SunAmerica Series Trust SA AB Growth
Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
1
SunAmerica Series Trust SA AB Growth
Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Healthcare-Products | $118,941,197 | $— | $43,475 | $118,984,672 | |||
Other Industries | 1,584,447,793 | — | — | 1,584,447,793 | |||
Total Investments at Value | $1,703,388,990 | $— | $43,475 | $1,703,432,465 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
2
SunAmerica Series Trust SA AB Small
& Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
3
SunAmerica Series Trust SA AB Small
& Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $479,439,565 | $— | $— | $479,439,565 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
4
SunAmerica Series Trust SA BlackRock
Multi-Factor 70/30 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $13,794,096 | $— | $— | $13,794,096 | |||
Unaffiliated Investment Companies | 84,617,913 | — | — | 84,617,913 | |||
Short-Term Investments | 184,766 | — | — | 184,766 | |||
Total Investments at Value | $98,596,775 | $— | $— | $98,596,775 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
5
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
6
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
7
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
8
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
9
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
10
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
11
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
12
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Equity Swaps | |||||||||||
Counterparty | Pay/ Recieve | Underlying Reference | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | ||
JPMorgan Chase Bank | Pay | Russell 1000 Value Index | 12-Month SOFR + 0.45% | Quarterly | 10/04/2024 | $14,309,444 | $— | $(324,800) | $(324,800) |
SOFR—Secured Overnight Financing Rate |
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
119 | Short | U.S. Treasury Long Bonds | June 2024 | $14,179,265 | $13,543,687 | $ 635,578 |
162 | Short | U.S. Treasury Ultra Bonds | June 2024 | 20,714,757 | 19,369,125 | 1,345,632 |
$1,981,210 |
Unrealized (Depreciation) | ||||||
426 | Long | MSCI EAFE Index | June 2024 | $50,043,489 | $48,297,750 | $(1,745,739) |
241 | Long | S&P 500 E-Mini Index | June 2024 | 62,311,161 | 61,057,350 | (1,253,811) |
138 | Long | Euro STOXX 50 Index | June 2024 | 7,270,606 | 7,197,485 | (73,121) |
$(3,072,671) | ||||||
Net Unrealized Appreciation (Depreciation) | $(1,091,461) |
* | 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. |
13
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Deutsche Bank AG | EUR | 202,000 | USD | 222,221 | 06/20/2024 | $ 6,217 | $ — | |
JPY | 67,934,000 | USD | 453,581 | 06/20/2024 | 19,636 | — | ||
USD | 169,570 | JPY | 24,662,000 | 06/20/2024 | — | (12,036) | ||
25,853 | (12,036) | |||||||
JPMorgan Chase Bank, N.A. | AUD | 283,000 | USD | 185,696 | 06/20/2024 | 2,102 | — | |
EUR | 890,735 | USD | 979,952 | 06/20/2024 | 27,467 | — | ||
JPY | 267,839,930 | USD | 1,841,655 | 06/20/2024 | 130,762 | — | ||
USD | 22,084,525 | AUD | 33,238,529 | 06/20/2024 | — | (521,268) | ||
USD | 6,900,142 | CAD | 9,276,528 | 06/20/2024 | — | (156,253) | ||
USD | 528,817 | EUR | 485,000 | 06/20/2024 | — | (10,194) | ||
USD | 217,856 | SEK | 2,306,000 | 06/20/2024 | — | (8,152) | ||
USD | 53,564 | SGD | 71,000 | 06/20/2024 | — | (1,434) | ||
160,331 | (697,301) | |||||||
Morgan Stanley & Co. International PLC | CAD | 38,001 | USD | 28,266 | 06/20/2024 | 640 | — | |
JPY | 23,654,000 | USD | 154,674 | 06/20/2024 | 3,578 | — | ||
NZD | 6,000 | USD | 3,699 | 06/20/2024 | 164 | — | ||
SEK | 1,927,000 | USD | 189,491 | 06/20/2024 | 14,252 | — | ||
USD | 386,970 | CHF | 336,000 | 06/20/2024 | — | (19,473) | ||
USD | 35,876 | GBP | 28,000 | 06/20/2024 | — | (880) | ||
USD | 91,867 | NOK | 959,000 | 06/20/2024 | — | (5,431) | ||
18,634 | (25,784) | |||||||
UBS AG | USD | 13,625,084 | EUR | 12,384,999 | 06/20/2024 | — | (381,493) | |
Unrealized Appreciation (Depreciation) | $204,818 | $(1,116,614) |
Industry Allocation* | |
U.S. Government & Agency Obligations | 44.6% |
Short-Term Investments | 8.1 |
Pharmaceuticals | 4.1 |
Internet | 3.9 |
Semiconductors | 3.6 |
Software | 3.2 |
Banks | 3.0 |
Insurance | 2.2 |
Computers | 2.1 |
Oil & Gas | 1.8 |
Retail | 1.5 |
Auto Manufacturers | 1.2 |
Commercial Services | 1.2 |
Diversified Financial Services | 1.1 |
Electronics | 1.1 |
Food | 1.0 |
Healthcare-Products | 1.0 |
Building Materials | 0.8 |
Distribution/Wholesale | 0.7 |
Miscellaneous Manufacturing | 0.7 |
Telecommunications | 0.7 |
Biotechnology | 0.7 |
Home Builders | 0.7 |
Mining | 0.6 |
Apparel | 0.6 |
Electric | 0.6 |
14
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Electrical Components & Equipment | 0.6% |
Cosmetics/Personal Care | 0.5 |
Healthcare-Services | 0.5 |
Media | 0.5 |
Machinery-Diversified | 0.5 |
Aerospace/Defense | 0.4 |
Engineering & Construction | 0.4 |
Machinery-Construction & Mining | 0.4 |
Iron/Steel | 0.4 |
Chemicals | 0.3 |
Beverages | 0.3 |
Household Products/Wares | 0.3 |
Oil & Gas Services | 0.3 |
Real Estate | 0.2 |
Agriculture | 0.2 |
REITS | 0.2 |
Transportation | 0.2 |
Investment Companies | 0.2 |
Purchased Options | 0.2 |
Airlines | 0.2 |
Auto Parts & Equipment | 0.1 |
Environmental Control | 0.1 |
Entertainment | 0.1 |
Toys/Games/Hobbies | 0.1 |
Home Furnishings | 0.1 |
Gas | 0.1 |
Lodging | 0.1 |
Water | 0.1 |
Food Service | 0.1 |
98.5% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $541,085 | $385,551 | $— | $926,636 | |||
Canada | 138,425 | — | — | 138,425 | |||
Cayman Islands | 175,420 | 374,627 | — | 550,047 | |||
Curacao | 1,055,480 | — | — | 1,055,480 | |||
Denmark | 2,151 | 5,860,253 | — | 5,862,404 | |||
Germany | 122,305 | 12,419,338 | — | 12,541,643 | |||
Ireland | 3,806,917 | 1,580,948 | — | 5,387,865 | |||
Israel | 1,283,040 | 199,143 | — | 1,482,183 | |||
Jersey | 431,764 | 1,631,654 | — | 2,063,418 | |||
Luxembourg | 465,250 | 1,341,563 | — | 1,806,813 | |||
Panama | 53,056 | — | — | 53,056 | |||
Switzerland | 2,348,195 | 13,020,189 | — | 15,368,384 | |||
United Kingdom | 149,759 | 18,998,519 | 0 | 19,148,278 | |||
United States | 165,596,371 | — | 117 | 165,596,488 | |||
Other Countries | — | 77,077,336 | — | 77,077,336 | |||
U.S. Government & Agency Obligations | — | 302,034,630 | — | 302,034,630 | |||
Purchased Options | 1,285,200 | — | — | 1,285,200 | |||
Warrants | 10,366 | — | — | 10,366 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 6,902,984 | — | 6,902,984 | |||
Other Short-Term Investments | 48,114,761 | — | — | 48,114,761 | |||
Total Investments at Value | $225,579,545 | $441,826,735 | $117 | $667,406,397 |
15
SunAmerica Series Trust SA BlackRock
VCP Global Multi Asset Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,981,210 | $— | $— | $1,981,210 | |||
Forward Foreign Currency Contracts | — | 204,818 | — | 204,818 | |||
Total Other Financial Instruments | $1,981,210 | $204,818 | $— | $2,186,028 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $324,800 | $— | $324,800 | |||
Futures Contracts | 2,999,550 | 73,121 | — | 3,072,671 | |||
Forward Foreign Currency Contracts | — | 1,116,614 | — | 1,116,614 | |||
Total Other Financial Instruments | $2,999,550 | $1,514,535 | $— | $4,514,085 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
16
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited)
17
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
18
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
19
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
20
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
21
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
22
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
23
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
24
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
96 | Long | MSCI Emerging Markets Index | June 2024 | $5,082,101 | $5,001,600 | $(80,501) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Banks | 15.3% |
Semiconductors | 14.7 |
Internet | 11.4 |
Oil & Gas | 4.6 |
Unaffiliated Investment Companies | 3.9 |
Diversified Financial Services | 3.7 |
25
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
Industry Allocation*(continued) | |
Computers | 3.2% |
Auto Manufacturers | 2.9 |
Telecommunications | 2.4 |
Retail | 2.2 |
Chemicals | 2.1 |
Electronics | 2.1 |
Insurance | 2.0 |
Electric | 1.9 |
Mining | 1.8 |
Food | 1.8 |
Iron/Steel | 1.5 |
Pharmaceuticals | 1.4 |
Real Estate | 1.3 |
Beverages | 1.3 |
Engineering & Construction | 1.0 |
Software | 1.0 |
Auto Parts & Equipment | 0.8 |
Healthcare-Services | 0.8 |
Building Materials | 0.8 |
Electrical Components & Equipment | 0.8 |
Commercial Services | 0.7 |
Transportation | 0.6 |
Miscellaneous Manufacturing | 0.5 |
Biotechnology | 0.4 |
Coal | 0.4 |
Leisure Time | 0.4 |
Machinery-Diversified | 0.4 |
Cosmetics/Personal Care | 0.4 |
Agriculture | 0.3 |
Aerospace/Defense | 0.3 |
Home Furnishings | 0.3 |
Household Products/Wares | 0.3 |
Holding Companies-Diversified | 0.3 |
Lodging | 0.3 |
Gas | 0.3 |
Shipbuilding | 0.3 |
Investment Companies | 0.2 |
Airlines | 0.2 |
Apparel | 0.2 |
Metal Fabricate/Hardware | 0.2 |
Short-Term Investments | 0.2 |
Distribution/Wholesale | 0.2 |
Energy-Alternate Sources | 0.2 |
Entertainment | 0.2 |
Forest Products & Paper | 0.1 |
Water | 0.1 |
Machinery-Construction & Mining | 0.1 |
REITS | 0.1 |
Packaging & Containers | 0.1 |
95.0% |
* | Calculated as a percentage of net assets |
26
SunAmerica Series Trust SA Emerging
Markets Equity Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $150,208 | $246,466 | $— | $396,674 | |||
Brazil | 4,457,682 | — | — | 4,457,682 | |||
British Virgin Islands | — | — | 0 | 0 | |||
Cayman Islands | 1,916,161 | 11,360,908 | — | 13,277,069 | |||
Chile | 402,629 | — | — | 402,629 | |||
Colombia | 104,824 | — | — | 104,824 | |||
Cyprus | — | — | 0 | 0 | |||
Mexico | 2,360,296 | — | — | 2,360,296 | |||
Netherlands | — | 34,681 | 0 | 34,681 | |||
Peru | 40,223 | — | — | 40,223 | |||
Russia | — | — | 0 | 0 | |||
Thailand | 62,120 | 1,218,767 | — | 1,280,887 | |||
United Arab Emirates | — | 1,035,596 | 13,805 | 1,049,401 | |||
United States | 315,184 | — | — | 315,184 | |||
Other Countries | — | 61,268,069 | — | 61,268,069 | |||
Unaffiliated Investment Companies | 3,638,802 | — | — | 3,638,802 | |||
Warrants | 76 | — | — | 76 | |||
Corporate Bonds & Notes | — | 492 | — | 492 | |||
Short-Term Investments | — | 198,865 | — | 198,865 | |||
Total Investments at Value | $13,448,205 | $75,363,844 | $13,805 | $88,825,854 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $80,501 | $— | $— | $80,501 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
27
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
28
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
29
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
30
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
31
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
32
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
33
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
34
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
35
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
36
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
37
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
38
SunAmerica Series Trust SA Federated
Hermes Corporate Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $1,271,969,860 | $— | $1,271,969,860 | |||
U.S. Government & Agency Obligations | — | 48,026,094 | — | 48,026,094 | |||
Escrows and Litigation Trusts | — | 14,625 | 300 | 14,925 | |||
Total Investments at Value | $— | $1,320,010,579 | $300 | $1,320,010,879 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 3
investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to
Portfolio of Investments
39
SunAmerica Series Trust SA Fidelity
Institutional AM® International Growth
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
Industry Allocation* | |
Semiconductors | 12.0% |
Banks | 8.4 |
Software | 7.8 |
Commercial Services | 7.7 |
40
SunAmerica Series Trust SA Fidelity
Institutional AM® International Growth
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Diversified Financial Services | 5.2% |
Chemicals | 4.9 |
Computers | 4.2 |
Apparel | 4.0 |
Machinery-Diversified | 3.4 |
Aerospace/Defense | 3.3 |
Pharmaceuticals | 3.1 |
Media | 3.1 |
Transportation | 3.0 |
Electronics | 2.8 |
Private Equity | 2.8 |
Internet | 2.8 |
Insurance | 2.7 |
Electrical Components & Equipment | 2.0 |
Cosmetics/Personal Care | 1.9 |
Auto Manufacturers | 1.7 |
Telecommunications | 1.7 |
Food Service | 1.6 |
Healthcare-Products | 1.6 |
Engineering & Construction | 1.5 |
Retail | 1.5 |
Building Materials | 1.5 |
Lodging | 1.4 |
Environmental Control | 1.4 |
99.0% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $31,954,706 | $— | $— | $31,954,706 | |||
Ireland | 4,080,644 | 4,126,621 | — | 8,207,265 | |||
United States | 32,805,725 | — | — | 32,805,725 | |||
Other Countries | — | 195,231,028 | — | 195,231,028 | |||
Warrants | — | — | 0 | 0 | |||
Total Investments at Value | $68,841,075 | $199,357,649 | $0 | $268,198,724 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
41
SunAmerica Series Trust SA Fidelity
Institutional AM® Real Estate Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $241,171,448 | $— | $— | $241,171,448 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
42
SunAmerica Series Trust SA Fixed
Income Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
43
SunAmerica Series Trust SA Fixed
Income Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
44
SunAmerica Series Trust SA Fixed
Income Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
45
SunAmerica Series Trust SA Fixed
Income Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
46
SunAmerica Series Trust SA Fixed
Income Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
ETF—Exchange Traded Fund |
FRS—Floating Rate Security |
TSFR3M—Term Secured Overnight Financing Rate 3 Month |
ULC—Unlimited Liability Corp. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $211,660,118 | $— | $211,660,118 | |||
U.S. Government & Agency Obligations | — | 291,262,321 | — | 291,262,321 | |||
Unaffiliated Investment Companies | 17,385,300 | — | — | 17,385,300 | |||
Repurchase Agreements | — | 899,399 | — | 899,399 | |||
Total Investments at Value | $17,385,300 | $503,821,838 | $— | $521,207,138 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
47
SunAmerica Series Trust SA Fixed
Income Intermediate Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
48
SunAmerica Series Trust SA Fixed
Income Intermediate Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
49
SunAmerica Series Trust SA Fixed
Income Intermediate Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
50
SunAmerica Series Trust SA Fixed
Income Intermediate Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
UNAFFILIATED INVESTMENT COMPANIES (continued) | ||||
iShares 7-10 Year Treasury Bond ETF | 12,200 | $ 1,115,446 | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 53,000 | 5,564,470 | ||
Total Unaffiliated Investment Companies (cost $18,601,008) | 16,176,316 | |||
Total Long-Term Investment Securities (cost $515,933,628) | 481,614,652 | |||
REPURCHASE AGREEMENTS — 0.1% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $406,775 and collateralized by $415,800 of United States Treasury Notes, bearing interest at 4.88% due 04/30/2026 and having an approximate value of $415,051 (cost $406,757) | $ 406,757 | 406,757 | ||
TOTAL INVESTMENTS (cost $516,340,385) | 99.4% | 482,021,409 | ||
Other assets less liabilities | 0.6 | 2,889,739 | ||
NET ASSETS | 100.0% | $484,911,148 |
ETF—Exchange Traded Fund |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $186,374,009 | $— | $186,374,009 | |||
U.S. Government & Agency Obligations | — | 279,064,327 | — | 279,064,327 | |||
Unaffiliated Investment Companies | 16,176,316 | — | — | 16,176,316 | |||
Repurchase Agreements | — | 406,757 | — | 406,757 | |||
Total Investments at Value | $16,176,316 | $465,845,093 | $— | $482,021,409 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
51
SunAmerica Series Trust SA Franklin BW
U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
52
SunAmerica Series Trust SA Franklin BW
U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
53
SunAmerica Series Trust SA Franklin BW
U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
54
SunAmerica Series Trust SA Franklin BW
U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 0.4% | ||||
Unaffiliated Investment Companies — 0.4% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.25%(1) (cost $5,369,229) | $5,369,229 | $ 5,369,229 | ||
TOTAL INVESTMENTS (cost $930,634,091) | 99.9% | 1,202,058,454 | ||
Other assets less liabilities | 0.1 | 1,266,394 | ||
NET ASSETS | 100.0% | $1,203,324,848 |
† | Non-income producing security |
(1) | The rate shown is the 7-day yield as of April 30, 2024. |
ETF—Exchange Traded Fund |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $1,186,450,675 | $— | $— | $1,186,450,675 | |||
Unaffiliated Investment Companies | 10,238,550 | — | — | 10,238,550 | |||
Short-Term Investments | 5,369,229 | — | — | 5,369,229 | |||
Total Investments at Value | $1,202,058,454 | $— | $— | $1,202,058,454 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
55
SunAmerica Series Trust SA Franklin
Small Company Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
56
SunAmerica Series Trust SA Franklin
Small Company Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $— | $9,653,779 | $— | $9,653,779 | |||
Apparel | 1,013,255 | 1,346,248 | — | 2,359,503 | |||
Chemicals | 15,716,624 | 5,031,805 | — | 20,748,429 | |||
Commercial Services | 12,370,922 | 670,793 | — | 13,041,715 | |||
Engineering & Construction | 6,609,332 | 571,068 | — | 7,180,400 | |||
Food | — | 8,019,066 | — | 8,019,066 | |||
Lodging | 7,801,259 | 2,327,912 | — | 10,129,171 | |||
Miscellaneous Manufacturing | — | 1,384,500 | — | 1,384,500 | |||
Other Industries | 203,751,258 | — | — | 203,751,258 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 8,548,747 | — | 8,548,747 | |||
Other Short-Term Investments | 744,664 | — | — | 744,664 | |||
Total Investments at Value | $248,007,314 | $37,553,918 | $— | $285,561,232 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
57
SunAmerica Series Trust SA Franklin
Systematic U.S. Large Cap Core Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
58
SunAmerica Series Trust SA Franklin
Systematic U.S. Large Cap Core Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
59
SunAmerica Series Trust SA Franklin
Systematic U.S. Large Cap Core Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $144,344,848 | $— | $— | $144,344,848 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 1,395,000 | — | 1,395,000 | |||
Other Short-Term Investments | 162,045 | — | — | 162,045 | |||
Total Investments at Value | $144,506,893 | $1,395,000 | $— | $145,901,893 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
