE BONDS & NOTES (continued) | |||
Insurance — 1.7% | |||
Allstate Corp. | |||
5.25%, 03/30/2033 | $ 1,140,000 | $ 1,136,633 | |
Athene Global Funding | |||
2.50%, 03/24/2028* | 8,073,000 | 6,819,848 | |
Five Corners Funding Trust III | |||
5.79%, 02/15/2033* | 1,030,000 | 1,043,919 | |
Jackson National Life Global Funding | |||
1.75%, 01/12/2025* | 3,830,000 | 3,554,362 | |
Metropolitan Life Global Funding I | |||
3.45%, 12/18/2026* | 1,330,000 | 1,243,637 | |
5.15%, 03/28/2033* | 3,295,000 | 3,258,751 | |
New York Life Global Funding | |||
2.90%, 01/17/2024* | 4,655,000 | 4,582,754 | |
Pacific LifeCorp | |||
5.40%, 09/15/2052* | 1,526,000 | 1,474,285 | |
23,114,189 | |||
Internet — 0.2% | |||
Meta Platforms, Inc. | |||
5.60%, 05/15/2053 | 2,600,000 | 2,670,231 | |
Media — 0.3% | |||
Comcast Corp. | |||
5.35%, 05/15/2053 | 1,428,000 | 1,449,876 | |
5.50%, 05/15/2064 | 2,600,000 | 2,636,595 | |
4,086,471 | |||
Oil & Gas — 0.6% | |||
BP Capital Markets America, Inc. | |||
4.81%, 02/13/2033 | 5,200,000 | 5,124,426 | |
4.89%, 09/11/2033 | 2,875,000 | 2,845,314 | |
7,969,740 | |||
Pharmaceuticals — 0.4% | |||
Eli Lilly & Co. | |||
4.95%, 02/27/2063 | 465,000 | 474,541 | |
Pfizer Investment Enterprises Pte., Ltd. | |||
5.11%, 05/19/2043 | 4,595,000 | 4,605,423 | |
5,079,964 | |||
Pipelines — 0.5% | |||
Greensaif Pipelines Bidco SARL | |||
6.13%, 02/23/2038* | 4,050,000 | 4,136,759 | |
6.51%, 02/23/2042* | 3,055,000 | 3,175,799 | |
7,312,558 | |||
REITS — 1.6% | |||
American Tower Trust #1 | |||
5.49%, 03/15/2028* | 8,530,000 | 8,536,903 | |
Prologis LP | |||
5.25%, 06/15/2053 | 2,060,000 | 2,024,215 | |
Realty Income Corp. | |||
4.90%, 07/15/2033 | 9,381,000 | 8,966,518 | |
SBA Tower Trust | |||
1.63%, 05/15/2051* | 1,555,000 | 1,341,270 | |
1.88%, 07/15/2050* | 810,000 | 727,587 | |
2.84%, 01/15/2050* | 1,030,000 | 978,000 | |
22,574,493 |
Security Description | Shares or Principal Amount | Value | |
Software — 0.3% | |||
Activision Blizzard, Inc. | |||
4.50%, 06/15/2047 | $ 4,376,000 | $ 4,031,774 | |
Total Corporate Bonds & Notes (cost $266,758,818) | 255,865,448 | ||
ASSET BACKED SECURITIES — 2.2% | |||
Auto Loan Receivables — 0.5% | |||
CFMT LLC | |||
Series 2021-AL1, Class B 1.39%, 09/22/2031* | 3,272,238 | 3,141,417 | |
Enterprise Fleet Financing LLC | |||
Series 2022-3, Class A2 4.38%, 07/20/2029* | 1,003,730 | 981,989 | |
Ford Credit Auto Owner Trust | |||
Series 2021-1, Class B 1.61%, 10/17/2033* | 835,000 | 742,510 | |
Series 2021-1, Class C 1.91%, 10/17/2033* | 725,000 | 648,396 | |
SFS Auto Receivables Securitization Trust | |||
Series 2023-1A, Class A2A 5.89%, 03/22/2027* | 1,460,000 | 1,458,058 | |
6,972,370 | |||
Other Asset Backed Securities — 1.7% | |||
Aaset Trust | |||
Series 2019-1, Class A 3.84%, 05/15/2039* | 369,200 | 265,421 | |
Castlelake Aircraft Structured Trust | |||
Series 2019-1A, Class A 3.97%, 04/15/2039* | 742,473 | 659,132 | |
CF Hippolyta Issuer LLC | |||
Series 2021-1A, Class A1 1.53%, 03/15/2061* | 1,371,261 | 1,188,008 | |
FirstKey Homes Trust | |||
Series 2021-SFR3, Class A 2.14%, 12/17/2038* | 3,473,067 | 3,062,621 | |
Home Partners of America Trust | |||
Series 2021-2, Class B 2.30%, 12/17/2026* | 3,573,074 | 3,149,432 | |
Horizon Aircraft Finance II, Ltd. | |||
Series 2019-1, Class A 3.72%, 07/15/2039* | 363,029 | 310,021 | |
Horizon Aircraft Finance III, Ltd. | |||
Series 2019-2, Class A 3.43%, 11/15/2039* | 716,759 | 566,240 | |
MACH 1, Ltd. | |||
Series 2019-1, Class A 3.47%, 10/15/2039* | 371,910 | 312,643 | |
MMAF Equipment Finance LLC | |||
Series 2019-B, Class A5 2.29%, 11/12/2041* | 2,960,000 | 2,724,439 | |
Navient Private Education Refi Loan Trust | |||
Series 2023-A, Class A 5.51%, 10/15/2071* | 3,768,069 | 3,714,007 | |
New Economy Assets Phase 1 Sponsor LLC | |||
Series 2021-1, Class A1 1.91%, 10/20/2061* | 3,985,000 | 3,394,052 | |
SCF Equipment Leasing LLC | |||
Series 2021-1A, Class A3 0.83%, 08/21/2028* | 3,521,947 | 3,435,695 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
ASSET BACKED SECURITIES (continued) | |||
Other Asset Backed Securities (continued) | |||
SoFi Consumer Loan Program Trust | |||
Series 2021-1, Class A 0.49%, 09/25/2030* | $ 173,725 | $ 171,171 | |
STARR II, Ltd. | |||
Series 2019-1, Class A 4.09%, 03/15/2044* | 402,790 | 354,592 | |
23,307,474 | |||
Total Asset Backed Securities (cost $33,006,184) | 30,279,844 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS — 5.9% | |||
Commercial and Residential — 2.7% | |||
Angel Oak Mtg. Trust I LLC VRS | |||
Series 2019-6, Class A1 2.62%, 11/25/2059*(1) | 142,446 | 134,765 | |
BFLD Trust FRS | |||
Series 2020-OBRK, Class A 7.31%, (TSFR1M+2.16%), 11/15/2028* | 2,140,000 | 2,128,519 | |
BX Commercial Mtg. Trust FRS | |||
Series 2021-VOLT, Class A 5.89%, (1 ML+0.70%), 09/15/2036* | 4,455,000 | 4,310,744 | |
BX Trust FRS | |||
Series 2021-LGCY, Class A 5.70%, (1 ML+0.51%), 10/15/2036* | 9,100,000 | 8,786,030 | |
Series 2021-ARIA, Class B 6.49%, (1 ML+1.30%), 10/15/2036* | 3,975,000 | 3,825,394 | |
BXHPP Trust FRS | |||
Series 2021-FILM, Class A 5.84%, (1 ML+0.65%), 08/15/2036* | 4,335,000 | 4,078,195 | |
Flagstar Mtg. Trust VRS | |||
Series 2021-9INV, Class A2 2.00%, 09/25/2041*(1) | 1,736,714 | 1,452,037 | |
Series 2018-3INV, Class A3 4.00%, 05/25/2048*(1) | 812,394 | 742,546 | |
Life Mtg. Trust FRS | |||
Series 2021-BMR, Class A 5.96%, (TSFR1M+0.81%), 03/15/2038* | 879,758 | 857,110 | |
MetLife Securitization Trust VRS | |||
Series 2017-1A, Class A 3.00%, 04/25/2055*(1) | 466,832 | 426,681 | |
Mill City Mtg. Loan Trust VRS | |||
Series 2017-3, Class A1 2.75%, 01/25/2061*(1) | 255,184 | 246,459 | |
SFAVE Commercial Mtg. Securities Trust VRS | |||
Series 2015-5AVE, Class A2B 4.14%, 01/05/2043*(1) | 1,340,000 | 927,060 | |
SREIT Trust FRS | |||
Series 2021-MFP, Class B 6.27%, (1 ML+1.08%), 11/15/2038* | 4,550,000 | 4,413,012 | |
Towd Point Mtg. Trust VRS | |||
Series 2017-4, Class A1 2.75%, 06/25/2057*(1) | 654,162 | 614,151 | |
Series 2018-1, Class A1 3.00%, 01/25/2058*(1) | 279,476 | 267,521 |
Security Description | Shares or Principal Amount | Value | |
Commercial and Residential (continued) | |||
Wells Fargo Mtg. Backed Securities Trust VRS | |||
Series 2021-INV1, Class A4 2.50%, 08/25/2051*(1) | $ 4,790,644 | $ 4,093,938 | |
37,304,162 | |||
U.S. Government Agency — 3.2% | |||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | |||
Series K1522, Class A2 2.36%, 10/25/2036 | 3,890,000 | 2,991,554 | |
Series K142, Class A2 2.40%, 03/25/2032 | 4,000,000 | 3,404,802 | |
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | |||
Series K-150, Class A2 3.71%, 09/25/2032(1) | 1,484,000 | 1,397,351 | |
Series K-156, Class A2 4.43%, 04/25/2060(1) | 3,010,000 | 2,997,992 | |
Federal Home Loan Mtg. Corp. REMIC | |||
Series 4146, Class AB 1.13%, 12/15/2027 | 872,180 | 810,200 | |
Series 4142, Class PT 1.25%, 12/15/2027 | 660,678 | 614,321 | |
Series 4122, Class AB 1.50%, 10/15/2042 | 226,550 | 198,355 | |
Series 5170, Class DP 2.00%, 07/25/2050 | 4,686,819 | 3,907,989 | |
Series 4654, Class KA 3.00%, 06/15/2045 | 2,336,251 | 2,165,097 | |
Series 4758, Class CA 3.00%, 07/15/2047 | 1,604,233 | 1,461,770 | |
Series 3967, Class ZP 4.00%, 09/15/2041 | 1,839,425 | 1,742,026 | |
Series 4809, Class CZ 4.00%, 07/15/2048 | 1,603,463 | 1,512,216 | |
Federal Home Loan Mtg. Corp. SCRT | |||
Series 2021-1, Class MTU 2.50%, 09/25/2060 | 7,295,800 | 6,086,536 | |
Series 2019-3, Class MA 3.50%, 10/25/2058 | 944,255 | 884,659 | |
Federal National Mtg. Assoc. REMIC | |||
Series 2013-9, Class PT 1.25%, 02/25/2028 | 550,929 | 510,000 | |
Series 2012-103, Class HB 1.50%, 09/25/2027 | 1,706,232 | 1,593,670 | |
Series 2020-27, Class HC 1.50%, 10/25/2049 | 3,712,924 | 2,826,785 | |
Series 2013-36, Class Z 3.00%, 04/25/2043 | 2,316,792 | 2,080,204 | |
Series 2014-95, Class ZC 3.00%, 01/25/2045 | 1,348,103 | 1,163,354 | |
Series 2015-7, Class GZ 3.00%, 03/25/2045 | 3,605,639 | 3,157,883 | |
Series 2019-6, Class GJ 3.00%, 02/25/2049 | 330,226 | 309,888 | |
Series 2013-83, Class NZ 3.50%, 08/25/2043 | 2,680,538 | 2,470,773 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||
U.S. Government Agency (continued) | |||
Federal National Mtg. Assoc. REMIC FRS | |||
Series 2017-M13, Class FA 5.53%, (1 ML+0.40%), 10/25/2024 | $ 114,801 | $ 113,636 | |
Government National Mtg. Assoc. REMIC | |||
Series 2005-74, Class HA 7.50%, 09/16/2035 | 909 | 915 | |
Series 2005-74, Class HB 7.50%, 09/16/2035 | 46,965 | 47,313 | |
Series 2005-74, Class HC 7.50%, 09/16/2035 | 34,294 | 34,887 | |
44,484,176 | |||
Total Collateralized Mortgage Obligations (cost $89,892,006) | 81,788,338 | ||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 68.8% | |||
U.S. Government — 38.6% | |||
United States Treasury Bonds | |||
1.75%, 08/15/2041 | 570,000 | 400,447 | |
1.88%, 02/15/2041 | 45,000 | 32,680 | |
2.25%, 02/15/2052 | 1,427,100 | 1,031,303 | |
2.50%, 02/15/2045 to 05/15/2046 | 7,435,000 | 5,751,491 | |
2.75%, 08/15/2047 to 11/15/2047 | 6,614,000 | 5,319,939 | |
2.88%, 08/15/2045 to 05/15/2052 | 15,856,700 | 13,128,650 | |
2.88%, 05/15/2049(2) | 8,265,000 | 6,831,216 | |
3.38%, 08/15/2042 | 34,940,000 | 31,714,874 | |
3.63%, 02/15/2053 to 05/15/2053 | 31,949,200 | 30,672,953 | |
3.88%, 02/15/2043 to 05/15/2043 | 31,220,200 | 30,445,086 | |
4.00%, 11/15/2042 to 11/15/2052 | 18,229,300 | 18,333,038 | |
United States Treasury Notes | |||
1.25%, 11/30/2026 to 12/31/2026 | 47,930,000 | 43,145,623 | |
1.50%, 11/30/2028 | 2,885,000 | 2,523,473 | |
1.63%, 05/15/2031 | 35,000 | 29,743 | |
1.88%, 02/28/2027 | 2,250,000 | 2,062,441 | |
2.38%, 03/31/2029 | 3,875,000 | 3,537,754 | |
2.63%, 05/31/2027 | 1,992,000 | 1,871,702 | |
2.75%, 04/30/2027 | 16,120,000 | 15,227,733 | |
2.88%, 04/30/2029 | 1,240,000 | 1,162,791 | |
3.00%, 07/15/2025 | 1,140,000 | 1,098,720 | |
3.13%, 08/31/2027 | 20,294,000 | 19,408,516 | |
3.25%, 08/31/2024 to 06/30/2029 | 47,340,000 | 46,141,824 | |
3.38%, 05/15/2033 | 3,473,000 | 3,349,274 | |
3.50%, 01/31/2028 to 04/30/2028 | 18,537,000 | 18,012,311 | |
3.63%, 03/31/2028 to 05/31/2028 | 35,028,500 | 34,251,600 | |
3.75%, 05/31/2030 | 6,693,000 | 6,599,926 | |
3.88%, 03/31/2025 to 11/30/2029 | 23,859,200 | 23,480,874 | |
4.00%, 12/15/2025 to 10/31/2029 | 40,642,200 | 40,282,273 | |
4.13%, 01/31/2025 to 10/31/2027 | 56,347,800 | 55,898,657 | |
4.25%, 09/30/2024 to 05/31/2025 | 45,521,000 | 44,929,935 | |
4.50%, 11/30/2024 to 11/15/2025 | 28,785,000 | 28,485,594 | |
4.63%, 02/28/2025 | 675,000 | 669,753 | |
535,832,194 | |||
U.S. Government Agency — 30.2% | |||
Federal Home Loan Mtg. Corp. | |||
2.00%, 11/01/2041 to 04/01/2052 | 56,524,125 | 46,508,762 | |
2.50%, 10/01/2031 to 10/01/2051 | 33,398,483 | 28,779,829 | |
3.00%, 11/01/2046 to 10/01/2051 | 21,532,895 | 19,252,526 | |
4.00%, 09/01/2026 to 12/01/2040 | 1,490,040 | 1,436,317 |
Security Description | Shares or Principal Amount | Value | |
U.S. Government Agency (continued) | |||
4.50%, 09/01/2037 to 08/01/2052 | $20,519,544 | $ 20,007,914 | |
5.00%, 08/01/2052 to 04/01/2053 | 25,133,952 | 24,636,738 | |
5.50%, 02/01/2053 | 414,330 | 412,380 | |
6.00%, 12/01/2039 | 94,403 | 95,621 | |
7.50%, 05/01/2027 | 206 | 208 | |
Federal National Mtg. Assoc. | |||
1.50%, 11/01/2041 | 5,174,921 | 4,191,625 | |
2.00%, 09/01/2031 to 09/01/2051 | 45,305,677 | 37,638,496 | |
2.50%, 03/01/2030 to 01/01/2052 | 50,790,097 | 43,612,098 | |
3.00%, 05/01/2027 to 10/01/2051 | 19,728,127 | 17,553,118 | |
3.01%, 12/01/2024 | 3,346,654 | 3,224,035 | |
3.12%, 05/01/2033 | 2,469,958 | 2,282,789 | |
3.50%, 06/01/2037 to 07/01/2051 | 22,900,541 | 21,137,108 | |
4.00%, 09/01/2026 to 10/01/2052 | 22,363,338 | 21,184,698 | |
4.50%, 11/01/2026 to 09/01/2052 | 21,722,357 | 21,096,766 | |
5.00%, 05/01/2053 | 7,941,782 | 7,782,673 | |
5.50%, 03/01/2038 to 01/01/2053 | 8,408,377 | 8,393,688 | |
6.50%, 02/01/2038 to 10/01/2039 | 50,326 | 52,565 | |
Government National Mtg. Assoc. | |||
2.00%, 01/20/2051 to 11/20/2051 | 16,521,440 | 13,915,259 | |
2.50%, 03/20/2051 to 12/20/2052 | 22,694,143 | 19,676,505 | |
3.00%, 11/20/2049 to 03/20/2052 | 16,682,469 | 14,969,579 | |
3.50%, 01/20/2052 to 07/20/2052 | 21,571,650 | 19,907,703 | |
4.00%, 02/15/2041 to 08/20/2052 | 13,905,618 | 13,173,637 | |
4.50%, 05/15/2040 to 08/20/2052 | 3,624,563 | 3,513,269 | |
5.00%, 07/15/2033 to 04/15/2041 | 860,635 | 859,740 | |
5.50%, 10/15/2032 to 04/15/2036 | 505,161 | 508,662 | |
6.00%, 06/15/2028 to 06/15/2041 | 2,549,193 | 2,636,429 | |
6.50%, 10/15/2023 to 05/15/2032 | 340,380 | 347,288 | |
7.00%, 11/15/2031 to 11/15/2033 | 61,621 | 63,282 | |
8.00%, 10/15/2029 to 03/15/2031 | 54,856 | 55,095 | |
418,906,402 | |||
Total U.S. Government & Agency Obligations (cost $995,754,460) | 954,738,596 | ||
FOREIGN GOVERNMENT OBLIGATIONS — 0.2% | |||
Diversified Financial Services — 0.1% | |||
OMERS Finance Trust | |||
4.00%, 04/20/2028* | 1,810,000 | 1,749,744 | |
Sovereign — 0.1% | |||
Kingdom of Saudi Arabia | |||
5.00%, 01/18/2053* | 1,800,000 | 1,665,360 | |
Total Foreign Government Obligations (cost $3,473,532) | 3,415,104 | ||
MUNICIPAL SECURITIES — 2.2% | |||
Bay Area Toll Authority Revenue Bonds | |||
7.04%, 04/01/2050 | 70,000 | 89,856 | |
Chicago Transit Authority Revenue Bonds | |||
6.90%, 12/01/2040 | 140,000 | 158,681 | |
Commonwealth of Massachusetts Revenue Bonds | |||
4.11%, 07/15/2031 | 3,320,000 | 3,224,086 | |
Dallas Fort Worth International Airport Revenue Bonds | |||
4.09%, 11/01/2051 | 150,000 | 132,277 | |
4.51%, 11/01/2051 | 930,000 | 865,513 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
MUNICIPAL SECURITIES (continued) | |||
Foothill-Eastern Transportation Corridor Agency Revenue Bonds | |||
3.92%, 01/15/2053 | $ 780,000 | $ 626,009 | |
Golden State Tobacco Securitization Corp. Revenue Bonds | |||
2.75%, 06/01/2034 | 100,000 | 81,371 | |
3.00%, 06/01/2046 | 395,000 | 363,692 | |
3.29%, 06/01/2042 | 200,000 | 150,254 | |
