UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-07725
SEASONS SERIES TRUST
(Exact name of registrant as specified in charter)
1 SunAmerica Center, Los Angeles, CA					90067-6022
(Address of principal executive offices)					(Zip code)
John T. Genoy Senior Vice President SunAmerica Asset Management, LLC Harborside Financial Center, 3200 Plaza 5 Jersey City, NJ 07311
(Name and address of agent for service)
Registrant’s telephone number, including area code:				(201) 324-6414
Date of fiscal year end:	March 31
Date of reporting period:		September 30, 2014

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

SEMI-ANNUAL REPORT
SEPTEMBER 30, 2014

Table of Contents

Shareholder Letter	2
Expense Example	3
Seasons Strategies
Multi-Managed Growth Portfolio	6
Multi-Managed Moderate Growth Portfolio	39
Multi-Managed Income/Equity Portfolio	76
Multi-Managed Income Portfolio	108
Asset Allocation: Diversified Growth Portfolio	140
Stock Portfolio	183
Seasons Select
Large Cap Growth Portfolio	187
Large Cap Value Portfolio	197
Mid Cap Growth Portfolio	206
Mid Cap Value Portfolio	221
Small Cap Portfolio	233
International Equity Portfolio	249
Diversified Fixed Income Portfolio	261
Real Return Portfolio	311
Cash Management Portfolio	315
Seasons Focused
Focus Growth Portfolio	319
Focus Value Portfolio	322
Seasons Managed Allocation
Allocation Growth Portfolio	325
Allocation Moderate Growth Portfolio	327
Allocation Moderate Portfolio	329
Allocation Balanced Portfolio	331
Statements of Assets and Liabilities	334
Statements of Operations	342
Statements of Changes in Net Assets	346
Notes to Financial Statements	353
Financial Highlights	412
Supplement to Prospectus	426

Dear Seasons Series Trust Investor:

We are pleased to present the semiannual report for the Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our Life Companies.

This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended September 30, 2014.

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

Sincerely,

John T. Genoy
PresidentAnchor Series Trust, SunAmerica Series Trust and Seasons Series Trust

November 3, 2014

Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59¹/_2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.

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

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

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

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

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

Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.

* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank of Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  September 30, 2014

  (unaudited)

Disclosure of Portfolio Expenses in Shareholder Reports

As a shareholder of a Portfolio in the Seasons Series Trust (the "Trust"), you incur ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at April 1, 2014 and held until September 30, 2014. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies ("Variable Contracts") offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust's investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these Examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the variable contract.

Actual Expenses

The "Actual" section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled "Expenses Paid During the Six Months Ended September 30, 2014" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the six months ended September 30, 2014" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended September 30, 2014" would have been higher and the "Ending Account Value" would have been lower.

Hypothetical Example for Comparison Purposes

The "Hypothetical" section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the six months ended September 30, 2014" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the six months ended September 30, 2014" would have been higher and the "Ending Account Value" would have been lower.

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

3

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2014

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2014		Ending Account Value Using Actual Return at September 30, 2014		Expenses Paid During the Six Months Ended September 30, 2014*		Beginning Account Value at April 1, 2014		Ending Account Value Using a Hypothetical 5% Assumed Return at September 30, 2014		Expenses Paid During the Six Months Ended September 30, 2014*		Annualized Expense Ratio*
Multi-Managed Growth
Class 1	$	1,000.00	$	1,022.82	$	5.73	$	1,000.00	$	1,019.40	$	5.72		1.13	%
Class 2	$	1,000.00	$	1,021.84	$	6.54	$	1,000.00	$	1,018.60	$	6.53		1.29	%
Class 3	$	1,000.00	$	1,021.39	$	7.04	$	1,000.00	$	1,018.10	$	7.03		1.39	%
Multi-Managed Moderate Growth
Class 1	$	1,000.00	$	1,020.20	$	5.11	$	1,000.00	$	1,020.00	$	5.11		1.01	%
Class 2	$	1,000.00	$	1,018.92	$	5.87	$	1,000.00	$	1,019.25	$	5.87		1.16	%
Class 3	$	1,000.00	$	1,018.98	$	6.38	$	1,000.00	$	1,018.75	$	6.38		1.26	%
Multi-Managed Income/ Equity
Class 1	$	1,000.00	$	1,028.15	$	5.08	$	1,000.00	$	1,020.05	$	5.06		1.00	%
Class 2	$	1,000.00	$	1,027.41	$	5.84	$	1,000.00	$	1,019.30	$	5.82		1.15	%
Class 3	$	1,000.00	$	1,026.71	$	6.35	$	1,000.00	$	1,018.80	$	6.33		1.25	%
Multi-Managed Income
Class 1	$	1,000.00	$	1,022.31	$	5.02	$	1,000.00	$	1,020.10	$	5.01		0.99	%
Class 2	$	1,000.00	$	1,020.70	$	5.77	$	1,000.00	$	1,019.35	$	5.77		1.14	%
Class 3	$	1,000.00	$	1,020.76	$	6.28	$	1,000.00	$	1,018.85	$	6.28		1.24	%
Asset Allocation: Diversified Growth#
Class 1	$	1,000.00	$	1,030.82	$	4.94	$	1,000.00	$	1,020.21	$	4.91		0.97	%
Class 2	$	1,000.00	$	1,030.07	$	5.70	$	1,000.00	$	1,019.45	$	5.67		1.12	%
Class 3	$	1,000.00	$	1,029.34	$	6.21	$	1,000.00	$	1,018.95	$	6.17		1.22	%
Stock
Class 1	$	1,000.00	$	1,055.12	$	4.59	$	1,000.00	$	1,020.61	$	4.51		0.89	%
Class 2	$	1,000.00	$	1,054.10	$	5.36	$	1,000.00	$	1,019.85	$	5.27		1.04	%
Class 3	$	1,000.00	$	1,053.67	$	5.87	$	1,000.00	$	1,019.35	$	5.77		1.14	%
Large Cap Growth
Class 1	$	1,000.00	$	1,067.78	$	4.35	$	1,000.00	$	1,020.86	$	4.26		0.84	%
Class 2	$	1,000.00	$	1,067.31	$	5.13	$	1,000.00	$	1,020.10	$	5.01		0.99	%
Class 3	$	1,000.00	$	1,066.27	$	5.65	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Large Cap Value
Class 1	$	1,000.00	$	1,042.86	$	4.10	$	1,000.00	$	1,021.06	$	4.05		0.80	%
Class 2	$	1,000.00	$	1,041.67	$	4.86	$	1,000.00	$	1,020.31	$	4.81		0.95	%
Class 3	$	1,000.00	$	1,041.12	$	5.37	$	1,000.00	$	1,019.80	$	5.32		1.05	%
Mid Cap Growth
Class 1	$	1,000.00	$	1,018.73	$	4.76	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Class 2	$	1,000.00	$	1,018.05	$	5.51	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 3	$	1,000.00	$	1,017.11	$	6.02	$	1,000.00	$	1,019.10	$	6.02		1.19	%
Mid Cap Value
Class 1	$	1,000.00	$	1,025.25	$	4.62	$	1,000.00	$	1,020.51	$	4.61		0.91	%
Class 2	$	1,000.00	$	1,024.31	$	5.38	$	1,000.00	$	1,019.75	$	5.37		1.06	%
Class 3	$	1,000.00	$	1,023.87	$	5.89	$	1,000.00	$	1,019.25	$	5.87		1.16	%
Small Cap
Class 1	$	1,000.00	$	943.26	$	4.58	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Class 2	$	1,000.00	$	943.48	$	5.31	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 3	$	1,000.00	$	942.73	$	5.80	$	1,000.00	$	1,019.10	$	6.02		1.19	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2014

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2014		Ending Account Value Using Actual Return at September 30, 2014		Expenses Paid During the Six Months Ended September 30, 2014*		Beginning Account Value at April 1, 2014		Ending Account Value Using a Hypothetical 5% Assumed Return at September 30, 2014		Expenses Paid During the Six Months Ended September 30, 2014*		Annualized Expense Ratio*
International Equity
Class 1	$	1,000.00	$	981.13	$	4.92	$	1,000.00	$	1,020.10	$	5.01		0.99	%
Class 2	$	1,000.00	$	981.13	$	5.66	$	1,000.00	$	1,019.35	$	5.77		1.14	%
Class 3	$	1,000.00	$	981.07	$	6.16	$	1,000.00	$	1,018.85	$	6.28		1.24	%
Diversified Fixed Income
Class 1	$	1,000.00	$	1,016.41	$	3.49	$	1,000.00	$	1,021.61	$	3.50		0.69	%
Class 2	$	1,000.00	$	1,016.44	$	4.25	$	1,000.00	$	1,020.86	$	4.26		0.84	%
Class 3	$	1,000.00	$	1,014.77	$	4.75	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Real Return
Class 1	$	1,000.00	$	1,012.32	$	3.28	$	1,000.00	$	1,021.81	$	3.29		0.65	%
Class 3	$	1,000.00	$	1,011.33	$	4.54	$	1,000.00	$	1,020.56	$	4.56		0.90	%
Cash Management#
Class 1	$	1,000.00	$	999.06	$	2.26	$	1,000.00	$	1,022.81	$	2.28		0.45	%
Class 2	$	1,000.00	$	997.16	$	3.00	$	1,000.00	$	1,022.06	$	3.04		0.60	%
Class 3	$	1,000.00	$	997.15	$	3.50	$	1,000.00	$	1,021.56	$	3.55		0.70	%
Focus Growth
Class 1	$	1,000.00	$	1,069.08	$	5.55	$	1,000.00	$	1,019.70	$	5.42		1.07	%
Class 2	$	1,000.00	$	1,068.10	$	6.32	$	1,000.00	$	1,018.95	$	6.17		1.22	%
Class 3	$	1,000.00	$	1,068.18	$	6.84	$	1,000.00	$	1,018.45	$	6.68		1.32	%
Focus Value#
Class 1	$	1,000.00	$	1,046.81	$	5.18	$	1,000.00	$	1,020.00	$	5.11		1.01	%
Class 2	$	1,000.00	$	1,046.28	$	5.95	$	1,000.00	$	1,019.25	$	5.87		1.16	%
Class 3	$	1,000.00	$	1,045.79	$	6.46	$	1,000.00	$	1,018.75	$	6.38		1.26	%
Allocation Growth
Class 3	$	1,000.00	$	1,016.77	$	0.86	$	1,000.00	$	1,024.22	$	0.86		0.17	%
Allocation Moderate Growth
Class 3	$	1,000.00	$	1,016.81	$	0.71	$	1,000.00	$	1,024.37	$	0.71		0.14	%
Allocation Moderate
Class 3	$	1,000.00	$	1,018.90	$	0.71	$	1,000.00	$	1,024.37	$	0.71		0.14	%
Allocation Balanced
Class 3	$	1,000.00	$	1,020.51	$	0.71	$	1,000.00	$	1,024.37	$	0.71		0.14	%

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

#  During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2014" and "Annualized Expense Ratios" would have been higher. If these fees and expenses had not been recouped, the "Actual/Hypothetical Ending Account Value" would have been higher and the "Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2014" and the "Annualized Expense Ratio" would have been lower.

5

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Federal National Mtg. Assoc.	5.7	%
United States Treasury Notes	4.9
Diversified Financial Services	4.3
Medical-Biomedical/Gene	3.4
Medical-Drugs	3.4
Real Estate Investment Trusts	3.3
Repurchase Agreements	3.2
Computers	3.2
Diversified Banking Institutions	2.9
Web Portals/ISP	2.3
Oil Companies-Exploration & Production	2.3
Banks-Commercial	1.9
Multimedia	1.7
Banks-Super Regional	1.4
Cable/Satellite TV	1.3
Semiconductor Components-Integrated Circuits	1.3
Diversified Manufacturing Operations	1.3
Oil-Field Services	1.2
Chemicals-Diversified	1.1
Government National Mtg. Assoc.	1.1
Beverages-Non-alcoholic	1.1
Cosmetics & Toiletries	1.1
Applications Software	1.1
Transport-Rail	1.0
Electronic Components-Misc.	1.0
Retail-Restaurants	0.9
Telecom Services	0.9
Time Deposits	0.8
United States Treasury Bonds	0.8
Metal Processors & Fabrication	0.8
Pharmacy Services	0.8
E-Commerce/Products	0.8
Finance-Credit Card	0.8
Commercial Services-Finance	0.8
Oil Companies-Integrated	0.8
Electric-Integrated	0.7
Electronic Components-Semiconductors	0.7
Computer Services	0.7
Food-Retail	0.7
Internet Content-Entertainment	0.7
Finance-Investment Banker/Broker	0.7
Insurance-Life/Health	0.7
Medical-HMO	0.6
Transport-Services	0.6
Instruments-Controls	0.6
Retail-Building Products	0.6
Enterprise Software/Service	0.6
Telephone-Integrated	0.6
Airlines	0.5
Medical Products	0.5
Wireless Equipment	0.5
Tobacco	0.5
E-Commerce/Services	0.5
Aerospace/Defense-Equipment	0.5
Industrial Gases	0.5
Electronic Connectors	0.5
Federal Home Loan Mtg. Corp.	0.5
Athletic Footwear	0.5
Therapeutics	0.5
Cellular Telecom	0.5

Retail-Auto Parts	0.5	%
Retail-Drug Store	0.5
Apparel Manufacturers	0.5
Pipelines	0.4
Electronic Security Devices	0.4
Medical-Hospitals	0.4
Distribution/Wholesale	0.4
Machinery-General Industrial	0.4
Semiconductor Equipment	0.4
Food-Confectionery	0.4
Oil Refining & Marketing	0.4
Hotels/Motels	0.4
Retail-Regional Department Stores	0.4
Computer Aided Design	0.4
Retail-Apparel/Shoe	0.4
Retail-Major Department Stores	0.4
Finance-Consumer Loans	0.4
Agricultural Chemicals	0.4
Insurance Brokers	0.4
Electronic Design Automation	0.4
Sovereign	0.4
Auto/Truck Parts & Equipment-Original	0.3
Human Resources	0.3
Engineering/R&D Services	0.3
Containers-Metal/Glass	0.3
Food-Misc./Diversified	0.3
Networking Products	0.3
Insurance-Multi-line	0.3
Retail-Catalog Shopping	0.3
Investment Management/Advisor Services	0.3
Medical Instruments	0.3
Transactional Software	0.3
Electric-Transmission	0.3
Casino Hotels	0.3
Computers-Memory Devices	0.3
Municipal Bonds	0.3
Telecommunication Equipment	0.3
Schools	0.3
Retail-Gardening Products	0.3
Containers-Paper/Plastic	0.3
Insurance-Property/Casualty	0.3
Television	0.2
Footwear & Related Apparel	0.2
Retail-Perfume & Cosmetics	0.2
Electronic Measurement Instruments	0.2
Finance-Other Services	0.2
Medical-Wholesale Drug Distribution	0.2
Retail-Jewelry	0.2
Chemicals-Specialty	0.2
Medical Information Systems	0.2
Retail-Mail Order	0.2
Gas-Distribution	0.2
Retail-Pet Food & Supplies	0.2
Transport-Truck	0.2
Computers-Integrated Systems	0.2
Energy-Alternate Sources	0.2
Real Estate Management/Services	0.2
Machinery-Construction & Mining	0.2
Savings & Loans/Thrifts	0.2
Food-Wholesale/Distribution	0.2

6

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Entertainment Software	0.2	%
Paper & Related Products	0.2
Retail-Appliances	0.2
Retail-Bookstores	0.2
Toys	0.2
Audio/Video Products	0.2
Electric Products-Misc.	0.2
Coal	0.2
Retail-Discount	0.2
Steel-Producers	0.1
Finance-Auto Loans	0.1
Printing-Commercial	0.1
Data Processing/Management	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Auto-Heavy Duty Trucks	0.1
Beverages-Wine/Spirits	0.1
Poultry	0.1
Filtration/Separation Products	0.1
Building & Construction Products-Misc.	0.1
Insurance-Reinsurance	0.1
Computer Software	0.1
Oil Field Machinery & Equipment	0.1
Telecom Equipment-Fiber Optics	0.1
Lasers-System/Components	0.1
Lighting Products & Systems	0.1
Aerospace/Defense	0.1
Engines-Internal Combustion	0.1
Computer Data Security	0.1
Drug Delivery Systems	0.1
Real Estate Operations & Development	0.1
Research & Development	0.1
Power Converter/Supply Equipment	0.1
Electric-Generation	0.1
Internet Telephone	0.1
Metal-Copper	0.1
Vitamins & Nutrition Products	0.1
Medical Laser Systems	0.1
Internet Application Software	0.1
Brewery	0.1
Retail-Convenience Store	0.1
Insurance-Mutual	0.1
Finance-Leasing Companies	0.1
Security Services	0.1
Trucking/Leasing	0.1
Building-Residential/Commercial	0.1
Consulting Services	0.1
Web Hosting/Design	0.1
Machinery-Farming	0.1
Decision Support Software	0.1
Medical-Outpatient/Home Medical	0.1
Industrial Audio & Video Products	0.1
Gold Mining	0.1
	103.8	%

*  Calculated as a percentage of net assets

7

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 73.0%
Advertising Services — 0.0%
Millennial Media, Inc.†		9,050	$	16,833
Sizmek, Inc.†		935		7,237
				24,070
Aerospace/Defense — 0.1%
Boeing Co.		402		51,207
Aerospace/Defense-Equipment — 0.5%
AAR Corp.		5,625		135,844
B/E Aerospace, Inc.†		945		79,323
United Technologies Corp.		1,113		117,533
				332,700
Agricultural Chemicals — 0.3%
Monsanto Co.		1,957		220,182
Airlines — 0.5%
Alaska Air Group, Inc.		2,450		106,673
United Continental Holdings, Inc.†		6,052		283,173
				389,846
Apparel Manufacturers — 0.4%
Carter's, Inc.		2,156		167,133
Michael Kors Holdings, Ltd.†		565		40,336
Ralph Lauren Corp.		347		57,161
				264,630
Applications Software — 1.1%
Actuate Corp.†		1,961		7,648
Five9, Inc.†		750		4,905
Globant SA†		375		5,276
Microsoft Corp.		13,210		612,416
Paycom Software, Inc.†		1,050		17,388
Red Hat, Inc.†		547		30,714
salesforce.com, Inc.†		1,285		73,926
				752,273
Athletic Footwear — 0.5%
NIKE, Inc., Class B		3,697		329,772
Audio/Video Products — 0.2%
TiVo, Inc.†		7,100		90,844
VOXX International Corp.†		2,275		21,158
				112,002
Auto-Cars/Light Trucks — 0.0%
Ford Motor Co.		1,827		27,021
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		1,531		87,076
Auto/Truck Parts & Equipment-Original — 0.3%
BorgWarner, Inc.		890		46,823
Dana Holding Corp.		7,350		140,899
Tower International, Inc.†		1,700		42,823
				230,545
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		5,025		97,988

Security Description	Shares		Value (Note 2)
Banks-Commercial — 1.6%
1st Source Corp.	$	625	$	17,800
BancFirst Corp.		1,175		73,508
BancorpSouth, Inc.		2,600		52,364
Banner Corp.		625		24,044
BBCN Bancorp, Inc.		875		12,766
Capital Bank Financial Corp., Class A†		2,700		64,476
Cathay General Bancorp		1,000		24,830
Central Pacific Financial Corp.		4,900		87,857
Chemical Financial Corp.		400		10,756
Citizens & Northern Corp.		250		4,750
City Holding Co.		650		27,384
CoBiz Financial, Inc.		725		8,105
CVB Financial Corp.		4,400		63,140
East West Bancorp, Inc.		149		5,066
First Commonwealth Financial Corp.		7,025		58,940
First Financial Bancorp		600		9,498
First Interstate BancSystem, Inc.		625		16,606
FNB Corp.		1,600		19,184
Guaranty Bancorp		450		6,080
MainSource Financial Group, Inc.		625		10,781
National Penn Bancshares, Inc.		750		7,282
OFG Bancorp		2,800		41,944
OmniAmerican Bancorp, Inc.		375		9,746
PacWest Bancorp		3,637		149,954
Regions Financial Corp.		4,605		46,234
Sierra Bancorp		300		5,028
Simmons First National Corp., Class A		750		28,890
Southwest Bancorp, Inc.		1,650		27,060
Suffolk Bancorp		1,375		26,689
Susquehanna Bancshares, Inc.		1,500		15,000
TCF Financial Corp.		2,600		40,378
UMB Financial Corp.		375		20,456
Union Bankshares Corp.		4,016		92,770
Webster Financial Corp.		225		6,557
West Bancorporation, Inc.		1,175		16,603
Westamerica Bancorporation		325		15,119
Wilshire Bancorp, Inc.		2,475		22,844
				1,170,489
Banks-Super Regional — 1.0%
Capital One Financial Corp.		2,006		163,730
Comerica, Inc.		1,844		91,942
Fifth Third Bancorp		947		18,959
PNC Financial Services Group, Inc.		729		62,388
SunTrust Banks, Inc.		1,667		63,396
US Bancorp		3,980		166,483
Wells Fargo & Co.		2,550		132,268
				699,166
Beverages-Non-alcoholic — 1.1%
Coca-Cola Co.		2,840		121,154
Monster Beverage Corp.†		1,144		104,871
PepsiCo, Inc.		6,109		568,687
				794,712

8

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		1,055	$	95,182
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		3,050		41,754
Nortek, Inc.†		250		18,625
Trex Co., Inc.†		250		8,643
				69,022
Cable/Satellite TV — 1.0%
Comcast Corp., Class A		10,163		546,566
Time Warner Cable, Inc.		1,155		165,731
				712,297
Casino Hotels — 0.3%
MGM Resorts International†		8,822		200,965
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		8,991		259,570
Chemicals-Diversified — 1.1%
Dow Chemical Co.		627		32,880
E.I. du Pont de Nemours & Co.		258		18,514
LyondellBasell Industries NV, Class A		3,480		378,137
PPG Industries, Inc.		1,136		223,497
Rockwood Holdings, Inc.		2,112		161,462
				814,490
Chemicals-Specialty — 0.2%
Minerals Technologies, Inc.		1,750		107,992
OM Group, Inc.		1,250		32,438
				140,430
Coal — 0.1%
Cloud Peak Energy, Inc.†		4,050		51,111
Commercial Services — 0.0%
Medifast, Inc.†		150		4,925
Commercial Services-Finance — 0.8%
EVERTEC, Inc.		375		8,378
Heartland Payment Systems, Inc.		750		35,790
MasterCard, Inc., Class A		5,272		389,706
MoneyGram International, Inc.†		1,375		17,242
Vantiv, Inc., Class A†		2,824		87,262
				538,378
Computer Aided Design — 0.4%
ANSYS, Inc.†		2,387		180,624
Aspen Technology, Inc.†		2,625		99,015
				279,639
Computer Data Security — 0.1%
Qualys, Inc.†		1,375		36,575
Varonis Systems, Inc.†		1,425		30,068
				66,643
Computer Services — 0.7%
Engility Holdings, Inc.†		1,525		47,534
IHS, Inc., Class A†		1,214		151,981
Insight Enterprises, Inc.†		375		8,486
International Business Machines Corp.		386		73,274
Manhattan Associates, Inc.†		6,000		200,520

Security Description	Shares		Value (Note 2)
Computer Services (continued)
Unisys Corp.†		1,750	$	40,968
				522,763
Computer Software — 0.1%
AVG Technologies NV†		1,775		29,430
Avid Technology, Inc.†		5,175		52,267
				81,697
Computers — 3.1%
Apple, Inc.		21,450		2,161,088
Hewlett-Packard Co.		1,183		41,961
				2,203,049
Computers-Integrated Systems — 0.2%
NCR Corp.†		3,506		117,135
VeriFone Systems, Inc.†		625		21,488
				138,623
Computers-Memory Devices — 0.3%
EMC Corp.		3,966		116,045
NetApp, Inc.		850		36,516
Nimble Storage, Inc.†		1,950		50,642
				203,203
Consulting Services — 0.1%
FTI Consulting, Inc.†		1,125		39,330
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		775		18,794
Containers-Metal/Glass — 0.3%
Crown Holdings, Inc.†		5,316		236,668
Containers-Paper/Plastic — 0.3%
Graphic Packaging Holding Co.†		9,495		118,023
Rock-Tenn Co., Class A		1,330		63,281
				181,304
Cosmetics & Toiletries — 1.1%
Colgate-Palmolive Co.		8,463		551,957
Estee Lauder Cos., Inc., Class A		2,500		186,800
Inter Parfums, Inc.		200		5,500
Procter & Gamble Co.		586		49,071
				793,328
Data Processing/Management — 0.1%
Fair Isaac Corp.		950		52,345
Pegasystems, Inc.		1,300		24,843
				77,188
Decision Support Software — 0.1%
Castlight Health, Inc., Class B†		2,875		37,203
Distribution/Wholesale — 0.4%
Owens & Minor, Inc.		1,750		57,295
ScanSource, Inc.†		1,250		43,237
United Stationers, Inc.		3,775		141,827
WESCO International, Inc.†		795		62,217
				304,576
Diversified Banking Institutions — 1.0%
Bank of America Corp.		1,716		29,258
Citigroup, Inc.		2,822		146,236
Goldman Sachs Group, Inc.		969		177,879

9

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co.		3,907	$	235,358
Morgan Stanley		2,709		93,650
				682,381
Diversified Manufacturing Operations — 1.2%
Blount International, Inc.†		550		8,321
Colfax Corp.†		3,934		224,120
Danaher Corp.		2,367		179,845
Dover Corp.		1,812		145,558
Eaton Corp. PLC		1,160		73,509
General Electric Co.		3,972		101,763
Leggett & Platt, Inc.		1,000		34,920
Park-Ohio Holdings Corp.		300		14,358
Standex International Corp.		875		64,872
				847,266
Drug Delivery Systems — 0.1%
BioDelivery Sciences International, Inc.†		1,625		27,771
Catalent, Inc.†		1,050		26,281
Revance Therapeutics, Inc.†		550		10,632
				64,684
E-Commerce/Products — 0.8%
Amazon.com, Inc.†		1,467		473,019
Chegg, Inc.†		325		2,028
eBay, Inc.†		1,825		103,350
				578,397
E-Commerce/Services — 0.5%
Coupons.com, Inc.†		325		3,887
Priceline Group, Inc.†		290		335,988
				339,875
E-Marketing/Info — 0.0%
Rubicon Project, Inc.†		375		4,399
TubeMogul, Inc.†		225		2,587
				6,986
Electric Products-Misc. — 0.2%
Emerson Electric Co.		1,713		107,200
Electric-Generation — 0.0%
Atlantic Power Corp.		8,300		19,754
Electric-Integrated — 0.4%
El Paso Electric Co.		1,200		43,860
NextEra Energy, Inc.		302		28,352
NorthWestern Corp.		2,475		112,266
PG&E Corp.		608		27,384
PNM Resources, Inc.		925		23,042
Portland General Electric Co.		2,475		79,497
				314,401
Electric-Transmission — 0.3%
Brookfield Infrastructure Partners LP		5,472		207,936
Electronic Components-Misc. — 1.0%
Benchmark Electronics, Inc.†		4,575		101,611
InvenSense, Inc.†		1,875		36,994
Stoneridge, Inc.†		9,800		110,446
TE Connectivity, Ltd.		7,726		427,170

Security Description	Shares		Value (Note 2)
Electronic Components-Misc. (continued)
Vishay Intertechnology, Inc.		1,175	$	16,791
				693,012
Electronic Components-Semiconductors — 0.7%
DSP Group, Inc.†		1,100		9,757
First Solar, Inc.†		875		57,584
Freescale Semiconductor, Ltd.†		3,134		61,207
Intel Corp.		2,352		81,897
OmniVision Technologies, Inc.†		675		17,861
PMC-Sierra, Inc.†		3,875		28,907
Texas Instruments, Inc.		1,734		82,694
Xilinx, Inc.		4,387		185,789
				525,696
Electronic Connectors — 0.5%
Amphenol Corp., Class A		3,363		335,829
Electronic Design Automation — 0.4%
Cadence Design Systems, Inc.†		14,445		248,598
Electronic Measurement Instruments — 0.2%
National Instruments Corp.		5,605		173,363
Electronic Security Devices — 0.4%
Taser International, Inc.†		6,400		98,816
Tyco International, Ltd.		4,721		210,415
				309,231
Energy-Alternate Sources — 0.2%
Renewable Energy Group, Inc.†		750		7,613
REX American Resources Corp.†		1,700		123,896
TerraForm Power, Inc., Class A†		200		5,772
				137,281
Engineering/R&D Services — 0.3%
Argan, Inc.		2,355		78,610
EMCOR Group, Inc.		2,625		104,895
VSE Corp.		1,200		58,824
				242,329
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		3,875		69,828
Enterprise Software/Service — 0.6%
Informatica Corp.†		1,279		43,793
ManTech International Corp., Class A		3,250		87,587
MedAssets, Inc.†		2,950		61,124
OPOWER, Inc.†		75		1,415
Oracle Corp.		2,968		113,615
Rally Software Development Corp.†		2,800		33,628
Tyler Technologies, Inc.†		692		61,173
Veeva Systems, Inc., Class A†		500		14,085
				416,420
Entertainment Software — 0.1%
Take-Two Interactive Software, Inc.†		3,775		87,089
Filtration/Separation Products — 0.1%
Polypore International, Inc.†		2,375		92,411
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		125		15,759

10

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		1,125	$	48,476
Ocwen Financial Corp.†		2,275		59,560
Portfolio Recovery Associates, Inc.†		900		47,007
World Acceptance Corp.†		1,025		69,187
				224,230
Finance-Credit Card — 0.8%
American Express Co.		2,156		188,736
Visa, Inc., Class A		1,767		377,025
				565,761
Finance-Investment Banker/Broker — 0.7%
Cowen Group, Inc., Class A†		5,300		19,875
E*TRADE Financial Corp.†		5,668		128,040
FBR & Co.†		750		20,640
Greenhill & Co., Inc.		250		11,623
Investment Technology Group, Inc.†		5,800		91,408
LPL Financial Holdings, Inc.		2,799		128,894
TD Ameritrade Holding Corp.		1,919		64,037
				464,517
Finance-Leasing Companies — 0.0%
Marlin Business Services Corp.		800		14,656
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		625		15,881
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		517		100,841
Outerwall, Inc.†		875		49,087
				149,928
Financial Guarantee Insurance — 0.0%
NMI Holdings, Inc., Class A†		2,575		22,274
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		250		7,150
Food-Confectionery — 0.4%
Hershey Co.		3,151		300,700
Food-Misc./Diversified — 0.3%
B&G Foods, Inc.		875		24,106
Chiquita Brands International, Inc.†		4,325		61,415
Mondelez International, Inc., Class A		2,848		97,587
Pinnacle Foods, Inc.		1,450		47,342
				230,450
Food-Retail — 0.7%
Kroger Co.		5,153		267,956
Smart & Final Stores, Inc.†		1,225		17,677
Whole Foods Market, Inc.		5,746		218,980
				504,613
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		2,356		89,410
Footwear & Related Apparel — 0.2%
Iconix Brand Group, Inc.†		4,725		174,541

Security Description	Shares		Value (Note 2)
Gas-Distribution — 0.2%
AGL Resources, Inc.		575	$	29,521
Laclede Group, Inc.		750		34,800
Piedmont Natural Gas Co., Inc.		725		24,309
Southwest Gas Corp.		625		30,362
				118,992
Health Care Cost Containment — 0.0%
HealthEquity, Inc.†		200		3,662
Hotels/Motels — 0.4%
Hyatt Hotels Corp., Class A†		625		37,825
Marriott International, Inc., Class A		2,280		159,372
Starwood Hotels & Resorts Worldwide, Inc.		1,111		92,446
				289,643
Housewares — 0.0%
Lifetime Brands, Inc.		550		8,421
Human Resources — 0.3%
Barrett Business Services, Inc.		1,725		68,120
Cross Country Healthcare, Inc.†		12,075		112,177
Monster Worldwide, Inc.†		8,786		48,323
Paylocity Holding Corp.†		450		8,842
TriNet Group, Inc.†		325		8,369
				245,831
Identification Systems — 0.0%
Imprivata Inc†		700		10,864
Independent Power Producers — 0.0%
Dynegy, Inc.†		750		21,645
Industrial Audio & Video Products — 0.1%
GoPro, Inc., Class A†		375		35,138
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		625		23,538
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		2,583		336,255
Instruments-Controls — 0.6%
Honeywell International, Inc.		1,101		102,525
Sensata Technologies Holding NV†		7,320		325,959
Watts Water Technologies, Inc., Class A		75		4,369
				432,853
Insurance Brokers — 0.3%
Aon PLC		2,540		222,682
Insurance-Life/Health — 0.6%
American Equity Investment Life Holding Co.		2,900		66,352
CNO Financial Group, Inc.		5,000		84,800
Lincoln National Corp.		2,135		114,393
Primerica, Inc.		625		30,138
Prudential Financial, Inc.		1,159		101,922
Trupanion, Inc.†		700		5,950
				403,555
Insurance-Multi-line — 0.2%
Hartford Financial Services Group, Inc.		3,829		142,630

11

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Property/Casualty — 0.2%
Chubb Corp.		366	$	33,335
Global Indemnity PLC†		250		6,308
Navigators Group, Inc.†		575		35,362
ProAssurance Corp.		875		38,561
Stewart Information Services Corp.		150		4,403
				117,969
Insurance-Reinsurance — 0.1%
Aspen Insurance Holdings, Ltd.		275		11,762
Platinum Underwriters Holdings, Ltd.		1,150		70,000
				81,762
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		2,525		18,660
Intralinks Holdings, Inc.†		4,425		35,842
				54,502
Internet Content-Entertainment — 0.7%
Facebook, Inc., Class A†		4,119		325,566
Pandora Media, Inc.†		3,044		73,543
Twitter, Inc.†		1,745		90,007
				489,116
Internet Content-Information/News — 0.0%
WebMD Health Corp.†		225		9,407
Internet Telephone — 0.1%
magicJack VocalTec, Ltd.†		1,539		15,159
RingCentral, Inc.†		2,450		31,139
TeleCommunication Systems, Inc., Class A†		4,325		12,067
				58,365
Investment Management/Advisor Services — 0.3%
Affiliated Managers Group, Inc.†		290		58,105
Artisan Partners Asset Management, Inc., Class A		225		11,711
BlackRock, Inc.		426		139,864
Federated Investors, Inc., Class B		375		11,010
				220,690
Lasers-System/Components — 0.1%
Coherent, Inc.†		1,125		69,041
Newport Corp.†		200		3,544
				72,585
Lighting Products & Systems — 0.1%
Acuity Brands, Inc.		600		70,626
Linen Supply & Related Items — 0.0%
G&K Services, Inc., Class A		450		24,921
Machinery-Construction & Mining — 0.2%
Caterpillar, Inc.		456		45,157
Hyster-Yale Materials Handling, Inc.		250		17,905
Terex Corp.		2,027		64,398
				127,460

Security Description	Shares		Value (Note 2)
Machinery-General Industrial — 0.4%
Applied Industrial Technologies, Inc.		875	$	39,944
Kadant, Inc.		1,450		56,622
Roper Industries, Inc.		1,418		207,439
				304,005
Medical Information Systems — 0.2%
athenahealth, Inc.†		1,138		149,863
Medical Instruments — 0.3%
CONMED Corp.		2,275		83,811
NuVasive, Inc.†		1,250		43,587
SurModics, Inc.†		4,950		89,892
				217,290
Medical Labs & Testing Services — 0.0%
Roka Bioscience, Inc.†		700		7,035
Medical Laser Systems — 0.1%
PhotoMedex, Inc.†		9,000		55,800
Medical Products — 0.5%
Accuray, Inc.†		4,275		31,036
Covidien PLC		928		80,281
Intersect ENT, Inc.†		200		3,100
Wright Medical Group, Inc.†		1,250		37,875
Zimmer Holdings, Inc.		2,263		227,545
				379,837
Medical-Biomedical/Gene — 3.4%
Alnylam Pharmaceuticals, Inc.†		1,250		97,625
Applied Genetic Technologies Corp.†		200		3,722
Ardelyx, Inc.†		700		9,947
Avalanche Biotechnologies, Inc.†		200		6,838
Biogen Idec, Inc.†		1,272		420,790
Celgene Corp.†		4,026		381,584
Eleven Biotherapeutics, Inc.†		700		7,798
Foundation Medicine, Inc.†		250		4,740
Gilead Sciences, Inc.†		5,446		579,727
Isis Pharmaceuticals, Inc.†		2,733		106,122
Karyopharm Therapeutics, Inc.†		200		6,988
MacroGenics, Inc.†		1,250		26,125
Medivation, Inc.†		3,417		337,839
Merrimack Pharmaceuticals, Inc.†		2,825		24,804
NPS Pharmaceuticals, Inc.†		7,566		196,716
Prothena Corp. PLC†		1,600		35,456
PTC Therapeutics, Inc.†		1,200		52,812
Sage Therapeutics, Inc.†		125		3,938
Synageva BioPharma Corp.†		625		42,988
Trius Therapeutics, Inc. CVR†(1)(2)		3,700		0
Ultragenyx Pharmaceutical, Inc.†		250		14,150
Versartis, Inc.†		1,375		26,111
Vertex Pharmaceuticals, Inc.†		679		76,258
				2,463,078
Medical-Drugs — 3.3%
ACADIA Pharmaceuticals, Inc.†		3,075		76,137
Auspex Pharmaceuticals, Inc.†		75		1,925
Bristol-Myers Squibb Co.		8,902		455,604
ChemoCentryx, Inc.†		1,950		8,775
Chimerix, Inc.†		1,175		32,453
Dicerna Pharmaceuticals, Inc.†		550		7,002

12

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs (continued)
Eli Lilly & Co.		1,503	$	97,470
Endo International PLC†		4,286		292,905
Immune Design Corp.†		2,100		37,086
Ironwood Pharmaceuticals, Inc.†		12,091		156,639
Jazz Pharmaceuticals PLC†		1,671		268,296
Johnson & Johnson		1,466		156,261
Lannett Co., Inc.†		400		18,272
Mallinckrodt PLC†		3,052		275,138
Merck & Co., Inc.		1,736		102,910
Pacira Pharmaceuticals, Inc.†		950		92,074
Pfizer, Inc.		4,827		142,734
PharMerica Corp.†		2,125		51,914
Prestige Brands Holdings, Inc.†		1,625		52,601
Tokai Pharmaceuticals, Inc.†		1,225		18,547
ZS Pharma Inc†		200		7,846
				2,352,589
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		1,750		20,388
Medical-HMO — 0.5%
Aetna, Inc.		2,394		193,914
Centene Corp.†		1,150		95,116
UnitedHealth Group, Inc.		1,131		97,549
				386,579
Medical-Hospitals — 0.3%
HCA Holdings, Inc.†		3,096		218,330
Medical-Outpatient/Home Medical — 0.1%
Amedisys, Inc.†		1,700		34,289
LHC Group, Inc.†		125		2,900
				37,189
Medical-Wholesale Drug Distribution — 0.2%
McKesson Corp.		804		156,515
Metal Processors & Fabrication — 0.8%
Ampco-Pittsburgh Corp.		200		4,000
Precision Castparts Corp.		1,395		330,448
Rexnord Corp.†		5,063		144,042
Worthington Industries, Inc.		2,725		101,424
				579,914
Metal Products-Distribution — 0.0%
A.M. Castle & Co.†		775		6,619
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		1,759		57,431
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		4,550		30,121
Multimedia — 1.4%
Twenty-First Century Fox, Inc., Class A		15,435		529,266
Walt Disney Co.		5,661		503,999
				1,033,265
Networking Products — 0.3%
Arista Networks, Inc.†		225		19,874
Cisco Systems, Inc.		5,533		139,266
Polycom, Inc.†		5,825		71,560
				230,700

Security Description	Shares		Value (Note 2)
Office Furnishings-Original — 0.0%
Steelcase, Inc., Class A		550		8,905
Office Supplies & Forms — 0.0%
ACCO Brands Corp.†		1,375		9,488
Oil Companies-Exploration & Production — 2.0%
Abraxas Petroleum Corp.†		24,900		131,472
Anadarko Petroleum Corp.		3,854		390,950
Cabot Oil & Gas Corp.		127		4,152
Clayton Williams Energy, Inc.†		700		67,515
Comstock Resources, Inc.		950		17,689
Contango Oil & Gas Co.†		250		8,310
EOG Resources, Inc.		1,007		99,713
EQT Corp.		364		33,320
Hess Corp.		1,175		110,826
Isramco, Inc.†		50		6,108
Noble Energy, Inc.		4,438		303,382
Occidental Petroleum Corp.		514		49,421
Pioneer Natural Resources Co.		444		87,455
Range Resources Corp.		1,014		68,759
Stone Energy Corp.†		900		28,224
VAALCO Energy, Inc.†		4,600		39,100
				1,446,396
Oil Companies-Integrated — 0.7%
Chevron Corp.		784		93,547
Exxon Mobil Corp.		1,418		133,363
Phillips 66		3,128		254,337
				481,247
Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		1,031		78,459
Oil Refining & Marketing — 0.4%
Adams Resources & Energy, Inc.		200		8,858
Alon USA Energy, Inc.		1,300		18,668
Marathon Petroleum Corp.		435		36,831
Valero Energy Corp.		4,259		197,064
Western Refining, Inc.		800		33,592
				295,013
Oil-Field Services — 1.2%
Basic Energy Services, Inc.†		1,450		31,451
Core Laboratories NV		1,505		220,257
Exterran Holdings, Inc.		2,975		131,822
Halliburton Co.		1,414		91,217
Helix Energy Solutions Group, Inc.†		1,700		37,502
NOW, Inc.†		2,473		75,204
Pioneer Energy Services Corp.†		3,200		44,864
Schlumberger, Ltd.		1,219		123,960
SEACOR Holdings, Inc.†		1,250		93,500
				849,777
Paper & Related Products — 0.1%
Domtar Corp.		500		17,565
Resolute Forest Products, Inc.†		2,200		34,408
Xerium Technologies, Inc.†		625		9,131
				61,104

13

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Pharmacy Services — 0.7%
Express Scripts Holding Co.†		4,803	$	339,236
Omnicare, Inc.		3,093		192,570
				531,806
Physical Therapy/Rehabilitation Centers — 0.0%
HealthSouth Corp.		625		23,063
Poultry — 0.1%
Pilgrim's Pride Corp.†		1,450		44,312
Sanderson Farms, Inc.		550		48,373
				92,685
Power Converter/Supply Equipment — 0.1%
SunPower Corp.†		1,825		61,831
Printing-Commercial — 0.1%
Deluxe Corp.		1,250		68,950
Quad/Graphics, Inc.		775		14,919
RR Donnelley & Sons Co.		734		12,081
				95,950
Publishing-Newspapers — 0.0%
Lee Enterprises, Inc.†		6,325		21,379
Radio — 0.0%
Entercom Communications Corp., Class A†		2,200		17,666
Radio One, Inc., Class D†		1,850		5,883
Townsquare Media, Inc.†		550		6,611
				30,160
Real Estate Investment Trusts — 2.7%
American Assets Trust, Inc.		1,125		37,091
American Tower Corp.		6,096		570,768
Anworth Mtg. Asset Corp.		4,325		20,717
Ashford Hospitality Prime, Inc.		100		1,523
Ashford Hospitality Trust, Inc.		525		5,366
Associated Estates Realty Corp.		225		3,940
BioMed Realty Trust, Inc.		625		12,625
Capstead Mtg. Corp.		5,825		71,298
CBL & Associates Properties, Inc.		1,250		22,375
CBS Outdoor Americas, Inc.		2,099		62,844
CoreSite Realty Corp.		3,700		121,619
Cousins Properties, Inc.		325		3,884
CYS Investments, Inc.		17,225		141,934
DCT Industrial Trust, Inc.		2,350		17,649
DiamondRock Hospitality Co.		1,250		15,850
EastGroup Properties, Inc.		700		42,413
EPR Properties		750		38,010
Equity Lifestyle Properties, Inc.		450		19,062
FelCor Lodging Trust, Inc.		700		6,552
First Industrial Realty Trust, Inc.		475		8,032
Franklin Street Properties Corp.		1,050		11,781
Gladstone Commercial Corp.		250		4,248
Home Properties, Inc.		675		39,312
Hospitality Properties Trust		1,200		32,220
Host Hotels & Resorts, Inc.		2,126		45,348
Lexington Realty Trust		4,957		48,529
LTC Properties, Inc.		1,925		71,013
National Retail Properties, Inc.		475		16,421

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Pennsylvania Real Estate Investment Trust		1,200	$	23,928
Post Properties, Inc.		625		32,087
Potlatch Corp.		2,275		91,478
PS Business Parks, Inc.		200		15,228
RAIT Financial Trust		600		4,458
Ramco-Gershenson Properties Trust		2,250		36,562
Saul Centers, Inc.		600		28,044
Simon Property Group, Inc.		744		122,328
Strategic Hotels & Resorts, Inc.†		5,750		66,987
Taubman Centers, Inc.		375		27,375
				1,940,899
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		977		123,434
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		1,575		56,653
St. Joe Co.†		225		4,484
				61,137
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		225		6,829
Research & Development — 0.1%
Arrowhead Research Corp.†		2,775		40,987
PAREXEL International Corp.†		350		22,081
				63,068
Respiratory Products — 0.0%
Inogen, Inc.†		375		7,729
Retail-Apparel/Shoe — 0.4%
ANN, Inc.†		450		18,508
Brown Shoe Co., Inc.		675		18,313
Children's Place, Inc.		2,500		119,150
Express, Inc.†		1,625		25,366
Guess?, Inc.		875		19,224
PVH Corp.		631		76,446
				277,007
Retail-Appliances — 0.2%
Conn's, Inc.†		575		17,405
hhgregg, Inc.†		15,175		95,755
				113,160
Retail-Auto Parts — 0.4%
AutoZone, Inc.†		527		268,591
Retail-Bookstores — 0.2%
Barnes & Noble, Inc.†		5,800		114,492
Retail-Building Products — 0.6%
Lowe's Cos., Inc.		8,144		430,980
Retail-Catalog Shopping — 0.3%
MSC Industrial Direct Co., Inc., Class A		2,697		230,486
Retail-Computer Equipment — 0.0%
Systemax, Inc.†		450		5,612
Retail-Convenience Store — 0.1%
Pantry, Inc.†		2,543		51,445

14

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Discount — 0.1%
Wal-Mart Stores, Inc.		804	$	61,482
Retail-Drug Store — 0.4%
CVS Health Corp.		1,568		124,797
Rite Aid Corp.†		25,375		122,815
				247,612
Retail-Gardening Products — 0.3%
Tractor Supply Co.		3,051		187,667
Retail-Hair Salons — 0.0%
Regis Corp.		775		12,369
Retail-Hypermarkets — 0.0%
Roundy's, Inc.		2,323		6,946
Retail-Jewelry — 0.2%
Tiffany & Co.		1,580		152,170
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		2,135		142,127
Retail-Major Department Stores — 0.4%
TJX Cos., Inc.		4,574		270,644
Retail-Perfume & Cosmetics — 0.2%
Ulta Salon Cosmetics & Fragrance, Inc.†		1,291		152,557
Retail-Pet Food & Supplies — 0.2%
PetSmart, Inc.		2,047		143,474
Retail-Regional Department Stores — 0.4%
Bon-Ton Stores, Inc.		1,150		9,614
Dillard's, Inc., Class A		1,225		133,500
Kohl's Corp.		1,158		70,673
Macy's, Inc.		1,244		72,376
				286,163
Retail-Restaurants — 0.9%
DineEquity, Inc.		75		6,119
Dunkin' Brands Group, Inc.		2,442		109,450
Jack in the Box, Inc.		200		13,638
Red Robin Gourmet Burgers, Inc.†		775		44,098
Sonic Corp.†		4,550		101,738
Starbucks Corp.		4,670		352,398
				627,441
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		1,325		23,373
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp.		300		3,717
BankFinancial Corp.		225		2,336
Beneficial Mutual Bancorp, Inc.†		775		9,904
Capitol Federal Financial, Inc.		225		2,660
Charter Financial Corp.		950		10,165
Flushing Financial Corp.		1,450		26,491
Northfield Bancorp, Inc.		425		5,789
OceanFirst Financial Corp.		800		12,728
				73,790
Schools — 0.3%
Strayer Education, Inc.†		2,950		176,646

Security Description	Shares		Value (Note 2)
Seismic Data Collection — 0.0%
Dawson Geophysical Co.		200	$	3,636
Semiconductor Components-Integrated Circuits — 1.3%
Atmel Corp.†		24,256		195,988
Emulex Corp.†		17,478		86,341
Integrated Device Technology, Inc.†		3,825		61,009
Micrel, Inc.		850		10,226
QUALCOMM, Inc.		5,875		439,274
TriQuint Semiconductor, Inc.†		6,125		116,804
				909,642
Semiconductor Equipment — 0.4%
Brooks Automation, Inc.		6,100		64,111
KLA-Tencor Corp.		1,722		135,659
Photronics, Inc.†		3,675		29,584
Ultra Clean Holdings, Inc.†		7,494		67,071
				296,425
Software Tools — 0.0%
VMware, Inc., Class A†		332		31,155
Steel-Producers — 0.1%
Reliance Steel & Aluminum Co.		601		41,108
United States Steel Corp.		1,493		58,481
				99,589
Telecom Equipment-Fiber Optics — 0.1%
Harmonic, Inc.†		11,800		74,812
Telecom Services — 0.8%
Amdocs, Ltd.		6,357		291,659
Consolidated Communications Holdings, Inc.		1,400		35,070
EarthLink Holdings Corp.		13,200		45,144
FairPoint Communications, Inc.†		1,975		29,961
Inteliquent, Inc.		5,500		68,475
NeuStar, Inc., Class A†		2,875		71,386
				541,695
Telecommunication Equipment — 0.3%
CommScope Holding Co., Inc.†		8,182		195,632
Telephone-Integrated — 0.1%
Verizon Communications, Inc.		1,361		68,036
Television — 0.2%
CBS Corp., Class B		3,186		170,451
ION Media Networks, Inc.†(1)(2)(3)		2		996
				171,447
Textile-Apparel — 0.0%
Unifi, Inc.†		950		24,605
Therapeutics — 0.5%
Agios Pharmaceuticals, Inc.†		125		7,669
Cara Therapeutics, Inc.†		825		6,922
Egalet Corp.†		400		2,280
Kite Pharma Inc†		250		7,125
Mirati Therapeutics, Inc.†		1,625		28,454
Pharmacyclics, Inc.†		2,075		243,667
Xencor, Inc.†		3,000		27,930
Zafgen Inc†		250		4,912
				328,959

15

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Tobacco — 0.5%
Altria Group, Inc.		5,310	$	243,942
Philip Morris International, Inc.		886		73,892
Universal Corp.		625		27,744
				345,578
Toys — 0.2%
Mattel, Inc.		3,700		113,405
Transactional Software — 0.3%
ACI Worldwide, Inc.†		2,250		42,210
Solera Holdings, Inc.		3,042		171,447
				213,657
Transport-Rail — 1.0%
Kansas City Southern		1,547		187,497
Union Pacific Corp.		4,689		508,381
				695,878
Transport-Services — 0.6%
FedEx Corp.		2,132		344,211
Matson, Inc.		3,750		93,863
				438,074
Transport-Truck — 0.2%
ArcBest Corp.		1,375		51,287
Celadon Group, Inc.		375		7,294
Con-way, Inc.		625		29,687
Swift Transportation Co.†		1,450		30,421
USA Truck, Inc.†		1,250		21,913
				140,602
Travel Services — 0.0%
Interval Leisure Group, Inc.		875		16,669
Veterinary Diagnostics — 0.0%
Phibro Animal Health Corp., Class A		700		15,687
Vitamins & Nutrition Products — 0.1%
Herbalife, Ltd.		200		8,750
USANA Health Sciences, Inc.†		650		47,879
				56,629
Web Hosting/Design — 0.0%
Q2 Holdings, Inc.†		325		4,550
Web Portals/ISP — 2.3%
Blucora, Inc.†		1,375		20,955
Google, Inc., Class A†		1,165		685,497
Google, Inc., Class C†		1,305		753,455
Yahoo!, Inc.†		3,756		153,057
				1,612,964
Wireless Equipment — 0.5%
InterDigital, Inc.		775		30,861
Motorola Solutions, Inc.		3,541		224,074
RF Micro Devices, Inc.†		2,550		29,427
Ubiquiti Networks, Inc.		2,450		91,948
				376,310
Total Common Stocks (cost $42,398,495)				52,365,783

Security Description	Shares/ Principal Amount(11)		Value (Note 2)
PREFERRED SECURITIES — 0.0%
Electric-Integrated — 0.0%
Entergy Louisiana LLC 4.70%		225	$	4,910
Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. FRS Series Z 0.00%†		300		3,090
Telecom Services — 0.0%
Qwest Corp. 6.13%		425		9,868
Total Preferred Securities (cost $20,881)				17,868
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.6%
Banks-Commercial — 0.0%
Zions Bancorporation FRS Series I 5.80% due 06/15/2023(4)	$	9,000		8,595
Banks-Super Regional — 0.0%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(4)		8,000		7,829
Wells Fargo Capital X 5.95% due 12/01/2086		3,000		3,082
				10,911
Diversified Banking Institutions — 0.5%
BAC Capital Trust XIII FRS Series F 4.00% due 10/15/2014(4)		27,000		22,005
JPMorgan Chase & Co. FRS Series 1 7.90% due 04/30/2018(4)		10,000		10,825
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(4)		9,000		8,905
JPMorgan Chase & Co. FRS Series V 5.00% due 07/01/2019(4)		7,000		6,824
Societe Generale SA VRS 8.25% due 11/29/2018(4)		270,000		277,560
				326,119
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		4,000		4,046
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due 10/30/2014†(2)		6,000		1
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		7,000		6,921

16

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.63% due 06/15/2043	$	6,000	$	6,253
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		10,000		11,725
MetLife, Inc. 6.40% due 12/15/2066		9,000		10,035
Voya Financial, Inc. FRS 5.65% due 05/15/2053		5,000		5,025
				26,785
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		35,000		51,362
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		15,000		16,238
Total Preferred Securities/Capital Securities (cost $452,065)				457,231
ASSET BACKED SECURITIES — 4.0%
Diversified Financial Services — 4.0%
American Credit Acceptance Receivables Trust Series 2013-1, Class A 1.45% due 04/16/2018*		3,462		3,475
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		5,000		4,951
AmeriCredit Automobile Receivables Trust Series 2010-3, Class C 3.34% due 04/08/2016		14,583		14,667
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.73% due 05/10/2045(5)		15,000		15,839
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.75% due 02/10/2051(5)		31,212		34,276
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(5)		100,000		98,642
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.58% due 02/25/2036(6)		57,561		51,305
Bear Stearns Commercial Mtg. Securities Trust Series 2006-PW14, Class A4 5.20% due 12/11/2038(5)		50,000		53,632

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(5)	$	25,000	$	27,326
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		4,042		4,033
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		7,000		7,040
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A2 2.96% due 11/10/2046(5)		28,000		28,721
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(5)		20,000		20,661
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(5)		20,000		20,950
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(5)		35,000		37,009
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.13% due 12/10/2049(5)		10,000		11,020
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.53% due 03/25/2036(6)		40,421		37,378
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(5)		40,000		42,731
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2005-CD1, Class A4 5.40% due 07/15/2044(5)		95,091		97,668
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2006-CD2, Class A4 5.48% due 01/15/2046(5)		20,000		20,831
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(5)		37,217		40,912
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 4.47% due 03/20/2043*		31,280		31,570
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.04% due 12/10/2049(5)		32,766		35,473
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(5)		35,000		35,658
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(5)		20,000		20,882
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(5)		25,000		26,188

17

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(5)	$	20,000	$	21,017
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.24% due 07/10/2045(5)		15,000		16,130
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.76% due 06/10/2046(5)		46,765		49,571
Countrywide Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% due 01/25/2037(6)		30,373		27,750
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(6)		21,563		21,933
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(6)		21,709		20,512
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(6)		1,244		1,156
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(5)		10,000		10,176
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(5)		12,964		13,802
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.26% due 05/25/2035(6)		63,253		59,621
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		15,000		14,937
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		7,000		6,964
FREMF Mtg. Trust VRS Series 2013-K502, Class B 2.84% due 03/25/2045*(5)		20,000		20,148
FREMF Mtg. Trust VRS Series 2012-K706, Class B 4.16% due 11/25/2044*(5)		20,000		20,789
FREMF Mtg. Trust VRS Series 2010-K8, Class B 5.41% due 09/25/2043*(5)		25,000		27,440
GMAC Commercial Mtg. Securities, Inc. VRS Series 2006-C1, Class A4 5.24% due 11/10/2045(5)		88,126		90,946

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Greenwich Capital Commercial Funding Corp. Series 2007-GG9, Class A4 5.44% due 03/10/2039(5)	$	30,000	$	32,315
GS Mtg. Securities Corp. II Series 2012-GCJ9, Class A2 1.76% due 11/10/2045(5)		10,000		10,000
GS Mtg. Securities Trust Series 2013-GC14, Class A2 3.00% due 08/10/2046(5)		70,000		72,034
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(5)		30,000		30,997
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5)		20,000		20,905
GS Mtg. Securities Trust VRS Series 2010-C2, Class A2 5.16% due 12/10/2043*(5)		100,000		112,469
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(5)		30,000		31,260
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.63% due 03/25/2047(6)		11,720		10,264
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(6)		28,077		26,437
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.78% due 04/25/2035(6)		18,007		17,615
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% due 05/25/2035(6)		27,142		25,190
JP Morgan Chase Commercial Mtg. Securities Trust Series 2014-C20, Class A5 3.80% due 07/15/2047(5)		15,000		15,446
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(5)		25,250		26,855
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9, Class A3 5.34% due 05/15/2047(5)		39,466		42,286
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(5)		25,000		27,176
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(5)		35,000		35,936
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5)		30,000		30,779

18

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(5)	$	20,000	$	20,922
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(5)		10,000		10,635
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(5)		28,227		29,908
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(5)		28,968		30,827
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)		35,000		39,161
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.54% due 12/25/2034(6)		16,576		16,485
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.67% due 05/12/2039(5)		25,000		26,406
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(5)		24,253		25,928
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(5)		25,000		27,401
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(5)		35,000		35,816
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16, Class A5 3.89% due 06/15/2047(5)		20,000		20,728
Morgan Stanley Capital I Trust Series 2006-IQ12 Class A4 5.33% due 12/15/2043(5)		38,181		40,882
Morgan Stanley Capital I Trust VRS Series 2007-T25, Class A3 5.51% due 11/12/2049(5)		49,321		53,182
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(5)		50,000		54,311
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(5)		24,933		27,245
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(6)		19,796		17,903
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% due 10/25/2035(6)		76,825		70,443
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		45,000		45,054

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(6)	$	10,525	$	10,323
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% due 02/25/2037		12,223		7,152
RFMSI Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(6)		2,234		2,298
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		10,000		9,994
Santander Drive Auto Receivables Trust Series 2013-C, Class 5 2.25% due 06/17/2019		5,000		5,027
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		15,000		15,080
Santander Drive Auto Receivables Trust Series 2011-1, Class C 3.11% due 05/16/2016		17,888		17,973
Santander Drive Auto Receivables Trust Series 2010-2, Class C 3.89% due 07/17/2017		13,974		13,992
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% due 05/25/2037		35,165		25,279
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.43% due 02/20/2047(6)		44,292		38,481
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(5)		20,000		19,875
Volvo Financial Equipment LLC Series 2012-1A, Class B 1.51% due 08/15/2017*		5,000		5,031
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C26, Class AM 6.17% due 06/15/2045(5)		19,000		20,368
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5)		30,000		30,822
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.61% due 03/25/2035(6)		38,666		39,478
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.62% due 11/25/2034(6)		2,488		2,496

19

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(6)	$	54,633	$	54,463
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.63% due 10/25/2036(6)		24,687		23,214
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(5)		20,000		20,367
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5)		35,000		36,590
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(5)		35,000		36,707
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5)		15,000		15,817
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(5)		15,000		15,934
Total Asset Backed Securities (cost $2,812,018)				2,873,692
U.S. CORPORATE BONDS & NOTES — 7.8%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 3.75% due 02/15/2023		5,000		4,958
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		4,000		4,038
				8,996
Advertising Sales — 0.0%
CBS Outdoor Americas Capital LLC/ CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.88% due 03/15/2025*		4,000		4,020
Advertising Services — 0.0%
Visant Corp. Company Guar. Notes 10.00% due 10/01/2017		2,000		1,785
Aerospace/Defense — 0.0%
Bae Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		6,000		5,982
Bae Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		4,000		3,979
Boeing Co. Senior Notes 0.95% due 05/15/2018		9,000		8,761
				18,722

Security Description	Principal Amount(11)		Value (Note 2)
Aerospace/Defense-Equipment — 0.0%
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022	$	5,000	$	4,925
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		30,000		31,613
Monsanto Co. Senior Notes 4.70% due 07/15/2064		5,000		4,976
				36,589
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		6,000		6,120
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class A-1 7.20% due 07/02/2020		1,114		1,167
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016		7,271		7,380
United Airlines Pass Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		5,000		4,975
				19,642
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		2,000		2,085
Darling Ingredients, Inc. Company Guar. Notes 5.38% due 01/15/2022		5,000		5,038
				7,123
Apparel Manufacturers — 0.1%
Quiksilver, Inc./QS Wholesale, Inc. Company Guar. Notes 10.00% due 08/01/2020		4,000		2,360
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		30,000		30,900
				33,260
Auction House/Art Dealers — 0.0%
Sotheby's Company Guar. Notes 5.25% due 10/01/2022*		20,000		18,950
Auto-Cars/Light Trucks — 0.0%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		9,000		8,966
Auto-Heavy Duty Trucks — 0.0%
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		10,000		9,990

20

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto/Truck Parts & Equipment-Original — 0.0%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021	$	2,000	$	2,055
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		15,000		15,825
				17,880
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		40,000		41,850
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		14,000		17,741
Zions Bancorporation Senior Notes 4.50% due 06/13/2023		1,000		1,047
				60,638
Banks-Super Regional — 0.4%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		65,000		71,023
Comerica, Inc. Senior Notes 2.13% due 05/23/2019		5,000		4,955
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		25,000		27,253
SunTrust Banks, Inc. Senior Notes 3.60% due 04/15/2016		35,000		36,430
Wells Fargo & Co Senior Notes 1.40% due 09/08/2017		19,000		18,944
Wells Fargo & Co Sub. Notes 4.10% due 06/03/2026		20,000		19,930
Wells Fargo & Co. Senior Notes 2.13% due 04/22/2019		75,000		74,090
Wells Fargo & Co. Sub. Notes 3.45% due 02/13/2023		10,000		9,826
Wells Fargo & Co. Sub. Notes 4.13% due 08/15/2023		15,000		15,509
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		25,000		27,306
				305,266
Brewery — 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 0.80% due 07/15/2015		31,000		31,091