60
SunAmerica Series Trust SA Franklin
Systematic U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
61
SunAmerica Series Trust SA Franklin
Systematic U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
62
SunAmerica Series Trust SA Franklin
Systematic U.S. Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 2.1% | ||||
U.S. Government Agency — 1.9% | ||||
Federal Home Loan Bank | ||||
5.27%, 05/01/2024 | $6,815,000 | $ 6,814,001 | ||
Unaffiliated Investment Companies — 0.2% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.25%(1) | 602,170 | 602,170 | ||
Total Short-Term Investments (cost $7,417,170) | 7,416,171 | |||
TOTAL INVESTMENTS (cost $319,062,590) | 101.5% | 357,502,977 | ||
Other assets less liabilities | (1.5) | (5,178,844) | ||
NET ASSETS | 100.0% | $352,324,133 |
† | Non-income producing security |
(1) | The rate shown is the 7-day yield as of April 30, 2024. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $350,086,806 | $— | $— | $350,086,806 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 6,814,001 | — | 6,814,001 | |||
Other Short-Term Investments | 602,170 | — | — | 602,170 | |||
Total Investments at Value | $350,688,976 | $6,814,001 | $— | $357,502,977 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
63
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited)
64
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
65
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
66
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
67
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
68
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
69
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
70
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
71
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
72
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
73
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
74
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
21 | Short | U.S. Treasury 10 Year Notes | June 2024 | $2,314,058 | $2,256,187 | $57,871 |
Unrealized (Depreciation) | ||||||
9 | Long | S&P 500 E-Mini Index | June 2024 | $2,333,988 | $2,280,150 | $(53,838) |
7 | Long | U.S. Treasury 10 Year Notes | June 2024 | 769,747 | 752,063 | (17,684) |
2 | Long | U.S. Treasury 2 Year Notes | June 2024 | 409,782 | 405,313 | (4,469) |
1 | Long | U.S. Treasury 5 Year Notes | June 2024 | 107,396 | 104,742 | (2,654) |
$(78,645) | ||||||
Net Unrealized Appreciation (Depreciation) | $(20,774) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $19,106 | $46,419 | $— | $65,525 |
Aerospace/Defense | 843,283 | 258,756 | — | 1,102,039 |
Agriculture | 224,261 | 34,914 | — | 259,175 |
Airlines | 95,089 | 75,900 | — | 170,989 |
Apparel | 193,910 | 273,741 | — | 467,651 |
Auto Manufacturers | 332,455 | 607,100 | — | 939,555 |
Auto Parts & Equipment | 111,491 | 223,261 | — | 334,752 |
Banks | 2,412,610 | 1,584,141 | — | 3,996,751 |
Beverages | 641,225 | 121,358 | — | 762,583 |
Biotechnology | 596,399 | 30,758 | 887 | 628,044 |
Building Materials | 391,589 | 214,466 | — | 606,055 |
Chemicals | 904,591 | 362,657 | — | 1,267,248 |
Commercial Services | 1,177,484 | 206,565 | — | 1,384,049 |
Computers | 2,307,768 | 121,306 | — | 2,429,074 |
Cosmetics/Personal Care | 539,093 | 158,687 | — | 697,780 |
Distribution/Wholesale | 398,348 | 363,495 | — | 761,843 |
Diversified Financial Services | 1,982,576 | 143,395 | — | 2,125,971 |
Electric | 763,320 | 249,933 | — | 1,013,253 |
Electrical Components & Equipment | 819,121 | 159,617 | — | 978,738 |
Electronics | 494,282 | 299,677 | — | 793,959 |
Engineering & Construction | 84,491 | 119,014 | — | 203,505 |
Entertainment | 35,289 | 72,414 | — | 107,703 |
Food | 992,411 | 622,945 | — | 1,615,356 |
Food Service | — | 114,018 | — | 114,018 |
Forest Products & Paper | 87,170 | 103,042 | — | 190,212 |
Gas | 26,830 | 218,949 | — | 245,779 |
Hand/Machine Tools | 27,612 | 31,733 | — | 59,345 |
Healthcare-Products | 1,849,095 | 183,476 | — | 2,032,571 |
Healthcare-Services | 1,320,734 | 34,424 | — | 1,355,158 |
Home Builders | 197,734 | 68,590 | — | 266,324 |
Home Furnishings | 11,691 | 176,842 | — | 188,533 |
75
SunAmerica Series Trust SA Franklin
Tactical Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024 (unaudited) — (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Insurance | $2,212,689 | $692,087 | $— | $2,904,776 | |||
Internet | 5,214,463 | 94,719 | — | 5,309,182 | |||
Investment Companies | 33,139 | 125,179 | — | 158,318 | |||
Iron/Steel | 218,222 | 188,765 | 64 | 407,051 | |||
Lodging | 20,260 | 80,567 | — | 100,827 | |||
Machinery-Construction & Mining | 267,811 | 197,949 | — | 465,760 | |||
Machinery-Diversified | 175,861 | 183,667 | — | 359,528 | |||
Media | 484,325 | 136,802 | — | 621,127 | |||
Metal Fabricate/Hardware | 59,390 | 41,645 | — | 101,035 | |||
Mining | 74,455 | 261,750 | — | 336,205 | |||
Miscellaneous Manufacturing | 65,274 | 186,220 | — | 251,494 | |||
Office/Business Equipment | 17,715 | 23,009 | — | 40,724 | |||
Oil & Gas | 2,353,301 | 636,363 | — | 2,989,664 | |||
Packaging & Containers | 185,395 | 42,559 | — | 227,954 | |||
Pharmaceuticals | 3,316,281 | 1,622,083 | 0 | 4,938,364 | |||
Private Equity | 39,987 | 156,790 | — | 196,777 | |||
Real Estate | 15,590 | 187,665 | — | 203,255 | |||
REITS | 696,361 | 30,008 | — | 726,369 | |||
Retail | 1,934,882 | 450,456 | — | 2,385,338 | |||
Semiconductors | 2,950,678 | 572,245 | — | 3,522,923 | |||
Shipbuilding | 6,646 | 33,076 | — | 39,722 | |||
Software | 4,872,444 | 261,542 | — | 5,133,986 | |||
Telecommunications | 943,971 | 514,256 | — | 1,458,227 | |||
Toys/Games/Hobbies | 17,328 | 116,958 | — | 134,286 | |||
Transportation | 1,010,433 | 73,642 | — | 1,084,075 | |||
Water | 28,657 | 13,184 | — | 41,841 | |||
Other Industries | 1,100,447 | — | — | 1,100,447 | |||
Corporate Bonds & Notes | — | 10,858,309 | — | 10,858,309 | |||
Collateralized Mortgage Obligations | — | 33,656 | — | 33,656 | |||
U.S. Government & Agency Obligations | — | 14,993,387 | — | 14,993,387 | |||
Unaffiliated Investment Companies | 5,129,775 | — | — | 5,129,775 | |||
Short-Term Investments | 1,358,856 | — | — | 1,358,856 | |||
Total Investments at Value | $54,685,694 | $40,090,131 | $951 | $94,776,776 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $57,871 | $— | $— | $57,871 | |||
LIABILITIES: | |||||||
Forward Sales Contracts: | |||||||
U.S. Government Agencies | $— | $176,161 | $— | $176,161 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $78,645 | $— | $— | $78,645 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
76
SunAmerica Series Trust SA Global
Index Allocation 60/40 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $96,615,888 | $— | $— | $96,615,888 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
77
SunAmerica Series Trust SA Global
Index Allocation 75/25 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $98,480,533 | $— | $— | $98,480,533 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
78
SunAmerica Series Trust SA Global
Index Allocation 90/10 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $361,446,242 | $— | $— | $361,446,242 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
79
SunAmerica Series Trust SA Goldman
Sachs Multi-Asset Insights Allocation
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
80
SunAmerica Series Trust SA Goldman
Sachs Multi-Asset Insights Allocation
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
81
SunAmerica Series Trust SA Goldman
Sachs Multi-Asset Insights Allocation
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
82
SunAmerica Series Trust SA Goldman
Sachs Multi-Asset Insights Allocation
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Credit Default Swaps - Seller | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | |||||
Centrally Cleared | CDX Investment Grade Index Series 42 | 0.5352% | 6,000,000 | USD | 6,000,000 | 1.000% | Quarterly | Jun 2029 | $131,617 | $(5,853) | $125,764 |
83
SunAmerica Series Trust SA Goldman
Sachs Multi-Asset Insights Allocation
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Long | TOPIX Index | June 2024 | $172,814 | $173,004 | $190 |
Unrealized (Depreciation) | ||||||
13 | Long | MSCI Emerging Markets Index | June 2024 | $ 681,389 | $ 677,300 | $ (4,089) |
138 | Long | U.S. Treasury 10 Year Notes | June 2024 | 15,202,277 | 14,826,375 | (375,902) |
$(379,991) | ||||||
Net Unrealized Appreciation (Depreciation) | $(379,801) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | NZD | 88,000 | USD | 51,932 | 05/03/2024 | $78 | $— |
NZD—New Zealand Dollar |
USD—United States Dollar |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $122,204 | $— | $— | $122,204 |
Aerospace/Defense | 390,743 | 696,447 | — | 1,087,190 |
Agriculture | 63,529 | 27,855 | — | 91,384 |
Apparel | 166,968 | 57,698 | — | 224,666 |
Auto Manufacturers | 382,561 | 540,638 | — | 923,199 |
Auto Parts & Equipment | 165,529 | 18,499 | — | 184,028 |
Banks | 737,080 | 516,374 | — | 1,253,454 |
Beverages | 430,803 | 10,252 | — | 441,055 |
Biotechnology | 121,427 | 338,064 | — | 459,491 |
Building Materials | 281,310 | 188,201 | — | 469,511 |
Chemicals | 455,509 | — | — | 455,509 |
Commercial Services | 541,398 | 14,188 | — | 555,586 |
Computers | 1,764,738 | 67,896 | — | 1,832,634 |
Distribution/Wholesale | 26,904 | 236,352 | — | 263,256 |
Diversified Financial Services | 1,108,169 | 413,602 | — | 1,521,771 |
Electric | 170,955 | 164,086 | — | 335,041 |
Electrical Components & Equipment | 417,702 | 506,704 | — | 924,406 |
Electronics | 212,315 | 397,115 | — | 609,430 |
Engineering & Construction | 29,215 | 188,939 | — | 218,154 |
Entertainment | 14,016 | — | — | 14,016 |
Gas | 13,559 | — | — | 13,559 |
Healthcare-Products | 47,037 | 203,278 | — | 250,315 |
Healthcare-Services | 1,373,175 | 253,037 | — | 1,626,212 |
Home Builders | 213,287 | 290,016 | — | 503,303 |
Household Products/Wares | 235,105 | 373,166 | — | 608,271 |
Insurance | 1,132,347 | 881,498 | — | 2,013,845 |
Internet | 2,483,637 | 34,465 | — | 2,518,102 |
Iron/Steel | 59,304 | 396,393 | — | 455,697 |
Leisure Time | 10,774 | — | — | 10,774 |
Machinery-Diversified | 72,853 | 130,036 | — | 202,889 |
Media | 23,714 | 19,175 | — | 42,889 |
Miscellaneous Manufacturing | 317,214 | 125,980 | — | 443,194 |
Multi-National | 26,734 | — | — | 26,734 |
Oil & Gas | 488,711 | 69,549 | — | 558,260 |
84
SunAmerica Series Trust SA Goldman
Sachs Multi-Asset Insights Allocation
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Oil & Gas Services | $41,412 | $— | $— | $41,412 | |||
Pharmaceuticals | 304,921 | 853,905 | — | 1,158,826 | |||
Pipelines | 164,922 | — | — | 164,922 | |||
REITS | 838,738 | — | — | 838,738 | |||
Retail | 1,050,821 | 451,739 | — | 1,502,560 | |||
Semiconductors | 1,251,996 | 885,473 | — | 2,137,469 | |||
Software | 2,731,769 | 132,446 | — | 2,864,215 | |||
Telecommunications | 157,443 | 93,587 | — | 251,030 | |||
Transportation | 232,160 | 102,061 | — | 334,221 | |||
Other Industries | — | 1,283,392 | — | 1,283,392 | |||
Unaffiliated Investment Companies | 1,624,290 | — | — | 1,624,290 | |||
Short-Term Investments | 11,554,461 | — | — | 11,554,461 | |||
Total Investments at Value | $34,053,459 | $10,962,106 | $— | $45,015,565 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $— | $190 | $— | $190 | |||
Forward Foreign Currency Contracts | — | 78 | — | 78 | |||
Total Other Financial Instruments | $— | $268 | $— | $268 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $5,853 | $— | $5,853 | |||
Futures Contracts | 379,991 | — | — | 379,991 | |||
Total Other Financial Instruments | $379,991 | $5,853 | $— | $385,844 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
85
SunAmerica Series Trust SA Index
Allocation 60/40 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $258,208,745 | $— | $— | $258,208,745 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
86
SunAmerica Series Trust SA Index
Allocation 80/20 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $499,037,787 | $— | $— | $499,037,787 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
87
SunAmerica Series Trust SA Index
Allocation 90/10 Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $1,363,491,891 | $— | $— | $1,363,491,891 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
88
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
89
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
90
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
91
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
92
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
93
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
94
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
95
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
ADR—American Depositary Receipt |
BR—Bearer Shares |
CDI—Chess Depositary Interest |
CVA—Certification Van Aandelen (Dutch Cert.) |
TRQX—Turquoise Stock Exchange |
XEGT—Equiduct Stock Exchange |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
245 | Long | MSCI EAFE Index | June 2024 | $28,792,954 | $27,776,875 | $(1,016,079) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Banks | 11.1% |
Pharmaceuticals | 9.2 |
Insurance | 4.9 |
Oil & Gas | 4.3 |
Auto Manufacturers | 4.1 |
Semiconductors | 4.1 |
Food | 3.6 |
Telecommunications | 2.6 |
Repurchase Agreements | 2.6 |
Mining | 2.6 |
Chemicals | 2.5 |
Electric | 2.5 |
Commercial Services | 2.5 |
Apparel | 2.2 |
Cosmetics/Personal Care | 2.2 |
Aerospace/Defense | 2.1 |
Retail | 2.0 |
Building Materials | 2.0 |
Healthcare-Products | 1.9 |
Machinery-Diversified | 1.9 |
Distribution/Wholesale | 1.8 |
Beverages | 1.8 |
Electronics | 1.7 |
Software | 1.6 |
Machinery-Construction & Mining | 1.6 |
Diversified Financial Services | 1.5 |
Engineering & Construction | 1.2 |
Transportation | 1.1 |
Computers | 1.1 |
Miscellaneous Manufacturing | 0.9 |
Electrical Components & Equipment | 0.9 |
Internet | 0.8 |
Auto Parts & Equipment | 0.8 |
REITS | 0.7 |
Real Estate | 0.7 |
Entertainment | 0.7 |
Home Furnishings | 0.7 |
Biotechnology | 0.7 |
Healthcare-Services | 0.7 |
Agriculture | 0.6 |
Iron/Steel | 0.6 |
Private Equity | 0.5 |
Investment Companies | 0.5 |
Gas | 0.5 |
Toys/Games/Hobbies | 0.4 |
Household Products/Wares | 0.4 |
Food Service | 0.4 |
Media | 0.3 |
Lodging | 0.3 |
96
SunAmerica Series Trust SA
International Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Hand/Machine Tools | 0.3% |
Metal Fabricate/Hardware | 0.3 |
Advertising | 0.3 |
Forest Products & Paper | 0.3 |
Water | 0.3 |
Home Builders | 0.2 |
Office/Business Equipment | 0.2 |
Energy-Alternate Sources | 0.2 |
Leisure Time | 0.2 |
Short-Term Investments | 0.1 |
Airlines | 0.1 |
Packaging & Containers | 0.1 |
99.0% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Cayman Islands | $1,469,419 | $2,073,961 | $— | $3,543,380 | |||
Denmark | 21,035 | 26,616,327 | — | 26,637,362 | |||
Ireland | 2,354,962 | 4,943,187 | — | 7,298,149 | |||
Israel | 2,402,317 | 2,687,683 | — | 5,090,000 | |||
Netherlands | 738,274 | 45,502,134 | — | 46,240,408 | |||
United Kingdom | 649,044 | 99,347,791 | — | 99,996,835 | |||
Other Countries | — | 525,789,089 | — | 525,789,089 | |||
Short-Term Investments | — | 991,460 | — | 991,460 | |||
Repurchase Agreements | — | 19,318,792 | — | 19,318,792 | |||
Total Investments at Value | $7,635,051 | $727,270,424 | $— | $734,905,475 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,016,079 | $— | $— | $1,016,079 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
97
SunAmerica Series Trust SA Invesco
Growth Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
98
SunAmerica Series Trust SA Invesco
Growth Opportunities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $281,952,006 | $— | $— | $281,952,006 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
99
SunAmerica Series Trust SA Janus
Focused Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
100
SunAmerica Series Trust SA Janus
Focused Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $— | $7,447,644 | $— | $7,447,644 | |||
Other Industries | 410,383,629 | — | — | 410,383,629 | |||
Short-Term Investments | — | 5,999,118 | — | 5,999,118 | |||
Total Investments at Value | $410,383,629 | $13,446,762 | $— | $423,830,391 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
101
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
102
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
103
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
104
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
105
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
106
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
107
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
108
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
109
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
110
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
111
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
112
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
113
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
114
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
115
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
116
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
117
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
118
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
119
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
120
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
121
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
121 | Short | Canadian Dollar | June 2024 | $ 8,932,255 | $ 8,799,725 | $132,530 |
33 | Short | Euro FX | June 2024 | 4,446,806 | 4,413,131 | 33,675 |
100 | Short | Euro-BUND | June 2024 | 13,987,965 | 13,882,145 | 105,820 |
33 | Short | MSCI EAFE Index | June 2024 | 3,834,052 | 3,741,375 | 92,677 |
8 | Short | S&P 500 E-Mini Index | June 2024 | 2,026,883 | 2,026,800 | 83 |
48 | Short | Swiss Franc | June 2024 | 6,899,669 | 6,562,800 | 336,869 |
2 | Short | U.S. Treasury Long Bonds | June 2024 | 228,121 | 227,625 | 496 |
36 | Short | SPI 200 Index | June 2024 | 4,513,118 | 4,435,673 | 77,445 |
$779,595 |
Unrealized (Depreciation) | ||||||
134 | Long | Australian Dollar | June 2024 | $ 8,781,398 | $ 8,699,280 | $ (82,118) |
121 | Long | Euro-BTP | June 2024 | 15,180,805 | 15,107,067 | (73,738) |
4 | Long | MSCI EAFE Index | June 2024 | 463,883 | 453,500 | (10,383) |
274 | Long | U.S. Treasury 10 Year Notes | June 2024 | 30,195,997 | 29,437,876 | (758,121) |
42 | Long | U.S. Treasury 2 Year Notes | June 2024 | 8,594,227 | 8,511,563 | (82,664) |
44 | Long | U.S. Treasury 5 Year Notes | June 2024 | 4,642,938 | 4,608,656 | (34,282) |
24 | Long | U.S. Treasury Ultra 10 Year Notes | June 2024 | 2,724,548 | 2,645,250 | (79,298) |
122
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts — (continued)
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
33 | Long | U.S. Treasury Ultra Bonds | June 2024 | $ 4,125,898 | $ 3,945,562 | $ (180,336) |