Illinois Municipal Electric Agency Revenue Bonds | |||
6.83%, 02/01/2035 | 1,910,000 | 2,072,041 | |
JobsOhio Beverage System Revenue Bonds | |||
4.43%, 01/01/2033 | 1,870,000 | 1,846,985 | |
Kansas Development Finance Authority Revenue Bonds | |||
2.77%, 05/01/2051 | 1,555,000 | 1,118,832 | |
5.37%, 05/01/2026 | 430,000 | 427,238 | |
Metropolitan Transportation Authority Revenue Bonds | |||
6.20%, 11/15/2026 | 85,000 | 85,516 | |
Municipal Electric Authority of Georgia Revenue Bonds | |||
6.64%, 04/01/2057 | 1,402,000 | 1,600,166 | |
Oregon School Boards Association General Obligation Bonds | |||
4.76%, 06/30/2028 | 1,911,666 | 1,882,185 | |
Philadelphia Authority for Industrial Development Revenue Bonds | |||
6.55%, 10/15/2028 | 2,845,000 | 3,004,888 | |
Port Authority of New York & New Jersey Revenue Bonds | |||
5.07%, 07/15/2053 | 1,350,000 | 1,378,998 | |
State of Illinois General Obligation Bonds | |||
5.10%, 06/01/2033 | 5,060,000 | 4,972,498 | |
State of Wisconsin Revenue Bonds | |||
5.70%, 05/01/2026 | 1,510,000 | 1,521,239 | |
Texas Natural Gas Securitization Finance Corp. Revenue Bonds | |||
5.10%, 04/01/2035 | 2,175,000 | 2,182,942 | |
5.17%, 04/01/2041 | 1,650,000 | 1,698,113 | |
University of Michigan Revenue Bonds | |||
2.56%, 04/01/2050 | 1,250,000 | 838,966 |
Security Description | Shares or Principal Amount | Value | ||
Utility Debt Securitization Authority Revenue Bonds | ||||
3.44%, 12/15/2025 | $ 353,000 | $ 350,067 | ||
Total Municipal Securities (cost $32,606,533) | 30,672,413 | |||
Total Long-Term Investment Securities (cost $1,421,491,533) | 1,356,759,743 | |||
REPURCHASE AGREEMENTS — 1.6% | ||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 4,270,000 | 4,270,000 | ||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 4,400,000 | 4,400,000 | ||
BNP Paribas SA Joint Repurchase Agreement(3) | 4,390,000 | 4,390,000 | ||
Deutsche Bank AG Joint Repurchase Agreement(3) | 4,270,000 | 4,270,000 | ||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 4,300,000 | 4,300,000 | ||
Total Repurchase Agreements (cost $21,630,000) | 21,630,000 | |||
TOTAL INVESTMENTS (cost $1,443,121,533)(4) | 99.4% | 1,378,389,743 | ||
Other assets less liabilities | 0.6 | 8,305,256 | ||
NET ASSETS | 100.0% | $1,386,694,999 |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA Wellington Government and Quality Bond Portfolio has no right to demand registration of these securities. At June 30, 2023, the aggregate value of these securities was $162,750,549 representing 11.7% of net assets. |
(1) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
(4) | See Note 6 for cost of investments on a tax basis. |
1 ML—1 Month USD LIBOR |
FRS—Floating Rate Security |
REMIC—Real Estate Mortgage Investment Conduit |
SCRT—Structured Credit Risk Transfer |
TSFR1M—Term Secured Overnight Financing Rate 1 Month |
VRS—Variable Rate Security |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
13 | Short | U.S. Treasury Ultra 10 Year Notes | September 2023 | $1,555,391 | $1,539,688 | $15,703 |
Table of Contents
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
57 | Long | U.S. Treasury 10 Year Notes | September 2023 | $ 6,453,469 | $ 6,399,141 | $ (54,328) |
174 | Long | U.S. Treasury 2 Year Notes | September 2023 | 35,881,141 | 35,381,813 | (499,328) |
533 | Long | U.S. Treasury 5 Year Notes | September 2023 | 57,864,086 | 57,080,968 | (783,118) |
$(1,336,774) | ||||||
Net Unrealized Appreciation (Depreciation) | $(1,321,071) |
* | 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. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $ — | $ 255,865,448 | $— | $ 255,865,448 | |||
Asset Backed Securities | — | 30,279,844 | — | 30,279,844 | |||
Collateralized Mortgage Obligations | — | 81,788,338 | — | 81,788,338 | |||
U.S. Government & Agency Obligations | — | 954,738,596 | — | 954,738,596 | |||
Foreign Government Obligations | — | 3,415,104 | — | 3,415,104 | |||
Municipal Securities | — | 30,672,413 | — | 30,672,413 | |||
Repurchase Agreements | — | 21,630,000 | — | 21,630,000 | |||
Total Investments at Value | $ — | $1,378,389,743 | $— | $1,378,389,743 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 15,703 | $ — | $— | $ 15,703 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,336,774 | $ — | $— | $ 1,336,774 |
* | 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. |
Table of Contents
Industry Allocation* | |
Foreign Government Obligations | 16.6% |
U.S. Government & Agency Obligations | 13.2 |
Internet | 8.5 |
Software | 5.5 |
Semiconductors | 5.1 |
Pharmaceuticals | 4.2 |
Banks | 3.9 |
Aerospace/Defense | 2.9 |
Electric | 2.6 |
Cosmetics/Personal Care | 2.5 |
Commercial Services | 2.3 |
Diversified Financial Services | 2.3 |
Retail | 2.2 |
Distribution/Wholesale | 2.0 |
Short-Term Investments | 1.9 |
Insurance | 1.8 |
Computers | 1.7 |
Oil & Gas | 1.6 |
Machinery-Diversified | 1.5 |
Healthcare-Services | 1.4 |
Healthcare-Products | 1.4 |
Mining | 1.4 |
Auto Manufacturers | 1.4 |
Repurchase Agreements | 1.2 |
Chemicals | 1.2 |
Home Furnishings | 1.0 |
Telecommunications | 1.0 |
Gas | 0.9 |
Oil & Gas Services | 0.9 |
Transportation | 0.8 |
Miscellaneous Manufacturing | 0.8 |
Home Builders | 0.6 |
Engineering & Construction | 0.6 |
Pipelines | 0.5 |
REITS | 0.4 |
Private Equity | 0.3 |
Apparel | 0.3 |
Metal Fabricate/Hardware | 0.3 |
Hand/Machine Tools | 0.3 |
Electronics | 0.2 |
Media | 0.1 |
Biotechnology | 0.1 |
Unaffiliated Investment Companies | 0.1 |
Multi-National | 0.1 |
Food | 0.1 |
99.7% |
* | Calculated as a percentage of net assets |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
COMMON STOCKS — 65.0% | |||
Aerospace/Defense — 2.9% | |||
Airbus SE | 13,338 | $ 1,928,079 | |
BAE Systems PLC | 99,158 | 1,169,957 | |
General Dynamics Corp. | 6,378 | 1,372,227 | |
4,470,263 | |||
Apparel — 0.3% | |||
Hermes International | 241 | 524,283 | |
Auto Manufacturers — 1.3% | |||
BYD Co., Ltd. | 21,500 | 687,632 | |
Ferrari NV | 2,208 | 722,866 | |
Renault SA | 12,816 | 540,756 | |
1,951,254 | |||
Banks — 3.6% | |||
Axis Bank, Ltd. GDR | 13,682 | 817,404 | |
Banco Bradesco SA (Preference Shares) | 238,700 | 820,061 | |
HSBC Holdings PLC | 275,311 | 2,177,545 | |
Mitsubishi UFJ Financial Group, Inc. | 224,200 | 1,654,901 | |
5,469,911 | |||
Chemicals — 1.2% | |||
Albemarle Corp. | 1,502 | 335,081 | |
Linde PLC | 3,886 | 1,481,082 | |
1,816,163 | |||
Commercial Services — 2.3% | |||
Allfunds Group PLC | 80,983 | 495,132 | |
Booz Allen Hamilton Holding Corp. | 6,607 | 737,341 | |
Localiza Rent a Car SA | 86,754 | 1,241,103 | |
S&P Global, Inc. | 2,737 | 1,097,236 | |
3,570,812 | |||
Computers — 1.7% | |||
Apple, Inc. | 13,558 | 2,629,845 | |
Cosmetics/Personal Care — 2.5% | |||
Estee Lauder Cos., Inc., Class A | 5,696 | 1,118,581 | |
Proya Cosmetics Co., Ltd., Class A | ���37,073 | 575,036 | |
Unilever PLC | 41,754 | 2,177,158 | |
3,870,775 | |||
Distribution/Wholesale — 2.0% | |||
Copart, Inc.† | 11,711 | 1,068,160 | |
ITOCHU Corp. | 15,700 | 624,362 | |
LKQ Corp. | 22,521 | 1,312,299 | |
3,004,821 | |||
Diversified Financial Services — 2.2% | |||
London Stock Exchange Group PLC | 12,902 | 1,367,182 | |
Visa, Inc., Class A | 8,153 | 1,936,175 | |
3,303,357 | |||
Electric — 2.5% | |||
American Electric Power Co., Inc. | 13,655 | 1,149,751 |
Security Description | Shares or Principal Amount | Value | |
Electric (continued) | |||
PG&E Corp.† | 91,046 | $ 1,573,275 | |
RWE AG | 26,391 | 1,148,727 | |
3,871,753 | |||
Electronics — 0.2% | |||
Agilent Technologies, Inc. | 2,900 | 348,725 | |
Engineering & Construction — 0.6% | |||
Larsen & Toubro, Ltd. GDR | 28,661 | 862,533 | |
Gas — 0.9% | |||
Atmos Energy Corp. | 12,350 | 1,436,799 | |
Hand/Machine Tools — 0.3% | |||
Techtronic Industries Co., Ltd. | 35,500 | 388,446 | |
Healthcare-Products — 1.3% | |||
Abbott Laboratories | 10,603 | 1,155,939 | |
Boston Scientific Corp.† | 14,967 | 809,565 | |
1,965,504 | |||
Healthcare-Services — 1.4% | |||
Lonza Group AG | 1,975 | 1,179,451 | |
UnitedHealth Group, Inc. | 2,138 | 1,027,609 | |
2,207,060 | |||
Home Builders — 0.6% | |||
Lennar Corp., Class A | 6,991 | 876,042 | |
Home Furnishings — 1.0% | |||
Sony Group Corp. | 16,600 | 1,488,981 | |
Insurance — 1.8% | |||
Dai-ichi Life Holdings, Inc. | 14,700 | 281,981 | |
Ping An Insurance Group Co. of China, Ltd. | 203,000 | 1,300,659 | |
Prudential PLC | 84,310 | 1,188,968 | |
2,771,608 | |||
Internet — 8.5% | |||
Airbnb, Inc., Class A† | 5,419 | 694,499 | |
Alphabet, Inc., Class C† | 27,997 | 3,386,797 | |
Amazon.com, Inc.† | 25,233 | 3,289,374 | |
Meituan, Class B*† | 57,800 | 908,505 | |
Meta Platforms, Inc., Class A† | 7,800 | 2,238,444 | |
Tencent Holdings, Ltd. | 28,900 | 1,230,057 | |
Uber Technologies, Inc.† | 31,000 | 1,338,270 | |
13,085,946 | |||
Machinery-Diversified — 1.5% | |||
Keyence Corp. | 2,830 | 1,338,358 | |
Westinghouse Air Brake Technologies Corp. | 8,610 | 944,259 | |
2,282,617 | |||
Metal Fabricate/Hardware — 0.3% | |||
Vallourec SA† | 39,595 | 467,435 | |
Mining — 1.4% | |||
Anglo American PLC | 37,790 | 1,071,135 | |
Rio Tinto PLC | 15,840 | 1,006,307 | |
2,077,442 | |||
Miscellaneous Manufacturing — 0.8% | |||
Siemens AG | 7,051 | 1,173,629 | |
Oil & Gas — 1.6% | |||
ConocoPhillips | 11,881 | 1,230,990 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
COMMON STOCKS (continued) | |||
Oil & Gas (continued) | |||
EOG Resources, Inc. | 5,075 | $ 580,783 | |
Reliance Industries, Ltd. GDR* | 3,746 | 233,376 | |
Reliance Industries, Ltd. GDR (LSE)* | 7,226 | 451,055 | |
2,496,204 | |||
Oil & Gas Services — 0.9% | |||
Schlumberger NV | 28,262 | 1,388,229 | |
Pharmaceuticals — 4.0% | |||
AstraZeneca PLC | 7,341 | 1,051,512 | |
Eli Lilly & Co. | 2,879 | 1,350,193 | |
Merck & Co., Inc. | 15,852 | 1,829,162 | |
Novartis AG | 19,057 | 1,923,374 | |
6,154,241 | |||
Pipelines — 0.4% | |||
Targa Resources Corp. | 8,953 | 681,323 | |
Private Equity — 0.3% | |||
Ares Management Corp., Class A | 5,529 | 532,719 | |
REITS — 0.4% | |||
Sun Communities, Inc. | 5,216 | 680,479 | |
Retail — 2.2% | |||
Chipotle Mexican Grill, Inc.† | 424 | 906,936 | |
Fast Retailing Co., Ltd. | 4,301 | 1,104,166 | |
Li Ning Co., Ltd. | 96,500 | 521,885 | |
Ross Stores, Inc. | 7,993 | 896,255 | |
3,429,242 | |||
Semiconductors — 5.1% | |||
Advanced Micro Devices, Inc.† | 7,322 | 834,049 | |
Micron Technology, Inc. | 17,929 | 1,131,499 | |
NVIDIA Corp. | 2,469 | 1,044,437 | |
ON Semiconductor Corp.† | 14,275 | 1,350,130 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 104,000 | 1,938,074 | |
Tokyo Electron, Ltd. | 10,700 | 1,532,278 | |
7,830,467 | |||
Software — 5.5% | |||
Autodesk, Inc.† | 4,933 | 1,009,341 | |
Microsoft Corp. | 12,521 | 4,263,901 | |
Roper Technologies, Inc. | 2,849 | 1,369,799 | |
Salesforce, Inc.† | 8,833 | 1,866,060 | |
8,509,101 | |||
Telecommunications — 0.8% | |||
Motorola Solutions, Inc. | 4,123 | 1,209,193 | |
Transportation — 0.7% | |||
Canadian Pacific Kansas City, Ltd. | 12,845 | 1,037,490 | |
Total Common Stocks (cost $89,753,923) | 99,864,692 | ||
CORPORATE BONDS & NOTES — 1.7% | |||
Auto Manufacturers — 0.1% | |||
Volkswagen Bank GmbH | |||
1.88%, 01/31/2024 | EUR | 100,000 | 107,659 |
Security Description | Shares or Principal Amount | Value | |
Banks — 0.3% | |||
Bank of America Corp. | |||
3.38%, 04/02/2026 | $ 130,000 | $ 124,606 | |
Goldman Sachs Group, Inc. | |||
4.48%, 08/23/2028 | 25,000 | 24,171 | |
JPMorgan Chase & Co. | |||
4.85%, 07/25/2028 | 95,000 | 93,727 | |
Morgan Stanley VRS | |||
5.52%, 01/25/2024(1) | 130,000 | 129,863 | |
Toronto-Dominion Bank | |||
4.29%, 09/13/2024 | 100,000 | 98,216 | |
5.10%, 01/09/2026 | 55,000 | 54,782 | |
525,365 | |||
Biotechnology — 0.1% | |||
Amgen, Inc. | |||
5.15%, 03/02/2028 | 50,000 | 49,955 | |
Gilead Sciences, Inc. | |||
0.75%, 09/29/2023 | 86,000 | 85,029 | |
134,984 | |||
Diversified Financial Services — 0.1% | |||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | |||
1.15%, 10/29/2023 | 180,000 | 177,116 | |
Electric — 0.1% | |||
E.ON SE | |||
Zero Coupon, 12/18/2023 | EUR | 50,000 | 53,621 |
Eversource Energy | |||
4.75%, 05/15/2026 | 25,000 | 24,502 | |
78,123 | |||
Food — 0.1% | |||
Mondelez International, Inc. | |||
0.25%, 03/17/2028 | EUR | 100,000 | 92,877 |
Healthcare-Products — 0.1% | |||
GE HealthCare Technologies, Inc. | |||
5.55%, 11/15/2024 | 115,000 | 114,436 | |
Healthcare-Services — 0.0% | |||
UnitedHealth Group, Inc. | |||
1.25%, 01/15/2026 | 15,000 | 13,704 | |
5.25%, 02/15/2028 | 40,000 | 40,781 | |
54,485 | |||
Insurance — 0.0% | |||
Principal Life Global Funding II | |||
1.25%, 06/23/2025* | 25,000 | 22,807 | |
Machinery-Diversified — 0.0% | |||
John Deere Capital Corp. | |||
4.75%, 06/08/2026 | 50,000 | 49,906 | |
Media — 0.1% | |||
Comcast Corp. | |||
Zero Coupon, 09/14/2026 | EUR | 100,000 | 96,403 |
Discovery Communications LLC | |||
3.90%, 11/15/2024 | 120,000 | 116,373 | |
212,776 | |||
Multi-National — 0.1% | |||
International Finance Corp. | |||
2.88%, 12/18/2024 | GBP | 100,000 | 121,607 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
CORPORATE BONDS & NOTES (continued) | |||
Pharmaceuticals — 0.2% | |||
Cigna Group | |||
5.69%, 03/15/2026 | $ 120,000 | $ 120,139 | |
Eli Lilly & Co. | |||
5.00%, 02/27/2026 | 150,000 | 150,112 | |
Pfizer Investment Enterprises Pte., Ltd. | |||
4.45%, 05/19/2026 | 75,000 | 74,092 | |
344,343 | |||
Pipelines — 0.1% | |||
Enbridge, Inc. | |||
5.97%, 03/08/2026 | 100,000 | 100,157 | |
REITS — 0.0% | |||
American Tower Corp. | |||
1.30%, 09/15/2025 | 45,000 | 40,765 | |
Semiconductors — 0.0% | |||
Intel Corp. | |||
4.88%, 02/10/2026 | 60,000 | 59,826 | |
Telecommunications — 0.2% | |||
AT&T, Inc. | |||
1.65%, 02/01/2028 | 80,000 | 68,754 | |
5.54%, 02/20/2026 | 75,000 | 75,004 | |
Verizon Communications, Inc. | |||
2.10%, 03/22/2028 | 105,000 | 92,240 | |
235,998 | |||
Transportation — 0.1% | |||
Canadian Pacific Railway Co. | |||