Security Description	Principal Amount(11)		Value (Note 2)
Brewery (continued)
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Bonds 8.20% due 01/15/2039	$	15,000	$	22,746
				53,837
Building & Construction Products-Misc. — 0.0%
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		10,000		10,475
Building Materials Corp. of America Company Guar. Notes 7.50% due 03/15/2020*		10,000		10,450
				20,925
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		10,000		9,675
Building Products-Cement — 0.0%
Headwaters, Inc. Sec. Notes 7.63% due 04/01/2019		3,000		3,128
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		9,000		9,833
Building-Residential/Commercial — 0.1%
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		20,000		19,825
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,400
Ryland Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		15,000		14,625
				39,850
Cable/Satellite TV — 0.3%
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		65,000		65,789
Cox Communications, Inc. Senior Notes 2.95% due 06/30/2023*		20,000		18,720
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		25,000		28,552
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		25,000		24,879
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		10,000		11,074

21

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.35% due 03/15/2040	$	5,000	$	5,826
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,838
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		6,000		6,450
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		5,000		4,934
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		15,000		17,649
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		2,000		2,523
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		15,000		17,441
Time Warner Cable, Inc. Company Guar. Notes 7.30% due 07/01/2038		7,000		9,519
				217,194
Casino Hotels — 0.0%
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		5,000		5,275
Cellular Telecom — 0.1%
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024*		10,000		10,075
Sprint Nextel Corp. Senior Notes 7.00% due 08/15/2020		2,000		2,085
Sprint Nextel Corp. Company Guar. Notes 9.00% due 11/15/2018*		5,000		5,775
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		10,000		10,387
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,113
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		20,000		20,550
				57,985
Chemicals-Diversified — 0.0%
Dow Chemical Co. Senior Notes 4.25% due 10/01/2034		9,000		8,666

Security Description	Principal Amount(11)		Value (Note 2)
Chemicals-Specialty — 0.0%
Chemtura Corp. Company Guar. Notes 5.75% due 07/15/2021	$	3,000	$	2,970
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		5,000		6,542
				9,512
Coal — 0.1%
CONSOL Energy, Inc. Company Guar. Notes 6.38% due 03/01/2021		10,000		10,150
Murray Energy Corp. Senior Sec. Notes 8.63% due 06/15/2021*		6,000		6,210
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		30,000		28,050
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		4,000		4,200
				48,610
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022*		10,000		9,850
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		4,000		4,050
				13,900
Computers — 0.1%
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		25,000		25,391
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		30,000		32,495
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		13,000		14,820
				72,706
Consumer Products-Misc. — 0.0%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC Senior Sec. Notes 5.75% due 10/15/2020		7,000		7,123
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Senior Notes 7.38% due 12/15/2026		4,000		4,400
Containers-Paper/Plastic — 0.0%
Packaging Corp. of America Senior Notes 3.65% due 09/15/2024		5,000		4,911

22

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management — 0.0%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*	$	25,000	$	25,625
Distribution/Wholesale — 0.0%
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		3,000		2,895
Diversified Banking Institutions — 1.3%
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		12,000		11,977
Bank of America Corp. Senior Notes 4.00% due 04/01/2024		10,000		10,104
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		15,000		14,870
Bank of America Corp. Senior Notes 5.65% due 05/01/2018		15,000		16,685
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		25,000		27,871
Citigroup, Inc. Senior Notes 5.38% due 08/09/2020		13,000		14,711
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		110,000		119,791
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		24,000		26,925
Citigroup, Inc. Senior Notes 6.13% due 11/21/2017		25,000		28,203
Citigroup, Inc. Sub. Notes 6.68% due 09/13/2043		10,000		12,256
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		35,000		43,749
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		5,000		5,036
Goldman Sachs Group, Inc. Senior Notes 4.80% due 07/08/2044		5,000		5,028
Goldman Sachs Group, Inc. Senior Notes 5.25% due 07/27/2021		8,000		8,869
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		37,000		41,195
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		9,000		10,771

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036	$	25,000	$	29,116
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		28,000		33,426
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		33,465
JPMorgan Chase & Co. Sub. Notes 3.38% due 05/01/2023		25,000		23,948
JPMorgan Chase & Co. Senior Notes 3.63% due 05/13/2024		25,000		24,833
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		10,000		10,689
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		35,000		38,785
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		10,000		11,599
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		100,000		114,464
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		8,000		7,978
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		19,000		18,674
Morgan Stanley Senior Notes 4.75% due 03/22/2017		22,000		23,641
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		25,000		26,412
Morgan Stanley Senior Notes 5.50% due 07/28/2021		7,000		7,884
Morgan Stanley Senior Notes 5.75% due 01/25/2021		100,000		113,620
NationsBank Corp. Sub. Notes 7.25% due 10/15/2025		2,000		2,453
				919,028
Diversified Financial Services — 0.3%
General Electric Capital Corp. Senior Notes 1.50% due 07/12/2016		12,000		12,146
General Electric Capital Corp. Senior Notes 5.55% due 05/04/2020		30,000		34,325

23

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Financial Services (continued)
General Electric Capital Corp. Senior Notes 5.63% due 05/01/2018	$	25,000	$	28,263
General Electric Capital Corp. Senior Notes 5.88% due 01/14/2038		86,000		103,730
				178,464
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		8,000		7,787
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		19,000		22,447
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		2,000		2,147
Textron, Inc. Senior Notes 4.63% due 09/21/2016		13,000		13,836
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		5,000		5,009
				51,226
Electric-Generation — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		4,000		3,800
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		14,587
AES Corp. Senior Notes 8.00% due 10/15/2017		4,000		4,490
AES Corp. Senior Notes 8.00% due 06/01/2020		10,000		11,475
				34,352
Electric-Integrated — 0.3%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		4,000		4,275
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		12,000		13,570
Duke Energy Corp. Senior Notes 3.05% due 08/15/2022		30,000		29,796
Duke Energy Corp. Senior Notes 3.55% due 09/15/2021		45,000		46,637
Edison International Senior Notes 3.75% due 09/15/2017		21,000		22,231

Security Description	Principal Amount(11)		Value (Note 2)
Electric-Integrated (continued)
Entergy Corp. Senior Notes 3.63% due 09/15/2015	$	24,000	$	24,582
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		8,000		9,458
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		7,000		7,087
Georgia Power Co. Senior Notes 3.00% due 04/15/2016		3,000		3,102
Nisource Finance Corp. Company Guar. Notes 4.80% due 02/15/2044		4,000		4,070
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		8,000		8,622
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		10,000		10,224
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		15,000		19,810
Southern California Edison Co. 1st. Mtg. Bonds 1.13% due 05/01/2017		10,000		9,965
Southern Co. Senior Notes 1.30% due 08/15/2017		8,000		7,961
Xcel Energy, Inc. Senior Notes 6.50% due 07/01/2036		10,000		13,063
				234,453
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 1.35% due 12/15/2017		9,000		8,971
Enterprise Software/Service — 0.0%
BMC Software Finance, Inc. Senior Notes 8.13% due 07/15/2021*		5,000		4,800
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		35,000		36,400
Finance-Auto Loans — 0.1%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		6,000		5,990
General Motors Acceptance Corp. Senior Notes 8.00% due 11/01/2031		6,000		7,470
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		30,000		30,225

24

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Auto Loans (continued)
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017	$	40,000	$	41,900
General Motors Financial Co., Inc. Company Guar. Notes 6.75% due 06/01/2018		5,000		5,578
				91,163
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021*		10,000		10,000
SLM Corp. Company Guar. Notes 8.45% due 06/15/2018		25,000		28,125
Synchrony Financial Senior Notes 3.75% due 08/15/2021		3,000		3,027
Synchrony Financial Senior Notes 4.25% due 08/15/2024		4,000		4,001
				45,153
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		10,000		11,634
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		7,000		1,417
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(2)		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(2)		10,000		1
				13,053
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		25,000		25,875
Air Lease Corp. Senior Notes 4.75% due 03/01/2020		4,000		4,240
				30,115
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		15,000		14,976
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		2,000		1,950

Security Description	Principal Amount(11)		Value (Note 2)
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*	$	10,000	$	10,500
Tyson Foods, Inc. Company Guar. Notes 5.15% due 08/15/2044		3,000		3,104
				13,604
Food-Misc./Diversified — 0.0%
Kraft Foods, Inc. Senior Notes 6.50% due 02/09/2040		7,000		8,777
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.35% due 10/02/2019		20,000		20,000
Sysco Corp. Company Guar. Notes 3.50% due 10/02/2024		6,000		6,016
Sysco Corp. Company Guar. Bonds 4.35% due 10/02/2034		3,000		3,044
Sysco Corp. Company Guar. Bonds 4.50% due 10/02/2044		5,000		5,037
				34,097
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		10,000		9,700
Gas-Distribution — 0.0%
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		25,000		28,826
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		20,000		20,000
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,070
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		3,000		3,120
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022*		7,000		7,179
				12,369
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		15,000		15,254
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		5,000		4,917

25

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance Brokers (continued)
USI, Inc. Senior Notes 7.75% due 01/15/2021*	$	10,000	$	9,950
				30,121
Insurance-Life/Health — 0.1%
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		3,000		3,416
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		2,000		2,001
Principal Life Global Funding II Senior Sec. Notes 1.00% due 12/11/2015*		6,000		6,026
Prudential Financial, Inc. Senior Bonds 4.60% due 05/15/2044		50,000		49,525
Teachers Insurance & Annuity Assoc. of America Bonds 4.90% due 09/15/2044*		5,000		5,095
				66,063
Insurance-Multi-line — 0.1%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		16,000		19,214
MetLife, Inc. Senior Notes 4.37% due 09/15/2023		5,000		5,345
Nationwide Mutual Insurance Co. Senior Sub. Notes 9.38% due 08/15/2039*		25,000		38,489
				63,048
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 5.38% due 12/01/2041*		5,000		5,527
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		20,000		30,896
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		11,000		11,098
				47,521
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 3.25% due 02/01/2017		8,000		7,880
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		18,000		17,905

Security Description	Principal Amount(11)		Value (Note 2)
Machinery-Farming (continued)
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017	$	12,000	$	12,021
				37,806
Medical Labs & Testing Services — 0.0%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		12,000		11,978
Medical Products — 0.0%
Becton Dickinson and Co. Senior Notes 7.00% due 08/01/2027		8,000		10,335
Universal Hospital Services, Inc. Sec. Notes 7.63% due 08/15/2020		2,000		1,880
				12,215
Medical-Biomedical/Gene — 0.0%
Amgen, Inc. Senior Notes 6.90% due 06/01/2038		10,000		12,943
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		15,000		15,321
				28,264
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 1.20% due 11/06/2015		25,000		25,094
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		16,000		15,800
Forest Laboratories, Inc. Senior Notes 4.88% due 02/15/2021*		13,000		13,868
				54,762
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 7.88% due 07/15/2020*		13,000		14,180
Medical-HMO — 0.1%
Centene Corp. Senior Notes 4.75% due 05/15/2022		10,000		10,025
Humana, Inc. Senior Notes 2.63% due 10/01/2019		10,000		9,994
Kaiser Foundation Hospitals Company Guar. Notes 3.50% due 04/01/2022		15,000		15,120
WellPoint, Inc. Senior Notes 5.10% due 01/15/2044		25,000		26,563
				61,702

26

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals — 0.1%
Capella Healthcare, Inc. Company Guar. Notes 9.25% due 07/01/2017	$	2,000	$	2,081
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021*		5,000		4,988
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		10,000		9,775
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		4,000		4,090
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		15,000		16,387
HCA, Inc. Senior Sec. Notes 7.25% due 09/15/2020		5,000		5,250
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		5,000		4,963
Tenet Healthcare Corp. Senior Notes 5.00% due 03/01/2019*		5,000		4,938
Tenet Healthcare Corp. Senior Notes 6.00% due 10/01/2020		35,000		37,012
				89,484
Metal Processors & Fabrication — 0.0%
Timken Co. Senior Notes 3.88% due 09/01/2024*		3,000		2,953
Metal-Aluminum — 0.0%
Alcoa, Inc. Senior Notes 5.13% due 10/01/2024		7,000		7,009
Multimedia — 0.3%
News America, Inc. Company Guar. Notes 6.20% due 12/15/2034		35,000		42,500
Time Warner Cos., Inc. Company Guar. Notes 6.63% due 05/15/2029		60,000		74,515
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		30,000		39,922
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 07/15/2033		7,000		10,340
Time Warner, Inc. Company Guar. Notes 2.10% due 06/01/2019		15,000		14,743
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		29,000		26,700
				208,720

Security Description	Principal Amount(11)		Value (Note 2)
Networking Products — 0.0%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019	$	8,000	$	7,996
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc. Senior Notes 4.63% due 03/15/2024		13,000		13,178
Oil Companies-Exploration & Production — 0.2%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. Company Guar. Notes 9.63% due 10/15/2018		5,000		5,175
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.13% due 11/01/2020*		3,000		2,745
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.38% due 11/01/2021*		5,000		4,575
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		6,000		7,312
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp. Company Guar. Notes 7.75% due 01/15/2021		5,000		4,925
Berry Petroleum Co. LLC Senior Notes 6.38% due 09/15/2022		2,000		1,940
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		5,000		4,950
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		2,000		2,115
EPL Oil & Gas, Inc. Company Guar. Notes 8.25% due 02/15/2018		5,000		5,112
EV Energy Partners LP/EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		5,000		5,175
Halcon Resources Corp. Company Guar. Notes 9.75% due 07/15/2020		2,000		2,035
Hess Corp. Senior Notes 1.30% due 06/15/2017		10,000		9,962
Hess Corp. Senior Notes 5.60% due 02/15/2041		9,000		10,137
Hess Corp. Senior Notes 7.88% due 10/01/2029		3,000		4,073

27

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*	$	10,000	$	9,625
Memorial Production Partners LP/ Memorial Production Finance Corp. Company Guar. Notes 7.63% due 05/01/2021		3,000		2,985
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		2,000		2,030
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		4,000		4,000
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022*		4,000		3,860
Rex Energy Corp. Company Guar. Notes 8.88% due 12/01/2020		1,000		1,075
Rice Energy, Inc. Company Guar. Notes 6.25% due 05/01/2022*		5,000		4,875
Triangle USA Petroleum Corp. Senior Notes 6.75% due 07/15/2022*		6,000		5,857
				104,538
Oil Refining & Marketing — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		2,000		2,085
Oil-Field Services — 0.0%
Plains Exploration & Production Co. Company Guar. Notes 6.63% due 05/01/2021		4,000		4,380
Plains Exploration & Production Co. Company Guar. Notes 6.75% due 02/01/2022		6,000		6,645
				11,025
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		3,000		2,865
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		10,000		9,875
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		18,000		19,619
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		10,000		10,260
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		13,000		14,690

Security Description	Principal Amount(11)		Value (Note 2)
Paper & Related Products (continued)
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020	$	2,000	$	2,055
				59,364
Pharmacy Services — 0.1%
Express Scripts Holding Co. Company Guar. Notes 2.10% due 02/12/2015		50,000		50,286
Pipelines — 0.4%
Access Midstream Partners LP/ACMP Finance Corp. Company Guar. Notes 4.88% due 05/15/2023		4,000		4,105
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. Company Guar. Notes 5.88% due 08/01/2023		3,000		2,932
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 4.70% due 11/01/2042		3,000		2,661
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 6.50% due 04/01/2020		20,000		22,889
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		28,000		31,150
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		50,000		48,670
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		25,000		26,801
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		13,000		15,048
Genesis Energy LP Company Guar. Notes 5.63% due 06/15/2024		7,000		6,737
Kinder Morgan Energy Partners LP Senior Notes 5.50% due 03/01/2044		20,000		20,045
Kinder Morgan Finance Co. LLC Company Guar. Notes 6.00% due 01/15/2018*		20,000		21,775
Kinder Morgan, Inc. Senior Notes 5.00% due 02/15/2021*		8,000		8,340
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		3,000		2,910
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 3.60% due 11/01/2024		6,000		5,889

28

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 3.85% due 10/15/2023	$	45,000	$	45,696
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		4,140
Williams Partners LP Senior Notes 3.90% due 01/15/2025		25,000		24,815
Williams Partners LP Senior Notes 4.30% due 03/04/2024		15,000		15,299
				309,902
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022*		10,000		9,663
Publishing-Newspapers — 0.0%
Gannett Co., Inc. Company Guar. Notes 5.13% due 10/15/2019		20,000		20,200
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022		5,000		5,400
				25,600
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		10,000		10,300
Real Estate Investment Trusts — 0.6%
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		10,000		9,880
Duke Realty LP Senior Notes 3.88% due 10/15/2022		25,000		25,281
Duke Realty LP Company Guar. Notes 6.75% due 03/15/2020		15,000		17,703
Geo Group, Inc. Company Guar. Notes 5.13% due 04/01/2023		8,000		7,700
HCP, Inc. Senior Notes 3.75% due 02/01/2016		10,000		10,383
HCP, Inc. Senior Notes 4.20% due 03/01/2024		25,000		25,232
HCP, Inc. Senior Notes 6.00% due 01/30/2017		10,000		11,045
Health Care REIT, Inc. Senior Notes 4.50% due 01/15/2024		25,000		25,721

Security Description	Principal Amount(11)		Value (Note 2)
Real Estate Investment Trusts (continued)
Health Care REIT, Inc. Senior Notes 5.25% due 01/15/2022	$	41,000	$	45,359
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		35,000		36,828
Liberty Property LP Senior Notes 3.38% due 06/15/2023		10,000		9,703
Liberty Property LP Senior Notes 4.13% due 06/15/2022		5,000		5,181
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024*		8,000		8,140
Omega Healthcare Investors, Inc. Company Guar. Notes 5.88% due 03/15/2024		2,000		2,085
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		50,000		49,894
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		50,000		48,864
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		10,000		10,326
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.70% due 04/01/2020		10,000		9,838
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		30,000		32,662
				391,825
Real Estate Management/Services — 0.0%
American Campus Communities Operating Partnership LP Company Guar. Notes 4.13% due 07/01/2024		5,000		5,014
Recycling — 0.0%
Aleris International, Inc. Escrow Notes 9.00% due 12/15/2014†(1)(2)		10,000		0
Rental Auto/Equipment — 0.0%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		10,000		13,208
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022		2,000		2,135
				15,343
Retail-Appliances — 0.0%
Conn's, Inc. Senior Notes 7.25% due 07/15/2022*		4,000		3,405

29

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.13% due 07/15/2023	$	25,000	$	24,281
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020		10,000		10,600
				34,881
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		18,000		19,620
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022*		10,000		9,675
				29,295
Retail-Discount — 0.1%
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		6,000		6,266
Wal-Mart Stores, Inc. Senior Notes 4.30% due 04/22/2044		25,000		25,148
				31,414
Retail-Drug Store — 0.1%
CVS Pass-Through Trust Pass Through Certs. 4.70% due 01/10/2036*		3,930		4,169
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		4,539		5,131
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		8,424		9,770
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		29,282		35,645
				54,715
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 5.45% due 08/15/2034*		7,000		6,875
Retail-Music Store — 0.0%
Guitar Center, Inc. Company Guar. Notes 9.63% due 04/15/2020*		10,000		7,675
Retail-Perfume & Cosmetics — 0.0%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		20,000		21,200
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		3,000		2,685

Security Description	Principal Amount(11)		Value (Note 2)
Retail-Restaurants — 0.0%
Landry's, Inc. Senior Notes 9.38% due 05/01/2020*	$	5,000	$	5,288
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		7,000		6,947
				12,235
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		8,000		8,589
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		27,000		30,793
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		9,000		10,380
				49,762
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		5,000		5,137
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		3,000		2,893
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		4,000		4,060
				12,090
Security Services — 0.1%
ADT Corp. Senior Notes 3.50% due 07/15/2022		12,000		10,380
ADT Corp. Senior Notes 6.25% due 10/15/2021		35,000		36,225
				46,605
Semiconductor Equipment — 0.0%
Entegris, Inc. Company Guar. Notes 6.00% due 04/01/2022*		3,000		3,045
Magnachip Semiconductor Corp. Senior Notes 6.63% due 07/15/2021		2,000		1,840
				4,885
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		17,000		18,318
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		5,000		5,163

30

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel Pipe & Tube — 0.0%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*	$	2,000	$	2,020
Valmont Industries, Inc. Company Guar. Bonds 5.00% due 10/01/2044		6,000		5,886
Valmont Industries, Inc. Company Guar. Bonds 5.25% due 10/01/2054		9,000		8,788
				16,694
Steel-Producers — 0.0%
Glencore Funding LLC Company Guar. Notes 1.70% due 05/27/2016*		25,000		25,170
Storage/Warehousing — 0.0%
Mobile Mini, Inc. Company Guar. Notes 7.88% due 12/01/2020		5,000		5,350
Telecom Services — 0.1%
Qwest Corp. Senior Notes 7.50% due 10/01/2014		10,000		10,000
SBA Tower Trust Sec. Notes 3.60% due 04/15/2043*		25,000		24,994
SBA Tower Trust Sec. Notes 4.25% due 04/15/2040*		35,000		35,653
				70,647
Telephone-Integrated — 0.4%
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		6,000		5,515
AT&T, Inc. Senior Notes 4.80% due 06/15/2044		25,000		24,632
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		4,000		4,100
Cincinnati Bell, Inc. Company Guar. Notes 8.38% due 10/15/2020		3,000		3,165
Frontier Communications Corp. Senior Notes 6.88% due 01/15/2025		5,000		4,938
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		3,000		3,330
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		2,000		2,285
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020*		16,000		15,799

Security Description	Principal Amount(11)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.15% due 03/15/2024	$	6,000	$	6,195
Verizon Communications, Inc. Senior Notes 4.50% due 09/15/2020		11,000		11,900
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046*		34,000		34,096
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054*		22,000		22,104
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		45,000		49,832
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		14,000		17,055
Verizon Communications, Inc. Senior Notes 6.55% due 09/15/2043		67,000		83,709
				288,655
Television — 0.0%
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		10,000		10,225
Tobacco — 0.0%
Altria Group, Inc. Company Guar. Notes 9.70% due 11/10/2018		11,000		14,170
Transport-Services — 0.0%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		10,000		10,014
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 8.50% due 05/15/2019*		2,000		2,140
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		15,000		15,305
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,972
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		21,000		22,567
				42,844
Web Hosting/Design — 0.1%
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		35,000		34,650

31

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022	$	2,000	$	1,860
Wireless Equipment — 0.0%
Motorola Solutions, Inc. Senior Notes 5.50% due 09/01/2044		5,000		4,946
Total U.S. Corporate Bonds & Notes (cost $5,425,231)				5,584,792
FOREIGN CORPORATE BONDS & NOTES — 0.7%
Advertising Services — 0.0%
WPP Finance Company Guar. Notes 3.75% due 09/19/2024		7,000		6,904
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		3,000		3,187
Banks-Commercial — 0.2%
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017		10,000		9,998
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		100,000		111,156
Credit Suisse Sub. Notes 5.40% due 01/14/2020		34,000		37,925
Macquarie Bank, Ltd. Senior Notes 2.60% due 06/24/2019*		5,000		4,996
				164,075
Cruise Lines — 0.0%
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		3,000		3,030
Diversified Banking Institutions — 0.1%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		18,000		17,877
Royal Bank of Scotland Group PLC Senior Notes 2.55% due 09/18/2015		4,000		4,060
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		7,000		7,391
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		5,000		5,292
				34,620
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*		4,000		4,005

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*	$	4,000	$	4,070
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		5,000		5,671
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		2,000		2,105
Gold Mining — 0.1%
Barrick Gold Corp. Senior Notes 4.10% due 05/01/2023		20,000		19,218
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		5,000		5,188
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024*		3,000		3,052
				27,458
Hazardous Waste Disposal — 0.0%
Tervita Corp. Senior Sec. Notes 8.00% due 11/15/2018*		10,000		10,075
Medical-Drugs — 0.0%
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		3,000		2,989
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.85% due 06/15/2044*		3,000		2,818
Metal-Iron — 0.0%
Vale SA Senior Notes 5.63% due 09/11/2042		4,000		3,914
Oil & Gas Drilling — 0.0%
Ensco PLC Senior Notes 4.50% due 10/01/2024		3,000		3,010
Ensco PLC Senior Notes 5.75% due 10/01/2044		3,000		3,041
Transocean, Inc. Company Guar. Notes 3.80% due 10/15/2022		6,000		5,507
Transocean, Inc. Company Guar. Notes 6.38% due 12/15/2021		5,000		5,319

32

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil & Gas Drilling (continued)
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031	$	4,000	$	4,182
				21,059
Oil Companies-Exploration & Production — 0.1%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		8,000		10,835
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		10,000		10,425
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		6,052
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		4,000		4,140
Nexen, Inc. Company Guar. Notes 7.50% due 07/30/2039		10,000		13,792
Talisman Energy, Inc. Senior Notes 5.50% due 05/15/2042		7,000		7,126
				52,370
Oil Companies-Integrated — 0.1%
BP Capital Markets PLC Company Guar. Notes 2.25% due 11/01/2016		9,000		9,231
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		25,000		26,742
Petrobras Global Finance BV Company Guar. Notes 7.25% due 03/17/2044		4,000		4,323
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		3,000		3,061
Petroleos Mexicanos Company Guar. Notes 6.38% due 01/23/2045*		10,000		11,308
				54,665
Real Estate Operations & Development — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		3,000		2,992
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.75% due 02/25/2022		2,000		2,147
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		20,000		29,080

Security Description	Principal Amount(11)		Value (Note 2)
Telephone-Integrated (continued)
Telecom Italia Capital SA Company Guar. Notes 7.18% due 06/18/2019	$	8,000	$	9,040
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		13,000		14,625
				52,745
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		10,000		13,579
Total Foreign Corporate Bonds & Notes (cost $463,218)				474,478
MUNICIPAL BONDS & NOTES — 0.3%
New Jersey State Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		30,000		42,966
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111		10,000		10,387
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		11,000		12,080
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		5,000		4,985
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		25,000		14,251
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		25,000		14,252
State of California General Obligation Bonds 6.20% due 10/01/2019		25,000		29,587
State of California General Obligation Bonds Series B 6.51% due 04/01/2039		5,000		5,867
State of California General Obligation Bonds 7.55% due 04/01/2039		20,000		29,164

33

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of Illinois General Obligation Bonds 5.67% due 03/01/2018	$	15,000	$	16,496
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		15,000		16,210
Total Municipal Bonds & Notes (cost $169,497)				196,245
U.S. GOVERNMENT AGENCIES — 7.3%
Federal Home Loan Mtg. Corp. — 0.5%
2.50% due 01/01/2028		6,137		6,200
2.50% due 04/01/2028		17,122		17,328
3.00% due 10/01/2042		14,054		13,986
3.00% due 11/01/2042		7,055		6,975
3.00% due 02/01/2043		23,239		22,976
3.00% due 08/01/2043		108,966		107,954
3.50% due 03/01/2042		4,926		5,034
3.50% due 09/01/2043		51,308		52,549
4.00% due 09/01/2040		8,473		8,933
4.50% due 01/01/2039		1,947		2,101
5.00% due 07/01/2021		40,665		43,310
5.50% due 07/01/2034		6,376		7,141
6.00% due 08/01/2036		12,469		14,150
6.50% due 05/01/2029		1,211		1,389
6.50% due 05/01/2036		42		48
7.50% due 08/01/2023		114		124
7.50% due 04/01/2028		1,203		1,397
Federal Home Loan Mtg. Corp FRS 1.89% due 02/01/2037		2,319		2,445
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN2, Class M2 1.80% due 04/25/2024(6)		5,000		4,856
Series 2014-DN1, Class M2 2.35% due 02/25/2024(6)		5,000		4,978
Federal Home Loan Mtg. Corp REMIC Series 3964, Class MD 2.00% due 01/15/2041(6)		1,757		1,703
Series 1577, Class PK 6.50% due 09/15/2023(6)		4,241		4,673
Series 1226, Class Z 7.75% due 03/15/2022(6)		508		547
				330,797
Federal National Mtg. Assoc. — 5.7%
2.50% due 02/01/2043		95,824		90,852
3.00% due 01/01/2028		17,145		17,712
3.00% due 12/01/2042		15,464		15,308
3.00% due 05/01/2043		41,874		41,352
3.00% due October 15 TBA		100,000		103,000
3.00% due October 30 TBA		630,000		621,042
3.50% due 08/01/2026		21,389		22,525
3.50% due 09/01/2026		20,474		21,579
3.50% due 10/01/2028		22,801		24,076
3.50% due 08/01/2042		11,000		11,282

Security Description	Principal Amount(11)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
3.50% due 08/01/2043	$	83,265	$	85,222
3.50% due October 30 TBA		477,000		487,546
4.00% due 11/01/2025		3,642		3,889
4.00% due 09/01/2040		9,601		10,132
4.00% due 11/01/2040		2,560		2,701
4.00% due 12/01/2040		33,872		35,745
4.00% due 11/01/2041		13,769		14,529
4.00% due 01/01/2042		15,066		15,899
4.00% due 12/01/2043		28,638		30,371
4.00% due October 30 TBA		409,235		431,274
4.50% due 11/01/2022		15,089		16,061
4.50% due 01/01/2039		4,461		4,816
4.50% due 06/01/2039		44,739		48,532
4.50% due 09/01/2039		8,256		8,921
4.50% due 09/01/2040		19,223		20,782
4.50% due 05/01/2041		7,891		8,518
4.50% due October 30 TBA		516,000		556,716
4.85% due 11/01/2015		185,267		190,351
4.96% due 01/01/2015		48,228		48,165
5.00% due 06/01/2019		781		832
5.00% due 05/01/2035		1,623		1,795
5.00% due 06/01/2040		67,861		75,026
5.00% due 07/01/2040		16,388		18,108
5.00% due October 30 TBA		450,000		496,505
5.50% due 11/01/2020		4,616		4,925
5.50% due 04/01/2021		71,367		77,930
5.50% due 12/01/2029		2,545		2,842
5.50% due 06/01/2035		163,743		184,273
5.50% due 08/01/2037		26,758		29,871
5.50% due 06/01/2038		14,513		16,273
6.00% due 06/01/2017		2,148		2,244
6.00% due 12/01/2033		10,581		12,047
6.00% due 05/01/2034		774		881
6.00% due 06/01/2040		373		421
6.00% due October 30 TBA		100,000		113,027
6.50% due 08/01/2017		4,305		4,465
6.50% due 10/01/2037		456		516
7.00% due 06/01/2037		12,487		13,846
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C02, Class 2MI 1.10% due 05/25/2024(6)		3,681		3,627
Series 2014-C01, Class M1 1.75% due 01/25/2024(6)		5,478		5,487
Series 2013-C01, Class M1 2.15% due 10/25/2023(6)		12,081		12,210
Federal National Mtg. Assoc. FRS 2.13% due 05/01/2037		4,492		4,777
3.52% due 10/01/2040		4,958		5,300
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(6)		13,521		13,441
				4,089,567

34

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. — 1.1%
4.00% due 09/15/2041	$	405,880	$	433,577
4.50% due 06/15/2041		265,034		288,383
6.00% due 11/15/2031		50,936		57,489
7.00% due 05/15/2033		10,399		12,254
8.50% due 11/15/2017		216		232
9.00% due 11/15/2021		153		178
Government National Mtg. Assoc. REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(6)		225		258
Series 2005-74, Class HC 7.50% due 09/16/2035(6)		2,836		3,275
				795,646
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		6,000		6,005
Total U.S. Government Agencies (cost $5,168,532)				5,222,015
U.S. GOVERNMENT TREASURIES — 5.7%
United States Treasury Bonds — 0.8%
3.13% due 08/15/2044		70,000		68,884
3.38% due 05/15/2044		194,000		200,305
3.63% due 02/15/2044		11,000		11,887
4.38% due 02/15/2038(7)		40,000		48,556
4.38% due 11/15/2039		145,000		176,923
United States Treasury Bonds TIPS 1.38% due 02/15/2044(8)		86,895		92,943
				599,498
United States Treasury Notes — 4.9%
0.25% due 11/30/2014(7)		45,000		45,014
0.63% due 12/15/2016		30,000		29,937
0.63% due 05/31/2017		13,000		12,887
0.63% due 08/31/2017		13,000		12,828
0.88% due 09/15/2016		510,000		512,769
0.88% due 02/28/2017		70,000		70,071
0.88% due 04/30/2017		145,000		144,853
1.00% due 08/31/2016		68,000		68,553
1.00% due 10/31/2016		20,000		20,142
1.00% due 05/31/2018		4,000		3,940
1.25% due 10/31/2015		13,000		13,151
1.38% due 11/30/2015		190,000		192,575
1.38% due 07/31/2018		69,000		68,720
1.50% due 02/28/2019		11,000		10,922
1.63% due 08/15/2022		22,000		20,890
1.75% due 07/31/2015		470,000		476,426
2.00% due 01/31/2016		390,000		398,928
2.00% due 04/30/2016		395,000		404,890
2.00% due 02/15/2022		21,000		20,626
2.13% due 05/31/2015		7,000		7,095
2.13% due 08/15/2021		5,000		4,975
2.38% due 08/15/2024		6,000		5,931
United States Treasury Notes FRS 0.06% due 01/31/2016		34,000		34,007

Security Description	Principal Amount(11)		Value (Note 2)
United States Treasury Notes (continued)
United States Treasury Notes TIPS 0.13% due 04/15/2018(8)	$	96,884	$	97,656
0.13% due 04/15/2019(8)		208,442		208,947
0.13% due 01/15/2023(8)		134,185		129,824
0.13% due 07/15/2024(8)		150,510		144,501
0.63% due 01/15/2024(8)		347,174		348,910
				3,509,968
Total U.S. Government Treasuries (cost $4,075,519)				4,109,466
FOREIGN GOVERNMENT OBLIGATIONS — 0.4%
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		8,000		8,044
Sovereign — 0.4%
Federative Republic of Brazil Letras Financeiras do Tesouro Bills zero coupon due 09/01/2020	BRL	16,000		41,584
Government of Canada Senior Notes 0.88% due 02/14/2017		7,000		6,989
Government of France Bonds 0.25% due 07/25/2024(8)	EUR	10,120		13,330
Government of Uruguay Bonds 4.25% due 04/05/2027	UYU	620,871		27,562
Italy Buoni Poliennali Del Tesoro Notes 2.35% due 09/15/2024*(8)	EUR	10,012		14,061
Kingdom of Spain Senior Notes 1.80% due 11/30/2024*(8)	EUR	9,976		13,805
Republic of Portugal Notes 5.13% due 10/15/2024*		10,000		10,360
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	300,000		25,972
Russian Federation Bonds 7.50% due 02/27/2019	RUB	825,000		19,552
United Mexican States Senior Notes 3.50% due 01/21/2021		13,000		13,174
United Mexican States Senior Notes 4.75% due 03/08/2044		58,000		57,565
				243,954
SupraNational Banks — 0.0%
Asian Development Bank Senior Notes 6.35% due 08/17/2016	INR	1,500,000		24,284
Total Foreign Government Obligations (cost $282,717)				276,282

35

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)			Value (Note 2)
OPTIONS — PURCHASED — 0.0%
Call Options-Purchased†(2)(9)	RUB	1,000,000		$	122
Call Options-Purchased†(2)(9)	BRL	90,000			540
Total Options — Purchased (cost $1,029)					662
Total Long-Term Investment Securities (cost $61,269,202)					71,578,514
SHORT-TERM INVESTMENT SECURITIES — 0.8%
Time Deposits — 0.8%
Euro Time Deposit with State Street Bank & Trust Co. 0.01% due 10/01/2014 (cost $613,000)	$	613,000			613,000
REPURCHASE AGREEMENTS — 3.2%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $37,000 collateralized by $45,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $41,701		37,000			37,000
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $337,000 collateralized by $375,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $347,506		337,000			337,000
Bank of America Securities LLC Joint Repurchase Agreement(10)		475,000			475,000
Barclays Capital PLC Joint Repurchase Agreement(10)		410,000			410,000
BNP Paribas SA Joint Repurchase Agreement(10)		380,000			380,000
Deutsche Bank AG Joint Repurchase Agreement(10)		250,000			250,000
Royal Bank of Scotland Joint Repurchase Agreement(10)		440,000			440,000
Total Repurchase Agreements (cost $2,329,000)					2,329,000
TOTAL INVESTMENTS (cost $64,211,202)(12)		103.8	%		74,520,514
Liabilities in excess of other assets		(3.8	)		(2,747,928	)
NET ASSETS		100.0	%	$	71,772,586

†  Non-income producing security

*    Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $1,431,831 representing 2.0% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)    Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)    Illiquid security. At September 30, 2014, the aggregate value of these securities was $1,661 representing 0.0% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Multi-Managed Growth Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	04/09/2014		2	$	0	$	996	$	498		0.00	%

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

(5)  Commercial Mortgage Backed Security

(6)  Collateralized Mortgage Obligation

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

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

(9)  Options — purchased

36

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2014		Appreciation (Depreciation)
Call option to deliver U.S. dollars in exchange for Brazilian Reals with Goldman Sachs International	September 2015	$	2.41	BRL	90,000	$	667	$	540	$	(127	)
Call option to deliver U.S. dollars in exchange for Russian Rubles with Goldman Sachs International	September 2015		36.97	RUB	1,000,000		361		122		(239	)
						$	1,028	$	662	$	(366	)

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

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

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

BRL — Brazilian Real

CVR — Contingent Value Rights

EUR — Euro Dollar

INR — Indian Rupee

REMIC — Real Estate Mortgage Investment Conduit

RUB — Russian Ruble

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

TIPS — Treasury Inflation Protected Securities

UYU — Uruguayan Peso

ZAR — South African Rand

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2014 and unless noted otherwise, the dates shown are the original maturity dates.

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	6	Long	Russell 2000 Mini Index	December 2014	$	680,672	$	657,960	$	(22,712	)
	3	Long	U.S. Treasury 2YR Notes	December 2014		656,780		656,531		(249	)
	17	Long	U.S. Treasury 5YR Notes	December 2014		2,009,458		2,010,383		925
	15	Short	U.S. Treasury 10YR Notes	December 2014		1,862,948		1,869,608		(6,660	)
	4	Short	U.S. Long Bonds	December 2014		556,375		551,625		4,750
	3	Long	U.S. Ultra Bonds	December 2014		456,000		457,500		1,500
									$	(22,446	)

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	EUR	10,000	USD	12,935	9/18/15	$	252	$	—
	USD	10,078	RSD	1,000,000	9/18/15		—		(169	)
							252		(169	)
Deutsche Bank AG	EUR	33,000	USD	42,728	12/17/14		1,025		—
Goldman Sachs International	JPY	1,333,000	USD	12,183	12/17/14		20		—
JPMorgan Chase Bank	USD	12,508	JPY	1,333,000	12/17/14		—		(346	)
Net Unrealized Appreciation (Depreciation)						$	1,297	$	(515	)

EUR — Euro Dollar

JPY — Japanese Yen

RSD — Serbian Dinar

USD — United States Dollar

37

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Medical-Biomedical/Gene	$	2,463,078	$	—	$	0	$	2,463,078
Television		170,451		—		996		171,447
Other Industries*		49,731,258		—		—		49,731,258
Preferred Securities		17,868		—		—		17,868
Preferred Securities/Capital Securities		—		457,231		—		457,231
Asset Backed Securities		—		2,873,692		—		2,873,692
U.S. Corporate Bonds & Notes:
Recycling		—		—		0		0
Other Industries*		—		5,584,792		—		5,584,792
Foreign Corporate Bonds & Notes		—		474,478		—		474,478
Municipal Bond & Notes		—		196,245		—		196,245
U.S. Government Agencies:
Federal National Mtg. Assoc.		—		4,089,567		—		4,089,567
Other Government Agencies*		—		1,132,448		—		1,132,448
U.S. Government Treasuries		—		4,109,466		—		4,109,466
Foreign Government Obligations		—		276,282		—		276,282
Options-Purchased		—		662		—		662
Short-Term Investment Securities:
Time Deposits		—		613,000		—		613,000
Repurchase Agreements		—		2,329,000		—		2,329,000
Other Financial Instruments:+
Open Futures Contracts-Appreciation		7,175		—		—		7,175
Open Forward Foreign Currency
Contracts-Appreciation		—		1,297		—		1,297
Total	$	52,389,830	$	22,138,160	$	996	$	74,528,986
Liabilities:
Other Financial Instruments:+
Open Futures Contracts-Depreciation	$	29,621	$	—	$	—	$	29,621
Open Forward Foreign Currency
Contracts-Depreciation		—		515		—		515
Total	$	29,621	$	515	$	—	$	30,136

*  Sum of all other industries or government agencies each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry or government agency classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

38

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Diversified Financial Services	9.5	%
Federal National Mtg. Assoc.	8.5
United States Treasury Notes	8.3
Repurchase Agreements	5.6
Diversified Banking Institutions	3.3
Real Estate Investment Trusts	2.8
Medical-Biomedical/Gene	2.7
Medical-Drugs	2.7
Banks-Commercial	2.5
Computers	2.4
Government National Mtg. Assoc.	2.2
Oil Companies-Exploration & Production	1.9
Web Portals/ISP	1.7
Multimedia	1.5
Banks-Super Regional	1.3
Semiconductor Components-Integrated Circuits	1.1
Cable/Satellite TV	1.1
Oil-Field Services	1.0
Diversified Manufacturing Operations	1.0
Chemicals-Diversified	0.8
Beverages-Non-alcoholic	0.8
Telecom Services	0.8
Cosmetics & Toiletries	0.8
Applications Software	0.8
Sovereign	0.8
Time Deposits	0.8
Electric-Integrated	0.8
Electronic Components-Misc.	0.8
Transport-Rail	0.7
Telephone-Integrated	0.7
Oil Companies-Integrated	0.7
Pharmacy Services	0.7
Retail-Restaurants	0.6
Pipelines	0.6
Federal Home Loan Mtg. Corp.	0.6
Computer Services	0.6
E-Commerce/Products	0.6
Metal Processors & Fabrication	0.6
Electronic Components-Semiconductors	0.6
Commercial Services-Finance	0.6
Finance-Credit Card	0.6
Medical-HMO	0.5
Finance-Investment Banker/Broker	0.5
Insurance-Life/Health	0.5
Enterprise Software/Service	0.5
Food-Retail	0.5
Internet Content-Entertainment	0.5
Medical-Hospitals	0.5
Transport-Services	0.5
Instruments-Controls	0.5
Cellular Telecom	0.5
Insurance-Multi-line	0.5
Aerospace/Defense-Equipment	0.4
Airlines	0.4
Medical Products	0.4
Retail-Drug Store	0.4
Retail-Building Products	0.4
Wireless Equipment	0.4
Municipal Bonds	0.4
Tobacco	0.4

United States Treasury Bonds	0.4	%
Finance-Consumer Loans	0.4
Distribution/Wholesale	0.4
Retail-Auto Parts	0.4
Retail-Regional Department Stores	0.4
Retail-Apparel/Shoe	0.4
Auto/Truck Parts & Equipment-Original	0.4
Therapeutics	0.3
Semiconductor Equipment	0.3
E-Commerce/Services	0.3
Electronic Security Devices	0.3
Electronic Connectors	0.3
Industrial Gases	0.3
Athletic Footwear	0.3
Hotels/Motels	0.3
Machinery-General Industrial	0.3
Oil Refining & Marketing	0.3
Apparel Manufacturers	0.3
Engineering/R&D Services	0.3
Human Resources	0.3
Computer Aided Design	0.3
Food-Misc./Diversified	0.3
Networking Products	0.3
Agricultural Chemicals	0.3
Food-Confectionery	0.3
Finance-Auto Loans	0.3
Insurance-Property/Casualty	0.3
Retail-Major Department Stores	0.3
Insurance Brokers	0.3
Medical Instruments	0.3
Computers-Memory Devices	0.3
Gas-Distribution	0.3
Electronic Design Automation	0.2
Investment Management/Advisor Services	0.2
Containers-Metal/Glass	0.2
Schools	0.2
Containers-Paper/Plastic	0.2
Steel-Producers	0.2
Retail-Catalog Shopping	0.2
Footwear & Related Apparel	0.2
Casino Hotels	0.2
Transactional Software	0.2
Electric-Transmission	0.2
Medical-Wholesale Drug Distribution	0.2
Entertainment Software	0.2
Telecommunication Equipment	0.2
Finance-Other Services	0.2
Retail-Gardening Products	0.2
Retail-Perfume & Cosmetics	0.2
Chemicals-Specialty	0.2
Transport-Truck	0.2
Computers-Integrated Systems	0.2
Television	0.2
Energy-Alternate Sources	0.2
Electronic Measurement Instruments	0.2
Machinery-Construction & Mining	0.2
Paper & Related Products	0.2
Food-Wholesale/Distribution	0.2
Retail-Jewelry	0.2
Savings & Loans/Thrifts	0.2

39

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Coal	0.2	%
Retail-Pet Food & Supplies	0.2
Medical Information Systems	0.2
Building & Construction Products-Misc.	0.2
Retail-Discount	0.2
Retail-Mail Order	0.1
Retail-Bookstores	0.1
Electric Products-Misc.	0.1
Retail-Appliances	0.1
Audio/Video Products	0.1
Food-Baking	0.1
Real Estate Management/Services	0.1
Data Processing/Management	0.1
Printing-Commercial	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Trucking/Leasing	0.1
Poultry	0.1
Filtration/Separation Products	0.1
Toys	0.1
Security Services	0.1
Auto-Heavy Duty Trucks	0.1
Insurance-Reinsurance	0.1
Computer Software	0.1
Electric-Generation	0.1
Finance-Leasing Companies	0.1
Insurance-Mutual	0.1
Beverages-Wine/Spirits	0.1
Telecom Equipment-Fiber Optics	0.1
Lasers-System/Components	0.1
Aerospace/Defense	0.1
Lighting Products & Systems	0.1
Engines-Internal Combustion	0.1
Building-Residential/Commercial	0.1
Computer Data Security	0.1
Drug Delivery Systems	0.1
Publishing-Newspapers	0.1
Real Estate Operations & Development	0.1
Research & Development	0.1
Power Converter/Supply Equipment	0.1
Retail-Convenience Store	0.1
Oil Field Machinery & Equipment	0.1
Medical Laser Systems	0.1
Internet Telephone	0.1
Metal-Copper	0.1
Vitamins & Nutrition Products	0.1
Web Hosting/Design	0.1
Brewery	0.1
Internet Application Software	0.1
Gold Mining	0.1
SupraNational Banks	0.1
Consulting Services	0.1
Machinery-Farming	0.1
Medical-Outpatient/Home Medical	0.1
Decision Support Software	0.1
Industrial Audio & Video Products	0.1
Auction Houses/Art Dealers	0.1
	107.2	%

*  Calculated as a percentage of net assets

40

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 57.5%
Advertising Services — 0.0%
Millennial Media, Inc.†		15,900	$	29,574
Sizmek, Inc.†		1,447		11,200
				40,774
Aerospace/Defense — 0.1%
Boeing Co.		708		90,185
Aerospace/Defense-Equipment — 0.4%
AAR Corp.		9,875		238,481
B/E Aerospace, Inc.†		1,649		138,417
United Technologies Corp.		1,958		206,765
				583,663
Agricultural Chemicals — 0.2%
Monsanto Co.		2,667		300,064
Airlines — 0.4%
Alaska Air Group, Inc.		4,275		186,133
United Continental Holdings, Inc.†		8,263		386,626
				572,759
Apparel Manufacturers — 0.3%
Carter's, Inc.		2,769		214,653
Michael Kors Holdings, Ltd.†		988		70,533
Ralph Lauren Corp.		625		102,956
				388,142
Applications Software — 0.8%
Actuate Corp.†		3,450		13,455
Five9, Inc.†		1,325		8,665
Globant SA†		675		9,497
Microsoft Corp.		19,560		906,802
Paycom Software, Inc.†		1,850		30,636
Red Hat, Inc.†		965		54,185
salesforce.com, Inc.†		1,763		101,425
				1,124,665
Athletic Footwear — 0.3%
NIKE, Inc., Class B		5,157		460,004
Audio/Video Products — 0.1%
TiVo, Inc.†		12,475		159,618
VOXX International Corp.†		4,000		37,200
				196,818
Auto-Cars/Light Trucks — 0.0%
Ford Motor Co.		3,239		47,905
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		2,301		130,869
Auto/Truck Parts & Equipment-Original — 0.3%
BorgWarner, Inc.		1,586		83,440
Dana Holding Corp.		12,900		247,293
Tower International, Inc.†		2,975		74,940
				405,673
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		8,800		171,600
Banks-Commercial — 1.4%
1st Source Corp.		1,075		30,616
BancFirst Corp.		2,000		125,120

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
BancorpSouth, Inc.		4,550	$	91,637
Banner Corp.		1,075		41,355
BBCN Bancorp, Inc.		1,550		22,615
Capital Bank Financial Corp., Class A†		4,725		112,833
Cathay General Bancorp		1,750		43,452
Central Pacific Financial Corp.		8,725		156,439
Chemical Financial Corp.		700		18,823
Citizens & Northern Corp.		450		8,550
City Holding Co.		1,150		48,449
CoBiz Financial, Inc.		1,275		14,255
CVB Financial Corp.		7,725		110,854
East West Bancorp, Inc.		268		9,112
First Commonwealth Financial Corp.		12,325		103,407
First Financial Bancorp		1,050		16,622
First Interstate BancSystem, Inc.		1,075		28,563
FNB Corp.		2,825		33,872
Guaranty Bancorp		775		10,470
MainSource Financial Group, Inc.		1,125		19,406
National Penn Bancshares, Inc.		1,325		12,866
OFG Bancorp		4,925		73,776
OmniAmerican Bancorp, Inc.		675		17,543
PacWest Bancorp		5,358		220,910
Regions Financial Corp.		8,668		87,027
Sierra Bancorp		550		9,218
Simmons First National Corp., Class A		1,325		51,039
Southwest Bancorp, Inc.		2,800		45,920
Suffolk Bancorp		2,422		47,011
Susquehanna Bancshares, Inc.		2,625		26,250
TCF Financial Corp.		4,575		71,050
UMB Financial Corp.		675		36,821
Union Bankshares Corp.		6,884		159,020
Webster Financial Corp.		400		11,656
West Bancorporation, Inc.		2,050		28,967
Westamerica Bancorporation		575		26,749
Wilshire Bancorp, Inc.		4,250		39,227
				2,011,500
Banks-Super Regional — 0.8%
Capital One Financial Corp.		3,587		292,771
Comerica, Inc.		3,202		159,652
Fifth Third Bancorp		1,643		32,893
PNC Financial Services Group, Inc.		1,263		108,088
SunTrust Banks, Inc.		2,338		88,914
US Bancorp		6,223		260,308
Wells Fargo & Co.		4,544		235,697
				1,178,323
Beverages-Non-alcoholic — 0.8%
Coca-Cola Co.		5,106		217,822
Monster Beverage Corp.†		1,558		142,822
PepsiCo, Inc.		8,722		811,931
				1,172,575

41

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		1,476	$	133,165
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		5,375		73,584
Nortek, Inc.†		400		29,800
Trex Co., Inc.†		400		13,828
				117,212
Cable/Satellite TV — 0.7%
Comcast Corp., Class A		13,832		743,885
Time Warner Cable, Inc.		1,543		221,405
				965,290
Casino Hotels — 0.2%
MGM Resorts International†		13,209		300,901
Cellular Telecom — 0.3%
T-Mobile US, Inc.†		11,907		343,755
Chemicals-Diversified — 0.8%
Dow Chemical Co.		1,101		57,737
E.I. du Pont de Nemours & Co.		437		31,359
LyondellBasell Industries NV, Class A		5,000		543,300
PPG Industries, Inc.		1,533		301,602
Rockwood Holdings, Inc.		2,983		228,050
				1,162,048
Chemicals-Specialty — 0.2%
Minerals Technologies, Inc.		3,025		186,673
OM Group, Inc.		2,200		57,090
				243,763
Coal — 0.1%
Cloud Peak Energy, Inc.†		7,100		89,602
Commercial Services — 0.0%
Medifast, Inc.†		275		9,028
Commercial Services-Finance — 0.6%
EVERTEC, Inc.		675		15,080
Heartland Payment Systems, Inc.		1,325		63,229
MasterCard, Inc., Class A		7,236		534,885
MoneyGram International, Inc.†		2,425		30,409
Vantiv, Inc., Class A†		4,947		152,862
				796,465
Computer Aided Design — 0.3%
ANSYS, Inc.†		3,292		249,106
Aspen Technology, Inc.†		4,625		174,455
				423,561
Computer Data Security — 0.1%
Qualys, Inc.†		2,400		63,840
Varonis Systems, Inc.†		2,511		52,982
				116,822

Security Description	Shares		Value (Note 2)
Computer Services — 0.6%
Engility Holdings, Inc.†		2,675	$	83,380
IHS, Inc., Class A†		1,659		207,690
Insight Enterprises, Inc.†		675		15,275
International Business Machines Corp.		680		129,084
Manhattan Associates, Inc.†		10,525		351,746
Unisys Corp.†		3,050		71,401
				858,576
Computer Software — 0.1%
AVG Technologies NV†		3,100		51,398
Avid Technology, Inc.†		8,875		89,638
				141,036
Computers — 2.2%
Apple, Inc.		29,890		3,011,417
Hewlett-Packard Co.		2,065		73,246
				3,084,663
Computers-Integrated Systems — 0.2%
NCR Corp.†		6,247		208,712
VeriFone Systems, Inc.†		1,100		37,818
				246,530
Computers-Memory Devices — 0.3%
EMC Corp.		6,895		201,748
NetApp, Inc.		1,507		64,741
Nimble Storage, Inc.†		3,450		89,596
				356,085
Consulting Services — 0.1%
FTI Consulting, Inc.†		2,000		69,920
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		1,350		32,738
Containers-Metal/Glass — 0.2%
Crown Holdings, Inc.†		7,245		322,547
Containers-Paper/Plastic — 0.2%
Graphic Packaging Holding Co.†		16,650		206,959
Rock-Tenn Co., Class A		2,260		107,531
				314,490
Cosmetics & Toiletries — 0.8%
Colgate-Palmolive Co.		12,315		803,184
Estee Lauder Cos., Inc., Class A		3,459		258,456
Inter Parfums, Inc.		325		8,938
Procter & Gamble Co.		1,003		83,991
				1,154,569
Data Processing/Management — 0.1%
Fair Isaac Corp.		1,650		90,915
Pegasystems, Inc.		2,300		43,953
				134,868
Decision Support Software — 0.1%
Castlight Health, Inc., Class B†		5,050		65,347
Distribution/Wholesale — 0.4%
Owens & Minor, Inc.		3,075		100,675
ScanSource, Inc.†		2,200		76,098

42

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Distribution/Wholesale (continued)
United Stationers, Inc.		6,600	$	247,962
WESCO International, Inc.†		1,392		108,938
				533,673
Diversified Banking Institutions — 0.9%
Bank of America Corp.		2,971		50,655
Citigroup, Inc.		5,018		260,033
Goldman Sachs Group, Inc.		1,732		317,943
JPMorgan Chase & Co.		6,804		409,873
Morgan Stanley		4,696		162,341
				1,200,845
Diversified Manufacturing Operations — 0.9%
Blount International, Inc.†		975		14,752
Colfax Corp.†		5,280		300,802
Danaher Corp.		3,226		245,111
Dover Corp.		2,469		198,335
Eaton Corp. PLC		2,012		127,500
General Electric Co.		6,918		177,239
Leggett & Platt, Inc.		1,750		61,110
Park-Ohio Holdings Corp.		550		26,323
Standex International Corp.		1,550		114,917
				1,266,089
Drug Delivery Systems — 0.1%
BioDelivery Sciences International, Inc.†		2,850		48,706
Catalent, Inc.†		1,850		46,306
Revance Therapeutics, Inc.†		975		18,847
				113,859
E-Commerce/Products — 0.6%
Amazon.com, Inc.†		2,068		666,806
Chegg, Inc.†		575		3,588
eBay, Inc.†		3,213		181,952
				852,346
E-Commerce/Services — 0.3%
Coupons.com, Inc.†		575		6,877
Priceline Group, Inc.†		396		458,798
				465,675
E-Marketing/Info — 0.0%
Rubicon Project, Inc.†		675		7,918
TubeMogul, Inc.†		400		4,600
				12,518
Electric Products-Misc. — 0.1%
Emerson Electric Co.		3,191		199,693
Electric-Generation — 0.0%
Atlantic Power Corp.		14,575		34,689
Electric-Integrated — 0.4%
El Paso Electric Co.		2,125		77,669
NextEra Energy, Inc.		532		49,944
NorthWestern Corp.		4,350		197,316
PG&E Corp.		1,054		47,472
PNM Resources, Inc.		1,625		40,479
Portland General Electric Co.		4,350		139,722
				552,602

Security Description	Shares		Value (Note 2)
Electric-Transmission — 0.2%
Brookfield Infrastructure Partners LP		7,472	$	283,936
Electronic Components-Misc. — 0.8%
Benchmark Electronics, Inc.†		8,025		178,235
InvenSense, Inc.†		3,275		64,616
Stoneridge, Inc.†		16,825		189,618
TE Connectivity, Ltd.		10,633		587,899
Vishay Intertechnology, Inc.		2,050		29,294
				1,049,662
Electronic Components-Semiconductors — 0.6%
DSP Group, Inc.†		1,925		17,075
First Solar, Inc.†		1,550		102,005
Freescale Semiconductor, Ltd.†		4,301		83,999
Intel Corp.		4,188		145,826
OmniVision Technologies, Inc.†		1,175		31,091
PMC-Sierra, Inc.†		6,800		50,728
Texas Instruments, Inc.		3,005		143,308
Xilinx, Inc.		6,006		254,354
				828,386
Electronic Connectors — 0.3%
Amphenol Corp., Class A		4,648		464,149
Electronic Design Automation — 0.2%
Cadence Design Systems, Inc.†		19,445		334,648
Electronic Measurement Instruments — 0.2%
National Instruments Corp.		7,692		237,914
Electronic Security Devices — 0.3%
Taser International, Inc.†		11,225		173,314
Tyco International, Ltd.		6,532		291,131
				464,445
Energy-Alternate Sources — 0.2%
Renewable Energy Group, Inc.†		1,325		13,449
REX American Resources Corp.†		3,000		218,640
TerraForm Power, Inc., Class A†		325		9,379
				241,468
Engineering/R&D Services — 0.3%
Argan, Inc.		4,234		141,331
EMCOR Group, Inc.		4,625		184,815
VSE Corp.		2,125		104,167
				430,313
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		6,800		122,536
Enterprise Software/Service — 0.5%
Informatica Corp.†		2,254		77,177
ManTech International Corp., Class A		5,700		153,615
MedAssets, Inc.†		5,150		106,708
OPOWER, Inc.†		125		2,357
Oracle Corp.		5,234		200,358
Rally Software Development Corp.†		4,925		59,149
Tyler Technologies, Inc.†		983		86,897
Veeva Systems, Inc., Class A†		875		24,649
				710,910

43

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Entertainment Software — 0.1%
Take-Two Interactive Software, Inc.†		6,600	$	152,262
Filtration/Separation Products — 0.1%
Polypore International, Inc.†		4,175		162,449
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		200		25,214
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		1,950		84,026
Ocwen Financial Corp.†		4,000		104,720
Portfolio Recovery Associates, Inc.†		1,575		82,262
World Acceptance Corp.†		1,775		119,812
				390,820
Finance-Credit Card — 0.6%
American Express Co.		2,848		249,314
Visa, Inc., Class A		2,425		517,422
				766,736
Finance-Investment Banker/Broker — 0.5%
Cowen Group, Inc., Class A†		9,300		34,875
E*TRADE Financial Corp.†		7,778		175,705
FBR & Co.†		1,325		36,464
Greenhill & Co., Inc.		400		18,596
Investment Technology Group, Inc.†		10,175		160,358
LPL Financial Holdings, Inc.		3,913		180,193
TD Ameritrade Holding Corp.		3,348		111,723
				717,914
Finance-Leasing Companies — 0.0%
Marlin Business Services Corp.		1,425		26,106
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		1,075		27,316
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		708		138,095
Outerwall, Inc.†		1,550		86,955
				225,050
Financial Guarantee Insurance — 0.0%
NMI Holdings, Inc., Class A†		4,525		39,141
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		400		11,440
Food-Confectionery — 0.3%
Hershey Co.		4,335		413,689
Food-Misc./Diversified — 0.3%
B&G Foods, Inc.		1,550		42,703
Chiquita Brands International, Inc.†		7,575		107,565
Mondelez International, Inc., Class A		5,130		175,779
Pinnacle Foods, Inc.		2,525		82,441
				408,488
Food-Retail — 0.5%
Kroger Co.		7,312		380,224
Smart & Final Stores, Inc.†		2,200		31,746
Whole Foods Market, Inc.		7,967		303,622
				715,592

Security Description	Shares		Value (Note 2)
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		3,206	$	121,668
Footwear & Related Apparel — 0.2%
Iconix Brand Group, Inc.†		8,300		306,602
Gas-Distribution — 0.2%
AGL Resources, Inc.		1,025		52,623
Laclede Group, Inc.		1,325		61,480
Piedmont Natural Gas Co., Inc.		1,275		42,751
Southwest Gas Corp.		1,075		52,224
				209,078
Health Care Cost Containment — 0.0%
HealthEquity, Inc.†		225		4,120
Hotels/Motels — 0.3%
Hyatt Hotels Corp., Class A†		1,199		72,563
Marriott International, Inc., Class A		3,154		220,465
Starwood Hotels & Resorts Worldwide, Inc.		1,991		165,671
				458,699
Housewares — 0.0%
Lifetime Brands, Inc.		975		14,927
Human Resources — 0.3%
Barrett Business Services, Inc.		3,000		118,470
Cross Country Healthcare, Inc.†		20,700		192,303
Monster Worldwide, Inc.†		15,677		86,223
Paylocity Holding Corp.†		775		15,229
TriNet Group, Inc.†		575		14,806
				427,031
Identification Systems — 0.0%
Imprivata Inc†		1,225		19,012
Independent Power Producers — 0.0%
Dynegy, Inc.†		1,325		38,240
Industrial Audio & Video Products — 0.1%
GoPro, Inc., Class A†		675		63,248
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		1,100		41,426
Industrial Gases — 0.3%
Air Products & Chemicals, Inc.		3,536		460,316
Instruments-Controls — 0.5%
Honeywell International, Inc.		1,909		177,766
Sensata Technologies Holding NV†		9,938		442,539
Watts Water Technologies, Inc., Class A		125		7,281
				627,586
Insurance Brokers — 0.2%
Aon PLC		3,452		302,637
Insurance-Life/Health — 0.5%
American Equity Investment Life Holding Co.		5,100		116,688
CNO Financial Group, Inc.		8,750		148,400
Lincoln National Corp.		3,713		198,943
Primerica, Inc.		1,075		51,836
Prudential Financial, Inc.		1,964		172,714