74 | Long | TOPIX Index | June 2024 | 12,859,465 | 12,802,306 | (57,159) |
235 | Short | MSCI Emerging Markets Index | June 2024 | 12,130,579 | 12,243,500 | (112,921) |
$(1,471,020) | ||||||
Net Unrealized Appreciation (Depreciation) | $(691,425) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Barclays Bank PLC | USD | 3,571,573 | JPY | 545,369,824 | 07/29/2024 | $ — | $ (67,286) | |
BNP Paribas SA | USD | 1,598,391 | AUD | 2,451,154 | 07/29/2024 | — | (6,493) | |
Goldman Sachs International | HKD | 2,941,821 | USD | 376,781 | 07/29/2024 | — | (241) | |
HSBC Bank PLC | DKK | 3,869,003 | USD | 557,024 | 07/29/2024 | 791 | — | |
SGD | 469,693 | USD | 346,660 | 07/29/2024 | 1,174 | — | ||
USD | 3,176,874 | CAD | 4,340,627 | 07/29/2024 | — | (19,100) | ||
USD | 796,943 | SEK | 8,610,891 | 07/29/2024 | — | (12,404) | ||
1,965 | (31,504) | |||||||
Merrill Lynch International | EUR | 577,343 | USD | 616,857 | 07/29/2024 | — | (1,610) | |
Morgan Stanley & Co. International PLC | GBP | 224,440 | USD | 279,071 | 07/29/2024 | — | (1,516) | |
Royal Bank of Canada | EUR | 653,349 | USD | 700,991 | 07/29/2024 | 1,105 | — | |
Standard Chartered Bank | USD | 290,510 | JPY | 44,809,838 | 07/29/2024 | — | (2,583) | |
State Street Bank & Trust Co. | CHF | 703,344 | USD | 777,408 | 07/29/2024 | 4,675 | — | |
Unrealized Appreciation (Depreciation) | $7,745 | $(111,233) |
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $313,256 | $85,733 | $— | $398,989 |
Aerospace/Defense | 2,130,492 | 2,676,643 | — | 4,807,135 |
Agriculture | 288,523 | 248,766 | — | 537,289 |
Apparel | 372,974 | 3,988,323 | — | 4,361,297 |
Auto Manufacturers | 301,312 | 2,082,300 | — | 2,383,612 |
Banks | 10,389,913 | 8,476,744 | — | 18,866,657 |
Beverages | 2,222,860 | 2,724,124 | — | 4,946,984 |
Biotechnology | 4,368,376 | 274,323 | — | 4,642,699 |
Building Materials | 3,224,066 | 860,092 | — | 4,084,158 |
Chemicals | 849,083 | 3,972,053 | — | 4,821,136 |
Commercial Services | 1,567,440 | 2,234,536 | — | 3,801,976 |
Computers | 10,318,992 | 238,107 | — | 10,557,099 |
Cosmetics/Personal Care | 786,714 | 705,977 | — | 1,492,691 |
Distribution/Wholesale | 474,577 | 1,365,520 | — | 1,840,097 |
123
SunAmerica Series Trust SA JPMorgan
Diversified Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Diversified Financial Services | $12,422,062 | $1,282,946 | $— | $13,705,008 | |||
Electric | 6,232,234 | 1,869,814 | — | 8,102,048 | |||
Electrical Components & Equipment | 1,695,338 | 1,603,608 | — | 3,298,946 | |||
Electronics | 2,497,851 | 928,723 | — | 3,426,574 | |||
Entertainment | 105,243 | 243,965 | — | 349,208 | |||
Food | 2,102,575 | 3,877,370 | — | 5,979,945 | |||
Healthcare-Products | 4,673,583 | 1,034,776 | — | 5,708,359 | |||
Healthcare-Services | 5,474,069 | 192,339 | 0 | 5,666,408 | |||
Housewares | 109,175 | — | — | 109,175 | |||
Insurance | 5,586,886 | 4,681,036 | — | 10,267,922 | |||
Internet | 23,380,774 | 1,429,083 | — | 24,809,857 | |||
Iron/Steel | — | 190,284 | 21 | 190,305 | |||
Lodging | 1,978,653 | 478,829 | — | 2,457,482 | |||
Machinery-Construction & Mining | 191,022 | 939,875 | — | 1,130,897 | |||
Machinery-Diversified | 2,755,414 | 1,615,282 | — | 4,370,696 | |||
Media | 486,237 | 152,130 | — | 638,367 | |||
Metal Fabricate/Hardware | 175,942 | 72,366 | — | 248,308 | |||
Miscellaneous Manufacturing | 589,205 | 375,698 | — | 964,903 | |||
Oil & Gas | 8,392,237 | 4,620,300 | — | 13,012,537 | |||
Oil & Gas Services | 1,250,346 | — | — | 1,250,346 | |||
Packaging & Containers | 872,604 | 36,153 | — | 908,757 | |||
Pharmaceuticals | 8,061,114 | 6,847,130 | — | 14,908,244 | |||
Pipelines | 779,048 | 14,179 | — | 793,227 | |||
Private Equity | 574,233 | 835,433 | — | 1,409,666 | |||
Real Estate | 159,965 | 738,010 | — | 897,975 | |||
REITS | 5,957,718 | 321,001 | — | 6,278,719 | |||
Retail | 11,506,656 | 1,171,253 | — | 12,677,909 | |||
Semiconductors | 24,754,839 | 2,920,024 | — | 27,674,863 | |||
Software | 20,727,283 | 1,509,539 | — | 22,236,822 | |||
Telecommunications | 712,458 | 930,385 | — | 1,642,843 | |||
Transportation | 2,607,658 | 499,438 | — | 3,107,096 | |||
Other Industries | — | 6,768,615 | — | 6,768,615 | |||
Preferred Stocks | — | 3,067 | — | 3,067 | |||
Corporate Bonds & Notes | — | 62,219,151 | — | 62,219,151 | |||
Asset Backed Securities | — | 12,772,525 | — | 12,772,525 | |||
Collateralized Mortgage Obligations | — | 7,887,056 | — | 7,887,056 | |||
U.S. Government & Agency Obligations | — | 32,740,647 | — | 32,740,647 | |||
Foreign Government Obligations | — | 2,905,549 | — | 2,905,549 | |||
Municipal Securities | — | 605,852 | — | 605,852 | |||
Unaffiliated Investment Companies | 24,718,690 | — | — | 24,718,690 | |||
Short-Term Investments: | |||||||
Unaffiliated Investment Companies | 3,789,049 | — | — | 3,789,049 | |||
Other Short-Term Investments | — | 4,776,437 | — | 4,776,437 | |||
Total Investments at Value | $222,928,739 | $202,023,109 | $21 | $424,951,869 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $702,150 | $77,445 | $— | $779,595 | |||
Forward Foreign Currency Contracts | — | 7,745 | — | 7,745 | |||
Total Other Financial Instruments | $702,150 | $85,190 | $— | $787,340 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,413,861 | $57,159 | $— | $1,471,020 | |||
Forward Foreign Currency Contracts | — | 111,233 | — | 111,233 | |||
Total Other Financial Instruments | $1,413,861 | $168,392 | $— | $1,582,253 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
124
SunAmerica Series Trust SA JPMorgan
Emerging Markets Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
125
SunAmerica Series Trust SA JPMorgan
Emerging Markets Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
126
SunAmerica Series Trust SA JPMorgan
Emerging Markets Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
219 | Long | IFSC Nifty 50 Index | May 2024 | $9,811,050 | $9,964,500 | $153,450 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Semiconductors | 19.2% |
Banks | 18.7 |
Internet | 10.3 |
Oil & Gas | 8.9 |
Auto Manufacturers | 3.5 |
Insurance | 3.3 |
Telecommunications | 2.9 |
Computers | 2.8 |
Transportation | 2.6 |
Diversified Financial Services | 2.4 |
Home Furnishings | 2.3 |
Mining | 1.8 |
Auto Parts & Equipment | 1.6 |
Food | 1.5 |
Airlines | 1.5 |
Electronics | 1.2 |
Miscellaneous Manufacturing | 1.2 |
Software | 1.0 |
Retail | 0.9 |
Engineering & Construction | 0.8 |
Coal | 0.7 |
Real Estate | 0.5 |
Beverages | 0.4 |
Forest Products & Paper | 0.4 |
Electric | 0.4 |
Diversified Finan Serv | 0.3 |
Machinery-Diversified | 0.3 |
Pharmaceuticals | 0.3 |
Household Products/Wares | 0.3 |
Entertainment | 0.3 |
Commercial Services | 0.3 |
Electrical Components & Equipment | 0.2 |
127
SunAmerica Series Trust SA JPMorgan
Emerging Markets Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Building Materials | 0.2% |
Energy-Alternate Sources | 0.2 |
93.2% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $1,075,471 | $— | $— | $1,075,471 | |||
Brazil | 10,120,037 | — | — | 10,120,037 | |||
Cayman Islands | 3,145,980 | 21,576,002 | — | 24,721,982 | |||
Chile | 562,881 | — | — | 562,881 | |||
Colombia | 515,414 | — | — | 515,414 | |||
India | 19,160,857 | — | — | 19,160,857 | |||
Mexico | 4,532,923 | — | — | 4,532,923 | |||
Panama | 983,364 | — | — | 983,364 | |||
Russia | — | — | 0 | 0 | |||
Thailand | 3,427,314 | — | — | 3,427,314 | |||
Other Countries | — | 115,650,050 | — | 115,650,050 | |||
Total Investments at Value | $43,524,241 | $137,226,052 | $0 | $180,750,293 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $153,450 | $— | $— | $153,450 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
128
SunAmerica Series Trust SA JPMorgan
Equity-Income Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
129
SunAmerica Series Trust SA JPMorgan
Equity-Income Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $947,201,126 | $— | $— | $947,201,126 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
130
SunAmerica Series Trust SA JPMorgan
Global Equities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
131
SunAmerica Series Trust SA JPMorgan
Global Equities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
132
SunAmerica Series Trust SA JPMorgan
Global Equities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 1.2% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $3,714,954 and collateralized by $5,473,300 of United States Treasury Bonds, bearing interest at 2.50% due 05/15/2046 and having an approximate value of $3,789,138 (cost $3,714,788) | $3,714,788 | $ 3,714,788 | ||
TOTAL INVESTMENTS (cost $242,246,235) | 100.1% | 322,264,326 | ||
Other assets less liabilities | (0.1) | (337,890) | ||
NET ASSETS | 100.0% | $321,926,436 |
* | 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 JPMorgan Global Equities Portfolio has no right to demand registration of these securities. At April 30, 2024, the aggregate value of these securities was $672,301 representing 0.2% of net assets. |
† | Non-income producing security |
Industry Allocation* | |
Internet | 9.1% |
Banks | 8.3 |
Semiconductors | 7.8 |
Pharmaceuticals | 7.5 |
Software | 6.8 |
Computers | 6.0 |
Oil & Gas | 5.1 |
Insurance | 4.0 |
Retail | 3.9 |
Diversified Financial Services | 3.1 |
Electric | 3.1 |
Food | 2.8 |
Healthcare-Services | 2.7 |
Beverages | 1.9 |
REITS | 1.7 |
Auto Manufacturers | 1.5 |
Distribution/Wholesale | 1.5 |
Biotechnology | 1.4 |
Building Materials | 1.4 |
Commercial Services | 1.4 |
Home Builders | 1.3 |
Mining | 1.3 |
Repurchase Agreements | 1.2 |
Iron/Steel | 1.1 |
Chemicals | 1.1 |
Cosmetics/Personal Care | 1.0 |
Electrical Components & Equipment | 0.9 |
Auto Parts & Equipment | 0.9 |
Private Equity | 0.8 |
Telecommunications | 0.8 |
Lodging | 0.8 |
Apparel | 0.8 |
Aerospace/Defense | 0.7 |
Airlines | 0.7 |
Entertainment | 0.6 |
Machinery-Diversified | 0.6 |
Gas | 0.5 |
Home Furnishings | 0.5 |
Healthcare-Products | 0.4 |
Advertising | 0.4 |
Environmental Control | 0.4 |
Real Estate | 0.4 |
133
SunAmerica Series Trust SA JPMorgan
Global Equities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Machinery-Construction & Mining | 0.3% |
Leisure Time | 0.3 |
Engineering & Construction | 0.3 |
Metal Fabricate/Hardware | 0.3 |
Packaging & Containers | 0.2 |
Shipbuilding | 0.2 |
Transportation | 0.1 |
Electronics | 0.1 |
Oil & Gas Services | 0.1 |
100.1% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $1,153,825 | $— | $— | $1,153,825 | |||
Canada | 6,344,096 | — | — | 6,344,096 | |||
Ireland | 5,191,312 | 1,418,527 | — | 6,609,839 | |||
Liberia | 1,032,005 | — | — | 1,032,005 | |||
Netherlands | 2,131,757 | 8,743,346 | — | 10,875,103 | |||
United Kingdom | 1,045,298 | 19,545,353 | — | 20,590,651 | |||
United States | 212,250,880 | — | — | 212,250,880 | |||
Other Countries | — | 59,693,139 | — | 59,693,139 | |||
Repurchase Agreements | — | 3,714,788 | — | 3,714,788 | |||
Total Investments at Value | $229,149,173 | $93,115,153 | $— | $322,264,326 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
134
SunAmerica Series Trust SA JPMorgan
Large Cap Core Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
135
SunAmerica Series Trust SA JPMorgan
Large Cap Core Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 0.4% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $1,597,499 and collateralized by $2,353,700 of United States Treasury Bonds, bearing interest at 2.50% due 05/15/2046 and having an approximate value of $1,629,510 (cost $1,597,428) | $1,597,428 | $ 1,597,428 | ||
TOTAL INVESTMENTS (cost $387,815,909) | 101.9% | 456,120,452 | ||
Other assets less liabilities | (1.9) | (8,397,104) | ||
NET ASSETS | 100.0% | $447,723,348 |
† | Non-income producing security |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $454,523,024 | $— | $— | $454,523,024 | |||
Repurchase Agreements | — | 1,597,428 | — | 1,597,428 | |||
Total Investments at Value | $454,523,024 | $1,597,428 | $— | $456,120,452 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of
Investments
136
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
137
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
138
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
139
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
140
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
141
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
142
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
143
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
144
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
145
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
146
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
147
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
148
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
149
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
150
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
151
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
152
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
153
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
154
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
155
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
156
SunAmerica Series Trust SA JPMorgan
MFS Core Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
92 | Long | U.S. Treasury 2 Year Notes | June 2024 | $18,821,847 | $18,644,375 | $ (177,472) |
230 | Long | U.S. Treasury Long Bonds | June 2024 | 28,024,925 | 26,176,875 | (1,848,050) |
389 | Long | U.S. Treasury Ultra Bonds | June 2024 | 49,462,232 | 46,509,813 | (2,952,419) |
$(4,977,941) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes: | |||||||
Forest Products & Paper | $— | $— | $99,212 | $99,212 | |||
Other Industries | — | 529,889,133 | — | 529,889,133 | |||
Asset Backed Securities: | |||||||
Auto Loan Receivables | — | 39,514,847 | 44,976 | 39,559,823 | |||
Other Asset Backed Securities | — | 119,842,417 | 45,629 | 119,888,046 | |||
Other Industries | — | 4,035,379 | — | 4,035,379 | |||
Collateralized Mortgage Obligations | — | 201,761,983 | — | 201,761,983 | |||
U.S. Government & Agency Obligations | — | 774,369,694 | — | 774,369,694 | |||
Foreign Government Obligations | — | 3,681,132 | — | 3,681,132 | |||
Municipal Securities | — | 10,393,802 | — | 10,393,802 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 32,983,166 | — | 32,983,166 | |||
Other Short-Term Investments | 8,409,813 | — | — | 8,409,813 | |||
Repurchase Agreements | — | 535,036 | — | 535,036 | |||
Total Investments at Value | $8,409,813 | $1,717,006,589 | $189,817 | $1,725,606,219 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $4,977,941 | $— | $— | $4,977,941 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
157
SunAmerica Series Trust SA JPMorgan
Mid-Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
158
SunAmerica Series Trust SA JPMorgan
Mid-Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $641,933,735 | $— | $— | $641,933,735 | |||
Repurchase Agreements | — | 4,718,870 | — | 4,718,870 | |||
Total Investments at Value | $641,933,735 | $4,718,870 | $— | $646,652,605 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
159
SunAmerica Series Trust SA JPMorgan
Ultra-Short Bond Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
160
SunAmerica Series Trust SA JPMorgan
Ultra-Short Bond Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
161
SunAmerica Series Trust SA JPMorgan
Ultra-Short Bond Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $93,332,712 | $— | $93,332,712 | |||
Asset Backed Securities | — | 6,165,320 | — | 6,165,320 | |||
U.S. Government & Agency Obligations | — | 108,372,832 | — | 108,372,832 | |||
Foreign Government Obligations | — | 20,205,093 | — | 20,205,093 | |||
Short-Term Investments: | |||||||
Unaffiliated Investment Companies | 30,411,002 | — | — | 30,411,002 | |||
Other Short-Term Investments | — | 151,938,382 | — | 151,938,382 | |||
Total Investments at Value | $30,411,002 | $380,014,339 | $— | $410,425,341 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
162
SunAmerica Series Trust SA Large Cap
Growth Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
163
SunAmerica Series Trust SA Large Cap
Growth Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
164
SunAmerica Series Trust SA Large Cap
Growth Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
165
SunAmerica Series Trust SA Large Cap
Growth Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 0.0% | ||||
U.S. Government — 0.0% | ||||
United States Treasury Bills | ||||
5.25%, 06/06/2024(1) (cost $49,738) | $ 50,000 | $ 49,738 | ||
TOTAL INVESTMENTS (cost $375,839,593) | 100.2% | 513,893,404 | ||
Other assets less liabilities | (0.2) | (935,921) | ||
NET ASSETS | 100.0% | $512,957,483 |
† | Non-income producing security |
(1) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
ETF—Exchange Traded Fund |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
2 | Long | S&P 500 E-Mini Index | June 2024 | $518,639 | $506,700 | $(11,939) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $500,082,042 | $— | $— | $500,082,042 | |||
Unaffiliated Investment Companies | 13,761,624 | — | — | 13,761,624 | |||
Short-Term Investments | — | 49,738 | — | 49,738 | |||
Total Investments at Value | $513,843,666 | $49,738 | $— | $513,893,404 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $11,939 | $— | $— | $11,939 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
166
SunAmerica Series Trust SA Large Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
167
SunAmerica Series Trust SA Large Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
168
SunAmerica Series Trust SA Large Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
169
SunAmerica Series Trust SA Large Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
170
SunAmerica Series Trust SA Large Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
171
SunAmerica Series Trust SA Large Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
198 | Long | S&P 500 E-Mini Index | June 2024 | $50,110,044 | $50,163,300 | $53,256 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $3,086,695,536 | $— | $— | $3,086,695,536 | |||
Short-Term Investments | — | 3,467,906 | — | 3,467,906 | |||
Repurchase Agreements | — | 42,831,156 | — | 42,831,156 | |||
Total Investments at Value | $3,086,695,536 | $46,299,062 | $— | $3,132,994,598 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $53,256 | $— | $— | $53,256 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to
Portfolio of Investments
172
SunAmerica Series Trust SA Large Cap
Value Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
173
SunAmerica Series Trust SA Large Cap
Value Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
174
SunAmerica Series Trust SA Large Cap
Value Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
175
SunAmerica Series Trust SA Large Cap
Value Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
176
SunAmerica Series Trust SA Large Cap
Value Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
177
SunAmerica Series Trust SA Large Cap
Value Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