1.35%, 12/02/2024 | 145,000 | 136,238 | |
Total Corporate Bonds & Notes (cost $2,720,288) | 2,609,468 | ||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 13.2% | |||
U.S. Government — 13.2% | |||
United States Treasury Bonds | |||
1.38%, 11/15/2040 | 573,000 | 383,373 | |
1.75%, 08/15/2041 | 1,641,000 | 1,152,867 | |
2.00%, 02/15/2050 to 08/15/2051 | 2,125,000 | 1,449,794 | |
3.00%, 02/15/2048 | 803,500 | 677,482 | |
3.50%, 02/15/2039 | 260,000 | 249,072 | |
3.75%, 08/15/2041 | 248,000 | 239,543 | |
4.50%, 02/15/2036 | 173,000 | 186,698 | |
5.00%, 05/15/2037 | 271,000 | 306,855 | |
United States Treasury Notes | |||
0.25%, 09/30/2025 | 1,150,000 | 1,041,603 | |
0.38%, 01/31/2026 | 890,000 | 799,053 | |
0.50%, 03/31/2025(2) | 225,000 | 208,125 | |
0.75%, 08/31/2026 | 841,000 | 750,067 | |
1.25%, 08/15/2031 | 853,000 | 699,993 | |
1.63%, 10/31/2026 | 1,238,000 | 1,132,190 | |
2.25%, 08/15/2027(2) | 1,915,000 | 1,770,253 | |
2.38%, 05/15/2029 | 141,000 | 128,552 | |
2.63%, 05/31/2027 | 495,000 | 465,107 | |
2.75%, 07/31/2027 to 02/15/2028 | 549,000 | 517,440 | |
2.88%, 05/15/2032 | 287,000 | 266,103 | |
3.50%, 02/15/2033 | 202,000 | 196,761 | |
3.63%, 03/31/2028 | 910,000 | 888,814 | |
3.88%, 11/30/2027 | 3,701,000 | 3,648,521 |
Security Description | Shares or Principal Amount | Value | |
U.S. Government (continued) | |||
4.13%, 11/15/2032 | $ 1,629,000 | $ 1,664,634 | |
4.50%, 11/30/2024 | 1,468,000 | 1,452,402 | |
Total U.S. Government & Agency Obligations (cost $21,868,438) | 20,275,302 | ||
FOREIGN GOVERNMENT OBLIGATIONS — 16.6% | |||
Sovereign — 16.6% | |||
Commonwealth of Australia | |||
0.25%, 11/21/2024 | AUD | 112,000 | 70,592 |
1.00%, 12/21/2030 | AUD | 55,000 | 29,590 |
1.75%, 06/21/2051 | AUD | 171,000 | 66,230 |
2.75%, 05/21/2041 | AUD | 35,000 | 18,795 |
3.00%, 03/21/2047 | AUD | 134,000 | 71,443 |
3.25%, 04/21/2029 | AUD | 184,000 | 118,013 |
3.50%, 12/21/2034 | AUD | 51,000 | 32,212 |
Federal Republic of Germany | |||
Zero Coupon, 10/18/2024 to 05/15/2036 | EUR | 836,000 | 801,803 |
1.25%, 08/15/2048 | EUR | 52,000 | 45,019 |
1.30%, 10/15/2027 | EUR | 191,000 | 197,213 |
1.70%, 08/15/2032 | EUR | 271,000 | 279,634 |
1.75%, 02/15/2024 | EUR | 611,000 | 660,031 |
1.80%, 08/15/2053 | EUR | 87,000 | 82,917 |
2.30%, 02/15/2033 | EUR | 538,500 | 582,662 |
2.50%, 07/04/2044 | EUR | 96,000 | 105,571 |
3.25%, 07/04/2042 | EUR | 29,000 | 35,220 |
4.75%, 07/04/2040 | EUR | 174,000 | 248,292 |
Government of Canada | |||
0.50%, 12/01/2030 | CAD | 235,000 | 144,300 |
1.50%, 06/01/2026 | CAD | 196,000 | 137,690 |
1.75%, 12/01/2053 | CAD | 50,000 | 27,834 |
2.75%, 08/01/2024 | CAD | 183,000 | 134,952 |
3.25%, 09/01/2028 | CAD | 128,000 | 94,997 |
3.50%, 12/01/2045 | CAD | 172,000 | 136,441 |
3.75%, 04/26/2028 | 225,000 | 220,190 | |
4.00%, 06/01/2041 | CAD | 15,000 | 12,506 |
Government of France | |||
Zero Coupon, 03/25/2025 to 11/25/2031 | EUR | 1,821,000 | 1,701,940 |
0.75%, 02/25/2028 to 05/25/2028 | EUR | 619,000 | 610,248 |
1.00%, 05/25/2027 | EUR | 289,000 | 292,673 |
1.25%, 05/25/2036* | EUR | 46,000 | 40,521 |
1.50%, 05/25/2050* | EUR | 290,000 | 219,666 |
1.75%, 05/25/2066* | EUR | 70,000 | 52,042 |
2.00%, 11/25/2032 | EUR | 112,000 | 113,254 |
2.00%, 05/25/2048* | EUR | 100,000 | 86,161 |
2.50%, 05/25/2043* | EUR | 315,000 | 305,598 |
3.00%, 05/25/2033 | EUR | 150,000 | 164,552 |
4.00%, 04/25/2055* | EUR | 45,000 | 55,994 |
Government of Japan | |||
0.01%, 11/01/2024 | JPY | 67,950,000 | 471,734 |
0.10%, 12/20/2030 | JPY | 33,700,000 | 231,226 |
0.20%, 06/20/2036 | JPY | 58,700,000 | 385,159 |
0.40%, 12/20/2049 to 03/20/2056 | JPY | 140,800,000 | 774,205 |
0.60%, 09/20/2037 | JPY | 23,100,000 | 157,817 |
0.80%, 09/20/2047 | JPY | 94,200,000 | 608,071 |
0.90%, 06/20/2042 | JPY | 38,550,000 | 264,172 |
1.70%, 06/20/2033 | JPY | 26,150,000 | 203,662 |
2.30%, 03/20/2039 to 03/20/2040 | JPY | 162,600,000 | 1,377,704 |
Table of Contents
Security Description | Shares or Principal Amount | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||
Sovereign (continued) | |||
Government of Malaysia | |||
2.63%, 04/15/2031 | MYR | 122,000 | $ 23,953 |
3.58%, 07/15/2032 | MYR | 166,000 | 34,803 |
3.84%, 04/15/2033 | MYR | 70,000 | 14,898 |
4.13%, 04/15/2032 | MYR | 355,000 | 77,144 |
4.46%, 03/31/2053 | MYR | 40,000 | 8,949 |
4.76%, 04/07/2037 | MYR | 173,000 | 39,544 |
Government of New Zealand | |||
2.00%, 05/15/2032 | NZD | 135,000 | 67,304 |
2.75%, 05/15/2051 | NZD | 173,000 | 73,342 |
4.25%, 05/15/2034 | NZD | 261,000 | 154,417 |
Kingdom of Belgium | |||
Zero Coupon, 10/22/2027 to 10/22/2031* | EUR | 273,000 | 257,728 |
0.35%, 06/22/2032* | EUR | 280,000 | 242,609 |
0.50%, 10/22/2024* | EUR | 217,000 | 227,984 |
1.40%, 06/22/2053* | EUR | 128,000 | 88,964 |
4.25%, 03/28/2041* | EUR | 124,000 | 152,248 |
Kingdom of Denmark | |||
0.50%, 11/15/2029 | DKK | 570,000 | 72,777 |
4.50%, 11/15/2039 | DKK | 327,000 | 59,023 |
Kingdom of Spain | |||
Zero Coupon, 05/31/2024 to 01/31/2028* | EUR | 1,350,000 | 1,348,214 |
0.80%, 07/30/2029* | EUR | 95,000 | 89,789 |
0.85%, 07/30/2037* | EUR | 90,000 | 68,418 |
1.00%, 07/30/2042* | EUR | 168,000 | 115,199 |
1.90%, 10/31/2052* | EUR | 118,000 | 85,057 |
2.80%, 05/31/2026* | EUR | 178,000 | 191,027 |
3.45%, 07/30/2043 to 07/30/2066* | EUR | 96,000 | 96,980 |
3.55%, 10/31/2033* | EUR | 513,000 | 564,594 |
4.65%, 07/30/2025* | EUR | 24,000 | 26,816 |
4.70%, 07/30/2041* | EUR | 20,000 | 24,603 |
Kingdom of Sweden | |||
0.13%, 05/12/2031 | SEK | 750,000 | 57,335 |
Kingdom of the Netherlands | |||
Zero Coupon, 01/15/2027 to 01/15/2052* | EUR | 692,000 | 553,644 |
Norway Government Bond | |||
3.00%, 08/15/2033* | NOK | 2,175,000 | 191,579 |
Republic of Austria | |||
Zero Coupon, 02/20/2031 to 10/20/2040* | EUR | 83,000 | 61,498 |
0.75%, 10/20/2026* | EUR | 159,000 | 161,058 |
0.85%, 06/30/2120* | EUR | 17,000 | 7,577 |
1.85%, 05/23/2049* | EUR | 98,000 | 83,923 |
2.10%, 09/20/2117* | EUR | 4,000 | 3,196 |
2.40%, 05/23/2034* | EUR | 83,000 | 85,108 |
2.90%, 05/23/2029* | EUR | 68,000 | 73,945 |
Republic of Finland | |||
0.13%, 04/15/2052* | EUR | 35,000 | 17,854 |
0.88%, 09/15/2025* | EUR | 48,000 | 49,771 |
1.13%, 04/15/2034* | EUR | 97,000 | 87,590 |
3.00%, 09/15/2033* | EUR | 56,000 | 61,012 |
Republic of Ireland | |||
Zero Coupon, 10/18/2031 | EUR | 67,000 | 58,108 |
1.00%, 05/15/2026 | EUR | 30,000 | 30,917 |
1.10%, 05/15/2029 | EUR | 77,000 | 76,122 |
1.50%, 05/15/2050 | EUR | 59,000 | 45,060 |
1.70%, 05/15/2037 | EUR | 25,000 | 22,977 |
Security Description | Shares or Principal Amount | Value | |
Sovereign (continued) | |||
Republic of Italy | |||
Zero Coupon, 04/01/2026 | EUR | 1,208,000 | $ 1,189,606 |
0.25%, 03/15/2028 | EUR | 193,000 | 179,538 |
0.60%, 08/01/2031* | EUR | 71,000 | 60,151 |
0.95%, 12/01/2031* | EUR | 538,000 | 465,435 |
1.35%, 04/01/2030 | EUR | 68,000 | 63,497 |
1.50%, 04/30/2045* | EUR | 329,000 | 221,793 |
1.65%, 12/01/2030* | EUR | 44,000 | 41,290 |
1.70%, 09/01/2051* | EUR | 33,000 | 21,565 |
1.80%, 03/01/2041* | EUR | 41,000 | 31,436 |
1.85%, 07/01/2025* | EUR | 271,000 | 284,827 |
2.15%, 03/01/2072* | EUR | 40,000 | 25,877 |
2.80%, 03/01/2067* | EUR | 66,000 | 51,426 |
3.10%, 03/01/2040* | EUR | 91,000 | 85,858 |
3.40%, 04/01/2028 | EUR | 182,000 | 195,824 |
3.85%, 12/15/2029 | EUR | 100,000 | 109,345 |
4.00%, 04/30/2035* | EUR | 350,000 | 377,719 |
Republic of Poland | |||
1.25%, 10/25/2030 | PLN | 199,000 | 36,441 |
2.50%, 07/25/2027 | PLN | 630,000 | 137,452 |
6.00%, 10/25/2033 | PLN | 56,000 | 13,993 |
Republic of Singapore | |||
1.88%, 10/01/2051 | SGD | 47,000 | 31,058 |
2.63%, 08/01/2032 | SGD | 33,000 | 23,546 |
2.75%, 04/01/2042 | SGD | 29,000 | 22,030 |
3.38%, 09/01/2033 | SGD | 41,000 | 31,105 |
3.50%, 03/01/2027 | SGD | 74,000 | 55,166 |
State of Israel | |||
1.30%, 04/30/2032 | ILS | 122,000 | 26,974 |
1.50%, 05/31/2037 | ILS | 198,000 | 39,840 |
2.80%, 11/29/2052 | ILS | 50,000 | 10,625 |
United Kingdom Gilt Treasury | |||
0.25%, 07/31/2031 | GBP | 671,000 | 615,181 |
0.50%, 10/22/2061 | GBP | 118,000 | 47,461 |
0.88%, 10/22/2029 to 07/31/2033 | GBP | 616,000 | 585,232 |
1.00%, 04/22/2024 | GBP | 96,000 | 117,793 |
2.50%, 07/22/2065 | GBP | 105,000 | 89,963 |
3.25%, 01/22/2044 | GBP | 145,000 | 153,139 |
3.50%, 01/22/2045 | GBP | 45,000 | 49,160 |
3.75%, 01/29/2038 to 10/22/2053 | GBP | 973,000 | 1,123,587 |
4.25%, 12/07/2046 | GBP | 34,000 | 41,594 |
United Mexican States | |||
5.75%, 03/05/2026 | MXN | 1,519,400 | 81,123 |
7.50%, 06/03/2027 to 05/26/2033 | MXN | 4,102,500 | 226,833 |
8.00%, 07/31/2053 | MXN | 576,900 | 30,561 |
8.50%, 05/31/2029 | MXN | 3,485,400 | 201,600 |
Total Foreign Government Obligations (cost $30,136,003) | 25,601,848 | ||
UNAFFILIATED INVESTMENT COMPANIES — 0.1% | |||
iShares MSCI Japan ETF (cost $109,832) | 2,156 | 133,457 | |
Total Long-Term Investment Securities (cost $144,588,484) | 148,484,767 |
Table of Contents
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 1.9% | ||||
Commercial Paper — 0.5% | ||||
Sherwin-Williams Co. 5.40%, 07/18/2023 | $ 500,000 | $ 498,689 | ||
TELUS Corp. 5.65%, 08/21/2023 | 300,000 | 297,602 | ||
796,291 | ||||
Sovereign — 1.4% | ||||
Government of Japan | ||||
Zero Coupon, 07/24/2023 | JPY | 97,050,000 | 672,635 | |
Zero Coupon, 08/14/2023 | JPY | 160,300,000 | 1,111,120 | |
Zero Coupon, 09/25/2023 | JPY | 49,250,000 | 341,433 | |
2,125,188 | ||||
Total Short-Term Investments (cost $3,043,008) | 2,921,479 | |||
REPURCHASE AGREEMENTS — 1.2% | ||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 370,000 | 370,000 | ||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 395,000 | 395,000 | ||
BNP Paribas SA Joint Repurchase Agreement(3) | 380,000 | 380,000 | ||
Deutsche Bank AG Joint Repurchase Agreement(3) | 370,000 | 370,000 | ||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 375,000 | 375,000 | ||
Total Repurchase Agreements (cost $1,890,000) | 1,890,000 | |||
TOTAL INVESTMENTS (cost $149,521,492)(4) | 99.7% | 153,296,246 | ||
Other assets less liabilities | 0.3 | 426,843 | ||
NET ASSETS | 100.0% | $153,723,089 |
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA Wellington Strategic Multi-Asset Portfolio has no right to demand registration of these securities. At June 30, 2023, the aggregate value of these securities was $9,061,087 representing 5.9% of net assets. |
(1) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
(4) | See Note 6 for cost of investments on a tax basis. |
DAC—Designated Activity Company |
ETF—Exchange Traded Fund |
GDR—Global Depositary Receipt |
LSE—London Stock Exchange |
VRS—Variable Rate Security |
AUD—Australian Dollar |
CAD—Canadian Dollar |
DKK—Danish Krone |
EUR—Euro Currency |
GBP—British Pound |
ILS—Israeli New Sheqel |
JPY—Japanese Yen |
MXN—Mexican Peso |
MYR—Malaysian Ringgit |
NOK—Norwegian Krone |
NZD—New Zealand Dollar |
PLN—Polish Zloty |
SEK—Swedish Krona |
SGD—Singapore Dollar |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
2 | Long | Canada 10 Year Bonds | September 2023 | $ 184,447 | $ 184,986 | $ 539 |
3 | Long | U.S. Treasury 10 Year Notes | September 2023 | 336,313 | 336,798 | 485 |
6 | Short | Euro-BUND | September 2023 | 877,369 | 875,623 | 1,746 |
8 | Short | Long Gilt | September 2023 | 970,464 | 968,247 | 2,217 |
11 | Short | U.S. Treasury Ultra 10 Year Notes | September 2023 | 1,315,723 | 1,302,813 | 12,910 |
$17,897 |
Table of Contents
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
6 | Long | Australian 10 Year Bonds | September 2023 | $468,105 | $464,329 | $ (3,776) |
7 | Long | Euro-BOBL | September 2023 | 891,478 | 883,839 | (7,639) |
2 | Long | Euro-Schatz | September 2023 | 230,200 | 228,825 | (1,375) |
1 | Long | U.S. Treasury Ultra Bonds | September 2023 | 136,554 | 136,219 | (335) |
1 | Short | Mini-10 Year JGB | September 2023 | 102,673 | 102,900 | (227) |
$(13,352) | ||||||
Net Unrealized Appreciation (Depreciation) | $ 4,545 |
* | 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) | |||
Australia & New Zealand Banking Group | EUR | 118,000 | USD | 125,782 | 07/07/2023 | $ — | $ (2,992) | |
Bank of America, N.A. | AUD | 155,000 | USD | 103,133 | 07/07/2023 | — | (126) | |
CAD | 210,000 | USD | 155,720 | 07/07/2023 | — | (2,805) | ||
CHF | 95,000 | USD | 105,262 | 07/07/2023 | — | (898) | ||
CNH | 495,000 | USD | 70,088 | 07/07/2023 | 1,987 | — | ||
CNH | 495,000 | USD | 68,280 | 08/04/2023 | 33 | — | ||
CNH | 344,000 | USD | 51,846 | 01/24/2024 | 3,707 | — | ||
CNH | 344,000 | USD | 51,135 | 04/10/2024 | 2,672 | — | ||
EUR | 352,000 | USD | 381,023 | 07/07/2023 | — | (3,115) | ||
JPY | 16,675,000 | USD | 119,312 | 07/07/2023 | 3,716 | — | ||
KRW | 69,430,000 | USD | 53,506 | 07/07/2023 | 810 | — | ||
KRW | 10,944,000 | USD | 8,314 | 08/04/2023 | — | (2) | ||
NOK | 60,000 | USD | 5,400 | 07/07/2023 | — | (190) | ||
TWD | 1,595,000 | USD | 51,535 | 07/07/2023 | 328 | — | ||
USD | 51,543 | AUD | 75,000 | 07/07/2023 | — | (1,579) | ||
USD | 205,050 | CHF | 185,000 | 07/07/2023 | 1,683 | — | ||
USD | 68,131 | CNH | 495,000 | 07/07/2023 | ��� — | (30) | ||
USD | 50,294 | CNH | 344,000 | 07/13/2023 | — | (2,946) | ||
USD | 50,959 | CNH | 344,000 | 01/24/2024 | — | (2,820) | ||
USD | 134,691 | EUR | 124,000 | 07/07/2023 | 631 | — | ||
USD | 112,874 | GBP | 91,000 | 07/07/2023 | 2,697 | — | ||
USD | 79,501 | JPY | 11,200,000 | 07/07/2023 | — | (1,859) | ||
USD | 99,166 | KRW | 128,274,000 | 07/07/2023 | — | (1,809) | ||
USD | 67,182 | KRW | 88,400,000 | 08/04/2023 | — | (5) | ||
USD | 104,245 | SEK | 1,120,000 | 07/07/2023 | — | (391) | ||
USD | 26,118 | TWD | 800,000 | 07/07/2023 | — | (435) | ||
USD | 30,992 | ZAR | 580,000 | 07/07/2023 | — | (182) | ||
18,264 | (19,192) | |||||||
Barclays Bank PLC | AUD | 111,000 | USD | 73,803 | 07/07/2023 | — | (144) | |
AUD | 622,000 | USD | 412,399 | 08/04/2023 | — | (2,300) | ||
CAD | 1,008,000 | USD | 742,562 | 07/07/2023 | — | (18,358) | ||