44

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Life/Health (continued)
Trupanion, Inc.†		1,225	$	10,413
				698,994
Insurance-Multi-line — 0.2%
Hartford Financial Services Group, Inc.		6,823		254,157
Insurance-Property/Casualty — 0.2%
Chubb Corp.		714		65,031
Global Indemnity PLC†		400		10,092
Navigators Group, Inc.†		1,000		61,500
ProAssurance Corp.		1,550		68,309
Stewart Information Services Corp.		275		8,071
				213,003
Insurance-Reinsurance — 0.1%
Aspen Insurance Holdings, Ltd.		475		20,316
Platinum Underwriters Holdings, Ltd.		2,025		123,262
				143,578
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		4,425		32,701
Intralinks Holdings, Inc.†		7,775		62,977
				95,678
Internet Content-Entertainment — 0.5%
Facebook, Inc., Class A†		5,592		441,992
Pandora Media, Inc.†		5,339		128,990
Twitter, Inc.†		2,382		122,863
				693,845
Internet Content-Information/News — 0.0%
WebMD Health Corp.†		400		16,724
Internet Telephone — 0.1%
magicJack VocalTec, Ltd.†		2,694		26,536
RingCentral, Inc.†		4,275		54,335
TeleCommunication Systems, Inc., Class A†		7,575		21,134
				102,005
Investment Management/Advisor Services — 0.2%
Affiliated Managers Group, Inc.†		483		96,774
Artisan Partners Asset Management, Inc., Class A		400		20,820
BlackRock, Inc.		583		191,410
Federated Investors, Inc., Class B		650		19,084
				328,088
Lasers-System/Components — 0.1%
Coherent, Inc.†		2,000		122,740
Newport Corp.†		325		5,759
				128,499
Lighting Products & Systems — 0.1%
Acuity Brands, Inc.		1,050		123,596
Linen Supply & Related Items — 0.0%
G&K Services, Inc., Class A		775		42,920
Machinery-Construction & Mining — 0.2%
Caterpillar, Inc.		900		89,127
Hyster-Yale Materials Handling, Inc.		450		32,229

Security Description	Shares		Value (Note 2)
Machinery-Construction & Mining (continued)
Terex Corp.		3,471	$	110,274
				231,630
Machinery-General Industrial — 0.3%
Applied Industrial Technologies, Inc.		1,550		70,757
Kadant, Inc.		2,525		98,601
Roper Industries, Inc.		1,933		282,779
				452,137
Medical Information Systems — 0.2%
athenahealth, Inc.†		1,549		203,988
Medical Instruments — 0.3%
CONMED Corp.		3,975		146,439
NuVasive, Inc.†		2,200		76,714
SurModics, Inc.†		8,475		153,906
				377,059
Medical Labs & Testing Services — 0.0%
Roka Bioscience, Inc.†		1,225		12,311
Medical Laser Systems — 0.1%
PhotoMedex, Inc.†		16,750		103,850
Medical Products — 0.4%
Accuray, Inc.†		7,475		54,268
Covidien PLC		1,613		139,541
Intersect ENT, Inc.†		350		5,425
Wright Medical Group, Inc.†		2,200		66,660
Zimmer Holdings, Inc.		3,147		316,431
				582,325
Medical-Biomedical/Gene — 2.6%
Alnylam Pharmaceuticals, Inc.†		2,200		171,820
Applied Genetic Technologies Corp.†		350		6,514
Ardelyx, Inc.†		1,225		17,407
Avalanche Biotechnologies, Inc.†		225		7,693
Biogen Idec, Inc.†		1,736		574,286
Celgene Corp.†		5,568		527,735
Eleven Biotherapeutics, Inc.†		1,225		13,646
Foundation Medicine, Inc.†		400		7,584
Gilead Sciences, Inc.†		7,910		842,019
Isis Pharmaceuticals, Inc.†		4,740		184,054
Karyopharm Therapeutics, Inc.†		325		11,356
MacroGenics, Inc.†		2,200		45,980
Medivation, Inc.†		5,198		513,926
Merrimack Pharmaceuticals, Inc.†		4,950		43,461
NPS Pharmaceuticals, Inc.†		11,447		297,622
Prothena Corp. PLC†		2,800		62,048
PTC Therapeutics, Inc.†		2,100		92,421
Sage Therapeutics, Inc.†		200		6,300
Synageva BioPharma Corp.†		1,075		73,938
Trius Therapeutics, Inc. CVR†(1)(2)		6,700		0
Ultragenyx Pharmaceutical, Inc.†		400		22,640
Versartis, Inc.†		2,425		46,051
Vertex Pharmaceuticals, Inc.†		1,205		135,334
				3,703,835

45

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs — 2.6%
ACADIA Pharmaceuticals, Inc.†		5,400	$	133,704
Auspex Pharmaceuticals, Inc.†		125		3,209
Bristol-Myers Squibb Co.		13,247		677,981
ChemoCentryx, Inc.†		3,450		15,525
Chimerix, Inc.†		2,050		56,621
Dicerna Pharmaceuticals, Inc.†		975		12,412
Eli Lilly & Co.		2,629		170,491
Endo International PLC†		5,863		400,677
Immune Design Corp.†		3,804		67,179
Ironwood Pharmaceuticals, Inc.†		16,576		214,742
Jazz Pharmaceuticals PLC†		2,279		365,916
Johnson & Johnson		2,220		236,630
Lannett Co., Inc.†		700		31,976
Mallinckrodt PLC†		4,279		385,752
Merck & Co., Inc.		3,032		179,737
Pacira Pharmaceuticals, Inc.†		1,650		159,918
Pfizer, Inc.		8,377		247,708
PharMerica Corp.†		3,750		91,612
Prestige Brands Holdings, Inc.†		2,825		91,445
Tokai Pharmaceuticals, Inc.†		2,150		32,551
ZS Pharma Inc†		325		12,750
				3,588,536
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		3,075		35,824
Medical-HMO — 0.4%
Aetna, Inc.		3,275		265,275
Centene Corp.†		2,025		167,488
UnitedHealth Group, Inc.		1,973		170,171
				602,934
Medical-Hospitals — 0.3%
HCA Holdings, Inc.†		5,471		385,815
Medical-Outpatient/Home Medical — 0.1%
Amedisys, Inc.†		3,000		60,510
LHC Group, Inc.†		225		5,220
				65,730
Medical-Wholesale Drug Distribution — 0.2%
McKesson Corp.		1,407		273,901
Metal Processors & Fabrication — 0.6%
Ampco-Pittsburgh Corp.		375		7,500
Precision Castparts Corp.		1,878		444,861
Rexnord Corp.†		7,349		209,079
Worthington Industries, Inc.		4,775		177,725
				839,165
Metal Products-Distribution — 0.0%
A.M. Castle & Co.†		1,375		11,743
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		3,103		101,313
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		8,000		52,960

Security Description	Shares		Value (Note 2)
Multimedia — 1.1%
Twenty-First Century Fox, Inc., Class A		21,498	$	737,166
Walt Disney Co.		8,261		735,477
				1,472,643
Networking Products — 0.3%
Arista Networks, Inc.†		400		35,332
Cisco Systems, Inc.		9,778		246,112
Polycom, Inc.†		10,200		125,307
				406,751
Office Furnishings-Original — 0.0%
Steelcase, Inc., Class A		975		15,785
Office Supplies & Forms — 0.0%
ACCO Brands Corp.†		2,425		16,733
Oil Companies-Exploration & Production — 1.6%
Abraxas Petroleum Corp.†		43,675		230,604
Anadarko Petroleum Corp.		5,493		557,210
Cabot Oil & Gas Corp.		225		7,355
Clayton Williams Energy, Inc.†		1,250		120,563
Comstock Resources, Inc.		1,650		30,723
Contango Oil & Gas Co.†		450		14,958
EOG Resources, Inc.		1,767		174,968
EQT Corp.		600		54,924
Hess Corp.		2,059		194,205
Isramco, Inc.†		75		9,162
Noble Energy, Inc.		6,061		414,330
Occidental Petroleum Corp.		904		86,920
Pioneer Natural Resources Co.		781		153,834
Range Resources Corp.		1,729		117,243
Stone Energy Corp.†		1,575		49,392
VAALCO Energy, Inc.†		8,050		68,425
				2,284,816
Oil Companies-Integrated — 0.5%
Chevron Corp.		1,361		162,394
Exxon Mobil Corp.		2,466		231,927
Phillips 66		4,273		347,438
				741,759
Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		1,405		106,921
Oil Refining & Marketing — 0.3%
Adams Resources & Energy, Inc.		325		14,394
Alon USA Energy, Inc.		2,300		33,028
Marathon Petroleum Corp.		762		64,519
Valero Energy Corp.		5,816		269,106
Western Refining, Inc.		1,425		59,836
				440,883
Oil-Field Services — 1.0%
Basic Energy Services, Inc.†		2,525		54,767
Core Laboratories NV		2,056		300,896
Exterran Holdings, Inc.		5,225		231,520
Halliburton Co.		2,428		156,630
Helix Energy Solutions Group, Inc.†		3,000		66,180
NOW, Inc.†		3,369		102,451
Pioneer Energy Services Corp.†		5,625		78,863
Schlumberger, Ltd.		2,157		219,345

46

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil-Field Services (continued)
SEACOR Holdings, Inc.†		2,200	$	164,560
				1,375,212
Paper & Related Products — 0.1%
Domtar Corp.		875		30,739
Resolute Forest Products, Inc.†		3,875		60,605
Xerium Technologies, Inc.†		1,075		15,706
				107,050
Pharmacy Services — 0.6%
Express Scripts Holding Co.†		7,551		533,327
Omnicare, Inc.		4,209		262,052
				795,379
Physical Therapy/Rehabilitation Centers — 0.0%
HealthSouth Corp.		1,075		39,668
Poultry — 0.1%
Pilgrim's Pride Corp.†		2,525		77,164
Sanderson Farms, Inc.		975		85,751
				162,915
Power Converter/Supply Equipment — 0.1%
SunPower Corp.†		3,200		108,416
Printing-Commercial — 0.1%
Deluxe Corp.		2,200		121,352
Quad/Graphics, Inc.		1,350		25,988
RR Donnelley & Sons Co.		1,303		21,447
				168,787
Publishing-Newspapers — 0.0%
Lee Enterprises, Inc.†		11,100		37,518
Radio — 0.0%
Entercom Communications Corp., Class A†		3,850		30,915
Radio One, Inc., Class D†		3,250		10,335
Townsquare Media, Inc.†		975		11,720
				52,970
Real Estate Investment Trusts — 2.2%
American Assets Trust, Inc.		2,000		65,940
American Tower Corp.		8,264		773,758
Anworth Mtg. Asset Corp.		7,575		36,284
Ashford Hospitality Prime, Inc.		180		2,741
Ashford Hospitality Trust, Inc.		900		9,198
Associated Estates Realty Corp.		400		7,004
BioMed Realty Trust, Inc.		1,075		21,715
Capstead Mtg. Corp.		10,200		124,848
CBL & Associates Properties, Inc.		2,200		39,380
CBS Outdoor Americas, Inc.		2,844		85,149
CoreSite Realty Corp.		6,475		212,833
Cousins Properties, Inc.		575		6,871
CYS Investments, Inc.		30,225		249,054
DCT Industrial Trust, Inc.		4,125		30,979
DiamondRock Hospitality Co.		2,175		27,579
EastGroup Properties, Inc.		1,225		74,223
EPR Properties		1,325		67,151
Equity Lifestyle Properties, Inc.		775		32,829
FelCor Lodging Trust, Inc.		1,225		11,466

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
First Industrial Realty Trust, Inc.		850	$	14,374
Franklin Street Properties Corp.		1,850		20,757
Gladstone Commercial Corp.		400		6,796
Home Properties, Inc.		1,175		68,432
Hospitality Properties Trust		2,125		57,056
Host Hotels & Resorts, Inc.		4,036		86,088
Lexington Realty Trust		6,924		67,786
LTC Properties, Inc.		3,375		124,504
National Retail Properties, Inc.		850		29,385
Pennsylvania Real Estate Investment Trust		2,100		41,874
Post Properties, Inc.		1,100		56,474
Potlatch Corp.		3,975		159,835
PS Business Parks, Inc.		375		28,553
RAIT Financial Trust		1,075		7,987
Ramco-Gershenson Properties Trust		3,950		64,188
Saul Centers, Inc.		1,050		49,077
Simon Property Group, Inc.		1,039		170,832
Strategic Hotels & Resorts, Inc.†		10,100		117,665
Taubman Centers, Inc.		675		49,275
				3,099,940
Real Estate Management/Services — 0.1%
Jones Lang LaSalle, Inc.		1,329		167,906
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		2,775		99,817
St. Joe Co.†		400		7,972
				107,789
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		400		12,140
Research & Development — 0.1%
Arrowhead Research Corp.†		4,850		71,635
PAREXEL International Corp.†		600		37,854
				109,489
Respiratory Products — 0.0%
Inogen, Inc.†		675		13,912
Retail-Apparel/Shoe — 0.4%
ANN, Inc.†		775		31,876
Brown Shoe Co., Inc.		1,175		31,878
Children's Place, Inc.		4,375		208,512
Express, Inc.†		2,875		44,879
Guess?, Inc.		1,550		34,053
PVH Corp.		1,108		134,234
				485,432
Retail-Appliances — 0.1%
Conn's, Inc.†		1,000		30,270
hhgregg, Inc.†		25,975		163,902
				194,172
Retail-Auto Parts — 0.3%
AutoZone, Inc.†		797		406,199
Retail-Bookstores — 0.1%
Barnes & Noble, Inc.†		10,175		200,854
Retail-Building Products — 0.4%
Lowe's Cos., Inc.		11,111		587,994

47

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Catalog Shopping — 0.2%
MSC Industrial Direct Co., Inc., Class A		3,604	$	307,998
Retail-Computer Equipment — 0.0%
Systemax, Inc.†		775		9,664
Retail-Convenience Store — 0.1%
Pantry, Inc.†		5,325		107,725
Retail-Discount — 0.1%
Wal-Mart Stores, Inc.		1,394		106,599
Retail-Drug Store — 0.3%
CVS Health Corp.		2,540		202,159
Rite Aid Corp.†		44,525		215,501
				417,660
Retail-Gardening Products — 0.2%
Tractor Supply Co.		4,289		263,816
Retail-Hair Salons — 0.0%
Regis Corp.		1,375		21,945
Retail-Hypermarkets — 0.0%
Roundy's, Inc.		3,925		11,736
Retail-Jewelry — 0.2%
Tiffany & Co.		2,188		210,726
Retail-Mail Order — 0.1%
Williams-Sonoma, Inc.		3,007		200,176
Retail-Major Department Stores — 0.3%
TJX Cos., Inc.		6,591		389,989
Retail-Perfume & Cosmetics — 0.1%
Ulta Salon Cosmetics & Fragrance, Inc.†		1,654		195,453
Retail-Pet Food & Supplies — 0.2%
PetSmart, Inc.		2,965		207,817
Retail-Regional Department Stores — 0.4%
Bon-Ton Stores, Inc.		2,025		16,929
Dillard's, Inc., Class A		2,150		234,307
Kohl's Corp.		2,012		122,792
Macy's, Inc.		2,172		126,367
				500,395
Retail-Restaurants — 0.6%
DineEquity, Inc.		125		10,199
Dunkin' Brands Group, Inc.		2,495		111,826
Jack in the Box, Inc.		325		22,162
Red Robin Gourmet Burgers, Inc.†		1,350		76,815
Sonic Corp.†		7,975		178,321
Starbucks Corp.		6,453		486,943
				886,266
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		2,325		41,013
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp.		550		6,815
BankFinancial Corp.		400		4,152
Beneficial Mutual Bancorp, Inc.†		1,350		17,253
Capitol Federal Financial, Inc.		400		4,728
Charter Financial Corp.		1,725		18,457
Flushing Financial Corp.		2,525		46,132

Security Description	Shares		Value (Note 2)
Savings & Loans/Thrifts (continued)
Northfield Bancorp, Inc.		750	$	10,215
OceanFirst Financial Corp.		1,425		22,672
				130,424
Schools — 0.2%
Strayer Education, Inc.†		5,150		308,382
Seismic Data Collection — 0.0%
Dawson Geophysical Co.		350		6,363
Semiconductor Components-Integrated Circuits — 1.0%
Atmel Corp.†		33,005		266,680
Emulex Corp.†		30,736		151,836
Integrated Device Technology, Inc.†		6,700		106,865
Micrel, Inc.		1,475		17,744
QUALCOMM, Inc.		8,575		641,153
TriQuint Semiconductor, Inc.†		10,750		205,003
				1,389,281
Semiconductor Equipment — 0.3%
Brooks Automation, Inc.		10,675		112,194
KLA-Tencor Corp.		2,424		190,963
Photronics, Inc.†		6,475		52,124
Ultra Clean Holdings, Inc.†		13,144		117,639
				472,920
Software Tools — 0.0%
VMware, Inc., Class A†		577		54,146
Steel-Producers — 0.1%
Reliance Steel & Aluminum Co.		1,055		72,162
United States Steel Corp.		2,251		88,172
				160,334
Telecom Equipment-Fiber Optics — 0.1%
Harmonic, Inc.†		20,700		131,238
Telecom Services — 0.6%
Amdocs, Ltd.		8,531		391,402
Consolidated Communications Holdings, Inc.		2,450		61,373
EarthLink Holdings Corp.		23,150		79,173
FairPoint Communications, Inc.†		3,475		52,716
Inteliquent, Inc.		9,675		120,454
NeuStar, Inc., Class A†		5,050		125,391
				830,509
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		11,105		265,521
Telephone-Integrated — 0.1%
Verizon Communications, Inc.		2,359		117,926
Television — 0.2%
CBS Corp., Class B		4,343		232,350
ION Media Networks, Inc.†(1)(2)(3)		4		1,992
				234,342

48

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Textile-Apparel — 0.0%
Unifi, Inc.†		1,650	$	42,735
Therapeutics — 0.3%
Agios Pharmaceuticals, Inc.†		200		12,270
Cara Therapeutics, Inc.†		1,450		12,166
Egalet Corp.†		692		3,944
Kite Pharma Inc†		400		11,400
Mirati Therapeutics, Inc.†		2,875		50,341
Pharmacyclics, Inc.†		2,847		334,323
Xencor, Inc.†		5,250		48,878
Zafgen Inc†		400		7,860
				481,182
Tobacco — 0.4%
Altria Group, Inc.		7,534		346,112
Philip Morris International, Inc.		1,561		130,188
Universal Corp.		1,075		47,719
				524,019
Toys — 0.1%
Mattel, Inc.		5,120		156,928
Transactional Software — 0.2%
ACI Worldwide, Inc.†		3,950		74,102
Solera Holdings, Inc.		4,064		229,047
				303,149
Transport-Rail — 0.7%
Kansas City Southern		2,139		259,247
Union Pacific Corp.		7,102		769,999
				1,029,246
Transport-Services — 0.5%
FedEx Corp.		2,869		463,200
Matson, Inc.		6,575		164,572
				627,772
Transport-Truck — 0.2%
ArcBest Corp.		2,425		90,452
Celadon Group, Inc.		675		13,129
Con-way, Inc.		1,075		51,063
Swift Transportation Co.†		2,525		52,974
USA Truck, Inc.†		2,400		42,072
				249,690
Travel Services — 0.0%
Interval Leisure Group, Inc.		1,550		29,528
Veterinary Diagnostics — 0.0%
Phibro Animal Health Corp., Class A		1,225		27,452
Vitamins & Nutrition Products — 0.1%
Herbalife, Ltd.		375		16,406
USANA Health Sciences, Inc.†		1,150		84,709
				101,115
Web Hosting/Design — 0.0%
Q2 Holdings, Inc.†		575		8,050

Security Description	Shares/ Principal Amount(10)		Value (Note 2)
Web Portals/ISP — 1.7%
Blucora, Inc.†		2,400	$	36,576
Google, Inc., Class A†		1,677		986,764
Google, Inc., Class C†		1,868		1,078,508
Yahoo!, Inc.†		6,512		265,364
				2,367,212
Wireless Equipment — 0.4%
InterDigital, Inc.		1,350		53,757
Motorola Solutions, Inc.		4,900		310,072
RF Micro Devices, Inc.†		4,475		51,641
Ubiquiti Networks, Inc.		4,275		160,441
				575,911
Total Common Stocks (cost $66,638,706)				80,626,192
PREFERRED SECURITIES — 0.0%
Electric-Integrated — 0.0%
Entergy Louisiana LLC 4.70%		350		7,637
Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. FRS Series Z 0.00%†		500		5,150
Telecom Services — 0.0%
Qwest Corp. 6.13%		700		16,254
Total Preferred Securities (cost $33,968)				29,041
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.9%
Banks-Commercial — 0.3%
Banco Bilbao Vizcaya Argentaria SA VRS 7.00% due 02/19/2019(4)	$	200,000		266,268
Banco Santander SABanco VRS 6.25% due 03/12/2019(4)		100,000		122,358
Zions Bancorporation FRS Series I 5.80% due 06/15/2023(4)		14,000		13,370
				401,996
Banks-Super Regional — 0.0%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(4)		15,000		14,679
Wells Fargo Capital X 5.95% due 12/01/2086		7,000		7,193
				21,872
Diversified Banking Institutions — 0.4%
BAC Capital Trust XIII FRS Series F 4.00% due 10/15/2014(4)		41,000		33,415
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(4)		17,000		16,822

49

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. FRS Series V 5.00% due 07/01/2019(4)	$	13,000	$	12,672
JPMorgan Chase & Co. FRS Series 1 7.90% due 04/30/2018(4)		20,000		21,650
Lloyds Banking Group PLC VRS 6.38% due 06/27/2020(4)		200,000		259,557
Societe Generale SA VRS 8.25% due 11/29/2018(4)		200,000		205,600
				549,716
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		8,000		8,091
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due 10/30/2014†(2)		8,000		1
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		11,000		10,876
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		10,000		10,422
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		30,000		35,175
MetLife, Inc. 6.40% due 12/15/2066		16,000		17,840
Voya Financial, Inc. FRS 5.65% due 05/15/2053		10,000		10,050
				63,065
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		125,000		183,437
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		27,000		29,228
Total Preferred Securities/ Capital Securities (cost $1,313,951)				1,278,704
ASSET BACKED SECURITIES — 9.3%
Diversified Financial Services — 9.3%
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		8,000		7,921

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
AmeriCredit Automobile Receivables Trust Series 2010-3, Class C 3.34% due 04/08/2016	$	38,888	$	39,112
AMMC CDO FRS Series 2014-14A, Class A1L 1.80% due 07/27/2026*(5)		250,000		249,125
Apidos CDO FRS Series 2014-17A, Class A1A 1.71% due 04/17/2026*(5)		250,000		249,850
ARES CLO, Ltd. FRS Series 2014-30A, Class A2 1.02% due 04/20/2023*(5)		250,000		247,050
Atrium CDO Corp. FRS Series 11-A, Class B 2.48% due 10/23/2025*(5)		250,000		246,950
Avis Budget Rental Car Funding AESOP LLC Series 2010-3A, Class A 4.64% due 05/20/2016*		160,000		162,798
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.73% due 05/10/2045(6)		70,000		73,916
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.75% due 02/10/2051(6)		105,537		115,896
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)		200,000		197,285
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.58% due 02/25/2036(7)		195,708		174,438
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		70,000		76,512
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.71% due 06/11/2040(6)		45,000		49,434
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		16,975		16,940
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		11,000		11,063
Carlyle Global Market Strategies FRS Series 2013-3A, Class A1A 1.35% due 07/15/2025*(5)		250,000		246,150
Cent CLO 20, Ltd. FRS Series 2013-20A, Class A 1.71% due 01/25/2026*(5)		250,000		249,875

50

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 1.73% due 04/18/2025*(5)	$	250,000	$	249,750
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.73% due 05/24/2026*(5)		250,000		249,525
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(6)		38,000		38,809
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(6)		10,000		10,199
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A2 2.96% due 11/10/2046(6)		20,000		20,515
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(6)		60,000		61,984
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6)		65,000		68,089
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(6)		125,000		132,176
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.13% due 12/10/2049(6)		35,000		38,570
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.53% due 03/25/2036(7)		111,159		102,789
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(6)		135,000		144,218
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2006-CD2, Class A4 5.48% due 01/15/2046(6)		70,000		72,907
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		125,609		138,077
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 4.47% due 03/20/2043*		11,730		11,839
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.04% due 12/10/2049(6)		102,977		111,486

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Commercial Mtg. Pass Through Certs. Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6)	$	105,000	$	106,045
Commercial Mtg. Trust Series 2014-UBS2, Class A2 2.82% due 03/10/2047(6)		26,000		26,517
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(6)		120,000		122,255
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(6)		100,000		103,043
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		65,000		67,868
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6)		60,000		62,626
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(6)		100,000		104,753
Commercial Mtg. Trust Series 2013-CR12, Class A4 4.05% due 10/10/2046(6)		65,000		68,514
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(6)		75,000		78,813
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.24% due 07/10/2045(6)		45,000		48,390
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.76% due 06/10/2046(6)		42,088		44,614
Countrywide Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% due 01/25/2037(7)		106,306		97,123
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(7)		21,563		21,933
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(7)		89,289		84,365
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(7)		4,124		3,833
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		40,000		40,703
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(6)		43,212		46,005

51

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Dryden Senior Loan Fund FRS Series 2014-31A, Class A 1.58% due 04/18/2026*(5)	$	250,000	$	248,600
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 1.70% due 07/15/2026*(5)		250,000		249,875
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.26% due 05/25/2035(7)		177,108		166,940
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		35,000		35,043
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		20,000		20,124
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		5,990
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		40,000		39,831
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		12,000		11,938
FREMF Mtg. Trust VRS Series 2013-K502, Class B 2.84% due 03/25/2045*(6)		100,000		100,739
FREMF Mtg. Trust VRS Series 2012-K706, Class B 4.16% due 11/25/2044*(6)		60,000		62,366
FREMF Mtg. Trust VRS Series 2010-K8, Class B 5.41% due 09/25/2043*(6)		80,000		87,808
Gramercy Park CLO, Ltd. FRS Series 2012-1AR, Class A1R 1.53% due 07/17/2023*(5)		250,000		249,750
Greenwich Capital Commercial Funding Corp. Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		105,000		113,103
GS Mtg. Securities Corp. II Series 2012-GCJ9, Class A2 1.76% due 11/10/2045(6)		15,000		15,000
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6)		110,000		107,873
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6)		30,000		34,897
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(6)		90,000		92,208

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(6)	$	100,000	$	103,324
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		60,000		62,716
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(6)		85,000		88,570
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.55% due 04/25/2036(7)		15,395		13,177
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.63% due 03/25/2047(7)		45,206		39,589
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(7)		76,431		71,967
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.78% due 04/25/2035(7)		60,023		58,718
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(6)		160,000		160,554
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% due 05/25/2035(7)		96,503		89,562
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)		143,065		153,286
JP Morgan Chase Commercial Mtg. Securities Trust Series 2014-C20, Class A5 3.80% due 07/15/2047(6)		50,000		51,488
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(6)		100,000		102,527
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)		95,000		101,037
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(6)		95,000		103,270
JPMBB Commercial Mtg. Securities Trust Series 2013-C15, Class A2 2.98% due 11/15/2045(6)		38,000		39,039
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(6)		130,000		133,475

52

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)	$	105,000	$	107,726
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(6)		60,000		62,767
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(6)		30,000		31,905
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(6)		45,025		48,759
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		94,089		99,693
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(6)		101,388		107,893
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(6)		125,000		139,859
Limerock CLO FRS Series 2014-2A, Class A 1.73% due 04/18/2026*(5)		250,000		249,700
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.68% due 07/20/2026*(5)		250,000		250,350
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.70% due 07/25/2026*(5)		250,000		249,625
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.47% due 02/25/2035(7)		89,616		90,341
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.54% due 12/25/2034(7)		53,871		53,577
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.67% due 05/12/2039(6)		95,000		100,342
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		121,267		129,642
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		50,092		54,903
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(6)		70,500		76,704
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(6)		130,000		133,030

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16, Class A5 3.89% due 06/15/2047(6)	$	75,000	$	77,730
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6)		20,000		21,023
Morgan Stanley Capital I Trust Series 2006-IQ12 Class A4 5.33% due 12/15/2043(6)		138,406		148,199
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)		95,000		103,192
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		64,827		70,838
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.28% due 01/11/2043(6)		55,000		61,972
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(7)		65,480		59,218
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% due 10/25/2035(7)		242,424		222,286
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 1.70% due 08/04/2025*(5)		250,000		249,400
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		40,000		40,048
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(7)		19,137		18,769
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% due 02/25/2037		46,855		27,414
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.73% due 04/17/2026*(5)		250,000		249,950
RFMSI Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(7)		4,468		4,596
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		30,000		29,983
Santander Drive Auto Receivables Trust Series 2013-C, Class 5 2.25% due 06/17/2019		20,000		20,106
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		60,000		60,320

53

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Santander Drive Auto Receivables Trust Series 2011-1, Class C 3.11% due 05/16/2016	$	68,570	$	68,898
Santander Drive Auto Receivables Trust Series 2010-2, Class C 3.89% due 07/17/2017		30,742		30,783
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% due 05/25/2037		115,948		83,353
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.43% due 02/20/2047(7)		117,650		102,214
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(1)		130,000		129,991
UBS-Barclays Commercial Mtg. Trust Series 2012-C2, Class A2 2.11% due 05/10/2063(6)		23,483		23,793
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		70,000		69,562
Volvo Financial Equipment LLC Series 2012-1A, Class B 1.51% due 08/15/2017*		20,000		20,124
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C23, Class A4 5.42% due 01/15/2045(6)		52,662		54,626
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C26, Class AM 6.17% due 06/15/2045(6)		19,000		20,368
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		100,000		102,740
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.61% due 03/25/2035(7)		122,722		125,301
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.62% due 11/25/2034(7)		4,354		4,367
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(7)		175,607		175,059

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.63% due 10/25/2036(7)	$	76,411	$	71,853
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(6)		75,000		76,378
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		125,000		130,679
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6)		120,000		125,851
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		50,111		52,840
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(6)		35,000		37,179
Total Asset Backed Securities (cost $12,864,580)				12,964,851
U.S. CORPORATE BONDS & NOTES — 10.1%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 3.75% due 02/15/2023		11,000		10,908
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		8,000		8,076
				18,984
Advertising Sales — 0.0%
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.88% due 03/15/2025*		4,000		4,020
Advertising Services — 0.0%
Visant Corp. Company Guar. Notes 10.00% due 10/01/2017		2,000		1,785
Aerospace/Defense — 0.0%
Bae Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		11,000		10,967
Bae Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		8,000		7,958
Boeing Co. Senior Notes 0.95% due 05/15/2018		15,000		14,601
				33,526

54

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Aerospace/Defense-Equipment — 0.0%
Alliant Techsystems, Inc. Company Guar. Notes 5.25% due 10/01/2021*	$	3,000	$	3,008
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		20,000		19,700
				22,708
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		105,000		110,645
Monsanto Co. Senior Notes 4.70% due 07/15/2064		9,000		8,958
				119,603
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		6,000		6,120
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016		9,382		9,523
United Airlines Pass Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		10,000		9,950
				25,593
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		3,000		3,128
Darling Ingredients, Inc. Company Guar. Notes 5.38% due 01/15/2022		5,000		5,037
				8,165
Apparel Manufacturers — 0.0%
Quiksilver, Inc./QS Wholesale, Inc. Company Guar. Notes 10.00% due 08/01/2020		4,000		2,360
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		55,000		56,650
				59,010
Auction House/Art Dealers — 0.1%
Sotheby's Company Guar. Notes 5.25% due 10/01/2022*		65,000		61,587
Auto-Cars/Light Trucks — 0.0%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		17,000		16,936

Security Description	Principal Amount(10)		Value (Note 2)
Auto-Heavy Duty Trucks — 0.0%
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019	$	18,000	$	17,982
Auto/Truck Parts & Equipment-Original — 0.1%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		3,000		3,082
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		55,000		58,025
				61,107
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019		5,000		4,913
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		90,000		94,162
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		28,000		35,483
Zions Bancorporation Senior Notes 4.50% due 06/13/2023		1,000		1,047
				135,605
Banks-Super Regional — 0.5%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		125,000		136,583
Comerica, Inc. Senior Notes 2.13% due 05/23/2019		8,000		7,929
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		100,000		109,013
SunTrust Banks, Inc. Senior Notes 3.60% due 04/15/2016		115,000		119,698
Wells Fargo & Co Senior Notes 1.40% due 09/08/2017		34,000		33,899
Wells Fargo & Co Senior Notes 3.30% due 09/09/2024		125,000		122,629
Wells Fargo & Co. Sub. Notes 3.45% due 02/13/2023		40,000		39,306
Wells Fargo & Co. Sub. Notes 4.13% due 08/15/2023		60,000		62,035
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		95,000		103,762
				734,854

55

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery — 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 0.80% due 07/15/2015	$	76,000	$	76,224
Molson Coors Brewing Co. Company Guar. Notes 3.50% due 05/01/2022		20,000		20,095
				96,319
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		40,000		41,900
Building Materials Corp. of America Company Guar. Notes 7.50% due 03/15/2020*		35,000		36,575
				78,475
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/ Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		10,000		9,675
Building Products-Cement — 0.0%
Headwaters, Inc. Sec. Notes 7.63% due 04/01/2019		4,000		4,170
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		15,000		16,388
Building-Residential/Commercial — 0.1%
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		55,000		54,519
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,400
Ryland Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		60,000		58,500
				118,419
Cable/Satellite TV — 0.4%
CCO Holdings LLC/ CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023		5,000		4,975
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		55,000		55,668
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		25,000		26,374
Cox Communications, Inc. Senior Notes 2.95% due 06/30/2023*		80,000		74,878

Security Description	Principal Amount(10)		Value (Note 2)
Cable/Satellite TV (continued)
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*	$	25,000	$	28,552
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		50,000		49,759
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		25,000		25,558
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		25,000		27,684
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.35% due 03/15/2040		10,000		11,653
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,837
DISH DBS Corp. Company Guar. Notes 5.88% due 07/15/2022		20,000		20,400
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		60,000		64,500
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		8,000		7,894
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		50,000		58,831
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		5,000		6,308
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		45,000		52,323
Time Warner Cable, Inc. Company Guar. Notes 7.30% due 07/01/2038		12,000		16,319
				535,513
Casino Hotels — 0.0%
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		5,000		5,275
Cellular Telecom — 0.2%
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024*		40,000		40,300
Sprint Nextel Corp. Senior Notes 7.00% due 08/15/2020		4,000		4,170

56

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
Sprint Nextel Corp. Company Guar. Notes 9.00% due 11/15/2018*	$	20,000	$	23,100
T-Mobile USA, Inc. Company Guar. Notes 5.25% due 09/01/2018		10,000		10,300
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		30,000		31,162
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,113
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		70,000		71,925
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		10,000		10,250
				200,320
Chemicals-Diversified — 0.0%
Dow Chemical Co. Senior Notes 4.25% due 10/01/2034		17,000		16,369
Chemicals-Specialty — 0.0%
Chemtura Corp. Company Guar. Notes 5.75% due 07/15/2021		4,000		3,960
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		5,000		6,542
				10,502
Coal — 0.1%
CONSOL Energy, Inc. Company Guar. Notes 6.38% due 03/01/2021		10,000		10,150
Murray Energy Corp. Senior Sec. Notes 8.63% due 06/15/2021*		6,000		6,210
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		105,000		98,175
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		4,000		4,200
				118,735
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022*		25,000		24,625
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		10,000		10,125
				34,750

Security Description	Principal Amount(10)		Value (Note 2)
Computers — 0.2%
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		95,000		96,487
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		105,000		113,731
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		25,000		28,499
				238,717
Consumer Products-Misc. — 0.0%
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.75% due 10/15/2020		14,000		14,245
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Senior Notes 7.38% due 12/15/2026		8,000		8,800
Containers-Paper/Plastic — 0.0%
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		3,000		2,820
Packaging Corp. of America Senior Notes 3.65% due 09/15/2024		9,000		8,839
				11,659
Data Processing/Management — 0.0%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		45,000		46,125
Distribution/Wholesale — 0.0%
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		3,000		2,895
Diversified Banking Institutions — 1.7%
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		20,000		19,961
Bank of America Corp. Senior Notes 4.00% due 04/01/2024		85,000		85,886
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		90,000		91,881
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		50,000		49,568
Citigroup, Inc. Senior Notes 1.70% due 07/25/2016		25,000		25,253
Citigroup, Inc. Senior Notes 2.50% due 09/26/2018		100,000		100,650

57

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Senior Notes 5.38% due 08/09/2020	$	7,000	$	7,921
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		200,000		217,802
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		47,000		52,728
Citigroup, Inc. Senior Notes 6.13% due 11/21/2017		50,000		56,405
Citigroup, Inc. Sub. Notes 6.13% due 08/25/2036		105,000		120,389
Citigroup, Inc. Sub. Notes 6.68% due 09/13/2043		55,000		67,410
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		80,000		99,997
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		125,000		126,298
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		25,000		25,179
Goldman Sachs Group, Inc. Senior Notes 4.80% due 07/08/2044		33,000		33,183
Goldman Sachs Group, Inc. Senior Notes 5.25% due 07/27/2021		13,000		14,412
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		27,000		30,061
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		17,000		20,346
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		50,000		58,232
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		46,000		54,914
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		15,748
JPMorgan Chase & Co. Sub. Notes 3.38% due 05/01/2023		30,000		28,738
JPMorgan Chase & Co. Senior Notes 3.63% due 05/13/2024		45,000		44,700
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		40,000		42,677

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021	$	30,000	$	32,067
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		130,000		144,059
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		30,000		34,798
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		150,000		171,697
Merrill Lynch & Co., Inc. Senior Notes 6.88% due 04/25/2018		55,000		63,437
Morgan Stanley Senior Notes 2.13% due 04/25/2018		100,000		99,989
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		17,000		16,953
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		88,000		86,488
Morgan Stanley Senior Notes 4.75% due 03/22/2017		32,000		34,388
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		70,000		73,954
Morgan Stanley Senior Notes 5.50% due 07/28/2021		11,000		12,389
Morgan Stanley Senior Notes 6.63% due 04/01/2018		125,000		143,153
NationsBank Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,906
				2,408,617
Diversified Financial Services — 0.2%
General Electric Capital Corp. Senior Notes 1.50% due 07/12/2016		22,000		22,267
General Electric Capital Corp. Senior Notes 5.55% due 05/04/2020		105,000		120,138
General Electric Capital Corp. Senior Notes 5.88% due 01/14/2038		132,000		159,214
				301,619
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		15,000		14,600

58

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Manufacturing Operations (continued)
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043	$	34,000	$	40,168
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		6,000		6,442
Textron, Inc. Senior Notes 4.63% due 09/21/2016		20,000		21,287
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		9,000		9,016
				91,513
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		8,000		8,160
Electric-Generation — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		2,850
AES Corp. Senior Notes 5.50% due 03/15/2024		30,000		29,175
AES Corp. Senior Notes 8.00% due 10/15/2017		7,000		7,857
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		57,375
				97,257
Electric-Integrated — 0.4%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		9,000		9,619
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		25,000		28,271
DPL, Inc. Senior Notes 7.25% due 10/15/2021		30,000		30,975
Duke Energy Corp. Senior Notes 3.05% due 08/15/2022		25,000		24,830
Edison International Senior Notes 3.75% due 09/15/2017		50,000		52,931
Entergy Corp. Senior Notes 3.63% due 09/15/2015		85,000		87,059
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		14,000		16,551

Security Description	Principal Amount(10)		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*	$	14,000	$	14,175
Georgia Power Co. Senior Notes 3.00% due 04/15/2016		7,000		7,239
Ipalco Enterprises, Inc. Senior Sec. Notes 7.25% due 04/01/2016*		5,000		5,337
Nisource Finance Corp. Company Guar. Notes 4.80% due 02/15/2044		8,000		8,139
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		14,000		15,088
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		35,000		35,783
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		66,035
Southern California Edison Co. 1st. Mtg. Bonds 1.13% due 05/01/2017		18,000		17,937
Southern Co. Senior Notes 1.30% due 08/15/2017		14,000		13,932
Xcel Energy, Inc. Senior Notes 6.50% due 07/01/2036		40,000		52,252
				486,153
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 1.35% due 12/15/2017		16,000		15,948
Enterprise Software/Service — 0.0%
BMC Software Finance, Inc. Senior Notes 8.13% due 07/15/2021*		5,000		4,800
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		115,000		119,600
Finance-Auto Loans — 0.3%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		10,982
Ford Motor Credit Co. LLC Senior Notes 8.13% due 01/15/2020		100,000		124,984
General Motors Acceptance Corp. Senior Notes 8.00% due 11/01/2031		9,000		11,205
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		105,000		105,787

59

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Auto Loans (continued)
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017	$	115,000	$	120,462
General Motors Financial Co., Inc. Company Guar. Notes 6.75% due 06/01/2018		5,000		5,578
				378,998
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021*		10,000		10,000
SLM Corp. Company Guar. Notes 5.50% due 01/15/2019		15,000		15,300
SLM Corp. Company Guar. Notes 7.25% due 01/25/2022		10,000		10,850
SLM Corp. Company Guar. Notes 8.45% due 06/15/2018		95,000		106,875
Synchrony Financial Senior Notes 3.75% due 08/15/2021		6,000		6,054
Synchrony Financial Senior Notes 4.25% due 08/15/2024		8,000		8,001
				157,080
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		40,000		46,535
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		2,025
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(2)		11,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(2)		15,000		2
				48,563
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		100,000		103,500
Air Lease Corp. Senior Notes 4.75% due 03/01/2020		7,000		7,420
				110,920

Security Description	Principal Amount(10)		Value (Note 2)
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017	$	28,000	$	27,955
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/ FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		3,000		2,925
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*		10,000		10,500
Tyson Foods, Inc. Company Guar. Notes 5.15% due 08/15/2044		6,000		6,209
				16,709
Food-Misc./Diversified — 0.0%
Kraft Foods, Inc. Senior Notes 6.50% due 02/09/2040		11,000		13,792
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.35% due 10/02/2019		65,000		65,001
Sysco Corp. Company Guar. Notes 3.50% due 10/02/2024		11,000		11,030
Sysco Corp. Company Guar. Bonds 4.35% due 10/02/2034		5,000		5,073
Sysco Corp. Company Guar. Bonds 4.50% due 10/02/2044		8,000		8,059
				89,163
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		38,800
Gas-Distribution — 0.1%
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		75,000		86,477
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		60,000		60,000
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,070
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		4,000		4,230

60

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers (continued)
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018	$	3,000	$	3,120
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022*		6,000		6,154
				15,574
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		40,000		40,677
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		30,000		29,502
USI, Inc. Senior Notes 7.75% due 01/15/2021*		10,000		9,950
				80,129
Insurance-Life/Health — 0.0%
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		6,000		6,833
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		4,000		4,001
Principal Life Global Funding II Senior Sec. Notes 1.00% due 12/11/2015*		10,000		10,043
Teachers Insurance & Annuity Assoc. of America Bonds 4.90% due 09/15/2044*		8,000		8,153
				29,030
Insurance-Multi-line — 0.2%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		30,000		36,026
MetLife, Inc. Senior Notes 4.37% due 09/15/2023		25,000		26,725
Nationwide Mutual Insurance Co. Senior Sub. Notes 9.38% due 08/15/2039*		100,000		153,955
				216,706
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 5.38% due 12/01/2041*		15,000		16,582
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		65,000		100,411

Security Description	Principal Amount(10)		Value (Note 2)
Insurance-Mutual (continued)
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*	$	18,000	$	18,160
				135,153
Investment Management/Advisor Services — 0.0%
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		4,000		4,270
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 3.25% due 02/01/2017		14,000		13,790
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		32,000		31,832
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		23,000		23,040
				68,662
Medical Labs & Testing Services — 0.0%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		23,000		22,957
Medical Products — 0.0%
Becton Dickinson and Co. Senior Notes 7.00% due 08/01/2027		11,000		14,211
Universal Hospital Services, Inc. Sec. Notes 7.63% due 08/15/2020		4,000		3,760
				17,971
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 5.15% due 11/15/2041		35,000		36,942
Amgen, Inc. Senior Notes 6.90% due 06/01/2038		25,000		32,357
				69,299
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 1.20% due 11/06/2015		85,000		85,320
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		16,000		15,800
Forest Laboratories, Inc. Senior Notes 4.88% due 02/15/2021*		22,000		23,469
				124,589
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 7.88% due 07/15/2020*		21,000		22,906

61

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO — 0.1%
Centene Corp. Senior Notes 4.75% due 05/15/2022	$	10,000	$	10,025
Humana, Inc. Senior Notes 2.63% due 10/01/2019		45,000		44,972
Kaiser Foundation Hospitals Company Guar. Notes 3.50% due 04/01/2022		50,000		50,402
WellPoint, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,039
WellPoint, Inc. Senior Notes 5.10% due 01/15/2044		75,000		79,688
				200,126
Medical-Hospitals — 0.2%
Capella Healthcare, Inc. Company Guar. Notes 9.25% due 07/01/2017		3,000		3,122
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021*		20,000		19,950
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		35,000		34,212
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,256
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,225
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		35,000		38,237
HCA, Inc. Senior Sec. Notes 7.25% due 09/15/2020		50,000		52,500
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		7,000		6,948
Tenet Healthcare Corp. Senior Notes 5.00% due 03/01/2019*		5,000		4,938
Tenet Healthcare Corp. Senior Notes 6.00% due 10/01/2020		110,000		116,325
				291,713
Metal Processors & Fabrication — 0.0%
Timken Co. Senior Notes 3.88% due 09/01/2024*		6,000		5,906
Metal-Aluminum — 0.0%
Alcoa, Inc. Senior Notes 5.13% due 10/01/2024		11,000		11,014

Security Description	Principal Amount(10)		Value (Note 2)
Multimedia — 0.4%
AOL Time Warner, Inc. Company Guar. Bonds 7.63% due 04/15/2031	$	75,000	$	101,233
News America, Inc. Company Guar. Notes 6.20% due 12/15/2034		100,000		121,429
Time Warner Cos., Inc. Company Guar. Notes 6.63% due 05/15/2029		105,000		130,401
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		100,000		133,074
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 07/15/2033		9,000		13,294
Time Warner, Inc. Company Guar. Notes 2.10% due 06/01/2019		55,000		54,056
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		64,000		58,925
				612,412
Networking Products — 0.0%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		15,000		14,992
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc. Senior Notes 4.63% due 03/15/2024		25,000		25,341
Oil Companies-Exploration & Production — 0.2%
Alta Mesa Holdings LP/ Alta Mesa Finance Services Corp. Company Guar. Notes 9.63% due 10/15/2018		5,000		5,175
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.13% due 11/01/2020*		3,000		2,745
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.38% due 11/01/2021*		5,000		4,575
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		36,000		43,870
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp. Company Guar. Notes 7.75% due 01/15/2021		5,000		4,925

62

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Berry Petroleum Co. LLC Senior Notes 6.38% due 09/15/2022	$	2,000	$	1,940
California Resources Corp. Company Guar. Notes 5.50% due 09/15/2021*		10,000		10,150
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024*		5,000		5,137
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		20,000		19,800
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		3,000		3,173
EPL Oil & Gas, Inc. Company Guar. Notes 8.25% due 02/15/2018		5,000		5,113
EV Energy Partners LP/ EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		5,000		5,175
Halcon Resources Corp. Company Guar. Notes 9.75% due 07/15/2020		4,000		4,070
Hess Corp. Senior Notes 1.30% due 06/15/2017		50,000		49,810
Hess Corp. Senior Notes 5.60% due 02/15/2041		15,000		16,895
Hess Corp. Senior Notes 7.88% due 10/01/2029		5,000		6,788
Hilcorp Energy I LP/ Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		10,000		9,625
Memorial Production Partners LP/Memorial Production Finance Corp. Company Guar. Notes 7.63% due 05/01/2021		5,000		4,975
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		5,000		5,075
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		4,000		4,000
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022*		4,000		3,860
Rex Energy Corp. Company Guar. Notes 8.88% due 12/01/2020		1,000		1,075

Security Description	Principal Amount(10)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
SandRidge Energy, Inc. Company Guar. Notes 7.50% due 02/15/2023	$	5,000	$	4,856
Swift Energy Co. Company Guar. Notes 7.88% due 03/01/2022		4,000		4,000
Triangle USA Petroleum Corp. Senior Notes 6.75% due 07/15/2022*		6,000		5,857
				232,664
Oil Refining & Marketing — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		4,000		4,170
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		5,000		4,850
				9,020
Oil-Field Services — 0.0%
Plains Exploration & Production Co. Company Guar. Notes 6.63% due 05/01/2021		6,000		6,570
Plains Exploration & Production Co. Company Guar. Notes 6.75% due 02/01/2022		10,000		11,075
				17,645
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		3,820
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		25,000		24,687
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		32,000		34,878
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		16,000		16,417
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		20,000		22,600
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		4,000		4,110
				106,512
Pharmacy Services — 0.1%
Express Scripts Holding Co. Company Guar. Notes 2.10% due 02/12/2015		170,000		170,972
Pipelines — 0.6%
Access Midstream Partners LP/ ACMP Finance Corp. Company Guar. Notes 4.88% due 05/15/2023		7,000		7,184

63

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Atlas Pipeline Partners LP/ Atlas Pipeline Finance Corp. Company Guar. Notes 5.88% due 08/01/2023	$	3,000	$	2,932
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 4.70% due 11/01/2042		4,000		3,548
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 6.50% due 04/01/2020		38,000		43,489
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		100,000		111,250
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		85,000		82,739
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		125,000		134,005
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		24,000		27,781
Genesis Energy LP Company Guar. Notes 5.63% due 06/15/2024		9,000		8,662
Kinder Morgan Energy Partners LP Senior Notes 5.50% due 03/01/2044		50,000		50,111
Kinder Morgan Finance Co. LLC Company Guar. Notes 6.00% due 01/15/2018*		65,000		70,769
Kinder Morgan, Inc. Senior Notes 5.00% due 02/15/2021*		16,000		16,680
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		6,000		5,820
Plains All American Pipeline LP/PAA Finance Corp. Notes 3.60% due 11/01/2024		11,000		10,796
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 3.85% due 10/15/2023		130,000		132,012
Williams Partners LP Senior Notes 3.90% due 01/15/2025		90,000		89,333

Security Description	Principal Amount(10)		Value (Note 2)
Pipelines (continued)
Williams Partners LP Senior Notes 4.30% due 03/04/2024	$	75,000	$	76,497
				873,608
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022*		10,000		9,663
Publishing-Newspapers — 0.1%
Gannett Co., Inc. Company Guar. Notes 5.13% due 10/15/2019		70,000		70,700
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022		5,000		5,400
				76,100
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		3,000		3,090
Real Estate Investment Trusts — 0.6%
Duke Realty LP Company Guar. Notes 6.75% due 03/15/2020		45,000		53,108
Geo Group, Inc. Company Guar. Notes 5.13% due 04/01/2023		8,000		7,700
HCP, Inc. Senior Notes 3.75% due 02/01/2016		10,000		10,383
HCP, Inc. Senior Notes 5.38% due 02/01/2021		25,000		27,897
HCP, Inc. Senior Notes 6.00% due 01/30/2017		65,000		71,793
Health Care REIT, Inc. Senior Notes 4.50% due 01/15/2024		50,000		51,443
Health Care REIT, Inc. Senior Notes 5.25% due 01/15/2022		125,000		138,291
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		120,000		126,266
Liberty Property LP Senior Notes 3.38% due 06/15/2023		25,000		24,258
Liberty Property LP Senior Notes 4.13% due 06/15/2022		20,000		20,723
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024*		15,000		15,263

64

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Omega Healthcare Investors, Inc. Company Guar. Notes 5.88% due 03/15/2024	$	4,000	$	4,170
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		75,000		74,841
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		25,000		25,814
Ventas Realty LP/ Ventas Capital Corp. Company Guar. Notes 2.70% due 04/01/2020		40,000		39,353
Ventas Realty LP/ Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		86,000		93,631
				784,934
Real Estate Management/Services — 0.0%
American Campus Communities Operating Partnership LP Company Guar. Notes 4.13% due 07/01/2024		9,000		9,026
Kennedy-Wilson, Inc. Company Guar. Notes 8.75% due 04/01/2019		10,000		10,625
				19,651
Recycling — 0.0%
Aleris International, Inc. Escrow Notes 9.00% due 12/15/2014†(1)(2)		10,000		0
Rental Auto/Equipment — 0.0%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		25,000		33,019
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022		3,000		3,203
				36,222
Retail-Appliances — 0.0%
Conn's, Inc. Senior Notes 7.25% due 07/15/2022*		4,000		3,405
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.13% due 07/15/2023		75,000		72,843
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020		40,000		42,400
				115,243

Security Description	Principal Amount(10)		Value (Note 2)
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020	$	30,000	$	32,700
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022*		25,000		24,187
				56,887
Retail-Discount — 0.1%
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		12,000		12,533
Wal-Mart Stores, Inc. Senior Notes 4.30% due 04/22/2044		50,000		50,296
				62,829
Retail-Drug Store — 0.1%
CVS Pass-Through Trust Pass Through Certs. 4.70% due 01/10/2036*		7,859		8,338
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		9,078		10,262
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		12,168		14,112
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		117,129		142,581
				175,293
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 5.45% due 08/15/2034*		12,000		11,786
Retail-Music Store — 0.0%
Guitar Center, Inc. Company Guar. Notes 9.63% due 04/15/2020*		10,000		7,675
Retail-Perfume & Cosmetics — 0.1%
Sally Holdings LLC/ Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		60,000		63,600
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		5,000		4,475
Retail-Restaurants — 0.0%
Landry's, Inc. Senior Notes 9.38% due 05/01/2020*		8,000		8,460
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		8,000		7,940
				16,400

65

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017	$	12,000	$	12,884
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		43,000		49,042
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		15,000		17,299
				79,225
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		8,000		8,220
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		6,000		5,786
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		7,000		7,105
				21,111
Security Services — 0.1%
ADT Corp. Senior Notes 3.50% due 07/15/2022		13,000		11,245
ADT Corp. Senior Notes 6.25% due 10/15/2021		130,000		134,550
				145,795
Semiconductor Equipment — 0.0%
Entegris, Inc. Company Guar. Notes 6.00% due 04/01/2022*		4,000		4,060
Magnachip Semiconductor Corp. Senior Notes 6.63% due 07/15/2021		2,000		1,840
				5,900
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		48,000		51,720
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		10,000		10,325
Steel Pipe & Tube — 0.0%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*		4,000		4,040

Security Description	Principal Amount(10)		Value (Note 2)
Steel Pipe & Tube (continued)
Valmont Industries, Inc. Company Guar. Bonds 5.00% due 10/01/2044	$	11,000	$	10,791
Valmont Industries, Inc. Company Guar. Bonds 5.25% due 10/01/2054		16,000		15,623
				30,454
Steel-Producers — 0.1%
AK Steel Corp. Company Guar. Notes 8.38% due 04/01/2022		5,000		5,000
Glencore Funding LLC Company Guar. Notes 1.70% due 05/27/2016*		100,000		100,678
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021*		10,000		10,150
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024*		10,000		10,050
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		25,000		27,750
				153,628
Storage/Warehousing — 0.0%
Mobile Mini, Inc. Company Guar. Notes 7.88% due 12/01/2020		5,000		5,350
Telecom Services — 0.2%
Consolidated Communications Finance II Co. Company Guar. Notes 6.50% due 10/01/2022*		3,000		2,985
Qwest Corp. Senior Notes 7.50% due 10/01/2014		20,000		20,000
SBA Tower Trust Sec. Notes 3.60% due 04/15/2043*		85,000		84,979
SBA Tower Trust Sec. Notes 4.25% due 04/15/2040*		200,000		203,731
				311,695
Telephone-Integrated — 0.5%
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		10,000		9,192
AT&T, Inc. Senior Notes 4.80% due 06/15/2044		80,000		78,821
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		4,000		4,100
Cincinnati Bell, Inc. Company Guar. Notes 8.38% due 10/15/2020		5,000		5,275

66

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Frontier Communications Corp. Senior Notes 6.88% due 01/15/2025	$	8,000	$	7,900
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		6,000		6,660
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		2,000		2,285
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020*		91,000		89,858
Verizon Communications, Inc. Senior Notes 4.15% due 03/15/2024		11,000		11,358
Verizon Communications, Inc. Senior Notes 4.50% due 09/15/2020		21,000		22,719
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046*		59,000		59,167
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054*		69,000		69,328
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		95,000		105,200
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		29,000		35,328
Verizon Communications, Inc. Senior Notes 6.55% due 09/15/2043		195,000		243,631
				750,822
Television — 0.0%
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		10,000		10,225
Tobacco — 0.0%
Altria Group, Inc. Company Guar. Notes 9.70% due 11/10/2018		33,000		42,511
Transport-Services — 0.0%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		35,000		35,048
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 8.50% due 05/15/2019*		3,000		3,210
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		50,000		51,017

Security Description	Principal Amount(10)		Value (Note 2)
Trucking/Leasing (continued)
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*	$	5,000	$	4,972
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		5,000		5,116
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		95,000		102,091
				163,196
Web Hosting/Design — 0.1%
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		85,000		84,150
Equinix, Inc. Senior Notes 5.38% due 04/01/2023		5,000		4,950
				89,100
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		6,000		5,580
Wireless Equipment — 0.0%
Motorola Solutions, Inc. Senior Notes 5.50% due 09/01/2044		12,000		11,870
Total U.S. Corporate Bonds & Notes (cost $13,717,770)				14,207,054
FOREIGN CORPORATE BONDS & NOTES — 1.7%
Advertising Services — 0.0%
WPP Finance Company Guar. Notes 3.75% due 09/19/2024		12,000		11,835
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		4,000		4,250
Banks-Commercial — 0.7%
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017		18,000		17,996
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		300,000		333,469
BPCE SA Sub. Notes 5.15% due 07/21/2024*		220,000		226,713
Credit Suisse Sub. Notes 5.40% due 01/14/2020		107,000		119,350

67

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Macquarie Bank, Ltd. Senior Notes 2.60% due 06/24/2019*	$	9,000	$	8,993
Sumitomo Mitsui Financial Group, Inc. Sub. Notes 4.44% due 04/02/2024*		200,000		204,874
				911,395
Cruise Lines — 0.0%
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		5,000		5,050
Diversified Banking Institutions — 0.3%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		33,000		32,774
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		128,276
Royal Bank of Scotland Group PLC Senior Notes 2.55% due 09/18/2015		6,000		6,089
Royal Bank of Scotland Group PLC Sub. Notes 5.13% due 05/28/2024		150,000		147,384
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		13,000		13,727
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		30,000		31,753
				360,003
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*		4,000		4,005
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		31,000		31,543
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		8,000		9,074
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,158
Food-Baking — 0.1%
Grupo Bimbo SAB de CV Company Guar. Notes 4.88% due 06/27/2044*		200,000		193,476

Security Description	Principal Amount(10)		Value (Note 2)
Gold Mining — 0.1%
Barrick Gold Corp. Senior Notes 4.10% due 05/01/2023	$	75,000	$	72,067
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		9,000		9,339
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024*		6,000		6,103
				87,509
Hazardous Waste Disposal — 0.0%
Tervita Corp. Senior Sec. Notes 8.00% due 11/15/2018*		10,000		10,075
Medical-Drugs — 0.0%
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		2,000		1,993
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.85% due 06/15/2044*		5,000		4,697
Metal-Iron — 0.0%
Vale SA Senior Notes 5.63% due 09/11/2042		8,000		7,827
Oil & Gas Drilling — 0.0%
Ensco PLC Senior Notes 4.50% due 10/01/2024		6,000		6,020
Ensco PLC Senior Notes 5.75% due 10/01/2044		7,000		7,096
Transocean, Inc. Company Guar. Notes 3.80% due 10/15/2022		11,000		10,096
Transocean, Inc. Company Guar. Notes 6.38% due 12/15/2021		8,000		8,510
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031		6,000		6,273
				37,995
Oil Companies-Exploration & Production — 0.1%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		12,000		16,252
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		30,000		31,275
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		6,052

68

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*	$	4,000	$	4,140
Nexen, Inc. Company Guar. Notes 7.50% due 07/30/2039		30,000		41,378
Talisman Energy, Inc. Senior Notes 5.50% due 05/15/2042		13,000		13,233
				112,330
Oil Companies-Integrated — 0.2%
BP Capital Markets PLC Company Guar. Notes 2.25% due 11/01/2016		18,000		18,463
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		125,000		133,711
Petrobras Global Finance BV Company Guar. Notes 7.25% due 03/17/2044		8,000		8,645
Petrobras International Finance Co. Company Guar. Notes 5.38% due 01/27/2021		70,000		70,757
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		5,000		5,101
Petroleos Mexicanos Company Guar. Notes 6.38% due 01/23/2045*		12,000		13,570
				250,247
Real Estate Operations & Development — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		4,000		3,990
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		7,000		6,965
Semiconductor Components-Integrated Circuits — 0.1%
TSMC Global Ltd Company Guar. Notes 1.63% due 04/03/2018*		200,000		197,491
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.75% due 02/25/2022		2,000		2,148
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		75,000		109,048
Telecom Italia Capital SA Company Guar. Notes 7.18% due 06/18/2019		16,000		18,080

Security Description	Principal Amount(10)		Value (Note 2)
Telephone-Integrated (continued)
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038	$	25,000	$	28,125
				155,253
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		25,000		33,948
Total Foreign Corporate Bonds & Notes (cost $2,390,880)				2,446,257
MUNICIPAL BONDS & NOTES — 0.4%
New Jersey State Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		50,000		71,610
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111		13,000		13,504
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		10,000		9,969
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		14,000		15,375
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		25,000		14,300
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		75,000		42,752
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		85,000		48,458
State of California General Obligation Bonds 6.20% due 10/01/2019		75,000		88,760
State of California General Obligation Bonds Series B 6.51% due 04/01/2039		35,000		41,069
State of California General Obligation Bonds 7.55% due 04/01/2039		60,000		87,492