3 | Long | S&P 500 E-Mini Index | June 2024 | $777,958 | $760,050 | $(17,908) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $471,733,628 | $— | $— | $471,733,628 | |||
Unaffiliated Investment Companies | 10,530,731 | — | — | 10,530,731 | |||
Short-Term Investments | — | 49,447 | — | 49,447 | |||
Total Investments at Value | $482,264,359 | $49,447 | $— | $482,313,806 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $17,908 | $— | $— | $17,908 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
178
SunAmerica Series Trust SA MFS Blue
Chip Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
179
SunAmerica Series Trust SA MFS Blue
Chip Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $643,482,744 | $— | $— | $643,482,744 | |||
Short-Term Investments | — | 2,030,702 | — | 2,030,702 | |||
Total Investments at Value | $643,482,744 | $2,030,702 | $— | $645,513,446 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
180
SunAmerica Series Trust SA MFS
Massachusetts Investors Trust Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
181
SunAmerica Series Trust SA MFS
Massachusetts Investors Trust Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a
summary of the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $— | $8,077,135 | $— | $8,077,135 | |||
Beverages | — | 12,571,068 | — | 12,571,068 | |||
Semiconductors | 79,228,826 | 9,266,227 | — | 88,495,053 | |||
Other Industries | 742,346,280 | — | — | 742,346,280 | |||
Short-Term Investments | — | 6,630,028 | — | 6,630,028 | |||
Total Investments at Value | $821,575,106 | $36,544,458 | $— | $858,119,564 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to
Portfolio of Investments
182
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
183
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
184
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
185
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
186
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
187
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
188
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
189
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
190
SunAmerica Series Trust SA MFS Total
Return Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
44 | Short | U.S. Treasury Ultra 10 Year Notes | June 2024 | $4,998,973 | $4,849,625 | $149,348 |
Unrealized (Depreciation) | ||||||
110 | Long | U.S. Treasury 5 Year Notes | June 2024 | $11,741,947 | $11,521,641 | $(220,306) |
28 | Long | U.S. Treasury Ultra Bonds | June 2024 | 3,560,263 | 3,347,750 | (212,513) |
$(432,819) | ||||||
Net Unrealized Appreciation (Depreciation) | $(283,471) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Beverages | $2,260,103 | $1,634,241 | $— | $3,894,344 | |||
Electric | 13,375,213 | 1,425,354 | — | 14,800,567 | |||
Household Products/Wares | — | 2,413,340 | — | 2,413,340 | |||
Mining | — | 1,075,103 | — | 1,075,103 | |||
Pharmaceuticals | 26,385,267 | 2,048,846 | — | 28,434,113 | |||
Semiconductors | 13,562,674 | 1,168,790 | — | 14,731,464 | |||
Other Industries | 221,240,116 | — | — | 221,240,116 | |||
Corporate Bonds & Notes | — | 61,676,720 | — | 61,676,720 | |||
Asset Backed Securities | — | 9,942,615 | — | 9,942,615 | |||
Collateralized Mortgage Obligations | — | 20,378,321 | — | 20,378,321 | |||
U.S. Government & Agency Obligations | — | 99,713,464 | — | 99,713,464 | |||
Municipal Securities | — | 1,554,078 | — | 1,554,078 | |||
Short-Term Investments | — | 10,355,482 | — | 10,355,482 | |||
Total Investments at Value | $276,823,373 | $213,386,354 | $— | $490,209,727 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $149,348 | $— | $— | $149,348 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $432,819 | $— | $— | $432,819 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
191
SunAmerica Series Trust SA Mid Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
192
SunAmerica Series Trust SA Mid Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
193
SunAmerica Series Trust SA Mid Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
194
SunAmerica Series Trust SA Mid Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
195
SunAmerica Series Trust SA Mid Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
19 | Long | S&P Mid Cap 400 E-Mini Index | June 2024 | $5,634,873 | $5,466,680 | $(168,193) |
* | 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. |
196
SunAmerica Series Trust SA Mid Cap
Index Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $460,715,758 | $— | $— | $460,715,758 | |||
Short-Term Investments | — | 845,510 | — | 845,510 | |||
Repurchase Agreements | — | 5,035,730 | — | 5,035,730 | |||
Total Investments at Value | $460,715,758 | $5,881,240 | $— | $466,596,998 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $168,193 | $— | $— | $168,193 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
197
SunAmerica Series Trust SA Morgan
Stanley International Equities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
198
SunAmerica Series Trust SA Morgan
Stanley International Equities Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
ADR—American Depositary Receipt |
LSE—London Stock Exchange |
XAMS—Euronext Amsterdam Stock Exchange |
Industry Allocation* | |
Pharmaceuticals | 8.4% |
Beverages | 7.8 |
Insurance | 7.2 |
Oil & Gas | 6.9 |
Machinery-Diversified | 6.6 |
Software | 5.9 |
Banks | 5.7 |
Semiconductors | 5.6 |
Mining | 5.3 |
Entertainment | 4.3 |
Commercial Services | 3.7 |
Electronics | 3.7 |
Cosmetics/Personal Care | 3.5 |
Healthcare-Products | 3.0 |
Retail | 2.3 |
Electrical Components & Equipment | 2.2 |
Diversified Financial Services | 2.1 |
Aerospace/Defense | 2.0 |
Household Products/Wares | 1.7 |
Transportation | 1.5 |
Apparel | 1.5 |
Agriculture | 1.4 |
Internet | 1.3 |
Home Furnishings | 1.3 |
Computers | 1.2 |
Machinery-Construction & Mining | 1.2 |
Miscellaneous Manufacturing | 0.7 |
98.0% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $22,526,322 | $— | $— | $22,526,322 | |||
Taiwan | 5,310,388 | — | — | 5,310,388 | |||
Other Countries | — | 309,801,742 | — | 309,801,742 | |||
Warrants | — | — | 0 | 0 | |||
Total Investments at Value | $27,836,710 | $309,801,742 | $0 | $337,638,452 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
199
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
200
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
201
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
202
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
203
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
204
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Goldman Sachs International | 8,000,000 | MYR | Fixed 3.750% | 6-Month KLIBO | Quarterly | Quarterly | Sep 2033 | $ 37,200 | $ (29) | $ 37,171 | ||
Centrally Cleared | 30,300,000 | AUD | 6-Month BBSW | Fixed 4.750% | Semiannual | Semiannual | Dec 2033 | (146,321) | 6,111 | (140,210) | ||
Centrally Cleared | 24,000,000 | USD | 12-Month SOFR | Fixed 3.750 | Annual | Annual | Jun 2029 | (660,670) | (63,552) | (724,222) | ||
Centrally Cleared | 35,400,000 | USD | 12-Month SOFR | Fixed 3.750 | Annual | Annual | Jun 2034 | (1,377,557) | (143,241) | (1,520,798) | ||
Centrally Cleared | 36,700,000 | EUR | 6-Month EURIBOR | Fixed 2.750 | Annual | Semiannual | Sep 2034 | (36,712) | (195,168) | (231,880) | ||
Centrally Cleared | 15,000,000 | GBP | 12-Month SONIA | Fixed 4.000 | Annual | Annual | Sep 2029 | (37,556) | (61,916) | (99,472) | ||
Centrally Cleared | 470,000,000 | JPY | Fixed 0.400 | 6-Month TONA | Semiannual | Semiannual | Jun 2039 | 380,359 | — | 380,359 | ||
Centrally Cleared | 1,700,000 | CAD | Fixed 3.500 | 6-Month CORRA | Semiannual | Semiannual | Jun 2054 | 27,386 | (205) | 27,181 | ||
Centrally Cleared | 29,000,000 | USD | Fixed 4.000 | 12-Month SOFR | Annual | Annual | Jun 2026 | 446,610 | — | 446,610 | ||
Centrally Cleared | 8,600,000 | USD | Fixed 3.500 | 12-Month SOFR | Annual | Annual | Jun 2054 | 702,066 | 47,218 | 749,284 | ||
Centrally Cleared | 66,000,000 | USD | Fixed 3.500 | 12-Month SOFR | Annual | Maturity | Dec 2025 | 799,970 | — | 799,970 | ||
Centrally Cleared | 15,600,000 | EUR | Fixed 2.500 | 6-Month EURIBOR | Annual | Semiannual | Sep 2054 | (79,788) | 103,190 | 23,402 | ||
Centrally Cleared | 1,000,000,000 | JPY | Fixed 0.600 | 12-Month TONA | Annual | Annual | Sep 2029 | 21,167 | — | 21,167 | ||
Centrally Cleared | 750,000,000 | JPY | Fixed 1.000 | 12-Month TONA | Annual | Annual | Sep 2034 | 12,358 | — | 12,358 | ||
Centrally Cleared | 115,000,000 | JPY | Fixed 1.500 | 12-Month TONA | Annual | Annual | Sep 2054 | 27,736 | — | 27,736 | ||
Centrally Cleared | 115,000,000 | CNY | Fixed 2.250 | 3-Month CNRR | Quarterly | Quarterly | Sep 2029 | (43,094) | (30) | (43,124) | ||
Centrally Cleared | 21,000,000 | SGD | Fixed 2.750 | 6-Month SORA | Semiannual | Semiannual | Sep 2029 | 339,467 | (1,430) | 338,037 | ||
Centrally Cleared | 560,000,000 | THB | Fixed 2.418 | 3-Month THOR | Quarterly | Quarterly | Apr 2029 | 121,589 | (118) | 121,471 | ||
Centrally Cleared | 40,400,000 | AUD | 6-Month BBSW | Fixed 4.500 | Semiannual | Semiannual | Sep 2032 | (293,460) | 4,065 | (289,395) | ||
Centrally Cleared | 20,700,000 | AUD | 6-Month BBSW | Fixed 4.000 | Semiannual | Semiannual | Jun 2033 | (686,214) | 9,506 | (676,708) | ||
Centrally Cleared | 2,500,000 | AUD | 6-Month BBSW | Fixed 4.500 | Semiannual | Semiannual | Mar 2029 | 1,215 | (17) | 1,198 | ||
Centrally Cleared | 11,300,000 | CAD | 6-Month CORRA | Fixed 3.500 | Semiannual | Semiannual | Jun 2029 | (93,411) | 650 | (92,761) | ||
Centrally Cleared | 88,000,000 | CAD | 12-Month CORRA | Fixed 3.500 | Maturity | Maturity | Dec 2025 | (462,071) | 2,692 | (459,379) | ||
Centrally Cleared | 14,500,000 | GBP | 12-Month SONIA | Fixed 3.000 | Annual | Annual | Jun 2027 | (367,533) | 1,612 | (365,921) | ||
Centrally Cleared | 41,000,000 | EUR | 6-Month EURIBOR | Fixed 3.000 | Annual | Semiannual | Sep 2026 | (71,978) | 247 | (71,731) | ||
Centrally Cleared | 6,000,000 | GBP | 12-Month SONIA | Fixed 4.250 | Annual | Annual | Sep 2026 | (31,969) | 132 | (31,837) | ||
Centrally Cleared | 24,700,000 | GBP | 12-Month SONIA | Fixed 3.750 | Annual | Annual | Sep 2034 | (524,613) | 2,620 | (521,993) |
205
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Interest Rate Swaps — (continued) | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 100,000 | GBP | 12-Month SONIA | Fixed 3.750% | Annual | Annual | Sep 2054 | $ (5,179) | $ 27 | $ (5,152) | ||
Centrally Cleared | 43,000,000 | EUR | 6-Month EURIBOR | Fixed 2.750 | Annual | Semiannual | Sep 2029 | (81,930) | 333 | (81,597) | ||
Centrally Cleared | 2,600,000,000 | INR | 6-Month MIBOR | Fixed 6.500 | Semiannual | Semiannual | Sep 2029 | (75,714) | (1) | (75,715) | ||
$(2,195,847) | $(287,275) | $(2,483,122) | ||||||||||
$(2,158,647) | $(287,304) | $(2,445,951) |
Credit Default Swaps - Buyer(1) | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount(2) | Currency | USD notional amount(2) | Pay fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(3) | ||||||
Centrally Cleared | CDX Investment Grade Index Series 41 | $28,400,000 | USD | $28,400,000 | 1.000% | Quarterly | Dec 2033 | $(249,990) | $(71) | $(250,061) | ||||||
Centrally Cleared | ITraxx Europe | 3,100,000 | EUR | 3,100,000 | 1.000 | Quarterly | Jun 2034 | (14,891) | 64 | (14,827) | ||||||
$31,500,000 | $(264,881) | $(7) | $(264,888) |
Credit Default Swaps - Seller(1) | |||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread(2) | Notional amount(3) | Currency | USD notional amount(3) | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(4) | ||||||
Centrally Cleared | CDX Investment Grade Index Series 41 | 0.4764% | 200,000,000 | USD | 200,000,000 | 1.000% | Quarterly | Dec 2028 | $4,509,179 | $ 2,663 | $4,511,842 | ||||||
Centrally Cleared | ITraxx Europe | 0.5575 | 58,700,000 | EUR | 58,700,000 | 1.000 | Quarterly | Jun 2029 | 1,342,138 | (5,424) | 1,336,714 | ||||||
258,700,000 | $5,851,317 | $(2,761) | $5,848,556 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, credit indices or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
31 | Long | Australian 3 Year Bonds | June 2024 | $ 2,115,442 | $ 2,118,924 | $ 3,482 |
300 | Short | 3-Month SOFR | June 2025 | 71,400,000 | 71,332,500 | 67,500 |
348 | Short | 3-Month SOFR | March 2025 | 82,663,050 | 82,597,800 | 65,250 |
25 | Short | 3-Month SOFR | September 2024 | 5,919,063 | 5,918,126 | 937 |
110 | Short | Euro-BOBL | June 2024 | 13,710,912 | 13,667,957 | 42,955 |
1 | Short | Euro-BTP | June 2024 | 125,407 | 124,852 | 555 |
140 | Short | Euro-OAT | June 2024 | 18,822,366 | 18,746,232 | 76,134 |
53 | Short | Euro-Schatz | June 2024 | 5,953,256 | 5,945,193 | 8,063 |
160 | Short | Long Gilt | June 2024 | 19,253,644 | 19,149,107 | 104,537 |
84 | Short | U.S. Treasury 10 Year Notes | June 2024 | 9,058,875 | 9,024,750 | 34,125 |
275 | Short | U.S. Treasury 5 Year Notes | June 2024 | 28,883,594 | 28,804,102 | 79,492 |
152 | Short | U.S. Treasury Long Bonds | June 2024 | 17,380,250 | 17,299,500 | 80,750 |
$563,780 |
206
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts — (continued)
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
307 | Long | 3-Month SOFR | June 2024 | $72,649,631 | $72,647,712 | $ (1,919) |
42 | Long | 3-Month SOFR | December 2024 | 9,959,250 | 9,953,475 | (5,775) |
95 | Long | 3-Month SOFR | September 2025 | 22,652,750 | 22,629,000 | (23,750) |
229 | Long | 3-Month SOFR | December 2025 | 54,696,650 | 54,642,263 | (54,387) |
27 | Long | Canada 10 Year Bonds | June 2024 | 2,305,880 | 2,294,505 | (11,375) |
4 | Long | Euro-BUXL 30 Year Bonds | June 2024 | 553,664 | 550,334 | (3,330) |
20 | Long | U.S. Treasury Ultra 10 Year Notes | June 2024 | 2,214,063 | 2,204,375 | (9,688) |
26 | Long | U.S. Treasury Ultra Bonds | June 2024 | 3,127,313 | 3,108,626 | (18,687) |
103 | Short | Australian 10 Year Bonds | June 2024 | 7,468,354 | 7,508,417 | (40,063) |
12 | Short | Japan 10 Year Bonds | June 2024 | 10,990,774 | 10,994,515 | (3,741) |
$(172,715) | ||||||
Net Unrealized Appreciation (Depreciation) | $391,065 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Goldman Sachs International | CAD | 8,052,000 | USD | 5,870,422 | 06/04/2024 | $ 18,396 | $— | |
EUR | 66,131,000 | USD | 70,873,386 | 06/04/2024 | 208,113 | — | ||
GBP | 2,972,000 | USD | 3,722,037 | 06/04/2024 | 7,751 | — | ||
JPY | 7,586,800,000 | USD | 48,447,710 | 06/04/2024 | 103,469 | — | ||
337,729 | — | |||||||
JPMorgan Chase Bank, N.A. | CAD | 7,940,000 | USD | 5,816,680 | 05/01/2024 | 49,055 | — | |
Unrealized Appreciation (Depreciation) | $386,784 | $— |
CAD—Canadian Dollar |
EUR—Euro Currency |
GBP—British Pound |
JPY—Japanese Yen |
USD—United States Dollar |
Industry Allocation* | |
U.S. Government & Agency Obligations | 31.8% |
Short-Term Investments | 14.4 |
Foreign Government Obligations | 11.7 |
Collateralized Mortgage Obligations | 10.7 |
Repurchase Agreements | 9.7 |
Banks | 8.3 |
Other Asset Backed Securities | 4.1 |
Auto Loan Receivables | 3.7 |
Credit Card Receivables | 1.5 |
Investment Companies | 0.7 |
Multi-National | 0.3 |
Auto Manufacturers | 0.3 |
Telecommunications | 0.3 |
Real Estate | 0.2 |
Savings & Loans | 0.2 |
Pharmaceuticals | 0.2 |
Media | 0.2 |
REITS | 0.2 |
Agriculture | 0.2 |
Mining | 0.2 |
Internet | 0.1 |
Computers | 0.1 |
Diversified Financial Services | 0.1 |
Commercial Services | 0.1 |
207
SunAmerica Series Trust SA PIMCO
Global Bond Opportunities Portfolio@
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Electric | 0.1% |
Chemicals | 0.1 |
99.5% |
@ | Effective April 29, 2024, the SA Goldman Sachs Global Bond Portfolio changed its name to SA PIMCO Global Bond Opportunities Portfolio. |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $35,340,847 | $— | $35,340,847 | |||
Asset Backed Securities | — | 27,620,133 | — | 27,620,133 | |||
Collateralized Mortgage Obligations | — | 31,737,630 | — | 31,737,630 | |||
U.S. Government & Agency Obligations | — | 94,801,978 | — | 94,801,978 | |||
Foreign Government Obligations | — | 34,872,577 | — | 34,872,577 | |||
Short-Term Investments: | |||||||
Sovereign | — | 14,801,754 | — | 14,801,754 | |||
Other Short-Term Investments | 28,138,318 | — | — | 28,138,318 | |||
Repurchase Agreements | — | 28,700,000 | — | 28,700,000 | |||
Total Investments at Value | $28,138,318 | $267,874,919 | $— | $296,013,237 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $181,130 | $— | $181,130 | |||
Futures Contracts | 563,780 | — | — | 563,780 | |||
Forward Foreign Currency Contracts | — | 386,784 | — | 386,784 | |||
Total Other Financial Instruments | $563,780 | $567,914 | $— | $1,131,694 | |||
LIABILITIES: | |||||||
Forward Sales Contracts: | |||||||
U.S. Government Agencies | $— | $25,516,992 | $— | $25,516,992 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $471,202 | $— | $471,202 | |||
Futures Contracts | 172,715 | — | — | 172,715 | |||
Total Other Financial Instruments | $172,715 | $471,202 | $— | $643,917 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
208
SunAmerica Series Trust SA PIMCO RAE
International Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
209
SunAmerica Series Trust SA PIMCO RAE
International Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
210
SunAmerica Series Trust SA PIMCO RAE
International Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
211
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International Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 0.1% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $597,276 and collateralized by $880,000 of United States Treasury Bonds, bearing interest at 2.50% due 05/15/2046 and having an approximate value of $609,236 (cost $597,249) | $ 597,249 | $ 597,249 | ||
TOTAL INVESTMENTS (cost $436,396,568) | 98.9% | 454,761,193 | ||
Other assets less liabilities | 1.1 | 5,017,614 | ||
NET ASSETS | 100.0% | $459,778,807 |
* | 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 PIMCO RAE International Value Portfolio has no right to demand registration of these securities. At April 30, 2024, the aggregate value of these securities was $2,576,901 representing 0.6% of net assets. |
† | Non-income producing security |
(1) | Securities classified as Level 3 (see Note 1). |
ADR—American Depositary Receipt |
Industry Allocation* | |
Pharmaceuticals | 11.2% |
Insurance | 10.4 |
Food | 6.8 |
Auto Manufacturers | 6.4 |
Electric | 5.2 |
Telecommunications | 5.1 |
Chemicals | 4.0 |
Retail | 3.5 |
Auto Parts & Equipment | 3.2 |
Commercial Services | 3.1 |
Building Materials | 3.0 |
Banks | 2.7 |
Gas | 2.6 |
Transportation | 2.4 |
Oil & Gas | 2.4 |
Real Estate | 2.2 |
Office/Business Equipment | 1.9 |
Mining | 1.8 |
Computers | 1.8 |
Apparel | 1.7 |
Electronics | 1.6 |
Home Builders | 1.5 |
Engineering & Construction | 1.3 |
Healthcare-Services | 1.2 |
Healthcare-Products | 1.1 |
Iron/Steel | 1.1 |
Cosmetics/Personal Care | 1.0 |
Machinery-Construction & Mining | 0.9 |
Agriculture | 0.8 |
Machinery-Diversified | 0.8 |