EUR | 24,000 | USD | 26,280 | 07/07/2023 | 89 | — | ||
GBP | 135,000 | USD | 170,446 | 07/07/2023 | — | (1,005) | ||
HUF | 4,500,000 | USD | 13,096 | 07/07/2023 | — | (78) | ||
ILS | 377,000 | USD | 101,959 | 07/07/2023 | 242 | — | ||
JPY | 7,600,000 | USD | 52,892 | 07/07/2023 | 206 | — | ||
JPY | 7,600,000 | USD | 52,890 | 08/04/2023 | — | (18) | ||
NOK | 280,000 | USD | 26,053 | 07/07/2023 | — | (35) | ||
NZD | 85,000 | USD | 51,595 | 07/07/2023 | — | (569) | ||
PLN | 675,000 | USD | 160,448 | 07/07/2023 | — | (5,548) | ||
SEK | 998,000 | USD | 92,857 | 07/07/2023 | 316 | — | ||
THB | 450,000 | USD | 13,044 | 07/07/2023 | 349 | — | ||
THB | 849,000 | USD | 23,880 | 08/04/2023 | — | (137) | ||
USD | 412,075 | AUD | 622,000 | 07/07/2023 | 2,293 | — | ||
USD | 40,444 | AUD | 61,000 | 08/04/2023 | 226 | — |
Table of Contents
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 66,972 | CHF | 60,000 | 07/07/2023 | $ 76 | $ — | ||
USD | 116,065 | EUR | 108,000 | 07/07/2023 | 1,796 | — | ||
USD | 155,264 | GBP | 123,000 | 07/07/2023 | 947 | — | ||
USD | 10,086 | JPY | 1,400,000 | 07/07/2023 | — | (381) | ||
USD | 25,488 | MXN | 440,000 | 07/07/2023 | 207 | — | ||
USD | 48,969 | THB | 1,719,000 | 07/07/2023 | — | (476) | ||
ZAR | 2,170,000 | USD | 111,943 | 07/07/2023 | — | (3,331) | ||
6,747 | (32,380) | |||||||
BNP Paribas SA | AUD | 80,000 | USD | 53,261 | 07/07/2023 | — | (34) | |
CHF | 131,000 | USD | 145,842 | 07/07/2023 | — | (547) | ||
CNH | 174,000 | USD | 24,637 | 07/07/2023 | 699 | — | ||
CNH | 174,000 | USD | 24,002 | 08/04/2023 | 12 | — | ||
EUR | 307,000 | USD | 332,140 | 07/07/2023 | — | (2,890) | ||
GBP | 42,000 | USD | 52,205 | 07/07/2023 | — | (1,135) | ||
HUF | 45,900,000 | USD | 130,578 | 07/07/2023 | — | (3,796) | ||
ILS | 377,000 | USD | 101,758 | 08/04/2023 | — | (35) | ||
JPY | 711,642,000 | USD | 5,112,084 | 07/07/2023 | 178,772 | — | ||
JPY | 645,233,000 | USD | 4,480,085 | 08/04/2023 | — | (11,804) | ||
MYR | 928,000 | USD | 199,119 | 08/04/2023 | — | (1,016) | ||
NZD | 87,000 | USD | 52,902 | 07/07/2023 | — | (490) | ||
NZD | 17,000 | USD | 10,363 | 08/04/2023 | — | (69) | ||
USD | 52,234 | AUD | 80,000 | 07/07/2023 | 1,061 | — | ||
USD | 102,875 | CAD | 140,000 | 07/07/2023 | 2,809 | — | ||
USD | 229,525 | CHF | 206,000 | 07/07/2023 | 675 | — | ||
USD | 45,736 | CHF | 41,000 | 08/04/2023 | 211 | — | ||
USD | 23,949 | CNH | 174,000 | 07/07/2023 | — | (11) | ||
USD | 26,215 | EUR | 24,000 | 07/07/2023 | — | (24) | ||
USD | 138,163 | GBP | 109,000 | 07/07/2023 | 269 | — | ||
USD | 101,676 | ILS | 377,000 | 07/07/2023 | 42 | — | ||
USD | 5,354,028 | JPY | 769,517,000 | 07/07/2023 | — | (19,509) | ||
USD | 427,565 | JPY | 61,584,000 | 08/04/2023 | 1,161 | — | ||
USD | 198,740 | MYR | 928,000 | 07/07/2023 | 403 | — | ||
ZAR | 570,000 | USD | 30,955 | 07/07/2023 | 676 | — | ||
186,790 | (41,360) | |||||||
Citibank, N.A. | CHF | 185,000 | USD | 207,501 | 07/07/2023 | 768 | — | |
GBP | 42,000 | USD | 53,118 | 08/04/2023 | — | (233) | ||
NOK | 1,980,000 | USD | 183,689 | 07/07/2023 | — | (790) | ||
SEK | 2,670,000 | USD | 246,379 | 07/07/2023 | — | (1,200) | ||
USD | 50,114 | CHF | 45,000 | 07/07/2023 | 172 | — | ||
USD | 407,706 | EUR | 380,000 | 07/07/2023 | 6,989 | — | ||
USD | 52,158 | EUR | 48,000 | 08/04/2023 | 297 | — | ||
USD | 51,663 | GBP | 41,000 | 07/07/2023 | 407 | — | ||
USD | 49,578 | GBP | 39,000 | 08/04/2023 | — | (37) | ||
USD | 51,427 | JPY | 7,200,000 | 07/07/2023 | — | (1,515) | ||
USD | 52,249 | NOK | 560,000 | 07/07/2023 | — | (72) | ||
USD | 78,655 | SEK | 850,000 | 07/07/2023 | 162 | — | ||
8,795 | (3,847) | |||||||
Credit Agricole SA | CAD | 114,000 | USD | 83,919 | 07/07/2023 | — | (2,138) | |
MXN | 2,680,000 | USD | 155,884 | 07/07/2023 | — | (625) | ||
USD | 49,995 | CHF | 45,000 | 07/07/2023 | 291 | — | ||
USD | 221,004 | MXN | 3,815,000 | 07/07/2023 | 1,788 | — | ||
2,079 | (2,763) | |||||||
Deutsche Bank AG | DKK | 975,000 | USD | 142,381 | 08/04/2023 | — | (759) | |
EUR | 13,967,000 | USD | 15,034,009 | 07/07/2023 | — | (208,226) | ||
JPY | 25,400,000 | USD | 180,382 | 07/07/2023 | 4,301 | — | ||
MXN | 200,000 | USD | 11,223 | 07/07/2023 | — | (457) | ||
MXN | 16,050,000 | USD | 931,639 | 08/04/2023 | — | (657) | ||
NOK | 2,519,000 | USD | 234,396 | 08/04/2023 | — | (543) | ||
USD | 50,282 | CHF | 45,000 | 07/07/2023 | 4 | — |
Table of Contents
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 142,144 | DKK | 975,000 | 07/07/2023 | $ 761 | $ — | ||
USD | 238,960 | EUR | 222,000 | 07/07/2023 | 3,310 | — | ||
USD | 258,195 | JPY | 36,000,000 | 07/07/2023 | — | (8,633) | ||
USD | 936,581 | MXN | 16,050,000 | 07/07/2023 | 722 | — | ||
USD | 234,158 | NOK | 2,519,000 | 07/07/2023 | 541 | — | ||
USD | 88,402 | ZAR | 1,670,000 | 07/07/2023 | 310 | — | ||
ZAR | 1,670,000 | USD | 88,156 | 08/04/2023 | — | (310) | ||
9,949 | (219,585) | |||||||
Goldman Sachs International | BRL | 15,000 | USD | 3,124 | 07/05/2023 | — | (9) | |
CHF | 180,000 | USD | 199,599 | 07/07/2023 | — | (1,547) | ||
CNH | 162,000 | USD | 22,297 | 07/07/2023 | 10 | — | ||
CZK | 290,000 | USD | 13,127 | 07/07/2023 | — | (184) | ||
EUR | 149,000 | USD | 162,114 | 07/07/2023 | — | (490) | ||
GBP | 42,000 | USD | 52,236 | 07/07/2023 | — | (1,105) | ||
IDR | 378,000,000 | USD | 25,229 | 07/07/2023 | 40 | — | ||
IDR | 378,000,000 | USD | 25,212 | 08/04/2023 | 93 | — | ||
JPY | 51,500,000 | USD | 365,250 | 07/07/2023 | 8,237 | — | ||
JPY | 5,300,000 | USD | 36,836 | 08/04/2023 | — | (61) | ||
KRW | 111,834,000 | USD | 86,030 | 07/07/2023 | 1,151 | — | ||
MXN | 4,560,000 | USD | 256,331 | 07/07/2023 | — | (9,968) | ||
NOK | 850,000 | USD | 77,412 | 07/07/2023 | — | (1,784) | ||
SEK | 560,000 | USD | 52,396 | 07/07/2023 | 469 | — | ||
USD | 50,079 | AUD | 75,000 | 07/07/2023 | — | (115) | ||
USD | 53,214 | AUD | 80,000 | 08/04/2023 | 124 | — | ||
USD | 2,988 | BRL | 15,000 | 07/05/2023 | 145 | — | ||
USD | 3,108 | BRL | 15,000 | 08/02/2023 | 10 | — | ||
USD | 52,606 | CAD | 70,000 | 07/07/2023 | 235 | — | ||
USD | 100,399 | CHF | 90,000 | 07/07/2023 | 174 | — | ||
USD | 22,937 | CNH | 162,000 | 07/07/2023 | — | (650) | ||
USD | 22,347 | CNH | 162,000 | 08/04/2023 | — | (12) | ||
USD | 179,542 | EUR | 168,000 | 07/07/2023 | 3,798 | — | ||
USD | 55,724 | EUR | 51,000 | 08/04/2023 | 9 | — | ||
USD | 65,833 | GBP | 53,000 | 07/07/2023 | 1,477 | — | ||
USD | 25,225 | IDR | 378,000,000 | 07/07/2023 | — | (37) | ||
USD | 156,360 | JPY | 22,000,000 | 07/07/2023 | — | (3,850) | ||
USD | 40,768 | KRW | 52,990,000 | 07/07/2023 | — | (550) | ||
USD | 206,714 | MXN | 3,620,000 | 07/07/2023 | 4,690 | — | ||
USD | 265,735 | NOK | 2,910,000 | 07/07/2023 | 5,394 | — | ||
USD | 26,116 | NOK | 280,000 | 08/04/2023 | — | (1) | ||
USD | 51,657 | SEK | 560,000 | 07/07/2023 | 270 | — | ||
USD | 25,886 | TWD | 795,000 | 07/07/2023 | — | (363) | ||
USD | 24,933 | ZAR | 490,000 | 07/07/2023 | 1,096 | — | ||
27,422 | (20,726) | |||||||
HSBC Bank PLC | AUD | 80,000 | USD | 52,994 | 07/07/2023 | — | (300) | |
EUR | 96,000 | USD | 104,141 | 07/07/2023 | — | (624) | ||
EUR | 14,421,000 | USD | 15,666,944 | 08/04/2023 | — | (92,370) | ||
JPY | 105,200,000 | USD | 749,075 | 07/07/2023 | 19,798 | — | ||
MYR | 928,000 | USD | 201,140 | 07/07/2023 | 1,998 | — | ||
PLN | 675,000 | USD | 164,243 | 08/04/2023 | — | (1,513) | ||
USD | 15,432,365 | EUR | 14,226,000 | 07/07/2023 | 92,518 | — | ||
USD | 104,286 | EUR | 96,000 | 08/04/2023 | 624 | — | ||
USD | 155,648 | JPY | 21,600,000 | 07/07/2023 | — | (5,910) | ||
USD | 164,474 | PLN | 675,000 | 07/07/2023 | 1,523 | — | ||
116,461 | (100,717) | |||||||
JPMorgan Chase Bank, N.A. | AUD | 320,000 | USD | 216,019 | 07/07/2023 | 2,839 | — | |
CAD | 210,000 | USD | 158,088 | 07/07/2023 | — | (437) | ||
CHF | 45,000 | USD | 50,280 | 07/07/2023 | — | (6) | ||
CNH | 877,000 | USD | 121,080 | 07/07/2023 | 426 | — | ||
EUR | 270,000 | USD | 291,153 | 07/07/2023 | — | (3,499) | ||
GBP | 41,000 | USD | 51,369 | 07/07/2023 | — | (701) |
Table of Contents
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
HUF | 50,400,000 | USD | 146,057 | 08/04/2023 | $ — | $ (384) | ||
JPY | 35,800,000 | USD | 257,391 | 07/07/2023 | 9,214 | — | ||
MXN | 5,386,000 | USD | 303,445 | 07/07/2023 | — | (11,092) | ||
NOK | 2,819,000 | USD | 256,973 | 07/07/2023 | — | (5,678) | ||
THB | 900,000 | USD | 26,084 | 07/07/2023 | 695 | — | ||
USD | 50,911 | AUD | 75,000 | 07/07/2023 | — | (947) | ||
USD | 210,190 | CAD | 280,000 | 07/07/2023 | 1,177 | — | ||
USD | 123,163 | CNH | 877,000 | 07/07/2023 | — | (2,508) | ||
USD | 82,212 | CNH | 596,000 | 08/04/2023 | — | (39) | ||
USD | 364,627 | EUR | 338,000 | 07/07/2023 | 4,234 | — | ||
USD | 349,602 | GBP | 278,000 | 07/07/2023 | 3,461 | — | ||
USD | 147,153 | HUF | 50,400,000 | 07/07/2023 | 395 | — | ||
USD | 597,401 | JPY | 83,800,000 | 07/07/2023 | — | (16,475) | ||
USD | 215,304 | NZD | 355,000 | 07/07/2023 | 2,558 | — | ||
USD | 104,294 | SEK | 1,120,000 | 07/07/2023 | — | (441) | ||
24,999 | (42,207) | |||||||
Morgan Stanley & Co. International PLC | AUD | 80,000 | USD | 52,968 | 07/07/2023 | — | (327) | |
CHF | 230,000 | USD | 255,517 | 07/07/2023 | — | (1,502) | ||
CZK | 290,000 | USD | 13,240 | 08/04/2023 | — | (54) | ||
EUR | 335,000 | USD | 358,965 | 07/07/2023 | — | (6,621) | ||
JPY | 51,800,000 | USD | 366,465 | 07/07/2023 | 7,372 | — | ||
MXN | 5,892,000 | USD | 329,518 | 07/07/2023 | — | (14,569) | ||
SEK | 820,000 | USD | 75,536 | 07/07/2023 | — | (499) | ||
SEK | 838,000 | USD | 77,292 | 08/04/2023 | — | (512) | ||
SGD | 249,000 | USD | 184,374 | 07/07/2023 | 244 | — | ||
SGD | 253,000 | USD | 186,671 | 08/04/2023 | — | (602) | ||
USD | 105,011 | AUD | 155,000 | 07/07/2023 | — | (1,752) | ||
USD | 106,508 | CHF | 95,000 | 07/07/2023 | — | (348) | ||
USD | 50,253 | CHF | 45,000 | 08/04/2023 | 177 | — | ||
USD | 13,257 | CZK | 290,000 | 07/07/2023 | 54 | — | ||
USD | 13,967 | EUR | 13,000 | 07/07/2023 | 220 | — | ||
USD | 394,881 | JPY | 56,600,000 | 07/07/2023 | — | (2,513) | ||
USD | 51,788 | NZD | 85,000 | 07/07/2023 | 376 | — | ||
USD | 77,195 | SEK | 838,000 | 07/07/2023 | 510 | — | ||
USD | 75,631 | SEK | 820,000 | 08/04/2023 | 501 | — | ||
USD | 186,489 | SGD | 253,000 | 07/07/2023 | 600 | — | ||
10,054 | (29,299) | |||||||
Royal Bank of Canada | CAD | 70,000 | USD | 52,208 | 07/07/2023 | — | (634) | |
CAD | 934,000 | USD | 704,759 | 08/04/2023 | — | (586) | ||
CNH | 176,000 | USD | 24,913 | 07/07/2023 | 699 | — | ||
CNH | 176,000 | USD | 24,266 | 08/04/2023 | — | — | ||
GBP | 30,000 | USD | 37,187 | 07/07/2023 | — | (914) | ||
JPY | 49,250,000 | USD | 349,203 | 09/25/2023 | 3,519 | — | ||
MXN | 4,559,000 | USD | 253,057 | 07/07/2023 | — | (13,184) | ||
SGD | 4,000 | USD | 2,979 | 07/07/2023 | 21 | — | ||
USD | 810,684 | CAD | 1,074,000 | 07/07/2023 | 59 | — | ||
USD | 24,214 | CNH | 176,000 | 07/07/2023 | — | — | ||
USD | 107,184 | MXN | 1,931,000 | 07/07/2023 | 5,584 | — | ||
9,882 | (15,318) | |||||||
Societe Generale | CNH | 174,000 | USD | 23,948 | 07/07/2023 | 10 | — | |
USD | 24,636 | CNH | 174,000 | 07/07/2023 | — | (698) | ||
USD | 24,002 | CNH | 174,000 | 08/04/2023 | — | (12) | ||
10 | (710) | |||||||
Standard Chartered Bank | GBP | 41,000 | USD | 52,444 | 07/07/2023 | 374 | — | |
HKD | 615,000 | USD | 79,173 | 04/12/2024 | 137 | — | ||
HKD | 605,000 | USD | 77,796 | 05/09/2024 | 5 | — | ||
516 | — | |||||||
State Street Bank & Trust Company | CAD | 82,000 | USD | 60,296 | 07/07/2023 | — | (1,605) |
Table of Contents
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
CHF | 45,000 | USD | 49,807 | 07/07/2023 | $ — | $ (479) | ||
EUR | 226,000 | USD | 243,116 | 07/07/2023 | — | (3,519) | ||
GBP | 107,000 | USD | 133,446 | 07/07/2023 | — | (2,446) | ||
JPY | 3,700,000 | USD | 26,224 | 07/07/2023 | 575 | — | ||
MXN | 4,774,000 | USD | 268,044 | 07/07/2023 | — | (10,753) | ||
MXN | 551,000 | USD | 31,993 | 08/04/2023 | — | (13) | ||
USD | 72,671 | CAD | 97,000 | 07/07/2023 | 552 | — | ||
USD | 99,348 | CHF | 90,000 | 07/07/2023 | 1,224 | — | ||
USD | 20,463 | EUR | 19,000 | 07/07/2023 | 271 | — | ||
USD | 125,991 | MXN | 2,195,000 | 07/07/2023 | 2,195 | — | ||
USD | 52,314 | SEK | 560,000 | 07/07/2023 | — | (388) | ||
4,817 | (19,203) | |||||||
Toronto Dominion Bank | AUD | 572,000 | USD | 372,713 | 07/07/2023 | — | (8,345) | |
CAD | 70,000 | USD | 52,449 | 07/07/2023 | — | (392) | ||
EUR | 15,000 | USD | 16,125 | 07/07/2023 | — | (244) | ||
GBP | 2,774,000 | USD | 3,428,661 | 07/07/2023 | — | (94,357) | ||
GBP | 2,517,000 | USD | 3,177,159 | 08/04/2023 | — | (20,119) | ||
NZD | 940,000 | USD | 567,615 | 07/07/2023 | — | (9,257) | ||
USD | 212,421 | AUD | 326,000 | 07/07/2023 | 4,756 | — | ||
USD | 55,103 | CAD | 74,000 | 07/07/2023 | 758 | — | ||
USD | 3,176,454 | GBP | 2,517,000 | 07/07/2023 | 20,171 | — | ||
25,685 | (132,714) | |||||||
UBS AG | AUD | 160,000 | USD | 105,039 | 07/07/2023 | — | (1,551) | |
CHF | 45,000 | USD | 49,831 | 07/07/2023 | — | (455) | ||
CNH | 96,000 | USD | 13,592 | 07/07/2023 | 385 | — | ||
CNH | 96,000 | USD | 13,242 | 08/04/2023 | 6 | — | ||
DKK | 975,000 | USD | 140,707 | 07/07/2023 | — | (2,198) | ||
JPY | 97,050,000 | USD | 743,893 | 07/24/2023 | 69,391 | — | ||
JPY | 160,300,000 | USD | 1,195,828 | 08/14/2023 | 78,143 | — | ||
NZD | 85,000 | USD | 51,783 | 07/07/2023 | — | (381) | ||
NZD | 502,000 | USD | 304,181 | 08/04/2023 | — | (3,858) | ||
THB | 460,000 | USD | 13,095 | 07/07/2023 | 119 | — | ||
THB | 91,000 | USD | 2,563 | 08/04/2023 | — | (12) | ||
USD | 102,334 | AUD | 150,000 | 07/07/2023 | — | (2,406) | ||
USD | 21,703 | CAD | 29,000 | 07/07/2023 | 188 | — | ||
USD | 104,506 | CHF | 95,000 | 07/07/2023 | 1,654 | — | ||
USD | 13,213 | CNH | 96,000 | 07/07/2023 | — | (6) | ||
USD | 255,159 | EUR | 237,000 | 07/07/2023 | 3,480 | — | ||
USD | 458,940 | NZD | 757,000 | 07/07/2023 | 5,626 | — | ||
USD | 2,557 | THB | 91,000 | 07/07/2023 | 10 | — | ||