69

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of Illinois General Obligation Bonds 5.67% due 03/01/2018	$	55,000	$	60,484
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		75,000		81,053
Total Municipal Bonds & Notes (cost $499,232)				574,826
U.S. GOVERNMENT AGENCIES — 11.3%
Federal Home Loan Mtg. Corp. — 0.6%
2.50% due 01/01/2028		9,206		9,300
2.50% due 04/01/2028		29,963		30,324
3.00% due 08/01/2027		14,310		14,735
3.00% due 10/01/2042		22,837		22,728
3.00% due 11/01/2042		16,769		16,580
3.00% due 02/01/2043		46,477		45,952
3.00% due 08/01/2043		204,619		202,746
3.50% due 03/01/2042		11,259		11,506
3.50% due 08/01/2042		64,836		66,257
3.50% due 09/01/2043		46,644		47,772
4.00% due 03/01/2023		17,321		18,332
4.00% due 10/01/2043		59,605		62,838
4.50% due 01/01/2039		3,338		3,601
5.00% due 05/01/2020		160,635		170,813
5.00% due 05/01/2034		35,830		39,876
5.50% due 07/01/2034		9,564		10,711
5.50% due 05/01/2037		5,950		6,625
6.00% due 08/01/2026		35,417		39,941
6.50% due 05/01/2029		2,422		2,778
6.50% due 05/01/2036		339		384
7.50% due 08/01/2023		114		124
7.50% due 08/01/2025		1,549		1,566
Federal Home Loan Mtg. Corp. FRS 1.89% due 02/01/2037		4,252		4,482
Federal Home Loan Mtg. Corp.
Structured Agency Credit Risk FRS Series 2014-DN2, Class M2 1.80% due 04/25/2024(7)		15,000		14,568
Series 2014-DN1, Class M2 2.35% due 02/25/2024(7)		8,000		7,966
Federal Home Loan Mtg. Corp. REMIC Series 3964, Class MD 2.00% due 01/15/2041(7)		8,787		8,517
Series 1577, Class PK 6.50% due 09/15/2023(7)		8,482		9,346
Series 1226, Class Z 7.75% due 03/15/2022(7)		684		736
				871,104
Federal National Mtg. Assoc. — 8.5%
2.50% due 02/01/2043		95,824		90,852
2.50% due 03/01/2043		191,526		181,588
3.00% due 12/01/2027		19,617		20,232
3.00% due 01/01/2028		25,717		26,568
3.00% due 12/01/2042		8,121		8,024
3.00% due October 15 TBA		600,000		618,000

Security Description	Principal Amount(10)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 05/01/2043	$	74,442	$	73,514
3.00% due October 30 TBA		2,180,000		2,149,003
3.50% due 08/01/2026		35,648		37,542
3.50% due 09/01/2026		20,474		21,579
3.50% due 10/01/2028		111,931		117,871
3.50% due 08/01/2043		237,960		243,554
3.50% due October 30 TBA		1,404,000		1,435,042
4.00% due 11/01/2040		25,598		27,013
4.00% due 12/01/2040		67,744		71,489
4.00% due 11/01/2041		9,641		10,173
4.00% due 01/01/2042		25,110		26,498
4.00% due 11/01/2043		60,434		63,925
4.00% due 12/01/2043		19,092		20,247
4.00% due October 30 TBA		1,152,000		1,213,992
4.50% due 01/01/2039		7,435		8,026
4.50% due 06/01/2039		73,820		80,077
4.50% due 09/01/2039		17,613		19,032
4.50% due 05/01/2041		16,710		18,039
4.50% due October 30 TBA		1,281,000		1,382,079
4.85% due 11/01/2015		535,216		549,904
4.96% due 01/01/2015		144,683		144,495
5.00% due 03/01/2018		4,264		4,501
5.00% due 06/01/2019		1,998		2,129
5.00% due 03/01/2020		8,100		8,634
5.00% due 05/01/2035		5,713		6,317
5.00% due 07/01/2040		111,563		123,279
5.00% due October 30 TBA		1,450,000		1,599,848
5.50% due 05/01/2020		30,297		32,105
5.50% due 06/01/2020		38,814		41,134
5.50% due 12/01/2029		5,090		5,685
5.50% due 06/01/2035		315,458		355,010
5.50% due 06/01/2036		132,552		148,832
5.50% due 08/01/2037		28,670		32,005
5.50% due 06/01/2038		24,880		27,897
6.00% due 06/01/2017		3,068		3,206
6.00% due 06/01/2021		91,329		97,578
6.00% due 12/01/2033		16,627		18,931
6.00% due 05/01/2034		13,336		15,190
6.00% due 08/01/2034		2,927		3,333
6.00% due 11/01/2038		4,875		5,510
6.00% due October 30 TBA		500,000		565,137
7.00% due 06/01/2037		35,984		39,902
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C02, Class 2M1 1.10% due 05/25/2024(7)		13,804		13,601
Series 2014-C01, Class M1 1.75% due 01/25/2024(7)		18,260		18,289
Series 2013-C01, Class M1 2.15% due 10/25/2023(7)		22,437		22,675
Federal National Mtg. Assoc. FRS 2.13% due 05/01/2037		8,191		8,711
3.52% due 10/01/2040		9,090		9,717

70

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(7)	$	13,521	$	13,441
				11,880,955
Government National Mtg. Assoc. — 2.2%
4.00% due 07/15/2041		53,616		56,981
4.00% due 08/15/2041		23,615		25,097
4.00% due 10/15/2041		51,290		54,509
4.00% due October 30 TBA		1,300,000		1,378,914
4.50% due 06/15/2041		1,325,171		1,441,917
6.00% due 11/15/2028		38,076		43,380
7.00% due 07/15/2033		16,337		19,127
8.50% due 11/15/2017		397		425
9.00% due 11/15/2021		226		264
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(7)		1,387		1,587
Series 2005-74, Class HC 7.50% due 09/16/2035(7)		8,683		10,027
				3,032,228
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		10,000		10,009
Total U.S. Government Agencies (cost $15,658,904)				15,794,296
U.S. GOVERNMENT TREASURIES — 8.7%
United States Treasury Bonds — 0.4%
3.38% due 05/15/2044		16,000		16,520
3.63% due 02/15/2044		28,000		30,258
4.38% due 11/15/2039(13)		149,200		182,047
United States Treasury Bonds TIPS 1.38% due 02/15/2044(8)		306,687		328,035
				556,860
United States Treasury Notes — 8.3%
0.25% due 11/30/2014(13)		90,000		90,028
0.25% due 07/31/2015		1,335,000		1,336,877
0.38% due 04/15/2015		25,000		25,042
0.38% due 08/31/2015		500,000		501,270
0.63% due 08/15/2016		3,010,000		3,014,349
0.63% due 12/15/2016		65,000		64,863
0.63% due 05/31/2017		92,000		91,202
0.63% due 08/31/2017		131,000		129,270
0.63% due 09/30/2017		21,000		20,692
1.00% due 08/31/2016		77,000		77,626
1.00% due 10/31/2016		50,000		50,355
1.00% due 05/31/2018		6,000		5,911
1.13% due 05/31/2019		10,000		9,726
1.25% due 10/31/2015		27,000		27,314
1.38% due 11/30/2015		334,000		338,527
1.38% due 07/31/2018		572,000		569,677
1.50% due 08/31/2018		663,000		662,689
1.50% due 02/28/2019		20,000		19,858

Security Description	Principal Amount(10)		Value (Note 2)
United States Treasury Notes (continued)
1.63% due 08/15/2022	$	53,000	$	50,325
1.75% due 05/15/2022		18,000		17,305
2.00% due 01/31/2016		735,000		751,825
2.00% due 04/30/2016		490,000		502,269
2.13% due 05/31/2015		12,000		12,164
2.38% due 08/15/2024		12,000		11,861
United States Treasury Notes FRS 0.06% due 01/31/2016		64,000		64,013
United States Treasury Notes TIPS 0.13% due 04/15/2018 (8)		162,847		164,145
0.13% due 04/15/2019 (8)		772,760		774,632
0.13% due 01/15/2023 (8)		469,646		454,383
0.13% due 07/15/2024 (8)		551,870		529,838
0.63% due 01/15/2024(8)		1,199,793		1,205,792
				11,573,828
Total U.S. Government Treasuries (cost $12,107,965)				12,130,688
FOREIGN GOVERNMENT OBLIGATIONS — 0.9%
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		12,000		12,065
Regional Authority — 0.0%
Province of British Columbia Senior Notes 2.85% due 06/15/2015		3,000		3,055
Sovereign — 0.8%
Dominican Republic Bonds 11.50% due 05/10/2024*	DOP	5,000,000		120,462
Federative Republic of Brazil Bills zero coupon due 09/01/2020	BRL	56,000		145,546
Government of Canada Senior Notes 0.88% due 02/14/2017		12,000		11,981
Government of France Bonds 0.25% due 07/25/2024(8)	EUR	40,480		53,319
Government of Uruguay Bonds 4.25% due 04/05/2027	UYU	2,173,047		96,468
Italy Buoni Poliennali Del Tesoro Notes 2.35% due 09/15/2024*(8)	EUR	40,047		56,242
Kingdom of Spain Senior Notes 1.80% due 11/30/2024*(8)	EUR	39,903		55,219
Republic of Costa Rica Senior Notes 5.63% due 04/30/2043		200,000		171,000
Republic of Portugal Notes 5.13% due 10/15/2024*		18,000		18,649

71

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	1,100,000	$	95,232
Russian Federation Bonds 7.50% due 02/27/2019	RUB	2,950,000		69,913
United Mexican States Senior Notes 3.50% due 01/21/2021		25,000		25,335
United Mexican States Senior Notes 4.75% due 03/08/2044		204,000		202,470
				1,121,836
SupraNational Banks — 0.1%
Asian Development Bank Senior Notes 6.35% due 08/17/2016	INR	5,000,000		80,946
Total Foreign Government Obligations (cost $1,249,726)				1,217,902
OPTIONS-PURCHASED — 0.0%
Sovereign — 0.0%
Call Options-Purchased†(2)(11)	RUB	5,000,000		613
Call Options-Purchased†(2)(11)	BRL	310,000		1,858
Total Options-Purchased (cost $4,106)				2,471
Total Long-Term Investment Securities (cost $126,479,788)				141,272,282
SHORT-TERM INVESTMENT SECURITIES — 0.8%
Time Deposits — 0.8%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/01/2014 (cost $1,092,000)	$	1,092,000		1,092,000
REPURCHASE AGREEMENTS — 5.6%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $126,000 collateralized by $140,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $129,736		126,000		126,000

Security Description	Principal Amount(10)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $697,000 collateralized by $770,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $713,546		697,000			697,000
Bank of America Securities LLC Joint Repurchase Agreement(9)		1,700,000			1,700,000
Barclays Capital PLC Joint Repurchase Agreement(9)		1,475,000			1,475,000
BNP Paribas SA Joint Repurchase Agreement(9)		1,370,000			1,370,000
Deutsche Bank AG Joint Repurchase Agreement(9)		905,000			905,000
Royal Bank of Scotland Joint Repurchase Agreement(9)		1,580,000			1,580,000
Total Repurchase Agreements (cost $7,853,000)					7,853,000
TOTAL INVESTMENTS (cost $135,424,788)(12)		107.2	%		150,217,282
Liabilities in excess of other assets		(7.2	)		(10,035,523	)
NET ASSETS		100.0	%	$	140,181,759

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $9,203,329 representing 6.6% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $4,467 representing 0.0% of net assets.

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

72

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Multi-Managed Moderate Growth Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	4/9/2014		4	$	0	$	1,992	$	498		0.00	%

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

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Collateralized Mortgage Obligation

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

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

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

(11)  Options-purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2014		Appreciation (Depreciation)
Call option to deliver U.S. dollars in exchange for Brazilian Reals with Goldman Sachs International	September 2015	$	2.41	BRL	310,000	$	2,297	$	1,858	$	(439	)
Call option to deliver U.S. dollars in exchange for Russian Rubles with Goldman Sachs International	September 2015		36.97	RUB	5,000,000		1,809		613		(1,196	)
						$	4,106	$	2,471	$	(1,635	)

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

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

BRL — Brazilian Real

CVR — Contingent Value Rights

DOP — Dominican Peso

EUR — Euro Dollar

INR — Indian Rupee

REMIC — Real Estate Mortgage Investment Conduit

RUB — Russian Ruble

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The

actual principal and maturity date will be determined upon settlement date.

TIPS — Treasury Inflation Protected Securities

UYU — Uruguayan Peso

ZAR — South African Rand

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2014 and unless noted otherwise, the dates shown are the original maturity dates.

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	11	Long	Russell 2000 Mini Index	December 2014	$	1,233,137	$	1,206,260	$	(26,877	)
	10	Long	U.S. Treasury 2YR Notes	December 2014		2,189,216		2,188,438		(778	)
	33	Long	U.S. Treasury 5YR Notes	December 2014		3,903,510		3,902,507		(1,003	)
	22	Short	U.S. Treasury 10YR Notes	December 2014		2,726,649		2,742,094		(15,445	)
	25	Short	U.S. Long Bonds	December 2014		3,477,344		3,447,656		29,688
	26	Long	U.S. Ultra Bonds	December 2014		3,971,664		3,965,000		(6,664	)
									$	(21,079	)

73

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	EUR	40,000	USD	51,738	9/18/15	$	1,010	$	—
	USD	50,388	RSD	5,000,000	9/18/15		—		(846	)
							1,010		(846	)
Deutsche Bank AG	EUR	131,000	USD	169,617	12/17/14		4,068		—
Goldman Sachs International	JPY	4,896,000	USD	44,746	12/17/14		74		—
JPMorgan Chase Bank	EUR	518,000	USD	662,913	10/31/14		8,531		—
	USD	45,942	JPY	4,896,000	12/17/14		—		(1,271	)
							8,531		(1,271	)
Net Unrealized Appreciation (Depreciation)						$	13,683	$	(2,117	)

EUR — Euro

JPY — Japanese Yen

RSD — Serbian Dinar

USD — United States Dollar

74

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Medical - Biomedical/Gene	$	3,703,835	$	—	$	0	$	3,703,835
Television		232,350		—		1,992		234,342
Other Industries*		76,688,015		—		—		76,688,015
Preferred Securities		29,041		—		—		29,041
Preferred Securities/Capital Securities		—		1,278,704		—		1,278,704
Asset Backed Securities:
Diversified Financial Services		—		12,834,860		129,991		12,964,851
U.S. Corporate Bonds & Notes:
Recycling		—		—		0		0
Other Industries*		—		14,207,054		—		14,207,054
Foreign Corporate Bonds & Notes		—		2,446,257		—		2,446,257
Municipal Bonds & Notes		—		574,826		—		574,826
U.S. Government Agencies:
Federal National Mtg. Assoc.		—		11,880,955		—		11,880,955
Other Government Agencies*		—		3,913,341		—		3,913,341
U.S. Government Treasuries:
United States Treasury Bonds		—		556,860		—		556,860
United States Treasury Notes		—		11,573,828		—		11,573,828
Foreign Government Obligations		—		1,217,902		—		1,217,902
Options - Purchased		—		2,471		—		2,471
Short-Term Investment Securities
Time Deposits		—		1,092,000		—		1,092,000
Repurchase Agreements		—		7,853,000		—		7,853,000
Other Financial Instruments:+
Open Futures Contracts - Appreciation		29,688		—		—		29,688
Open Forward Foreign Currency
Contracts - Appreciation		—		13,683		—		13,683
Total	$	80,682,929	$	69,445,741	$	131,983	$	150,260,653
Liabilities:
Other Financial Instruments:+
Open Futures Contracts - Depreciation	$	50,767	$	—	$	—	$	50,767
Open Forward Foreign Currency Contracts - Depreciation		—		2,117		—		2,117
Total	$	50,767	$	2,117	$	—	$	52,884

*  Sum of all other industries or government agencies each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry or government agency classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

75

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Diversified Financial Services	14.5	%
Federal National Mtg. Assoc.	14.4
Repurchase Agreements	10.2
United States Treasury Notes	10.0
Diversified Banking Institutions	5.1
Government National Mtg. Assoc.	2.9
Banks-Commercial	2.2
Computers	1.9
Medical-Drugs	1.8
Medical-Biomedical/Gene	1.7
Oil Companies-Exploration & Production	1.7
Banks-Super Regional	1.7
Real Estate Investment Trusts	1.5
Multimedia	1.5
Federal Home Loan Mtg. Corp.	1.4
Web Portals/ISP	1.3
Telephone-Integrated	1.3
Sovereign	1.2
Cable/Satellite TV	1.1
United States Treasury Bonds	1.0
Pipelines	0.9
Oil Companies-Integrated	0.8
Diversified Manufacturing Operations	0.8
Electric-Integrated	0.8
Beverages-Non-alcoholic	0.7
Pharmacy Services	0.7
Semiconductor Components-Integrated Circuits	0.7
Transport-Rail	0.7
Municipal Bonds	0.6
Chemicals-Diversified	0.6
Cosmetics & Toiletries	0.6
Medical-Hospitals	0.6
Applications Software	0.6
Telecom Services	0.6
Insurance-Multi-line	0.5
Oil-Field Services	0.5
E-Commerce/Products	0.5
Medical-HMO	0.4
Electronic Components-Semiconductors	0.4
Retail-Drug Store	0.4
Cellular Telecom	0.4
Insurance-Life/Health	0.4
Internet Content-Entertainment	0.4
Tobacco	0.4
Commercial Services-Finance	0.3
Finance-Credit Card	0.3
Instruments-Controls	0.3
Retail-Restaurants	0.3
Finance-Investment Banker/Broker	0.3
Food-Retail	0.3
Apparel Manufacturers	0.3
Aerospace/Defense-Equipment	0.3
Metal Processors & Fabrication	0.3
Steel-Producers	0.3
Retail-Auto Parts	0.3
Finance-Auto Loans	0.3
Hotels/Motels	0.3
Retail-Building Products	0.3
Enterprise Software/Service	0.3
Insurance-Property/Casualty	0.3

Electronic Components-Misc.	0.3	%
Medical Products	0.2
Agricultural Chemicals	0.2
Transport-Services	0.2
Insurance Brokers	0.2
Casino Hotels	0.2
Networking Products	0.2
E-Commerce/Services	0.2
Medical-Wholesale Drug Distribution	0.2
Airlines	0.2
Electronic Connectors	0.2
Computers-Memory Devices	0.2
Industrial Gases	0.2
Athletic Footwear	0.2
Retail-Regional Department Stores	0.2
Trucking/Leasing	0.2
Computer Services	0.2
Oil Refining & Marketing	0.2
Paper & Related Products	0.2
Food-Confectionery	0.2
Food-Baking	0.2
Retail-Major Department Stores	0.2
Food-Wholesale/Distribution	0.2
Finance-Consumer Loans	0.2
Security Services	0.2
Investment Management/Advisor Services	0.2
Computers-Integrated Systems	0.2
Retail-Perfume & Cosmetics	0.2
Retail-Discount	0.2
Savings & Loans/Thrifts	0.2
Auto/Truck Parts & Equipment-Original	0.2
Finance-Other Services	0.2
Aerospace/Defense	0.2
Food-Misc./Diversified	0.1
Containers-Metal/Glass	0.1
Wireless Equipment	0.1
Therapeutics	0.1
Machinery-Construction & Mining	0.1
Electronic Design Automation	0.1
Electric Products-Misc.	0.1
Finance-Leasing Companies	0.1
Auto-Heavy Duty Trucks	0.1
Retail-Catalog Shopping	0.1
Insurance-Mutual	0.1
Coal	0.1
Machinery-Farming	0.1
Electronic Security Devices	0.1
Machinery-General Industrial	0.1
Electric-Transmission	0.1
Brewery	0.1
Entertainment Software	0.1
Building-Residential/Commercial	0.1
Telecommunication Equipment	0.1
Television	0.1
Retail-Gardening Products	0.1
Containers-Paper/Plastic	0.1
Electric-Generation	0.1
Retail-Mail Order	0.1
Computer Aided Design	0.1
Gold Mining	0.1

76

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Electronic Measurement Instruments	0.1	%
Transactional Software	0.1
Retail-Apparel/Shoe	0.1
Real Estate Management/Services	0.1
Semiconductor Equipment	0.1
Web Hosting/Design	0.1
Retail-Jewelry	0.1
Gas-Distribution	0.1
Medical Information Systems	0.1
Auto-Cars/Light Trucks	0.1
Retail-Pet Food & Supplies	0.1
Distribution/Wholesale	0.1
SupraNational Banks	0.1
Building & Construction Products-Misc.	0.1
Publishing-Newspapers	0.1
Metal-Copper	0.1
Oil & Gas Drilling	0.1
Hazardous Waste Disposal	0.1
Toys	0.1
Human Resources	0.1
Auction Houses/Art Dealers	0.1
Beverages-Wine/Spirits	0.1
Shipbuilding	0.1
Steel Pipe & Tube	0.1
Retail-Automobile	0.1
Data Processing/Management	0.1
Oil Field Machinery & Equipment	0.1
Tools-Hand Held	0.1
Medical-Generic Drugs	0.1
Office Automation & Equipment	0.1
Rental Auto/Equipment	0.1
Medical Labs & Testing Services	0.1
Diversified Minerals	0.1
	109.9	%
Credit Quality†#
Aaa	55.9	%
Aa	2.8
A	6.1
Baa	18.1
Ba	6.2
B	2.4
Caa	1.4
Ca	0.2
Not Rated@	6.9
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

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

77

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.8%
Aerospace/Defense — 0.1%
Boeing Co.		580	$	73,880
Aerospace/Defense-Equipment — 0.3%
B/E Aerospace, Inc.†		1,364		114,494
United Technologies Corp.		1,651		174,346
				288,840
Agricultural Chemicals — 0.1%
Monsanto Co.		1,261		141,875
Airlines — 0.2%
United Continental Holdings, Inc.†		3,888		181,920
Apparel Manufacturers — 0.2%
Carter's, Inc.		1,319		102,249
Michael Kors Holdings, Ltd.†		812		57,969
Ralph Lauren Corp.		547		90,107
				250,325
Applications Software — 0.6%
Microsoft Corp.		11,111		515,106
Red Hat, Inc.†		789		44,302
salesforce.com, Inc.†		826		47,520
				606,928
Athletic Footwear — 0.2%
NIKE, Inc., Class B		2,424		216,221
Auto-Cars/Light Trucks — 0.0%
Ford Motor Co.		2,647		39,149
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		1,978		112,499
Auto/Truck Parts & Equipment-Original — 0.1%
BorgWarner, Inc.		1,318		69,340
Banks-Commercial — 0.1%
PacWest Bancorp		1,839		75,822
Regions Financial Corp.		7,121		71,495
				147,317
Banks-Super Regional — 0.9%
Capital One Financial Corp.		2,802		228,699
Comerica, Inc.		2,623		130,783
Fifth Third Bancorp		1,346		26,947
PNC Financial Services Group, Inc.		999		85,494
SunTrust Banks, Inc.		2,036		77,429
US Bancorp		4,125		172,549
Wells Fargo & Co.		3,770		195,550
				917,451
Beverages-Non-alcoholic — 0.7%
Coca-Cola Co.		4,232		180,537
Monster Beverage Corp.†		734		67,286
PepsiCo, Inc.		4,804		447,204
				695,027
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		705		63,605

Security Description	Shares		Value (Note 2)
Cable/Satellite TV — 0.4%
Comcast Corp., Class A		6,579	$	353,818
Time Warner Cable, Inc.		734		105,322
				459,140
Casino Hotels — 0.2%
MGM Resorts International†		8,887		202,446
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		5,664		163,520
Chemicals-Diversified — 0.6%
Dow Chemical Co.		904		47,406
E.I. du Pont de Nemours & Co.		371		26,623
LyondellBasell Industries NV, Class A		2,736		297,294
PPG Industries, Inc.		718		141,259
Rockwood Holdings, Inc.		1,357		103,742
				616,324
Commercial Services-Finance — 0.3%
MasterCard, Inc., Class A		3,398		251,180
Vantiv, Inc., Class A†		3,068		94,801
				345,981
Computer Aided Design — 0.1%
ANSYS, Inc.†		1,541		116,607
Computer Services — 0.2%
IHS, Inc., Class A†		778		97,398
International Business Machines Corp.		560		106,305
				203,703
Computers — 1.6%
Apple, Inc.		16,064		1,618,448
Hewlett-Packard Co.		1,706		60,512
				1,678,960
Computers-Integrated Systems — 0.2%
NCR Corp.†		5,172		172,797
Computers-Memory Devices — 0.2%
EMC Corp.		5,647		165,231
NetApp, Inc.		1,241		53,314
				218,545
Containers-Metal/Glass — 0.1%
Crown Holdings, Inc.†		3,428		152,615
Containers-Paper/Plastic — 0.1%
Rock-Tenn Co., Class A		1,821		86,643
Cosmetics & Toiletries — 0.6%
Colgate-Palmolive Co.		6,850		446,757
Estee Lauder Cos., Inc., Class A		1,647		123,064
Procter & Gamble Co.		799		66,908
				636,729
Distribution/Wholesale — 0.1%
WESCO International, Inc.†		1,070		83,738

78

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Banking Institutions — 1.0%
Bank of America Corp.		2,443	$	41,653
Citigroup, Inc.		4,130		214,017
Goldman Sachs Group, Inc.		1,435		263,423
JPMorgan Chase & Co.		5,673		341,741
Morgan Stanley		3,846		132,956
				993,790
Diversified Manufacturing Operations — 0.6%
Colfax Corp.†		2,516		143,337
Danaher Corp.		1,526		115,946
Dover Corp.		1,168		93,825
Eaton Corp. PLC		1,620		102,659
General Electric Co.		5,623		144,061
				599,828
E-Commerce/Products — 0.5%
Amazon.com, Inc.†		1,103		355,651
eBay, Inc.†		2,627		148,767
				504,418
E-Commerce/Services — 0.2%
Priceline Group, Inc.†		188		217,813
Electric Products-Misc. — 0.1%
Emerson Electric Co.		2,486		155,574
Electric-Integrated — 0.1%
NextEra Energy, Inc.		435		40,838
PG&E Corp.		861		38,779
				79,617
Electric-Transmission — 0.1%
Brookfield Infrastructure Partners LP		3,516		133,608
Electronic Components-Misc. — 0.3%
TE Connectivity, Ltd.		4,969		274,736
Electronic Components-Semiconductors — 0.4%
Freescale Semiconductor, Ltd.†		2,014		39,333
Intel Corp.		3,478		121,104
Texas Instruments, Inc.		2,486		118,557
Xilinx, Inc.		2,825		119,639
				398,633
Electronic Connectors — 0.2%
Amphenol Corp., Class A		2,193		218,993
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		9,043		155,630
Electronic Measurement Instruments — 0.1%
National Instruments Corp.		3,603		111,441
Electronic Security Devices — 0.1%
Tyco International, Ltd.		3,018		134,512
Enterprise Software/Service — 0.3%
Informatica Corp.†		1,855		63,515
Oracle Corp.		4,306		164,834
Tyler Technologies, Inc.†		448		39,603
				267,952

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.3%
American Express Co.		1,303	$	114,064
Visa, Inc., Class A		1,140		243,242
				357,306
Finance-Investment Banker/Broker — 0.2%
E*TRADE Financial Corp.†		3,653		82,521
LPL Financial Holdings, Inc.		1,849		85,147
TD Ameritrade Holding Corp.		2,801		93,469
				261,137
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc.		332		64,757
Food-Confectionery — 0.2%
Hershey Co.		2,043		194,964
Food-Misc./Diversified — 0.1%
Mondelez International, Inc., Class A		4,237		145,181
Food-Retail — 0.3%
Kroger Co.		3,419		177,788
Whole Foods Market, Inc.		3,787		144,323
				322,111
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		1,511		57,342
Hotels/Motels — 0.3%
Hyatt Hotels Corp., Class A†		915		55,376
Marriott International, Inc., Class A		1,498		104,710
Starwood Hotels & Resorts Worldwide, Inc.		1,660		138,129
				298,215
Human Resources — 0.1%
Monster Worldwide, Inc.†		13,024		71,632
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		1,664		216,620
Instruments-Controls — 0.3%
Honeywell International, Inc.		1,562		145,453
Sensata Technologies Holding NV†		4,675		208,178
				353,631
Insurance Brokers — 0.1%
Aon PLC		1,640		143,779
Insurance-Life/Health — 0.3%
Lincoln National Corp.		3,026		162,133
Prudential Financial, Inc.		1,747		153,631
				315,764
Insurance-Multi-line — 0.2%
Hartford Financial Services Group, Inc.		5,665		211,021
Insurance-Property/Casualty — 0.1%
Chubb Corp.		600		54,648

79

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Content-Entertainment — 0.4%
Facebook, Inc., Class A†		2,664	$	210,562
Pandora Media, Inc.†		4,436		107,174
Twitter, Inc.†		1,141		58,853
				376,589
Investment Management/Advisor Services — 0.2%
Affiliated Managers Group, Inc.†		388		77,740
BlackRock, Inc.		273		89,631
				167,371
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.		681		67,439
Terex Corp.		2,828		89,846
				157,285
Machinery-General Industrial — 0.1%
Roper Industries, Inc.		914		133,709
Medical Information Systems — 0.1%
athenahealth, Inc.†		731		96,265
Medical Products — 0.2%
Covidien PLC		1,316		113,847
Zimmer Holdings, Inc.		1,484		149,216
				263,063
Medical-Biomedical/Gene — 1.6%
Biogen Idec, Inc.†		823		272,256
Celgene Corp.†		2,623		248,608
Gilead Sciences, Inc.†		4,560		485,412
Isis Pharmaceuticals, Inc.†		3,912		151,903
Medivation, Inc.†		3,277		323,997
NPS Pharmaceuticals, Inc.†		3,072		79,872
Vertex Pharmaceuticals, Inc.†		990		111,187
				1,673,235
Medical-Drugs — 1.6%
Bristol-Myers Squibb Co.		8,001		409,491
Eli Lilly & Co.		2,156		139,817
Endo International PLC†		2,766		189,028
Ironwood Pharmaceuticals, Inc.†		7,798		101,023
Jazz Pharmaceuticals PLC†		1,099		176,455
Johnson & Johnson		1,372		146,242
Mallinckrodt PLC†		1,801		162,360
Merck & Co., Inc.		2,505		148,496
Pfizer, Inc.		6,845		202,407
				1,675,319
Medical-HMO — 0.2%
Aetna, Inc.		1,545		125,145
UnitedHealth Group, Inc.		1,588		136,965
				262,110
Medical-Hospitals — 0.3%
HCA Holdings, Inc.†		4,399		310,217
Medical-Wholesale Drug Distribution — 0.2%
McKesson Corp.		1,156		225,039

Security Description	Shares		Value (Note 2)
Metal Processors & Fabrication — 0.3%
Precision Castparts Corp.		876	$	207,507
Rexnord Corp.†		3,462		98,494
				306,001
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		2,483		81,070
Multimedia — 0.8%
Twenty-First Century Fox, Inc., Class A		10,943		375,235
Walt Disney Co.		4,932		439,096
				814,331
Networking Products — 0.2%
Cisco Systems, Inc.		8,103		203,953
Oil Companies-Exploration & Production — 1.1%
Anadarko Petroleum Corp.		3,047		309,088
Cabot Oil & Gas Corp.		186		6,080
EOG Resources, Inc.		1,446		143,183
EQT Corp.		485		44,397
Hess Corp.		1,701		160,438
Noble Energy, Inc.		2,852		194,963
Occidental Petroleum Corp.		742		71,343
Pioneer Natural Resources Co.		640		126,061
Range Resources Corp.		1,471		99,749
				1,155,302
Oil Companies-Integrated — 0.5%
Chevron Corp.		1,115		133,042
Exxon Mobil Corp.		1,976		185,843
Phillips 66		2,010		163,433
				482,318
Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		738		56,162
Oil Refining & Marketing — 0.2%
Marathon Petroleum Corp.		625		52,919
Valero Energy Corp.		2,736		126,594
				179,513
Oil-Field Services — 0.5%
Core Laboratories NV		966		141,374
Halliburton Co.		2,025		130,633
NOW, Inc.†		1,759		53,491
Schlumberger, Ltd.		1,778		180,805
				506,303
Pharmacy Services — 0.5%
Express Scripts Holding Co.†		5,164		364,733
Omnicare, Inc.		2,003		124,707
				489,440
Real Estate Investment Trusts — 0.6%
American Tower Corp.		4,090		382,947
CBS Outdoor Americas, Inc.		1,373		41,107
Host Hotels & Resorts, Inc.		3,254		69,408
Lexington Realty Trust		3,258		31,896
Simon Property Group, Inc.		489		80,401
				605,759

80

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Management/Services — 0.1%
Jones Lang LaSalle, Inc.		631	$	79,721
Retail-Apparel/Shoe — 0.1%
PVH Corp.		907		109,883
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		380		193,671
Retail-Building Products — 0.3%
Lowe's Cos., Inc.		5,351		283,175
Retail-Catalog Shopping — 0.1%
MSC Industrial Direct Co., Inc., Class A		1,706		145,795
Retail-Discount — 0.1%
Wal-Mart Stores, Inc.		1,122		85,799
Retail-Drug Store — 0.2%
CVS Health Corp.		2,215		176,292
Retail-Gardening Products — 0.1%
Tractor Supply Co.		2,005		123,328
Retail-Jewelry — 0.1%
Tiffany & Co.		1,021		98,333
Retail-Mail Order — 0.1%
Williams-Sonoma, Inc.		1,415		94,197
Retail-Major Department Stores — 0.2%
TJX Cos., Inc.		3,154		186,622
Retail-Perfume & Cosmetics — 0.1%
Ulta Salon Cosmetics & Fragrance, Inc.†		847		100,090
Retail-Pet Food & Supplies — 0.1%
PetSmart, Inc.		1,329		93,150
Retail-Regional Department Stores — 0.2%
Kohl's Corp.		1,649		100,638
Macy's, Inc.		1,787		103,968
				204,606
Retail-Restaurants — 0.3%
Dunkin' Brands Group, Inc.		1,603		71,847
Starbucks Corp.		3,053		230,379
				302,226
Semiconductor Components-Integrated Circuits — 0.5%
Atmel Corp.†		15,581		125,895
QUALCOMM, Inc.		4,895		365,999
				491,894
Semiconductor Equipment — 0.1%
KLA-Tencor Corp.		1,136		89,494
Software Tools — 0.0%
VMware, Inc., Class A†		472		44,292
Steel-Producers — 0.1%
Reliance Steel & Aluminum Co.		862		58,961
United States Steel Corp.		1,751		68,586
				127,547
Telecom Services — 0.2%
Amdocs, Ltd.		3,990		183,061

Security Description	Shares		Value (Note 2)
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		5,239	$	125,264
Telephone-Integrated — 0.1%
Verizon Communications, Inc.		1,900		94,981
Television — 0.1%
CBS Corp., Class B		2,057		110,050
ION Media Networks, Inc.†(1)(2)(3)		10		4,980
				115,030
Therapeutics — 0.1%
Pharmacyclics, Inc.†		1,341		157,474
Tobacco — 0.3%
Altria Group, Inc.		3,523		161,847
Philip Morris International, Inc.		1,279		106,668
				268,515
Toys — 0.1%
Mattel, Inc.		2,437		74,694
Transactional Software — 0.1%
Solera Holdings, Inc.		1,955		110,184
Transport-Rail — 0.6%
Kansas City Southern		1,016		123,139
Union Pacific Corp.		4,392		476,181
				599,320
Transport-Services — 0.2%
FedEx Corp.		1,372		221,509
Web Portals/ISP — 1.3%
Google, Inc., Class A†		936		550,752
Google, Inc., Class C†		1,026		592,371
Yahoo!, Inc.†		5,272		214,834
				1,357,957
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		2,240		141,747
Total Common Stocks (cost $26,334,302)				32,956,983
PREFERRED SECURITIES — 0.1%
Electric-Integrated — 0.0%
Entergy Louisiana LLC 4.70%		700		15,274
Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. FRS Series Z 0.00%†		900		9,270
Telecom Services — 0.1%
Qwest Corp. 6.13%		1,350		31,347
Total Preferred Securities (cost $65,142)				55,891

81

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6%
Banks-Commercial — 0.5%
Banco Bilbao Vizcaya Argentaria SA VRS 7.00% due 02/19/2019(4)	$	200,000	$	266,268
Banco Santander SA VRS 6.25% due 03/12/2019(4)		200,000		244,716
Zions Bancorporation FRS Series I 5.80% due 06/15/2023(4)		27,000		25,785
				536,769
Banks-Super Regional — 0.1%
Fifth Third Bancorp FRS Series J 4.90% due 06/20/2019(4)		30,000		29,358
Wells Fargo Capital X 5.95% due 12/01/2086		14,000		14,385
				43,743
Diversified Banking Institutions — 0.6%
BAC Capital Trust XIII FRS Series F 4.00% due 10/15/2014(4)		82,000		66,830
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(4)		31,000		30,675
JPMorgan Chase & Co. FRS Series V 5.00% due 07/01/2019(4)		24,000		23,395
JPMorgan Chase & Co. FRS Series 1 7.90% due 04/30/2018(4)		39,000		42,217
Lloyds Banking Group PLC VRS 6.38% due 06/27/2020(4)		200,000		259,557
Societe Generale SA VRS 8.25% due 11/29/2018(4)		200,000		205,600
				628,274
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		16,000		16,183
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due 10/30/2014†(2)		16,000		2
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		22,000		21,753
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		19,000		19,802

Security Description	Principal Amount(11)		Value (Note 2)
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068	$	35,000	$	41,037
MetLife, Inc. 6.40% due 12/15/2066		32,000		35,680
Voya Financial, Inc. FRS 5.65% due 05/15/2053		15,000		15,075
				91,792
Insurance-Property/Casualty — 0.2%
ACE Capital Trust II 9.70% due 04/01/2030		150,000		220,125
Tools-Hand Held — 0.1%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		51,000		55,207
Total Preferred Securities/ Capital Securities (cost $1,661,657)				1,633,650
ASSET BACKED SECURITIES — 14.1%
Diversified Financial Services — 14.1%
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		15,000		14,852
AmeriCredit Automobile Receivables Trust Series 2010-3, Class C 3.34% due 04/08/2016		46,179		46,445
AMMC CDO FRS Series 2014-14A, Class A1L 1.80% due 07/27/2026*(5)		250,000		249,125
Apidos CDO FRS Series 2014-17A, Class A1A 1.71% due 04/17/2026*(5)		250,000		249,850
ARES CLO, Ltd. FRS Series 2014-30A, Class A2 1.02% due 04/20/2023*(5)		250,000		247,050
Atrium CDO Corp. FRS Series 11-A, Class B 2.48% due 10/23/2025*(5)		250,000		246,950
Avis Budget Rental Car Funding AESOP LLC Series 2010-3A, Class A 4.64% due 05/20/2016*		175,000		178,061
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.73% due 05/10/2045(6)		90,000		95,035
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.75% due 02/10/2051(6)		117,241		128,749
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)		210,000		207,149

82

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.58% due 02/25/2036(7)	$	226,955	$	202,289
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		80,000		87,443
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.71% due 06/11/2040(6)		50,000		54,927
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		20,208		20,167
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		23,000		23,132
Carlyle Global Market Strategies FRS Series 2013-3A, Class A1A 1.35% due 07/15/2025*(5)		250,000		246,150
Cent CLO 20, Ltd. FRS Series 2013-20A, Class A 1.71% due 01/25/2026*(5)		250,000		249,875
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 1.73% due 04/18/2025*(5)		250,000		249,750
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.73% due 05/24/2026*(5)		250,000		249,525
Citibank Credit Card Issuance Trust Series 2014-A2, Class A2 1.02% due 02/22/2019		100,000		99,576
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(6)		59,000		60,255
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(6)		10,000		10,199
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A2 2.96% due 11/10/2046(6)		78,000		80,009
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(6)		70,000		72,315
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6)		70,000		73,326
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(6)		135,000		142,750
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.13% due 12/10/2049(6)		40,000		44,080

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.53% due 03/25/2036(7)	$	138,588	$	128,153
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(6)		145,000		154,901
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2006-CD2, Class A4 5.48% due 01/15/2046(6)		75,000		78,114
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		148,869		163,647
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 4.47% due 03/20/2043*		53,763		54,261
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.04% due 12/10/2049(6)		112,339		121,621
Commercial Mtg. Trust Series 2014-UBS2, Class A2 2.82% due 03/10/2047(6)		52,000		53,033
Commercial Mtg. Trust Pass Through Certs. Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6)		140,000		141,394
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(6)		45,000		46,127
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(6)		130,000		132,443
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(6)		110,000		113,347
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		70,000		73,088
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6)		65,000		67,845
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(6)		110,000		115,228
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(6)		85,000		89,322
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.24% due 07/10/2045(6)		50,110		53,884
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.76% due 06/10/2046(6)		51,441		54,528

83

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Countrywide Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% due 01/25/2037(7)	$	121,493	$	110,998
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(7)		21,563		21,933
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(7)		113,799		107,524
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(7)		5,455		5,069
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		45,000		45,791
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(6)		47,533		50,606
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*		6,764		7,144
Dryden Senior Loan Fund FRS Series 2014-31A, Class A 1.58% due 04/18/2026*(5)		250,000		248,600
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 1.70% due 07/15/2026*(5)		250,000		249,875
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.26% due 05/25/2035(7)		221,385		208,675
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		35,000		35,043
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		25,000		25,154
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		12,000		11,980
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		45,000		44,810
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		23,000		22,881
FREMF Mtg. Trust VRS Series 2013-K502, Class B 2.84% due 03/25/2045*(6)		100,000		100,739

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
FREMF Mtg. Trust VRS Series 2012-K706, Class B 4.16% due 11/25/2044*(6)	$	70,000	$	72,760
FREMF Mtg. Trust VRS Series 2010-K8, Class B 5.41% due 09/25/2043*(6)		90,000		98,784
Gramercy Park CLO, Ltd. FRS Series 2012-1AR, Class A1R 1.53% due 07/17/2023*(5)		250,000		249,750
Greenwich Capital Commercial Funding Corp. Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		125,000		134,646
GS Mtg. Securities Corp. II Series 2012-GCJ9, Class A2 1.76% due 11/10/2045(6)		31,000		30,999
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6)		125,000		122,583
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6)		30,445		35,414
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6)		100,000		102,813
GS Mtg. Securities Trust Series 2013-GC14, Class A2 3.00% due 08/10/2046(6)		70,000		72,034
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(6)		110,000		113,657
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		70,000		73,169
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(6)		120,000		125,040
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.55% due 04/25/2036(7)		17,105		14,641
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.63% due 03/25/2047(7)		53,578		46,921
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(7)		93,589		88,123
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.78% due 04/25/2035(7)		78,030		76,333
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(6)		175,000		175,606
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% due 05/25/2035(7)		126,660		117,550

84

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)	$	157,865	$	169,144
JP Morgan Chase Commercial Mtg. Securities Trust Series 2014-C20, Class A5 3.80% due 07/15/2047(6)		55,000		56,636
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(6)		120,000		123,033
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)		105,000		111,672
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(6)		105,000		114,140
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(6)		145,000		148,876
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		115,000		117,986
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(6)		70,000		73,228
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(6)		35,000		37,223
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(6)		53,212		57,624
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		103,497		109,662
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(6)		145,000		162,237
Limerock CLO FRS Series 2014-2A, Class A 1.73% due 04/18/2026*(5)		250,000		249,700
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.68% due 07/20/2026*(5)		250,000		250,350
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.70% due 07/25/2026*(5)		250,000		249,625
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.47% due 02/25/2035(7)		45,348		45,715

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.54% due 12/25/2034(7)	$	68,375	$	68,002
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.67% due 05/12/2039(6)		110,000		116,186
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		130,968		140,013
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		55,000		60,283
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(6)		105,000		114,240
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(6)		145,000		148,380
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16, Class A5 3.89% due 06/15/2047(6)		80,000		82,912
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6)		25,000		26,279
Morgan Stanley Capital I Trust Series 2006-IQ12 Class A4 5.33% due 12/15/2043(6)		152,724		163,529
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)		105,000		114,054
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		74,800		81,736
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.28% due 01/11/2043(6)		60,000		67,606
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(7)		76,140		68,858
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% due 10/25/2035(7)		319,249		292,729
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 1.70% due 08/04/2025*(5)		250,000		249,400
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		45,000		45,054
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(7)		37,317		36,599

85

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% due 02/25/2037	$	48,893	$	28,606
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.73% due 04/17/2026*(5)		250,000		249,950
RFMSI Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(7)		8,936		9,191
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		30,000		29,983
Santander Drive Auto Receivables Trust Series 2013-C, Class 5 2.25% due 06/17/2019		20,000		20,106
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		65,000		65,347
Santander Drive Auto Receivables Trust Series 2011-1, Class C 3.11% due 05/16/2016		80,495		80,880
Santander Drive Auto Receivables Trust Series 2010-2, Class C 3.89% due 07/17/2017		39,126		39,178
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% due 05/25/2037		130,203		93,602
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.43% due 02/20/2047(7)		146,716		127,467
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(1)		145,000		144,990
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		100,000		99,808
UBS-Barclays Commercial Mtg. Trust Series 2012-C2, Class A2 2.11% due 05/10/2063(6)		21,181		21,460
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		80,000		79,499
Volvo Financial Equipment LLC Series 2012-1A, Class B 1.51% due 08/15/2017*		25,000		25,156
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C23, Class A4 5.42% due 01/15/2045(6)		60,764		63,030

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C26, Class AM 6.17% due 06/15/2045(6)	$	19,000	$	20,368
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		110,000		113,015
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.61% due 03/25/2035(7)		160,548		163,921
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.62% due 11/25/2034(7)		8,605		8,631
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(7)		234,143		233,411
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.63% due 10/25/2036(7)		94,044		88,435
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 1.28% due 02/15/2044*(6)(8)		945,327		30,435
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class A2 1.88% due 08/15/2045(6)		28,731		28,930
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A2 2.92% due 08/15/2047(6)		10,000		10,221
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(6)		85,000		86,562
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		135,000		141,134
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6)		125,000		131,095
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		55,111		58,112
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(6)		45,000		47,801
Total Asset Backed Securities (cost $14,490,065)				14,610,650
U.S. CORPORATE BONDS & NOTES — 17.2%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 3.75% due 02/15/2023		21,000		20,824

86

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Advertising Agencies (continued)
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024	$	15,000	$	15,143
				35,967
Advertising Sales — 0.0%
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.88% due 03/15/2025*		4,000		4,020
Advertising Services — 0.0%
Visant Corp. Company Guar. Notes 10.00% due 10/01/2017		5,000		4,463
Aerospace/Defense — 0.1%
Bae Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		22,000		21,935
Bae Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		16,000		15,916
Boeing Co. Senior Notes 0.95% due 05/15/2018		28,000		27,254
				65,105
Aerospace/Defense-Equipment — 0.0%
Alliant Techsystems, Inc. Company Guar. Notes 5.25% due 10/01/2021*		4,000		4,010
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		25,000		24,625
				28,635
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		115,000		121,183
Monsanto Co. Senior Notes 4.70% due 07/15/2064		17,000		16,920
				138,103
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		6,000		6,120
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016		9,382		9,523
United Airlines Pass Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		15,000		14,925
				30,568

Security Description	Principal Amount(11)		Value (Note 2)
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020	$	9,000	$	9,382
Darling Ingredients, Inc. Company Guar. Notes 5.38% due 01/15/2022		5,000		5,038
				14,420
Apparel Manufacturers — 0.1%
Quiksilver, Inc./QS Wholesale, Inc. Company Guar. Notes 10.00% due 08/01/2020		8,000		4,720
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		65,000		66,950
				71,670
Auction House/Art Dealers — 0.1%
Sotheby's Company Guar. Notes 5.25% due 10/01/2022*		70,000		66,325
Auto-Cars/Light Trucks — 0.1%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		33,000		32,875
Chrysler Group LLC/CG Co-Issuer, Inc. Sec. Notes 8.25% due 06/15/2021		20,000		21,800
				54,675
Auto-Heavy Duty Trucks — 0.0%
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		36,000		35,963
Auto/Truck Parts & Equipment-Original — 0.1%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		7,000		7,192
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		60,000		63,300
				70,492
Banks-Commercial — 0.2%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		110,000		115,087
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		53,000		67,164
Zions Bancorporation Senior Notes 4.50% due 06/13/2023		2,000		2,094
				184,345
Banks-Super Regional — 0.7%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		154,000		168,270

87

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Comerica, Inc. Senior Notes 2.13% due 05/23/2019	$	16,000	$	15,858
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		100,000		109,013
Wells Fargo & Co Senior Notes 1.40% due 09/08/2017		68,000		67,798
Wells Fargo & Co Senior Notes 3.30% due 09/09/2024		150,000		147,155
Wells Fargo & Co. Sub. Notes 3.45% due 02/13/2023		45,000		44,219
Wells Fargo & Co. Sub. Notes 4.13% due 08/15/2023		65,000		67,205
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		95,000		103,762
				723,280
Brewery — 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 0.80% due 07/15/2015		106,000		106,312
Molson Coors Brewing Co. Company Guar. Notes 3.50% due 05/01/2022		25,000		25,119
				131,431
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		50,000		52,375
Building Materials Corp. of America Company Guar. Notes 7.50% due 03/15/2020*		30,000		31,350
				83,725
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/ Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		10,000		9,675
Building Products-Cement — 0.0%
Headwaters, Inc. Sec. Notes 7.63% due 04/01/2019		10,000		10,425
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		29,000		31,683

Security Description	Principal Amount(11)		Value (Note 2)
Building-Residential/Commercial — 0.1%
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019	$	55,000	$	54,519
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,400
Ryland Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		70,000		68,250
				128,169
Cable/Satellite TV — 0.7%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023		5,000		4,975
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		60,000		60,728
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		30,000		31,649
Cox Communications, Inc. Senior Notes 2.95% due 06/30/2023*		90,000		84,238
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		50,000		57,105
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		50,000		49,759
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		50,000		51,116
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		25,000		27,684
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.35% due 03/15/2040		20,000		23,306
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		9,594
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		66,000		70,950
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		17,000		16,775

88

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Time Warner Cable, Inc. Company Guar. Notes 5.00% due 02/01/2020	$	25,000	$	27,781
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		40,000		47,065
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		9,000		11,354
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		50,000		58,136
Time Warner Cable, Inc. Company Guar. Notes 7.30% due 07/01/2038		23,000		31,278
				663,493
Casino Hotels — 0.0%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020*		10,000		9,850
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021*		10,000		9,375
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. Sec. Notes 9.38% due 05/01/2022*		10,000		8,750
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		5,000		5,275
				33,250
Cellular Telecom — 0.2%
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024*		45,000		45,337
Sprint Nextel Corp. Senior Notes 7.00% due 08/15/2020		9,000		9,382
Sprint Nextel Corp. Company Guar. Notes 9.00% due 11/15/2018*		20,000		23,100
T-Mobile USA, Inc. Company Guar. Notes 5.25% due 09/01/2018		10,000		10,300
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		40,000		41,550
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,113

Security Description	Principal Amount(11)		Value (Note 2)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020	$	80,000	$	82,200
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		15,000		15,375
				236,357
Chemicals-Diversified — 0.0%
Dow Chemical Co. Senior Notes 4.25% due 10/01/2034		34,000		32,737
Chemicals-Specialty — 0.0%
Chemtura Corp. Company Guar. Notes 5.75% due 07/15/2021		9,000		8,910
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		15,000		19,626
WR Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		8,000		8,200
				36,736
Coal — 0.1%
CONSOL Energy, Inc. Company Guar. Notes 6.38% due 03/01/2021		10,000		10,150
Murray Energy Corp. Senior Sec. Notes 8.63% due 06/15/2021*		10,000		10,350
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		115,000		107,525
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		9,000		9,450
				137,475
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022*		30,000		29,550
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		9,000		9,112
				38,662
Computers — 0.3%
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		110,000		111,722
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		120,000		129,979

89

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041	$	46,000	$	52,438
				294,139
Consumer Products-Misc. — 0.0%
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.75% due 10/15/2020		11,000		11,193
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Senior Notes 7.38% due 12/15/2026		12,000		13,200
Containers-Paper/Plastic — 0.0%
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		17,000		15,980
Packaging Corp. of America Senior Notes 3.65% due 09/15/2024		17,000		16,696
				32,676
Data Processing/Management — 0.1%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		55,000		56,375
Distribution/Wholesale — 0.0%
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		5,000		4,825
Diversified Banking Institutions — 3.1%
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		41,000		40,920
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		50,000		51,045
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		50,000		49,568
Bank of America Corp. Senior Notes 5.65% due 05/01/2018		50,000		55,615
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		100,000		111,484
Citigroup, Inc. Senior Notes 1.70% due 07/25/2016		50,000		50,507
Citigroup, Inc. Senior Notes 2.50% due 09/26/2018		100,000		100,650

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025	$	150,000	$	163,351
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		96,000		107,699
Citigroup, Inc. Sub. Notes 6.13% due 08/25/2036		120,000		137,588
Citigroup, Inc. Sub. Notes 6.68% due 09/13/2043		105,000		128,692
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		135,000		168,746
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		125,000		126,298
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		40,000		40,287
Goldman Sachs Group, Inc. Senior Notes 4.80% due 07/08/2044		42,000		42,233
Goldman Sachs Group, Inc. Senior Notes 5.25% due 07/27/2021		25,000		27,715
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		49,000		54,555
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		32,000		38,297
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		75,000		87,347
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		109,000		130,123
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		32,480
JPMorgan Chase & Co. Sub. Notes 3.38% due 05/01/2023		35,000		33,528
JPMorgan Chase & Co. Senior Notes 3.63% due 05/13/2024		30,000		29,800
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		50,000		53,346
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		35,000		37,412
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		150,000		166,221

90

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019	$	35,000	$	40,598
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		282,000		322,790
Merrill Lynch & Co., Inc. Senior Notes 6.88% due 04/25/2018		115,000		132,641
Morgan Stanley Senior Notes 2.13% due 04/25/2018		50,000		49,995
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		32,000		31,912
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		111,000		109,093
Morgan Stanley Senior Notes 4.75% due 03/22/2017		69,000		74,148
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		80,000		84,519
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,505
Morgan Stanley Senior Notes 5.50% due 07/28/2021		23,000		25,905
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		114,522
NationsBank Corp. Sub. Notes 7.25% due 10/15/2025		9,000		11,039
				3,175,174
Diversified Financial Services — 0.4%
General Electric Capital Corp. Senior Notes 1.50% due 07/12/2016		41,000		41,498
General Electric Capital Corp. Senior Notes 5.55% due 05/04/2020		25,000		28,604
General Electric Capital Corp. Senior Notes 5.63% due 05/01/2018		60,000		67,832
General Electric Capital Corp. Senior Notes 5.88% due 01/14/2038		216,000		260,532
				398,466
Diversified Manufacturing Operations — 0.2%
General Electric Co. Senior Notes 2.70% due 10/09/2022		28,000		27,253

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Manufacturing Operations (continued)
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043	$	68,000	$	80,335
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		8,000		8,590
Textron, Inc. Senior Notes 4.63% due 09/21/2016		41,000		43,638
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		18,000		18,032
				177,848
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		13,000		13,260
Electric-Generation — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		8,000		7,600
AES Corp. Senior Notes 5.50% due 03/15/2024		30,000		29,175
AES Corp. Senior Notes 8.00% due 10/15/2017		7,000		7,857
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		57,375
				102,007
Electric-Integrated — 0.7%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		16,000		17,101
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		48,000		54,281
DPL, Inc. Senior Notes 7.25% due 10/15/2021		45,000		46,462
Edison International Senior Notes 3.75% due 09/15/2017		85,000		89,983
Entergy Corp. Senior Notes 3.63% due 09/15/2015		99,000		101,399
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		26,000		30,737
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		26,000		26,324
Georgia Power Co. Senior Notes 3.00% due 04/15/2016		10,000		10,341

91

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Ipalco Enterprises, Inc. Senior Sec. Notes 7.25% due 04/01/2016*	$	10,000	$	10,675
Nisource Finance Corp. Company Guar. Notes 4.80% due 02/15/2044		17,000		17,295
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		27,000		29,098
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		40,000		40,895
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		60,000		79,242
Southern California Edison Co. 1st. Mtg. Bonds 1.13% due 05/01/2017		35,000		34,877
Southern Co. Senior Notes 1.30% due 08/15/2017		27,000		26,869
Xcel Energy, Inc. Senior Notes 6.50% due 07/01/2036		45,000		58,783
				674,362
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 1.35% due 12/15/2017		31,000		30,900
Enterprise Software/Service — 0.0%
BMC Software Finance, Inc. Senior Notes 8.13% due 07/15/2021*		8,000		7,680
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		125,000		130,000
Finance-Auto Loans — 0.3%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		22,000		21,964
General Motors Acceptance Corp. Senior Notes 8.00% due 11/01/2031		12,000		14,940
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		115,000		115,862
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		140,000		146,650
				299,416

Security Description	Principal Amount(11)		Value (Note 2)
Finance-Consumer Loans — 0.2%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021*	$	19,000	$	19,000
SLM Corp. Company Guar. Notes 5.50% due 01/15/2019		10,000		10,200
SLM Corp. Company Guar. Notes 7.25% due 01/25/2022		10,000		10,850
SLM Corp. Company Guar. Notes 8.45% due 06/15/2018		100,000		112,500
Synchrony Financial Senior Notes 3.75% due 08/15/2021		11,000		11,099
Synchrony Financial Senior Notes 4.25% due 08/15/2024		15,000		15,002
				178,651
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		50,000		58,169
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		19,000		3,847
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(2)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(2)		26,000		3
				62,021
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		125,000		129,375
Air Lease Corp. Senior Notes 4.75% due 03/01/2020		15,000		15,900
				145,275
Finance-Other Services — 0.1%
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		53,000		52,915
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/ FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		7,000		6,825

92

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*	$	10,000	$	10,500
Tyson Foods, Inc. Company Guar. Notes 5.15% due 08/15/2044		12,000		12,418
				22,918
Food-Misc./Diversified — 0.0%
Kraft Foods, Inc. Senior Notes 6.50% due 02/09/2040		21,000		26,330
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.35% due 10/02/2019		75,000		75,002
Sysco Corp. Company Guar. Notes 3.50% due 10/02/2024		23,000		23,063
Sysco Corp. Company Guar. Bonds 4.35% due 10/02/2034		10,000		10,145
Sysco Corp. Company Guar. Bonds 4.50% due 10/02/2044		17,000		17,124
				125,334
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		38,800
Gas-Distribution — 0.1%
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		85,000		98,008
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		60,000		60,000
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,105
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		14,000		14,805
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		3,000		3,120
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022*		7,000		7,179
				28,209

Security Description	Principal Amount(11)		Value (Note 2)
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018	$	45,000	$	45,761
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		50,000		49,171
USI, Inc. Senior Notes 7.75% due 01/15/2021*		10,000		9,950
				104,882
Insurance-Life/Health — 0.1%
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		12,000		13,665
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		8,000		8,003
Principal Life Global Funding II Senior Sec. Notes 1.00% due 12/11/2015*		21,000		21,090
Teachers Insurance & Annuity Assoc. of America Bonds 4.90% due 09/15/2044*		17,000		17,325
				60,083
Insurance-Multi-line — 0.2%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		57,000		68,450
MetLife, Inc. Senior Notes 4.37% due 09/15/2023		25,000		26,725
Nationwide Mutual Insurance Co. Senior Sub. Notes 9.38% due 08/15/2039*		100,000		153,954
				249,129
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		70,000		108,135
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		37,000		37,328
				145,463
Investment Management/Advisor Services — 0.0%
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		6,000		6,405
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 3.25% due 02/01/2017		28,000		27,580

93

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Machinery-Farming (continued)
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017	$	62,000	$	61,675
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		46,000		46,079
				135,334
Medical Labs & Testing Services — 0.1%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		46,000		45,914
Medical Products — 0.0%
Becton Dickinson and Co. Senior Notes 7.00% due 08/01/2027		23,000		29,714
Universal Hospital Services, Inc. Sec. Notes 7.63% due 08/15/2020		9,000		8,460
				38,174
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 5.15% due 11/15/2041		40,000		42,219
Amgen, Inc. Senior Notes 6.90% due 06/01/2038		25,000		32,357
				74,576
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 1.20% due 11/06/2015		95,000		95,358
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		26,000		25,675
Forest Laboratories, Inc. Senior Notes 4.88% due 02/15/2021*		44,000		46,938
				167,971
Medical-Generic Drugs — 0.1%
Mylan, Inc. Company Guar. Notes 7.88% due 07/15/2020*		41,000		44,722
Medical-HMO — 0.2%
Centene Corp. Senior Notes 4.75% due 05/15/2022		30,000		30,075
Humana, Inc. Senior Notes 2.63% due 10/01/2019		50,000		49,969
WellPoint, Inc. Senior Notes 2.30% due 07/15/2018		30,000		30,078

Security Description	Principal Amount(11)		Value (Note 2)
Medical-HMO (continued)
WellPoint, Inc. Senior Notes 5.10% due 01/15/2044	$	75,000	$	79,688
				189,810
Medical-Hospitals — 0.3%
Capella Healthcare, Inc. Company Guar. Notes 9.25% due 07/01/2017		10,000		10,406
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021*		25,000		24,937
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		50,000		48,875
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		10,000		10,512
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,225
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		10,000		10,925
HCA, Inc. Senior Sec. Notes 7.25% due 09/15/2020		70,000		73,500
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		5,000		4,963
Tenet Healthcare Corp. Senior Notes 5.00% due 03/01/2019*		5,000		4,938
Tenet Healthcare Corp. Senior Notes 6.00% due 10/01/2020		120,000		126,900
				326,181
Metal Processors & Fabrication — 0.0%
Timken Co. Senior Notes 3.88% due 09/01/2024*		11,000		10,828
Metal-Aluminum — 0.0%
Alcoa, Inc. Senior Notes 5.13% due 10/01/2024		23,000		23,030
Multimedia — 0.7%
AOL Time Warner, Inc. Company Guar. Bonds 7.63% due 04/15/2031		75,000		101,233
News America, Inc. Company Guar. Notes 6.20% due 12/15/2034		120,000		145,715
Time Warner Cos., Inc. Company Guar. Notes 6.63% due 05/15/2029		135,000		167,658