Home Furnishings | 0.7 |
Diversified Financial Services | 0.7 |
Distribution/Wholesale | 0.6 |
REITS | 0.5 |
Semiconductors | 0.5 |
Hand/Machine Tools | 0.5 |
Advertising | 0.4 |
Packaging & Containers | 0.3 |
Software | 0.3 |
212
SunAmerica Series Trust SA PIMCO RAE
International Value Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Industry Allocation*(continued) | |
Internet | 0.3% |
Lodging | 0.2 |
Biotechnology | 0.2 |
Electrical Components & Equipment | 0.2 |
Media | 0.1 |
Forest Products & Paper | 0.1 |
Private Equity | 0.1 |
Repurchase Agreements | 0.1 |
Miscellaneous Manufacturing | 0.1 |
Aerospace/Defense | 0.1 |
Beverages | 0.1 |
Oil & Gas Services | 0.1 |
98.9% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $37,972,874 | $— | $— | $37,972,874 | |||
Cayman Islands | 2,000,628 | 2,957,606 | — | 4,958,234 | |||
Denmark | 42,676 | 4,989,651 | — | 5,032,327 | |||
Israel | 3,456,590 | 2,308,881 | — | 5,765,471 | |||
Netherlands | 2,196,317 | 34,079,007 | — | 36,275,324 | |||
United Kingdom | — | 56,121,648 | 3,501 | 56,125,149 | |||
United States | 620,512 | — | — | 620,512 | |||
Other Countries | — | 307,414,053 | — | 307,414,053 | |||
Repurchase Agreements | — | 597,249 | — | 597,249 | |||
Total Investments at Value | $46,289,597 | $408,468,095 | $3,501 | $454,761,193 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
213
SunAmerica Series Trust SA PIMCO VCP
Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
214
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
215
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
216
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
217
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
218
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
219
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
220
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Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
221
SunAmerica Series Trust SA PIMCO VCP
Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Interest Rate Swaps | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally Cleared | 4,200,000 | USD | Fixed 1.750% | 12-Month SOFR | Annual | Annual | Dec 2051 | $(163,121) | $1,748,623 | $1,585,502 |
Centrally Cleared | 400,000 | USD | 12-Month SOFR | Fixed 3.340% | Annual | Annual | Feb 2030 | — | (22,065) | (22,065) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.750 | Annual | Annual | Jul 2033 | — | (8,584) | (8,584) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.370 | Annual | Annual | Jul 2053 | — | (22,712) | (22,712) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.900 | Annual | Annual | Aug 2033 | — | (6,392) | (6,392) |
Centrally Cleared | 1,100,000 | USD | 12-Month SOFR | Fixed 3.950 | Annual | Annual | Sep 2033 | — | (31,064) | (31,064) |
Centrally Cleared | 900,000 | USD | 12-Month SOFR | Fixed 4.165 | Annual | Annual | Sep 2033 | — | (10,697) | (10,697) |
Centrally Cleared | 1,000,000 | USD | 12-Month SOFR | Fixed 4.150 | Annual | Annual | Oct 2033 | — | (13,043) | (13,043) |
Centrally Cleared | 15,200,000 | AUD | 6-Month BBSW | Fixed 4.750 | Semiannual | Semiannual | Dec 2033 | (187,557) | 117,221 | (70,336) |
Centrally Cleared | 800,000 | CAD | 6-Month CORRA | Fixed 1.220 | Semiannual | Semiannual | Mar 2025 | (16,447) | (197) | (16,644) |
Centrally Cleared | 3,400,000 | CAD | 6-Month CORRA | Fixed 1.235 | Semiannual | Semiannual | Mar 2025 | (69,795) | (853) | (70,648) |
Centrally Cleared | 1,200,000 | USD | 12-Month SOFR | Fixed 3.710 | Annual | Annual | Mar 2034 | — | (57,360) | (57,360) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.555 | Annual | Annual | Mar 2054 | — | (16,239) | (16,239) |
Centrally Cleared | 8,100,000 | EUR | 6-Month EURIBOR | Fixed 2.750 | Annual | Annual | Sep 2034 | 133,731 | (184,909) | (51,178) |
Centrally Cleared | 6,800,000 | GBP | 12-Month SONIA | Fixed 4.000 | Annual | Annual | Sep 2029 | 130,109 | (175,203) | (45,094) |
Centrally Cleared | 1,100,000 | BRL | Less than 1-Month BRCDI | Fixed 9.842 | Maturity | Maturity | Jan 2027 | — | (6,060) | (6,060) |
Centrally Cleared | 42,400,000 | BRL | Less than 1-Month BRCDI | Fixed 9.832 | Maturity | Maturity | Jan 2027 | — | (235,113) | (235,113) |
Centrally Cleared | 46,500,000 | BRL | Less than 1-Month BRCDI | Fixed 9.815 | Maturity | Maturity | Jan 2027 | — | (261,872) | (261,872) |
Centrally Cleared | 3,200,000 | USD | Fixed 2.000 | 3-Month SOFR | Semiannual | Quarterly | Dec 2051 | (100,514) | 1,320,940 | 1,220,426 |
Centrally Cleared | 4,200,000 | USD | Fixed 1.441 | 3-Month SOFR | Semiannual | Quarterly | Jul 2031 | (587) | 821,797 | 821,210 |
Centrally Cleared | 1,100,000 | CAD | Fixed 3.750 | 6-Month CORRA | Semiannual | Semiannual | Dec 2033 | — | 4,668 | 4,668 |
Centrally Cleared | 5,100,000 | CAD | Fixed 3.500 | 6-Month CORRA | Semiannual | Semiannual | Jun 2032 | (40,624) | 119,135 | 78,511 |
Centrally Cleared | 8,600,000 | USD | Fixed 3.750 | 12-Month SOFR | Annual | Annual | Jun 2029 | 13,316 | 246,196 | 259,512 |
Centrally Cleared | 4,200,000 | USD | Fixed 3.750 | 12-Month SOFR | Annual | Annual | Jun 2034 | 21,776 | 158,658 | 180,434 |
Centrally Cleared | 2,800,000 | USD | Fixed 3.500 | 12-Month SOFR | Annual | Annual | Jun 2054 | (827) | 244,780 | 243,953 |
Centrally Cleared | 8,100,000 | USD | Fixed 3.604 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 437,142 | 437,142 |
Centrally Cleared | 10,600,000 | USD | Fixed 3.608 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 568,518 | 568,518 |
Centrally Cleared | 2,800,000 | USD | Fixed 3.619 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 147,895 | 147,895 |
Centrally Cleared | 1,300,000 | USD | Fixed 3.600 | 12-Month SOFR | Annual | Annual | Jan 2034 | — | 72,935 | 72,935 |
Centrally Cleared | 2,100,000 | USD | Fixed 3.609 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 112,429 | 112,429 |
Centrally Cleared | 3,300,000 | EUR | Fixed 2.500 | 6-Month EURIBOR | Annual | Semiannual | Sep 2054 | (131,231) | 136,182 | 4,951 |
Centrally Cleared | 6,400,000 | USD | Fixed 3.722 | 12-Month SOFR | Annual | Annual | Nov 2033 | — | 281,969 | 281,969 |
Centrally Cleared | 1,700,000 | USD | 12-Month SOFR | Fixed 4.090 | Annual | Annual | Apr 2034 | — | (29,932) | (29,932) |
222
SunAmerica Series Trust SA PIMCO VCP
Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Interest Rate Swaps — (continued) | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 1,000,000 | USD | 12-Month SOFR | Fixed 4.078% | Annual | Annual | Apr 2034 | $ — | $ (18,576) | $ (18,576) | ||
Centrally Cleared | 800,000 | EUR | 6-Month EURIBOR | Fixed 2.780 | Annual | Annual | May 2029 | — | (7,471) | (7,471) | ||
$(411,771) | $5,430,746 | $5,018,975 |
Credit Default Swaps - Seller(1) | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread(2) | Notional amount(3) | Currency | USD notional amount(3) | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(4) | |||||
Centrally Cleared | CDX Investment Grade Index Series 42 | 53.52 | 800,000 | USD | 800,000 | 1.000% | Quarterly | Jun 2029 | $17,190 | $(421) | $16,769 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, credit indices or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Written Options on futures | ||||||||||
Counterparty (OTC)/Exchange-Traded | Name of Issuer | Strike price | Expiration date | Number of contracts | Notional amount | Premium | Value | Unrealized Appreciation (Depreciation) | ||
Calls | ||||||||||
Morgan Stanley & Co., Inc. | Call option on 10 Year U.S. Treasury Note Futures | 112.00 | 5/24/2024 | 4 | $— | $1,120 | $ 94 | $ 1,026 | ||
Puts | ||||||||||
Morgan Stanley & Co., Inc. | Put option on 10 Year U.S. Treasury Note Futures | 108.00 | 5/24/2024 | 4 | — | 1,370 | 4,344 | (2,974) | ||
$2,490 | $4,438 | $(1,948) |
Written Options on Interest Rate Swaps | |||||||
Counterparty (OTC)/Exchange-Traded | Issue | Strike price | Expiration date | Notional amount | Premium | Value | Unrealized Appreciation (Depreciation) |
Calls | |||||||
Citibank, N.A. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 3.73% versus USD_SOFR maturing 05/01/2024 | 3.73 | 5/1/2024 | $100,000 | $270 | $ - | $ 270 |
Citibank, N.A. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 2.55% versus EUR_LIBOR-BBA maturing 05/02/2024 | 2.55 | 5/2/2024 | 1,000,000 | 1,531 | - | 1,531 |
Morgan Stanley & Co., Inc. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 2.48% versus EUR_LIBOR-BBA maturing 05/07/2024 | 2.48 | 5/7/2024 | 400,000 | 1,235 | 4 | 1,231 |
Bank of America, N.A. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 3.93% versus USD_SOFR maturing 05/10/2024 | 3.93 | 5/10/2024 | 2,100,000 | 7,350 | 504 | 6,846 |
Goldman Sachs International | Call option to enter into an interest rate swap for the right to receive a fixed rate of 2.52% versus EUR_LIBOR-BBA maturing 05/15/2024 | 2.52 | 5/15/2024 | 1,100,000 | 3,390 | 308 | 3,082 |
223
SunAmerica Series Trust SA PIMCO VCP
Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Written Options on Interest Rate Swaps — (continued) | |||||||||
Counterparty (OTC)/Exchange-Traded | Issue | Strike price | Expiration date | Notional amount | Premium | Value | Unrealized Appreciation (Depreciation) | ||
Goldman Sachs International | Call option to enter into an interest rate swap for the right to receive a fixed rate of 4.01% versus USD_SOFR maturing 05/15/2024 | 4.01 | 5/15/2024 | $1,100,000 | $5,225 | $ 1,020 | $ 4,205 | ||
Goldman Sachs & Co. LLC | Call option to enter into an interest rate swap for the right to receive a fixed rate of 4.10% versus USD_SOFR maturing 05/30/2024 | 4.10 | 5/30/2024 | 700,000 | 2,660 | 2,660 | — | ||
$21,661 | $4,496 | $17,165 | |||||||
Puts | |||||||||
Citibank, N.A. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.13% versus USD_SOFR maturing 05/01/2024 | 4.13 | 5/1/2024 | 100,000 | 270 | 1,430 | (1,160) | ||
Citibank, N.A. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 2.83% versus EUR_LIBOR-BBA maturing 05/02/2024 | 2.83 | 5/2/2024 | 1,000,000 | 1,531 | 6,799 | (5,268) | ||
Morgan Stanley & Co., Inc. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 2.78% versus EUR_LIBOR-BBA maturing 05/07/2024 | 2.77 | 5/7/2024 | 400,000 | 1,235 | 3,689 | (2,454) | ||
Bank of America, N.A. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.33% versus USD_SOFR maturing 05/10/2024 | 4.33 | 5/10/2024 | 2,100,000 | 7,350 | 11,240 | (3,890) | ||
Goldman Sachs International | Put option to enter into an interest rate swap for the right to pay a fixed rate of 2.84% versus EUR_LIBOR-BBA maturing 05/15/2024 | 2.84 | 5/15/2024 | 1,100,000 | 3,390 | 7,763 | (4,373) | ||
Goldman Sachs International | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.41% versus USD_SOFR maturing 05/15/2024 | 4.41 | 5/15/2024 | 1,100,000 | 5,225 | 4,195 | 1,030 | ||
Goldman Sachs & Co. LLC | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.50% versus USD_SOFR maturing 05/30/2024 | 4.50 | 5/30/2024 | 700,000 | 2,660 | 2,660 | — | ||
$21,661 | $37,776 | $(16,115) | |||||||
$43,322 | $42,272 | $1,050 |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
13 | Short | Japan 10 Year Bonds | June 2024 | $12,003,291 | $11,910,725 | $ 92,566 |
132 | Short | U.S. Treasury Long Bonds | June 2024 | 15,678,135 | 15,023,250 | 654,885 |
417 | Short | U.S. Treasury Ultra 10 Year Notes | June 2024 | 47,464,823 | 45,961,219 | 1,503,604 |
96 | Short | U.S. Treasury Ultra Bonds | June 2024 | 12,260,099 | 11,478,000 | 782,099 |
$3,033,154 |
Unrealized (Depreciation) | ||||||
49 | Long | Canada 10 Year Bonds | June 2024 | $ 4,260,470 | $ 4,164,101 | $ (96,369) |
460 | Long | E-Mini Russell 2000 Index | June 2024 | 48,364,216 | 45,668,800 | (2,695,416) |
1,216 | Long | MSCI EAFE Index | June 2024 | 141,728,872 | 137,864,000 | (3,864,872) |
1,497 | Long | S&P 500 E-Mini Index | June 2024 | 389,531,378 | 379,264,950 | (10,266,428) |
41 | Long | U.S. Treasury 10 Year Notes | June 2024 | 4,437,017 | 4,404,938 | (32,079) |
91 | Long | U.S. Treasury 2 Year Notes | June 2024 | 18,613,175 | 18,441,719 | (171,456) |
86 | Long | U.S. Treasury 5 Year Notes | June 2024 | 9,175,910 | 9,007,828 | (168,082) |
$(17,294,702) | ||||||
Net Unrealized Appreciation (Depreciation) | $(14,261,548) |
* | 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. |
224
SunAmerica Series Trust SA PIMCO VCP
Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | AUD | 59,304 | USD | 38,877 | 05/02/2024 | $ 460 | $ — | |
CAD | 163,000 | USD | 118,787 | 05/02/2024 | 382 | — | ||
CNH | 6,939,976 | USD | 958,216 | 05/17/2024 | 1,019 | — | ||
CNH | 13,389,980 | USD | 1,843,413 | 05/24/2024 | — | (3,988) | ||
EUR | 8,325,000 | USD | 9,049,441 | 05/02/2024 | 164,997 | — | ||
EUR | 8,910,000 | USD | 9,566,127 | 06/04/2024 | 45,213 | — | ||
USD | 9,553,555 | EUR | 8,910,000 | 05/02/2024 | — | (44,798) | ||
USD | 762,577 | IDR | 11,837,175,567 | 06/20/2024 | — | (35,616) | ||
USD | 3,375,229 | JPY | 507,678,325 | 05/02/2024 | — | (156,269) | ||
212,071 | (240,671) | |||||||
Barclays Bank PLC | AUD | 50,696 | USD | 32,941 | 05/02/2024 | 100 | — | |
AUD | 110,000 | USD | 71,857 | 06/04/2024 | 528 | — | ||
CHF | 1,432,091 | USD | 1,571,319 | 06/04/2024 | 7,826 | — | ||
GBP | 1,937,352 | USD | 2,449,880 | 05/02/2024 | 29,061 | — | ||
TWD | 28,443,857 | USD | 900,350 | 05/20/2024 | 29,035 | — | ||
USD | 1,571,319 | CHF | 1,437,386 | 05/02/2024 | — | (7,668) | ||
USD | 508,158 | INR | 42,214,718 | 06/20/2024 | — | (3,371) | ||
USD | 571 | MXN | 9,761 | 06/20/2024 | — | (5) | ||
USD | 466,787 | TRY | 15,842,751 | 05/16/2024 | 16,345 | — | ||
USD | 335,303 | TRY | 11,392,590 | 05/17/2024 | 11,740 | — | ||
USD | 959,308 | TRY | 32,895,645 | 06/13/2024 | 14,235 | — | ||
USD | 890,000 | TWD | 28,115,100 | 06/20/2024 | — | (27,851) | ||
108,870 | (38,895) | |||||||
Citibank, N.A. | AUD | 110,000 | USD | 72,267 | 06/04/2024 | 938 | — | |
BRL | 3,872,876 | USD | 748,845 | 05/03/2024 | 3,000 | — | ||
CAD | 3,476,615 | USD | 2,569,099 | 05/02/2024 | 43,641 | — | ||
CAD | 3,652,916 | USD | 2,658,788 | 06/04/2024 | 3,924 | — | ||
EUR | 585,000 | USD | 634,387 | 05/02/2024 | 10,074 | — | ||
MXN | 9,639,983 | USD | 567,485 | 05/14/2024 | 5,737 | — | ||
MXN | 1,516,000 | USD | 91,060 | 06/20/2024 | 3,238 | — | ||
PEN | 955,879 | USD | 256,791 | 06/20/2024 | 3,026 | — | ||
THB | 89,800 | USD | 2,502 | 06/20/2024 | 70 | — | ||
USD | 769,772 | BRL | 3,872,876 | 05/03/2024 | — | (23,927) | ||
USD | 2,658,788 | CAD | 3,654,731 | 05/02/2024 | — | (3,944) | ||
USD | 268,643 | INR | 22,324,362 | 06/20/2024 | — | (1,697) | ||
USD | 3,238,364 | JPY | 505,640,745 | 06/04/2024 | — | (16,344) | ||
73,648 | (45,912) | |||||||
Goldman Sachs International | BRL | 3,877,677 | USD | 762,197 | 05/03/2024 | 15,427 | — | |
BRL | 30,600,000 | USD | 6,094,246 | 07/02/2024 | 236,164 | — | ||
CHF | 1,431,000 | USD | 1,591,866 | 05/02/2024 | 35,162 | — | ||
MXN | 5,865,000 | USD | 349,933 | 06/20/2024 | 10,173 | — | ||
SEK | 11,540,773 | USD | 1,088,678 | 05/02/2024 | 41,459 | — | ||
USD | 749,773 | BRL | 3,877,677 | 05/03/2024 | — | (3,003) | ||
USD | 762,197 | BRL | 3,910,071 | 08/02/2024 | — | (15,789) | ||
USD | 924,912 | PLN | 3,725,269 | 07/22/2024 | — | (7,370) | ||
USD | 641,601 | TRY | 22,829,433 | 06/25/2024 | 25,662 | — | ||
USD | 356,933 | TRY | 17,095,116 | 03/13/2025 | 25,399 | — | ||
389,446 | (26,162) | |||||||
Unrealized Appreciation (Depreciation) | $784,035 | $(351,640) |
225
SunAmerica Series Trust SA PIMCO VCP
Tactical Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $85,872,256 | $— | $85,872,256 | |||
Asset Backed Securities | — | 28,922,246 | — | 28,922,246 | |||
Collateralized Mortgage Obligations: | |||||||
Commercial and Residential | — | 32,383,264 | 656,474 | 33,039,738 | |||
Other Industries | — | 8,680,321 | — | 8,680,321 | |||
U.S. Government & Agency Obligations | — | 394,564,852 | — | 394,564,852 | |||
Foreign Government Obligations | — | 13,558,371 | — | 13,558,371 | |||
Municipal Securities | — | 1,695,016 | — | 1,695,016 | |||
Purchased Options | 1,627,200 | — | — | 1,627,200 | |||
Short-Term Investments | — | 72,141,998 | — | 72,141,998 | |||
Repurchase Agreements | — | 847,800,000 | — | 847,800,000 | |||
Total Investments at Value | $1,627,200 | $1,485,618,324 | $656,474 | $1,487,901,998 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $6,539,088 | $— | $6,539,088 | |||
Futures Contracts | 3,033,154 | — | — | 3,033,154 | |||
Forward Foreign Currency Contracts | — | 784,035 | — | 784,035 | |||
Written Options | 1,026 | 18,195 | — | 19,221 | |||
Total Other Financial Instruments | $3,034,180 | $7,341,318 | $— | $10,375,498 | |||
LIABILITIES: | |||||||
Investments at Value:* | |||||||
Reverse Repurchase Agreements | $— | $81,890,550 | $— | $81,890,550 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $1,108,763 | $— | $1,108,763 | |||
Futures Contracts | 17,294,702 | — | — | 17,294,702 | |||
Forward Foreign Currency Contracts | — | 351,640 | — | 351,640 | |||
Written Options | 2,974 | 17,145 | — | 20,119 | |||
Total Other Financial Instruments | $17,297,676 | $1,477,548 | $— | $18,775,224 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
226
SunAmerica Series Trust SA PineBridge
High-Yield Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
227
SunAmerica Series Trust SA PineBridge
High-Yield Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
228
SunAmerica Series Trust SA PineBridge
High-Yield Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
229
SunAmerica Series Trust SA PineBridge
High-Yield Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
230
SunAmerica Series Trust SA PineBridge
High-Yield Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
231
SunAmerica Series Trust SA PineBridge
High-Yield Bond Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes: | |||||||
Oil & Gas | $— | $19,613,384 | $2,020,674 | $21,634,058 | |||
Other Industries | — | 216,623,394 | — | 216,623,394 | |||
Common Stocks | — | — | 4,977,242 | 4,977,242 | |||
Short-Term Investments | 6,557,930 | — | — | 6,557,930 | |||
Total Investments at Value | $6,557,930 | $236,236,778 | $6,997,916 | $249,792,624 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
The following is a
reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Corporate Bonds & Notes | Common Stocks | ||
Balance as of January 31, 2024 | $0 | $7,627,956 | |
Accrued Discounts | — | — | |
Accrued Premiums | — | — | |
Realized Gain | — | 1,849,901 | |
Realized Loss | — | — | |
Change in unrealized appreciation(1) | 2,020,674 | — | |
Change in unrealized depreciation(1) | — | (1,780,285) | |
Net purchases | — | — | |
Net sales | — | (2,720,330) | |
Transfers into Level 3 | — | — | |
Transfers out of Level 3 | — | — | |
Balance as of April 30, 2024 | $2,020,674 | $4,977,242 |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at April 30, 2024 includes: |
Corporate Bonds & Notes | Common Stocks | ||
$2,020,674 | $(1,780,285) |
Any differences between the
change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at April 30, 2024.