159,002 | (10,867) | |||||||
Unrealized Appreciation (Depreciation) | $611,472 | $ (693,880) |
AUD—Australian Dollar |
BRL—Brazilian Real |
CAD—Canadian Dollar |
CHF—Swiss Franc |
CNH—Yuan Renminbi Offshore |
CZK—Czech Koruna |
DKK—Danish Krone |
EUR—Euro Currency |
GBP—British Pound |
HKD—Hong Kong Dollar |
HUF—Hungarian Forint |
IDR—Indonesian Rupiah |
ILS—Israeli New Sheqel |
JPY—Japanese Yen |
KRW—South Korean Won |
MXN—Mexican Peso |
MYR—Malaysian Ringgit |
NOK—Norwegian Krone |
NZD—New Zealand Dollar |
PLN—Polish Zloty |
SEK—Swedish Krona |
SGD—Singapore Dollar |
THB—Thailand Baht |
TWD—New Taiwan Dollar |
USD—United States Dollar |
ZAR—South African Rand |
Table of Contents
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $ 1,372,227 | $ 3,098,036 | $— | $ 4,470,263 | |||
Apparel | — | 524,283 | — | 524,283 | |||
Auto Manufacturers | — | 1,951,254 | — | 1,951,254 | |||
Banks | 820,061 | 4,649,850 | — | 5,469,911 | |||
Chemicals | 335,081 | 1,481,082 | — | 1,816,163 | |||
Commercial Services | 3,075,680 | 495,132 | — | 3,570,812 | |||
Cosmetics/Personal Care | 1,118,581 | 2,752,194 | — | 3,870,775 | |||
Distribution/Wholesale | 2,380,459 | 624,362 | �� | — | 3,004,821 | ||
Diversified Financial Services | 1,936,175 | 1,367,182 | — | 3,303,357 | |||
Electric | 2,723,026 | 1,148,727 | — | 3,871,753 | |||
Engineering & Construction | — | 862,533 | — | 862,533 | |||
Hand/Machine Tools | — | 388,446 | — | 388,446 | |||
Healthcare-Services | 1,027,609 | 1,179,451 | — | 2,207,060 | |||
Home Furnishings | — | 1,488,981 | — | 1,488,981 | |||
Insurance | — | 2,771,608 | — | 2,771,608 | |||
Internet | 10,947,384 | 2,138,562 | — | 13,085,946 | |||
Machinery-Diversified | 944,259 | 1,338,358 | — | 2,282,617 | |||
Metal Fabricate/Hardware | — | 467,435 | — | 467,435 | |||
Mining | — | 2,077,442 | — | 2,077,442 | |||
Miscellaneous Manufacturing | — | 1,173,629 | — | 1,173,629 | |||
Oil & Gas | 2,045,149 | 451,055 | — | 2,496,204 | |||
Pharmaceuticals | 3,179,355 | 2,974,886 | — | 6,154,241 | |||
Retail | 1,803,191 | 1,626,051 | — | 3,429,242 | |||
Semiconductors | 4,360,115 | 3,470,352 | — | 7,830,467 | |||
Other Industries | 21,295,449 | — | — | 21,295,449 | |||
Corporate Bonds & Notes | — | 2,609,468 | — | 2,609,468 | |||
U.S. Government & Agency Obligations | — | 20,275,302 | — | 20,275,302 | |||
Foreign Government Obligations | — | 25,601,848 | — | 25,601,848 | |||
Unaffiliated Investment Companies | 133,457 | — | — | 133,457 | |||
Short-Term Investments | — | 2,921,479 | — | 2,921,479 | |||
Repurchase Agreements | — | 1,890,000 | — | 1,890,000 | |||
Total Investments at Value | $59,497,258 | $93,798,988 | $— | $153,296,246 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 17,897 | $ — | $— | $ 17,897 | |||
Forward Foreign Currency Contracts | — | 611,472 | — | 611,472 | |||
Total Other Financial Instruments | $ 17,897 | $ 611,472 | $— | $ 629,369 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $ 13,352 | $ — | $— | $ 13,352 | |||
Forward Foreign Currency Contracts | — | 693,880 | — | 693,880 | |||
Total Other Financial Instruments | $ 13,352 | $ 693,880 | $— | $ 707,232 |
* | 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. |
Table of Contents
SunAmerica Series Trust
STATEMENTS OF ASSETS AND LIABILITIES — June 30, 2023 (unaudited)
SA Wellington Capital Appreciation Portfolio | SA Wellington Government and Quality Bond Portfolio | SA Wellington Strategic Multi-Asset Portfolio | ||||||||||
ASSETS: | ||||||||||||
Investments at value (unaffiliated)* | $ | 1,831,728,327 | $ | 1,356,759,743 | $ | 151,406,246 | ||||||
Repurchase agreements (cost approximates value) | 13,800,000 | 21,630,000 | 1,890,000 | |||||||||
Cash | 2,673 | 6,298 | 1,164 | |||||||||
Foreign cash* | 21 | 35 | 174,563 | |||||||||
Due from broker | — | — | 88 | |||||||||
Receivable for: | ||||||||||||
Fund shares sold | 2,363 | 19,279,286 | 685,881 | |||||||||
Dividends and interest | 208,204 | 8,303,960 | 425,635 | |||||||||
Investments sold | 9,504,059 | 8,307,856 | 944,384 | |||||||||
Investments sold on an extended settlement basis | — | 41,559,863 | — | |||||||||
Prepaid expenses and other assets | 7,722 | 7,498 | 5,262 | |||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | — | 38,200 | |||||||||
Variation margin on futures contracts | — | 8,016 | 6,714 | |||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 611,472 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 1,855,253,369 | 1,455,862,555 | 156,189,609 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payable for: | ||||||||||||
Fund shares redeemed | 45,296,180 | 304,856 | 5,711 | |||||||||
Investments purchased | 13,799,261 | 11,477,946 | 1,568,236 | |||||||||
Investments purchased on an extended settlement basis | — | 56,476,589 | — | |||||||||
Investment advisory and management fees | 1,041,590 | 592,327 | 124,135 | |||||||||
Service fees-Class 2 | 5,450 | 1,719 | — | |||||||||
Service fees-Class 3 | 248,997 | 110,286 | 28,515 | |||||||||
Transfer agent fees and expenses | 157 | 596 | 539 | |||||||||
Trustees’ fees and expenses | 1,892 | 2,300 | 567 | |||||||||
Other accrued expenses | 150,895 | 160,595 | 36,367 | |||||||||
Variation margin on futures contracts | — | 17,264 | 8,570 | |||||||||
Due to broker | — | 23,078 | — | |||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 693,880 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 60,544,422 | 69,167,556 | 2,466,520 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,794,708,947 | $ | 1,386,694,999 | $ | 153,723,089 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS REPRESENTED BY: | ||||||||||||
Capital paid-in | $ | 2,028,144,678 | $ | 1,576,292,119 | $ | 161,554,322 | ||||||
Total accumulated earnings (loss) | (233,435,731 | ) | (189,597,120 | ) | (7,831,233 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,794,708,947 | $ | 1,386,694,999 | $ | 153,723,089 | ||||||
|
|
|
|
|
| |||||||
Class 1 (unlimited shares authorized): | ||||||||||||
Net assets | $ | 557,367,193 | $ | 821,024,139 | $ | 12,326,341 | ||||||
Shares of beneficial interest issued and outstanding | 18,874,267 | 62,584,937 | 1,523,350 | |||||||||
Net asset value, offering and redemption price per share | $ | 29.53 | $ | 13.12 | $ | 8.09 | ||||||
|
|
|
|
|
| |||||||
Class 2 (unlimited shares authorized): | ||||||||||||
Net assets | $ | 44,750,171 | $ | 13,946,783 | $ | — | ||||||
Shares of beneficial interest issued and outstanding | 1,753,685 | 1,059,510 | — | |||||||||
Net asset value, offering and redemption price per share | $ | 25.52 | $ | 13.16 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class 3 (unlimited shares authorized): | ||||||||||||
Net assets | $ | 1,192,591,583 | $ | 551,724,077 | $ | 141,396,748 | ||||||
Shares of beneficial interest issued and outstanding | 51,925,360 | 42,193,432 | 17,643,479 | |||||||||
Net asset value, offering and redemption price per share | $ | 22.97 | $ | 13.08 | $ | 8.01 | ||||||
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|
|
|
| |||||||
| ||||||||||||
*Cost | ||||||||||||
Investments (unaffiliated) | $ | 1,700,990,521 | $ | 1,421,491,533 | $ | 147,631,492 | ||||||
|
|
|
|
|
| |||||||
Foreign cash | $ | 22 | $ | 35 | $ | 174,196 | ||||||
|
|
|
|
|
|
See Notes to Financial Statements
| ||
27 |
Table of Contents
SunAmerica Series Trust
STATEMENTS OF OPERATIONS — For the Six Months Ended June 30, 2023 (unaudited)
SA Wellington Capital Appreciation Portfolio | SA Wellington Government and Quality Bond Portfolio | SA Wellington Strategic Multi- Asset Portfolio | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends (unaffiliated) | $ | 2,628,177 | $ | — | $ | 858,251 | ||||||
Interest (unaffiliated) | 588,565 | 25,524,684 | 547,685 | |||||||||
|
|
|
|
|
| |||||||
Total investment income* | 3,216,742 | 25,524,684 | 1,405,936 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory and management fees | 5,795,856 | 3,633,555 | 733,441 | |||||||||
Service fee: | ||||||||||||
Class 2 | 30,494 | 10,613 | — | |||||||||
Class 3 | 1,382,814 | 674,902 | 167,856 | |||||||||
Transfer agent fees and expenses | 1,168 | 1,809 | 944 | |||||||||
Custodian and accounting fees | 79,031 | 97,532 | 55,809 | |||||||||
Reports to shareholders | 21,270 | 19,320 | 435 | |||||||||
Audit and tax fees | 25,897 | 31,068 | 32,690 | |||||||||
Legal fees | 21,361 | 19,778 | 7,927 | |||||||||
Trustees’ fees and expenses | 25,573 | 20,739 | 2,105 | |||||||||
Interest expense | 2,326 | — | 65 | |||||||||
Other expenses | 95,526 | 35,947 | 23,793 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before fee waivers, expense reimbursements, expense recoupments, custody credits and fees paid indirectly | 7,481,316 | 4,545,263 | 1,025,065 | |||||||||
|
|
|
|
|
| |||||||
Fees waived and expenses reimbursed by investment adviser (Note 3) | — | — | (225,979 | ) | ||||||||
Fees paid indirectly (Note 4) | (9,395 | ) | — | (407 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 7,471,921 | 4,545,263 | 798,679 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (4,255,179 | ) | 20,979,421 | 607,257 | ||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments (unaffiliated) | (70,298,840 | ) | (24,961,870 | ) | (2,760,475 | ) | ||||||
Futures contracts | — | 659,871 | 74,173 | |||||||||
Forward contracts | — | — | (340,210 | ) | ||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | 8,817 | — | 12,467 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) on investments and foreign currencies | (70,290,023 | ) | (24,301,999 | ) | (3,014,045 | ) | ||||||
|
|
|
|
|
| |||||||
Change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments (unaffiliated) | 496,785,985 | 33,137,989 | 14,309,902 | |||||||||
Futures contracts | — | (1,433,876 | ) | (78,750 | ) | |||||||
Forward contracts | — | — | 645,994 | |||||||||
Change in unrealized foreign exchange gain (loss) on other assets and liabilities | 48 | 1 | (1,483 | ) | ||||||||
|
|
|
|
|
| |||||||
Net unrealized gain (loss) on investments and foreign currencies | 496,786,033 | 31,704,114 | 14,875,663 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 426,496,010 | 7,402,115 | 11,861,618 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 422,240,831 | $ | 28,381,536 | $ | 12,468,875 | ||||||
|
|
|
|
|
| |||||||
| ||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 36,386 | $ | — | $ | 49,768 | ||||||
|
|
|
|
|
|
See Notes to Financial Statements
| ||
28 |
Table of Contents
SunAmerica Series Trust
STATEMENTS OF CHANGES IN NET ASSETS
SA Wellington Capital Appreciation Portfolio | SA Wellington Government and Quality Bond Portfolio | SA Wellington Strategic Multi-Asset Portfolio | ||||||||||||||||||||||
For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (4,255,179 | ) | $ | (8,661,534 | ) | $ | 20,979,421 | $ | 24,543,563 | $ | 607,257 | $ | 434,006 | ||||||||||
Net realized gain (loss) on investments and foreign currencies | (70,290,023 | ) | (286,851,150 | ) | (24,301,999 | ) | (132,641,917 | ) | (3,014,045 | ) | (8,738,881 | ) | ||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 496,786,033 | (526,311,253 | ) | 31,704,114 | (121,316,524 | ) | 14,875,663 | (18,784,067 | ) | |||||||||||||||
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|
|
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Net increase (decrease) in net assets resulting from operations | 422,240,831 | (821,823,937 | ) | 28,381,536 | (229,414,878 | ) | 12,468,875 | (27,088,942 | ) | |||||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Distributable earnings — Class 1 | — | (146,734,957 | ) | — | (24,609,354 | ) | — | (1,367,828 | ) | |||||||||||||||
Distributable earnings — Class 2 | — | (12,955,484 | ) | — | (429,974 | ) | — | — | ||||||||||||||||
Distributable earnings — Class 3 | — | (360,813,517 | ) | — | (14,318,674 | ) | — | (13,443,822 | ) | |||||||||||||||
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Total distributions to shareholders | — | (520,503,958 | ) | — | (39,358,002 | ) | — | (14,811,650 | ) | |||||||||||||||
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Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (133,570,820 | ) | 593,873,559 | (11,374,299 | ) | (128,638,531 | ) | 1,494,920 | 27,097,625 | |||||||||||||||
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Total increase (decrease) in net assets | 288,670,011 | (748,454,336 | ) | 17,007,237 | (397,411,411 | ) | 13,963,795 | (14,802,967 | ) | |||||||||||||||
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NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | 1,506,038,936 | 2,254,493,272 | 1,369,687,762 | 1,767,099,173 | 139,759,294 | 154,562,261 | ||||||||||||||||||
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End of period | $ | 1,794,708,947 | $ | 1,506,038,936 | $ | 1,386,694,999 | $ | 1,369,687,762 | $ | 153,723,089 | $ | 139,759,294 | ||||||||||||
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See Notes to Financial Statements
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29 |
Table of Contents
SUNAMERICA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited)
June 30, 2023
Note 1. Organization
SunAmerica Series Trust (the “Trust”), organized as a Massachusetts business trust on September 11, 1992, is an open-end management investment company. The Trust is comprised of sixty-one separate investment series, three of which are included in this report: SA Wellington Capital Appreciation Portfolio, SA Wellington Government and Quality Bond Portfolio, and SA Wellington Strategic Multi-Asset Portfolio, (collectively, the “Portfolios”). SunAmerica Asset Management, LLC (“SAAMCo” or the “Adviser”), an indirect wholly owned subsidiary of Corebridge Financial, Inc. (“Corebridge”), which is a majority-owned subsidiary of American International Group, Inc., a Delaware corporation (“AIG”), serves as investment adviser for all Portfolios of the Trust.