94

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Multimedia (continued)
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023	$	115,000	$	153,036
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 07/15/2033		16,000		23,634
Time Warner, Inc. Company Guar. Notes 2.10% due 06/01/2019		55,000		54,056
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		83,000		76,418
				721,750
Networking Products — 0.0%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		28,000		27,986
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.63% due 03/15/2024		47,000		47,642
Oil Companies-Exploration & Production — 0.4%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. Company Guar. Notes 9.63% due 10/15/2018		10,000		10,350
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.13% due 11/01/2020*		3,000		2,745
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.38% due 11/01/2021*		5,000		4,575
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		45,000		54,838
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp. Company Guar. Notes 7.75% due 01/15/2021		11,000		10,835
Berry Petroleum Co. LLC Senior Notes 6.38% due 09/15/2022		4,000		3,880
California Resources Corp. Company Guar. Notes 5.50% due 09/15/2021*		10,000		10,150
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024*		10,000		10,275
Chaparral Energy, Inc. Company Guar. Notes 7.63% due 11/15/2022		8,000		8,200

Security Description	Principal Amount(11)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022	$	20,000	$	19,800
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		9,000		9,518
EPL Oil & Gas, Inc. Company Guar. Notes 8.25% due 02/15/2018		10,000		10,225
EV Energy Partners LP/ EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		10,000		10,350
Halcon Resources Corp. Company Guar. Notes 9.75% due 07/15/2020		9,000		9,158
Hess Corp. Senior Notes 1.30% due 06/15/2017		55,000		54,791
Hess Corp. Senior Notes 5.60% due 02/15/2041		30,000		33,789
Hess Corp. Senior Notes 7.88% due 10/01/2029		10,000		13,575
Hilcorp Energy I LP/ Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		10,000		9,625
Memorial Production Partners LP/Memorial Production Finance Corp. Company Guar. Notes 7.63% due 05/01/2021		9,000		8,955
Midstates Petroleum Co., Inc. Company Guar. Notes 9.25% due 06/01/2021		2,000		1,970
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		11,000		11,165
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		4,000		4,000
Penn Virginia Corp. Company Guar. Notes 8.50% due 05/01/2020		5,000		5,250
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022*		10,000		9,650
Rex Energy Corp. Company Guar. Notes 8.88% due 12/01/2020		2,000		2,150
Rice Energy, Inc. Company Guar. Notes 6.25% due 05/01/2022*		10,000		9,750
Rosetta Resources, Inc. Company Guar. Notes 5.63% due 05/01/2021		6,000		5,850

95

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023*	$	15,000	$	14,854
SandRidge Energy, Inc. Company Guar. Notes 7.50% due 02/15/2023		10,000		9,712
Swift Energy Co. Company Guar. Notes 7.88% due 03/01/2022		10,000		10,000
Triangle USA Petroleum Corp. Senior Notes 6.75% due 07/15/2022*		6,000		5,858
				385,843
Oil Refining & Marketing — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		10,000		10,425
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		9,700
				20,125
Oil-Field Services — 0.0%
Plains Exploration & Production Co. Company Guar. Notes 6.63% due 05/01/2021		12,000		13,140
Plains Exploration & Production Co. Company Guar. Notes 6.75% due 02/01/2022		19,000		21,042
				34,182
Paper & Related Products — 0.2%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		11,000		10,505
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		30,000		29,625
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		62,000		67,576
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		33,000		33,861
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		41,000		46,329
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		7,000		7,193
				195,089
Pharmacy Services — 0.2%
Express Scripts Holding Co. Company Guar. Notes 2.10% due 02/12/2015		200,000		201,143

Security Description	Principal Amount(11)		Value (Note 2)
Pipelines — 0.9%
Access Midstream Partners LP/ ACMP Finance Corp. Company Guar. Notes 4.88% due 05/15/2023	$	15,000	$	15,394
Atlas Pipeline Partners LP/ Atlas Pipeline Finance Corp. Company Guar. Notes 5.88% due 08/01/2023		5,000		4,888
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 4.70% due 11/01/2042		9,000		7,983
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 6.50% due 04/01/2020		72,000		82,400
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		116,000		129,050
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		75,000		73,005
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		150,000		160,807
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		44,000		50,931
Genesis Energy LP Company Guar. Notes 5.63% due 06/15/2024		7,000		6,738
Kinder Morgan Energy Partners LP Senior Notes 5.50% due 03/01/2044		75,000		75,167
Kinder Morgan Finance Co. LLC Company Guar. Notes 6.00% due 01/15/2018*		76,000		82,745
Kinder Morgan, Inc. Senior Notes 5.00% due 02/15/2021*		29,000		30,232
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		15,000		14,550
Plains All American Pipeline LP/PAA Finance Corp. Notes 3.60% due 11/01/2024		22,000		21,591
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		4,140
Williams Partners LP Senior Notes 3.90% due 01/15/2025		100,000		99,258

96

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Williams Partners LP Senior Notes 4.30% due 03/04/2024	$	75,000	$	76,497
				935,376
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022*		10,000		9,663
Publishing-Newspapers — 0.1%
Gannett Co., Inc. Company Guar. Notes 5.13% due 10/15/2019		75,000		75,750
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022		5,000		5,400
				81,150
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		18,000		18,540
Time, Inc. Company Guar. Notes 5.75% due 04/15/2022*		10,000		9,575
				28,115
Real Estate Investment Trusts — 0.9%
Duke Realty LP Company Guar. Notes 6.75% due 03/15/2020		55,000		64,910
Geo Group, Inc. Company Guar. Notes 5.13% due 04/01/2023		8,000		7,700
HCP, Inc. Senior Notes 3.75% due 02/01/2016		20,000		20,767
HCP, Inc. Senior Notes 5.38% due 02/01/2021		25,000		27,897
HCP, Inc. Senior Notes 6.00% due 01/30/2017		80,000		88,361
Health Care REIT, Inc. Senior Notes 4.50% due 01/15/2024		50,000		51,442
Health Care REIT, Inc. Senior Notes 5.25% due 01/15/2022		175,000		193,608
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		150,000		157,833
Liberty Property LP Senior Notes 3.38% due 06/15/2023		25,000		24,258
Liberty Property LP Senior Notes 4.13% due 06/15/2022		25,000		25,904

Security Description	Principal Amount(11)		Value (Note 2)
Real Estate Investment Trusts (continued)
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024*	$	28,000	$	28,490
Omega Healthcare Investors, Inc. Company Guar. Notes 5.88% due 03/15/2024		4,000		4,170
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		99,788
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		25,000		25,814
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.70% due 04/01/2020		50,000		49,191
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		86,000		93,630
				963,763
Real Estate Management/Services — 0.0%
American Campus Communities Operating Partnership LP Company Guar. Notes 4.13% due 07/01/2024		18,000		18,052
Kennedy-Wilson, Inc. Company Guar. Notes 8.75% due 04/01/2019		10,000		10,625
				28,677
Recycling — 0.0%
Aleris International, Inc. Escrow Notes 9.00% due 12/15/2014†(1)(2)		25,000		1
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		30,000		39,623
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022		7,000		7,473
				47,096
Retail-Appliances — 0.0%
Conn's, Inc. Senior Notes 7.25% due 07/15/2022*		4,000		3,405
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.13% due 07/15/2023		75,000		72,843

97

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Auto Parts (continued)
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020	$	45,000	$	47,700
				120,543
Retail-Automobile — 0.1%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		30,000		32,700
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022*		25,000		24,187
				56,887
Retail-Discount — 0.1%
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		23,000		24,021
Wal-Mart Stores, Inc. Senior Notes 4.30% due 04/22/2044		50,000		50,296
				74,317
Retail-Drug Store — 0.2%
CVS Pass-Through Trust Pass Through Certs. 4.70% due 01/10/2036*		15,719		16,677
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		13,617		15,392
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		22,465		26,054
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		138,045		168,041
				226,164
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 5.45% due 08/15/2034*		23,000		22,591
Retail-Music Store — 0.0%
Guitar Center, Inc. Company Guar. Notes 9.63% due 04/15/2020*		10,000		7,675
Retail-Perfume & Cosmetics — 0.1%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		65,000		68,900
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		10,000		8,950

Security Description	Principal Amount(11)		Value (Note 2)
Retail-Restaurants — 0.0%
Landry's, Inc. Senior Notes 9.38% due 05/01/2020*	$	15,000	$	15,863
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		17,000		16,872
				32,735
Savings & Loans/Thrifts — 0.2%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		25,000		26,841
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		85,000		96,943
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		29,000		33,446
				157,230
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		17,000		17,467
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		11,000		10,608
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		14,000		14,209
				42,284
Security Services — 0.2%
ADT Corp. Senior Notes 3.50% due 07/15/2022		24,000		20,760
ADT Corp. Senior Notes 6.25% due 10/15/2021		145,000		150,075
				170,835
Semiconductor Equipment — 0.0%
Entegris, Inc. Company Guar. Notes 6.00% due 04/01/2022*		8,000		8,120
Magnachip Semiconductor Corp. Senior Notes 6.63% due 07/15/2021		2,000		1,840
				9,960
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		57,000		61,417

98

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*	$	15,000	$	15,488
Steel Pipe & Tube — 0.1%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*		5,000		5,050
Valmont Industries, Inc. Company Guar. Bonds 5.00% due 10/01/2044		23,000		22,564
Valmont Industries, Inc. Company Guar. Bonds 5.25% due 10/01/2054		32,000		31,245
				58,859
Steel-Producers — 0.2%
AK Steel Corp. Company Guar. Notes 8.38% due 04/01/2022		10,000		10,000
Glencore Funding LLC Company Guar. Notes 1.70% due 05/27/2016*		115,000		115,780
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021*		15,000		15,225
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024*		15,000		15,075
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		25,000		27,750
				183,830
Storage/Warehousing — 0.0%
Mobile Mini, Inc. Company Guar. Notes 7.88% due 12/01/2020		10,000		10,700
Telecom Services — 0.3%
SBA Tower Trust Sec. Notes 3.60% due 04/15/2043*		100,000		99,975
SBA Tower Trust Sec. Notes 4.25% due 04/15/2040*		220,000		224,104
				324,079
Telephone-Integrated — 1.0%
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		19,000		17,464
AT&T, Inc. Senior Notes 4.80% due 06/15/2044		85,000		83,747
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		10,000		10,250

Security Description	Principal Amount(11)		Value (Note 2)
Telephone-Integrated (continued)
Cincinnati Bell, Inc. Company Guar. Notes 8.38% due 10/15/2020	$	12,000	$	12,660
Frontier Communications Corp. Senior Notes 6.88% due 01/15/2025		17,000		16,787
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		13,000		14,430
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		9,000		10,283
Sprint Capital Corp. Company Guar. Notes 8.75% due 03/15/2032		10,000		10,912
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020*		107,000		105,658
Verizon Communications, Inc. Senior Notes 4.15% due 03/15/2024		23,000		23,749
Verizon Communications, Inc. Senior Notes 4.50% due 09/15/2020		41,000		44,356
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046*		98,000		98,277
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054*		77,000		77,366
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		105,000		116,274
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		56,000		68,220
Verizon Communications, Inc. Senior Notes 6.55% due 09/15/2043		219,000		273,617
				984,050
Television — 0.0%
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		9,000		9,203
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 9.70% due 11/10/2018		38,000		48,952
Transport-Equipment & Leasing — 0.0%
Jurassic Holdings III, Inc. Sec. Notes 6.88% due 02/15/2021*		2,000		2,000
Transport-Rail — 0.0%
Florida East Coast Holdings Corp. Senior Sec. Notes 6.75% due 05/01/2019*		10,000		10,200

99

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Services — 0.0%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019	$	40,000	$	40,055
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 8.50% due 05/15/2019*		5,000		5,350
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		55,000		56,118
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,972
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		5,000		5,116
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		139,704
				205,910
Web Hosting/Design — 0.1%
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		75,000		74,250
Equinix, Inc. Senior Notes 5.38% due 04/01/2023		25,000		24,750
				99,000
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		8,000		7,440
Wireless Equipment — 0.0%
Motorola Solutions, Inc. Senior Notes 5.50% due 09/01/2044		18,000		17,805
Total U.S. Corporate Bonds & Notes (cost $17,189,349)				17,805,573
FOREIGN CORPORATE BONDS & NOTES — 3.3%
Advertising Services — 0.0%
WPP Finance Company Guar. Notes 3.75% due 09/19/2024		25,000		24,656
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		9,000		9,563

Security Description	Principal Amount(11)		Value (Note 2)
Banks-Commercial — 1.4%
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017	$	35,000	$	34,993
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		305,000		339,027
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		216,500
BPCE SA Company Guar. Notes 2.50% due 07/15/2019		250,000		248,245
Credit Suisse Sub. Notes 5.40% due 01/14/2020		142,000		158,391
HSBC Bank PLC Senior Notes 3.50% due 06/28/2015*		115,000		117,586
HSBC Bank PLC Senior Notes 4.13% due 08/12/2020*		100,000		107,570
Macquarie Bank, Ltd. Senior Notes 2.60% due 06/24/2019*		16,000		15,987
Sumitomo Mitsui Financial Group, Inc. Sub. Notes 4.44% due 04/02/2024*		200,000		204,874
				1,443,173
Cruise Lines — 0.0%
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		8,000		8,080
Diversified Banking Institutions — 0.4%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		64,000		63,562
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		128,276
Royal Bank of Scotland Group PLC Senior Notes 2.55% due 09/18/2015		13,000		13,193
Royal Bank of Scotland Group PLC Sub. Notes 5.13% due 05/28/2024		175,000		171,948
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		26,000		27,453
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		40,000		42,338
				446,770

100

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*	$	9,000	$	9,011
Diversified Minerals — 0.1%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		38,000		38,665
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		15,000		17,013
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		6,000		6,315
Food-Baking — 0.2%
Grupo Bimbo SAB de CV Company Guar. Notes 4.88% due 06/27/2044*		200,000		193,476
Gold Mining — 0.1%
Barrick Gold Corp. Senior Notes 4.10% due 05/01/2023		85,000		81,676
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		18,000		18,678
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024*		11,000		11,189
				111,543
Hazardous Waste Disposal — 0.0%
Tervita Corp. Senior Sec. Notes 8.00% due 11/15/2018*		15,000		15,112
Medical-Drugs — 0.0%
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		5,000		4,981
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.85% due 06/15/2044*		9,000		8,455
Metal-Iron — 0.0%
Vale SA Senior Notes 5.63% due 09/11/2042		14,000		13,698
Oil & Gas Drilling — 0.1%
Ensco PLC Senior Notes 4.50% due 10/01/2024		13,000		13,044

Security Description	Principal Amount(11)		Value (Note 2)
Oil & Gas Drilling (continued)
Ensco PLC Senior Notes 5.75% due 10/01/2044	$	13,000	$	13,179
Transocean, Inc. Company Guar. Notes 3.80% due 10/15/2022		23,000		21,109
Transocean, Inc. Company Guar. Notes 6.38% due 12/15/2021		15,000		15,955
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031		12,000		12,547
				75,834
Oil Companies-Exploration & Production — 0.2%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		25,000		33,858
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		35,000		36,487
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		6,053
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		5,000		5,125
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		12,000		12,420
Nexen, Inc. Company Guar. Notes 7.50% due 07/30/2039		35,000		48,274
Talisman Energy, Inc. Senior Notes 5.50% due 05/15/2042		24,000		24,431
Teine Energy Ltd. Senior Notes 6.88% due 09/30/2022*		5,000		4,906
				171,554
Oil Companies-Integrated — 0.3%
BP Capital Markets PLC Company Guar. Notes 2.25% due 11/01/2016		36,000		36,926
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		150,000		160,453
Petrobras Global Finance BV Company Guar. Notes 7.25% due 03/17/2044		14,000		15,129
Petrobras International Finance Co. Company Guar. Notes 5.38% due 01/27/2021		65,000		65,703
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		24,000		24,485

101

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Petroleos Mexicanos Company Guar. Notes 6.38% due 01/23/2045*	$	22,000	$	24,878
				327,574
Real Estate Operations & Development — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		7,000		6,983
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		7,000		6,965
Semiconductor Components-Integrated Circuits — 0.2%
TSMC Global Ltd Company Guar. Notes 1.63% due 04/03/2018*		200,000		197,491
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.75% due 02/25/2022		4,000		4,295
Telephone-Integrated — 0.2%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		85,000		123,588
Telecom Italia Capital SA Company Guar. Notes 7.18% due 06/18/2019		30,000		33,900
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		49,000		55,125
				212,613
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		40,738
Total Foreign Corporate Bonds & Notes (cost $3,332,340)				3,394,558
MUNICIPAL BONDS & NOTES — 0.6%
New Jersey State Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		50,000		71,610
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111		25,000		25,969
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		25,000		24,924

Security Description	Principal Amount(11)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051	$	27,000	$	29,652
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		25,000		14,300
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		75,000		42,752
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		90,000		51,308
State of California General Obligation Bonds 6.20% due 10/01/2019		100,000		118,347
State of California General Obligation Bonds Series B 6.51% due 04/01/2039		25,000		29,335
State of California General Obligation Bonds 7.55% due 04/01/2039		70,000		102,074
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		65,000		71,481
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		90,000		97,263
Total Municipal Bonds & Notes (cost $582,006)				679,015
U.S. GOVERNMENT AGENCIES — 18.7%
Federal Home Loan Mtg. Corp. — 1.4%
2.50% due 01/01/2028		21,481		21,700
2.50% due 04/01/2028		51,366		51,984
3.00% due 08/01/2027		85,389		87,927
3.00% due 10/01/2042		51,822		51,574
3.00% due 11/01/2042		22,927		22,668
3.00% due 08/01/2043		397,828		394,211
3.50% due 03/01/2042		17,592		17,978
3.50% due 08/01/2042		113,464		115,951
3.50% due 09/01/2043		83,958		85,990
4.00% due 03/01/2023		34,642		36,663
4.00% due 09/01/2040		8,473		8,933
4.00% due 10/01/2043		119,209		125,675
4.50% due 01/01/2039		6,508		7,023
5.00% due 12/01/2020		11,187		11,924

102

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
5.00% due 05/01/2021	$	144,381	$	154,529
5.00% due 07/01/2021		42,967		45,761
5.00% due 05/01/2034		65,424		72,855
5.50% due 05/01/2037		18,657		20,773
5.50% due 06/01/2037		9,046		10,089
6.00% due 09/01/2026		26,951		30,368
6.00% due 08/01/2036		23,379		26,532
6.50% due 05/01/2029		3,633		4,167
6.50% due 07/01/2035		4,109		4,648
6.50% due 05/01/2036		141		160
Federal Home Loan Mtg. Corp. FRS 1.89% due 02/01/2037 FRS		7,730		8,149
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN1, Class M2 2.35% due 02/25/2024(7)		16,000		15,931
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(7)		16,989		16,467
Series 1577, Class PK 6.50% due 09/15/2023(7)		12,723		14,019
Series 1226, Class Z 7.75% due 03/15/2022(7)		978		1,051
				1,465,700
Federal National Mtg. Assoc. — 14.4%
2.50% due 04/01/2028		86,899		87,914
2.50% due 02/01/2043		95,824		90,852
2.50% due 03/01/2043		190,839		180,936
3.00% due 10/01/2027		40,874		42,244
3.00% due 12/01/2027		23,540		24,279
3.00% due 01/01/2028		68,579		70,847
3.00% due 12/01/2042		21,655		21,397
3.00% due 05/01/2043		186,106		183,785
3.00% due October 15 TBA		600,000		618,000
3.00% due October 30 TBA		2,435,000		2,400,377
3.50% due 08/01/2026		44,560		46,928
3.50% due 10/01/2028		152,558		160,706
3.50% due 08/01/2043		456,268		466,993
3.50% due October 30 TBA		1,292,000		1,320,565
4.00% due 09/01/2040		9,601		10,132
4.00% due 12/01/2040		152,425		160,851
4.00% due 11/01/2041		15,879		16,756
4.00% due 01/01/2042		50,220		52,996
4.00% due 12/01/2043		39,138		41,507
4.00% due October 30 TBA		1,496,000		1,576,503
4.50% due 01/01/2039		14,869		16,052
4.50% due 09/01/2039		33,024		35,684
4.00% due 11/01/2025		13,658		14,585
4.50% due 09/01/2040		75,907		82,064
4.50% due 05/01/2041		31,100		33,573
4.50% due October 30 TBA		1,731,000		1,867,587
4.85% due 11/01/2015		699,898		719,105
4.96% due 01/01/2015		192,910		192,660

Security Description	Principal Amount(11)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
5.00% due 03/01/2018	$	24,154	$	25,496
5.00% due 06/01/2019		6,085		6,485
5.00% due 05/01/2035		772		853
5.00% due 07/01/2040		56,773		62,730
5.00% due October 30 TBA		1,740,000		1,919,818
5.50% due 10/01/2021		18,831		20,557
5.50% due 06/01/2022		6,776		7,340
5.50% due 12/01/2029		10,519		11,748
5.50% due 05/01/2034		38,048		42,665
5.50% due 09/01/2035		802,060		901,204
5.50% due 08/01/2037		57,340		64,009
5.50% due 06/01/2038		15,550		17,436
6.00% due 06/01/2017		6,137		6,412
6.00% due 06/01/2026		32,671		37,161
6.00% due 04/01/2027		174,199		197,403
6.00% due 12/01/2033		45,346		51,631
6.00% due 05/01/2034		28,140		32,052
6.00% due October 30 TBA		500,000		565,137
6.50% due 06/01/2035		125,251		143,461
6.50% due 10/01/2037		8,130		9,203
7.00% due 06/01/2037		37,403		41,475
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C02, Class 2M1 1.10% due 05/25/2024(7)		26,688		26,295
Series 2014-C01, Class M1 1.75% due 01/25/2024(7)		33,781		33,835
Series 2013-C01, Class M1 2.15% due 10/25/2023(7)		44,011		44,479
Federal National Mtg. Assoc. FRS 2.13% due 05/01/2037		14,532		15,455
3.52% due 10/01/2040		17,353		18,551
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(7)		19,605		19,490
				14,858,259
Government National Mtg. Assoc. — 2.9%
4.00% due 09/15/2040		991,382		1,054,168
4.00% due 11/15/2040		149,705		159,154
4.00% due 09/15/2041		78,793		84,183
4.00% due 03/20/2044		56,537		60,041
4.50% due 02/15/2039		17,369		18,862
4.50% due 06/15/2041		927,620		1,009,342
4.50% due 08/15/2041		387,020		420,790
5.50% due 05/15/2036		18,780		21,023
6.00% due 09/15/2032		16,023		18,587
6.00% due 12/15/2033		65,188		75,588
7.00% due 07/15/2033		16,940		19,834
7.00% due 11/15/2033		17,718		21,016
8.00% due 11/15/2031		5,377		5,576
8.50% due 11/15/2017		469		501
9.00% due 11/15/2021		244		285
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(7)		267		301

103

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
Series 2005-74, Class HB 7.50% due 09/16/2035(7)	$	13,853	$	15,845
				2,985,096
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		25,000		25,021
Total U.S. Government Agencies (cost $19,103,150)				19,334,076
U.S. GOVERNMENT TREASURIES — 11.0%
United States Treasury Bonds — 1.0%
2.88% due 05/15/2043		8,000		7,494
3.38% due 05/15/2044		32,000		33,040
3.63% due 02/15/2044		46,000		49,709
4.38% due 11/15/2039		504,300		615,325
United States Treasury Bonds TIPS 1.38% due 02/15/2044(9)		332,244		355,371
				1,060,939
United States Treasury Notes — 10.0%
0.38% due 04/15/2015		60,000		60,101
0.63% due 08/15/2016		1,165,000		1,166,683
0.63% due 12/15/2016		190,000		189,599
0.63% due 05/31/2017		58,000		57,497
0.88% due 09/15/2016		1,920,000		1,930,426
0.88% due 02/28/2017		160,000		160,163
1.00% due 08/31/2016		100,000		100,812
1.00% due 05/31/2018		14,000		13,791
1.25% due 10/31/2015		64,000		64,745
1.38% due 11/30/2015		691,000		700,366
1.38% due 07/31/2018		58,000		57,764
2.00% due 01/31/2016		1,000,000		1,022,891
2.38% due 03/31/2016		780,000		803,461
2.38% due 05/31/2018		10,000		10,343
2.38% due 08/15/2024		24,000		23,723
2.50% due 05/15/2024		212,000		212,132
United States Treasury Notes FRS 0.06% due 01/31/2016		121,000		121,025
United States Treasury Notes TIPS 0.13% due 04/15/2018(9)		322,603		325,174
0.13% due 04/15/2019(9)		864,272		866,365
0.13% due 01/15/2023(9)		510,934		494,329
0.13% due 07/15/2024(9)		602,040		578,005
0.63% due 01/15/2024(9)		1,322,325		1,328,936
				10,288,331
Total U.S. Government Treasuries (cost $11,275,385)				11,349,270
FOREIGN GOVERNMENT OBLIGATIONS — 1.3%
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		24,000		24,131

Security Description	Principal Amount(11)		Value (Note 2)
Regional Authority — 0.0%
Province of British Columbia Senior Notes 2.85% due 06/15/2015	$	28,000	$	28,511
Sovereign — 1.2%
Dominican Republic Bonds 11.50% due 05/10/2024*	DOP	5,000,000		120,462
Federative Republic of Brazil Bills zero coupon due 09/01/2020	BRL	61,000		158,541
Government of Canada Senior Notes 0.88% due 02/14/2017		23,000		22,963
Government of France Bonds 0.25% due 07/25/2024(9)	EUR	40,480		53,319
Government of Uruguay Bonds 4.25% due 04/05/2027	UYU	2,394,787		106,312
Italy Buoni Poliennali Del Tesoro Notes 2.35% due 09/15/2024*(9)	EUR	45,053		63,272
Kingdom of Spain Senior Notes 1.80% due 11/30/2024*(9)	EUR	39,903		55,219
Republic of Costa Rica Senior Notes 5.63% due 04/30/2043		200,000		171,000
Republic of Portugal Notes 5.13% due 10/15/2024*		34,000		35,225
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	1,200,000		103,890
Russian Federation Bonds 7.50% due 02/27/2019	RUB	3,225,000		76,430
United Mexican States Senior Notes 3.50% due 01/21/2021		48,000		48,643
United Mexican States Senior Notes 4.75% due 03/08/2044		227,000		225,298
				1,240,574
SupraNational Banks — 0.1%
Asian Development Bank Senior Notes 6.35% due 08/17/2016	INR	5,200,000		84,184
Total Foreign Government Obligations (cost $1,410,159)				1,377,400

104

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)			Value (Note 2)
OPTIONS-PURCHASED — 0.0%
Sovereign — 0.0%
Call Options-Purchased†(2)(12)	RUB	5,000,000		$	613
Call Options-Purchased†(2)(12)	BRL	350,000			2,098
Total Options-Purchased (cost $4,402)					2,711
Total Long-Term Investment Securities (cost $95,447,957)					103,199,777
REPURCHASE AGREEMENTS — 10.2%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $171,000 collateralized by $190,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $176,070	$	171,000			171,000
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $1,556,000 collateralized by $1,715,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $1,589,261		1,556,000			1,556,000
Bank of America Securities LLC Joint Repurchase Agreement(10)		2,130,000			2,130,000
Barclays Capital PLC Joint Repurchase Agreement(10)		1,855,000			1,855,000
BNP Paribas SA Joint Repurchase Agreement(10)		1,720,000			1,720,000
Deutsche Bank AG Joint Repurchase Agreement(10)		1,135,000			1,135,000
Royal Bank of Scotland Joint Repurchase Agreement(10)		1,985,000			1,985,000
Total Repurchase Agreements (cost $10,552,000)					10,552,000
TOTAL INVESTMENTS (cost $105,999,957)(13)		109.9	%		113,751,777
Liabilities in excess of other assets		(9.9	)		(10,233,052	)
NET ASSETS		100.0	%	$	103,518,725

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $10,591,062 representing 10.2% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $7,699 representing 0.0% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Multi-Managed Income/Equity Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	4/9/2014		10	$	0	$	4,980	$	498		0.00	%

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

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Collateralized Mortgage Obligation

(8)  Interest Only

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

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

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

(12)  Options — purchased.

105

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2014		Appreciation (Depreciation)
Call option to deliver U.S. dollars in exchange for Brazilian Reals with Goldman Sachs International	September 2015	$	2.41	BRL	350,000	$	2,594	$	2,098	$	(496	)
Call option to deliver U.S. dollars in exchange for Russian Rubles with Goldman Sachs International	September 2015		36.97	RUB	5,000,000		1,809		613		(1,196	)
						$	4,403	$	2,711	$	(1,692	)

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

BRL — Brazilian Real

EUR — Euro Dollar

DOP — Dominican Peso

EUR — Euro Dollar

INR — Indian Rupee

REMIC — Real Estate Mortgage Investment Conduit

RUB — Russian Ruble

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

TIPS — Treasury Inflation Protected Securities

UYU — Uruguayan Peso

ZAR — South African Rand

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2014 and unless noted otherwise, the dates shown are the original maturity dates.

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	10	Long	U.S. Treasury 2YR Notes	December 2014	$	2,189,216	$	2,188,437	$	(779	)
	45	Long	U.S. Treasury 5YR Notes	December 2014		5,321,824		5,321,602		(222	)
	22	Short	U.S. Treasury 10YR Notes	December 2014		2,727,286		2,742,093		(14,807	)
	26	Short	U.S. Long Bonds	December 2014		3,616,438		3,585,563		30,875
	27	Long	U.S. Ultra Bonds	December 2014		4,120,448		4,117,500		(2,948	)
									$	12,119

106

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	EUR	40,000	USD	51,738	9/18/15	$	1,010	$	—
	USD	50,388	RSD	5,000,000	9/18/15		—		(846	)
							1,010		(846	)
Deutsche Bank AG	EUR	136,000	USD	176,091	12/17/14		4,224		—
Goldman Sachs International	JPY	5,352,000	USD	48,913	12/17/14		81		—
JPMorgan Chase Bank	EUR	617,000	USD	789,609	10/31/14		10,161		—
	USD	50,221	JPY	5,352,000	12/17/14		—		(1,389	)
							10,161		(1,389	)
Net Unrealized Appreciation (Depreciation)						$	15,476	$	(2,235	)

EUR — Euro

JPY — Japanese Yen

RSD — Serbian Dinar

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Television	$	110,050	$	—	$	4,980	$	115,030
Other Industries*		32,841,953		—		—		32,841,953
Preferred Securities		55,891		—		—		55,891
Preferred Securities/Capital Securities		—		1,633,650		—		1,633,650
Asset Backed Securities:
Diversified Financial Services		—		14,465,660		144,990		14,610,650
U.S. Corporate Bonds & Notes:
Recycling		—		—		1		1
Other Industries*		—		17,805,572		—		17,805,572
Foreign Corporate Bonds & Notes		—		3,394,558		—		3,394,558
Municipal Bond & Notes		—		679,015		—		679,015
U.S. Government Agencies:
Federal National Mtg. Assoc.		—		14,858,259		—		14,858,259
Other Government Agencies*		—		4,475,817		—		4,475,817
U.S. Government Treasuries:
United States Treasury Bonds		—		1,060,939		—		1,060,939
United States Treasury Notes		—		10,288,331		—		10,288,331
Foreign Government Obligations		—		1,377,400		—		1,377,400
Options - Purchased		—		2,711		—		2,711
Repurchase Agreements		—		10,552,000		—		10,552,000
Other Financial Instruments:+
Open Futures Contracts - Appreciation		30,875		—		—		30,875
Open Forward Foreign Currency Contracts - Appreciation		—		15,476		—		15,476
Total	$	33,038,769	$	80,609,388	$	149,971	$	113,798,128
Liabilities:
Other Financial Instruments:+
Open Futures Contracts - Depreciation	$	18,756	$	—	$	—	$	18,756
Open Forward Foreign Currency Contracts - Depreciation		—		2,235		—		2,235
Total	$	18,756	$	2,235	$	—	$	20,991

*  Sum of all other industries or government agencies each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry or government agency classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio

See Notes to Financial Statements

107

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Diversified Financial Services	19.5	%
Federal National Mtg. Assoc.	15.7
United States Treasury Notes	13.4
Repurchase Agreements	10.4
Diversified Banking Institutions	5.4
Government National Mtg. Assoc.	5.3
Banks-Commercial	2.5
United States Treasury Bonds	2.4
Sovereign	1.6
Real Estate Investment Trusts	1.5
Banks-Super Regional	1.4
Multimedia	1.4
Telephone-Integrated	1.4
Computers	1.2
Medical-Drugs	1.1
Oil Companies-Exploration & Production	1.1
Municipal Bonds	1.1
Pipelines	1.0
Cable/Satellite TV	0.9
Medical-Biomedical/Gene	0.9
Electric-Integrated	0.8
Federal Home Loan Mtg. Corp.	0.7
Web Portals/ISP	0.7
Medical-Hospitals	0.6
Oil Companies-Integrated	0.6
Telecom Services	0.6
Insurance-Multi-line	0.5
Pharmacy Services	0.5
Semiconductor Components-Integrated Circuits	0.4
Diversified Manufacturing Operations	0.4
Medical-HMO	0.4
Cellular Telecom	0.4
Finance-Auto Loans	0.4
Steel-Producers	0.4
Transport-Rail	0.4
Beverages-Non-alcoholic	0.3
Insurance-Property/Casualty	0.3
Building Societies	0.3
Retail-Drug Store	0.3
Chemicals-Diversified	0.3
Cosmetics & Toiletries	0.3
Applications Software	0.3
Retail-Auto Parts	0.3
Trucking/Leasing	0.3
Oil-Field Services	0.3
E-Commerce/Products	0.3
Agricultural Chemicals	0.3
Finance-Consumer Loans	0.3
Insurance-Life/Health	0.3
Commercial Services-Finance	0.3
Food-Baking	0.2
Security Services	0.2
Electronic Components-Semiconductors	0.2
Tobacco	0.2
Apparel Manufacturers	0.2
Aerospace/Defense-Equipment	0.2
Entertainment Software	0.2
Building-Residential/Commercial	0.2
Internet Content-Entertainment	0.2
Instruments-Controls	0.2

Insurance-Mutual	0.2	%
Coal	0.2
Insurance Brokers	0.2
Finance-Leasing Companies	0.2
Finance-Credit Card	0.2
Hotels/Motels	0.2
Transport-Services	0.2
Paper & Related Products	0.2
Retail-Discount	0.2
Enterprise Software/Service	0.1
Medical Products	0.1
Retail-Restaurants	0.1
Food-Wholesale/Distribution	0.1
Finance-Investment Banker/Broker	0.1
Food-Retail	0.1
Metal Processors & Fabrication	0.1
Retail-Perfume & Cosmetics	0.1
Networking Products	0.1
Auto/Truck Parts & Equipment-Original	0.1
Web Hosting/Design	0.1
Medical-Wholesale Drug Distribution	0.1
Computers-Memory Devices	0.1
Gold Mining	0.1
Retail-Regional Department Stores	0.1
Building & Construction Products-Misc.	0.1
Retail-Building Products	0.1
Electronic Components-Misc.	0.1
Gas-Distribution	0.1
SupraNational Banks	0.1
Casino Hotels	0.1
Airlines	0.1
Electric-Generation	0.1
Publishing-Newspapers	0.1
Brewery	0.1
Oil Refining & Marketing	0.1
Computer Services	0.1
Savings & Loans/Thrifts	0.1
E-Commerce/Services	0.1
Electric Products-Misc.	0.1
Computers-Integrated Systems	0.1
Food-Misc./Diversified	0.1
Hazardous Waste Disposal	0.1
Auto-Heavy Duty Trucks	0.1
Electronic Connectors	0.1
Industrial Gases	0.1
Machinery-Construction & Mining	0.1
Athletic Footwear	0.1
Auction Houses/Art Dealers	0.1
Investment Management/Advisor Services	0.1
Data Processing/Management	0.1
Food-Confectionery	0.1
Aerospace/Defense	0.1
Retail-Major Department Stores	0.1
Rental Auto/Equipment	0.1
Shipbuilding	0.1
Retail-Automobile	0.1
Machinery-Farming	0.1
Containers-Metal/Glass	0.1
Wireless Equipment	0.1
Therapeutics	0.1

108

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Containers-Paper/Plastic	0.1	%
Electronic Design Automation	0.1
Retail-Catalog Shopping	0.1
Retail-Apparel/Shoe	0.1
Funeral Services & Related Items	0.1
Electronic Security Devices	0.1
Electric-Transmission	0.1
Distribution/Wholesale	0.1
Machinery-General Industrial	0.1
Metal-Copper	0.1
Telecommunication Equipment	0.1
Retail-Gardening Products	0.1
Computer Aided Design	0.1
Oil & Gas Drilling	0.1
Diversified Minerals	0.1
Steel Pipe & Tube	0.1
Tools-Hand Held	0.1
	112.1	%
Credit Quality†#
Aaa	56.8	%
Aa	2.6
A	5.7
Baa	17.3
Ba	6.1
B	2.4
Caa	1.3
Ca	0.2
Not Rated@	7.6
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

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

109

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 16.4%
Aerospace/Defense — 0.0%
Boeing Co.		282	$	35,921
Aerospace/Defense-Equipment — 0.2%
B/E Aerospace, Inc.†		657		55,148
United Technologies Corp.		756		79,834
				134,982
Agricultural Chemicals — 0.1%
Monsanto Co.		448		50,404
Airlines — 0.1%
United Continental Holdings, Inc.†		1,365		63,868
Apparel Manufacturers — 0.1%
Carter's, Inc.		465		36,047
Michael Kors Holdings, Ltd.†		391		27,913
Ralph Lauren Corp.		263		43,324
				107,284
Applications Software — 0.3%
Microsoft Corp.		4,513		209,223
Red Hat, Inc.†		384		21,562
salesforce.com, Inc.†		297		17,086
				247,871
Athletic Footwear — 0.1%
NIKE, Inc., Class B		858		76,534
Auto-Cars/Light Trucks — 0.0%
Ford Motor Co.		1,283		18,976
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		1,101		62,619
Auto/Truck Parts & Equipment-Original — 0.0%
BorgWarner, Inc.		620		32,618
Banks-Commercial — 0.1%
PacWest Bancorp		647		26,676
Regions Financial Corp.		3,177		31,897
				58,573
Banks-Super Regional — 0.5%
Capital One Financial Corp.		1,425		116,308
Comerica, Inc.		1,273		63,472
Fifth Third Bancorp		655		13,113
PNC Financial Services Group, Inc.		459		39,281
SunTrust Banks, Inc.		1,287		48,945
US Bancorp		1,743		72,910
Wells Fargo & Co.		1,780		92,328
				446,357
Beverages-Non-alcoholic — 0.3%
Coca-Cola Co.		2,051		87,496
Monster Beverage Corp.†		262		24,017
PepsiCo, Inc.		1,863		173,427
				284,940
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class B		246		22,194

Security Description	Shares		Value (Note 2)
Cable/Satellite TV — 0.2%
Comcast Corp., Class A		2,370	$	127,458
Time Warner Cable, Inc.		263		37,738
				165,196
Casino Hotels — 0.1%
MGM Resorts International†		3,934		89,617
Cellular Telecom — 0.1%
T-Mobile US, Inc.†		2,034		58,722
Chemicals-Diversified — 0.3%
Dow Chemical Co.		437		22,916
E.I. du Pont de Nemours & Co.		184		13,204
LyondellBasell Industries NV, Class A		1,116		121,265
PPG Industries, Inc.		264		51,939
Rockwood Holdings, Inc.		499		38,149
				247,473
Commercial Services-Finance — 0.2%
MasterCard, Inc., Class A		1,220		90,183
Vantiv, Inc., Class A†		1,488		45,979
				136,162
Computer Aided Design — 0.1%
ANSYS, Inc.†		542		41,013
Computer Services — 0.1%
IHS, Inc., Class A†		279		34,928
International Business Machines Corp.		270		51,254
				86,182
Computers — 0.8%
Apple, Inc.		6,315		636,236
Hewlett-Packard Co.		822		29,157
				665,393
Computers-Integrated Systems — 0.1%
NCR Corp.†		2,442		81,587
Computers-Memory Devices — 0.1%
EMC Corp.		2,740		80,172
NetApp, Inc.		584		25,089
				105,261
Containers-Metal/Glass — 0.1%
Crown Holdings, Inc.†		1,218		54,225
Containers-Paper/Plastic — 0.1%
Rock-Tenn Co., Class A		874		41,585
Cosmetics & Toiletries — 0.3%
Colgate-Palmolive Co.		2,701		176,159
Estee Lauder Cos., Inc., Class A		580		43,338
Procter & Gamble Co.		372		31,151
				250,648
Distribution/Wholesale — 0.1%
WESCO International, Inc.†		574		44,921

110

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Banking Institutions — 0.6%
Bank of America Corp.		1,176	$	20,051
Citigroup, Inc.		1,981		102,655
Goldman Sachs Group, Inc.		668		122,625
JPMorgan Chase & Co.		2,637		158,853
Morgan Stanley		1,868		64,577
				468,761
Diversified Manufacturing Operations — 0.3%
Colfax Corp.†		911		51,900
Danaher Corp.		542		41,181
Dover Corp.		415		33,337
Eaton Corp. PLC		787		49,872
General Electric Co.		2,684		68,764
				245,054
E-Commerce/Products — 0.3%
Amazon.com, Inc.†		424		136,714
eBay, Inc.†		1,238		70,108
				206,822
E-Commerce/Services — 0.1%
Priceline Group, Inc.†		66		76,466
Electric Products-Misc. — 0.1%
Emerson Electric Co.		1,305		81,667
Electric-Integrated — 0.0%
NextEra Energy, Inc.		207		19,433
PG&E Corp.		418		18,827
				38,260
Electric-Transmission — 0.1%
Brookfield Infrastructure Partners LP		1,262		47,956
Electronic Components-Misc. — 0.1%
TE Connectivity, Ltd.		1,774		98,084
Electronic Components-Semiconductors — 0.2%
Freescale Semiconductor, Ltd.†		724		14,140
Intel Corp.		1,643		57,209
Texas Instruments, Inc.		1,198		57,133
Xilinx, Inc.		1,006		42,604
				171,086
Electronic Connectors — 0.1%
Amphenol Corp., Class A		785		78,390
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		3,119		53,678
Electronic Measurement Instruments — 0.0%
National Instruments Corp.		1,295		40,054
Electronic Security Devices — 0.1%
Tyco International, Ltd.		1,093		48,715
Enterprise Software/Service — 0.1%
Informatica Corp.†		885		30,302
Oracle Corp.		2,055		78,666
Tyler Technologies, Inc.†		165		14,586
				123,554

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.2%
American Express Co.		475	$	41,582
Visa, Inc., Class A		409		87,268
				128,850
Finance-Investment Banker/Broker — 0.1%
E*TRADE Financial Corp.†		1,311		29,616
LPL Financial Holdings, Inc.		644		29,656
TD Ameritrade Holding Corp.		1,314		43,848
				103,120
Finance-Other Services — 0.0%
Intercontinental Exchange, Inc.		119		23,211
Food-Confectionery — 0.1%
Hershey Co.		729		69,568
Food-Misc./Diversified — 0.1%
Mondelez International, Inc., Class A		1,986		68,050
Food-Retail — 0.1%
Kroger Co.		1,234		64,168
Whole Foods Market, Inc.		1,341		51,105
				115,273
Food-Wholesale/Distribution — 0.0%
Sysco Corp.		538		20,417
Hotels/Motels — 0.2%
Hyatt Hotels Corp., Class A†		490		29,655
Marriott International, Inc., Class A		527		36,837
Starwood Hotels & Resorts Worldwide, Inc.		735		61,159
				127,651
Human Resources — 0.0%
Monster Worldwide, Inc.†		6,111		33,610
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		593		77,197
Instruments-Controls — 0.2%
Honeywell International, Inc.		761		70,864
Sensata Technologies Holding NV†		1,680		74,811
				145,675
Insurance Brokers — 0.1%
Aon PLC		577		50,586
Insurance-Life/Health — 0.2%
Lincoln National Corp.		1,468		78,655
Prudential Financial, Inc.		805		70,792
				149,447
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc.		2,676		99,681
Insurance-Property/Casualty — 0.0%
Chubb Corp.		260		23,681

111

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Content-Entertainment — 0.2%
Facebook, Inc., Class A†		937	$	74,061
Pandora Media, Inc.†		2,152		51,992
Twitter, Inc.†		405		20,890
				146,943
Investment Management/Advisor Services — 0.1%
Affiliated Managers Group, Inc.†		193		38,670
BlackRock, Inc.		98		32,175
				70,845
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.		337		33,373
Terex Corp.		1,379		43,811
				77,184
Machinery-General Industrial — 0.1%
Roper Industries, Inc.		325		47,544
Medical Information Systems — 0.0%
athenahealth, Inc.†		260		34,239
Medical Products — 0.1%
Covidien PLC		640		55,366
Zimmer Holdings, Inc.		529		53,191
				108,557
Medical-Biomedical/Gene — 0.8%
Biogen Idec, Inc.†		291		96,266
Celgene Corp.†		935		88,619
Gilead Sciences, Inc.†		1,826		194,378
Isis Pharmaceuticals, Inc.†		1,873		72,728
Medivation, Inc.†		1,423		140,692
NPS Pharmaceuticals, Inc.†		1,097		28,522
Vertex Pharmaceuticals, Inc.†		468		52,561
				673,766
Medical-Drugs — 0.8%
Bristol-Myers Squibb Co.		3,338		170,839
Eli Lilly & Co.		1,035		67,120
Endo International PLC†		982		67,110
Ironwood Pharmaceuticals, Inc.†		2,781		36,028
Jazz Pharmaceuticals PLC†		387		62,136
Johnson & Johnson		576		61,396
Mallinckrodt PLC†		639		57,606
Merck & Co., Inc.		1,208		71,610
Pfizer, Inc.		3,320		98,172
				692,017
Medical-HMO — 0.1%
Aetna, Inc.		549		44,469
UnitedHealth Group, Inc.		771		66,499
				110,968
Medical-Hospitals — 0.2%
HCA Holdings, Inc.†		2,110		148,797
Medical-Wholesale Drug Distribution — 0.1%
McKesson Corp.		558		108,626

Security Description	Shares		Value (Note 2)
Metal Processors & Fabrication — 0.1%
Precision Castparts Corp.		310	$	73,433
Rexnord Corp.†		1,232		35,050
				108,483
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		1,378		44,992
Multimedia — 0.4%
Twenty-First Century Fox, Inc., Class A		4,091		140,280
Walt Disney Co.		2,035		181,176
				321,456
Networking Products — 0.1%
Cisco Systems, Inc.		3,859		97,131
Oil Companies-Exploration & Production — 0.6%
Anadarko Petroleum Corp.		1,201		121,829
Cabot Oil & Gas Corp.		88		2,877
EOG Resources, Inc.		697		69,017
EQT Corp.		253		23,159
Hess Corp.		815		76,871
Noble Energy, Inc.		1,024		70,000
Occidental Petroleum Corp.		358		34,422
Pioneer Natural Resources Co.		308		60,667
Range Resources Corp.		669		45,365
				504,207
Oil Companies-Integrated — 0.3%
Chevron Corp.		537		64,075
Exxon Mobil Corp.		1,001		94,144
Phillips 66		722		58,706
				216,925
Oil Field Machinery & Equipment — 0.0%
National Oilwell Varco, Inc.		234		17,807
Oil Refining & Marketing — 0.1%
Marathon Petroleum Corp.		301		25,486
Valero Energy Corp.		983		45,483
				70,969
Oil-Field Services — 0.3%
Core Laboratories NV		348		50,930
Halliburton Co.		934		60,252
NOW, Inc.†		548		16,665
Schlumberger, Ltd.		845		85,928
				213,775
Pharmacy Services — 0.2%
Express Scripts Holding Co.†		2,217		156,587
Omnicare, Inc.		705		43,893
				200,480
Real Estate Investment Trusts — 0.3%
American Tower Corp.		1,396		130,708
CBS Outdoor Americas, Inc.		477		14,281
Host Hotels & Resorts, Inc.		1,664		35,493
Lexington Realty Trust		1,179		11,543
Simon Property Group, Inc.		177		29,102
				221,127

112

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Management/Services — 0.0%
Jones Lang LaSalle, Inc.		228	$	28,806
Retail-Apparel/Shoe — 0.1%
PVH Corp.		439		53,185
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		180		91,739
Retail-Building Products — 0.1%
Lowe's Cos., Inc.		1,866		98,749
Retail-Catalog Shopping — 0.1%
MSC Industrial Direct Co., Inc., Class A		624		53,327
Retail-Discount — 0.1%
Wal-Mart Stores, Inc.		546		41,753
Retail-Drug Store — 0.1%
CVS Health Corp.		1,038		82,614
Retail-Gardening Products — 0.1%
Tractor Supply Co.		710		43,672
Retail-Jewelry — 0.0%
Tiffany & Co.		357		34,383
Retail-Mail Order — 0.0%
Williams-Sonoma, Inc.		501		33,352
Retail-Major Department Stores — 0.1%
TJX Cos., Inc.		1,062		62,839
Retail-Perfume & Cosmetics — 0.0%
Ulta Salon Cosmetics & Fragrance, Inc.†		278		32,851
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc.		469		32,872
Retail-Regional Department Stores — 0.1%
Kohl's Corp.		799		48,763
Macy's, Inc.		861		50,093
				98,856
Retail-Restaurants — 0.1%
Dunkin' Brands Group, Inc.		563		25,234
Starbucks Corp.		1,081		81,572
				106,806
Semiconductor Components-Integrated Circuits — 0.2%
Atmel Corp.†		5,535		44,723
QUALCOMM, Inc.		1,975		147,671
				192,394
Semiconductor Equipment — 0.0%
KLA-Tencor Corp.		409		32,221
Software Tools — 0.0%
VMware, Inc., Class A†		230		21,583
Steel-Producers — 0.1%
Reliance Steel & Aluminum Co.		417		28,523
United States Steel Corp.		1,136		44,497
				73,020
Telecom Services — 0.1%
Amdocs, Ltd.		1,395		64,003

Security Description	Shares/ Principal Amount(11)		Value (Note 2)
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		1,865	$	44,592
Telephone-Integrated — 0.1%
Verizon Communications, Inc.		919		45,941
Television — 0.0%
CBS Corp., Class B		696		37,236
ION Media Networks, Inc.†(1)(3)(12)		4		1,992
				39,228
Therapeutics — 0.1%
Pharmacyclics, Inc.†		478		56,132
Tobacco — 0.1%
Altria Group, Inc.		1,272		58,436
Philip Morris International, Inc.		619		51,624
				110,060
Toys — 0.0%
Mattel, Inc.		858		26,298
Transactional Software — 0.0%
Solera Holdings, Inc.		702		39,565
Transport-Rail — 0.3%
Kansas City Southern		358		43,390
Union Pacific Corp.		1,775		192,445
				235,835
Transport-Services — 0.1%
FedEx Corp.		486		78,465
Web Portals/ISP — 0.7%
Google, Inc., Class A†		376		221,242
Google, Inc., Class C†		412		237,872
Yahoo!, Inc.†		2,605		106,154
				565,268
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		820		51,890
Total Common Stocks (cost $10,815,997)				13,534,827
PREFERRED SECURITIES — 0.0%
Electric-Integrated — 0.0%
Entergy Louisiana LLC 4.70%		350		7,637
Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. FRS Series Z 0.00%†		400		4,120
Telecom Services — 0.0%
Qwest Corp. 6.13%		700		16,254
Total Preferred Securities (cost $32,424)				28,011

113

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.3%
Banks-Commercial — 0.7%
Banco Bilbao Vizcaya Argentaria SA VRS 7.00% due 02/19/2019(2)	$	200,000	$	266,268
Banco Santander SA VRS 6.25% due 03/12/2019(2)		200,000		244,716
Zions Bancorporation FRS Series I 5.80% due 06/15/2023(2)		15,000		14,325
				525,309
Banks-Super Regional — 0.0%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(2)		13,000		12,722
Wells Fargo Capital X 5.95% due 12/01/2086		6,000		6,165
				18,887
Building Societies — 0.3%
Nationwide Building Society VRS 6.88% due 06/20/2019(2)		175,000		273,843
Diversified Banking Institutions — 0.7%
BAC Capital Trust XIII FRS Series F 4.00% due 10/15/2014(2)		41,000		33,415
JPMorgan Chase & Co. FRS Series 1 7.90% due 04/30/2018(2)		19,000		20,567
JPMorgan Chase & Co. FRS Series V 5.00% due 07/01/2019(2)		11,000		10,723
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(2)		15,000		14,843
Lloyds Banking Group PLC VRS 6.38% due 06/27/2020(2)	EUR	200,000		259,557
Societe Generale SA VRS 8.25% due 11/29/2018(2)		225,000		231,300
				570,405
Diversified Financial Services — 0.1%
General Electric Capital Corp. FRS 6.25% due 12/15/2022(2)		100,000		107,750
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		8,000		8,091
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due 10/30/2014†(3)		8,000		1
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		12,000		11,865

Security Description	Principal Amount(11)		Value (Note 2)
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.63% due 06/15/2043	$	11,000	$	11,464
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		45,000		52,763
MetLife, Inc. 6.40% due 12/15/2066		14,000		15,610
Voya Financial, Inc. FRS 5.65% due 05/15/2053		25,000		25,125
				93,498
Insurance-Property/Casualty — 0.3%
ACE Capital Trust II 9.70% due 04/01/2030		175,000		256,812
Tools-Hand Held — 0.1%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		26,000		28,145
Total Preferred Securities/Capital Securities (cost $1,953,770)				1,906,070
ASSET BACKED SECURITIES — 19.1%
Diversified Financial Services — 19.1%
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		7,000		6,931
AmeriCredit Automobile Receivables Trust Series 2010-3, Class C 3.34% due 04/08/2016		58,332		58,667
AMMC CDO FRS Series 2014-14A, Class A1L 1.80% due 07/27/2026*(4)		250,000		249,125
Apidos CDO FRS Series 2014-17A, Class A1A 1.71% due 04/17/2026*(4)		250,000		249,850
ARES CLO, Ltd. FRS Series 2014-30A, Class A2 1.02% due 04/20/2023*(4)		250,000		247,050
Atrium CDO Corp., FRS Series 11-A, Class B 2.48% due 10/23/2025*(4)		250,000		246,950
Avis Budget Rental Car Funding AESOP LLC Series 2010-3A, Class A 4.64% due 05/20/2016*		195,000		198,411
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.73% due 05/10/2045(5)		95,000		100,315
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.75% due 02/10/2051(5)		140,455		154,242
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(5)		235,000		231,809

114

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.58% due 02/25/2036(6)	$	269,715	$	240,401
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(5)		95,000		103,838
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.71% due 06/11/2040(5)		60,000		65,913
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		24,250		24,200
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		12,000		12,069
Carlyle Global Market Strategies FRS Series 2013-3A, Class A1A 1.35% due 07/15/2025*(4)		250,000		246,150
Cent CLO 20, Ltd. FRS Series 2013-20A, Class A 1.71% due 01/25/2026*(4)		250,000		249,875
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 1.73% due 04/18/2025*(4)		250,000		249,750
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.73% due 05/24/2026*(4)		250,000		249,525
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(5)		33,000		33,702
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(5)		10,000		10,199
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A2 2.96% due 11/10/2046(5)		21,000		21,541
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(5)		75,000		77,480
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(5)		75,000		78,564
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(5)		155,000		163,899
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.13% due 12/10/2049(5)		45,000		49,590
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.53% due 03/25/2036(6)		153,024		141,502

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(5)	$	165,000	$	176,267
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2006-CD2, Class A4 5.48% due 01/15/2046(5)		80,071		83,396
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(5)		186,087		204,559
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 4.47% due 03/20/2043*		14,663		14,798
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.04% due 12/10/2049(5)		126,381		136,823
Commercial Mtg. Trust Series 2014-UBS2, Class A2 2.82% due 03/10/2047(5)		25,000		25,497
Commercial Mtg. Trust Pass Through Certs. Series 2013-WWP, Class A2 3.42% due 03/10/2031*(5)		155,000		156,543
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(5)		50,000		51,253
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(5)		145,000		147,725
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(5)		125,000		128,804
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(5)		75,000		78,309
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(5)		75,000		78,282
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(5)		125,000		130,941
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(5)		95,000		99,830
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.24% due 07/10/2045(5)		60,109		64,637
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.76% due 06/10/2046(5)		56,117		59,485
Countrywide Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.32% due 01/25/2037(6)		145,357		132,801
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(6)		21,563		21,933

115

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(6)	$	124,304	$	117,450
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(6)		5,935		5,516
CPS Auto Trust Series 2012-D, Class A 1.48% due 03/16/2020*		43,139		43,267
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(5)		50,000		50,879
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(5)		56,176		59,807
Dryden Senior Loan Fund FRS Series 2014-31A, Class A 1.58% due 04/18/2026*(4)		250,000		248,600
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 1.70% due 07/15/2026*(4)		250,000		249,875
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.26% due 05/25/2035(6)		246,686		232,523
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		40,000		40,049
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		25,000		25,154
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		5,990
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		50,000		49,789
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		11,000		10,943
FREMF Mtg. Trust VRS Series 2013-K502, Class B 2.84% due 03/25/2045*(5)		100,000		100,739
FREMF Mtg. Trust VRS Series 2012-K706, Class B 4.16% due 11/25/2044*(5)		75,000		77,957
FREMF Mtg. Trust VRS Series 2010-K8, Class B 5.41% due 09/25/2043*(5)		100,000		109,760
Gramercy Park CLO, Ltd., FRS Series 2012-1AR, Class A1R 1.53% due 07/17/2023*(4)		250,000		249,750

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Greenwich Capital Commercial Funding Corp. Series 2007-GG9, Class A4 5.44% due 03/10/2039(5)	$	155,000	$	166,962
GS Mtg. Securities Corp. II Series 2012-GCJ9, Class A2 1.76% due 11/10/2045(5)		13,000		13,000
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(5)		160,000		156,906
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(5)		40,000		46,529
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(5)		100,000		102,813
GS Mtg. Securities Trust Series 2013-GC14, Class A2 3.00% due 08/10/2046(5)		25,000		25,726
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(5)		125,000		129,155
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5)		75,000		78,395
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(5)		150,000		156,300
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.55% due 04/25/2036(6)		20,526		17,569
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.63% due 03/25/2047(6)		53,578		46,921
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(6)		104,508		98,404
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.78% due 04/25/2035(6)		82,032		80,248
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(5)		195,000		195,676
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.69% due 05/25/2035(6)		132,691		123,148
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2006-LDP9, Class A3 5.34% due 05/15/2047(5)		172,665		185,001
JP Morgan Chase Commercial Mtg. Securities Trust Series 2014-C20, Class A5 3.80% due 07/15/2047(5)		60,000		61,785
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(5)		145,000		148,665

116

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(5)	$	115,250	$	122,574
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(5)		115,000		125,011
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(5)		160,000		164,277
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5)		125,000		128,245
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(5)		75,000		78,458
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(5)		45,000		47,858
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(5)		24,559		26,596
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(5)		117,611		124,616
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(5)		130,357		138,720
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)		60,000		67,133
Limerock CLO FRS Series 2014-2A, Class A 1.73% due 04/18/2026*(4)		250,000		249,700
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.68% due 07/20/2026*(4)		250,000		250,350
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.70% due 07/25/2026*(4)		250,000		249,625
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.23% due 07/25/2026*(4)		250,000		249,750
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.47% due 02/25/2035(6)		43,188		43,538
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.54% due 12/25/2034(6)		72,519		72,123
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.67% due 05/12/2039(5)		125,000		132,029

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(5)	$	145,521	$	155,570
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(5)		60,091		65,863
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(5)		90,000		97,920
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(5)		160,000		163,730
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16, Class A5 3.89% due 06/15/2047(5)		90,000		93,276
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(5)		25,000		26,279
Morgan Stanley Capital I Trust Series 2006-IQ12 Class A4 5.33% due 12/15/2043(5)		176,587		189,081
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(5)		115,000		124,916
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(5)		79,907		87,316
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.28% due 01/11/2043(5)		70,000		78,873
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(6)		70,049		63,349
MortgageIT Trust FRS Series 2005-4, Class A1 0.43% due 10/25/2035(6)		332,906		305,252
Neuberger Berman CLO FRS XVII, Ltd., FRS Series 2014-17A, Class A 1.70% due 08/04/2025*(4)		250,000		249,400
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		40,000		40,048
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(6)		18,180		17,830
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.25% due 02/25/2037		59,079		34,565
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.73% due 04/17/2026*(4)		250,000		249,950
RFMSI Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(6)		3,909		4,021

117

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019	$	35,000	$	34,980
Santander Drive Auto Receivables Trust Series 2013-C, Class 5 2.25% due 06/17/2019		20,000		20,106
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		70,000		70,373
Santander Drive Auto Receivables Trust Series 2011-1, Class C 3.11% due 05/16/2016		92,420		92,862
Santander Drive Auto Receivables Trust Series 2010-2, Class C 3.89% due 07/17/2017		47,510		47,573
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.28% due 05/25/2037		151,112		108,633
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.43% due 02/20/2047(6)		161,941		140,695
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(1)		160,000		159,990
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		110,000		109,788
Springleaf Mtg. Loan Trust VRS Series 2013-2A, Class M1 3.52% due 12/25/2065*(6)		100,000		102,059
Thornburg Mtg. Securities Trust FRS Series 2005-1, Class A3 2.24% due 04/25/2045(6)		159,346		161,504
UBS-Barclays Commercial Mtg. Trust Series 2012-C2, Class A2 2.11% due 05/10/2063(5)		20,251		20,518
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(5)		85,000		84,468
Volvo Financial Equipment LLC Series 2012-1A, Class B 1.51% due 08/15/2017*		30,000		30,187
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C26, Class AM 6.17% due 06/15/2045(5)		19,000		20,368
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5)		125,000		128,426
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.61% due 03/25/2035(6)		168,113		171,645

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.62% due 11/25/2034(6)	$	4,147	$	4,160
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(6)		253,655		252,862
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.63% due 10/25/2036(6)		99,922		93,962
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 1.28% due 02/15/2044*(5)(7)		1,068,897		34,413
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class A2 1.88% due 08/15/2045(5)		10,000		10,069
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A2 2.92% due 08/15/2047(5)		10,000		10,221
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(5)		95,000		96,745
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5)		150,000		156,815
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(5)		150,000		157,314
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5)		60,000		63,267
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(5)		55,000		58,424
Total Asset Backed Securities (cost $15,638,200)				15,824,951
U.S. CORPORATE BONDS & NOTES — 20.1%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 3.75% due 02/15/2023		10,000		9,916
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		7,000		7,067
				16,983
Advertising Sales — 0.0%
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.88% due 03/15/2025*		4,000		4,020
Advertising Services — 0.0%
Visant Corp. Company Guar. Notes 10.00% due 10/01/2017		2,000		1,785