The following is quantitative
information about Level 3 fair value measurements:
Description | Fair Value at April 30, 2024 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) |
Corporate Bonds & Notes | $2,020,674 | Income Approach | Cost of Debt Capital | 10.50% |
Common Stocks | $4,977,242 | Market Approach | Pending Merger Consideration * | $31,322.22 |
Value of the Remaining Assets following the Merger* | $3,728.43 |
(1) | The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship. |
See Notes to Portfolio of
Investments
232
SunAmerica Series Trust SA Putnam
International Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
233
SunAmerica Series Trust SA Putnam
International Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS (continued) | ||||
U.S. Government Agency — 1.1% | ||||
Federal Home Loan Bank 5.27%, 05/01/2024 | $3,739,000 | $ 3,738,452 | ||
Total Short-Term Investments (cost $3,937,409) | 3,936,839 | |||
TOTAL INVESTMENTS (cost $275,545,754) | 99.5% | 328,570,232 | ||
Other assets less liabilities | 0.5 | 1,756,637 | ||
NET ASSETS | 100.0% | $330,326,869 |
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA Putnam International Growth and Income Portfolio has no right to demand registration of these securities. At April 30, 2024, the aggregate value of these securities was $1,371,378 representing 0.4% of net assets. |
LSE—London Stock Exchange |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | CAD | 316,600 | USD | 235,160 | 07/17/2024 | $ 4,885 | $ — | |
GBP | 4,687,600 | USD | 5,951,658 | 06/20/2024 | 92,774 | — | ||
USD | 18,343 | AUD | 27,700 | 07/17/2024 | — | (359) | ||
USD | 1,137,126 | CHF | 996,600 | 06/20/2024 | — | (47,102) | ||
USD | 363,252 | JPY | 53,152,500 | 05/16/2024 | — | (25,529) | ||
97,659 | (72,990) | |||||||
Barclays Bank PLC | EUR | 978,000 | USD | 1,065,655 | 06/20/2024 | 19,855 | — | |
GBP | 2,861,800 | USD | 3,633,682 | 06/20/2024 | 56,808 | — | ||
USD | 612,327 | ILS | 2,274,700 | 07/17/2024 | — | (2,283) | ||
USD | 531,092 | SEK | 5,471,100 | 06/20/2024 | — | (33,560) | ||
76,663 | (35,843) | |||||||
Citibank, N.A. | CAD | 1,700,700 | USD | 1,262,996 | 07/17/2024 | 26,017 | — | |
GBP | 4,761,000 | USD | 6,022,199 | 06/20/2024 | 71,574 | — | ||
USD | 647,795 | AUD | 978,300 | 07/17/2024 | — | (12,650) | ||
USD | 1,454,737 | CHF | 1,275,100 | 06/20/2024 | — | (60,106) | ||
USD | 2,120,318 | DKK | 14,441,700 | 06/20/2024 | — | (48,686) | ||
97,591 | (121,442) | |||||||
Goldman Sachs International | GBP | 3,353,500 | USD | 4,257,906 | 06/20/2024 | 66,471 | — | |
JPY | 201,711,700 | USD | 1,341,771 | 05/16/2024 | 60,127 | — | ||
USD | 405,586 | AUD | 612,500 | 07/17/2024 | — | (7,930) | ||
USD | 697,603 | ILS | 2,590,600 | 07/17/2024 | — | (2,839) | ||
USD | 657,723 | NOK | 6,921,500 | 06/20/2024 | — | (33,879) | ||
USD | 4,274,559 | SGD | 5,717,500 | 05/16/2024 | — | (83,541) | ||
126,598 | (128,189) | |||||||
HSBC Bank PLC | CAD | 153,100 | USD | 113,706 | 07/17/2024 | 2,351 | — | |
EUR | 4,425,800 | USD | 4,812,033 | 06/20/2024 | 79,414 | — | ||
GBP | 1,490,300 | USD | 1,892,072 | 06/20/2024 | 29,392 | — | ||
USD | 35,156 | AUD | 53,100 | 07/17/2024 | — | (682) | ||
USD | 116,709 | CHF | 102,300 | 06/20/2024 | — | (4,819) | ||
111,157 | (5,501) | |||||||
JPMorgan Chase Bank, N.A. | CAD | 897,100 | USD | 666,295 | 07/17/2024 | 13,803 | — | |
EUR | 2,419,500 | USD | 2,636,196 | 06/20/2024 | 48,964 | — | ||
USD | 902,621 | JPY | 132,080,900 | 05/16/2024 | — | (63,399) |
234
SunAmerica Series Trust SA Putnam
International Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 537,507 | NZD | 890,000 | 07/17/2024 | $ — | $ (13,073) | ||
USD | 497,209 | SGD | 665,100 | 05/16/2024 | — | (9,680) | ||
62,767 | (86,152) | |||||||
Morgan Stanley & Co. International PLC | CAD | 1,197,300 | USD | 885,425 | 07/17/2024 | 14,587 | — | |
CHF | 1,079,500 | USD | 1,232,011 | 06/20/2024 | 51,316 | — | ||
EUR | 2,214,800 | USD | 2,425,572 | 06/20/2024 | 57,230 | — | ||
GBP | 1,655,700 | USD | 2,099,443 | 06/20/2024 | 30,036 | — | ||
USD | 288,760 | CAD | 394,500 | 07/17/2024 | — | (1,826) | ||
USD | 823,042 | CHF | 721,200 | 06/20/2024 | — | (34,234) | ||
USD | 578,683 | CZK | 13,534,700 | 06/20/2024 | — | (4,308) | ||
USD | 965,306 | EUR | 893,500 | 06/20/2024 | — | (9,864) | ||
USD | 2,875,432 | JPY | 419,881,200 | 05/16/2024 | — | (207,572) | ||
USD | 86,558 | NOK | 938,100 | 06/20/2024 | — | (2,006) | ||
153,169 | (259,810) | |||||||
Natwest Markets PLC | USD | 4,803,163 | CHF | 4,209,300 | 06/20/2024 | — | (199,273) | |
USD | 109,508 | NOK | 1,151,700 | 06/20/2024 | — | (5,704) | ||
USD | 5,568,582 | SEK | 57,359,100 | 06/20/2024 | — | (352,443) | ||
— | (557,420) | |||||||
State Street Bank & Trust Co. | CAD | 2,221,700 | USD | 1,650,002 | 07/17/2024 | 34,082 | — | |
EUR | 3,364,600 | USD | 3,613,549 | 06/20/2024 | 15,697 | — | ||
GBP | 2,785,600 | USD | 3,537,127 | 06/20/2024 | 55,493 | — | ||
JPY | 504,788,800 | USD | 3,342,156 | 05/16/2024 | 134,807 | — | ||
USD | 977,629 | AUD | 1,489,400 | 07/17/2024 | — | (10,661) | ||
USD | 16,545 | CHF | 14,500 | 06/20/2024 | — | (686) | ||
USD | 2,894,202 | HKD | 22,576,800 | 05/16/2024 | — | (6,899) | ||
USD | 951,628 | ILS | 3,531,300 | 07/17/2024 | — | (4,579) | ||
USD | 1,704,342 | JPY | 259,907,200 | 05/16/2024 | — | (52,932) | ||
USD | 783,815 | SEK | 8,076,000 | 06/20/2024 | — | (49,397) | ||
240,079 | (125,154) | |||||||
Toronto Dominion Bank | CAD | 1,812,400 | USD | 1,345,996 | 07/17/2024 | 27,774 | — | |
USD | 631,695 | AUD | 954,000 | 07/17/2024 | — | (12,326) | ||
USD | 2,911,185 | GBP | 2,274,600 | 06/20/2024 | — | (68,234) | ||
USD | 3,724,401 | HKD | 29,050,700 | 05/16/2024 | — | (9,164) | ||
USD | 1,410,721 | SEK | 14,531,000 | 06/20/2024 | — | (89,296) | ||
27,774 | (179,020) | |||||||
UBS AG | CAD | 3,033,700 | USD | 2,253,134 | 07/17/2024 | 46,618 | — | |
EUR | 603,400 | USD | 657,483 | 06/20/2024 | 12,252 | — | ||
JPY | 29,170,500 | USD | 191,725 | 05/16/2024 | 6,380 | — | ||
USD | 2,022,542 | CHF | 1,781,700 | 06/20/2024 | — | (73,821) | ||
USD | 4,125,223 | EUR | 3,761,700 | 06/20/2024 | — | (102,743) | ||
USD | 6,524,852 | GBP | 5,201,900 | 06/20/2024 | — | (23,161) | ||
USD | 450,762 | HKD | 3,516,000 | 05/16/2024 | — | (1,108) | ||
65,250 | (200,833) | |||||||
Westpac Banking Corp. | CAD | 1,632,300 | USD | 1,212,254 | 07/17/2024 | 25,025 | — | |
USD | 5,783,610 | CHF | 5,068,900 | 06/20/2024 | — | (239,538) | ||
25,025 | (239,538) | |||||||
Unrealized Appreciation (Depreciation) | $1,083,732 | $(2,011,892) |
235
SunAmerica Series Trust SA Putnam
International Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
USD—United States Dollar |
Industry Allocation* | |
Banks | 22.6% |
Oil & Gas | 8.7 |
Insurance | 8.4 |
Distribution/Wholesale | 5.7 |
Pharmaceuticals | 5.0 |
Telecommunications | 4.8 |
Food | 4.3 |
Miscellaneous Manufacturing | 3.7 |
Building Materials | 3.4 |
Mining | 2.8 |
Electronics | 2.3 |
Engineering & Construction | 2.3 |
Beverages | 2.2 |
Water | 1.8 |
Diversified Financial Services | 1.6 |
Home Furnishings | 1.6 |
Electric | 1.5 |
Semiconductors | 1.4 |
Aerospace/Defense | 1.3 |
Leisure Time | 1.3 |
Private Equity | 1.2 |
Retail | 1.2 |
Short-Term Investments | 1.2 |
Transportation | 1.1 |
Airlines | 1.1 |
Cosmetics/Personal Care | 1.0 |
Commercial Services | 0.9 |
Agriculture | 0.8 |
Home Builders | 0.8 |
REITS | 0.8 |
Food Service | 0.8 |
Auto Parts & Equipment | 0.7 |
Chemicals | 0.6 |
Apparel | 0.6 |
99.5% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $9,489,229 | $— | $— | $9,489,229 | |||
United Kingdom | 5,342,732 | 65,738,729 | — | 71,081,461 | |||
Other Countries | — | 244,062,703 | — | 244,062,703 | |||
Short-Term Investments | — | 3,936,839 | — | 3,936,839 | |||
Total Investments at Value | $14,831,961 | $313,738,271 | $— | $328,570,232 | |||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $— | $1,083,732 | $— | $1,083,732 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $— | $2,011,892 | $— | $2,011,892 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
236
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
237
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
238
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
239
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
240
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
241
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
242
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
243
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
244
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
245
SunAmerica Series Trust SA Schroders
VCP Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
25 | Long | E-Mini S&P Select Sector Index - Energy | June 2024 | $ 2,398,935 | $ 2,462,501 | $ 63,566 |
30 | Long | TOPIX Index | June 2024 | 5,097,616 | 5,190,115 | 92,499 |
258 | Short | Euro-Schatz | June 2024 | 29,077,680 | 28,940,749 | 136,931 |
162 | Short | MSCI Emerging Markets Index | June 2024 | 8,474,352 | 8,440,200 | 34,152 |
207 | Short | U.S. Treasury 10 Year Notes | June 2024 | 22,886,665 | 22,239,563 | 647,102 |
$974,250 |
Unrealized (Depreciation) | ||||||
108 | Long | Euro STOXX 50 Index | June 2024 | $ 5,687,449 | $ 5,632,815 | $ (54,634) |
372 | Long | S&P 500 E-Mini Index | June 2024 | 96,023,123 | 94,246,200 | (1,776,923) |
18 | Long | S&P/Toronto Stock Exchange 60 Index | June 2024 | 3,424,302 | 3,413,940 | (10,362) |
32 | Long | SPI 200 Index | June 2024 | 4,007,778 | 3,942,823 | (64,955) |
120 | Long | U.S. Treasury 2 Year Notes | June 2024 | 24,553,929 | 24,318,750 | (235,179) |
69 | Long | U.S. Treasury 5 Year Notes | June 2024 | 7,413,784 | 7,227,211 | (186,573) |
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— April 30, 2024— (unaudited) — (continued)
Futures
Contracts — (continued)
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
146 | Long | U.S. Treasury Long Bonds | June 2024 | $17,333,206 | $16,616,625 | $ (716,581) |
10 | Short | FTSE 100 Index | June 2024 | 969,388 | 1,014,958 | (45,570) |
$(3,090,777) | ||||||
Net Unrealized Appreciation (Depreciation) | $(2,116,527) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | CHF | 151,739 | GBP | 134,353 | 05/28/2024 | $ 2,372 | $ — | |
CHF | 6,170,453 | JPY | 1,045,359,803 | 05/28/2024 | — | (77,191) | ||
EUR | 4,332,422 | AUD | 7,177,000 | 05/28/2024 | 24,763 | — | ||
JPY | 1,052,063,000 | USD | 6,741,511 | 05/28/2024 | 44,719 | — | ||
USD | 1,847,527 | CAD | 2,534,000 | 05/28/2024 | — | (6,066) | ||
USD | 6,803,005 | CHF | 6,185,000 | 05/28/2024 | — | (55,822) | ||
71,854 | (139,079) | |||||||
Barclays Bank PLC | EUR | 4,345,876 | CLP | 4,462,537,000 | 05/16/2024 | 7,002 | — | |
EUR | 6,621,000 | USD | 7,080,514 | 05/28/2024 | 7,559 | — | ||
GBP | 76,916 | AUD | 148,725 | 05/28/2024 | 297 | — | ||
IDR | 2,902,251,000 | USD | 179,706 | 05/16/2024 | 1,263 | — | ||
JPY | 223,601,000 | USD | 1,454,071 | 05/28/2024 | 30,763 | — | ||
SGD | 3,649,000 | USD | 2,689,640 | 05/28/2024 | 13,343 | — | ||
TWD | 17,403,000 | USD | 534,999 | 05/16/2024 | 1,938 | — | ||
USD | 738,018 | CHF | 668,000 | 05/28/2024 | — | (9,301) | ||
62,165 | (9,301) | |||||||
Citibank, N.A. | AUD | 355,000 | CAD | 315,027 | 05/28/2024 | — | (1,220) | |
EUR | 13,939 | GBP | 12,000 | 05/28/2024 | 106 | — | ||
GBP | 134,353 | CHF | 150,743 | 05/28/2024 | — | (3,458) | ||
GBP | 12,000 | EUR | 14,006 | 05/28/2024 | — | (35) | ||
USD | 2,127,337 | HKD | 16,639,000 | 05/28/2024 | 1,449 | — | ||
1,555 | (4,713) | |||||||
Goldman Sachs International | ILS | 696,000 | USD | 184,404 | 05/28/2024 | — | (1,820) | |
NZD | 86,000 | USD | 50,597 | 05/28/2024 | — | (78) | ||
USD | 4,136,464 | EUR | 3,869,000 | 05/28/2024 | — | (3,363) | ||
USD | 178,732 | IDR | 2,902,251,000 | 05/16/2024 | — | (289) | ||
USD | 717,213 | INR | 59,860,000 | 05/16/2024 | — | (519) | ||
— | (6,069) | |||||||
Morgan Stanley & Co. International PLC | AUD | 148,725 | GBP | 77,084 | 05/28/2024 | — | (87) | |
BRL | 11,771,000 | USD | 2,349,126 | 05/03/2024 | 82,246 | — | ||
CAD | 313,301 | AUD | 355,000 | 05/28/2024 | 2,474 | — | ||
JPY | 150,619,364 | EUR | 919,116 | 05/28/2024 | 23,104 | — | ||
USD | 2,275,997 | BRL | 11,771,000 | 05/03/2024 | — | (9,117) | ||
USD | 436,491 | COP | 1,703,405,000 | 05/16/2024 | — | (3,205) | ||
USD | 183,902 | ILS | 696,000 | 05/28/2024 | 2,322 | — | ||
USD | 50,990 | NZD | 86,000 | 05/28/2024 | — | (314) | ||
110,146 | (12,723) | |||||||
UBS AG | BRL | 11,771,000 | USD | 2,275,997 | 05/03/2024 | 9,117 | — | |
COP | 1,703,405,000 | USD | 431,080 | 05/16/2024 | — | (2,206) | ||
DKK | 5,377,000 | USD | 770,965 | 05/28/2024 | 603 | — | ||
EUR | 917,757 | JPY | 150,619,364 | 05/28/2024 | — | (21,652) | ||
EUR | 4,270,000 | USD | 4,550,138 | 05/28/2024 | — | (11,336) | ||
GBP | 1,399,000 | USD | 1,744,766 | 05/28/2024 | — | (3,584) | ||
INR | 59,860,000 | USD | 717,047 | 05/16/2024 | 354 | — | ||
USD | 4,043,656 | AUD | 6,263,000 | 05/28/2024 | 16,710 | — | ||
USD | 2,352,671 | BRL | 11,771,000 | 05/03/2024 | — | (85,791) |
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Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 4,868,378 | CAD | 6,694,000 | 05/28/2024 | $ — | $ (3,841) | ||
USD | 4,692,240 | JPY | 720,286,534 | 05/28/2024 | — | (107,335) | ||
USD | 402,906 | NOK | 4,429,000 | 05/28/2024 | — | (3,945) | ||
USD | 531,803 | SEK | 5,781,000 | 05/28/2024 | — | (6,649) | ||
USD | 539,226 | TWD | 17,403,000 | 05/16/2024 | — | (6,165) | ||
26,784 | (252,504) | |||||||
Unrealized Appreciation (Depreciation) | $272,504 | $(424,389) |
Industry Allocation* | |
Short-Term Investments | 16.6% |
Banks | 12.4 |
REITS | 4.7 |
Oil & Gas | 4.7 |
Semiconductors | 4.6 |
Internet | 4.3 |
Pharmaceuticals | 4.3 |
Software | 4.3 |
Telecommunications | 3.7 |
Unaffiliated Investment Companies | 3.4 |
Diversified Financial Services | 2.8 |
Insurance | 2.5 |
Pipelines | 2.3 |
Retail | 2.2 |
Beverages | 1.9 |
Healthcare-Products | 1.8 |
Electric | 1.7 |
Computers | 1.5 |
Healthcare-Services | 1.3 |
Commercial Services | 1.3 |
Mining | 1.3 |
Auto Manufacturers | 1.2 |
Cosmetics/Personal Care | 1.2 |
Media | 1.0 |
Aerospace/Defense | 1.0 |
Entertainment | 0.9 |
Building Materials | 0.9 |
Electrical Components & Equipment | 0.9 |
Food | 0.8 |
Chemicals | 0.7 |
Machinery-Diversified | 0.6 |
Distribution/Wholesale | 0.6 |
Miscellaneous Manufacturing | 0.6 |
Auto Parts & Equipment | 0.5 |
Electronics | 0.5 |
Lodging | 0.5 |
Transportation | 0.3 |
Environmental Control | 0.3 |
Apparel | 0.3 |
Household Products/Wares | 0.3 |
Biotechnology | 0.3 |
Energy-Alternate Sources | 0.3 |
Machinery-Construction & Mining | 0.2 |
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Industry Allocation*(continued) | |
Hand/Machine Tools | 0.2% |
Iron/Steel | 0.1 |
Packaging & Containers | 0.1 |
Home Builders | 0.1 |
Leisure Time | 0.1 |
Purchased Options | 0.1 |
Advertising | 0.1 |
98.3% |
* | Calculated as a percentage of net assets |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $355,690 | $— | $— | $355,690 | |||
Canada | 2,254,099 | — | — | 2,254,099 | |||
Cayman Islands | 829,987 | 1,370,376 | — | 2,200,363 | |||
Curacao | 161,907 | — | — | 161,907 | |||
Ireland | 2,850,142 | 130,371 | — | 2,980,513 | |||
Israel | 31,781 | — | — | 31,781 | |||
Jersey | 913,122 | 67,316 | — | 980,438 | |||
Liberia | 22,899 | — | — | 22,899 | |||
Luxembourg | 43,188 | 57,837 | — | 101,025 | |||
Mexico | 64,108 | — | — | 64,108 | |||
Netherlands | 148,334 | 3,092,256 | — | 3,240,590 | |||
Puerto Rico | 32,466 | — | — | 32,466 | |||
Switzerland | 598,725 | 4,920,505 | — | 5,519,230 | |||
Taiwan | 2,054,881 | — | — | 2,054,881 | |||
United Kingdom | 457,064 | 14,975,543 | — | 15,432,607 | |||
United States | 112,738,919 | — | — | 112,738,919 | |||
Other Countries | — | 42,932,022 | — | 42,932,022 | |||
Corporate Bonds & Notes | — | 162,546,226 | — | 162,546,226 | |||
Unaffiliated Investment Companies | 15,490,254 | — | — | 15,490,254 | |||
Purchased Options | 292,110 | — | — | 292,110 | |||
Warrants | — | — | 0 | 0 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 71,901,101 | — | 71,901,101 | |||
Other Short-Term Investments | 3,367,437 | — | — | 3,367,437 | |||
Total Investments at Value | $142,707,113 | $301,993,553 | $0 | $444,700,666 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $881,751 | $92,499 | $— | $974,250 | |||
Forward Foreign Currency Contracts | — | 272,504 | — | 272,504 | |||
Total Other Financial Instruments | $881,751 | $365,003 | $— | $1,246,754 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $2,925,618 | $165,159 | $— | $3,090,777 | |||
Forward Foreign Currency Contracts | — | 424,389 | — | 424,389 | |||
Total Other Financial Instruments | $2,925,618 | $589,548 | $— | $3,515,166 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
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Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
194 | Long | E-Mini Russell 2000 Index | June 2024 | $20,289,617 | $19,260,320 | $(1,029,297) |
* | 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. |
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The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $20,187,554 | $— | $6,604 | $20,194,158 | |||
Pharmaceuticals | 7,546,129 | — | 145 | 7,546,274 | |||
Other Industries | 250,209,148 | — | — | 250,209,148 | |||
Unaffiliated Investment Companies | 4,701,600 | — | — | 4,701,600 | |||
Warrants | 28,979 | — | — | 28,979 | |||
Short-Term Investments | — | 1,367,275 | — | 1,367,275 | |||
Repurchase Agreements | — | 18,436,934 | — | 18,436,934 | |||
Total Investments at Value | $282,673,410 | $19,804,209 | $6,749 | $302,484,368 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,029,297 | $— | $— | $1,029,297 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
268
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Credit Default Swaps - Seller(1) | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread(2) | Notional amount(3) | Currency | USD notional amount(3) | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(4) | |||||
Centrally Cleared | CDX Investment Grade Index Series 41 | 0.476% | 5,000,000 | USD | 5,000,000 | 1.000% | Quarterly | Dec 2028 | $86,472 | $21,676 | $108,148 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, credit indices or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
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(3) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Short | U.S. Treasury Long Bonds | June 2024 | $114,587 | $113,813 | $ 774 |
1 | Short | U.S. Treasury Ultra 10 Year Notes | June 2024 | 113,920 | 110,218 | 3,702 |
$4,476 |
Unrealized (Depreciation) | ||||||
36 | Long | U.S. Treasury 5 Year Notes | June 2024 | $3,829,966 | $3,770,719 | $(59,247) |
3 | Long | U.S. Treasury Ultra Bonds | June 2024 | 381,067 | 358,687 | (22,380) |
$(81,627) | ||||||
Net Unrealized Appreciation (Depreciation) | $(77,151) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $348,136 | $795,385 | $— | $1,143,521 |
Aerospace/Defense | 11,271,471 | 1,911,087 | — | 13,182,558 |
Agriculture | 1,408,058 | 550,402 | — | 1,958,460 |
Apparel | 1,266,534 | 810,682 | — | 2,077,216 |
Auto Manufacturers | 4,694,021 | 3,259,420 | — | 7,953,441 |
Auto Parts & Equipment | 1,150,621 | 1,980,485 | — | 3,131,106 |
Banks | 23,544,361 | 8,798,589 | — | 32,342,950 |
Beverages | 6,754,233 | 2,012,245 | — | 8,766,478 |
Biotechnology | 3,894,154 | 358,015 | 0 | 4,252,169 |
Chemicals | 6,921,826 | 3,629,773 | — | 10,551,599 |
Commercial Services | 8,093,397 | 2,553,599 | 11,919 | 10,658,915 |
Computer Graphics | — | — | 44,800 | 44,800 |
Computers | 22,866,693 | 1,317,923 | — | 24,184,616 |
Cosmetics/Personal Care | 9,598,543 | 3,058,916 | — | 12,657,459 |
Distribution/Wholesale | 1,402,337 | 2,303,579 | — | 3,705,916 |
Diversified Financial Services | 21,878,209 | 932,015 | — | 22,810,224 |
Electric | 9,240,581 | 2,668,466 | — | 11,909,047 |
Electrical Components & Equipment | 1,473,811 | 1,677,939 | — | 3,151,750 |
Electronics | 9,541,941 | 1,972,314 | — | 11,514,255 |
Engineering & Construction | 571,102 | 539,185 | — | 1,110,287 |
Food | 2,504,448 | 3,980,571 | — | 6,485,019 |
Food Service | 63,871 | 1,149,932 | — | 1,213,803 |
Gas | 750,084 | 166,730 | — | 916,814 |
Healthcare-Products | 17,885,502 | 3,174,555 | — | 21,060,057 |
Healthcare-Services | 15,250,981 | 703,527 | — | 15,954,508 |
Home Builders | 680,195 | 377,077 | — | 1,057,272 |
Home Furnishings | 7,122 | 1,455,696 | — | 1,462,818 |
Insurance | 22,314,602 | 8,287,560 | — | 30,602,162 |
Internet | 41,736,698 | 1,194,485 | — | 42,931,183 |
Machinery-Construction & Mining | 2,294,546 | 1,788,423 | — | 4,082,969 |
Machinery-Diversified | 7,898,805 | 1,256,402 | — | 9,155,207 |
Metal Fabricate/Hardware | 412,367 | 1,028,078 | — | 1,440,445 |
Mining | 2,732,477 | 3,114,052 | — | 5,846,529 |
Miscellaneous Manufacturing | 898,607 | 3,845,641 | — | 4,744,248 |
289
SunAmerica Series Trust SA T. Rowe
Price Asset Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Oil & Gas | $18,348,305 | $3,729,640 | $— | $22,077,945 | |||
Packaging & Containers | 868,142 | 616,514 | — | 1,484,656 | |||
Pharmaceuticals | 30,709,403 | 7,884,126 | — | 38,593,529 | |||
Private Equity | 1,573,318 | 246,144 | — | 1,819,462 | |||
Real Estate | 205,705 | 1,062,388 | — | 1,268,093 | |||
REITS | 8,700,428 | 824,103 | — | 9,524,531 | |||
Retail | 23,094,418 | 2,981,609 | — | 26,076,027 | |||
Semiconductors | 40,124,469 | 8,209,345 | — | 48,333,814 | |||
Software | 50,794,895 | 1,493,376 | — | 52,288,271 | |||
Telecommunications | 4,596,933 | 2,845,472 | — | 7,442,405 | |||
Transportation | 8,029,724 | 332,049 | — | 8,361,773 | |||
Other Industries | 23,537,134 | — | — | 23,537,134 | |||
Convertible Preferred Stocks | — | — | 103,057 | 103,057 | |||
Corporate Bonds & Notes | — | 43,000,074 | — | 43,000,074 | |||
Asset Backed Securities | — | 3,530,210 | — | 3,530,210 | |||
Collateralized Mortgage Obligations | — | 6,208,447 | — | 6,208,447 | |||
U.S. Government & Agency Obligations | — | 66,755,844 | — | 66,755,844 | |||
Foreign Government Obligations | — | 1,363,381 | — | 1,363,381 | |||
Municipal Securities | — | 3,275,875 | — | 3,275,875 | |||
Escrows and Litigation Trusts | — | — | 3,496 | 3,496 | |||
Purchased Options | 859 | — | — | 859 | |||
Short-Term Investments | 13,915,339 | — | — | 13,915,339 | |||
Total Investments at Value | $485,849,406 | $227,011,345 | $163,272 | $713,024,023 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $21,676 | $— | $21,676 | |||
Futures Contracts | 4,476 | — | — | 4,476 | |||
Total Other Financial Instruments | $4,476 | $21,676 | $— | $26,152 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $81,627 | $— | $— | $81,627 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
290
SunAmerica Series Trust SA T. Rowe
Price VCP Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
291
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Price VCP Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
292
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— April 30, 2024— (unaudited) — (continued)
293
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— April 30, 2024— (unaudited) — (continued)
294