Shares of the Trust are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies. Shares of the Portfolios are held by separate accounts of American General Life Insurance Company, a Texas life insurer (“AGL”), The United States Life Insurance Company in the City of New York, a New York life insurer (“USL”), The Variable Annuity Life Insurance Company, a Texas life insurer (“VALIC”) and variable annuity contracts issued by Nassau Life Insurance Company (“Nassau”), an unaffiliated life insurance company. AGL, USL and VALIC are indirect majority-owned subsidiaries of AIG. The life insurance companies listed above are collectively referred to as the “Life Companies.” All shares may be purchased or redeemed at net asset value without any sales or redemption charges.
Class 1 shares, Class 2 shares and Class 3 shares of each Portfolio may be offered in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses, (ii) Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not, and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class’s average daily net assets.
The investment goal for each Portfolio is as follows:
The SA Wellington Capital Appreciation Portfolio seeks long-term capital appreciation. Its strategy is to invest in growth equity securities across a wide range of industries and companies, using a wide-ranging and flexible stock selection approach.
The SA Wellington Government and Quality Bond Portfolio seeks relatively high current income, liquidity and security of principal. Its strategy is to invest, under normal circumstances, at least 80% of net assets in obligations issued, guaranteed or insured by the U.S. Government, its agencies or instrumentalities and in high quality corporate fixed income securities (rated AA– or better by S&P Global (Ratings) or Aa3 or better by Moody’s Investor Services, Inc. or its equivalent by any other nationally recognized statistical rating organization).
The SA Wellington Strategic Multi-Asset Portfolio seeks high long-term total investment return. Its strategy is to invest the Portfolio’s assets among global equity and global fixed income securities to achieve total investment return.
Indemnifications: The Trust’s organizational documents provide officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current trustees who is not an “interested person,” as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), of the Trust (collectively, the “Disinterested Trustees”), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trust’s maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.
Note 2. Significant Accounting Policies
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The Portfolios are considered investment companies under GAAP and follow the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:
Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value
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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 June 30, 2023, is reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures adopted by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures, and other debt securities, are valued at evaluated bid prices obtained for the day of valuation from an independent pricing service, and are generally categorized as Level 2. The pricing 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
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national securities exchanges are valued at the mean of the last bid and ask price reported by an independent pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter (“OTC”) market are valued at the mid-valuation provided by an independent pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market and are generally categorized as Level 1 or Level 2. Securities for which market quotations are not readily available or the values of which may be significantly impacted by 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 the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Portfolio’s Portfolio of Investments.
Futures: A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statements of Assets and Liabilities as variation margin for changes in the value of the contracts and as cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to the Portfolios of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Portfolios 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, a 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 the Portfolios since the futures contracts are generally exchange-traded.
Futures contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Portfolio’s Portfolio of Investments.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a Portfolio’s net assets fall below a specified
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level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in a Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause a Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables represent the value of derivatives held as of June 30, 2023, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities and the effect of derivatives on the Statements of Operations for the six months ended June 30, 2023. For a detailed presentation of derivatives held as of June 30, 2023, please refer to a schedule at the end of each Portfolio’s Portfolio of Investments.
Asset Derivatives | Liability Derivatives | |||||||||||||||
Futures Contracts(1)(4) | Foreign Forward Exchange Contracts(2) | Futures Contracts(1)(4) | Foreign Forward Exchange Contract(3) | |||||||||||||
Portfolio | Interest Rate Contracts | Interest Rate Contracts | ||||||||||||||
SA Wellington Government and Quality Bond | $ | 8,016 | $ | — | $ | 17,264 | $ | — | ||||||||
SA Wellington Strategic Multi-Asset | 6,714 | — | 8,570 | — | ||||||||||||
Foreign Exchange Contracts | Foreign Exchange Contracts | |||||||||||||||
SA Wellington Strategic Multi-Asset | $ | — | $ | 611,472 | $ | — | $ | 693,880 |
Statement of Assets and Liabilities Location:
(1) | Variation margin on futures contracts |
(2) | Unrealized appreciation on forward foreign currency contracts |
(3) | Unrealized depreciation on forward foreign currency contracts |
(4) | The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio’s Portfolio of Investments in the following amounts: |
Portfolio | Cumulative Appreciation (Depreciation) | |||
SA Wellington Government and Quality Bond | $ | (1,321,071 | ) | |
SA Wellington Strategic Multi-Asset | 4,545 |
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | ||||||||
Portfolio | Futures Contracts(1) | Foreign Forward Exchange Contracts(2) | ||||||
Interest Rate Contracts | ||||||||
SA Wellington Government and Quality Bond | $ | 659,871 | $ | — | ||||
SA Wellington Strategic Multi-Asset | 74,173 | — | ||||||
Foreign Exchange Contracts | ||||||||
SA Wellington Strategic Multi-Asset | $ | — | $ | (340,210 | ) | |||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | ||||||||
Portfolio | Futures Contracts(3) | Foreign Forward Exchange Contracts(4) | ||||||
Interest Rate Contracts | ||||||||
SA Wellington Government and Quality Bond | $ | (1,433,876 | ) | $ | — | |||
SA Wellington Strategic Multi-Asset | (78,750 | ) | — | |||||
Foreign Exchange Contracts | ||||||||
SA Wellington Strategic Multi-Asset | $ | — | $ | 645,994 |
Statement of Operations Location:
(1) | Net realized gain (loss) on futures contracts |
(2) | Net realized gain (loss) on forward contracts |
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(3) | Change in unrealized appreciation (depreciation) on futures contracts |
(4) | Change in unrealized appreciation (depreciation) on forward contracts |
The following table represents the average monthly balances of derivatives held during the year ended June 30, 2023.
Average Amount Outstanding During the Period | ||||||||
Portfolio | Futures Contracts(1) | Forward Foreign Currency Contracts(2) | ||||||
SA Wellington Government and Quality Bond | $ | 86,292,431 | $ | — | ||||
SA Wellington Strategic Multi-Asset | 7,114,584 | 99,258,565 |
(1) | Amounts represent values in US dollars. |
(2) | Amounts represent notional amounts in US dollars. |
The following table represents the Portfolio’s objectives for using derivative instruments the for the six months ended June 30, 2023:
Objectives for Using Derivatives | ||||||||
Portfolio | Futures Contracts | Foreign Exchange Contracts | ||||||
SA Wellington Government and Quality Bond | 1 | — | ||||||
SA Wellington Strategic Multi-Asset | 1, 2 | 2 |
(1) | To manage interest rate risk and the duration of the portfolio. |
(2) | To manage foreign currency exchange rate risk. |
The following table sets forth the Portfolios’ derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged (received) as of June 30, 2023. The repurchase agreements held by the Portfolios as of June 30, 2023, are also subject to Master Agreements but are not included in the following table. See each Portfolio’s Portfolio of Investments and the Notes to the Financial Statements for more information about the Portfolios’ holdings in repurchase agreements.
S.A. Wellington Strategic Multi-Asset Portfolio | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | |||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | ||||||||||||||||||||||||||||||||||||
Australia & New Zealand Banking Group | $ | — | $ | — | $ | — | $ | — | $ | 2,992 | $ | — | $ | — | $ | 2,992 | $ | (2,992 | ) | $ | — | $ | (2,992 | ) | ||||||||||||||||||||
Bank of America, N.A. | 18,264 | — | — | 18,264 | 19,192 | — | — | 19,192 | (928 | ) | — | (928 | ) | |||||||||||||||||||||||||||||||
Barclays Bank PLC | 6,747 | — | — | 6,747 | 32,380 | — | — | 32,380 | (25,633 | ) | — | (25,633 | ) | |||||||||||||||||||||||||||||||
BNP Paribas SA | 186,790 | — | — | 186,790 | 41,360 | — | — | 41,360 | 145,430 | — | 145,430 | |||||||||||||||||||||||||||||||||
Citibank, N.A. | 8,795 | — | — | 8,795 | 3,847 | — | — | 3,847 | 4,948 | — | 4,948 | |||||||||||||||||||||||||||||||||
Credit Agricole SA | 2,079 | — | — | 2,079 | 2,763 | — | — | 2,763 | (684 | ) | (684 | ) | ||||||||||||||||||||||||||||||||
Deutsche Bank AG | 9,949 | — | — | 9,949 | 219,585 | — | — | 219,585 | (209,636 | ) | — | (209,636 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs International | 27,422 | — | — | 27,422 | 20,726 | — | — | 20,726 | 6,696 | — | 6,696 | |||||||||||||||||||||||||||||||||
HSBC Bank PLC | 116,461 | — | — | 116,461 | 100,717 | — | — | 100,717 | 15,744 | — | 15,744 | |||||||||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 24,999 | — | — | 24,999 | 42,207 | — | — | 42,207 | (17,208 | ) | — | (17,208 | ) | |||||||||||||||||||||||||||||||
Morgan Stanley & Co. International PLC | 10,054 | — | — | 10,054 | 29,299 | — | — | 29,299 | (19,245 | ) | — | (19,245 | ) | |||||||||||||||||||||||||||||||
Royal Bank of Canada | 9,882 | — | — | 9,882 | 15,318 | — | — | 15,318 | (5,436 | ) | — | (5,436 | ) | |||||||||||||||||||||||||||||||
Societe Generale | 10 | — | — | 10 | 710 | — | — | 710 | (700 | ) | — | (700 | ) | |||||||||||||||||||||||||||||||
Standard Chartered Bank | 516 | — | — | 516 | — | — | — | — | 516 | — | 516 | |||||||||||||||||||||||||||||||||
State Street Bank & Trust Company | 4,817 | — | — | 4,817 | 19,203 | — | — | 19,203 | (14,386 | ) | — | (14,386 | ) | |||||||||||||||||||||||||||||||
Toronto Dominion Bank | 25,685 | — | — | 25,685 | 132,714 | — | — | 132,714 | (107,029 | ) | — | (107,029 | ) | |||||||||||||||||||||||||||||||
UBS AG | 159,002 | — | — | 159,002 | 10,867 | — | — | 10,867 | 148,135 | — | 148,135 | |||||||||||||||||||||||||||||||||
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$ | 611,472 | $ | — | $ | — | $ | 611,472 | $ | 693,880 | $ | — | $ | — | $ | 693,880 | $ | (82,408 | ) | $ | — | $ | (82,408 | ) | |||||||||||||||||||||
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(1) | Gross amounts of recognized assets and liabilities not offset in the Statements of Assets and Liabilities. |
(2) | For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the net amount of the derivative asset or liability in the table above. |
(3) | Net amount represents the net amount due (to) or from counterparty in the event of a default based on the contractual set— off rights under the agreement. |
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.
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The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period.
Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.
Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates.
Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.
Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex— dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex— dividend date. Paydown gains and losses on mortgage and asset— backed securities are recorded as components of interest income on the Statement of Operations.
Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and certain other countries’ tax regulations require that taxes be paid on capital gains realized by a Portfolio.
Distributions received from Real Estate Investment Trust (“REIT”) investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year’s allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.
Net investment income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of share at the beginning of the day (after adjusting for current capital shares activity of the respective class).
Expenses common to all Portfolios are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.
Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.
Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Portfolios are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Portfolios file U.S. federal and certain state income tax returns. The Portfolios federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission (“SEC”), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations. In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust’s custodian takes possession of the collateral pledged for investments in such repurchase agreements (“repo” or collectively “repos”). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the
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event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.
As of June 30, 2023, the following Portfolios held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 25.46 | % | $ | 2,725,000 | ||||
SA Wellington Government and Quality Bond | 39.89 | 4,270,000 | ||||||
SA Wellington Strategic Multi-Asset | 3.46 | 370,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated June 30, 2023, bearing interest at a rate of 5.03% per annum, with a principal amount of $10,705,000, a repurchase price of $10,709,487, and a maturity date of July 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.63 | % | 08/15/2029 | $ | 12,444,000 | $ | 10,918,801 |
As of June 30, 2023, the following Portfolios held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 25.55 | % | $ | 2,810,000 | ||||
SA Wellington Government and Quality Bond | 40.00 | 4,400,000 | ||||||
SA Wellington Strategic Multi-Asset | 3.59 | 395,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated June 30, 2023, bearing interest at a rate of 5.05% per annum, with a principal amount of $11,000,000, a repurchase price of $11,004,629, and a maturity date of July 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 4.25 | % | 10/15/2025 | $ | 11,249,000 | $ | 11,225,616 |
As of June 30, 2023, the following Portfolios held an undivided interest in a joint repurchase agreement with BNP Paribas SA:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 25.45 | % | $ | 2,800,000 | ||||
SA Wellington Government and Quality Bond | 39.91 | 4,390,000 | ||||||
SA Wellington Strategic Multi-Asset | 3.45 | 380,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated June 30, 2023, bearing interest at a rate of 5.04% per annum, with a principal amount of $11,000,000, a repurchase price of $11,004,620, and a maturity date of July 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 3.88 | % | 08/15/2040 | $ | 11,226,200 | $ | 11,221,238 |
As of June 30, 2023, the following Portfolios held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 25.46 | % | $ | 2,725,000 | ||||
SA Wellington Government and Quality Bond | 39.89 | 4,270,000 | ||||||
SA Wellington Strategic Multi-Asset | 3.46 | 370,000 |
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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated June 30, 2023, bearing interest at a rate of 5.03% per annum, with a principal amount of $10,705,000, a repurchase price of $10,709,487, and a maturity date of July 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 3.00 | % | 02/15/2047 | $ | 12,999,000 | $ | 10,986,504 |
As of June 30, 2023, the following Portfolios held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 25.43 | % | $ | 2,740,000 | ||||
SA Wellington Government and Quality Bond | 39.91 | 4,300,000 | ||||||
SA Wellington Strategic Multi-Asset | 3.48 | 375,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated June 30, 2023, bearing interest at a rate of 5.03% per annum, with a principal amount of $10,775,000, a repurchase price of $10,779,517, and a maturity date of July 3, 2023. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 4.63 | % | 03/15/2026 | $ | 10,835,000 | $ | 10,996,478 |
Mortgage-Backed Dollar Rolls: Certain Portfolios may enter into dollar rolls using “to be announced” (“TBA”) mortgage-backed securities (“TBA Rolls”). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios’ policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio’s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio’s obligation to repurchase the securities. Mortgage-Backed Dollar Rolls outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when-issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Securities purchased or sold on a when-issued or forward commitment basis outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities (“SMBS”) are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the “principal only” class) from the mortgage pool, while the other class will receive all or most of the interest (the “interest only” class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio’s yield.