118

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Aerospace/Defense — 0.1%
Bae Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*	$	10,000	$	9,970
Bae Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		7,000		6,963
Boeing Co. Senior Notes 0.95% due 05/15/2018		15,000		14,601
				31,534
Aerospace/Defense-Equipment — 0.0%
Alliant Techsystems, Inc. Company Guar. Notes 5.25% due 10/01/2021*		3,000		3,008
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		25,000		24,625
				27,633
Agricultural Chemicals — 0.2%
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		130,000		136,989
Monsanto Co. Senior Notes 4.70% due 07/15/2064		8,000		7,963
				144,952
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		6,000		6,120
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class A-1 7.20% due 07/02/2020		1,114		1,167
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016		9,382		9,523
United Airlines Pass Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		10,000		9,950
				26,760
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		5,000		5,212
Darling Ingredients, Inc. Company Guar. Notes 5.38% due 01/15/2022		5,000		5,038
				10,250

Security Description	Principal Amount(11)		Value (Note 2)
Apparel Manufacturers — 0.1%
Quiksilver, Inc./QS Wholesale, Inc. Company Guar. Notes 10.00% due 08/01/2020	$	4,000	$	2,360
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		60,000		61,800
				64,160
Auction House/Art Dealers — 0.1%
Sotheby's Company Guar. Notes 5.25% due 10/01/2022*		80,000		75,800
Auto-Cars/Light Trucks — 0.0%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		15,000		14,943
Auto-Heavy Duty Trucks — 0.0%
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		17,000		16,983
Auto/Truck Parts & Equipment-Original — 0.1%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		3,000		3,083
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		70,000		73,850
				76,933
Banks-Commercial — 0.2%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019		5,000		4,913
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		130,000		136,012
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		26,000		32,948
Zions Bancorporation Senior Notes 4.50% due 06/13/2023		1,000		1,047
				174,920
Banks-Super Regional — 0.9%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		150,000		163,899
Comerica, Inc. Senior Notes 2.13% due 05/23/2019		8,000		7,929
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		125,000		136,267
Wells Fargo & Co Senior Notes 1.40% due 09/08/2017		32,000		31,905

119

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Wells Fargo & Co Senior Notes 3.30% due 09/09/2024	$	175,000	$	171,681
Wells Fargo & Co Sub. Notes 4.10% due 06/03/2026		20,000		19,930
Wells Fargo & Co. Sub. Notes 4.13% due 08/15/2023		70,000		72,374
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		110,000		120,145
				724,130
Brewery — 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 0.80% due 07/15/2015		87,000		87,256
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		60,000		62,850
Building Materials Corp. of America Company Guar. Notes 7.50% due 03/15/2020*		35,000		36,575
				99,425
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		20,000		19,350
Building Products-Cement — 0.0%
Headwaters, Inc. Sec. Notes 7.63% due 04/01/2019		4,000		4,170
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		14,000		15,295
Building-Residential/Commercial — 0.2%
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		65,000		64,431
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,400
Ryland Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		80,000		78,000
				147,831

Security Description	Principal Amount(11)		Value (Note 2)
Cable/Satellite TV — 0.7%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023	$	10,000	$	9,950
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		65,000		65,789
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		30,000		31,649
Cox Communications, Inc. Senior Notes 2.95% due 06/30/2023*		100,000		93,598
Cox Communications, Inc. Senior Notes 8.38% due 03/01/2039*		15,000		21,264
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		50,000		49,759
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		75,000		76,674
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.35% due 03/15/2040		9,000		10,488
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,837
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		75,000		80,625
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		8,000		7,894
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		60,000		70,597
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		4,000		5,046
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		55,000		63,950
Time Warner Cable, Inc. Company Guar. Notes 7.30% due 07/01/2038		11,000		14,959
				606,079
Casino Hotels — 0.0%
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		5,000		5,275

120

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom — 0.3%
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024*	$	50,000	$	50,375
Sprint Nextel Corp. Senior Notes 7.00% due 08/15/2020		4,000		4,170
Sprint Nextel Corp. Company Guar. Notes 9.00% due 11/15/2018*		25,000		28,875
T-Mobile USA, Inc. Company Guar. Notes 5.25% due 09/01/2018		15,000		15,450
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		35,000		36,356
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		9,113
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		90,000		92,475
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		15,000		15,375
				252,189
Chemicals-Diversified — 0.0%
Dow Chemical Co. Senior Notes 4.25% due 10/01/2034		15,000		14,443
Chemicals-Specialty — 0.0%
Chemtura Corp. Company Guar. Notes 5.75% due 07/15/2021		4,000		3,960
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		10,000		13,084
				17,044
Coal — 0.2%
CONSOL Energy, Inc. Company Guar. Notes 6.38% due 03/01/2021		10,000		10,150
Murray Energy Corp. Senior Sec. Notes 8.63% due 06/15/2021*		6,000		6,210
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		130,000		121,550
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		4,000		4,200
				142,110

Security Description	Principal Amount(11)		Value (Note 2)
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022*	$	35,000	$	34,475
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		9,000		9,113
				43,588
Computers — 0.4%
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		110,000		111,722
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		140,000		151,642
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		21,000		23,939
				287,303
Consumer Products-Misc. — 0.0%
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.75% due 10/15/2020		14,000		14,245
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Senior Notes 7.38% due 12/15/2026		6,000		6,600
Containers-Paper/Plastic — 0.0%
Consolidated Container Co. LLC/ Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		5,000		4,700
Packaging Corp. of America Senior Notes 3.65% due 09/15/2024		8,000		7,857
				12,557
Cosmetics & Toiletries — 0.0%
First Quality Finance Co., Inc. Senior Notes 4.63% due 05/15/2021*		5,000		4,663
Data Processing/Management — 0.1%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		70,000		71,750
Distribution/Wholesale — 0.0%
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		3,000		2,895
Diversified Banking Institutions — 3.6%
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		19,000		18,963

121

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024	$	65,000	$	64,438
Bank of America Corp. Senior Notes 5.65% due 05/01/2018		45,000		50,053
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		150,000		167,227
Citigroup, Inc. Senior Notes 2.50% due 09/26/2018		125,000		125,813
Citigroup, Inc. Senior Notes 5.38% due 08/09/2020		13,000		14,711
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		200,000		217,802
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		48,000		53,850
Citigroup, Inc. Sub. Notes 6.13% due 08/25/2036		155,000		177,718
Citigroup, Inc. Sub. Notes 6.68% due 09/13/2043		40,000		49,026
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		155,000		193,745
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		125,000		126,298
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		70,000		70,503
Goldman Sachs Group, Inc. Senior Notes 4.80% due 07/08/2044		33,000		33,183
Goldman Sachs Group, Inc. Senior Notes 5.25% due 07/27/2021		12,000		13,303
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		38,000		42,308
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		15,000		17,952
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		35,000		40,762
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		56,000		66,852
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		15,000		14,764

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Sub. Notes 3.38% due 05/01/2023	$	25,000	$	23,948
JPMorgan Chase & Co. Senior Notes 3.63% due 05/13/2024		35,000		34,766
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		55,000		58,790
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		180,000		199,466
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		125,000		140,690
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		200,000		228,929
Merrill Lynch & Co., Inc. Senior Notes 6.88% due 04/25/2018		150,000		173,010
Morgan Stanley Senior Notes 2.13% due 04/25/2018		75,000		74,992
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		16,000		15,956
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		102,000		100,247
Morgan Stanley Senior Notes 4.75% due 03/22/2017		32,000		34,387
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		95,000		100,366
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,505
Morgan Stanley Senior Notes 5.50% due 07/28/2021		12,000		13,516
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		114,522
NationsBank Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,906
				2,990,267
Diversified Financial Services — 0.3%
General Electric Capital Corp. Senior Notes 1.50% due 07/12/2016		19,000		19,231
General Electric Capital Corp. Senior Notes 5.63% due 05/01/2018		25,000		28,263

122

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Financial Services (continued)
General Electric Capital Corp. Senior Notes 5.88% due 01/14/2038	$	152,000	$	183,337
				230,831
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		13,000		12,653
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		33,000		38,986
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		6,000		6,443
Textron, Inc. Senior Notes 4.63% due 09/21/2016		21,000		22,351
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		8,000		8,014
				88,447
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		6,000		6,120
Electric-Generation — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		2,850
AES Corp. Senior Notes 5.50% due 03/15/2024		5,000		4,863
AES Corp. Senior Notes 8.00% due 10/15/2017		8,000		8,980
AES Corp. Senior Notes 8.00% due 06/01/2020		60,000		68,850
				85,543
Electric-Integrated — 0.8%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		7,000		7,481
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		25,000		28,271
DPL, Inc. Senior Notes 7.25% due 10/15/2021		40,000		41,300
Edison International Senior Notes 3.75% due 09/15/2017		96,000		101,628
Entergy Corp. Senior Notes 3.63% due 09/15/2015		120,000		122,907

Security Description	Principal Amount(11)		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031	$	14,000	$	16,551
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		13,000		13,162
Georgia Power Co. Senior Notes 3.00% due 04/15/2016		7,000		7,239
Ipalco Enterprises, Inc. Senior Sec. Notes 7.25% due 04/01/2016*		20,000		21,350
Nisource Finance Corp. Company Guar. Notes 4.80% due 02/15/2044		8,000		8,139
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		13,000		14,010
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		45,000		46,007
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		80,000		105,656
Southern California Edison Co. 1st. Mtg. Bonds 1.13% due 05/01/2017		17,000		16,940
Southern Co. Senior Notes 1.30% due 08/15/2017		13,000		12,937
Xcel Energy, Inc. Senior Notes 6.50% due 07/01/2036		50,000		65,315
				628,893
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 1.35% due 12/15/2017		15,000		14,951
Enterprise Software/Service — 0.0%
BMC Software Finance, Inc. Senior Notes 8.13% due 07/15/2021*		5,000		4,800
Entertainment Software — 0.2%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		145,000		150,800
Finance-Auto Loans — 0.4%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		10,982
General Motors Acceptance Corp. Senior Notes 8.00% due 11/01/2031		9,000		11,205
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		125,000		125,937

123

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Auto Loans (continued)
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017	$	140,000	$	146,650
General Motors Financial Co., Inc. Company Guar. Notes 6.75% due 06/01/2018		5,000		5,578
				300,352
Finance-Consumer Loans — 0.3%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021*		10,000		10,000
SLM Corp. Company Guar. Notes 5.50% due 01/15/2019		25,000		25,500
SLM Corp. Company Guar. Notes 7.25% due 01/25/2022		10,000		10,850
SLM Corp. Company Guar. Notes 8.45% due 06/15/2018		120,000		135,000
Synchrony Financial Senior Notes 3.75% due 08/15/2021		5,000		5,045
Synchrony Financial Senior Notes 4.25% due 08/15/2024		7,000		7,001
				193,396
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		10,000		11,634
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		2,025
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(3)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(3)		11,000		1
				13,661
Finance-Leasing Companies — 0.2%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		125,000		129,375
Air Lease Corp. Senior Notes 4.75% due 03/01/2020		5,000		5,300
				134,675
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		25,000		24,960

Security Description	Principal Amount(11)		Value (Note 2)
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/ FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020	$	4,000	$	3,900
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*		20,000		21,000
Tyson Foods, Inc. Company Guar. Notes 5.15% due 08/15/2044		6,000		6,209
				27,209
Food-Misc./Diversified — 0.0%
Kraft Foods, Inc. Senior Notes 6.50% due 02/09/2040		10,000		12,538
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.35% due 10/02/2019		75,000		75,002
Sysco Corp. Company Guar. Notes 3.50% due 10/02/2024		11,000		11,030
Sysco Corp. Company Guar. Bonds 4.35% due 10/02/2034		5,000		5,073
Sysco Corp. Company Guar. Bonds 4.50% due 10/02/2044		8,000		8,058
				99,163
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		38,800
Service Corp. International Senior Notes 5.38% due 01/15/2022		10,000		10,100
				48,900
Gas-Distribution — 0.1%
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		85,000		98,008
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		70,000		70,000
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,070
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		10,000		10,575
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		3,000		3,120

124

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers (continued)
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022*	$	7,000	$	7,179
				22,944
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		50,000		50,846
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		30,000		29,502
USI, Inc. Senior Notes 7.75% due 01/15/2021*		10,000		9,950
				90,298
Insurance-Life/Health — 0.1%
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		6,000		6,833
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		4,000		4,001
Principal Life Global Funding II Senior Sec. Notes 1.00% due 12/11/2015*		11,000		11,047
Teachers Insurance & Annuity Assoc. of America Bonds 4.90% due 09/15/2044*		8,000		8,153
				30,034
Insurance-Multi-line — 0.3%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		27,000		32,424
MetLife, Inc. Senior Notes 4.37% due 09/15/2023		35,000		37,415
Nationwide Mutual Insurance Co. Senior Sub. Notes 9.38% due 08/15/2039*		125,000		192,443
				262,282
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		80,000		123,583
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		20,000		20,177
				143,760
Investment Management/Advisor Services — 0.0%
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		4,000		4,270

Security Description	Principal Amount(11)		Value (Note 2)
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 3.25% due 02/01/2017	$	12,000	$	11,820
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		29,000		28,848
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		21,000		21,036
				61,704
Medical Labs & Testing Services — 0.0%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		21,000		20,961
Medical Products — 0.0%
Becton Dickinson and Co. Senior Notes 7.00% due 08/01/2027		11,000		14,211
Universal Hospital Services, Inc. Sec. Notes 7.63% due 08/15/2020		4,000		3,760
				17,971
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 5.15% due 11/15/2041		20,000		21,110
Amgen, Inc. Senior Notes 6.90% due 06/01/2038		35,000		45,300
				66,410
Medical-Drugs — 0.3%
AbbVie, Inc. Senior Notes 1.20% due 11/06/2015		115,000		115,433
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		106,000		104,675
Forest Laboratories, Inc. Senior Notes 4.88% due 02/15/2021*		20,000		21,335
				241,443
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 7.88% due 07/15/2020*		22,000		23,997
Medical-HMO — 0.3%
Centene Corp. Senior Notes 4.75% due 05/15/2022		20,000		20,050
Humana, Inc. Senior Notes 2.63% due 10/01/2019		55,000		54,966
WellPoint, Inc. Senior Notes 2.30% due 07/15/2018		30,000		30,078

125

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO (continued)
WellPoint, Inc. Senior Notes 5.10% due 01/15/2044	$	100,000	$	106,251
				211,345
Medical-Hospitals — 0.4%
Capella Healthcare, Inc. Company Guar. Notes 9.25% due 07/01/2017		2,000		2,081
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021*		30,000		29,925
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		55,000		53,762
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,256
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,225
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		40,000		43,700
HCA, Inc. Senior Sec. Notes 7.25% due 09/15/2020		55,000		57,750
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		7,000		6,948
Tenet Healthcare Corp. Senior Notes 5.00% due 03/01/2019*		5,000		4,938
Tenet Healthcare Corp. Senior Notes 6.00% due 10/01/2020		135,000		142,762
				357,347
Metal Processors & Fabrication — 0.0%
Timken Co. Senior Notes 3.88% due 09/01/2024*		6,000		5,906
Metal-Aluminum — 0.0%
Alcoa, Inc. Senior Notes 5.13% due 10/01/2024		11,000		11,014
Multimedia — 1.0%
News America, Inc. Company Guar. Notes 6.20% due 12/15/2034		145,000		176,072
Time Warner Cos., Inc. Company Guar. Notes 6.63% due 05/15/2029		270,000		335,317
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		135,000		179,651

Security Description	Principal Amount(11)		Value (Note 2)
Multimedia (continued)
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 07/15/2033	$	12,000	$	17,726
Time Warner, Inc. Company Guar. Notes 2.10% due 06/01/2019		40,000		39,313
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		107,000		98,515
				846,594
Networking Products — 0.0%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		13,000		12,993
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc. Senior Notes 4.63% due 03/15/2024		23,000		23,314
Oil Companies-Exploration & Production — 0.3%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. Company Guar. Notes 9.63% due 10/15/2018		5,000		5,175
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.13% due 11/01/2020*		3,000		2,745
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.38% due 11/01/2021*		5,000		4,575
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		35,000		42,652
Atlas Energy Holdings Operating Co. LLC/ Atlas Resource Finance Corp. Company Guar. Notes 7.75% due 01/15/2021		5,000		4,925
Berry Petroleum Co. LLC Senior Notes 6.38% due 09/15/2022		2,000		1,940
California Resources Corp. Company Guar. Notes 5.50% due 09/15/2021*		10,000		10,150
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024*		10,000		10,275
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		25,000		24,750
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		3,000		3,173

126

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
EPL Oil & Gas, Inc. Company Guar. Notes 8.25% due 02/15/2018	$	5,000	$	5,112
EV Energy Partners LP/ EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		5,000		5,175
Halcon Resources Corp. Company Guar. Notes 9.75% due 07/15/2020		4,000		4,070
Hess Corp. Senior Notes 1.30% due 06/15/2017		65,000		64,753
Hess Corp. Senior Notes 5.60% due 02/15/2041		16,000		18,021
Hess Corp. Senior Notes 7.88% due 10/01/2029		5,000		6,788
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		9,000		8,662
Memorial Production Partners LP/Memorial Production Finance Corp. Company Guar. Notes 7.63% due 05/01/2021		4,000		3,980
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		5,000		5,075
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		4,000		4,000
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022*		4,000		3,860
Rex Energy Corp. Company Guar. Notes 8.88% due 12/01/2020		1,000		1,075
Rice Energy, Inc. Company Guar. Notes 6.25% due 05/01/2022*		10,000		9,750
SandRidge Energy, Inc. Company Guar. Notes 7.50% due 02/15/2023		5,000		4,856
Swift Energy Co. Company Guar. Notes 7.88% due 03/01/2022		4,000		4,000
Triangle USA Petroleum Corp. Senior Notes 6.75% due 07/15/2022*		6,000		5,857
				265,394

Security Description	Principal Amount(11)		Value (Note 2)
Oil Refining & Marketing — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023	$	6,000	$	6,255
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		9,700
				15,955
Oil-Field Services — 0.0%
Plains Exploration & Production Co. Company Guar. Notes 6.63% due 05/01/2021		6,000		6,570
Plains Exploration & Production Co. Company Guar. Notes 6.75% due 02/01/2022		10,000		11,075
				17,645
Paper & Related Products — 0.2%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		3,820
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		35,000		34,562
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		30,000		32,698
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		16,000		16,417
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		23,000		25,990
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		3,000		3,083
				116,570
Pharmacy Services — 0.3%
Express Scripts Holding Co. Company Guar. Notes 2.10% due 02/12/2015		250,000		251,429
Pipelines — 1.0%
Access Midstream Partners LP/ ACMP Finance Corp. Company Guar. Notes 4.88% due 05/15/2023		6,000		6,158
Atlas Pipeline Partners LP/ Atlas Pipeline Finance Corp. Company Guar. Notes 5.88% due 08/01/2023		3,000		2,933
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 4.70% due 11/01/2042		5,000		4,435
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 6.50% due 04/01/2020		37,000		42,344

127

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020	$	126,000	$	140,175
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		50,000		48,670
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		175,000		187,608
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		21,000		24,308
Genesis Energy LP Company Guar. Notes 5.63% due 06/15/2024		8,000		7,700
Kinder Morgan Energy Partners LP Senior Notes 5.50% due 03/01/2044		60,000		60,134
Kinder Morgan, Inc. Senior Notes 5.00% due 02/15/2021*		13,000		13,552
Kinder Morgan, Inc. Company Guar. Notes 7.00% due 06/15/2017		55,000		60,637
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		5,000		4,850
Plains All American Pipeline LP/ PAA Finance Corp. Notes 3.60% due 11/01/2024		10,000		9,814
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		4,140
Williams Partners LP Senior Notes 3.90% due 01/15/2025		105,000		104,221
Williams Partners LP Senior Notes 4.30% due 03/04/2024		95,000		96,896
				818,575
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022*		10,000		9,663
Publishing-Newspapers — 0.1%
Gannett Co., Inc. Company Guar. Notes 5.13% due 10/15/2019		85,000		85,850
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022		5,000		5,400
				91,250

Security Description	Principal Amount(11)		Value (Note 2)
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*	$	3,000	$	3,090
Real Estate Investment Trusts — 1.2%
Duke Realty LP Company Guar. Notes 6.75% due 03/15/2020		65,000		76,712
Geo Group, Inc. Company Guar. Notes 5.13% due 04/01/2023		8,000		7,700
HCP, Inc. Senior Notes 3.75% due 02/01/2016		10,000		10,383
HCP, Inc. Senior Notes 6.00% due 01/30/2017		100,000		110,451
Health Care REIT, Inc. Senior Notes 4.50% due 01/15/2024		75,000		77,164
Health Care REIT, Inc. Senior Notes 5.25% due 01/15/2022		141,000		155,992
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		175,000		184,138
Liberty Property LP Senior Notes 3.38% due 06/15/2023		35,000		33,962
Liberty Property LP Senior Notes 4.13% due 06/15/2022		30,000		31,085
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024*		14,000		14,245
Omega Healthcare Investors, Inc. Company Guar. Notes 5.88% due 03/15/2024		4,000		4,170
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		99,788
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		35,000		36,139
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.70% due 04/01/2020		65,000		63,948
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		100,000		108,873
				1,014,750

128

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Management/Services — 0.0%
American Campus Communities Operating Partnership LP Company Guar. Notes 4.13% due 07/01/2024	$	8,000	$	8,023
Kennedy-Wilson, Inc. Company Guar. Notes 8.75% due 04/01/2019		10,000		10,625
				18,648
Recycling — 0.0%
Aleris International, Inc. Escrow Notes 9.00% due 12/15/2014†(1)(3)		10,000		0
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		45,000		59,435
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022		3,000		3,203
				62,638
Retail-Appliances — 0.0%
Conn's, Inc. Senior Notes 7.25% due 07/15/2022*		4,000		3,405
Retail-Auto Parts — 0.2%
AutoZone, Inc. Senior Notes 3.13% due 07/15/2023		100,000		97,125
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020		55,000		58,299
				155,424
Retail-Automobile — 0.1%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		30,000		32,700
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022*		30,000		29,025
				61,725
Retail-Discount — 0.1%
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		11,000		11,488
Wal-Mart Stores, Inc. Senior Notes 4.30% due 04/22/2044		60,000		60,355
				71,843

Security Description	Principal Amount(11)		Value (Note 2)
Retail-Drug Store — 0.2%
CVS Pass-Through Trust Pass Through Certs. 4.70% due 01/10/2036*	$	7,859	$	8,338
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		9,078		10,262
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		13,104		15,198
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		125,495		152,765
				186,563
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 5.45% due 08/15/2034*		11,000		10,804
Retail-Music Store — 0.0%
Guitar Center, Inc. Company Guar. Notes 9.63% due 04/15/2020*		10,000		7,675
Retail-Perfume & Cosmetics — 0.1%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		75,000		79,500
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		3,000		2,685
Retail-Restaurants — 0.0%
Landry's, Inc. Senior Notes 9.38% due 05/01/2020*		5,000		5,288
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		8,000		7,940
				13,228
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		14,000		15,031
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		44,000		50,182
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		16,000		18,453
				83,666
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		9,000		9,247
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		6,000		5,786

129

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Schools (continued)
University of Pennsylvania Senior Notes 4.67% due 09/01/2112	$	7,000	$	7,105
				22,138
Security Services — 0.2%
ADT Corp. Senior Notes 3.50% due 07/15/2022		18,000		15,570
ADT Corp. Senior Notes 6.25% due 10/15/2021		165,000		170,775
				186,345
Semiconductor Equipment — 0.0%
Entegris, Inc. Company Guar. Notes 6.00% due 04/01/2022*		4,000		4,060
Magnachip Semiconductor Corp. Senior Notes 6.63% due 07/15/2021		2,000		1,840
				5,900
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		58,000		62,495
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		10,000		10,325
Steel Pipe & Tube — 0.1%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*		4,000		4,040
Valmont Industries, Inc. Company Guar. Bonds 5.00% due 10/01/2044		11,000		10,792
Valmont Industries, Inc. Company Guar. Bonds 5.25% due 10/01/2054		15,000		14,646
				29,478
Steel-Producers — 0.3%
AK Steel Corp. Company Guar. Notes 8.38% due 04/01/2022		5,000		5,000
Glencore Funding LLC Company Guar. Notes 1.70% due 05/27/2016*		135,000		135,916
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021*		10,000		10,150
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024*		15,000		15,075

Security Description	Principal Amount(11)		Value (Note 2)
Steel-Producers (continued)
United States Steel Corp. Senior Notes 7.38% due 04/01/2020	$	35,000	$	38,850
				204,991
Storage/Warehousing — 0.0%
Mobile Mini, Inc. Company Guar. Notes 7.88% due 12/01/2020		10,000		10,700
Telecom Services — 0.5%
Qwest Corp. Senior Notes 7.50% due 10/01/2014		15,000		15,000
SBA Tower Trust Sec. Notes 3.60% due 04/15/2043*		120,000		119,969
SBA Tower Trust Sec. Notes 4.25% due 04/15/2040*		245,000		249,571
				384,540
Telephone-Integrated — 1.1%
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		9,000		8,272
AT&T, Inc. Senior Notes 4.80% due 06/15/2044		100,000		98,526
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		4,000		4,100
Cincinnati Bell, Inc. Company Guar. Notes 8.38% due 10/15/2020		10,000		10,550
Frontier Communications Corp. Senior Notes 6.88% due 01/15/2025		8,000		7,900
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		6,000		6,660
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		2,000		2,285
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020*		128,000		126,394
Verizon Communications, Inc. Senior Notes 4.15% due 03/15/2024		10,000		10,326
Verizon Communications, Inc. Senior Notes 4.50% due 09/15/2020		21,000		22,719
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046*		76,000		76,215
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054*		87,000		87,413

130

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023	$	95,000	$	105,200
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		27,000		32,892
Verizon Communications, Inc. Senior Notes 6.55% due 09/15/2043		246,000		307,351
				906,803
Television — 0.0%
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		20,000		20,450
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		8,000		10,414
Altria Group, Inc. Company Guar. Notes 9.70% due 11/10/2018		43,000		55,393
				65,807
Transport-Services — 0.1%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		45,000		45,062
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 8.50% due 05/15/2019*		2,000		2,140
Trucking/Leasing — 0.3%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		70,000		71,423
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,972
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		5,000		5,116
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		150,000		161,197
				242,708
Web Hosting/Design — 0.1%
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		80,000		79,200

Security Description	Principal Amount(11)		Value (Note 2)
Web Hosting/Design (continued)
Equinix, Inc. Senior Notes 5.38% due 04/01/2023	$	30,000	$	29,700
				108,900
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		6,000		5,580
Wireless Equipment — 0.0%
Motorola Solutions, Inc. Senior Notes 5.50% due 09/01/2044		8,000		7,913
Total U.S. Corporate Bonds & Notes (cost $16,012,649)				16,632,255
FOREIGN CORPORATE BONDS & NOTES — 3.5%
Advertising Services — 0.0%
WPP Finance Company Guar. Notes 3.75% due 09/19/2024		11,000		10,849
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		4,000		4,250
Banks-Commercial — 1.5%
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017		17,000		16,996
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		320,000		355,700
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		216,500
BPCE SA Company Guar. Notes 2.50% due 07/15/2019		250,000		248,245
Credit Suisse Sub. Notes 5.40% due 01/14/2020		136,000		151,698
Macquarie Bank, Ltd. Senior Notes 2.60% due 06/24/2019*		8,000		7,994
Sumitomo Mitsui Financial Group, Inc. Sub. Notes 4.44% due 04/02/2024*		200,000		204,874
				1,202,007
Cruise Lines — 0.0%
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		4,000		4,040
Diversified Banking Institutions — 0.5%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		30,000		29,795

131

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038	$	100,000	$	128,276
Royal Bank of Scotland Group PLC Senior Notes 2.55% due 09/18/2015		7,000		7,104
Royal Bank of Scotland Group PLC Sub. Notes 5.13% due 05/28/2024		200,000		196,512
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		13,000		13,727
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		35,000		37,045
				412,459
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*		4,000		4,005
Diversified Minerals — 0.1%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		36,000		36,630
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		8,000		9,074
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,157
Food-Baking — 0.2%
Grupo Bimbo SAB de CV Company Guar. Notes 4.88% due 06/27/2044*		200,000		193,476
Gold Mining — 0.1%
Barrick Gold Corp. Senior Notes 4.10% due 05/01/2023		95,000		91,285
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		8,000		8,301
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024*		5,000		5,086
				104,672
Hazardous Waste Disposal — 0.0%
Tervita Corp. Senior Sec. Notes 8.00% due 11/15/2018*		10,000		10,075

Security Description	Principal Amount(11)		Value (Note 2)
Medical-Drugs — 0.0%
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*	$	2,000	$	1,993
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.85% due 06/15/2044*		5,000		4,697
Metal-Iron — 0.0%
Vale SA Senior Notes 5.63% due 09/11/2042		7,000		6,849
Oil & Gas Drilling — 0.1%
Ensco PLC Senior Notes 4.50% due 10/01/2024		7,000		7,024
Ensco PLC Senior Notes 5.75% due 10/01/2044		6,000		6,082
Transocean, Inc. Company Guar. Notes 3.80% due 10/15/2022		11,000		10,096
Transocean, Inc. Company Guar. Notes 6.38% due 12/15/2021		8,000		8,509
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031		7,000		7,319
				39,030
Oil Companies-Exploration & Production — 0.2%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		13,000		17,606
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		45,000		46,913
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		6,053
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		4,000		4,140
Nexen, Inc. Company Guar. Notes 7.50% due 07/30/2039		45,000		62,066
Talisman Energy, Inc. Senior Notes 5.50% due 05/15/2042		11,000		11,197
				147,975
Oil Companies-Integrated — 0.3%
BP Capital Markets PLC Company Guar. Notes 2.25% due 11/01/2016		20,000		20,515
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		150,000		160,453

132

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Petrobras Global Finance BV Company Guar. Notes 7.25% due 03/17/2044	$	7,000	$	7,565
Petrobras International Finance Co. Company Guar. Notes 5.38% due 01/27/2021		70,000		70,757
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		6,000		6,121
Petroleos Mexicanos Company Guar. Notes 6.38% due 01/23/2045*		11,000		12,439
				277,850
Real Estate Operations & Development — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		4,000		3,990
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		7,000		6,965
Semiconductor Components-Integrated Circuits — 0.2%
TSMC Global Ltd Company Guar. Notes 1.63% due 04/03/2018*		200,000		197,491
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.75% due 02/25/2022		2,000		2,147
Telephone-Integrated — 0.2%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		100,000		145,398
Telecom Italia Capital SA Company Guar. Notes 7.18% due 06/18/2019		14,000		15,820
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		23,000		25,875
				187,093
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		40,738
Total Foreign Corporate Bonds & Notes (cost $2,850,918)				2,911,512
MUNICIPAL BONDS & NOTES — 1.1%
New Jersey State Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		130,000		186,185

Security Description	Principal Amount(11)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111	$	18,000	$	18,698
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		18,000		19,768
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		15,000		14,954
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		25,000		14,300
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		100,000		57,003
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		110,000		62,710
State of California General Obligation Bonds 6.20% due 10/01/2019		100,000		118,347
State of California General Obligation Bonds Series B 6.51% due 04/01/2039		45,000		52,803
State of California General Obligation Bonds 7.55% due 04/01/2039		100,000		145,820
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		75,000		82,478
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		105,000		113,474
Total Municipal Bonds & Notes (cost $735,801)				886,540
U.S. GOVERNMENT AGENCIES — 21.7%
Federal Home Loan Mtg. Corp. — 0.7%
2.50% due 01/01/2028		12,275		12,400
2.50% due 04/01/2028		25,683		25,992
3.00% due 08/01/2027		17,887		18,419
3.00% due 10/01/2042		28,985		28,847
3.00% due 11/01/2042		9,700		9,590

133

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 02/01/2043	$	46,477	$	45,952
3.00% due 08/01/2043		94,318		93,691
3.50% due 02/01/2042		15,883		16,232
3.50% due 03/01/2042		7,037		7,191
3.50% due 09/01/2043		46,644		47,772
4.00% due 03/01/2023		17,321		18,332
4.00% due 10/01/2043		22,925		24,168
4.50% due 01/01/2039		2,948		3,181
5.00% due 12/01/2020		3,868		4,141
5.00% due 07/01/2021		17,037		18,300
5.00% due 05/01/2034		21,348		23,810
5.50% due 07/01/2034		11,158		12,497
5.50% due 07/01/2035		15,048		16,852
5.50% due 04/01/2037		7,669		8,515
5.50% due 05/01/2037		6,559		7,303
5.50% due 08/01/2037		31,185		34,777
6.00% due 09/01/2026		26,951		30,368
6.00% due 08/01/2036		7,793		8,844
6.50% due 05/01/2029		4,855		5,569
6.50% due 11/01/2034		4,408		4,985
6.50% due 05/01/2036		57		64
Federal Home Loan Mtg. Corp. FRS 1.89% due 02/01/2037		3,672		3,871
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN1, Class M2 2.35% due 02/25/2024(6)		8,000		7,966
Federal Home Loan Mtg. Corp. REMIC Series 3964, Class MD 2.00% due 01/15/2041(6)		2,343		2,271
Series 1577, Class PK 6.50% due 09/15/2023(6)		20,357		22,431
Series 1226, Class Z 7.75% due 03/15/2022(6)		1,369		1,471
				565,802
Federal National Mtg. Assoc. — 15.7%
2.50% due 02/01/2043		191,648		181,704
2.50% due 03/01/2043		191,526		181,588
3.00% due 01/01/2028		25,717		26,568
3.00% due 12/01/2042		6,316		6,241
3.00% due 05/01/2043		116,316		114,866
3.00% due October 15 TBA		700,000		721,000
3.00% due October 30 TBA		2,682,000		2,643,865
3.50% due 08/01/2026		3,208		3,379
3.50% due 10/01/2028		44,565		46,897
3.50% due 08/01/2043		185,032		189,382
3.50% due October 30 TBA		1,301,000		1,329,764
4.00% due 11/01/2040		102,391		108,051
4.00% due 11/01/2041		6,238		6,583
4.00% due 10/01/2043		125,973		133,132
4.00% due 12/01/2043		58,230		61,754
4.00% due October 30 TBA		1,403,000		1,478,499
4.50% due 01/01/2039		5,948		6,421

Security Description	Principal Amount(11)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
4.50% due 06/01/2039	$	73,820	$	80,077
4.50% due 05/01/2041		16,246		17,538
4.50% due October 30 TBA		1,722,000		1,857,877
4.85% due 11/01/2015		699,898		719,105
4.96% due 01/01/2015		192,910		192,660
5.00% due 03/01/2018		9,017		9,518
4.00% due 11/01/2043		21,584		22,831
5.00% due 06/01/2019		3,042		3,243
5.00% due 07/01/2040		57,999		64,075
5.50% due 06/01/2020		110,301		119,585
5.50% due 07/01/2020		19,730		20,895
5.50% due 03/01/2021		42,834		46,577
5.50% due 04/01/2021		50,259		54,540
5.50% due 06/01/2021		98,388		107,580
5.50% due 10/01/2021		75,876		82,865
5.50% due 12/01/2021		86,627		91,785
5.50% due 06/01/2022		117,173		127,598
5.50% due 12/01/2029		3,393		3,790
5.50% due 05/01/2034		7,553		8,469
5.50% due 06/01/2036		419,052		470,519
5.50% due 08/01/2037		19,113		21,336
5.50% due 06/01/2038		1,866		2,092
5.50% due October 30 TBA		400,000		445,453
6.00% due 06/01/2017		3,068		3,206
6.00% due 06/01/2026		32,672		37,161
6.00% due 03/01/2027		37,920		42,921
6.00% due 12/01/2033		4,027		4,585
6.00% due 05/01/2034		16,003		18,228
6.00% due 08/01/2034		1,363		1,553
6.00% due 06/01/2040		11,191		12,635
6.00% due October 30 TBA		800,000		904,219
6.50% due 08/01/2016		1,920		1,989
6.50% due 11/01/2035		13,564		15,498
6.50% due 10/01/2037		4,621		5,230
7.00% due 06/01/2037		37,403		41,475
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C02, Class 2M1 1.10% due 05/25/2024(6)		5,522		5,440
Series 2014-C01, Class M1 1.75% due 01/25/2024(6)		16,434		16,461
Series 2013-C01, Class M1 2.15% due 10/25/2023(6)		21,574		21,803
Federal National Mtg. Assoc. FRS 2.13% due 05/01/2037		7,134		7,587
3.52% due 10/01/2040		8,263		8,834
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(6)		13,521		13,441
				12,971,968
Government National Mtg. Assoc. — 5.3%
4.00% due 10/15/2040		32,448		34,484
4.00% due 11/15/2040		534,127		567,847
4.00% due 02/15/2041		27,759		29,501
4.00% due 07/15/2041		486,939		517,498
4.00% due 09/15/2041		28,982		30,801

134

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
4.00% due 10/15/2041	$	22,001	$	23,382
4.00% due 11/15/2041		381,954		405,925
4.50% due 06/15/2041		750,930		817,086
5.00% due 01/15/2033		4,351		4,825
5.00% due 12/15/2038		178,562		196,738
5.00% due 04/15/2039		228,068		251,929
5.00% due 01/15/2040		76,057		84,572
5.00% due 04/15/2041		204,990		227,349
5.00% due October 30 TBA		700,000		769,959
5.50% due 04/15/2036		91,343		101,765
6.00% due 02/15/2033		50,663		57,175
6.50% due 07/15/2028		154,266		175,932
6.50% due 08/15/2028		8,603		9,903
6.50% due 09/15/2028		20,668		24,011
6.50% due 11/15/2028		23,534		26,680
7.00% due 01/15/2033		10,614		12,571
7.00% due 05/15/2033		15,109		17,804
7.00% due 11/15/2033		6,927		8,217
8.00% due 02/15/2030		2,161		2,472
8.50% due 11/15/2017		488		521
9.00% due 11/15/2021		275		321
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(6)		573		647
Series 2005-74, Class HB 7.50% due 09/16/2035(6)		5,080		5,810
Series 2005-74, Class HC 7.50% due 09/16/2035(6)		3,078		3,555
				4,409,280
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		12,000		12,010
Total U.S. Government Agencies (cost $17,756,124)				17,959,060
U.S. GOVERNMENT TREASURIES — 15.8%
United States Treasury Bonds — 2.4%
3.38% due 05/15/2044		15,000		15,488
3.63% due 02/15/2044		24,000		25,935
3.75% due 08/15/2041		7,000		7,771
3.88% due 08/15/2040		375,000		424,512
4.38% due 02/15/2038		700,000		849,734
4.38% due 11/15/2039		95,000		115,915
6.63% due 02/15/2027		105,000		148,755
8.13% due 08/15/2019		8,000		10,395
United States Treasury Bonds TIPS 1.38% due 02/15/2044(8)		368,024		393,642
				1,992,147
United States Treasury Notes — 13.4%
0.25% due 07/31/2015		2,300,000		2,303,234
0.38% due 04/15/2015		20,000		20,033
0.63% due 08/15/2016		885,000		886,279
0.63% due 12/15/2016		30,000		29,937
0.63% due 05/31/2017		13,000		12,887

Security Description	Principal Amount(11)		Value (Note 2)
United States Treasury Notes (continued)
0.75% due 12/31/2017	$	2,000	$	1,968
0.88% due 02/28/2017		60,000		60,061
0.88% due 08/15/2017		1,500,000		1,492,851
1.00% due 08/31/2016		89,000		89,723
1.00% due 10/31/2016		65,000		65,462
1.00% due 05/31/2018		8,000		7,881
1.38% due 11/30/2015		398,000		403,395
1.38% due 07/31/2018		94,000		93,618
1.50% due 02/28/2019		20,000		19,858
2.00% due 01/31/2016		1,720,000		1,759,372
2.38% due 08/15/2024		11,000		10,873
United States Treasury Notes FRS 0.06% due 01/31/2016		58,000		58,012
United States Treasury Notes TIPS 0.13% due 04/15/2018(8)		106,160		107,006
0.13% due 04/15/2019(8)		1,006,622		1,009,060
0.13% due 01/15/2023(8)		583,187		564,234
0.13% due 07/15/2024(8)		677,295		650,256
0.63% due 01/15/2024(8)		1,470,384		1,477,736
				11,123,736
Total U.S. Government Treasuries (cost $12,965,506)				13,115,883
FOREIGN GOVERNMENT OBLIGATIONS — 1.7%
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		13,000		13,071
Regional Authority — 0.0%
Province of British Columbia Senior Notes 2.85% due 06/15/2015		17,000		17,310
Sovereign — 1.6%
Dominican Republic Bonds 11.50% due 05/10/2024*	DOP	5,000,000		120,462
Federative Republic of Brazil Bills zero coupon due 09/01/2020	BRL	68,000		176,734
Government of Canada Senior Notes 0.88% due 02/14/2017		13,000		12,979
Government of France Bonds 0.25% due 07/25/2024(8)	EUR	45,540		59,984
Government of Uruguay Bonds 4.25% due 04/05/2027	UYU	2,660,874		118,124
Italy Buoni Poliennali Del Tesoro Notes 2.35% due 09/15/2024*(8)	EUR	50,059		70,302
Kingdom of Spain Senior Notes 1.80% due 11/30/2024*(8)	EUR	44,891		62,122

135

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Costa Rica Senior Notes 5.63% due 04/30/2043		200,000	$	171,000
Republic of Portugal Notes 5.13% due 10/15/2024*		16,000		16,576
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	1,350,000		116,876
Russian Federation Bonds 7.50% due 02/27/2019	RUB	3,600,000		85,318
United Mexican States Senior Notes 3.50% due 01/21/2021		23,000		23,308
United Mexican States Senior Notes 4.75% due 03/08/2044		235,000		233,238
				1,267,023
SupraNational Banks — 0.1%
Asian Development Bank Senior Notes 6.35% due 08/17/2016	INR	6,000,000		97,135
Total Foreign Government Obligations (cost $1,435,774)				1,394,539
OPTIONS — PURCHASED — 0.0%
Sovereign — 0.0%
Call Options-Purchased†(3)(9)	RUB	6,000,000		735
Call Options-Purchased†(3)(9)	BRL	380,000		2,278
Total Options — Purchased (cost $4,986)				3,013
Total Long-Term Investment Securities (cost $80,202,149)				84,196,661
REPURCHASE AGREEMENTS — 10.4%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $100,000 collateralized by $115,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $106,569	$	100,000		100,000

Security Description	Principal Amount(11)			Value (Note 2)
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $651,000 collateralized by $720,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $667,212	$	651,000		$	651,000
Bank of America Securities LLC Joint Repurchase Agreement(10)		1,895,000			1,895,000
Barclays Capital PLC Joint Repurchase Agreement(10)		1,645,000			1,645,000
BNP Paribas SA Joint Repurchase Agreement(10)		1,525,000			1,525,000
Deutsche Bank AG Joint Repurchase Agreement(10)		1,010,000			1,010,000
Royal Bank of Scotland Joint Repurchase Agreement(10)		1,760,000			1,760,000
Total Repurchase Agreements (cost $8,586,000)					8,586,000
TOTAL INVESTMENTS (cost $88,788,149)(13)		112.1	%		92,782,661
Liabilities in excess of other assets		(12.1	)		(9,983,758	)
NET ASSETS		100.0	%	$	82,798,903

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $10,621,217 representing 12.8% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

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

(3)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $5,009 representing 0.0% of net assets.

(4)  Collateralized Loan Obligation

(5)  Commercial Mortgage Backed Security

(6)  Collateralized Mortgage Obligation

(7)  Interest Only

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

(9)  Options — purchased

136

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2014		Appreciation (Depreciation)
Call option to deliver U.S. dollars in exchange for Brazilian Reals with Goldman Sachs International	September 2015	$	2.41	BRL	380,000	$	2,816	$	2,278	$	(538	)
Call option to deliver U.S. dollars in exchange for Russian Rubles with Goldman Sachs International	September 2015		36.97	RUB	6,000,000		2,170		735		(1,435	)
						$	4,986	$	3,013	$	(1,973	)

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

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

(12)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Multi-Managed Income Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
ION Media Networks, Inc.	4/9/2014		4	$	0	$	1,992	$	498		0.00	%

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

BRL — Brazilian Real

DOP — Dominican Peso

EUR — Euro Dollar

INR — Indian Rupee

REMIC — Real Estate Mortgage Investment Conduit

RUB — Russian Ruble

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

TIPS — Treasury Inflation Protected Securities

UYU — Uruguayan Peso

ZAR — South African Rand

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2014 and unless noted otherwise, the dates shown are the original maturity dates.

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	12	Long	U.S. Treasury 2YR Notes	December 2014	$	2,627,043	$	2,626,125	$	(918	)
	61	Long	U.S. Treasury 5YR Notes	December 2014		7,212,682		7,213,727		1,045
	35	Short	U.S. Treasury 10YR Notes	December 2014		4,336,111		4,362,422		(26,311	)
	30	Short	U.S. Long Bonds	December 2014		4,172,813		4,137,188		35,625
	26	Long	U.S. Ultra Bonds	December 2014		3,956,652		3,965,000		8,348
									$	17,789

137

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	EUR	50,000	USD	64,673	9/18/15	$	1,263	$	—
	GBP	174,000	USD	284,761	10/31/14		2,752		—
	USD	60,466	RSD	6,000,000	9/18/15		—		(1,016	)
							4,015		(1,016	)
Deutsche Bank AG	EUR	153,000	USD	198,103	12/17/14		4,751		—
Goldman Sachs International	JPY	6,217,000	USD	56,819	12/17/14		94		—
JPMorgan Chase Bank	EUR	617,000	USD	789,609	10/31/14		10,162		—
	USD	58,338	JPY	6,217,000	12/17/14		—		(1,613	)
							10,162		(1,613	)
Net Unrealized Appreciation (Depreciation)						$	19,022	$	(2,629	)

EUR — Euro

GBP — British Pound

JPY — Japanese Yen

RSD — Serbian Dinar

USD — United States Dollar

138

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks
Television	$	37,236	$	—	$	1,992	$	39,228
Other Industries*		13,495,599		—		—		13,495,599
Preferred Securities		28,011		—		—		28,011
Preferred Securities/Capital Securities		—		1,906,070		—		1,906,070
Asset Backed Securities		—		15,664,961		159,990		15,824,951
U.S. Corporate Bonds & Notes:
Recycling		—		—		0		0
Other Industries*		—		16,632,255		—		16,632,255
Foreign Corporate Bonds & Notes		—		2,911,512		—		2,911,512
Municipal Bond & Notes		—		886,540		—		886,540
U.S. Government Agencies:
Federal National Mtg. Assoc.		—		12,971,968		—		12,971,968
Government National Mtg. Assoc.		—		4,409,280		—		4,409,280
Other Government Agencies*		—		577,812		—		577,812
U.S. Government Treasuries:
United States Treasury Bonds		—		1,992,147		—		1,992,147
United States Treasury Notes		—		11,123,736		—		11,123,736
Foreign Government Obligations		—		1,394,539		—		1,394,539
Options-Purchased		—		3,013		—		3,013
Repurchase Agreements		—		8,586,000		—		8,586,000
Other Financial Instruments:+
Open Futures Contracts - Appreciation		45,018		—		—		45,018
Open Forward Foreign Currency
Contracts - Appreciation		—		19,022		—		19,022
Total	$	13,605,864	$	79,078,855	$	161,982	$	92,846,701
Liabilities:
Other Financial Instruments:+
Open Futures Contracts - Depreciation	$	27,229	$	—	$	—	$	27,229
Open Forward Foreign Currency
Contracts - Depreciation		—		2,629		—		2,629
Total	$	27,229	$	2,629	$	—	$	29,858

*  Sum of all other industries or government agencies each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry or government agency classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio

See Notes to Financial Statements

139

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Repurchase Agreements	7.0	%
Medical-Drugs	5.1
Diversified Banking Institutions	4.1
Real Estate Investment Trusts	2.8
Banks-Commercial	2.7
Oil-Field Services	2.7
Electric-Integrated	2.6
Oil Companies-Integrated	2.2
Telephone-Integrated	2.0
Medical-Biomedical/Gene	1.9
Oil Companies-Exploration & Production	1.8
Chemicals-Diversified	1.8
Federal National Mtg. Assoc.	1.7
Diversified Financial Services	1.7
Computers	1.6
Retail-Building Products	1.5
Aerospace/Defense	1.5
Finance-Credit Card	1.4
Computers-Memory Devices	1.4
Electronic Components-Semiconductors	1.3
United States Treasury Notes	1.3
Medical-HMO	1.3
Food-Misc./Diversified	1.2
Retail-Drug Store	1.2
Enterprise Software/Service	1.2
Cable/Satellite TV	1.2
Diversified Manufacturing Operations	1.2
Medical-Wholesale Drug Distribution	1.2
Airlines	1.1
Banks-Fiduciary	1.1
Tobacco	1.1
Banks-Super Regional	1.0
Insurance-Property/Casualty	0.9
Consumer Products-Misc.	0.9
Internet Security	0.8
Machinery-General Industrial	0.8
Auto/Truck Parts & Equipment-Original	0.8
Auto-Cars/Light Trucks	0.8
Hotels/Motels	0.7
Multimedia	0.7
Machinery-Construction & Mining	0.7
Insurance-Life/Health	0.7
Insurance Brokers	0.6
U.S. Government Treasuries	0.6
Insurance-Multi-line	0.6
Electronics-Military	0.6
Computer Services	0.6
Beverages-Non-alcoholic	0.6
E-Commerce/Products	0.6
Coatings/Paint	0.6
Real Estate Management/Services	0.6
Containers-Metal/Glass	0.5
Internet Content-Entertainment	0.5
Medical Products	0.5
Distribution/Wholesale	0.5
Cellular Telecom	0.5
Telecom Services	0.5
E-Commerce/Services	0.5
Retail-Regional Department Stores	0.5
Retail-Apparel/Shoe	0.5

Semiconductor Components-Integrated Circuits	0.4	%
Human Resources	0.4
Engines-Internal Combustion	0.4
Gas-Distribution	0.4
Internet Infrastructure Software	0.4
Cosmetics & Toiletries	0.4
Medical Instruments	0.4
Insurance-Reinsurance	0.4
Pipelines	0.4
Entertainment Software	0.4
Electric Products-Misc.	0.4
Industrial Automated/Robotic	0.4
Data Processing/Management	0.4
Building-Heavy Construction	0.4
Advertising Agencies	0.3
Web Portals/ISP	0.3
Electronic Components-Misc.	0.3
Motorcycle/Motor Scooter	0.3
Steel-Producers	0.3
Real Estate Operations & Development	0.3
Casino Hotels	0.3
United States Treasury Bonds	0.3
Electric-Generation	0.3
Broadcast Services/Program	0.3
Chemicals-Specialty	0.3
Brewery	0.2
Food-Retail	0.2
Apparel Manufacturers	0.2
Diversified Minerals	0.2
Finance-Consumer Loans	0.2
Building & Construction Products-Misc.	0.2
Television	0.2
Federal Home Loan Mtg. Corp.	0.2
Applications Software	0.2
Audio/Video Products	0.2
Consulting Services	0.2
Satellite Telecom	0.2
Commercial Services-Finance	0.2
Security Services	0.2
Containers-Paper/Plastic	0.2
Transport-Services	0.2
Engineering/R&D Services	0.2
Savings & Loans/Thrifts	0.2
Aerospace/Defense-Equipment	0.2
Retail-Restaurants	0.2
Exchange-Traded Funds	0.2
Paper & Related Products	0.2
Beverages-Wine/Spirits	0.2
Oil & Gas Drilling	0.2
Soap & Cleaning Preparation	0.2
Medical-Hospitals	0.1
Building-Residential/Commercial	0.1
Electric-Transmission	0.1
Commercial Services	0.1
Metal-Diversified	0.1
Retail-Automobile	0.1
Diversified Operations	0.1
Rubber-Tires	0.1
Semiconductor Equipment	0.1
Finance-Auto Loans	0.1

140

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Computers-Integrated Systems	0.1	%
Retail-Computer Equipment	0.1
Schools	0.1
Printing-Commercial	0.1
Internet Application Software	0.1
Transport-Truck	0.1
Metal Processors & Fabrication	0.1
Investment Companies	0.1
Diversified Operations/Commercial Services	0.1
Machinery-Electrical	0.1
Resorts/Theme Parks	0.1
Agricultural Chemicals	0.1
Diagnostic Kits	0.1
Chemicals-Plastics	0.1
Independent Power Producers	0.1
Retail-Jewelry	0.1
Bicycle Manufacturing	0.1
Building & Construction-Misc.	0.1
Wireless Equipment	0.1
Instruments-Controls	0.1
Investment Management/Advisor Services	0.1
Transport-Equipment & Leasing	0.1
Transport-Marine	0.1
Motion Pictures & Services	0.1
Food-Catering	0.1
Office Automation & Equipment	0.1
Footwear & Related Apparel	0.1
Water	0.1
Lighting Products & Systems	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Theaters	0.1
Oil Field Machinery & Equipment	0.1
Non-Hazardous Waste Disposal	0.1
Energy-Alternate Sources	0.1
Finance-Investment Banker/Broker	0.1
Steel-Specialty	0.1
Municipal Bonds	0.1
Computers-Periphery Equipment	0.1
Rental Auto/Equipment	0.1
Home Furnishings	0.1
Medical-Generic Drugs	0.1
Funeral Services & Related Items	0.1
Sovereign	0.1
Water Treatment Systems	0.1
Marine Services	0.1
Batteries/Battery Systems	0.1
Insurance-Mutual	0.1
Import/Export	0.1
Transport-Rail	0.1
Machine Tools & Related Products	0.1
Building-Maintenance & Services	0.1
Retail-Appliances	0.1
SupraNational Banks	0.1
Pharmacy Services	0.1
Radio	0.1
	101.0	%

*  Calculated as a percentage of net assets

141

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 79.8%
Advertising Agencies — 0.3%
Omnicom Group, Inc.		7,100	$	488,906
WPP PLC		2,319		46,617
				535,523
Advertising Services — 0.0%
Vertis, Inc.†(1)(16)		99		0
Aerospace/Defense — 1.5%
Embraer SA ADR		1,290		50,594
Northrop Grumman Corp.		6,900		909,144
Raytheon Co.		13,100		1,331,222
				2,290,960
Aerospace/Defense-Equipment — 0.2%
Airbus Group NV		1,084		68,211
Alliant Techsystems, Inc.		484		61,778
Astronics Corp.†		582		27,750
AviChina Industry & Technology Co., Ltd., Class H		24,000		17,123
Orbital Sciences Corp.†		1,868		51,930
				226,792
Agricultural Chemicals — 0.1%
Monsanto Co.		210		23,627
Syngenta AG		263		83,828
				107,455
Agricultural Operations — 0.0%
Andersons, Inc.		762		47,915
Chaoda Modern Agriculture Holdings, Ltd.†(1)(16)		10,000		644
Limoneira Co.		578		13,693
S&W Seed Co.†		2,097		8,891
				71,143
Airlines — 1.1%
Alaska Air Group, Inc.		12,700		552,958
ANA Holdings, Inc.		49,000		113,972
Delta Air Lines, Inc.		1,600		57,840
Hawaiian Holdings, Inc.†		3,224		43,363
Japan Airlines Co., Ltd.		400		10,942
Republic Airways Holdings, Inc.†		2,494		27,708
SkyWest, Inc.		1,728		13,444
Southwest Airlines Co.		22,800		769,956
Spirit Airlines, Inc.†		843		58,285
				1,648,468
Apparel Manufacturers — 0.2%
Hanesbrands, Inc.		3,000		322,320
Makalot Industrial Co Ltd.		8,000		40,632
				362,952
Applications Software — 0.2%
inContact, Inc.†		1,560		13,564
Microsoft Corp.		4,872		225,866
PTC, Inc.†		936		34,538
Verint Systems, Inc.†		603		33,533
				307,501
Athletic Footwear — 0.0%
adidas AG		666		49,841

Security Description	Shares		Value (Note 2)
Auction House/Art Dealers — 0.0%
KAR Auction Services, Inc.		1,711	$	48,986
Audio/Video Products — 0.2%
Panasonic Corp.		11,600		137,973
Skyworth Digital Holdings, Ltd.		50,000		25,950
Sony Corp.		1,900		34,492
TiVo, Inc.†		6,348		81,223
VOXX International Corp.†		1,462		13,597
				293,235
Auto-Cars/Light Trucks — 0.7%
Bayerische Motoren Werke AG		817		87,733
Daimler AG		414		31,756
Fuji Heavy Industries, Ltd.		5,600		185,143
General Motors Co.		6,800		217,192
Hyundai Motor Co.		480		86,653
Nissan Motor Co., Ltd.		2,200		21,443
Renault SA		1,040		75,333
Suzuki Motor Corp.		4,500		149,166
Toyota Motor Corp.		3,200		188,572
				1,042,991
Auto-Truck Trailers — 0.0%
Wabash National Corp.†		3,754		50,003
Auto/Truck Parts & Equipment-Original — 0.7%
Delphi Automotive PLC		815		49,992
Denso Corp.		1,300		59,918
Faurecia		509		16,278
Hota Industrial Manufacturing Co., Ltd		26,776		49,117
Hyundai Mobis†		385		93,764
JTEKT Corp.		800		13,378
Miller Industries, Inc.		1,252		21,159
Tenneco, Inc.†		454		23,749
Tower International, Inc.†		2,002		50,430
Valeo SA		934		103,942
WABCO Holdings, Inc.†		6,400		582,080
				1,063,807
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		1,621		31,609
Remy International, Inc.		1,028		21,105
Standard Motor Products, Inc.		1,820		62,663
				115,377
Banks-Commercial — 2.3%
Access National Corp.		977		15,857
Alpha Bank AE†		66,173		51,318
Australia & New Zealand Banking Group, Ltd.		2,880		77,967
Banco Bilbao Vizcaya Argentaria SA		7,922		95,566
Banco Bradesco SA ADR		5,246		74,755
Banco Santander SA†		12,647		121,577
Bank of Ireland†		96,934		37,954
Bank of Queensland, Ltd.		1,951		19,883
Bank of Yokohama, Ltd.		16,000		87,998
Bank Rakyat Indonesia Persero Tbk PT		43,400		37,131
Bankia SA†		43,228		80,698
Cardinal Financial Corp.		2,007		34,259
China Construction Bank Corp., Class H		135,000		94,754

142

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Citizens & Northern Corp.		1,271	$	24,149
City National Corp.		3,600		272,412
Commonwealth Bank of Australia		3,540		233,357
Compartamos SAB de CV		38,847		83,158
Credicorp, Ltd.		780		119,644
DBS Group Holdings, Ltd.		6,000		86,635
DNB ASA		573		10,729
Dubai Islamic Bank PJSC		66,282		149,782
East West Bancorp, Inc.		687		23,358
Erste Group Bank AG		201		4,604
Farmers Capital Bank Corp.†		890		20,052
Financial Institutions, Inc.		1,310		29,449
First Community Bancshares, Inc.		1,248		17,834
First NBC Bank Holding Co.		747		24,464
FirstMerit Corp.		1,546		27,210
FirstRand, Ltd.		9,663		36,844
Grupo Financiero Banorte SAB de CV, Class O		22,304		142,837
Hang Seng Bank, Ltd.		5,400		86,791
Hanmi Financial Corp.		2,603		52,476
Heartland Financial USA, Inc.		877		20,943
Industrial & Commercial Bank of China, Ltd., Class H		134,000		83,353
ING Groep NV CVA†		5,123		73,183
Itau Unibanco Holding SA ADR		8,643		119,965
Joyo Bank, Ltd.		14,000		68,931
MainSource Financial Group, Inc.		1,927		33,241
Metro Bank PLC(1)(14)		736		15,261
Mizuho Financial Group, Inc.		5,100		9,110
National Australia Bank, Ltd.		2,982		84,958
OFG Bancorp		1,197		17,931
PacWest Bancorp		1,024		42,219
Peoples Bancorp, Inc.		1,217		28,904
Philippine National Bank†		31,177		60,787
Popular, Inc.†		1,027		30,230
Republic Bancorp, Inc., Class A		793		18,786
Resona Holdings, Inc.		25,900		146,037
Skandinaviska Enskilda Banken AB, Class A		7,475		99,860
Sumitomo Mitsui Financial Group, Inc.		3,100		126,374
Swedbank AB, Class A		3,612		90,951
TSB Banking Group PLC†*		4,815		21,700
United Community Banks, Inc.		1,275		20,986
Westpac Banking Corp.		3,256		91,624
				3,580,836
Banks-Fiduciary — 1.0%
Bank of New York Mellon Corp.		17,000		658,410
State Street Corp.		12,400		912,764
				1,571,174
Banks-Super Regional — 1.0%
PNC Financial Services Group, Inc.		16,500		1,412,070
Wells Fargo & Co.		2,456		127,393
				1,539,463

Security Description	Shares		Value (Note 2)
Batteries/Battery Systems — 0.1%
EnerSys		1,394	$	81,744
Beverages-Non-alcoholic — 0.6%
Dr Pepper Snapple Group, Inc.		12,000		771,720
Suntory Beverage & Food, Ltd.		2,500		88,671
				860,391
Beverages-Wine/Spirits — 0.1%
Diageo PLC		2,543		73,588
Bicycle Manufacturing — 0.1%
Shimano, Inc.		1,300		158,122
Brewery — 0.2%
Anheuser-Busch InBev NV		1,744		194,107
Heineken Holding NV		1,301		86,056
SABMiller PLC†		1,244		69,133
				349,296
Broadcast Services/Program — 0.2%
Scripps Networks Interactive, Inc., Class A		3,300		257,697
Building & Construction Products-Misc. — 0.1%
Caesarstone Sdot-Yam, Ltd.		405		20,930
China Singyes Solar Technologies Holdings, Ltd.		19,000		33,670
Cie de St-Gobain		169		7,734
Geberit AG		247		79,893
Trex Co., Inc.†		1,335		46,151
				188,378
Building & Construction-Misc. — 0.1%
Koninklijke Boskalis Westminster NV		1,503		84,629
Pembangunan Perumahan Persero Tbk PT		264,200		46,617
Taisei Corp.		2,000		11,288
				142,534
Building Products-Air & Heating — 0.0%
Daikin Industries, Ltd.		300		18,595
Building Products-Cement — 0.0%
Cemex SAB de CV ADR†		4,028		52,525
Building Products-Doors & Windows — 0.0%
PGT, Inc.†		3,820		35,602
Building-Heavy Construction — 0.3%
China Railway Group, Ltd., Class H		119,000		63,141
Hyundai Engineering & Construction Co., Ltd.		1,251		71,486
Mota-Engil SGPS SA		16,112		104,071
Veidekke ASA†		1,649		16,619
Vinci SA		2,516		146,196
				401,513
Building-Maintenance & Services — 0.1%
Babcock International Group PLC		4,296		76,052
Building-Residential/Commercial — 0.0%
Bellway PLC		597		15,166
MRV Engenharia e Participacoes SA		10,024		33,621
Persimmon PLC		637		13,776
				62,563