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— April 30, 2024— (unaudited) — (continued)
295
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— April 30, 2024— (unaudited) — (continued)
296
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— April 30, 2024— (unaudited) — (continued)
297
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— April 30, 2024— (unaudited) — (continued)
298
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Price VCP Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
299
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— April 30, 2024— (unaudited) — (continued)
300
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— April 30, 2024— (unaudited) — (continued)
301
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— April 30, 2024— (unaudited) — (continued)
302
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— April 30, 2024— (unaudited) — (continued)
303
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
304
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
305
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
306
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
307
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
308
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
309
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
403 | Short | U.S. Treasury 10 Year Notes | June 2024 | $44,502,529 | $43,297,312 | $1,205,217 |
181 | Short | U.S. Treasury 2 Year Notes | June 2024 | 37,053,766 | 36,680,781 | 372,985 |
95 | Short | U.S. Treasury 5 Year Notes | June 2024 | 10,155,102 | 9,950,508 | 204,594 |
145 | Short | U.S. Treasury Long Bonds | June 2024 | 17,267,255 | 16,502,813 | 764,442 |
56 | Short | U.S. Treasury Ultra Bonds | June 2024 | 7,110,913 | 6,695,500 | 415,413 |
$2,962,651 |
310
SunAmerica Series Trust SA T. Rowe
Price VCP Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts — (continued)
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
707 | Long | MSCI EAFE Index | June 2024 | $ 82,850,176 | $ 80,156,125 | $(2,694,051) |
822 | Long | S&P 500 E-Mini Index | June 2024 | 213,871,854 | 208,253,701 | (5,618,153) |
$(8,312,204) | ||||||
Net Unrealized Appreciation (Depreciation) | $(5,349,553) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $— | $1,687,764 | $— | $1,687,764 |
Aerospace/Defense | 11,651,745 | 4,007,879 | — | 15,659,624 |
Agriculture | 1,006,721 | 1,152,102 | 2,119 | 2,160,942 |
Apparel | 967,992 | 1,698,499 | — | 2,666,491 |
Auto Manufacturers | 7,603,589 | 6,508,347 | — | 14,111,936 |
Auto Parts & Equipment | 1,542,227 | 4,243,029 | — | 5,785,256 |
Banks | 26,749,506 | 19,808,708 | — | 46,558,214 |
Beverages | 6,914,058 | 4,271,044 | — | 11,185,102 |
Biotechnology | 3,084,263 | 742,910 | — | 3,827,173 |
Building Materials | 2,688,195 | 31,189 | — | 2,719,384 |
Chemicals | 8,175,748 | 8,348,564 | — | 16,524,312 |
Commercial Services | 6,703,452 | 5,395,998 | 35,374 | 12,134,824 |
Computer Graphics | — | — | 127,999 | 127,999 |
Computers | 29,092,697 | 2,818,104 | — | 31,910,801 |
Cosmetics/Personal Care | 13,574,957 | 6,378,088 | — | 19,953,045 |
Distribution/Wholesale | 1,255,032 | 4,788,560 | — | 6,043,592 |
Diversified Financial Services | 25,818,755 | 1,976,122 | — | 27,794,877 |
Electric | 12,432,102 | 5,616,738 | — | 18,048,840 |
Electrical Components & Equipment | 1,803,954 | 2,043,101 | — | 3,847,055 |
Electronics | 9,303,382 | 4,117,305 | — | 13,420,687 |
Engineering & Construction | — | 1,202,624 | — | 1,202,624 |
Environmental Control | 1,479,600 | 18,058 | — | 1,497,658 |
Food | 2,175,068 | 8,286,736 | — | 10,461,804 |
Food Service | — | 2,425,331 | — | 2,425,331 |
Gas | 66,948 | 381,555 | — | 448,503 |
Healthcare-Products | 19,653,533 | 6,696,354 | — | 26,349,887 |
Healthcare-Services | 20,868,317 | 1,457,220 | — | 22,325,537 |
Home Builders | 510,305 | 900,785 | — | 1,411,090 |
Home Furnishings | — | 3,045,391 | — | 3,045,391 |
Insurance | 26,491,409 | 17,359,598 | — | 43,851,007 |
Internet | 74,229,113 | 2,443,672 | — | 76,672,785 |
Investment Companies | — | 32,388 | — | 32,388 |
Iron/Steel | 2,540,257 | 1,007,223 | — | 3,547,480 |
Lodging | 2,011,984 | 136,940 | — | 2,148,924 |
Machinery-Construction & Mining | 2,391,783 | 3,793,803 | — | 6,185,586 |
Machinery-Diversified | 9,762,372 | 2,576,665 | — | 12,339,037 |
Metal Fabricate/Hardware | 102,368 | 2,197,457 | — | 2,299,825 |
Mining | 12,583,898 | 13,819,019 | 0 | 26,402,917 |
Miscellaneous Manufacturing | 305,482 | 7,869,811 | — | 8,175,293 |
Oil & Gas | 30,378,315 | 9,591,969 | — | 39,970,284 |
Packaging & Containers | 796,523 | 1,343,996 | — | 2,140,519 |
Pharmaceuticals | 38,235,662 | 16,484,310 | — | 54,719,972 |
Private Equity | 2,404,500 | 522,460 | — | 2,926,960 |
Real Estate | 241,819 | 3,993,117 | — | 4,234,936 |
REITS | 24,078,824 | 3,956,062 | — | 28,034,886 |
Retail | 23,717,723 | 6,136,775 | — | 29,854,498 |
Semiconductors | 61,019,791 | 17,205,296 | — | 78,225,087 |
311
SunAmerica Series Trust SA T. Rowe
Price VCP Balanced Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Software | $64,383,629 | $3,100,096 | $— | $67,483,725 | |||
Telecommunications | 6,340,978 | 6,072,129 | — | 12,413,107 | |||
Transportation | 8,913,696 | 705,318 | — | 9,619,014 | |||
Other Industries | 17,270,203 | — | — | 17,270,203 | |||
Preferred Stocks | — | 452,422 | — | 452,422 | |||
Convertible Preferred Stocks | — | — | 680,844 | 680,844 | |||
Corporate Bonds & Notes | — | 160,812,490 | — | 160,812,490 | |||
Loans | — | 9,574,889 | — | 9,574,889 | |||
Asset Backed Securities | — | 11,385,036 | — | 11,385,036 | |||
Collateralized Mortgage Obligations | — | 28,569,571 | — | 28,569,571 | |||
U.S. Government & Agency Obligations | — | 217,636,418 | — | 217,636,418 | |||
Foreign Government Obligations | — | 5,120,889 | — | 5,120,889 | |||
Municipal Securities | — | 10,060,143 | — | 10,060,143 | |||
Escrows and Litigation Trusts | — | — | 117,462 | 117,462 | |||
Purchased Options | — | 444,695 | — | 444,695 | |||
Warrants | — | 0 | — | 0 | |||
Short-Term Investments | 151,349,108 | — | — | 151,349,108 | |||
Total Investments at Value | $774,671,583 | $674,452,762 | $963,798 | $1,450,088,143 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $2,962,651 | $— | $— | $2,962,651 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $8,312,204 | $— | $— | $8,312,204 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 3 investments in
securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Portfolio of
Investments
312
SunAmerica Series Trust SA VCP Dynamic
Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
313
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
6,100 | Long | S&P 500 E-Mini Index | June 2024 | $1,582,226,031 | $1,545,435,000 | $(36,791,031) |
* | 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. |
314
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $6,799,690,310 | $— | $— | $6,799,690,310 | |||
U.S. Government & Agency Obligations | — | 1,065,126,638 | — | 1,065,126,638 | |||
Purchased Options | — | 64,139,975 | — | 64,139,975 | |||
Short-Term Investments | 267,019,568 | — | — | 267,019,568 | |||
Total Investments at Value | $7,066,709,878 | $1,129,266,613 | $— | $8,195,976,491 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $36,791,031 | $— | $— | $36,791,031 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
315
SunAmerica Series Trust SA VCP Dynamic
Strategy Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
316
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PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
2,300 | Long | S&P 500 E-Mini Index | June 2024 | $591,304,405 | $582,705,000 | $(8,599,405) |
* | 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. |
317
SunAmerica Series Trust SA VCP Dynamic
Strategy Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $4,409,210,111 | $— | $— | $4,409,210,111 | |||
U.S. Government & Agency Obligations | — | 664,068,579 | — | 664,068,579 | |||
Purchased Options | — | 41,940,739 | — | 41,940,739 | |||
Short-Term Investments | 158,410,143 | — | — | 158,410,143 | |||
Total Investments at Value | $4,567,620,254 | $706,009,318 | $— | $5,273,629,572 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $8,599,405 | $— | $— | $8,599,405 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
318
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Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited)
Futures
Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
85 | Short | U.S. Treasury 10 Year Notes | June 2024 | $ 9,385,075 | $ 9,132,188 | $252,887 |
69 | Short | U.S. Treasury 2 Year Notes | June 2024 | 14,124,879 | 13,983,281 | 141,598 |
93 | Short | U.S. Treasury 5 Year Notes | June 2024 | 9,939,246 | 9,741,024 | 198,222 |
27 | Short | U.S. Treasury Long Bonds | June 2024 | 3,215,282 | 3,072,938 | 142,344 |
14 | Short | U.S. Treasury Ultra Bonds | June 2024 | 1,777,724 | 1,673,875 | 103,849 |
$838,900 |
Unrealized (Depreciation) | ||||||
97 | Long | E-Mini Russell 2000 Index | June 2024 | $ 10,209,356 | $ 9,630,160 | $ (579,196) |
213 | Long | MSCI EAFE Index | June 2024 | 24,960,293 | 24,148,875 | (811,418) |
461 | Long | S&P 500 E-Mini Index | June 2024 | 119,944,954 | 116,794,350 | (3,150,604) |
52 | Long | S&P Mid Cap 400 E-Mini Index | June 2024 | 15,546,004 | 14,961,440 | (584,564) |
$(5,125,782) | ||||||
Net Unrealized Appreciation (Depreciation) | $(4,286,882) |
* | 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. |
319
SunAmerica Series Trust SA VCP Index
Allocation Portfolio
PORTFOLIO OF INVESTMENTS
— April 30, 2024— (unaudited) — (continued)
The following is a summary of
the inputs used to value the Portfolio’s net assets as of April 30, 2024 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $421,095,829 | $— | $— | $421,095,829 | |||
Purchased Options | — | 262,842 | — | 262,842 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 8,500,012 | — | 8,500,012 | |||
Other Short-Term Investments | 90,167,947 | — | — | 90,167,947 | |||
Total Investments at Value | $511,263,776 | $8,762,854 | $— | $520,026,630 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $838,900 | $— | $— | $838,900 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $5,125,782 | $— | $— | $5,125,782 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of
Investments
320
NOTES TO PORTFOLIO OF
INVESTMENTS — April 30, 2024 — (unaudited)
Note
1 — Security Valuation
In accordance with the
authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Portfolios disclose the fair value of their
investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling
an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the
inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or
liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability
developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market
participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1—Unadjusted
quoted prices in active markets for identical securities
Level 2—Other
significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active
markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures adopted by the Board of Trustees (the “Board”), etc.)
Level 3—Significant
unobservable inputs (includes inputs that reflect the Portfolios’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available
under the circumstances)
Changes in valuation
techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with
investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of
observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the
marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the
determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of the
Portfolios’ assets and liabilities classified in the fair value hierarchy as of April 30, 2024, 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 a 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. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on
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INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
which they are traded or if a closing price
of the exchange is not available, the swap will be valued using a mid valuation provided by an independent pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter
(“OTC”) market are valued at a mid valuation provided by an independent pricing service, and are generally categorized as Level 2. Option contracts traded on national securities exchanges are valued at the
mean of the last bid and ask price reported by an independent pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in the
over-the-counter (“OTC”) market are valued at the mid valuation provided by an independent pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward
contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are
valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or
OTC market, and are generally categorized as Level 1 or Level 2. Securities for which market quotations are not readily available or the values of which may be significantly impacted by occurence 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
preform 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 policies and procedures and has
established a pricing review committee to determine fair value of the designated portfolio holdings on its behalf.
Derivative Instruments:
Forward Foreign Currency Contracts: A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the
contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized
appreciation or depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time
it was closed.
Risks to a Portfolio
of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the
terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio’s
maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange
rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may
have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to
the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on
repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign
currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Futures: A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a
Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by a
Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded as variation margin for changes in the value of the
contracts and as cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to a
Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities.
Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict
trading in futures contracts. While a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a
result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell
other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.
Futures contracts
outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Options: An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put
option, it receives a premium which is equal to the current market value of the option written. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option.
The option position is marked-to-market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the
underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a
gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related
to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are
increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased
upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.
Risks to a Portfolio
of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of
their contracts. If the counterparty defaults, a Portfolio’s loss will consist of the net amount of contractual payments that the
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INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
Portfolio has not yet received. Market risk
is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In
addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that
the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.
Option contracts
outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Swap Contracts: Certain Funds may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may
be entered into as a bilateral contract or a centrally cleared contract (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is
novated to a central counterparty (the “CCP”) and a Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the
form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments.
Unlike a bilateral
swap contract, for centrally cleared swaps, the Funds have no credit exposure to the counterparty as the CCP stands between the Funds and the counterparty. Swaps are marked-to-market daily and the changes in value are
recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, the Funds will
record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the
premium received or paid. The Funds amortize upfront payments and receipts on swap contracts on a daily basis. Net periodic payments made or received by a Funds are included as part of realized gain (loss).
Credit Default Swap Agreements: Credit default swaps generally are contracts in which one party makes periodic fixed-rate payments or a one time premium
payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced
entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that
there is no credit event. As the seller, a Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional
amount of the swap. If a Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an
amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement
amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection
on credit default swaps, a Portfolio will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Portfolio for future potential losses as a result of a credit
event on the reference bond or other asset. A Portfolio effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Portfolio is a buyer of protection and a
credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the
referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of
the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates
or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids,
together with a specified valuation method, are used to calculate the settlement value.
Credit default swaps
on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange
for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in
lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection’s right to choose the deliverable obligation with the
lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers
(i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a
particular issuer’s default.
Credit default swaps
on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified
payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to
the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the
outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be
adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit
position with an active long or short position with respect to the likelihood of a particular referenced obligation’s default.
Credit default swaps
on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified
payment in the event of a writedown, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments
or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit
default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets,
and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap
references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index.
The composition of the
indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit
default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds
against default, and also to speculate on changes in credit quality.
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INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
Implied credit
spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a
schedule at the end of each Portfolio’s Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit
derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit
default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and
increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or
other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a
credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period for which a Portfolio is the seller of
protection, if any, are disclosed on a schedule at the end of each Portfolio’s Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced
obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or
entities.
Credit default swap
contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Equity Swap Agreements: Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical
custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of
securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will
receive a payment from or make a payment to the counterparty.
The counterparty to an
equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which
the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In
these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased
in value had it been invested in such stocks.
Therefore, the return
to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a
Portfolio may agree to pay to the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different
stocks (or indices of stocks).
A Portfolio will
generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments.
Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of
loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio’s risk of loss
consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock)
may also be sensitive to changes in interest rates.
Equity swap contracts
outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Interest Rate Swap Agreements: Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the
risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a
Portfolio’s risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized
activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.
Interest rate swap
contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit
risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the
price of the underlying security or index, or the underlying referenced asset’s perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no
liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately
analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swap and Derivatives Association, Inc.)
Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern certain 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 Portfolio’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard
termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in the
Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and
short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate
early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the
terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause the Portfolio to
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INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
accelerate the payment of liabilities, which
settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that
bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with
respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements.