LIBOR Risk: A Portfolio’s investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate, SOFR and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (“FCA”), which regulates LIBOR, announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. On March 5, 2021, the FCA and LIBOR’s administrator announced that most LIBOR settings will no longer be published after June 30, 2023. In April 2023, the FCA announced that the 1-month, 3-month and 6-month U.S. dollar LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. All other LIBOR settings have ceased to be published. On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act (the “LIBOR Act”) was signed into law, providing a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on the SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On December 16, 2022, the Federal Reserve Board adopted regulations implementing the LIBOR Act by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. These regulations apply only to contracts governed by U.S. law, among other limitations. The LIBOR Act and any additional regulatory or market changes may have an adverse impact on a Portfolio or its investments. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
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Recent Accounting and Regulatory Developments: In March 2020, the FASB issued ASU No. 2020-04 “Facilitation of the Effects of Reference Rate Reform on Financial Reporting”, which provides, optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the LIBOR and other interbank offered based reference rates as of the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. As a result of an extension in the planned discontinuation date of USD LIBOR, the FASB issued ASU No. 2022-06, “Reference Rate Reform” in December 2022, which extends the temporary relief provided by ASU 2020-04 to December 31, 2024. Management is evaluating the potential impact of ASU 2020-04 and ASU 2022-06 to the financial statements.
Note 3. Investment Advisory Agreement and Other Transactions with Affiliates
The Trust has entered into an Investment Advisory and Management Agreement (the “Management Agreement”) with SAAMCo with respect to each Portfolio. SAAMCo serves as investment adviser and manager for each of the Portfolios. The Management Agreement provides that SAAMCo shall act as investment adviser to the Trust; manage the Trust’s investments; administer its business affairs; furnish offices, necessary facilities and equipment; provide clerical, bookkeeping and administrative services; and permit any of its officers or employees to serve, without compensation, as trustees or officers of the Trust, if duly elected to such positions.
The Trust pays SAAMCo a monthly fee, calculated daily at the following annual percentages of each Portfolio’s average daily net assets:
Portfolio | Average Daily Net Assets | Management Fee | ||||||
SA Wellington Capital Appreciation | $0-$50 million | 0.750% | ||||||
> $50 million | 0.725% | |||||||
> $100 million | 0.700% | |||||||
SA Wellington Government and Quality Bond | $0-$200 million | 0.625% | ||||||
> $200 million | 0.575% | |||||||
> $500 million | 0.500% |
Portfolio | Average Daily Net Assets | Management Fee | ||||||
SA Wellington Strategic Multi-Asset | $0-$200 million | 1.000% | ||||||
> $200 million | 0.875% | |||||||
> $500 million | 0.800% |
The organization described below acts as a subadviser to the Trust and each of its Portfolios pursuant to a Subadvisory Agreement with SAAMCo. Under the Subadvisory Agreement, the subadviser manages the investment and reinvestment of the assets of the respective Portfolios.
The subadviser is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trust’s Trustees and the oversight and supervision of SAAMCo, which pays the subadviser fees.
Subadviser | Portfolio | |
Wellington Management Company LLP | SA Wellington Capital Appreciation | |
SA Wellington Government and Quality Bond | ||
SA Wellington Strategic Multi-Asset |
Class 2 and Class 3 shares of each Portfolio are subject to a Rule 12b-1 plan that provides for service fees payable at the annual rate of 0.15% and 0.25%, respectively of the average daily net assets of such Class 2 and Class 3 shares, respectively. The service fees will be used to compensate the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios’ Class 2 and Class 3 shares. Accordingly, for the six months ended June 30, 2023, service fees were paid (see Statement of Operations) based on the aforementioned rates.
The Trust has entered into a Master Transfer Agency and Services Agreement with VALIC Retirement Services Company (“VRSCO”), a majority owned subsidiary of the Variable Annuity Life Insurance Company (“VALIC”), which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their “institutional” shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust, and certain other mutual funds advised by SAAMCo pay VRSCO an annual fee in the aggregate amount of $150,000 for Transfer Agency Services provided pursuant to the agreement, which is allocated based on shareholder accounts. Accordingly, for the six months ended June 30, 2023, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.
SAAMCo has contractually agreed to waive fees and/or reimburse expenses, if necessary, for the SA Wellington Strategic Multi-Asset Portfolio, so that the annual operating expenses do not exceed 0.86% for Class 1 shares and 1.11% for Class 3 shares, respectively. For the purposes of waived fee and/or reimbursed expense calculations, annual operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of a Portfolio’s business. Any waivers and/or reimbursements made by SAAMCo with respect to the SA Wellington Strategic Multi-Asset Portfolio other than investment advisory fees waived, are subject to recoupment from a Portfolio within two years after the occurrence of the waivers and/or reimbursements, provided that a Portfolio is able to effect such payment to SAAMCo and remains in compliance with the contractual expense limitations
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in effect at the time the waivers and/or reimbursements were made. The contractual fee waivers and/or expense limitations may be modified or discontinued prior to April 30, 2024, only with the approval of the Board. For the six months ended June 30, 2023, pursuant to the contractual expense limitations mentioned above, SAAMCo waived fees and/or reimbursed expenses as follows:
Portfolio | Amount | |||
SA Wellington Strategic Multi-Asset — Class 1 | $ | 19,107 | ||
SA Wellington Strategic Multi-Asset — Class 3 | 206,872 |
For the six months ended June 30, 2023, the amounts repaid to the Adviser which are included in the Statement of Operations along with the remaining balance subject to recoupment are as follows:
Amount Recouped | Balance Subject to Recoupment | |||||||||||||||
Portfolio | June 30, 2023 | December 31, 2023 | December 31, 2024 | June 30, 2025 | ||||||||||||
SA Wellington Strategic Multi-Asset— Class 1 | $ | — | $ | 28,040 | $ | 44,088 | $ | 19,107 | ||||||||
SA Wellington Strategic Multi-Asset— Class 3 | — | 213,334 | 421,279 | 206,872 |
At June 30, 2023, the following affiliates owned outstanding shares of the following Portfolios:
Holder | ||||||||||||||||||||||||||||||||||||
Portfolio | USL | AGL | VALIC | SunAmerica Series Trust VCP SA Dynamic Allocation Portfolio | SunAmerica Series Trust VCP SA Dynamic Strategy Portfolio | Seasons Series Trust SA Allocation Balanced Portfolio | Seasons Series Trust SA Allocation Growth Portfolio | Seasons Series Trust SA Allocation Moderate Growth Portfolio | Seasons Series Trust SA Allocation Moderate Portfolio | |||||||||||||||||||||||||||
SA Wellington Capital Appreciation | 4.20 | % | 89.53 | % | 0.53 | % | 5.52 | % | — | % | — | % | — | % | — | % | — | % | ||||||||||||||||||
SA Wellington Government and Quality Bond | 2.26 | 42.95 | 0.32 | 34.34 | 13.91 | 1.85 | 0.89 | 1.95 | 1.51 | |||||||||||||||||||||||||||
SA Wellington Strategic Multi-Asset | 8.03 | 90.08 | 1.33 | — | — | — | — | — | — |
Note 4. Expense Reductions
Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the six months ended June 30, 2023, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.
Note 5. Purchases and Sales of Investment Securities
The cost of purchases and proceeds from sales and maturities of long-term investments for the six months ended June 30, 2023 were as follows:
Portfolio | Purchases of Investment Securities (excluding U.S. Government Securities) | Sales of Investment Securities (excluding U.S. Government Securities) | Purchases of U.S. Government Securities | Sales of U.S. Government Securities | ||||||||||||
SA Wellington Capital Appreciation | $ | 952,939,286 | $ | 1,010,589,839 | $ | — | $ | — | ||||||||
SA Wellington Government and Quality Bond | 321,711,185 | 286,291,107 | 746,774,689 | 528,487,175 | ||||||||||||
SA Wellington Strategic Multi-Asset | 40,868,493 | 41,506,242 | 9,090,539 | 6,942,884 |
Note 6. Federal Income Taxes
The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, straddles, post October capital loss carryforwards, paydowns, amortization for premium/discount, investments in partnerships, treatment of defaulted securities and derivative transactions.
For the year ended December 31, 2022 | ||||||||||||||||||||
Distributable Earnings | Tax Distributions | |||||||||||||||||||
Portfolio | Ordinary Income | Long-Term Gains, Capital and Other Losses | Unrealized Appreciation (Depreciation)* | Ordinary Income | Long-Term Capital Gains | |||||||||||||||
SA Wellington Capital Appreciation | $ | — | $ | — | $ | (372,941,772 | ) | $ | 223,686,959 | $ | 296,816,999 | |||||||||
SA Wellington Government and Quality Bond | 24,238,000 | — | (103,644,903 | ) | 31,311,519 | 8,046,483 | ||||||||||||||
SA Wellington Strategic Multi-Asset | 2,009,032 | — | (11,815,602 | ) | 7,092,152 | 7,719,497 |
* | Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency. |
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As of June 30, 2023, the amounts of the aggregate unrealized gain (loss) and the cost of investment securities for federal income tax purposes, including short-term securities and repurchase agreements, were as follows:
Portfolio | Aggregate Unrealized Gain | Aggregate Unrealized Loss | Net Unrealized Gain (Loss) | Cost of Investments | ||||||||||||
SA Wellington Capital Appreciation | $ | 283,139,234 | $ | (159,295,026 | ) | $ | 123,844,208 | $ | 1,721,684,119 | |||||||
SA Wellington Government and Quality Bond | 2,175,441 | (74,116,231 | ) | (71,940,790 | ) | 1,448,896,657 | ||||||||||
SA Wellington Strategic Multi-Asset | 13,512,726 | (10,455,168 | ) | 3,057,558 | 150,797,110 |
Note 7. Capital Share Transactions
Transactions in capital shares of each class of each Portfolio were as follows:
SA Wellington Capital Appreciation Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 30,583 | $ | 785,586 | 377,297 | $ | 14,443,000 | 4,830 | $ | 108,481 | 63,768 | $ | 1,596,112 | ||||||||||||||||||||
Reinvested dividends | — | — | 6,740,237 | 146,734,957 | — | — | 688,024 | 12,955,484 | ||||||||||||||||||||||||
Shares redeemed | (1,316,986 | ) | (34,359,602 | ) | (2,197,407 | ) | (79,145,510 | ) | (134,042 | ) | (3,039,672 | ) | (230,597 | ) | (7,073,005 | ) | ||||||||||||||||
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Net increase (decrease) | (1,286,403 | ) | $ | (33,574,016 | ) | 4,920,127 | $ | 82,032,447 | (129,212 | ) | $ | (2,931,191 | ) | 521,195 | $ | 7,478,591 | ||||||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 888,156 | $ | 18,074,922 | 7,014,181 | $ | 202,503,754 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 21,274,382 | 360,813,517 | ||||||||||||||||||||||||||||
Shares redeemed | (5,423,132 | ) | (115,140,535 | ) | (2,075,032 | ) | (58,954,750 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (4,534,976 | ) | $ | (97,065,613 | ) | 26,213,531 | $ | 504,362,521 | ||||||||||||||||||||||||
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SA Wellington Government and Quality Bond Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 3,304,673 | $ | 43,491,420 | 2,571,750 | $ | 34,226,200 | 15,227 | $ | 200,891 | 19,619 | $ | 264,623 | ||||||||||||||||||||
Reinvested dividends | — | — | 1,950,028 | 24,609,354 | — | — | 33,909 | 429,974 | ||||||||||||||||||||||||
Shares redeemed | (4,255,678 | ) | (56,022,912 | ) | (9,050,638 | ) | (124,822,456 | ) | (87,913 | ) | (1,160,666 | ) | (207,760 | ) | (2,849,509 | ) | ||||||||||||||||
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Net increase (decrease) | (951,005 | ) | $ | (12,531,492 | ) | (4,528,860 | ) | $ | (65,986,902 | ) | (72,686 | ) | $ | (959,775 | ) | (154,232 | ) | $ | (2,154,912 | ) | ||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 2,222,864 | $ | 29,151,358 | 2,067,254 | $ | 27,072,294 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 1,136,403 | 14,318,674 | ||||||||||||||||||||||||||||
Shares redeemed | (2,061,083 | ) | (27,034,390 | ) | (7,377,611 | ) | (101,887,685 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | 161,781 | $ | 2,116,968 | (4,173,954 | ) | $ | (60,496,717 | ) | ||||||||||||||||||||||||
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Table of Contents
SA Wellington Strategic Multi-Asset Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | For the six months ended June 30, 2023 (unaudited) | For the year ended December 31, 2022 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 16,327 | $ | 125,409 | 7,799 | $ | 63,307 | 961,654 | $ | 7,452,128 | 2,286,907 | $ | 19,215,467 | ||||||||||||||||||||
Reinvested dividends | — | — | 199,392 | 1,367,828 | — | — | 1,977,033 | 13,443,822 | ||||||||||||||||||||||||
Shares redeemed | (142,278 | ) | (1,117,665 | ) | (172,179 | ) | (1,461,193 | ) | (644,201 | ) | (4,964,952 | ) | (678,318 | ) | (5,531,606 | ) | ||||||||||||||||
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Net increase (decrease) | (125,951 | ) | $ | (992,256 | ) | 35,012 | $ | (30,058 | ) | 317,453 | $ | 2,487,176 | 3,585,622 | $ | 27,127,683 | |||||||||||||||||
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Note 8. Line of Credit
The Trust, along with certain other funds managed by the Adviser, has access to a $75 million committed unsecured line of credit and a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company (“State Street”), the Trust’s custodian. Interest on each of the committed and uncommitted lines of credit is payable at a variable rate per annum equal to the Applicable Rate plus one and one quarter of one percent (1.25%). The Applicable Rate per annum shall be equal to the higher of (a) the federal funds effective rate on such date and (b) the overnight bank funding rate on such date, plus, in each case, 10 basis points. Notwithstanding anything to the contrary, if the federal funds effective rate or the overnight bank funding rate shall be less than zero, then the federal funds effective rate or the overnight bank funding rate, shall be deemed to be zero for the purposes of determining the rate. The Trust, on behalf of each of the Portfolios, has paid State Street, such Portfolio’s ratable portion of an upfront fee in an amount equal to $40,000 in the aggregate for the uncommitted line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. There is also a commitment fee of 30 basis points per annum on the daily unused portion of the committed line of credit. Borrowings under the line of credit will commence when the respective Portfolio’s cash shortfall exceeds $100,000.
For the six months ended June 30, 2023, the following portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | ||||||||||||
SA Wellington Capital Appreciation | 1 | $ | 2,326 | $ | 13,550,000 | 6.18 | % |
At June 30, 2023, there were no borrowings outstanding.
Note 9. Interfund Lending Agreement
Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the six months ended June 30, 2023, none of the Portfolios participated in this program.
Note 10. Investment Concentration
The SA Wellington Strategic Multi-Asset Portfolio invests internationally, including in “emerging market” countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.
Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the SA Wellington Government and Quality Bond Portfolio concentration in such investments, this portfolio may be subject to risks associated with U.S. Government agencies or instrumentalities.
Note 11. Security Transactions with Affiliated Portfolios
The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the
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1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for the customary transfer fees), or other remuneration is paid in connection with such transaction. For the six months ended June 30, 2023, none of the Portfolios engaged in security transactions with affiliated Portfolios.
Note 12. Other Matters
The coronavirus pandemic and the related governmental and public responses have had and may continue to have an impact on the Portfolios’ investments and net asset value and have led and may continue to lead to increased market volatility and the potential for illiquidity in certain classes of securities and sectors of the market. Preventative or protective actions that governments have taken and may continue to take in respect of pandemic or epidemic diseases have resulted and may continue to result in periods of business disruption, business closures, inability to obtain raw materials, supplies and component parts, and reduced or disrupted operations for the issuers in which the Portfolios invests. Government intervention in markets have impacted and may continue to impact interest rates, market volatility and security pricing. The occurrence, reoccurrence and pendency of such diseases could adversely affect or have affected the economies (including through changes in business activity and increased unemployment) and financial markets either in specific countries or worldwide.
In late February 2022, Russia launched a large-scale invasion of Ukraine (the “Invasion”). The extent and duration of Russia’s military actions and the consequences of such actions are impossible to predict, but has resulted in, and may continue to result in, significant market disruptions, including in the commodities markets, and has negatively affected, and may continue to negatively affect global supply chains, global growth and inflation. In response to the Invasion, the United States, the European Union and other countries have imposed broad-ranging economic sanctions on certain Russian individuals and Russian entities. To the extent covered by the sanctions, the Portfolios are currently restricted from trading in Russian securities, including those in their Portfolios. In addition, certain index providers have removed Russian securities from their indices. Accordingly, any Portfolio repositioning in light of these changes may result in increased transaction costs and higher tracking error, including as a measure of risk against a Portfolio’s benchmark index. It is unknown when, or if, sanctions may be lifted or a Portfolio’s ability to trade in Russian securities will resume. Even if a Portfolio does not have direct exposure to securities of Russian issuers, the potential for wider conflict in the region or globally may increase volatility and uncertainty in the financial markets. These and any related events could adversely affect a Portfolio’s performance and the value and liquidity of an investment in the Portfolio. Information related to each Portfolio’s investments in Russian securities as of June 30, 2023, is presented within the Portfolio of Investments.