143

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Cable/Satellite TV — 1.0%
Comcast Corp., Class A		27,800	$	1,495,084
Liberty Global PLC, Class C†		254		10,418
Numericable Group SA		208		11,100
				1,516,602
Casino Hotels — 0.1%
Century Casinos, Inc.†		2,611		13,394
Grand Korea Leisure Co., Ltd.		923		36,693
Melco Crown Entertainment, Ltd. ADR		600		15,774
MGM China Holdings, Ltd.		28,000		80,233
SJM Holdings, Ltd.		26,000		49,557
				195,651
Casino Services — 0.0%
Paradise Entertainment, Ltd.		64,000		24,562
Cellular Telecom — 0.3%
China Mobile, Ltd.		11,500		132,775
MTN Group, Ltd.		4,672		98,684
NTT DOCOMO, Inc.		5,300		88,458
SK Telecom Co., Ltd.†		350		96,186
Vodafone Group PLC		23,048		76,372
				492,475
Chemicals-Diversified — 1.7%
Aceto Corp.		878		16,963
BASF SE†		1,301		119,347
Croda International PLC		361		12,015
Dow Chemical Co.		25,400		1,331,976
Innophos Holdings, Inc.		675		37,186
Innospec, Inc.		860		30,874
LyondellBasell Industries NV, Class A		8,000		869,280
PTT Global Chemical PCL		22,900		43,081
Sasol, Ltd.		1,011		54,960
Solvay SA		176		27,098
Symrise AG		404		21,518
				2,564,298
Chemicals-Plastics — 0.1%
EMS-Chemie Holding AG		169		70,321
Landec Corp.†		5,540		67,865
				138,186
Chemicals-Specialty — 0.2%
Cabot Corp.		593		30,107
Chemtura Corp.†		2,111		49,250
Kraton Performance Polymers, Inc.†		924		16,456
Minerals Technologies, Inc.		388		23,944
OM Group, Inc.		2,118		54,962
Tronox, Ltd., Class A		1,025		26,701
Zep, Inc.		1,869		26,203
				227,623
Circuit Boards — 0.0%
Silergy Corp.		1,198		9,452
Coal — 0.0%
Adaro Energy Tbk PT		49,000		4,725

Security Description	Shares		Value (Note 2)
Coatings/Paint — 0.6%
Nippon Paint Co., Ltd.		3,000	$	67,426
Sherwin-Williams Co.		3,600		788,364
				855,790
Commercial Services — 0.1%
Live Nation Entertainment, Inc.†		2,822		67,784
Performant Financial Corp.†		5,224		42,210
PHH Corp.†		1,034		23,120
Providence Service Corp.†		1,354		65,507
Wirecard AG		328		12,120
				210,741
Commercial Services-Finance — 0.2%
Experian PLC		5,214		83,132
Global Cash Access Holdings, Inc.†		6,901		46,582
Green Dot Corp., Class A†		1,060		22,408
MasterCard, Inc., Class A		1,100		81,312
				233,434
Communications Software — 0.0%
SolarWinds, Inc.†		1,344		56,515
Computer Aided Design — 0.0%
Aspen Technology, Inc.†		981		37,003
Computer Services — 0.6%
CACI International, Inc., Class A†		759		54,094
Computer Sciences Corp.		11,200		684,880
Engility Holdings, Inc.		854		26,619
LivePerson, Inc.†		1,004		12,641
Manhattan Associates, Inc.†		2,098		70,115
Unisys Corp.†		1,235		28,911
				877,260
Computer Software — 0.0%
AVG Technologies NV		1,032		17,110
Cornerstone OnDemand, Inc.†		704		24,225
SS&C Technologies Holdings, Inc.†		625		27,431
				68,766
Computers — 1.6%
Apple, Inc.		24,222		2,440,367
Computers-Integrated Systems — 0.1%
Fujitsu, Ltd.		12,000		73,855
MTS Systems Corp.		278		18,976
NetScout Systems, Inc.†		729		33,388
NTT Data Corp.		1,100		39,617
VeriFone Systems, Inc.†		912		31,355
				197,191
Computers-Memory Devices — 1.4%
NetApp, Inc.		19,700		846,312
Nimble Storage, Inc.†		733		19,036
Quantum Corp.†		15,035		17,441
SanDisk Corp.		2,200		215,490
Western Digital Corp.		10,100		982,932
				2,081,211
Computers-Periphery Equipment — 0.1%
Lexmark International, Inc., Class A		630		26,775
Synaptics, Inc.†		1,053		77,080
				103,855

144

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Consulting Services — 0.2%
Bureau Veritas SA		2,494	$	55,110
Corporate Executive Board Co.		309		18,562
Leidos Holdings, Inc.		5,900		202,547
MAXIMUS, Inc.		415		16,654
				292,873
Consumer Products-Misc. — 0.9%
Kimberly-Clark Corp.		12,800		1,376,896
Containers-Metal/Glass — 0.5%
Ball Corp.		2,800		177,156
Crown Holdings, Inc.†		14,300		636,636
				813,792
Containers-Paper/Plastic — 0.1%
Amcor, Ltd.		6,809		67,545
Packaging Corp. of America		2,000		127,640
				195,185
Cosmetics & Toiletries — 0.4%
Colgate-Palmolive Co.		3,800		247,836
Coty, Inc., Class A		2,956		48,922
Kao Corp.		2,700		105,280
L'Oreal SA		489		77,636
Unilever NV CVA		1,991		79,289
				558,963
Data Processing/Management — 0.3%
Acxiom Corp.†		1,431		23,683
Amber Road, Inc.†		436		7,560
CommVault Systems, Inc.†		249		12,550
CSG Systems International, Inc.		455		11,957
Dun & Bradstreet Corp.		2,900		340,663
				396,413
Dental Supplies & Equipment — 0.0%
Align Technology, Inc.†		411		21,240
Diagnostic Equipment — 0.0%
GenMark Diagnostics, Inc.†		2,401		21,537
Diagnostic Kits — 0.1%
Alere, Inc.†		2,207		85,587
OraSure Technologies, Inc.†		8,650		62,453
Trinity Biotech PLC ADR		951		17,375
				165,415
Distribution/Wholesale — 0.5%
Core-Mark Holding Co., Inc.		1,058		56,116
Fourlis Holdings SA†		6,041		32,199
Genuine Parts Co.		6,200		543,802
MWI Veterinary Supply, Inc.†		254		37,694
WESCO International, Inc.†		627		49,069
Wolseley PLC		396		20,813
				739,693
Diversified Banking Institutions — 3.8%
Barclays PLC		17,563		64,760
BNP Paribas SA		1,346		89,287
Credit Agricole SA		8,648		130,474
Credit Suisse Group AG		1,808		50,129
Deutsche Bank AG		2,222		77,950

Security Description	Shares		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc.		9,300	$	1,707,201
HSBC Holdings PLC		24,750		251,213
JPMorgan Chase & Co.		35,789		2,155,929
Lloyds Banking Group PLC†		164,017		204,394
Mitsubishi UFJ Financial Group, Inc.		17,300		97,830
Morgan Stanley		21,100		729,427
Natixis		5,424		37,323
Societe Generale SA		318		16,235
UBS AG		6,781		118,332
UniCredit SpA		14,976		118,411
				5,848,895
Diversified Financial Services — 0.1%
CTBC Financial Holding Co., Ltd.		129,624		87,142
Diversified Manufacturing Operations — 1.1%
AZZ, Inc.		715		29,866
Chase Corp.		1,042		32,427
Danaher Corp.		11,200		850,976
Ingersoll-Rand PLC		4,800		270,528
Leggett & Platt, Inc.		5,500		192,060
LSB Industries, Inc.†		2,027		72,384
Siemens AG		1,918		228,614
Standex International Corp.		501		37,144
				1,713,999
Diversified Minerals — 0.2%
BHP Billiton PLC		2,928		81,407
BHP Billiton, Ltd.		4,354		129,117
Sumitomo Metal Mining Co., Ltd.		5,000		70,390
US Silica Holdings, Inc.		732		45,757
				326,671
Diversified Operations — 0.1%
Harbinger Group, Inc.†		5,101		66,925
Siam Cement PCL NVDR		3,600		49,961
Wendel SA		662		75,052
				191,938
Diversified Operations/Commercial Services — 0.1%
Bunzl PLC		3,066		80,024
Chemed Corp.		913		93,948
				173,972
Drug Delivery Systems — 0.0%
Nektar Therapeutics†		1,706		20,591
E-Commerce/Products — 0.6%
Alibaba Group Holding. Ltd. ADR†		1,652		146,780
Blue Nile, Inc.†		651		18,586
Chegg, Inc.†		2,836		17,697
eBay, Inc.†		11,700		662,571
Shutterfly, Inc.†		226		11,015
				856,649
E-Commerce/Services — 0.5%
Ctrip.com International, Ltd. ADR†		650		36,894
Expedia, Inc.		3,250		284,765
Groupon, Inc.†		1,892		12,639
Priceline Group, Inc.†		300		347,574
Rightmove PLC		319		11,129
				693,001

145

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Services/Consulting — 0.0%
Perficient, Inc.†		1,618	$	24,254
Electric Products-Misc. — 0.3%
AMETEK, Inc.		7,250		364,022
Brother Industries, Ltd.		5,300		98,051
Hitachi, Ltd.		1,000		7,636
				469,709
Electric-Generation — 0.1%
China Power New Energy Development Co., Ltd.†		840,000		53,008
China Resources Power Holdings Co., Ltd.		32,000		86,338
China WindPower Group, Ltd.†		890,000		71,064
				210,410
Electric-Integrated — 2.1%
CMS Energy Corp.		12,000		355,920
Edison International		10,100		564,792
Enel SpA†		19,424		103,090
Entergy Corp.		16,600		1,283,678
Korea Electric Power Corp.		1,129		51,568
Origin Energy, Ltd.		2,019		26,463
PG&E Corp.		2,800		126,112
PPL Corp.		19,300		633,812
Tenaga Nasional Bhd		12,500		47,173
				3,192,608
Electric-Transmission — 0.1%
Red Electrica Corp. SA		1,887		163,404
Electronic Components-Misc. — 0.3%
Casetek Holdings Ltd.		10,000		61,145
Gentex Corp.		5,600		149,912
Hoya Corp.		4,200		141,079
InvenSense, Inc.		802		15,823
Pegatron Corp.		24,000		44,182
Sparton Corp.†		1,035		25,513
Stoneridge, Inc.†		2,789		31,432
Toshiba Corp.		9,000		41,703
				510,789
Electronic Components-Semiconductors — 1.3%
Broadcom Corp., Class A		24,000		970,080
Cavium, Inc.†		309		15,367
CEVA, Inc.†		883		11,867
Fairchild Semiconductor International, Inc.†		1,119		17,378
Freescale Semiconductor, Ltd.†		1,407		27,479
GT Advanced Technologies, Inc.†		2,211		23,945
Inotera Memories, Inc.†		42,000		62,407
Integrated Silicon Solution, Inc.		3,736		51,333
Mellanox Technologies, Ltd.†		439		19,698
Microsemi Corp.†		705		17,914
Rovi Corp.†		1,589		31,375
Samsung Electronics Co., Ltd.		267		299,576
Semtech Corp.†		737		20,009
Silicon Image, Inc.†		4,626		23,315
SK Hynix, Inc.†		3,515		155,723

Security Description	Shares		Value (Note 2)
Electronic Components-Semiconductors (continued)
Xilinx, Inc.		6,700	$	283,745
				2,031,211
Electronic Design Automation — 0.0%
Mentor Graphics Corp.		3,354		68,740
Electronic Parts Distribution — 0.0%
Tech Data Corp.†		408		24,015
Electronic Security Devices — 0.0%
Tyco International, Ltd.		500		22,285
Electronics-Military — 0.6%
L-3 Communications Holdings, Inc.		7,000		832,440
Safran SA		876		56,848
				889,288
Energy-Alternate Sources — 0.1%
Beijing Jingneng Clean Energy Co Ltd		28,000		12,008
FutureFuel Corp.		3,252		38,666
Sao Martinho SA		3,690		59,245
				109,919
Engineering/R&D Services — 0.2%
ABB, Ltd.		4,449		100,099
Gaztransport Et Technigaz SA		264		15,619
JGC Corp.		3,000		81,896
Singapore Technologies Engineering, Ltd.		26,000		74,391
				272,005
Engines-Internal Combustion — 0.4%
Cummins, Inc.		4,800		633,504
Enterprise Software/Service — 1.2%
Oracle Corp.		43,550		1,667,094
Proofpoint, Inc.†		474		17,604
SAP SE		592		42,695
Tyler Technologies, Inc.†		497		43,935
Ultimate Software Group, Inc.†		350		49,529
				1,820,857
Entertainment Software — 0.4%
Activision Blizzard, Inc.		24,900		517,671
Electronic Arts, Inc.†		1,400		49,854
				567,525
Environmental Monitoring & Detection — 0.0%
MSA Safety, Inc.		420		20,748
Female Health Care Products — 0.0%
Asaleo Care, Ltd.†		6,855		11,464
Filtration/Separation Products — 0.0%
Polypore International, Inc.†		260		10,117
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		249		31,391
Finance-Consumer Loans — 0.2%
Encore Capital Group, Inc.†		1,320		58,489
Nelnet, Inc., Class A		1,419		61,145
Portfolio Recovery Associates, Inc.†		1,271		66,384
Regional Management Corp.		1,764		31,664

146

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Consumer Loans (continued)
Santander Consumer USA Holdings, Inc.		5,300	$	94,393
				312,075
Finance-Credit Card — 1.4%
Discover Financial Services		14,900		959,411
Visa, Inc., Class A		5,900		1,258,883
				2,218,294
Finance-Leasing Companies — 0.0%
MicroFinancial, Inc.		1,436		11,574
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		683		17,355
Federal Agricultural Mtg. Corp., Class C		887		28,508
				45,863
Finance-Other Services — 0.0%
WageWorks, Inc.†		823		37,471
Food-Catering — 0.1%
Compass Group PLC		7,918		127,913
Food-Confectionery — 0.0%
Ulker Biskuvi Sanayi AS		6,442		42,729
Food-Meat Products — 0.0%
WH Group, Ltd.†*		16,455		13,520
Food-Misc./Diversified — 1.2%
Associated British Foods PLC		2,826		122,735
Boulder Brands, Inc.†		562		7,660
Calbee, Inc.		3,900		127,659
Daesang Corp.		1,242		60,732
Kerry Group PLC, Class A		677		47,731
Mondelez International, Inc., Class A		28,600		979,979
Nestle SA		4,676		344,076
Pinnacle Foods, Inc.		1,167		38,102
Unilever PLC		1,533		64,243
				1,792,917
Food-Retail — 0.2%
Carrefour SA		2,667		82,395
Cia Brasileira de Distribuicao ADR		1,470		64,107
Distribuidora Internacional de Alimentacion SA		7,444		53,442
Koninklijke Ahold NV		6,307		102,125
Seven & I Holdings Co., Ltd.		200		7,757
WM Morrison Supermarkets PLC		935		2,551
Woolworths, Ltd.		1,533		45,957
				358,334
Food-Wholesale/Distribution — 0.0%
SpartanNash Co.		1,044		20,306
United Natural Foods, Inc.†		314		19,298
				39,604
Footwear & Related Apparel — 0.1%
Deckers Outdoor Corp.†		1,088		105,732
Steven Madden, Ltd.†		545		17,565
				123,297

Security Description	Shares		Value (Note 2)
Gas-Distribution — 0.4%
Centrica PLC		20,582	$	102,702
China Resources Gas Group, Ltd.		10,000		27,045
Tokyo Gas Co., Ltd.		27,000		151,771
UGI Corp.		10,950		373,286
				654,804
Home Furnishings — 0.1%
Select Comfort Corp.†		1,452		30,376
Steinhoff International Holdings, Ltd.		14,391		68,978
				99,354
Hotels/Motels — 0.7%
Dalata Hotel Group, Ltd.†		2,858		10,901
Hilton Worldwide Holdings, Inc.†		26,200		645,306
Home Inns & Hotels Management, Inc. ADR†		1,471		42,644
Marcus Corp.		2,227		35,187
Wyndham Worldwide Corp.		3,700		300,662
				1,034,700
Human Resources — 0.4%
Barrett Business Services, Inc.		487		19,232
Kforce, Inc.		2,067		40,451
Korn/Ferry International†		1,111		27,664
Manpowergroup, Inc.		5,900		413,590
On Assignment, Inc.†		1,659		44,544
Randstad Holding NV		553		25,746
TrueBlue, Inc.†		2,840		71,738
				642,965
Import/Export — 0.1%
ITOCHU Corp.		600		7,331
Marubeni Corp.		4,000		27,383
Mitsubishi Corp.		2,200		45,053
				79,767
Industrial Automated/Robotic — 0.4%
FANUC Corp.		800		144,500
Hollysys Automation Technologies, Ltd.†		3,335		75,004
Rockwell Automation, Inc.		3,000		329,640
				549,144
Instruments-Controls — 0.1%
Mettler-Toledo International, Inc.†		600		153,678
Instruments-Scientific — 0.0%
FEI Co.		350		26,397
Insurance Brokers — 0.6%
Aon PLC		11,100		973,137
Insurance-Life/Health — 0.6%
AIA Group, Ltd.		36,200		187,181
American Equity Investment Life Holding Co.		2,393		54,752
Cathay Financial Holding Co., Ltd.		47,557		77,465
Challenger, Ltd.		10,155		63,305
China Life Insurance Co., Ltd.		21,000		58,282
China Pacific Insurance Group Co., Ltd. Class H		12,000		42,190
CNO Financial Group, Inc.		2,486		42,163

147

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Life/Health (continued)
Legal & General Group PLC		24,310	$	90,210
Liberty Holdings, Ltd.†		4,574		49,953
Prudential PLC		6,929		154,565
St James's Place PLC		1,861		22,024
Symetra Financial Corp.		2,144		50,019
				892,109
Insurance-Multi-line — 0.4%
ACE, Ltd.		193		20,240
Ageas		2,545		84,492
Allianz SE		911		147,685
Assicurazioni Generali SpA		5,593		117,690
AXA SA		4,046		99,702
CNP Assurances		5,120		96,420
Genworth Financial, Inc., Class A†		7,470		97,857
				664,086
Insurance-Property/Casualty — 0.9%
Admiral Group PLC		619		12,875
Alleghany Corp.†		900		376,335
AmTrust Financial Services, Inc.		1,264		50,332
Chubb Corp.		8,100		737,748
Insurance Australia Group, Ltd.†		20,959		112,306
Intact Financial Corp.		150		9,712
Meritz Fire & Marine Insurance Co., Ltd.		2,872		35,653
ProAssurance Corp.		787		34,683
United Insurance Holdings Corp.		2,060		30,900
				1,400,544
Insurance-Reinsurance — 0.4%
Berkshire Hathaway, Inc., Class B†		800		110,512
Maiden Holdings, Ltd.		2,151		23,833
Muenchener Rueckversicherungs AG		329		65,054
PartnerRe, Ltd.		3,200		351,648
SCOR SE		340		10,622
				561,669
Internet Application Software — 0.1%
Intralinks Holdings, Inc.†		2,961		23,984
Tencent Holdings, Ltd.		10,400		154,429
Zynga, Inc., Class A†		3,385		9,140
				187,553
Internet Connectivity Services — 0.0%
Com Hem Holding AB†		2,692		19,604
Internet Content-Entertainment — 0.5%
Facebook, Inc., Class A†		10,400		822,016
Internet Content-Information/News — 0.0%
XO Group, Inc.†		1,075		12,051
Yelp, Inc.†		287		19,588
				31,639
Internet Incubators — 0.0%
Safeguard Scientifics, Inc.†		967		17,793
Internet Infrastructure Software — 0.4%
F5 Networks, Inc.†		5,200		617,448

Security Description	Shares		Value (Note 2)
Internet Security — 0.8%
Qihoo 360 Technology Co., Ltd. ADR†		160	$	10,795
Symantec Corp.		26,300		618,313
VeriSign, Inc.†		11,700		644,904
				1,274,012
Investment Companies — 0.1%
Exor SpA		1,345		52,221
Hercules Technology Growth Capital, Inc.		2,064		29,845
Investor AB, Class B		2,484		87,849
				169,915
Investment Management/Advisor Services — 0.1%
Altisource Portfolio Solutions SA†		379		38,203
Noah Holdings, Ltd.†		2,953		39,629
WisdomTree Investments, Inc.†		3,506		39,899
				117,731
Lasers-System/Components — 0.0%
II-VI, Inc.†		2,515		29,602
Leisure Products — 0.0%
Brunswick Corp.		1,210		50,989
Lighting Products & Systems — 0.1%
Lextar Electronics Corp		70,000		70,185
OSRAM Licht AG		1,264		47,089
				117,274
Linen Supply & Related Items — 0.0%
G&K Services, Inc., Class A		638		35,332
Machine Tools & Related Products — 0.1%
THK Co., Ltd.†		3,100		77,164
Machinery-Construction & Mining — 0.7%
Atlas Copco AB, Class A		4,664		133,793
Caterpillar, Inc.		6,200		613,986
Hyster-Yale Materials Handling, Inc.		397		28,433
Joy Global, Inc.		4,200		229,068
				1,005,280
Machinery-Electrical — 0.1%
Franklin Electric Co., Inc.		768		26,680
Mitsubishi Electric Corp.		11,000		146,483
				173,163
Machinery-General Industrial — 0.8%
Alstom SA†		445		15,221
Altra Industrial Motion Corp.		1,850		53,946
DXP Enterprises, Inc.†		334		24,609
IDEX Corp.		3,400		246,058
Kadant, Inc.		1,024		39,987
Middleby Corp.†		597		52,614
Rheinmetall AG		184		8,854
Roper Industries, Inc.		5,000		731,450
				1,172,739
Machinery-Material Handling — 0.0%
Daifuku Co., Ltd.		1,100		12,928
Marine Services — 0.1%
Ezion Holdings, Ltd.		59,680		84,676

148

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Information Systems — 0.0%
Computer Programs & Systems, Inc.		209	$	12,015
Medical Instruments — 0.4%
AtriCure, Inc.†		1,073		15,795
CHC Healthcare Group		10,000		22,551
CONMED Corp.		1,685		62,076
DexCom, Inc.†		479		19,155
Intuitive Surgical, Inc.†		1,000		461,820
Spectranetics Corp.†		832		22,106
				603,503
Medical Products — 0.5%
Accuray, Inc.†		2,368		17,192
Coloplast A/S, Class B		1,890		158,421
Globus Medical, Inc., Class A†		1,037		20,398
Greatbatch, Inc.†		1,369		58,333
Henry Schein, Inc.†		3,400		395,998
Hill-Rom Holdings, Inc.		1,209		50,089
West Pharmaceutical Services, Inc.		1,194		53,443
				753,874
Medical Sterilization Products — 0.0%
STERIS Corp.		543		29,300
Medical-Biomedical/Gene — 1.9%
Aegerion Pharmaceuticals, Inc.†		1,025		34,214
AMAG Pharmaceuticals, Inc.†		3,013		96,145
ARIAD Pharmaceuticals, Inc.†		5,211		28,139
Cambrex Corp.†		3,145		58,749
Celgene Corp.†		11,200		1,061,536
Charles River Laboratories International, Inc.†		2,400		143,376
China Biologic Products, Inc.†		896		48,348
Cubist Pharmaceuticals, Inc.†		1,078		71,515
Gilead Sciences, Inc.†		4,900		521,605
Inovio Pharmaceuticals, Inc.†		625		6,156
Isis Pharmaceuticals, Inc.†		712		27,647
Medicines Co.†		975		21,762
Merrimack Pharmaceuticals, Inc.		2,564		22,512
Myriad Genetics, Inc.†		2,700		104,139
NPS Pharmaceuticals, Inc.†		844		21,944
Puma Biotechnology, Inc.†		101		24,096
Repligen Corp.†		1,174		23,374
Retrophin, Inc.†		1,013		9,137
Sunesis Pharmaceuticals, Inc.†		834		5,955
United Therapeutics Corp.†		4,100		527,465
				2,857,814
Medical-Drugs — 5.1%
AbbVie, Inc.		16,400		947,264
ACADIA Pharmaceuticals, Inc.†		877		21,715
Actelion, Ltd.†		1,496		175,972
Alkermes PLC†		742		31,810
Array BioPharma, Inc.†		2,426		8,661
Astellas Pharma, Inc.		4,700		69,980
AstraZeneca PLC		3,082		221,915
Auxilium Pharmaceuticals, Inc.†		854		25,492
Bayer AG		1,596		223,555
BioSpecifics Technologies Corp.†		468		16,520

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Cardiome Pharma Corp.†		4,245	$	37,908
China Pioneer Pharma Holding, Inc.		85,000		67,323
Chugai Pharmaceutical Co., Ltd.		4,800		138,956
Conatus Pharmaceuticals, Inc.†		354		2,167
Eli Lilly & Co.		7,684		498,307
Enanta Pharmaceuticals, Inc.†		338		13,375
GlaxoSmithKline PLC		7,194		164,792
Grifols SA ADR		884		31,055
Hisamitsu Pharmaceutical Co., Inc.		1,200		43,109
Insys Therapeutics, Inc.†		1,461		56,658
Jazz Pharmaceuticals PLC†		1,438		230,885
Johnson & Johnson		19,887		2,119,755
Mallinckrodt PLC†		340		30,651
Merck & Co., Inc.		876		51,929
Novartis AG		1,933		182,529
Novo Nordisk A/S, Class B		2,629		125,795
Pfizer, Inc.		50,723		1,499,879
Prestige Brands Holdings, Inc.†		1,295		41,919
Receptos, Inc.†		322		19,999
Roche Holding AG		803		238,116
Sanofi		2,347		265,490
Shire PLC		1,270		109,943
Sucampo Pharmaceuticals, Inc., Class A†		1,690		10,985
Takeda Pharmaceutical Co., Ltd.		600		26,084
TESARO, Inc.†		476		12,814
Trevena, Inc.†		1,377		8,840
UCB SA		211		19,156
Valeant Pharmaceuticals International, Inc.†		100		13,120
				7,804,423
Medical-Generic Drugs — 0.1%
Actavis PLC†		151		36,433
Impax Laboratories, Inc.†		1,567		37,154
				73,587
Medical-HMO — 1.2%
Aetna, Inc.		9,600		777,600
Centene Corp.†		244		20,181
Health Net, Inc.†		2,974		137,131
Triple-S Management Corp., Class B†		673		13,393
WellPoint, Inc.		7,600		909,112
				1,857,417
Medical-Hospitals — 0.0%
Community Health Systems, Inc.†		1,210		66,296
Medical-Nursing Homes — 0.0%
Kindred Healthcare, Inc.		1,594		30,924
Medical-Outpatient/Home Medical — 0.0%
Amedisys, Inc.†		1,142		23,034
Amsurg Corp.†		843		42,192
				65,226
Medical-Wholesale Drug Distribution — 1.2%
Cardinal Health, Inc.		8,700		651,804
McKesson Corp.		5,700		1,109,619
Suzuken Co., Ltd.		900		25,931
				1,787,354

149

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Metal Processors & Fabrication — 0.1%
Assa Abloy AB, Class B		667	$	34,441
LB Foster Co., Class A		675		31,010
NN, Inc.		2,582		68,991
NSK, Ltd.		1,000		14,233
Sung Kwang Bend Co., Ltd.		1,954		33,793
				182,468
Metal-Copper — 0.0%
Antofagasta PLC		4,473		52,283
Metal-Diversified — 0.1%
Glencore PLC		15,094		83,980
MMC Norilsk Nickel OJSC ADR		2,681		50,000
Rio Tinto PLC		1,487		73,079
				207,059
Metal-Iron — 0.0%
Fortescue Metals Group, Ltd.		1,595		4,860
Motion Pictures & Services — 0.1%
CJ CGV Co., Ltd.†		1,096		55,566
Lions Gate Entertainment Corp.		2,201		72,567
				128,133
Motorcycle/Motor Scooter — 0.3%
Harley-Davidson, Inc.		7,800		453,960
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		870		39,176
Multimedia — 0.6%
Demand Media, Inc.†		355		3,142
Naspers, Ltd., Class N		750		82,759
Quebecor, Inc., Class B		800		20,101
Viacom, Inc., Class B		9,900		761,706
				867,708
Networking Products — 0.0%
Anixter International, Inc.		553		46,916
Extreme Networks, Inc.†		4,401		21,081
				67,997
Non-Ferrous Metals — 0.0%
Horsehead Holding Corp.†		3,372		55,739
Non-Hazardous Waste Disposal — 0.1%
China Water Affairs Group, Ltd.		200,000		88,862
Office Automation & Equipment — 0.1%
Canon, Inc.		2,700		87,899
Pitney Bowes, Inc.		1,583		39,559
				127,458
Oil Companies-Exploration & Production — 1.3%
BG Group PLC		5,238		96,804
Cabot Oil & Gas Corp.		7,500		245,175
Callon Petroleum Co.†		7,463		65,749
Encana Corp.		1,716		36,436
EOG Resources, Inc.		8,500		841,670
EP Energy Corp.†		2,708		47,336
Genel Energy PLC†		4,768		65,084
Gulfport Energy Corp.†		392		20,933
Kodiak Oil & Gas Corp.†		2,471		33,531
Lone Pine Resources Canada, Ltd.†(1)(16)		1,247		1,235

Security Description			Shares		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Lone Pine Resources, Inc., Class A†(1)(16)				1,247	$	62
Rosetta Resources, Inc.†				380		16,933
Stone Energy Corp.†				1,191		37,350
Unit Corp.†				596		34,955
VAALCO Energy, Inc.†				3,233		27,481
W&T Offshore, Inc.				1,057		11,627
Woodside Petroleum, Ltd.				2,131		75,751
WPX Energy, Inc.				13,700		329,622
						1,987,734
Oil Companies-Integrated — 1.9%
BP	PL	C		27,495		202,119
Eni SpA				4,494		107,109
Exxon Mobil Corp.				17,693		1,664,026
Lukoil OAO ADR				1,369		69,819
Petroleo Brasileiro SA ADR				2,831		40,172
Royal Dutch Shell PLC, Class A (Euronext)				1,652		63,275
Royal Dutch Shell PLC, Class A (BATs)				4,886		186,815
Royal Dutch Shell PLC, Class B				4,067		160,677
Statoil ASA				5,386		146,874
Suncor Energy, Inc.				673		24,355
Total SA				2,927		190,208
						2,855,449
Oil Field Machinery & Equipment — 0.1%
Dril-Quip, Inc.†				1,100		98,340
Oil Refining & Marketing — 0.0%
Delek US Holdings, Inc.				2,098		69,486
Oil-Field Services — 2.6%
AMEC PLC				5,250		93,962
Baker Hughes, Inc.				7,500		487,950
Halliburton Co.				11,945		770,572
Key Energy Services, Inc.†				4,702		22,758
Oceaneering International, Inc.				2,300		149,891
Oil States International, Inc.†				1,400		86,660
Schlumberger, Ltd.				17,300		1,759,237
SPT Energy Group, Inc.				24,000		8,376
Superior Energy Services, Inc.				19,400		637,678
						4,017,084
Optical Supplies — 0.0%
Luxottica Group SpA				434		22,595
STAAR Surgical Co.†				2,957		31,433
						54,028
Paper & Related Products — 0.1%
Domtar Corp.				490		17,214
KapStone Paper and Packaging Corp.†				2,099		58,709
UPM-Kymmene Oyj				5,045		72,068
						147,991
Patient Monitoring Equipment — 0.0%
Insulet Corp.†				760		28,006
Photo Equipment & Supplies — 0.0%
Konica Minolta, Inc.				3,100		33,466
Physical Therapy/Rehabilitation Centers — 0.0%
HealthSouth Corp.				278		10,258

150

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Pipelines — 0.1%
Kinder Morgan, Inc.		2,500	$	95,850
Power Converter/Supply Equipment — 0.0%
Advanced Energy Industries, Inc.†		883		16,592
Generac Holdings, Inc.†		687		27,851
				44,443
Printing-Commercial — 0.1%
Deluxe Corp.		1,838		101,384
Ennis, Inc.		1,535		20,216
Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA		4,337		67,861
				189,461
Private Equity — 0.0%
Eurazeo SA		267		19,216
KKR & Co. LP		800		17,840
				37,056
Racetracks — 0.0%
Penn National Gaming, Inc.†		3,576		40,087
Real Estate Investment Trusts — 2.5%
AG Mtg. Investment Trust, Inc.		603		10,733
Agree Realty Corp.		1,038		28,420
ARMOUR Residential REIT, Inc.		3,219		12,393
Ashford Hospitality Prime, Inc.		759		11,560
Ashford Hospitality Trust, Inc.		3,786		38,693
AvalonBay Communities, Inc.		5,200		733,044
CBL & Associates Properties, Inc.		1,343		24,040
CYS Investments, Inc.		1,900		15,656
Dexus Property Group		76,438		74,287
Education Realty Trust, Inc.		5,325		54,741
EPR Properties		561		28,431
Essex Property Trust, Inc.		3,900		697,125
Federal Realty Investment Trust		1,600		189,536
First Industrial Realty Trust, Inc.		1,218		20,596
Geo Group, Inc.		428		16,358
GPT Group		23,657		80,159
Hammerson PLC		6,045		56,300
Hibernia REIT PLC†		23,592		34,268
Invesco Mtg. Capital, Inc.		987		15,516
Investors Real Estate Trust		2,743		21,121
iStar Financial, Inc.†		2,273		30,686
Kilroy Realty Corp.		1,600		95,104
Lexington Realty Trust		5,188		50,791
LTC Properties, Inc.		1,474		54,376
MFA Financial, Inc.		3,234		25,161
National Health Investors, Inc.		781		44,626
Omega Healthcare Investors, Inc.		670		22,907
One Liberty Properties, Inc.		1,331		26,926
PS Business Parks, Inc.		750		57,105
Public Storage		4,300		713,112
Ramco-Gershenson Properties Trust		1,523		24,749
Rayonier, Inc.		2,500		77,850
Scentre Group†		7,556		21,699
Select Income REIT		978		23,521

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Shopping Centres Australasia Property Group		5,966	$	8,776
Sovran Self Storage, Inc.		243		18,069
Starwood Property Trust, Inc.		756		16,602
Starwood Waypoint Residential Trust		152		3,954
Summit Hotel Properties, Inc.		3,385		36,490
Two Harbors Investment Corp.		32,900		318,143
Universal Health Realty Income Trust		350		14,588
Westfield Corp.†		6,065		39,561
				3,887,773
Real Estate Management/Services — 0.5%
CBRE Group, Inc., Class A†		17,400		517,476
Chailease Holding Co., Ltd.		32,500		78,954
HFF, Inc., Class A		2,442		70,696
Mitsubishi Estate Co., Ltd.		1,000		22,508
Regus PLC		12,722		34,999
				724,633
Real Estate Operations & Development — 0.3%
Bekasi Fajar Industrial Estate Tbk PT		898,100		43,118
CSI Properties, Ltd.		290,000		12,138
Emaar Properties pjsc		16,694		52,496
Hongkong Land Holdings, Ltd.		1,000		6,800
Sun Hung Kai Properties, Ltd.		1,000		14,179
Surya Semesta Internusa Tbk PT		1,225,700		74,437
Tokyo Tatemono Co., Ltd.		13,000		105,138
Wheelock & Co., Ltd.		21,000		100,472
				408,778
Research & Development — 0.0%
WuXi PharmaTech Cayman, Inc. ADR†		2,042		71,511
Resorts/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		640		40,583
SeaWorld Entertainment, Inc.		2,527		48,594
Six Flags Entertainment Corp.		677		23,282
Vail Resorts, Inc.		224		19,434
				131,893
Retail-Apparel/Shoe — 0.4%
ANN, Inc.†		1,333		54,826
Ascena Retail Group, Inc.†		1,166		15,508
Brown Shoe Co., Inc.		711		19,289
Gap, Inc.		7,300		304,337
Genesco, Inc.†		291		21,752
Kate Spade & Co.†		626		16,420
Next PLC		1,661		177,855
Zalando SE†*		68		1,847
				611,834
Retail-Appliances — 0.1%
Conn's, Inc.†		2,506		75,857
Retail-Automobile — 0.1%
China ZhengTong Auto Service Holdings, Ltd.		127,000		74,418
Kolao Holdings		3,471		55,260
Sonic Automotive, Inc., Class A		1,692		41,471
				171,149

151

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Bookstores — 0.0%
WH Smith PLC		818	$	14,362
Retail-Building Products — 1.5%
Home Depot, Inc.		16,800		1,541,232
Kingfisher PLC		1,672		8,780
Lowe's Cos., Inc.		15,800		836,136
				2,386,148
Retail-Computer Equipment — 0.1%
GameStop Corp., Class A		4,900		201,880
Retail-Discount — 0.0%
Big Lots, Inc.		1,217		52,392
HSN, Inc.		293		17,981
				70,373
Retail-Drug Store — 1.1%
CVS Health Corp.		21,500		1,711,185
Retail-Hypermarkets — 0.0%
Lenta, Ltd. GDR†*(2)		1,429		15,247
Puregold Price Club, Inc.		8,700		6,727
				21,974
Retail-Jewelry — 0.1%
Cie Financiere Richemont SA		1,024		84,037
Swatch Group AG		125		59,456
				143,493
Retail-Major Department Stores — 0.0%
PT Mitra Adiperkasa Tbk		35,500		16,024
Retail-Misc./Diversified — 0.0%
Folli Follie SA		1,083		40,284
Retail-Regional Department Stores — 0.4%
Far Eastern Department Stores Co., Ltd.		48,000		46,312
Macy's, Inc.		8,500		494,530
				540,842
Retail-Restaurants — 0.1%
Bloomin' Brands, Inc.		1,314		24,099
Krispy Kreme Doughnuts, Inc.†		1,475		25,311
Papa John's International, Inc.		1,024		40,950
Popeyes Louisiana Kitchen, Inc.†		816		33,048
				123,408
Retail-Sporting Goods — 0.0%
Sports Direct International PLC†		1,886		18,911
Retail-Vitamins & Nutrition Supplements — 0.0%
GNC Holdings, Inc., Class A		1,799		69,693
Rubber-Tires — 0.1%
Continental AG		791		150,510
Cooper Tire & Rubber Co.		2,262		64,920
				215,430
Satellite Telecom — 0.1%
EchoStar Corp., Class A†		1,518		74,018
Iridium Communications, Inc.†		2,734		24,196
Loral Space & Communications, Inc.†		513		36,838
				135,052

Security Description	Shares		Value (Note 2)
Savings & Loans/Thrifts — 0.2%
BofI Holding, Inc.†		640	$	46,534
First Niagara Financial Group, Inc.		15,500		129,115
Flushing Financial Corp.		1,269		23,184
Heritage Financial Group, Inc.		1,077		21,745
Meta Financial Group, Inc.		703		24,788
Pacific Premier Bancorp, Inc.†		1,200		16,860
				262,226
Schools — 0.1%
Bright Horizons Family Solutions, Inc.†		912		38,359
Estacio Participacoes SA†		7,402		76,931
Grand Canyon Education, Inc.†		325		13,250
ITT Educational Services, Inc.†		792		3,398
Kroton Educacional SA		7,340		46,119
New Oriental Education & Technology Group ADR†		1,000		23,200
				201,257
Schools-Day Care — 0.0%
Affinity Education Group, Ltd.†		5,224		5,969
G8 Education, Ltd.		5,187		23,252
				29,221
Security Services — 0.2%
ADT Corp.		7,200		255,312
Ascent Capital Group, Inc., Class A†		148		8,910
				264,222
Semiconductor Components-Integrated Circuits — 0.4%
Advanced Semiconductor Engineering, Inc.		78,000		90,771
Cirrus Logic, Inc.†		891		18,577
Marvell Technology Group, Ltd.		28,000		377,440
Power Integrations, Inc.		468		25,230
Powertech Technology, Inc.		28,000		50,625
Taiwan Semiconductor Manufacturing Co., Ltd.†		31,039		122,444
				685,087
Semiconductor Equipment — 0.1%
ASML Holding NV (Euronext Amsterdam)		1,131		112,595
Entegris, Inc.†		3,024		34,776
Photronics, Inc.†		2,873		23,128
Ultra Clean Holdings, Inc.†		4,567		40,874
				211,373
Soap & Cleaning Preparation — 0.1%
Reckitt Benckiser Group PLC		897		77,798
Steel-Producers — 0.2%
ArcelorMittal		5,672		78,088
Reliance Steel & Aluminum Co.		1,700		116,280
ThyssenKrupp AG†		4,843		127,080
Voestalpine AG		530		20,953
Yamato Kogyo Co., Ltd.		300		10,011
				352,412
Steel-Specialty — 0.1%
Hitachi Metals, Ltd.		6,000		108,101

152

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Storage/Warehousing — 0.0%
Sumitomo Warehouse Co., Ltd.		3,000	$	15,838
SupraNational Banks — 0.1%
Banco Latinoamericano de Comercio Exterior SA, Class E		2,376		72,896
Telecom Services — 0.4%
Allot Communications, Ltd.†		924		10,552
Amdocs, Ltd.		7,500		344,100
Inteliquent, Inc.		1,519		18,912
NeuStar, Inc., Class A†		1,129		28,033
Spark New Zealand, Ltd.		4,759		11,034
Spok Holdings, Inc.		1,479		19,242
Tele2 AB, Class B		2,947		35,592
Telenor ASA		3,518		77,207
Vivendi SA		370		8,935
Ziggo NV		651		30,497
				584,104
Telecommunication Equipment — 0.0%
Alcatel-Lucent†		9,039		28,051
ARRIS Group, Inc.†		560		15,879
Plantronics, Inc.		245		11,706
ShoreTel, Inc.†		1,703		11,325
				66,961
Telephone-Integrated — 1.7%
BT Group PLC		19,856		122,192
Deutsche Telekom AG		6,348		96,214
Frontier Communications Corp.		6,638		43,214
IDT Corp., Class B		1,035		16,622
Nippon Telegraph & Telephone Corp.		100		6,219
Orange SA		5,697		85,664
SoftBank Corp.		2,000		140,214
Telecom Italia SpA RSP		30,697		27,276
Telefonica SA		5,403		83,631
Telstra Corp., Ltd.		23,430		108,725
Verizon Communications, Inc.		36,282		1,813,737
				2,543,708
Television — 0.1%
Atresmedia Corp. de Medios de Comunicacion SA†		1,838		27,974
ITV PLC		36,020		121,343
Mediaset SpA†		3,055		11,730
Sinclair Broadcast Group, Inc., Class A		680		17,741
TVN SA†		6,605		31,244
				210,032
Theaters — 0.1%
Carmike Cinemas, Inc.†		368		11,401
National CineMedia, Inc.		4,353		63,162
				74,563
Therapeutics — 0.0%
Threshold Pharmaceuticals, Inc.†		2,790		10,072
Tobacco — 1.0%
British American Tobacco PLC		1,825		103,019
Japan Tobacco, Inc.		2,200		71,551

Security Description	Shares		Value (Note 2)
Tobacco (continued)
Philip Morris International, Inc.		16,080	$	1,341,072
				1,515,642
Transactional Software — 0.0%
Bottomline Technologies de, Inc.†		381		10,512
InnerWorkings, Inc.†		4,522		36,583
				47,095
Transport-Equipment & Leasing — 0.1%
Greenbrier Cos., Inc.		1,878		137,808
Transport-Marine — 0.1%
Aegean Marine Petroleum Network, Inc. ADR		4,789		43,915
Diana Shipping, Inc.†		2,071		18,515
StealthGas, Inc.†		7,745		70,557
				132,987
Transport-Services — 0.2%
ComfortDelGro Corp., Ltd.		41,000		77,134
Deutsche Post AG		4,202		134,753
Matson, Inc.		444		11,113
Universal Truckload Services, Inc.		150		3,638
XPO Logistics, Inc.†		1,222		46,033
				272,671
Transport-Truck — 0.1%
Quality Distribution, Inc.†		6,176		78,929
Swift Transportation Co.†		4,167		87,424
				166,353
Travel Services — 0.0%
Thomas Cook Group PLC†		15,103		29,136
TUI Travel PLC		5,953		37,551
				66,687
Vitamins & Nutrition Products — 0.0%
Nutraceutical International Corp.†		719		15,034
USANA Health Sciences, Inc.†		259		19,078
				34,112
Water — 0.1%
United Utilities Group PLC		6,941		90,919
Veolia Environnement SA		1,545		27,281
				118,200
Water Treatment Systems — 0.1%
Coway Co., Ltd.†		251		20,052
Sound Global, Ltd.†		65,000		65,043
				85,095
Web Hosting/Design — 0.0%
NIC, Inc.		1,845		31,771
Web Portals/ISP — 0.3%
AOL, Inc.†		585		26,296
Baidu, Inc. ADR†		270		58,922
Google, Inc., Class A†		421		247,720
Google, Inc., Class C†		25		14,434
MeetMe, Inc.†		6,775		13,347
NAVER Corp.		53		40,532
United Internet AG		1,760		74,903
Yandex NV, Class A†		2,064		57,369
				533,523

153

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares/ Principal Amount(10)		Value (Note 2)
COMMON STOCKS (continued)
Wireless Equipment — 0.1%
Aruba Networks, Inc.†		596	$	12,862
CalAmp Corp.†		1,863		32,826
RF Micro Devices, Inc.†		6,539		75,460
Ruckus Wireless, Inc.		1,564		20,895
Ubiquiti Networks, Inc.		320		12,009
				154,052
Total Common Stocks (cost $104,868,780)				123,237,254
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Aerospace/Defense-Equipment — 0.0%
United Technologies Corp. 7.50%		300		17,667
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings, Inc. Series P Escrow Security 7.25%†(16)		26		0
Real Estate Investment Trusts — 0.0%
EPR Properties 5.75%		995		21,920
Total Convertible Preferred Securities (cost $57,652)				39,587
PREFERRED SECURITIES — 0.3%
Banks-Commercial — 0.0%
HSBC USA, Inc. FRS Series F 3.50%		1,960		42,944
Building-Residential/Commercial — 0.0%
M/I Homes, Inc. Series A 9.75%		437		11,209
Diversified Banking Institutions — 0.1%
Citigroup, Inc. FRS Series K 6.88%		6,874		181,061
GMAC Capital Trust I FRS Series 2 8.13%		580		15,434
				196,495
Electronic Measurement Instruments — 0.0%
Sartorius AG		132		14,922
Finance-Auto Loans — 0.0%
Ally Financial, Inc. Series G 7.00%*(16)		33		33,031
Oil Companies-Integrated — 0.1%
Petroleo Brasileiro SA ADR		3,862		57,505
Soap & Cleaning Preparation — 0.1%
Henkel AG & Co. KGaA		474		47,332
Telephone-Integrated — 0.0%
Verizon Communications, Inc. 5.90%		800		20,864
Total Preferred Securities (cost $429,576)				424,302

Security Description	Principal Amount(10)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5%
Banks-Fiduciary — 0.1%
State Street Capital Trust IV FRS 1.23% due 06/01/2077	$	105,000	$	89,512
Banks-Money Center — 0.0%
BBVA International Preferred SAU FRS 5.92% due 04/18/2017(3)		15,000		15,281
Banks-Super Regional — 0.0%
Fifth Third Bancorp FRS 5.10% due 06/30/2023(3)		9,000		8,483
Diversified Banking Institutions — 0.1%
Citigroup, Inc. FRS 5.90% due 02/15/2023(3)		38,000		36,955
JP Morgan Chase Capital XXIII FRS 1.23% due 05/15/2077		138,000		111,780
Lloyds Banking Group PLC FRS 6.66% due 05/21/2037*(3)		30,000		32,400
				181,135
Diversified Financial Services — 0.1%
GE Capital Trust I FRS 6.38% due 11/15/2067		90,000		97,200
Electric-Integrated — 0.1%
Puget Sound Energy, Inc. FRS 6.97% due 06/01/2067		40,000		41,933
Wisconsin Energy Corp. FRS 6.25% due 05/15/2067		50,000		51,750
				93,683
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.20% due 03/15/2044		37,000		37,254
Insurance-Multi-line — 0.1%
Genworth Holdings, Inc. FRS 6.15% due 11/15/2066		55,000		48,400
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		50,000		58,625
MetLife, Inc. 6.40% due 12/15/2066		45,000		50,175
				157,200
Insurance-Mutual — 0.0%
Liberty Mutual Group, Inc. FRS 7.00% due 03/07/2067*		10,000		10,600
Pipelines — 0.0%
TransCanada Pipelines, Ltd. FRS 6.35% due 05/15/2067		60,000		61,950
Total Preferred Securities/Capital Securities (cost $692,211)				752,298
ASSET BACKED SECURITIES — 1.4%
Diversified Financial Services — 1.4%
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.03% due 11/10/2042*(4)(5)		2,307,984		25

154

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.47% due 11/10/2041*(4)(5)(16)	$	177,424	$	760
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class A4 5.16% due 11/10/2042(4)		37,009		36,994
Banc of America Commercial Mtg. Trust VRS Series 2005-5, Class B 5.21% due 10/10/2045(4)		100,000		103,019
Banc of America Commercial Mtg. Trust Series 2006-5, Class A3 5.39% due 09/10/2047(4)		18,000		18,159
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD4, Class XC 0.37% due 12/11/2049*(4)(5)(16)		1,044,201		7,898
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.51% due 12/10/2046*(4)(5)(16)		2,349,140		23,846
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.21% due 05/10/2047(4)(5)		467,860		36,064
Countrywide Alternative Loan Trust Series 2005-28CB, Class 2A7 5.75% due 08/25/2035(6)		38,995		35,992
Countrywide Alternative Loan Trust Series 2006-11CB, Class 1A2 6.00% due 05/25/2036(6)		36,368		31,004
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 1.77% due 05/15/2038*(4)(5)(16)		32,325		1
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2005-C6, Class AJ 5.23% due 12/15/2040(4)		28,000		29,036
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.62% due 02/15/2040*(4)(5)(16)		587,491		4,634
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.77% due 09/15/2039*(4)(5)(16)		380,580		3,634
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C2, Class A2 5.45% due 01/15/2049(4)		333		330
GE Capital Commercial Mtg. Corp. VRS Series 2005-C3, Class XC 0.14% due 07/10/2045*(4)(5)		5,995,833		5,468
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 0.60% due 05/10/2043*(4)(5)		1,329,882		2,938

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
GMAC Commercial Mtg. Securities, Inc. VRS Series 1997-C1, Class X 1.37% due 07/15/2029(4)(5)	$	134,359	$	4,466
GMAC Commercial Mtg. Securities, Inc. VRS Series 2004-C2, Class A4 5.30% due 08/10/2038(4)		282		282
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.74% due 02/10/2046(4)(5)		975,361		97,094
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(4)		22,000		21,685
GS Mtg. Securities Corp. II VRS Series 2005-GG4, Class B 4.84% due 07/10/2039(4)		66,000		66,760
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.35% due 09/12/2037*(4)(5)(16)		1,284,801		2,564
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C13, Class D 4.19% due 01/15/2046*(4)(16)		45,000		41,421
JP Morgan Chase Commercial Mtg. Securities Trust VRS JPMCC 2013-C13 C 4.19% due 01/15/2046(4)		62,000		61,035
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C10, Class C 4.30% due 12/15/2047(4)		51,000		50,889
JP Morgan Chase Commercial Mtg. Securities Trust Series 2004-LN2, Class A2 5.12% due 07/15/2041(4)		6,083		6,124
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-LDP1, Class B 5.23% due 03/15/2046(4)		158,000		159,393
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.38% due 05/15/2045(4)		21,000		22,737
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2006-LDP8, Class AJ 5.48% due 05/15/2045(4)		75,000		79,323
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-LD11, Class A2 5.77% due 06/15/2049(4)		713		719
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2003-CB6, Class E 5.85% due 07/12/2037*(4)(16)		140,000		145,778

155

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-LD12, Class A3 5.93% due 02/15/2051(4)	$	5,136	$	5,149
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C12, Class D Series C12, Class D 4.22% due 07/15/2045(4)		15,000		13,854
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.37% due 11/15/2040*(4)(5)		3,449,999		5,686
LB-UBS Commercial Mtg. Trust VRS Series 2005-C2, Class XCL 0.47% due 04/15/2040*(4)(5)(16)		2,550,160		2,930
LB-UBS Commercial Mtg. Trust VRS Series 2004-C6, Class E 5.18% due 08/15/2036(4)		10,642		10,665
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class C 5.35% due 11/15/2040(4)		50,000		51,455
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.32% due 04/15/2041(4)		69,000		76,434
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.57% due 06/12/2043*(4)(5)(16)		1,421,637		3,040
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 6.46% due 07/15/2045*(2)(4)(5)(16)		161,451		16,161
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 6.53% due 05/15/2044*(2)(4)(5)(16)		115,061		6,317
ML-CFC Commercial Mtg. Trust VRS Series 2006-3, Class AM 5.46% due 07/12/2046(4)		33,000		35,331
ML-CFC Commercial Mtg. Trust VRS Series 2006-1, Class AJ 5.57% due 02/12/2039(4)		58,000		60,345
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class XA 1.45% due 08/15/2047(4)(5)		122,923		9,938
Morgan Stanley Bank of America Merrill Lynch Trust VRS MSBAM 2013-C11 D 4.56% due 08/15/2046*(4)(16)		57,000		52,779
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C11, Class C 4.56% due 08/15/2046(4)		64,000		64,697
Morgan Stanley Capital I Trust Series 2005-IQ9, Class B 4.86% due 07/15/2056(4)		130,000		135,639
Morgan Stanley Capital I Trust Series 2007-HQ11, Class A31 5.44% due 02/12/2044(4)		13,045		13,072

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Capital I Trust VRS Series 2007-HQ12, Class A2FX 5.59% due 04/12/2049(4)	$	30,339	$	30,749
Morgan Stanley Re-REMIC Trust VRS Series 2010-C30A, Class A3B 5.25% due 12/17/2043*(4)		27,650		27,997
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC 0.48% due 04/15/2042*(4)(5)(16)		3,628,446		3,378
WaMu Mtg. Pass Through Certs. FRS Series 2005-AR9, Class A1B 0.53% due 07/25/2045(6)		42,431		39,306
WaMu Mtg. Pass-Through Certs. FRS Series 2004-AR12, Class A2B 0.65% due 10/25/2044(6)		69,977		64,485
Wells Fargo Commercial Mtg. Trust VRS Series 2013-LC12, Class D 4.44% due 07/15/2046*(4)(16)		59,000		54,408
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.64% due 03/15/2045*(4)(5)(16)		265,394		20,123
WF-RBS Commercial Mtg. Trust VRS Series 2013-C12, Class XA 1.64% due 03/15/2048*(4)(5)(16)		615,418		51,588
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.95% due 12/15/2045*(4)(5)(16)		299,669		30,284
WF-RBS Commercial Mtg. Trust VRS Series 2011-C5, Class XA 2.17% due 11/15/2044*(4)(5)(16)		750,978		69,774
WF-RBS Commercial Mtg. Trust Series 2013-C12, Class AS 3.56% due 03/15/2048(4)		20,000		20,066
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class C 4.65% due 03/15/2047(4)		73,000		74,182
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class C 5.00% due 06/15/2045(4)		29,000		30,844
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class D 5.65% due 02/15/2044*(4)(16)		67,000		70,801
Total Asset Backed Securities (cost $2,804,863)				2,251,549
CONVERTIBLE BONDS & NOTES — 0.0%
Real Estate Investment Trusts — 0.0%
iStar Financial Inc. Senior Notes 3.00% due 11/15/2016		11,000		13,874
Semiconductor Components-Integrated Circuits — 0.0%
Jazz Technologies, Inc. Notes 8.00% due 12/31/2018*(16)		14,000		16,441
Total Convertible Bonds & Notes (cost $24,122)				30,315

156

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 5.9%
Advertising Sales — 0.0%
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.63% due 02/15/2024*	$	17,000	$	17,042
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.88% due 03/15/2025*		10,000		10,050
Lamar Media Corp. Company Guar. Notes 5.38% due 01/15/2024*		5,000		5,013
Lamar Media Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,420
				46,525
Advertising Services — 0.0%
Getty Images, Inc. Senior Notes 7.00% due 10/15/2020*		9,000		6,638
Aerospace/Defense-Equipment — 0.0%
TransDigm, Inc. Sr. Notes 6.50% due 07/15/2024*		3,000		2,989
TransDigm, Inc. Company Guar. Notes 7.50% due 07/15/2021		3,000		3,202
United Technologies Corp. Senior Notes 4.50% due 06/01/2042		5,000		5,232
United Technologies Corp. Senior Notes 5.70% due 04/15/2040		5,000		6,084
				17,507
Agricultural Chemicals — 0.0%
Mosaic Co. Senior Notes 3.75% due 11/15/2021		10,000		10,375
Airlines — 0.0%
Continental Airlines, Inc. Pass Though Trust Pass Through Certs. Series 1998-1, Class A 6.65% due 03/15/2019		9,818		10,407
Delta Air Lines 2009-1 Class A Pass Through Trust Pass Thru Certs. SERIES 2009-1, Class A 7.75% due 06/17/2021		3,066		3,587
United Airlines, Inc. Pass Through Trust Pass Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024		9,842		10,630
				24,624

Security Description	Principal Amount(10)		Value (Note 2)
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020	$	25,000	$	26,063
Auto-Cars/Light Trucks — 0.1%
Ford Motor Co. Senior Notes 7.40% due 11/01/2046		70,000		95,510
Ford Motor Co. Senior Notes 9.98% due 02/15/2047		5,000		7,843
General Motors Co. Senior Notes 6.25% due 10/02/2043		15,000		17,550
				120,903
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Company Guar. Notes 8.25% due 11/01/2021		20,000		20,500
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2022		15,000		15,075
				35,575
Auto/Truck Parts & Equipment-Original — 0.1%
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019		31,000		34,720
Dana Holding Corp. Senior Notes 5.38% due 09/15/2021		6,000		6,105
Dana Holding Corp. Senior Notes 6.00% due 09/15/2023		14,000		14,455
Pittsburgh Glass Works LLC Senior Sec. Notes 8.00% due 11/15/2018*		13,000		13,780
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		14,000		14,770
TRW Automotive, Inc. Company Guar. Notes 4.45% due 12/01/2023*		15,000		15,150
TRW Automotive, Inc. Company Guar. Notes 4.50% due 03/01/2021*		3,000		3,037
				102,017
Auto/Truck Parts & Equipment-Replacement — 0.0%
Exide Technologies Senior Sec. Notes 8.63% due 02/01/2018†(8)(9)		5,000		1,250
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019		6,000		5,895
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		17,000		17,043

157

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023	$	6,000	$	5,955
CIT Group, Inc. Senior Notes 5.25% due 03/15/2018		14,000		14,420
CIT Group, Inc. Senior Notes 5.38% due 05/15/2020		14,000		14,455
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		17,000		17,786
CIT Group, Inc. Senior Notes 6.63% due 04/01/2018*		25,000		26,812
				102,366
Banks-Mortgage — 0.0%
Provident Funding Associates LP/PFG Finance Corp. Company Guar. Notes 6.75% due 06/15/2021*		17,000		16,830
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 10.13% due 02/15/2019*		11,000		11,770
				28,600
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 4.25% due 05/01/2023		3,000		2,929
Constellation Brands, Inc. Company Guar. Notes 6.00% due 05/01/2022		6,000		6,540
Constellation Brands, Inc. Company Guar. Notes 7.25% due 09/01/2016		21,000		22,995
Diageo Investment Corp. Company Guar. Notes 8.00% due 09/15/2022		45,000		58,590
				91,054
Brewery — 0.0%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Bonds 8.20% due 01/15/2039		16,000		24,262
Broadcast Services/Program — 0.1%
Clear Channel Communications, Inc. Senior Sec. Notes 9.00% due 12/15/2019		31,000		31,232
Clear Channel Communications, Inc. Senior Sec. Notes 9.00% due 03/01/2021		32,000		31,840
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes, Series B 6.50% due 11/15/2022		28,000		28,630

Security Description	Principal Amount(10)		Value (Note 2)
Broadcast Services/Program (continued)
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes, Series B 7.63% due 03/15/2020	$	20,000	$	20,750
Nexstar Broadcasting, Inc. Company Guar. Notes 6.88% due 11/15/2020		10,000		10,250
				122,702
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		7,000		7,333
Building Materials Corp. of America Senior Sec. Notes 7.00% due 02/15/2020*		10,000		10,400
Building Materials Corp. of America Company Guar. Notes 7.50% due 03/15/2020*		20,000		20,900
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021*		10,000		10,150
Louisiana-Pacific Corp. Company Guar. Notes 7.50% due 06/01/2020		17,000		18,105
Nortek, Inc. Company Guar. Notes 8.50% due 04/15/2021		20,000		21,500
Nortek, Inc. Company Guar. Notes 10.00% due 12/01/2018		25,000		26,312
Owens Corning, Inc. Company Guar. Notes 9.00% due 06/15/2019		13,000		15,878
Roofing Supply Group LLC/Roofing Supply Finance, Inc. Company Guar. Notes 10.00% due 06/01/2020*		15,000		15,750
USG Corp. Company Guar. Notes 5.88% due 11/01/2021*		3,000		3,060
				149,388
Building & Construction-Misc. — 0.0%
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023		5,000		4,675
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		11,000		10,643
				15,318
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 6.38% due 11/01/2020		17,000		17,680

158

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Residential/Commercial — 0.1%
Beazer Homes USA, Inc. Company Guar. Notes 8.13% due 06/15/2016	$	2,000	$	2,130
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		25,000		25,937
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		7,000		6,939
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022(13)		14,000		13,545
M/I Homes, Inc. Company Guar. Notes 8.63% due 11/15/2018		20,000		20,925
PulteGroup, Inc. Company Guar. Notes 7.63% due 10/15/2017		21,000		23,520
PulteGroup, Inc. Company Guar. Bonds 7.88% due 06/15/2032		10,000		11,250
Standard Pacific Corp. Company Guar. Notes 6.25% due 12/15/2021		14,000		14,263
Taylor Morrison Communities, Inc./Monarch Communities, Inc. Company Guar. Notes 5.25% due 04/15/2021*		6,000		5,850
Taylor Morrison Communities, Inc./Monarch Communities, Inc. Company Guar. Notes 5.63% due 03/01/2024*		6,000		5,775
Taylor Morrison Communities, Inc./Monarch Communities, Inc. Company Guar. Notes 7.75% due 04/15/2020*		17,000		18,190
Taylor Morrison Communities, Inc./Monarch Communities, Inc. Company Guar. Notes 7.75% due 04/15/2020*		4,000		4,280
Weyerhaeuser Real Estate Co. Senior Notes 5.88% due 06/15/2024*		15,000		14,925
				167,529
Cable/Satellite TV — 0.2%
Cablevision Systems Corp. Senior Notes 7.75% due 04/15/2018		14,000		15,172
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020		6,000		6,600