The following table
represents the Portfolio's objectives for using derivative instruments for the period ended April 30, 2024:
Objectives for Using Derivatives | |||||||||||||||
Portfolio | Futures Contracts | Foreign Forward Exchange Contracts | Options Contracts | Inflation Swap Contracts | Interest Rate Swap Contracts | Credit Default Swap Contracts | Equity Swap Contracts | ||||||||
SA BlackRock VCP Global Multi Asset | 2, 5 | 7 | 6 | - | - | - | 4 | ||||||||
SA Emerging Markets Equity Index | 5 | - | - | - | - | - | - | ||||||||
SA Federated Hermes Corporate Bond | 2 | - | - | - | - | - | - | ||||||||
SA Franklin Tactical Opportunities | 5 | - | - | - | - | - | - | ||||||||
SA Goldman Sachs Multi-Asset Insights | 4 | - | - | - | - | 4 | - | ||||||||
SA International Index | 5 | - | - | - | - | - | - | ||||||||
SA JPMorgan Diversified Balanced | 2, 5 | 1 | - | - | - | - | - | ||||||||
SA JPMorgan Emerging Markets | 5 | - | - | - | - | - | - | ||||||||
SA JPMorgan MFS Core Bond | 2 | - | - | - | - | - | - | ||||||||
SA Large Cap Growth Index | 5 | - | - | - | - | - | - | ||||||||
SA Large Cap Index | 5 | - | - | - | - | - | - | ||||||||
SA Large Cap Value Index | 5 | - | - | - | - | - | - | ||||||||
SA MFS Total Return | 2 | - | - | - | - | - | - | ||||||||
SA Mid Cap Index | 5 | - | - | - | - | - | - | ||||||||
SA PIMCO Global Bond Opportunities | 2, 5 | 1, 7 | 2,5, 6, 7 | - | 2, 5, 7 | 3, 5, 6 | - | ||||||||
SA PIMCO VCP Tactical Balanced | 2, 5 | 7 | 2, 5, 6 | - | 2, 5 | 3, 5, 6 | - | ||||||||
SA Putnam International Growth and Income | - | 7 | - | - | - | - | - | ||||||||
SA Schroders VCP Global Allocation | 2, 5 | 7 | 5, 6 | - | - | 5 | - | ||||||||
SA Small Cap Index | 5 | - | - | - | - | - | - | ||||||||
SA T. Rowe Price Asset Allocation Growth | 2 | - | 5 | - | - | 3 | - | ||||||||
SA T. Rowe Price VCP Balanced | 2, 5 | - | 5 | - | - | - | - | ||||||||
SA VCP Dynamic Allocation | 6 | - | 6 | - | - | - | - | ||||||||
SA VCP Dynamic Strategy | 6 | - | 6 | - | - | - | - | ||||||||
SA VCP Index Allocation | 5 | - | 5 | - | - | - | - |
(1) | To manage foreign currency exchange rate risk. |
(2) | To manage interest rate risk and the duration of the portfolio. |
(3) | To manage credit risk. |
(4) | To manage against or gain exposure to certain securities and/or sectors. |
(5) | To manage exposures in certain securities markets. |
(6) | To manage portfolio risk. |
(7) | To manage interest rate or foreign currency exchange rate risk, or gain exposures to foreign currencies. |
Note
2 — Transactions with Affiliates
As disclosed in the Portfolio
of Investments, certain Portfolios owned shares of various SunAmerica Series Trust, Anchor Series Trust and Seasons Series Trust and securities issued by American International Group, Inc. (“AIG”) or an
affiliate thereof. For the period ended April 30, 2024, transactions in these securities were as follows:
SA Blackrock Multi-Factor 70/30 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
iShares U.S. Fixed Income Balanced Risk Systematic ETF | $— | $— | $14,085,429 | $— | $— | $— | $(291,333) | $13,794,096 |
SA Global Index Allocation 60/40 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | $— | $— | $2,567,048 | $177,163 | $49,596 | $8,141 | $171,935 | $2,874,691 |
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NOTES TO PORTFOLIO OF
INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
SA Global Index Allocation 60/40 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $18,021,358 | $807,851 | $325,709 | $(47,690) | $(449,117) | $18,006,693 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 19,000,464 | 833,573 | 342,241 | (18,897) | (269,818) | 19,203,081 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 23,607,388 | 625,701 | 1,606,671 | 194,049 | 452,464 | 23,272,931 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 24,327,249 | 1,236,847 | 1,007,286 | 302,636 | 715,762 | 25,575,208 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 4,919,030 | 334,067 | 85,651 | 14,089 | 233,015 | 5,414,550 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 1,929,313 | 356,904 | 36,055 | 3,504 | 15,068 | 2,268,734 | ||||||||
$— | $— | $94,371,850 | $4,372,106 | $3,453,209 | $455,832 | $869,309 | $96,615,888 |
SA Global Index Allocation 75/25 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | $— | $— | $4,275,028 | $415,469 | $79,512 | $1,054 | $304,873 | $4,916,912 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 11,436,182 | 409,381 | 194,675 | (28,298) | (284,563) | 11,338,027 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 12,412,209 | 422,473 | 560,577 | (28,247) | (155,126) | 12,090,732 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 28,759,163 | 476,065 | 2,062,194 | 368,512 | 429,628 | 27,971,174 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 29,789,640 | 1,497,431 | 976,371 | 350,000 | 900,427 | 31,561,127 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 5,968,145 | 182,375 | 99,362 | 22,656 | 279,150 | 6,352,964 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 3,903,453 | 356,187 | 67,557 | 808 | 56,706 | 4,249,597 | ||||||||
$— | $— | $96,543,820 | $3,759,381 | $4,040,248 | $686,485 | $1,531,095 | $98,480,533 |
† | Includes reinvestment of distributions paid. |
SA Global Index Allocation 90/10 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | $— | $— | $15,048,441 | $2,345,948 | $237,199 | $(11,510) | $1,119,283 | $18,264,963 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 16,018,988 | 733,620 | 1,221,837 | (234,982) | (186,555) | 15,109,234 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 19,356,079 | 782,810 | 1,269,278 | (132,495) | (151,301) | 18,585,815 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 131,075,400 | 2,300,227 | 6,709,658 | 1,555,240 | 2,101,012 | 130,322,221 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 121,770,979 | 3,184,021 | 1,649,568 | 627,711 | 4,512,314 | 128,445,457 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 29,147,833 | 809,965 | 399,383 | 102,880 | 1,379,983 | 31,041,278 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 17,909,992 | 1,762,395 | 257,065 | 21,754 | 240,198 | 19,677,274 | ||||||||
$— | $— | $350,327,712 | $11,918,986 | $11,743,988 | $1,928,598 | $9,014,934 | $361,446,242 |
SA Index Allocation 60/40 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $48,168,717 | $1,642,536 | $1,108,024 | $(176,001) | $(1,140,481) | $47,386,747 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 50,814,749 | 1,664,943 | 1,164,208 | (62,386) | (703,375) | 50,549,723 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 23,444,700 | 212,865 | 533,748 | 90,211 | 555,702 | 23,769,730 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 109,143,419 | 891,794 | 4,639,342 | 1,719,519 | 2,915,827 | 110,031,217 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 12,889,632 | 114,275 | 286,538 | 65,433 | 590,258 | 13,373,060 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 13,053,174 | 114,275 | 286,538 | 7,831 | 209,526 | 13,098,268 | ||||||||
$— | $— | $257,514,391 | $4,640,688 | $8,018,398 | $1,644,607 | $2,427,457 | $258,208,745 |
326
NOTES TO PORTFOLIO OF
INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
SA Index Allocation 80/20 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $45,298,697 | $1,829,407 | $1,875,863 | $(291,670) | $(928,498) | $44,032,073 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 50,063,850 | 1,863,204 | 1,996,880 | (86,860) | (658,284) | 49,185,030 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 67,730,275 | 490,053 | 1,754,751 | 327,247 | 1,546,328 | 68,339,152 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 257,196,071 | 1,683,298 | 9,034,772 | 3,011,735 | 7,905,798 | 260,762,130 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 48,848,375 | 1,341,347 | 1,222,275 | 294,526 | 2,236,544 | 51,498,517 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 24,844,150 | 572,363 | 617,188 | 66,918 | 354,642 | 25,220,885 | ||||||||
$— | $— | $493,981,418 | $7,779,672 | $16,501,729 | $3,321,896 | $10,456,530 | $499,037,787 |
† | Includes reinvestment of distributions paid. |
SA Index Allocation 90/10 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $59,805,052 | $2,657,684 | $4,139,929 | $(711,330) | $(860,379) | $56,751,098 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 71,863,291 | 2,723,011 | 4,402,521 | (206,045) | (843,889) | 69,133,847 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 245,626,818 | 1,273,875 | 5,120,537 | 673,654 | 6,100,941 | 248,554,751 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 759,702,218 | 7,585,152 | 19,104,784 | 6,836,170 | 25,433,240 | 780,451,996 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 134,754,914 | 1,159,802 | 2,652,176 | 494,613 | 6,372,218 | 140,129,371 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 67,042,434 | 1,633,167 | 1,339,217 | 147,560 | 986,884 | 68,470,828 | ||||||||
$— | $— | $1,338,794,727 | $17,032,691 | $36,759,164 | $7,234,622 | $37,189,015 | $1,363,491,891 |
SA Large Cap Index Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
American International Group, Inc. - Common Stock | $ 18,903 | $— | $ 3,719,271 | $ 3,661 | $ 160,219 | $ 37,127 | $ 264,166 | $ 3,864,006 |
SA Large Cap Value Index Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
American International Group, Inc.— Common Stock | $6,209 | $— | $1,155,812 | $49,421 | $— | $— | $98,232 | $1,303,465 |
SA VCP Dynamic Allocation Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $— | $— | $119,220,502 | $8,000,000 | $5,049,613 | $(722,396) | $(1,697,344) | $119,751,149 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 160,264,665 | — | 6,925,183 | 517,718 | 8,759,460 | 162,616,660 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 420,716,296 | — | 18,755,705 | (3,016,187) | (8,391,003) | 390,553,401 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 132,194,793 | — | 5,338,162 | 631,518 | 3,714,643 | 131,202,792 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 134,928,016 | — | 10,193,887 | (1,030,179) | 5,666,469 | 129,370,419 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 225,010,795 | — | 10,733,577 | (978,304) | 6,583,831 | 219,882,745 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 59,461,555 | — | 2,308,395 | (689,007) | 3,426,021 | 59,890,174 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 104,070,711 | — | 3,751,142 | 318,500 | 5,296,097 | 105,934,166 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 50,627,306 | — | 2,019,845 | (647,669) | 1,619,684 | 49,579,476 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | — | 152,997,174 | — | 16,770,986 | 5,308 | 5,922,516 | 142,154,012 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 294,769,593 | — | 27,541,972 | 7,932,412 | 1,894,599 | 277,054,632 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | — | — | 10,394,725 | — | 865,648 | (417,426) | 627,222 | 9,738,873 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 52,026,599 | — | 2,596,943 | 46,796 | 620,286 | 50,096,738 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | — | — | 21,595,636 | — | 865,648 | (77,258) | 1,573,061 | 22,225,791 |
327
NOTES TO PORTFOLIO OF
INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
SA VCP Dynamic Allocation Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | $— | $— | $195,452,750 | $30,000,000 | $8,945,028 | $(2,074,377) | $(2,572,267) | $211,861,078 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | — | — | 136,720,328 | — | 5,482,438 | 968,746 | 2,172,933 | 134,379,569 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | — | — | 50,254,474 | — | 2,308,395 | 424,601 | (2,767,491) | 45,603,189 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 89,155,681 | — | 3,751,141 | (262,199) | (2,132,195) | 83,010,146 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 93,941,566 | — | 4,905,339 | (79,766) | (1,306,015) | 87,650,446 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | — | — | 206,130,088 | — | 11,867,930 | (1,150,372) | 11,951,996 | 205,063,782 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 68,218,666 | — | 2,885,493 | (942,672) | 2,451,621 | 66,842,122 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | — | — | 64,146,262 | — | 2,466,515 | 522,166 | 2,856,480 | 65,058,393 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 71,014,369 | — | 2,885,493 | 702,031 | 1,270,794 | 70,101,701 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 97,793,360 | — | 4,039,689 | (1,402,327) | 5,794,641 | 98,145,985 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 93,926,594 | — | 12,462,592 | 2,448,252 | 614,481 | 84,526,735 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 24,319,822 | — | 1,442,747 | 284,307 | 1,972,711 | 25,134,093 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 249,457,922 | — | 10,387,776 | (794,106) | 10,637,826 | 248,913,866 | ||||||||
SA JPMorgan Global Equities Portfolio, Class 1 | — | — | 140,000,364 | — | 5,193,888 | 482,758 | 8,011,265 | 143,300,499 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | — | — | — | 30,000,000 | 357,903 | (8,195) | (647,610) | 28,986,292 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 488,448,660 | 62,000,000 | 22,074,021 | (2,457,709) | (10,190,421) | 515,726,509 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 87,119,100 | — | 3,751,141 | (473,957) | 3,743,903 | 86,637,905 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 261,382,797 | — | 11,541,971 | 3,822,474 | 10,023,905 | 263,687,205 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 934,474,717 | — | 71,078,585 | 34,340,735 | 5,480,876 | 903,217,743 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 186,128,404 | 5,000,000 | 8,079,381 | 1,713,397 | 4,058,764 | 188,821,184 | ||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 253,963,220 | — | 22,954,951 | 3,722,375 | 10,533,002 | 245,263,646 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | — | — | 266,246,085 | — | 48,737,400 | (162,756) | 12,430,745 | 229,776,674 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 53,913,245 | — | 2,164,119 | 656,608 | 2,100,986 | 54,506,720 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 118,968,756 | — | 4,761,063 | 314,976 | 2,705,052 | 117,227,721 | ||||||||
SA PIMCO Global Bond Opportunities Portfolio, Class 1 | — | — | 21,164,972 | 4,000,000 | 1,154,197 | (183,346) | (560,552) | 23,266,877 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | — | — | 44,883,814 | — | 1,875,570 | (190,263) | 1,355,280 | 44,173,261 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 43,535,745 | — | 1,587,022 | (107,557) | 527,942 | 42,369,108 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 64,476,821 | — | 2,741,218 | 42,776 | 2,807,827 | 64,586,206 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 49,060,031 | — | 1,875,570 | (61,803) | 912,531 | 48,035,189 | ||||||||
SA Wellington Capital Appreciation Portfolio, Class 1 | — | — | 118,916,813 | — | 12,328,239 | (1,313,252) | 10,961,000 | 116,236,322 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | — | — | 417,670,712 | — | 17,745,782 | (2,704,668) | (9,691,146) | 387,529,116 | ||||||||
$— | $— | $6,929,164,504 | $139,000,000 | $427,549,303 | $37,950,703 | $121,124,406 | $6,799,690,310 |
SA VCP Dynamic Strategy Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $— | $— | $50,524,777 | $3,000,000 | $2,122,060 | $(253,818) | $(772,403) | $50,376,496 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 99,945,825 | 8,000,000 | 4,428,646 | 788,176 | 5,304,892 | 109,610,247 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 147,809,286 | — | 6,642,968 | (1,598,763) | (2,410,223) | 137,157,332 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 76,754,125 | — | 5,452,429 | 715,446 | 1,868,459 | 73,885,601 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 124,654,658 | — | 11,797,699 | (5,357,864) | 9,855,888 | 117,354,983 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 197,030,129 | — | 18,644,326 | 1,127,838 | 3,810,743 | 183,324,384 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 55,215,168 | — | 2,306,587 | (692,365) | 3,234,971 | 55,451,187 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 44,236,520 | — | 1,568,479 | 95,095 | 2,289,009 | 45,052,145 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 74,378,909 | — | 2,952,430 | (492,972) | 1,916,556 | 72,850,063 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | — | 21,029,873 | 5,000,000 | 970,372 | (596,344) | 1,176,322 | 25,639,479 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 157,487,529 | 2,000,000 | 13,413,914 | 3,672,563 | 1,677,500 | 151,423,678 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | — | — | 86,936,622 | — | 5,413,747 | 396,777 | 1,362,781 | 83,282,433 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 23,287,042 | — | 1,014,898 | 8,783 | 290,704 | 22,571,631 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | — | — | 16,496,539 | — | 553,580 | (49,794) | 1,193,452 | 17,086,617 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | — | — | 85,919,299 | 8,000,000 | 4,244,119 | (735,193) | (1,220,412) | 87,719,575 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | — | — | 67,039,959 | 15,500,000 | 3,348,565 | 590,498 | 157,283 | 79,939,175 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | — | — | 33,018,098 | — | 1,476,214 | 194,758 | (1,737,941) | 29,998,701 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 48,364,413 | — | 2,398,850 | (168,452) | (1,126,224) | 44,670,887 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 47,393,725 | — | 2,029,796 | (115,964) | (586,655) | 44,661,310 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | — | — | 178,007,530 | — | 20,813,955 | 3,300,237 | 6,306,763 | 166,800,575 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 25,763,604 | — | 1,107,161 | (192,489) | 760,981 | 25,224,935 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | — | — | 51,855,460 | — | 2,029,796 | 417,759 | 2,308,171 | 52,551,594 |
328
NOTES TO PORTFOLIO OF
INVESTMENTS — April 30, 2024 — (unaudited) — (continued)
SA VCP Dynamic Strategy Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SA Franklin Systematic U.S. Large Cap Value Portfolio, Class 1 | $— | $— | $111,355,818 | $— | $18,138,315 | $(1,026,926) | $7,429,150 | $99,619,727 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 53,196,696 | — | 1,476,215 | 183,519 | 1,288,752 | 53,192,752 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 20,144,678 | — | 830,371 | (597,261) | 1,500,795 | 20,217,841 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 126,641,443 | — | 11,889,963 | 1,677,213 | 2,606,971 | 119,035,664 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 14,658,518 | — | 1,014,898 | (74,714) | 1,431,244 | 15,000,150 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 201,179,436 | — | 19,013,379 | (948,344) | 8,993,587 | 190,211,300 | ||||||||
SA JPMorgan Global Equities Portfolio, Class 1 | — | — | 80,757,191 | — | 3,136,958 | 166,194 | 4,730,175 | 82,516,602 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | — | — | 235,709,174 | — | 17,410,872 | 206,979 | 11,844,581 | 230,349,862 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 218,951,211 | 12,000,000 | 9,779,925 | (1,024,846) | (4,548,348) | 215,598,092 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 48,752,995 | 2,000,000 | 2,122,060 | (38,580) | 1,761,950 | 50,354,305 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 124,425,875 | 15,000,000 | 5,699,676 | 1,940,688 | 4,150,678 | 139,817,565 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 482,843,786 | — | 26,637,215 | 12,980,941 | 7,732,888 | 476,920,400 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 162,107,603 | 22,000,000 | 7,565,602 | 620,872 | 4,349,407 | 181,512,280 | ||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 138,904,558 | 6,000,000 | 12,699,677 | 2,242,426 | 5,453,429 | 139,900,736 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | — | — | 240,097,557 | — | 9,779,925 | (224,547) | 10,730,462 | 240,823,547 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 39,703,874 | 4,000,000 | 1,845,269 | 532,432 | 1,308,946 | 43,699,983 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 51,770,734 | — | 2,398,849 | (272,835) | 1,584,410 | 50,683,460 | ||||||||
SA PIMCO Global Bond Opportunities Portfolio, Class 1 | — | — | 19,786,940 | 4,000,000 | 1,107,160 | (269,337) | (425,617) | 21,984,826 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | — | — | 71,476,385 | — | 10,754,364 | 2,952,398 | (1,029,549) | 62,644,870 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 17,648,337 | 5,000,000 | 645,845 | (72,820) | 262,270 | 22,191,942 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 102,072,934 | — | 9,138,315 | 1,082,793 | 3,410,665 | 97,428,077 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 29,580,095 | — | 1,291,688 | 193,032 | 322,359 | 28,803,798 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | — | — | 161,792,113 | — | 6,919,758 | (1,315,526) | (3,487,525) | 150,069,304 | ||||||||
$— | $— | $4,466,707,041 | $111,500,000 | $296,026,890 | $19,967,663 | $107,062,297 | $4,409,210,111 |
† | Includes reinvestment of distributions paid. |
SA VCP Index Allocation Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $58,095,923 | $2,076,679 | $1,430,987 | $(207,029) | $(1,374,235) | $57,160,351 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 62,278,111 | 2,109,012 | 1,528,103 | (74,159) | (860,819) | 61,924,042 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 47,772,772 | 387,988 | 1,165,370 | 229,310 | 1,106,158 | 48,330,858 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 197,802,332 | 1,448,931 | 7,553,607 | 2,851,872 | 5,607,167 | 200,156,695 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 31,188,950 | 245,725 | 738,067 | 185,323 | 1,415,604 | 32,297,535 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 21,194,297 | 164,895 | 495,283 | 97,532 | 264,907 | 21,226,348 | ||||||||
$— | $— | $418,332,385 | $6,433,230 | $12,911,417 | $3,082,849 | $6,158,782 | $421,095,829 |
ADDITIONAL INFORMATION
Additional information
is available in the Trust’s Annual and Semiannual reports which may be obtained without charge from the EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.
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