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SUNAMERICA SERIES TRUST
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets(3) | Ratio of net investment income (loss) to average net assets(3) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
SA Wellington Capital Appreciation Portfolio Class 1 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 46.76 | $ | (0.11 | ) | $ | 0.27 | $ | 0.16 | $ | — | $ | (6.62 | ) | $ | (6.62 | ) | $ | 40.30 | (0.75 | )% | $ | 706,136 | 0.74 | % | (0.23 | )% | 91 | % | |||||||||||||||||||||||
12/31/19 | 40.30 | (0.15 | ) | 11.88 | 11.73 | — | (8.43 | ) | (8.43 | ) | 43.60 | 31.17 | 709,996 | 0.74 | (0.31 | ) | 70 | |||||||||||||||||||||||||||||||||||
12/31/20 | 43.60 | (0.20 | ) | 27.70 | 27.50 | — | (6.30 | ) | (6.30 | ) | 64.80 | 64.53 | 873,694 | 0.74 | (0.39 | ) | 118 | |||||||||||||||||||||||||||||||||||
12/31/21(6) | 64.80 | (0.34 | ) | 4.29 | 3.95 | (4) | — | (15.42 | ) | (15.42 | ) | 53.33 | 5.63 | 812,818 | 0.73 | (0.53 | ) | 110 | (5) | |||||||||||||||||||||||||||||||||
12/31/22 | 53.33 | (0.13 | ) | (19.79 | ) | (19.92 | ) | — | (10.51 | ) | (10.51 | ) | 22.90 | (36.34 | ) | 461,751 | 0.73 | (0.37 | ) | 97 | ||||||||||||||||||||||||||||||||
06/30/23(7) | 22.90 | (0.04 | ) | 6.67 | 6.63 | — | — | — | 29.53 | 28.95 | 557,367 | 0.74 | (8) | (0.35 | )(8) | 58 | ||||||||||||||||||||||||||||||||||||
SA Wellington Capital Appreciation Portfolio Class 2 |
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12/31/18 | 44.85 | (0.19 | ) | 0.30 | 0.11 | — | (6.62 | ) | (6.62 | ) | 38.34 | (0.90 | ) | 42,600 | 0.89 | (0.39 | ) | 91 | ||||||||||||||||||||||||||||||||||
12/31/19 | 38.34 | (0.21 | ) | 11.25 | 11.04 | — | (8.43 | ) | (8.43 | ) | 40.95 | 30.95 | 46,494 | 0.89 | (0.46 | ) | 70 | |||||||||||||||||||||||||||||||||||
12/31/20 | 40.95 | (0.27 | ) | 25.96 | 25.69 | — | (6.30 | ) | (6.30 | ) | 60.34 | 64.28 | 63,956 | 0.89 | (0.54 | ) | 118 | |||||||||||||||||||||||||||||||||||
12/31/21(6) | 60.34 | (0.40 | ) | 4.02 | 3.62 | (4) | — | (15.42 | ) | (15.42 | ) | 48.54 | 5.49 | 66,092 | 0.88 | (0.68 | ) | 110 | (5) | |||||||||||||||||||||||||||||||||
12/31/22 | 48.54 | (0.16 | ) | (18.06 | ) | (18.22 | ) | — | (10.51 | ) | (10.51 | ) | 19.81 | (36.42 | ) | 37,293 | 0.88 | (0.52 | ) | 97 | ||||||||||||||||||||||||||||||||
06/30/23(7) | 19.81 | (0.06 | ) | 5.77 | 5.71 | — | — | — | 25.52 | 28.82 | 44,750 | 0.89 | (8) | (0.50 | )(8) | 58 | ||||||||||||||||||||||||||||||||||||
SA Wellington Capital Appreciation Portfolio Class 3 |
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12/31/18 | 43.62 | (0.23 | ) | 0.31 | 0.08 | — | (6.62 | ) | (6.62 | ) | 37.08 | (1.00 | ) | 549,342 | 0.99 | (0.49 | ) | 91 | ||||||||||||||||||||||||||||||||||
12/31/19 | 37.08 | (0.24 | ) | 10.85 | 10.61 | — | (8.43 | ) | (8.43 | ) | 39.26 | 30.84 | 655,204 | 0.99 | (0.56 | ) | 70 | |||||||||||||||||||||||||||||||||||
12/31/20 | 39.26 | (0.30 | ) | 24.84 | 24.54 | — | (6.30 | ) | (6.30 | ) | 57.50 | 64.11 | 938,153 | 0.99 | (0.64 | ) | 118 | |||||||||||||||||||||||||||||||||||
12/31/21(6) | 57.50 | (0.43 | ) | 3.83 | 3.40 | (4) | — | (15.42 | ) | (15.42 | ) | 45.48 | 5.37 | 1,375,583 | 0.98 | (0.79 | ) | 110 | (5) | |||||||||||||||||||||||||||||||||
12/31/22 | 45.48 | (0.17 | ) | (16.96 | ) | (17.13 | ) | — | (10.51 | ) | (10.51 | ) | 17.84 | (36.48 | ) | 1,006,995 | 0.98 | (0.60 | ) | 97 | ||||||||||||||||||||||||||||||||
06/30/23(7) | 17.84 | (0.06 | ) | 5.19 | 5.13 | — | — | — | 22.97 | 28.76 | 1,192,592 | 0.99 | (8) | (0.60 | )(8) | 58 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return includes expense reductions. |
(3) | Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following (See Note 4): |
Portfolio | 12/31/18 | 12/31/19 | 12/31/20 | 12/31/21 | 12/31/22 | 06/30/23(7)(8) | ||||||||||||||||||
SA Wellington Capital Appreciation Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
SA Wellington Capital Appreciation Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Wellington Capital Appreciation Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(4) | Includes the effect of a merger. |
(5) | Excludes purchases/sales due to merger. |
(6) | Effective November 8, 2021, the SA Wellington Capital Appreciation Portfolio acquired all of the assets and liabilities of the Anchor Series Trust — SA Wellington Capital Appreciation Portfolio (the “Predecessor Portfolio”). As a result of the reorganization, the Portfolio adopted the performance and financial history of the Predecessor Portfolio. |
(7) | Unaudited. |
(8) | Annualized. |
See Notes to Financial Statements
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Table of Contents
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
SA Wellington Government and Quality Bond Portfolio Class 1 |
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12/31/18 | $ | 15.04 | $ | 0.34 | $ | (0.34 | ) | $ | 0.00 | $ | (0.31 | ) | $ | (0.01 | ) | $ | (0.32 | ) | $ | 14.72 | 0.04 | % | $ | 777,915 | 0.57 | % | 2.28 | % | 16 | % | ||||||||||||||||||||||
12/31/19 | 14.72 | 0.35 | 0.73 | 1.08 | (0.41 | ) | — | (0.41 | ) | 15.39 | 7.32 | 869,709 | 0.57 | 2.29 | 43 | |||||||||||||||||||||||||||||||||||||
12/31/20 | 15.39 | 0.26 | 0.83 | 1.09 | (0.33 | ) | (0.02 | ) | (0.35 | ) | 16.13 | 7.11 | 1,063,081 | 0.57 | 1.59 | 41 | ||||||||||||||||||||||||||||||||||||
12/31/21(3) | 16.13 | 0.15 | (0.45 | ) | (0.30 | ) | (0.26 | ) | (0.26 | ) | (0.52 | ) | 15.31 | (1.86 | ) | 1,041,985 | 0.56 | 0.99 | 65 | |||||||||||||||||||||||||||||||||
12/31/22 | 15.31 | 0.24 | (2.30 | ) | (2.06 | ) | (0.18 | ) | (0.22 | ) | (0.40 | ) | 12.85 | (13.41 | ) | 816,210 | 0.56 | 1.74 | 91 | |||||||||||||||||||||||||||||||||
06/30/23(4) | 12.85 | 0.21 | 0.06 | 0.27 | — | — | — | 13.12 | 2.10 | 821,024 | 0.57 | (5) | 3.19 | (5) | 60 | |||||||||||||||||||||||||||||||||||||
SA Wellington Government and Quality Bond Portfolio Class 2 |
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12/31/18 | 15.07 | 0.32 | (0.33 | ) | (0.01 | ) | (0.29 | ) | (0.01 | ) | (0.30 | ) | 14.76 | (0.08 | ) | 22,895 | 0.72 | 2.12 | 16 | |||||||||||||||||||||||||||||||||
12/31/19 | 14.76 | 0.33 | 0.73 | 1.06 | (0.38 | ) | — | (0.38 | ) | 15.44 | 7.19 | 21,489 | 0.72 | 2.14 | 43 | |||||||||||||||||||||||||||||||||||||
12/31/20 | 15.44 | 0.24 | 0.83 | 1.07 | (0.31 | ) | (0.02 | ) | (0.33 | ) | 16.18 | 6.92 | 22,787 | 0.72 | 1.46 | 41 | ||||||||||||||||||||||||||||||||||||
12/31/21(3) | 16.18 | 0.13 | (0.46 | ) | (0.33 | ) | (0.23 | ) | (0.26 | ) | (0.49 | ) | 15.36 | (2.03 | ) | 19,762 | 0.71 | 0.84 | 65 | |||||||||||||||||||||||||||||||||
12/31/22 | 15.36 | 0.22 | (2.31 | ) | (2.09 | ) | (0.15 | ) | (0.22 | ) | (0.37 | ) | 12.90 | (13.54 | ) | 14,605 | 0.71 | 1.59 | 91 | |||||||||||||||||||||||||||||||||
06/30/23(4) | 12.90 | 0.20 | 0.06 | 0.26 | — | — | — | 13.16 | 2.02 | 13,947 | 0.72 | (5) | 3.04 | (5) | 60 | |||||||||||||||||||||||||||||||||||||
SA Wellington Government and Quality Bond Portfolio Class 3 |
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12/31/18 | 15.00 | 0.30 | (0.34 | ) | (0.04 | ) | (0.27 | ) | (0.01 | ) | (0.28 | ) | 14.68 | (0.24 | ) | 625,760 | 0.82 | 2.03 | 16 | |||||||||||||||||||||||||||||||||
12/31/19 | 14.68 | 0.31 | 0.73 | 1.04 | (0.37 | ) | — | (0.37 | ) | 15.35 | 7.06 | 665,250 | 0.82 | 2.04 | 43 | |||||||||||||||||||||||||||||||||||||
12/31/20 | 15.35 | 0.22 | 0.83 | 1.05 | (0.29 | ) | (0.02 | ) | (0.31 | ) | 16.09 | 6.88 | 732,226 | 0.82 | 1.36 | 41 | ||||||||||||||||||||||||||||||||||||
12/31/21(3) | 16.09 | 0.12 | (0.46 | ) | (0.34 | ) | (0.22 | ) | (0.26 | ) | (0.48 | ) | 15.27 | (2.10 | ) | 705,351 | 0.81 | 0.74 | 65 | |||||||||||||||||||||||||||||||||
12/31/22 | 15.27 | 0.21 | (2.30 | ) | (2.09 | ) | (0.14 | ) | (0.22 | ) | (0.36 | ) | 12.82 | (13.67 | ) | 538,872 | 0.81 | 1.48 | 91 | |||||||||||||||||||||||||||||||||
06/30/23(4) | 12.82 | 0.19 | 0.07 | 0.26 | — | — | — | 13.08 | 2.03 | 551,724 | 0.82 | (5) | 2.94 | (5) | 60 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. |
(3) | Effective November 8, 2021, the SA Wellington Government and Quality Bond Portfolio acquired all of the assets and liabilities of the Anchor Series Trust — SA Wellington Government and Quality Bond Portfolio (the “Predecessor Portfolio”). As a result of the reorganization, the Portfolio adopted the performance and financial history of the Predecessor Portfolio. |
(4) | Unaudited. |
(5) | Annualized. |
See Notes to Financial Statements
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Table of Contents
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets(3)(4) | Ratio of net investment income (loss) to average net assets(3)(4) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
SA Wellington Strategic Multi-Asset Portfolio Class 1 |
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12/31/18 | $ | 8.14 | $ | 0.05 | $ | (0.65 | ) | $ | (0.60 | ) | $ | (0.10 | ) | $ | (0.31 | ) | $ | (0.41 | ) | $ | 7.13 | (7.49 | )% | $ | 15,202 | 0.86 | % | 0.61 | % | 83 | % | |||||||||||||||||||||
12/31/19 | 7.13 | 0.05 | 1.31 | 1.36 | (0.01 | ) | (0.00 | ) | (0.01 | ) | 8.48 | 19.08 | 15,509 | 0.86 | 0.62 | 105 | ||||||||||||||||||||||||||||||||||||
12/31/20 | 8.48 | 0.02 | 1.51 | 1.53 | (0.10 | ) | (0.12 | ) | (0.22 | ) | 9.79 | 18.12 | 17,048 | 0.86 | 0.18 | 105 | ||||||||||||||||||||||||||||||||||||
12/31/21(5) | 9.79 | (0.00 | ) | 0.74 | 0.74 | (0.03 | ) | (0.37 | ) | (0.40 | ) | 10.13 | 7.65 | 16,357 | 0.86 | (0.01 | ) | 85 | ||||||||||||||||||||||||||||||||||
12/31/22 | 10.13 | 0.05 | (1.84 | ) | (1.79 | ) | (0.08 | ) | (0.84 | ) | (0.92 | ) | 7.42 | (16.99 | ) | 12,241 | 0.86 | 0.54 | 81 | |||||||||||||||||||||||||||||||||
06/30/23(6) | 7.42 | 0.04 | 0.63 | 0.67 | — | — | — | 8.09 | 9.03 | 12,326 | 0.86 | (7) | 1.05 | (7) | 34 | |||||||||||||||||||||||||||||||||||||
SA Wellington Strategic Multi-Asset Portfolio Class 3 |
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12/31/18 | 8.12 | 0.03 | (0.66 | ) | (0.63 | ) | (0.08 | ) | (0.31 | ) | (0.39 | ) | 7.10 | (7.81 | ) | 30,078 | 1.11 | 0.38 | 83 | |||||||||||||||||||||||||||||||||
12/31/19 | 7.10 | 0.03 | 1.31 | 1.34 | — | (0.00 | ) | (0.00 | ) | 8.44 | 18.88 | 50,779 | 1.11 | 0.35 | 105 | |||||||||||||||||||||||||||||||||||||
12/31/20 | 8.44 | (0.01 | ) | 1.50 | 1.49 | (0.08 | ) | (0.12 | ) | (0.20 | ) | 9.73 | 17.80 | 89,474 | 1.11 | (0.09 | ) | 105 | ||||||||||||||||||||||||||||||||||
12/31/21(5) | 9.73 | (0.03 | ) | 0.75 | 0.72 | (0.02 | ) | (0.37 | ) | (0.39 | ) | 10.06 | 7.47 | 138,205 | 1.11 | (0.27 | ) | 85 | ||||||||||||||||||||||||||||||||||
12/31/22 | 10.06 | 0.02 | (1.82 | ) | (1.80 | ) | (0.06 | ) | (0.84 | ) | (0.90 | ) | 7.36 | (17.22 | ) | 127,518 | 1.11 | 0.29 | 81 | |||||||||||||||||||||||||||||||||
06/30/23(6) | 7.36 | 0.03 | 0.62 | 0.65 | — | — | — | 8.01 | 8.83 | 141,397 | 1.11 | (7) | 0.81 | (7) | 34 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return includes expense reimbursements (recoupments) and expense reductions. |
(3) | Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following (See Note 4): |
Portfolio | 12/31/18 | 12/31/19 | 12/31/20 | 12/31/21 | 12/31/22 | 06/30/23(6)(7) | ||||||||||||||||||
SA Wellington Strategic Multi-Asset Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
SA Wellington Strategic Multi-Asset Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(4) | Net of the following expense reimbursements/fee waivers (based on average net assets) (See Note 3): |
Portfolio | 12/31/18 | 12/31/19 | 12/31/20 | 12/31/21 | 12/31/22 | 06/30/23(6)(7) | ||||||||||||||||||
SA Wellington Strategic Multi-Asset Class 1 | 0.60 | % | 0.50 | % | 0.44 | % | 0.32 | % | 0.33 | % | 0.31 | % | ||||||||||||
SA Wellington Strategic Multi-Asset Class 3 | 0.58 | 0.51 | 0.44 | 0.32 | 0.34 | 0.31 |
(5) | Effective November 8, 2021, the SA Wellington Strategic Multi-Asset Portfolio acquired all of the assets and liabilities of the Anchor Series Trust — SA Wellington Strategic Multi-Asset Portfolio (the “Predecessor Portfolio”). As a result of the reorganization, the Portfolio adopted the performance and financial history of the Predecessor Portfolio. |
(6) | Unaudited. |
(7) | Annualized. |
See Notes to Financial Statements
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STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
June 30, 2023 (unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Portfolios have adopted a liquidity risk management program. SunAmerica Asset Management, LLC (the “Adviser” or “SunAmerica”), the investment adviser to the Trust, has been designated by the Board to administer the Portfolios’ liquidity risk management program (the “Program”). The Adviser has appointed a Liquidity Risk Management Committee (the “Committee”) comprised of certain officers as well as certain personnel of the Adviser. The Committee is subject to the oversight of the Adviser. The Adviser and the Committee are referred to collectively herein as the “Program Administrator.” The Program is designed to assess, manage and periodically review each Portfolio’s liquidity risk, based on factors specific to the circumstances of each Portfolio. “Liquidity risk” means the risk that a Portfolio could not meet requests to redeem shares issued by the Portfolio without significant dilution of remaining investors’ interests in the Portfolio. During the fiscal year, the Program Administrator provided the Board with a report covering the time period from January 1, 2022, to December 31, 2022 (the “Review Period”) addressing the operations of the program and assessing its adequacy and effectiveness of implementation. The Board reviewed the report at a meeting held on June 8, 2023.
During the Review Period covered by the liquidity Program report to the Board, the Program supported each Portfolio’s ability to honor redemption requests timely and the Adviser’s management of each Portfolio’s liquidity profile, including during periods of market volatility and net redemptions. The Program Administrator reported that it has reviewed the Program and believes that the Program is reasonably designed to assess and manage the liquidity risk of each Portfolio, that the Program has been effectively implemented to monitor and respond to liquidity developments (where necessary) and is operating effectively, and that the Program addresses potential liquidity risks in connection with the management of the Portfolios. Furthermore, the Program Administrator reported that each Portfolio operated as a “Primarily Highly Liquid Fund” during the review period, and therefore, did not have to comply with the Highly Liquid Investment Minimum requirements. Finally, the Program Administrator reported that each Portfolio had no breaches of the limit on illiquid investments, except as permitted through extended market holiday closures, and therefore, no Board notification or regulatory filings were required.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other principal risks to which an investment in the Portfolio may be subject.
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VOTING PROXIES ON TRUST PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trust‘s Portfolios which is available in the Trust‘s Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission‘s website at http://www.sec.gov.
PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES
Information regarding how the SunAmerica Series Trust Portfolios voted proxies relating to securities held in the Trust‘s Portfolios during the most recent twelve month period ended June 30 is available, once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commission‘s website at http://www.sec.gov.
DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS
The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-PORT. The Trust’s Forms N-PORT are available on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.
This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.
The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.
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Annuity Service Center P.O. Box 15570 Amarillo, TX 79105-5570
CHANGE SERVICE REQUESTED |
THISREPORTISNOTAUTHORIZEDFORDISTRIBUTIONTOPROSPECTIVEPURCHASERSUNLESSACCOMPANIEDORPRECEDEDBYACURRENTPROSPECTUS.
G1112SAR.20 (8/23)
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Included in Item 1 to the Form.
(b) Not applicable.
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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by item 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable. |
Item 13. Exhibits.
(a) | (1) Not applicable. |
(3) Not applicable.
(4) Not applicable.
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SunAmerica Series Trust | ||
By: | /s/ John T. Genoy | |
John T. Genoy | ||
President |
Date: September 6, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John T. Genoy | |
John T. Genoy | ||
President |
Date: September 6, 2023
By: | /s/ Gregory R. Kingston | |
Gregory R. Kingston | ||
Treasurer |
Date: September 6, 2023