Security Description	Principal Amount(10)		Value (Note 2)
Cable/Satellite TV (continued)
Cablevision Systems Corp. Senior Notes 8.63% due 09/15/2017	$	42,000	$	46,672
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.13% due 02/15/2023		6,000		5,760
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		6,000		5,873
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 6.50% due 04/30/2021		17,000		17,722
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 6.63% due 01/31/2022		14,000		14,700
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 7.00% due 01/15/2019		17,000		17,659
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 7.38% due 06/01/2020		11,000		11,633
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		13,009
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024*		11,000		10,560
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		14,000		14,913
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		17,000		18,275
DISH DBS Corp. Company Guar. Notes 7.88% due 09/01/2019		28,000		31,640
Mediacom LLC/Mediacom Capital Corp. Senior Notes 7.25% due 02/15/2022		15,000		15,750
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 06/15/2039		10,000		12,847
Time Warner Cable, Inc. Company Guar. Notes 7.30% due 07/01/2038		3,000		4,080
WideOpenWest Finance LLC/WideOpenWest Capital Corp. Company Guar. Notes 10.25% due 07/15/2019		25,000		27,000
				289,865

159

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Hotels — 0.1%
Caesars Entertainment Operating Co., Inc. Senior Sec. Notes 9.00% due 02/15/2020	$	14,000	$	10,710
MGM Resorts International Company Guar. Notes 5.25% due 03/31/2020		15,000		15,000
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021		20,000		21,100
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020		20,000		21,300
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019		15,000		16,914
MTR Gaming Group, Inc. Sec. Notes 11.50% due 08/01/2019		75,751		82,663
Sugarhouse HSP Gaming LP Senior Sec. Notes 6.38% due 06/01/2021*		3,000		2,865
				170,552
Casino Services — 0.0%
CCM Merger, Inc. Company Guar. Notes 9.13% due 05/01/2019*		14,000		14,770
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. Senior Sec. Notes 9.50% due 06/15/2019*		14,000		14,980
Scientific Games Corp. Company Guar. Notes 8.13% due 09/15/2018		5,000		4,813
Scientific Games International, Inc. Company Guar. Notes 6.25% due 09/01/2020		5,000		4,175
				38,738
Cellular Telecom — 0.2%
Crown Castle Towers LLC Senior Sec. Bonds 4.88% due 08/15/2040*		45,000		49,601
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021*		11,000		11,454
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023*		28,000		29,680
Sprint Nextel Corp. Senior Notes 7.00% due 08/15/2020		6,000		6,255
Sprint Nextel Corp. Senior Notes 8.38% due 08/15/2017		25,000		27,937

Security Description	Principal Amount(10)		Value (Note 2)
Cellular Telecom (continued)
Sprint Nextel Corp. Company Guar. Notes 9.00% due 11/15/2018*	$	42,000	$	48,510
Syniverse Holdings, Inc. Company Guar. Notes 9.13% due 01/15/2019		15,000		15,750
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		4,994
T-Mobile USA, Inc. Company Guar. Notes 6.13% due 01/15/2022		3,000		3,015
T-Mobile USA, Inc. Company Guar. Notes 6.25% due 04/01/2021		17,000		17,170
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		10,000		9,975
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		6,000		6,233
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/01/2023		25,000		25,562
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		6,000		6,150
T-Mobile USA, Inc. Company Guar. Notes 6.84% due 04/28/2023		3,000		3,083
				265,369
Chemicals-Diversified — 0.1%
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022		10,000		9,800
Celanese US Holdings LLC Company Guar. Notes 5.88% due 06/15/2021		24,000		25,560
PPG Industries, Inc. Senior Notes 7.40% due 08/15/2019		20,000		24,069
				59,429
Chemicals-Other — 0.0%
Taminco Global Chemical Corp. Sec. Notes 9.75% due 03/31/2020*		15,000		16,519
Chemicals-Plastics — 0.0%
Hexion US Finance Corp. Senior Sec. Notes 6.63% due 04/15/2020		6,000		6,030
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC Senior Sec. Notes 8.88% due 02/01/2018		14,000		14,262

160

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Chemicals-Plastics (continued)
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC Sec. Notes 9.00% due 11/15/2020	$	3,000	$	2,858
				23,150
Chemicals-Specialty — 0.1%
Cytec Industries, Inc. Senior Notes 3.50% due 04/01/2023		5,000		4,900
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020		14,000		13,790
Huntsman International LLC Company Guar. Notes 8.63% due 03/15/2020		6,000		6,330
Huntsman International LLC Company Guar. Notes 8.63% due 03/15/2021		17,000		18,360
PQ Corp. Sec. Notes 8.75% due 05/01/2018*		14,000		14,858
WR Grace & Co. Company Guar. Notes 5.13% due 10/01/2021*		5,000		5,081
WR Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		10,000		10,250
				73,569
Coal — 0.0%
Alpha Natural Resources, Inc. Company Guar. Notes 6.25% due 06/01/2021		20,000		11,625
CONSOL Energy, Inc. Company Guar. Notes 5.88% due 04/15/2022*		6,000		5,910
CONSOL Energy, Inc. Company Guar. Notes 8.25% due 04/01/2020		25,000		26,125
Peabody Energy Corp. Company Guar. Notes 7.38% due 11/01/2016		9,000		9,540
				53,200
Commercial Services — 0.0%
Ceridian LLC/Comdata Inc Company Guar. Notes 8.13% due 11/15/2017*		5,000		5,006
PHH Corp. Senior Notes 7.38% due 09/01/2019		14,000		14,840
TMS International Corp. Company Guar. Notes 7.63% due 10/15/2021*		5,000		5,225
				25,071

Security Description	Principal Amount(10)		Value (Note 2)
Commercial Services-Finance — 0.0%
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022*	$	15,000	$	14,550
Igloo Holdings Corp. Senior Notes 8.25% due 12/15/2017*(12)		20,000		20,300
Lender Processing Services, Inc. Company Guar. Notes 5.75% due 04/15/2023		17,000		17,765
				52,615
Computer Services — 0.0%
SunGard Data Systems, Inc. Company Guar. Notes 6.63% due 11/01/2019		11,000		11,000
Computers — 0.0%
Apple, Inc. Senior Notes 3.85% due 05/04/2043		17,000		15,763
Computers-Integrated Systems — 0.0%
Brocade Communications Systems, Inc. Senior Sec. Notes 6.88% due 01/15/2020		10,000		10,400
Consumer Products-Misc. — 0.0%
Prestige Brands, Inc. Senior Notes 5.38% due 12/15/2021*		10,000		9,400
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC Senior Sec. Notes 5.75% due 10/15/2020		11,000		11,193
Spectrum Brands, Inc. Company Guar. Notes 6.75% due 03/15/2020		10,000		10,425
				31,018
Containers-Metal/Glass — 0.0%
Crown Americas LLC/Crown Americas Capital Corp. IV Company Guar. Notes 4.50% due 01/15/2023		19,000		17,955
Containers-Paper/Plastic — 0.1%
Berry Plastics Corp. Sec. Notes 5.50% due 05/15/2022		6,000		5,775
Berry Plastics Corp. Sec. Notes 9.75% due 01/15/2021		20,000		22,150
Sealed Air Corp. Senior Notes 5.25% due 04/01/2023*		11,000		10,780
Sealed Air Corp. Company Guar. Notes 6.50% due 12/01/2020*		17,000		18,126
Temple-Inland, Inc. Senior Notes 6.63% due 01/15/2018		25,000		28,156
				84,987

161

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cosmetics & Toiletries — 0.0%
Elizabeth Arden, Inc. Senior Notes 7.38% due 03/15/2021	$	31,000	$	27,513
Revlon Consumer Products Corp. Company Guar. Notes 5.75% due 02/15/2021(13)		20,000		19,600
				47,113
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Company Guar. Notes 5.00% due 03/15/2022		14,000		14,753
First Data Corp. Sec. Notes 8.25% due 01/15/2021*		62,000		65,720
First Data Corp. Company Guar. Notes 11.25% due 01/15/2021(13)		2,000		2,278
First Data Corp. Company Guar. Notes 11.75% due 08/15/2021		11,000		12,732
First Data Corp. Company Guar. Notes 12.63% due 01/15/2021		8,000		9,580
First Data Holdings, Inc. Senior Notes 14.50% due 09/24/2019*(12)		2,000		2,100
				107,163
Diagnostic Equipment — 0.0%
Crimson Merger Sub, Inc. Senior Notes 6.63% due 05/15/2022*		17,000		15,491
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		15,000		14,737
Fresenius Medical Care U.S. Finance II, Inc. Company Guar. Notes 5.63% due 07/31/2019*		27,000		28,423
				43,160
Distribution/Wholesale — 0.0%
HD Supply, Inc. Company Guar. Notes 7.50% due 07/15/2020		20,000		20,750
HD Supply, Inc. Company Guar. Notes 11.50% due 07/15/2020		6,000		6,915
				27,665
Diversified Banking Institutions — 0.0%
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		10,744

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services — 0.0%
Community Choice Financial, Inc. Senior Sec. Notes 10.75% due 05/01/2019	$	11,000	$	8,305
DFC Finance Corp. Senior Notes 10.50% due 06/15/2020*		10,000		9,700
				18,005
Diversified Manufacturing Operations — 0.1%
Amsted Industries, Inc. Company Guar. Notes 5.38% due 09/15/2024*		10,000		9,700
JM Huber Corp. Senior Notes 9.88% due 11/01/2019*		25,000		28,000
Parker Hannifin Corp. Senior Notes 6.25% due 05/15/2038		15,000		19,512
				57,212
E-Commerce/Services — 0.0%
Expedia, Inc. Company Guar. Notes 5.95% due 08/15/2020		15,000		16,890
Electric-Generation — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		6,000		5,700
AES Corp. Senior Notes 7.38% due 07/01/2021		28,000		31,360
AES Corp. Senior Notes 8.00% due 10/15/2017		77,000		86,432
				123,492
Electric-Integrated — 0.3%
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		24,015
Arizona Public Service Co. Senior Notes 4.50% due 04/01/2042		5,000		5,198
Beaver Valley II Funding Corp. Senior Sec. Notes 9.00% due 06/01/2017		3,000		3,179
Commonwealth Edison Co. 1st Mtg. Bonds 5.88% due 02/01/2033		25,000		30,920
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		9,833
Dominion Resources, Inc. Senior Notes 6.00% due 11/30/2017		25,000		28,366
DPL, Inc. Senior Notes 6.50% due 10/15/2016		5,000		5,300

162

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Duke Energy Carolinas LLC 1st Mtg. Bonds 4.25% due 12/15/2041	$	25,000	$	25,346
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. Sec. Notes 11.75% due 03/01/2022*† (8)(9)		10,000		11,812
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		35,000		35,437
Kansas Gas & Electric Co. Senior Sec. Notes 5.65% due 03/29/2021		8,709		9,229
MidAmerican Energy Holdings Co. Senior Notes 6.13% due 04/01/2036		25,000		30,939
MidAmerican Energy Holdings Co. Senior Notes 6.50% due 09/15/2037		5,000		6,465
Midamerican Funding LLC Senior Sec. Bonds 6.93% due 03/01/2029		10,000		13,004
Pacific Gas & Electric Co. Senior Notes 5.80% due 03/01/2037		20,000		24,014
Pacific Gas & Electric Co. Senior Notes 6.35% due 02/15/2038		10,000		12,821
PacifiCorp 1st Mtg. Bonds 6.25% due 10/15/2037		15,000		19,473
Potomac Edison Co. 1st Mtg. Bonds 5.80% due 10/15/2016*		20,000		21,362
TECO Finance, Inc. Company Guar. Notes 6.57% due 11/01/2017		5,000		5,703
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Senior Sec. Notes 11.50% due 10/01/2020*†(8)(9)		11,000		9,213
Texas-New Mexico Power Co. 1st Mtg. Bonds 9.50% due 04/01/2019*		25,000		31,526
Westar Energy, Inc. 1st. Mtg. Notes 4.13% due 03/01/2042		5,000		4,964
				368,119
Electric-Transmission — 0.0%
ITC Holdings Corp. Senior Notes 6.05% due 01/31/2018*		15,000		16,852
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		20,000		21,456
				38,308

Security Description	Principal Amount(10)		Value (Note 2)
Electronic Components-Misc. — 0.0%
Jabil Circuit, Inc. Senior Notes 8.25% due 03/15/2018	$	5,000	$	5,813
Electronic Components-Semiconductors — 0.0%
Freescale Semiconductor, Inc. Senior Sec. Notes 5.00% due 05/15/2021*		14,000		13,755
Freescale Semiconductor, Inc. Senior Sec. Notes 6.00% due 01/15/2022*		11,000		11,165
Freescale Semiconductor, Inc. Company Guar. Notes 10.75% due 08/01/2020		6,000		6,660
Micron Technology, Inc. Senior Notes 5.88% due 02/15/2022*		15,000		15,525
				47,105
Engines-Internal Combustion — 0.0%
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020		30,000		33,188
Enterprise Software/Service — 0.0%
Epicor Software Corp. Company Guar. Notes 8.63% due 05/01/2019		6,000		6,345
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Company Guar. Notes 6.25% due 12/01/2017		17,000		18,232
Ally Financial, Inc. Company Guar. Notes 7.50% due 09/15/2020		14,000		16,135
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020		14,000		16,310
Ally Financial, Inc. Company Guar. Notes 8.30% due 02/12/2015		14,000		14,280
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021*		11,000		11,193
General Motors Financial Co., Inc. Company Guar. Notes 2.75% due 05/15/2016		12,000		12,090
General Motors Financial Co., Inc. Company Guar. Notes 3.25% due 05/15/2018		28,000		28,140
GMAC LLC Sub. Notes 8.00% due 12/31/2018		14,000		15,890
GMAC LLC Company Guar. Notes 8.00% due 11/01/2031		11,000		13,722
				145,992

163

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Consumer Loans — 0.0%
Ocwen Financial Corp. Company Guar. Notes 6.63% due 05/15/2019*	$	10,000	$	9,650
SLM Corp. Senior Notes 8.45% due 06/15/2018		11,000		12,375
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 8.50% due 09/15/2018*		7,000		6,965
				28,990
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 6.40% due 10/02/2017		30,000		33,935
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		40,000		46,535
E*TRADE Financial Corp. Senior Notes 6.38% due 11/15/2019		28,000		29,400
				109,870
Finance-Mortgage Loan/Banker — 0.0%
Walter Investment Management Corp. Company Guar. Notes 7.88% due 12/15/2021*		11,000		10,835
Finance-Other Services — 0.0%
Icahn Enterprises LP / Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,000
Icahn Enterprises LP / Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020		31,000		31,853
				45,853
Food-Dairy Products — 0.0%
Whitewave Foods Co. Company Guar. Notes 5.38% due 10/01/2022		15,000		15,150
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*		5,000		5,250
JBS USA LLC/JBS USA Finance, Inc. Senior Notes 8.25% due 02/01/2020*		6,000		6,390
Sun Merger Sub, Inc. Senior Notes 5.25% due 08/01/2018*		3,000		3,008
Sun Merger Sub, Inc. Senior Notes 5.88% due 08/01/2021*		3,000		3,037
				17,685

Security Description	Principal Amount(10)		Value (Note 2)
Food-Misc./Diversified — 0.0%
Campbell Soup Co. Senior Notes 8.88% due 05/01/2021	$	15,000	$	20,004
HJ Heinz Co. Sec. Notes 4.25% due 10/15/2020		25,000		24,844
Kraft Foods Group, Inc. Senior Notes 6.50% due 02/09/2040		9,000		11,146
				55,994
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 5.38% due 01/15/2022		14,000		14,140
Service Corp. International Senior Notes 5.38% due 05/15/2024*		14,000		14,035
Service Corp. International Senior Notes 6.75% due 04/01/2016		59,000		62,097
				90,272
Gambling (Non-Hotel) — 0.0%
Isle of Capri Casinos, Inc. Company Guar. Notes 5.88% due 03/15/2021		11,000		11,138
Isle of Capri Casinos, Inc. Company Guar. Notes 7.75% due 03/15/2019		17,000		17,722
Isle of Capri Casinos, Inc. Company Guar. Notes 8.88% due 06/15/2020		14,000		14,875
				43,735
Gas-Transportation — 0.0%
Sabine Pass LNG LP Senior Sec. Notes 6.50% due 11/01/2020		6,000		6,180
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 10.50% due 11/01/2018(13)		42,000		45,675
Hotels/Motels — 0.0%
Felcor Lodging LP Senior Sec. Notes 5.63% due 03/01/2023		3,000		2,933
Felcor Lodging LP Senior Sec. Notes 6.75% due 06/01/2019		28,000		29,155
Hyatt Hotels Corp. Senior Notes 3.38% due 07/15/2023		10,000		9,730
Marriott International, Inc. Senior Notes 3.00% due 03/01/2019		2,000		2,048
				43,866

164

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Human Resources — 0.0%
Ceridian HCM Holding, Inc. Senior Notes 11.00% due 03/15/2021*	$	31,000	$	35,185
Independent Power Producers — 0.1%
Calpine Corp Senior Notes 5.75% due 01/15/2025		30,000		29,137
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,105
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		3,000		3,172
Dynegy Holdings LLC Escrow Notes 7.75% due 06/01/2019†(2)(16)		50,000		63
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		6,000		6,240
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020		25,000		26,000
NRG Energy, Inc. Company Guar. Notes 7.88% due 05/15/2021		85,000		91,375
				159,092
Insurance Brokers — 0.0%
Hockey Merger Sub 2, Inc. Senior Notes 7.88% due 10/01/2021*		17,000		17,404
Insurance-Life/Health — 0.1%
Aflac, Inc. Senior Notes 6.45% due 08/15/2040		16,000		19,972
Aflac, Inc. Senior Notes 6.90% due 12/17/2039		34,000		45,258
Nationwide Financial Services, Inc. Senior Notes 5.63% due 02/13/2015		10,000		10,150
OneAmerica Financial Partners, Inc. Bonds 7.00% due 10/15/2033*		20,000		21,254
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		15,000		19,325
				115,959
Insurance-Multi-line — 0.1%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		30,000		36,026
Hartford Financial Services Group, Inc. Senior Bonds 6.63% due 03/30/2040		25,000		32,670

Security Description	Principal Amount(10)		Value (Note 2)
Insurance-Multi-line (continued)
Nationwide Mutual Insurance Co. Sub. Notes 8.25% due 12/01/2031*	$	15,000	$	20,456
				89,152
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		69,515
Insurance-Property/Casualty — 0.0%
Travelers Property Casualty Corp. Senior Notes 7.75% due 04/15/2026		15,000		20,226
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		24,738
Investment Companies — 0.0%
NRG Yield Operating LLC Company Guar. Notes 5.38% due 08/15/2024*		5,000		5,025
Investment Management/Advisor Services — 0.0%
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. Senior Notes 5.63% due 03/15/2020*		5,000		5,200
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. Senior Notes 5.88% due 03/15/2022*		15,000		15,938
Nuveen Investments, Inc. Senior Notes 9.13% due 10/15/2017*		10,000		10,700
				31,838
Machinery-Construction & Mining — 0.0%
BlueLine Rental Finance Corp Sec. Notes 7.00% due 02/01/2019*		16,000		16,440
Terex Corp. Company Guar. Notes 6.00% due 05/15/2021		25,000		26,000
Terex Corp. Company Guar. Notes 6.50% due 04/01/2020		3,000		3,142
Vander Intermediate Holding II Corp. Senior Notes 9.75% due 02/01/2019*(12)		10,000		10,450
				56,032
Machinery-General Industrial — 0.0%
Manitowoc Co., Inc. Company Guar. Notes 5.88% due 10/15/2022		10,000		10,300
Zebra Technologies Corp. Senior Notes 7.25% due 10/15/2022*(16)		10,000		10,163
				20,463

165

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Information Systems — 0.0%
IMS Health, Inc. Senior Notes 6.00% due 11/01/2020*	$	6,000	$	6,150
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Company Guar. Notes 4.75% due 01/30/2020		8,000		8,639
Quest Diagnostics, Inc. Company Guar. Notes 6.95% due 07/01/2037		20,000		24,642
				33,281
Medical Products — 0.0%
Teleflex, Inc. Company Guar. Notes 5.25% due 06/15/2024*		5,000		4,900
Teleflex, Inc. Company Guar. Notes 6.88% due 06/01/2019		14,000		14,665
				19,565
Medical-Drugs — 0.0%
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		6,000		5,925
Endo Finance LLC & Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*		10,000		9,550
Salix Pharmaceuticals, Ltd. Company Guar. Notes 6.00% due 01/15/2021*		7,000		7,578
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.88% due 12/01/2018*		11,000		11,357
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 7.00% due 10/01/2020*		3,000		3,135
VPI Escrow Corp. Senior Notes 6.38% due 10/15/2020*		14,000		14,385
				51,930
Medical-Generic Drugs — 0.0%
Par Pharmaceutical Cos., Inc. Company Guar. Notes 7.38% due 10/15/2020		20,000		20,850
Medical-HMO — 0.1%
Aetna, Inc. Senior Notes 6.50% due 09/15/2018		15,000		17,483
Centene Corp. Senior Notes 4.75% due 05/15/2022		10,000		10,025
Health Net, Inc. Senior Notes 6.38% due 06/01/2017		31,000		33,402

Security Description	Principal Amount(10)		Value (Note 2)
Medical-HMO (continued)
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020	$	11,000	$	11,193
				72,103
Medical-Hospitals — 0.1%
Acadia Healthcare Co., Inc. Company Guar. Notes 5.13% due 07/01/2022		10,000		9,750
Acadia Healthcare Co., Inc. Company Guar. Notes 6.13% due 03/15/2021		20,000		20,600
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/15/2018		3,000		3,083
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021*		3,000		2,993
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022*		3,000		3,120
CHS/Community Health Systems, Inc. Company Guar. Notes 8.00% due 11/15/2019		6,000		6,406
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		6,000		5,865
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		59,000		64,457
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022		3,000		3,375
IASIS Healthcare LLC/IASIS Capital Corp. Company Guar. Notes 8.38% due 05/15/2019		14,000		14,665
Tenet Healthcare Corp. Senior Sec. Notes 4.38% due 10/01/2021		14,000		13,405
Tenet Healthcare Corp. Senior Sec. Notes 4.50% due 04/01/2021		6,000		5,850
Tenet Healthcare Corp. Senior Notes 6.00% due 10/01/2020		14,000		14,805
Tenet Healthcare Corp. Senior Sec. Notes 6.25% due 11/01/2018		25,000		26,562
United Surgical Partners International, Inc. Company Guar. Notes 9.00% due 04/01/2020		14,000		15,085
				210,021

166

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Nursing Homes — 0.0%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. Company Guar. Notes 6.00% due 10/15/2021	$	17,000	$	17,553
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. Company Guar. Notes 7.75% due 02/15/2019		17,000		17,807
				35,360
Metal-Aluminum — 0.0%
Alcoa, Inc. Senior Notes 5.13% due 10/01/2024		5,000		5,006
Alcoa, Inc. Senior Notes 5.40% due 04/15/2021		5,000		5,295
				10,301
Multimedia — 0.1%
NBCUniversal Media LLC Company Guar. Notes 6.40% due 04/30/2040		20,000		25,759
News America Holdings, Inc. Company Guar. Notes 7.75% due 01/20/2024		20,000		25,245
News America Holdings, Inc. Company Guar. Notes 7.75% due 12/01/2045		10,000		14,289
News America, Inc. Company Guar. Notes 7.85% due 03/01/2039		9,000		12,667
Time Warner Cos., Inc. Company Guar. Notes 9.15% due 02/01/2023		10,000		13,491
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		19,000		25,284
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 07/15/2033		6,000		8,863
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		45,000		61,929
				187,527
Music — 0.0%
Gibson Brands, Inc. Senior Sec. Notes 8.88% due 08/01/2018*		7,000		6,843
Non-Hazardous Waste Disposal — 0.0%
Republic Services, Inc. Company Guar. Notes 5.50% due 09/15/2019		15,000		17,072
Republic Services, Inc. Company Guar. Notes 5.70% due 05/15/2041		5,000		5,878
				22,950

Security Description	Principal Amount(10)		Value (Note 2)
Oil & Gas Drilling — 0.1%
Pride International, Inc. Company Guar. Notes 7.88% due 08/15/2040	$	45,000	$	57,758
Oil Companies-Exploration & Production — 0.4%
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022*		11,000		10,698
Antero Resources Finance Corp. Company Guar. Notes 5.38% due 11/01/2021		11,000		10,945
Athlon Holdings LP/Athlon Finance Corp Company Guar. Notes 7.38% due 04/15/2021		17,000		18,487
Athlon Holdings LP/Athlon Finance Corp. Company Guar. Notes 6.00% due 05/01/2022*		6,000		6,435
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020*		25,000		25,375
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024*		15,000		15,412
Chaparral Energy, Inc. Company Guar. Notes 8.25% due 09/01/2021		14,000		14,980
Chesapeake Energy Corp. Company Guar. Notes 4.88% due 04/15/2022		11,000		11,055
Chesapeake Energy Corp. Company Guar. Notes 5.75% due 03/15/2023		3,000		3,195
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc. Company Guar. Notes 6.63% due 11/15/2019		20,000		20,550
Concho Resources, Inc. Company Guar. Notes 5.50% due 10/01/2022		6,000		6,180
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		14,000		14,560
Concho Resources, Inc. Company Guar. Notes 6.50% due 01/15/2022		20,000		21,250
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		14,000		13,860
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021		3,000		3,120
EOG Resources, Inc. Senior Notes 5.63% due 06/01/2019		15,000		17,210

167

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Notes 6.88% due 05/01/2019	$	6,000	$	6,255
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		10,000		10,575
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020		28,000		30,520
EXCO Resources, Inc. Company Guar. Notes 7.50% due 09/15/2018		6,000		5,730
Goodrich Petroleum Corp. Company Guar. Notes 8.88% due 03/15/2019		10,000		10,275
Gulfport Energy Corp. Company Guar. Notes 7.75% due 11/01/2020		30,000		31,275
Gulfport Energy Corp. Company Guar. Notes 7.75% due 11/01/2020*		5,000		5,213
Halcon Resources Corp. Company Guar. Notes 8.88% due 05/15/2021		34,000		33,490
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		5,000		4,813
Kerr-McGee Corp. Company Guar. Notes 7.88% due 09/15/2031		15,000		20,773
Linn Energy LLC/Linn Energy Finance Corp. Company Guar. Notes 6.25% due 11/01/2019(13)		20,000		19,525
Linn Energy LLC/Linn Energy Finance Corp. Company Guar. Notes 6.50% due 09/15/2021		10,000		9,750
Milagro Oil & Gas, Inc. Sec. Notes 10.50% due 05/15/2016†(9)		30,000		23,700
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022		25,000		26,812
Oasis Petroleum, Inc. Guar. Notes 6.88% due 03/15/2022		20,000		21,100
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023		10,000		10,525
Range Resources Corp. Company Guar. Notes 5.00% due 08/15/2022		2,000		2,045

Security Description	Principal Amount(10)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Range Resources Corp. Company Guar. Notes 6.75% due 08/01/2020	$	11,000	$	11,578
Rosetta Resources, Inc. Company Guar. Notes 5.63% due 05/01/2021		11,000		10,725
Rosetta Resources, Inc. Company Guar. Notes 5.88% due 06/01/2024		11,000		10,808
Samson Investment Co. Company Guar. Notes 9.75% due 02/15/2020(13)		39,000		35,392
Seventy Seven Energy, Inc. Senior Notes 6.50% due 07/15/2022*		5,000		4,913
SM Energy Co. Senior Notes 6.50% due 11/15/2021		6,000		6,345
SM Energy Co. Senior Notes 6.50% due 01/01/2023		3,000		3,120
SM Energy Co. Senior Notes 6.63% due 02/15/2019		6,000		6,225
Unit Corp. Company Guar. Notes 6.63% due 05/15/2021		17,000		17,042
Whiting Petroleum Corp. Company Guar. Notes 5.75% due 03/15/2021		31,000		32,782
WPX Energy, Inc. Senior Notes 5.25% due 01/15/2017		25,000		26,000
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		6,000		6,186
				656,804
Oil Field Machinery & Equipment — 0.0%
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021		14,000		14,385
Oil Refining & Marketing — 0.0%
Motiva Enterprises LLC Senior Notes 6.85% due 01/15/2040*		20,000		26,305
Oil-Field Services — 0.1%
Calfrac Holdings LP Company Guar. Notes 7.50% due 12/01/2020*		11,000		11,495
Exterran Partners LP/EXLP Finance Corp. Company Guar. Notes 6.00% due 10/01/2022*		11,000		10,698
FTS International, Inc. Company Guar. Notes 6.25% due 05/01/2022*		11,000		10,807

168

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil-Field Services (continued)
Hiland Partners LP/Hiland Partners Finance Corp. Company Guar. Notes 5.50% due 05/15/2022*	$	3,000	$	2,918
Hiland Partners LP/Hiland Partners Finance Corp. Company Guar. Notes 7.25% due 10/01/2020*		11,000		11,660
Key Energy Services, Inc. Company Guar. Notes 6.75% due 03/01/2021		25,000		24,062
Plains Exploration & Production Co. Company Guar. Notes 6.75% due 02/01/2022		36,000		39,870
Weatherford, Inc. Company Guar. Notes 6.80% due 06/15/2037		5,000		6,017
				117,527
Paper & Related Products — 0.1%
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		45,000		50,849
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029		10,000		13,754
International Paper Co. Senior Notes 8.70% due 06/15/2038		5,000		7,364
				71,967
Petrochemicals — 0.0%
TPC Group, Inc. Sec. Notes 8.75% due 12/15/2020*		20,000		21,250
Physicians Practice Management — 0.0%
Envision Healthcare Corp. Company Guar. Notes 5.13% due 07/01/2022*		5,000		4,925
Pipelines — 0.3%
Access Midstream Partners LP/ACMP Finance Corp. Company Guar. Notes 4.88% due 05/15/2023		23,000		23,604
Chesapeake Midstream Partners LP/ACMP Finance Corp. Company Guar. Notes 5.88% due 04/15/2021		18,000		18,990
Chesapeake Midstream Partners LP/ACMP Finance Corp. Company Guar. Notes 6.13% due 07/15/2022		6,000		6,390
DCP Midstream LLC Senior Notes 5.35% due 03/15/2020*		20,000		22,039
Duke Capital Corp. Company Guar. Notes 8.00% due 10/01/2019		15,000		18,557

Security Description	Principal Amount(10)		Value (Note 2)
Pipelines (continued)
El Paso Corp. Company Guar. Notes 7.00% due 06/15/2017	$	59,000	$	65,047
El Paso Corp. Senior Sec. Notes 7.75% due 01/15/2032		24,000		29,460
El Paso Natural Gas Co. LLC Senior Notes 8.38% due 06/15/2032		30,000		39,658
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 6.50% due 04/01/2020		10,000		11,444
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		11,000		12,238
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		15,000		16,083
Energy Transfer Partners LP Senior Notes 6.50% due 02/01/2042		15,000		17,080
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 08/15/2042		20,000		20,539
EQT Midstream Partners LP Company Guar. Notes 4.00% due 08/01/2024		20,000		19,715
Kinder Morgan Energy Partners LP Senior Notes 4.25% due 09/01/2024		6,000		5,934
Kinder Morgan Energy Partners LP Senior Notes 5.40% due 09/01/2044		4,000		3,933
Kinder Morgan, Inc. Senior Notes 5.00% due 02/15/2021*		3,000		3,128
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		14,000		13,545
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.00% due 10/01/2022		5,000		4,925
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.50% due 04/15/2023		11,000		11,138
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		14,000		14,560
Rose Rock Midstream LP/Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022*		5,000		4,950

169

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Southern Star Central Corp. Senior Notes 5.13% due 07/15/2022*	$	15,000	$	14,925
Williams Cos., Inc. Senior Bonds 7.75% due 06/15/2031		10,000		12,038
Williams Cos., Inc. Senior Notes 7.88% due 09/01/2021		6,000		7,227
				417,147
Publishing-Newspapers — 0.0%
Gannett Co., Inc. Company Guar. Notes 4.88% due 09/15/2021*		10,000		9,675
Gannett Co., Inc. Company Guar. Notes 5.13% due 10/15/2019		11,000		11,110
Gannett Co., Inc. Company Guar. Notes 5.13% due 07/15/2020		6,000		6,015
				26,800
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		5,000		4,775
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.38% due 11/01/2018		11,000		11,165
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.88% due 11/01/2020		17,000		17,335
Penn National Gaming, Inc. Senior Notes 5.88% due 11/01/2021		20,000		18,450
				46,950
Radio — 0.1%
Cumulus Media Holdings, Inc. Company Guar. Notes 7.75% due 05/01/2019		14,000		14,350
Entercom Radio LLC Company Guar. Notes 10.50% due 12/01/2019		15,000		16,425
Sirius XM Radio, Inc. Senior Sec. Notes 5.25% due 08/15/2022*		3,000		3,127
Sirius XM Radio, Inc. Senior Notes 5.88% due 10/01/2020*		14,000		14,175
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024*		6,000		6,090
Townsquare Radio LLC/Townsquare Radio, Inc. Company Guar. Notes 9.00% due 04/01/2019*		6,000		6,465
				60,632

Security Description	Principal Amount(10)		Value (Note 2)
Real Estate Investment Trusts — 0.3%
American Tower Corp. Senior Notes 7.00% due 10/15/2017	$	25,000	$	28,460
ARC Properties Operating Partnership LP/Clark Acquisition LLC Company Guar. Notes 4.60% due 02/06/2024*		25,000		25,450
CBL & Associates LP Limited Guar. Notes 5.25% due 12/01/2023		25,000		26,842
Corrections Corp of America Company Guar. Notes 4.13% due 04/01/2020		8,000		7,840
Corrections Corp of America Company Guar. Notes 4.63% due 05/01/2023		14,000		13,545
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022		6,000		5,835
Crown Castle International Corp. Senior Notes 5.25% due 01/15/2023		25,000		24,781
Developers Diversified Realty Corp. Senior Notes 7.88% due 09/01/2020		35,000		43,491
Duke Realty LP Senior Notes 3.88% due 02/15/2021		10,000		10,302
Duke Realty LP Senior Notes 6.75% due 03/15/2020		5,000		5,901
EPR Properties Company Guar. Notes 5.25% due 07/15/2023		15,000		15,770
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025		10,000		9,878
Host Hotels & Resorts LP Senior Notes 5.25% due 03/15/2022		2,000		2,199
Host Hotels & Resorts LP Senior Notes 6.00% due 10/01/2021		3,000		3,417
Iron Mountain, Inc. Company Guar. Notes 6.00% due 08/15/2023		14,000		14,350
Iron Mountain, Inc. Company Guar. Notes 7.75% due 10/01/2019		6,000		6,405
iStar Financial, Inc. Senior Notes 7.13% due 02/15/2018		11,000		11,385
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 6.38% due 02/15/2022		25,000		26,687

170

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 6.88% due 05/01/2021	$	10,000	$	10,700
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024*		15,000		15,263
Omega Healthcare Investors, Inc. Company Guar. Notes 6.75% due 10/15/2022		15,000		15,938
Realty Income Corp. Senior Notes 4.65% due 08/01/2023		5,000		5,332
SL Green Realty Corp./SL Green Operating Partnership Senior Notes 5.00% due 08/15/2018		20,000		21,551
Tanger Properties LP Senior Notes 6.13% due 06/01/2020		15,000		17,326
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		20,000		26,510
				395,158
Real Estate Management/Services — 0.1%
CBRE Services, Inc. Company Guar. Notes 5.00% due 03/15/2023		11,000		10,889
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		5,000		4,969
CBRE Services, Inc. Company Guar. Notes 6.63% due 10/15/2020		6,000		6,308
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024		35,000		36,179
				58,345
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 6.88% due 10/01/2021*		14,000		14,455
Recycling — 0.0%
Aleris International, Inc. Escrow Notes 9.00% due 12/15/2014†(1)(16)		50,000		2
Rental Auto/Equipment — 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. Company Guar. Notes 5.50% due 04/01/2023		14,000		13,895
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. Company Guar. Notes 9.75% due 03/15/2020		6,000		6,600

Security Description	Principal Amount(10)		Value (Note 2)
Rental Auto/Equipment (continued)
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*	$	55,000	$	55,100
Hertz Corp. Company Guar. Notes 6.25% due 10/15/2022		7,000		7,087
United Rentals North America, Inc. Company Guar. Notes 5.75% due 11/15/2024		3,000		3,038
United Rentals North America, Inc. Company Guar. Notes 6.13% due 06/15/2023		3,000		3,083
United Rentals North America, Inc. Company Guar. Notes 7.63% due 04/15/2022		11,000		11,962
				100,765
Research & Development — 0.0%
Jaguar Holding Co. I Senior Notes 9.38% due 10/15/2017*(12)		15,000		15,150
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. Senior Notes 9.50% due 12/01/2019*		20,000		21,450
				36,600
Resorts/Theme Parks — 0.0%
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. Company Guar. Notes 5.25% due 03/15/2021		11,000		10,835
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. Company Guar. Notes 5.38% due 06/01/2024*		3,000		2,910
Six Flags Entertainment Corp. Company Guar. Notes 5.25% due 01/15/2021*		25,000		24,250
				37,995
Retail-Apparel/Shoe — 0.1%
Limited Brands, Inc. Company Guar. Notes 5.63% due 02/15/2022		16,000		16,680
Limited Brands, Inc. Company Guar. Notes 6.63% due 04/01/2021		37,000		40,700
				57,380
Retail-Auto Parts — 0.0%
O'Reilly Automotive, Inc. Company Guar. Notes 3.85% due 06/15/2023		10,000		10,204
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		17,000		18,530

171

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Automobile (continued)
AutoNation, Inc. Company Guar. Notes 6.75% due 04/15/2018	$	18,000	$	20,540
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,210
				53,280
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc. Senior Notes 5.17% due 08/01/2044		25,000		24,479
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		10,000		8,933
Retail-Drug Store — 0.1%
CVS Pass-Through Trust Pass Through Certs. 7.51% due 01/10/2032*		71,967		91,552
Rite Aid Corp. Senior Sec. Notes 8.00% due 08/15/2020		6,000		6,420
Rite Aid Corp. Company Guar. Notes 9.25% due 03/15/2020		17,000		18,530
				116,502
Retail-Fabric Store — 0.0%
Jo-Ann Stores Holdings, Inc. Senior Notes 9.75% due 10/15/2019*(12)		10,000		9,300
Jo-Ann Stores, Inc. Senior Notes 8.13% due 03/15/2019*		20,000		19,000
				28,300
Retail-Jewelry — 0.0%
Tiffany & Co. Senior Bonds 4.90% due 10/01/2044*(16)		15,000		14,978
Retail-Mail Order — 0.0%
QVC, Inc. Senior Notes 4.85% due 04/01/2024		15,000		15,364
Retail-Major Department Stores — 0.0%
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021*		10,000		10,400
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(12)		10,000		10,525
				20,925
Retail-Pet Food & Supplies — 0.0%
Petco Animal Supplies, Inc. Company Guar. Notes 9.25% due 12/01/2018*		14,000		14,735

Security Description	Principal Amount(10)		Value (Note 2)
Retail-Regional Department Stores — 0.1%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021	$	6,000	$	5,370
Bon-Ton Department Stores, Inc. Sec. Notes 10.63% due 07/15/2017		21,000		21,026
Macy's Retail Holdings, Inc. Company Guar. Notes 3.63% due 06/01/2024		80,000		79,142
Macy's Retail Holdings, Inc. Company Guar. Notes 5.13% due 01/15/2042		5,000		5,217
Macy's Retail Holdings, Inc. Company Guar. Notes 6.65% due 07/15/2024		6,000		7,316
Macy's Retail Holdings, Inc. Company Guar. Notes 6.90% due 04/01/2029		14,000		17,691
Neiman-Marcus Group LLC Senior Notes 7.13% due 06/01/2028		30,000		29,850
				165,612
Retail-Restaurants — 0.1%
CEC Entertainment, Inc. Senior Notes 8.00% due 02/15/2022*		10,000		9,350
Landry's Holdings II, Inc. Senior Notes 10.25% due 01/01/2018*		3,000		3,090
Landry's, Inc. Senior Notes 9.38% due 05/01/2020*		35,000		37,013
McDonald's Corp. Senior Notes 5.70% due 02/01/2039		18,000		21,842
McDonald's Corp. Senior Notes 6.30% due 10/15/2037		22,000		28,299
				99,594
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		25,000		23,500
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Senior Sec. Notes 6.50% due 06/15/2019		25,000		26,563
Hughes Satellite Systems Corp. Company Guar. Notes 7.63% due 06/15/2021		13,000		14,170
				40,733
Special Purpose Entity — 0.0%
ROC Finance LLC/ROC Finance 1 Corp. Sec. Notes 12.13% due 09/01/2018*		25,000		27,000

172

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers — 0.1%
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*	$	22,000	$	22,174
Ryerson, Inc./Joseph T. Ryerson & Son, Inc. Senior Sec. Notes 9.00% due 10/15/2017		16,000		16,880
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024*		5,000		5,025
Steel Dynamics, Inc. Company Guar. Notes 6.13% due 08/15/2019		3,000		3,168
Steel Dynamics, Inc. Company Guar. Notes 6.38% due 08/15/2022		3,000		3,169
Steel Dynamics, Inc. Company Guar. Notes 7.63% due 03/15/2020		6,000		6,300
				56,716
Telecom Services — 0.1%
Level 3 Escrow II, Inc. Company Guar. Notes 5.38% due 08/15/2022*		10,000		9,850
Qwest Corp. Senior Notes 6.75% due 12/01/2021		44,000		50,441
SBA Telecommunications, Inc. Company Guar. Notes 5.75% due 07/15/2020		3,000		3,053
SBA Tower Trust Sec. Notes 5.10% due 04/15/2042*		55,000		58,191
West Corp. Company Guar. Notes 5.38% due 07/15/2022*		5,000		4,612
				126,147
Telecommunication Equipment — 0.0%
Avaya, Inc. Senior Sec. Notes 7.00% due 04/01/2019*		31,000		30,070
Avaya, Inc. Company Guar. Notes 10.50% due 03/01/2021*		6,000		5,250
				35,320
Telephone-Integrated — 0.3%
Century Telephone Enterprise, Inc. Senior Notes 6.88% due 01/15/2028		40,000		39,800
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2020		3,000		3,095
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023		14,000		15,015

Security Description	Principal Amount(10)		Value (Note 2)
Telephone-Integrated (continued)
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024	$	3,000	$	3,113
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		20,000		22,200
Level 3 Financing, Inc. Company Guar. Notes 6.13% due 01/15/2021*		7,000		7,210
Level 3 Financing, Inc. Company Guar. Notes 7.00% due 06/01/2020		14,000		14,752
Level 3 Financing, Inc. Company Guar. Notes 8.13% due 07/01/2019		3,000		3,195
Level 3 Financing, Inc. Company Guar. Notes 8.63% due 07/15/2020		14,000		15,155
New Jersey Bell Telephone, Inc. Company Guar. Notes 8.00% due 06/01/2022		25,000		31,041
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028		84,000		80,220
Verizon Communications, Inc. Senior Notes 5.05% due 03/15/2034		10,000		10,595
Verizon Communications, Inc. Senior Notes 6.40% due 02/15/2038		55,000		66,625
Windstream Corp. Company Guar. Notes 6.38% due 08/01/2023		6,000		5,790
Windstream Corp. Company Guar. Notes 7.75% due 10/01/2021		14,000		14,910
Windstream Corp. Company Guar. Notes 7.88% due 11/01/2017		31,000		34,410
				367,126
Television — 0.1%
Gray Television, Inc. Company Guar. Notes 7.50% due 10/01/2020		17,000		17,382
Sinclair Television Group, Inc. Company Guar. Notes 5.38% due 04/01/2021		6,000		5,910
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024*		5,000		4,813
Sinclair Television Group, Inc. Senior Notes 6.13% due 10/01/2022		6,000		6,105
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		6,000		6,135

173

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Television (continued)
Univision Communications, Inc. Company Guar. Notes 8.50% due 05/15/2021*	$	25,000	$	26,437
Viacom, Inc. Company Guar. Notes 7.88% due 07/30/2030		25,000		33,877
				100,659
Theaters — 0.0%
AMC Entertainment, Inc. Company Guar. Notes 5.88% due 02/15/2022		11,000		11,082
AMC Entertainment, Inc. Company Guar. Notes 9.75% due 12/01/2020		11,000		12,114
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		3,000		2,858
Cinemark USA, Inc. Company Guar. Notes 7.38% due 06/15/2021		5,000		5,350
Regal Entertainment Group Senior Notes 5.75% due 03/15/2022		3,000		3,007
Regal Entertainment Group Senior Notes 5.75% due 06/15/2023		6,000		5,910
				40,321
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		20,000		19,157
Altria Group, Inc. Company Guar. Notes 4.00% due 01/31/2024		21,000		21,429
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		7,000		9,113
Altria Group, Inc. Company Guar. Notes 9.70% due 11/10/2018		8,000		10,305
				60,004
Transactional Software — 0.0%
ACI Worldwide, Inc. Company Guar. Notes 6.38% due 08/15/2020*		15,000		15,563
Transport-Air Freight — 0.0%
Air Medical Group Holdings, Inc. Senior Sec. Notes 9.25% due 11/01/2018		20,000		20,875
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 5.40% due 06/01/2041		15,000		16,871
Burlington Northern Santa Fe LLC Senior Notes 5.75% due 05/01/2040		15,000		17,795

Security Description	Principal Amount(10)		Value (Note 2)
Transport-Rail (continued)
Kansas City Southern Railway Co. Company Guar. Bonds 4.30% due 05/15/2043(13)	$	3,000	$	2,904
Norfolk Southern Corp. Senior Notes 6.00% due 05/23/2111		20,000		24,040
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023*		14,000		14,070
				75,680
Transport-Truck — 0.0%
Swift Services Holdings, Inc. Sec. Notes 10.00% due 11/15/2018		20,000		21,000
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 8.50% due 05/15/2019*		11,000		11,770
Sabre Holdings Corp. Senior Notes 8.35% due 03/15/2016(13)		25,000		26,938
Travelport LLC/Travelport Holdings, Inc. Company Guar. Notes 13.88% due 03/01/2016*(12)		15,987		15,987
				54,695
Wire & Cable Products — 0.0%
Belden, Inc. Company Guar. Notes 5.25% due 07/15/2024*		5,000		4,788
Total U.S. Corporate Bonds & Notes (cost $8,728,896)				9,167,954
FOREIGN CORPORATE BONDS & NOTES — 1.0%
Banks-Commercial — 0.2%
Barclays Bank PLC Sub. Notes 10.18% due 06/12/2021*		80,000		108,786
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019*		10,000		11,162
HBOS PLC Sub. Notes 6.00% due 11/01/2033*		50,000		55,500
Santander Issuances SAU Bank Guar. Notes 5.91% due 06/20/2016*		100,000		105,886
				281,334
Building Products-Doors & Windows — 0.0%
Masonite International Corp. Company Guar. Notes 8.25% due 04/15/2021*		20,000		21,400
Building Products-Wood — 0.0%
Ainsworth Lumber Co., Ltd. Senior Sec. Notes 7.50% due 12/15/2017*		7,000		7,245

174

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Building-Residential/Commercial — 0.0%
Brookfield Residential Properties, Inc. Company Guar. Notes 6.50% due 12/15/2020*	$	17,000	$	17,637
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022*		6,000		6,030
				23,667
Cellular Telecom — 0.0%
NII International Telecom SCA Company Guar. Notes 7.88% due 08/15/2019*†(8)(9)		10,000		6,675
Containers-Metal/Glass — 0.0%
Novelis, Inc. Company Guar. Notes 8.75% due 12/15/2020		20,000		21,375
Diversified Banking Institutions — 0.1%
Royal Bank of Scotland Group PLC Sub. Notes 6.00% due 12/19/2023		10,000		10,483
Royal Bank of Scotland PLC FRS Sub. Notes 9.50% due 03/16/2022		40,000		45,600
				56,083
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*		11,000		11,014
Bombardier, Inc. Senior Notes 7.75% due 03/15/2020*		15,000		16,353
				27,367
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 8.25% due 11/01/2019*		19,000		19,641
Xstrata Finance Canada, Ltd. Company Guar. Bonds 5.80% due 11/15/2016*		8,000		8,713
Xstrata Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		5,347
				33,701
Diversified Operations — 0.0%
DH Services Luxembourg Sarl Company Guar. Notes 7.75% due 12/15/2020*		17,000		17,850
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.50% due 10/01/2021*		10,000		10,050
				27,900

Security Description	Principal Amount(10)		Value (Note 2)
Electric Products-Misc. — 0.1%
Legrand France SA Senior Notes 8.50% due 02/15/2025	$	61,000	$	83,741
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 6.95% due 01/26/2039*		35,000		46,528
Electric-Integrated — 0.1%
Energy East Corp. Notes 6.75% due 07/15/2036		10,000		12,269
PPL WEM Holdings, Ltd. Senior Notes 5.38% due 05/01/2021*		70,000		78,577
				90,846
Food-Retail — 0.0%
Delhaize Group SA Company Guar. Notes 4.13% due 04/10/2019		6,000		6,315
Gambling (Non-Hotel) — 0.0%
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022*	CAD	24,000		22,501
Gold Mining — 0.0%
Eldorado Gold Corp. Senior Notes 6.13% due 12/15/2020*		6,000		5,955
New Gold, Inc. Senior Notes 6.25% due 11/15/2022*		10,000		10,125
New Gold, Inc. Company Guar. Notes 7.00% due 04/15/2020*		15,000		15,975
				32,055
Hazardous Waste Disposal — 0.0%
Tervita Corp. Company Guar. Notes 10.88% due 02/15/2018*		3,000		3,000
Insurance Brokers — 0.0%
Willis Group Holdings PLC Company Guar. Notes 5.75% due 03/15/2021		35,000		39,151
Medical-Drugs — 0.0%
Capsugel SA Senior Notes 7.00% due 05/15/2019*(12)		3,000		2,993
JLL/Delta Dutch Newco BV Senior Notes 7.50% due 02/01/2022*		20,000		20,197
Valeant Pharmaceuticals International, Inc. Senior Notes 6.75% due 08/15/2018*		11,000		11,605
				34,795

175

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Metal-Diversified — 0.0%
HudBay Minerals, Inc. Company Guar. Notes 9.50% due 10/01/2020	$	5,000	$	5,325
HudBay Minerals, Inc. Company Guar. Notes 9.50% due 10/01/2020*		15,000		15,975
				21,300
Multimedia — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		11,000		10,918
Oil & Gas Drilling — 0.1%
Noble Holding International, Ltd. Company Guar. Notes 6.05% due 03/01/2041		25,000		25,315
Offshore Group Investment, Ltd. Senior Sec. Notes 7.13% due 04/01/2023		10,000		8,813
Offshore Group Investment, Ltd. Senior Sec. Notes 7.50% due 11/01/2019		25,000		23,187
Paragon Offshore PLC Company Guar. Notes 6.75% due 07/15/2022*		5,000		4,225
Paragon Offshore PLC Company Guar. Notes 7.25% due 08/15/2024*		25,000		21,125
Shelf Drilling Holdings, Ltd. Senior Sec. Notes 8.63% due 11/01/2018*		14,000		14,700
				97,365
Oil Companies-Exploration & Production — 0.1%
Baytex Energy Corp. Company Guar. Notes 5.13% due 06/01/2021*		6,000		5,850
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		6,000		5,760
Connacher Oil and Gas, Ltd. Sec. Notes 8.50% due 08/01/2019*		10,000		7,625
Kodiak Oil & Gas Corp. Company Guar. Notes 5.50% due 02/01/2022		3,000		3,015
Kodiak Oil & Gas Corp. Company Guar. Notes 8.13% due 12/01/2019		28,000		30,030
Lightstream Resources, Ltd. Senior Notes 8.63% due 02/01/2020*		28,000		27,720
Lone Pine Resources Canada, Ltd. Escrow Notes 10.38% due 02/15/2017†(1)(16)		10,000		1
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		15,000		15,131

Security Description	Principal Amount(10)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*	$	20,000	$	20,500
				115,632
Oil Companies-Integrated — 0.1%
Petrobras International Finance Co. Company Guar. Notes 3.88% due 01/27/2016		20,000		20,470
Petrobras International Finance Co. Company Guar. Notes 5.38% due 01/27/2021		50,000		50,541
Petrobras International Finance Co. Company Guar. Notes 6.75% due 01/27/2041(16)		15,000		15,405
Statoil ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		33,602
				120,018
Oil Refining & Marketing — 0.0%
Seven Generations Energy, Ltd. Senior Notes 8.25% due 05/15/2020*		14,000		15,120
Oil-Field Services — 0.0%
Weatherford International, Ltd. Company Guar. Notes 6.50% due 08/01/2036		9,000		10,381
Weatherford International, Ltd. Company Guar. Notes 9.88% due 03/01/2039		10,000		15,422
				25,803
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025		5,000		5,700
Pharmacy Services — 0.0%
Catamaran Corp. Company Guar. Notes 4.75% due 03/15/2021		6,000		5,771
Real Estate Operations & Development — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		20,000		19,950
Retail-Restaurants — 0.0%
New Red Finance, Inc. Notes 6.00% due 04/01/2022*(16)		30,000		29,812
Satellite Telecom — 0.1%
Intelsat Jackson Holdings SA Company Guar. Notes 6.63% due 12/15/2022		6,000		6,060
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		17,000		18,148

176

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Satellite Telecom (continued)
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021	$	56,000	$	57,050
Intelsat Luxembourg SA Company Guar. Notes 8.13% due 06/01/2023		28,000		29,190
SES SA Company Guar. Notes 5.30% due 04/04/2043*(16)		5,000		5,294
				115,742
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		17,000		16,915
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 7.50% due 10/15/2039(13)		6,000		6,180
ArcelorMittal Senior Notes 10.35% due 06/01/2019(13)		28,000		34,160
				40,340
Telephone-Integrated — 0.0%
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030		5,000		6,898
Telefonica Emisiones SAU Company Guar. Notes 5.46% due 02/16/2021		35,000		38,978
				45,876
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		25,000		24,750
Transport-Rail — 0.0%
Kansas City Southern de Mexico SA de CV Senior Notes 2.35% due 05/15/2020		2,000		1,916
Total Foreign Corporate Bonds & Notes (cost $1,505,267)				1,578,607
LOANS(17)(18)(19) — 0.1%
Casino Hotels — 0.1%
Caesars Entertainment Operating Co., Inc. FRS 6.95% due 03/01/2017		66,093		60,097
Caesars Entertainment Operating Co., Inc. FRS 9.75% due 03/01/2017		5,000		4,730
				64,827
Electric-Integrated — 0.0%
TXU Energy 1.50% due 05/05/2016†(8)(9)(14)(16)		71,325		52,781
Total Loans (cost $133,174)				117,608

Security Description	Principal Amount(10)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 0.1%
Municipal Bonds & Notes — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049	$	25,000	$	34,463
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		16,902
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		42,800
State of Illinois General Obligation Bonds 4.42% due 01/01/2015		10,000		10,090
Total Municipal Bonds & Notes (cost $80,200)				104,255
U.S. GOVERNMENT AGENCIES — 1.9%
Federal Home Loan Mtg. Corp. — 0.2%
4.00% due 06/01/2043		177,962		188,554
5.50% due 04/01/2020		14,156		15,005
5.50% due 06/01/2035		8,763		9,850
7.50% due 10/01/2029		8,668		10,109
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 16.55% due 06/15/2034(6)(15)		28,926		37,921
Series 3065, Class DC 19.40% due 03/15/2035(6)(15)		41,316		57,494
Series 3072, Class SM 23.23% due 11/15/2035(6)(15)		27,404		38,396
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series T-56, Class 2IO zero coupon due 05/25/2043(2)(5)(6)		113,745		5
Series T-56, Class AIO 0.52% due 05/25/2043 VRS(5)(6)		193,150		4,944
				362,278
Federal National Mtg. Assoc. — 1.7%
3.50% due October 30 TBA		1,000,000		1,022,109
4.00% due 05/01/2019		126,653		134,199
4.00% due 09/01/2020		13,757		14,570
4.00% due October 30 TBA		1,000,000		1,053,813
4.50% due 04/01/2018		2,992		3,157
4.50% due 03/01/2020		7,455		7,901
4.50% due 04/01/2020		14,587		15,487
4.50% due 09/01/2020		8,360		8,848
4.50% due 11/01/2020		5,705		6,061
5.00% due 03/01/2021		3,959		4,193
5.50% due 03/01/2018		4,286		4,537
6.00% due 06/01/2036		3,283		3,725
6.50% due 01/01/2036		427		483
6.50% due 06/01/2036		55,800		63,826
6.50% due 07/01/2036		9,897		11,204
6.50% due 09/01/2036		34,370		38,932
6.50% due 11/01/2036		33,766		38,221

177

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares/ Principal Amount(10)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
7.00% due 06/01/2033	$	7,649	$	8,658
7.00% due 04/01/2035		11,868		13,660
7.50% due 04/01/2024		11,475		12,864
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.41% due 10/25/2041 VRS(5)(6)		157,836		2,906
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 19.79% due 08/25/2035(6)(15)		17,500		23,151
Series 2005-122, Class SE 22.56% due 11/25/2035(6)(15)		21,408		29,830
Series 2006-8, Class HP 24.00% due 03/25/2036(6)(15)		30,398		43,883
				2,566,218
Government National Mtg. Assoc. — 0.0%
6.50% due 08/20/2037		33,602		38,001
6.50% due 09/20/2037		8,204		9,258
				47,259
Total U.S. Government Agencies (cost $2,952,104)				2,975,755
U.S. GOVERNMENT TREASURIES — 1.6%
United States Treasury Bonds — 0.3%
United States Treasury Bonds 2.75% due 08/15/2042		70,000		64,137
3.75% due 11/15/2043		320,000		353,700
				417,837
United States Treasury Notes — 1.3%
United States Treasury Notes 1.00% due 08/31/2016		170,000		171,381
1.13% due 12/31/2019		640,000		616,200
1.63% due 08/15/2022		40,000		37,981
1.75% due 05/31/2016		500,000		510,821
2.00% due 02/15/2023		70,000		67,927
2.75% due 11/15/2023		480,000		492,000
3.50% due 02/15/2018		150,000		160,887
				2,057,197
Total U.S. Government Treasuries (cost $2,447,173)				2,475,034
EXCHANGE-TRADED FUNDS — 0.2%
iShares MSCI Taiwan Index Fund		2,410		36,800
iShares Russell 2000 Growth ETF		994		128,912
Market Vectors Vietnam ETF		3,682		80,636
Total Exchange-Traded Funds (cost $243,781)				246,348
EQUITY CERTIFICATES — 0.4%
Banks-Commercial — 0.1%
Merrill Lynch — National Bank of Kuwait SAK		13,444		45,693
UBS AG — HCL Technologies, Ltd.(16)		3,058		84,646
UBS AG — Apollo Tyres, Ltd.(16)		20,109		66,139
				196,478

Security Description	Shares		Value (Note 2)
Finance-Mortgage Loan/Banker — 0.0%
UBS AG — Housing Development Finance Corp.(16)		2,756	$	46,946
Pharmacy Services — 0.1%
UBS AG — Glenmark Pharmaceuticals, Ltd.(16)		5,477		63,816
Electric-Transmission — 0.0%
UBS AG — Power Grid Corp. of India, Ltd.(16)		17,460		38,120
Petrochemicals — 0.0%
Merrill Lynch-Saudi Industrial Investment Group		3,642		38,711
Oil Companies-Integrated — 0.1%
UBS AG — ONGC, Inc.(16)		9,856		65,000
Food-Misc./Diversified — 0.0%
Merrill Lynch — Kuwait Foods Americana		3,231		34,512
Chemicals-Diversified — 0.0%
Merrill Lynch — Saudi Basic Industries Corp.		1,321		46,200
Agricultural Chemicals — 0.0%
UBS AG — UPL, Ltd.(16)		9,285		50,968
Building-Heavy Construction — 0.1%
UBS-IRB Infrastructure Developers, Ltd.(16)		15,573		58,097
Total Equity Certificates (cost $592,469)				638,848
WARRANTS — 0.1%
Diversified Financial Services — 0.1%
Bajaj Finserv, Ltd. Expires 07/03/2017†(16)		2,535		46,228
Bajaj Finserv, Ltd. Expires 07/03/2017†(16)		815		35,802
				82,030
Semiconductor Equipment — 0.0%
Tower Semiconductor, Ltd. Expires 06/30/15 (Strike price $0.18)†(1)(16)		6,345		0
Total Warrants (cost $72,360)				82,030
RIGHTS — 0.0%
Banks-Commercial — 0.0%
Banco Bilbao Vizcaya Argentaria SA Expires 10/17/2014†		7,922		790
Building-Heavy Construction — 0.0%
Mota-Engil Africa SGPA SA Expires 12/31/2014†(1)		9,198		10,003
Total Rights (cost $804)				10,793

178

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares/ Principal Amount(10)			Value (Note 2)
OPTIONS — PURCHASED(2)(20) — 0.1%
Put Options — Purchased (cost $57,708)		79,210		$	85,263
Total Long-Term Investment Securities (cost $125,691,140)					144,217,800
SHORT-TERM INVESTMENT SECURITIES — 0.6%
U.S. Government Treasuries — 0.6%
United States Treasury Bills 0.02% due 10/23/14 (cost $915,988)(11)	$	916,000			915,988
REPURCHASE AGREEMENT — 7.0%
Agreement with Bank of America Securities LLC, bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $10,835,000 collateralized by $10,553,000 of United States Treasury Notes, bearing interest at 2.75% due 10/01/2014 and having an approximate value of $11,093,841 (cost $10,835,000)		10,835,000			10,835,000
TOTAL INVESTMENTS (cost $137,442,128)(7)		101.0	%		155,968,788
Liabilities in excess of other assets		(1.0	)		(1,503,579	)
NET ASSETS		100.0	%	$	154,465,209

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $3,982,209 representing 2.6% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Fair valued security. Securities are classified as Level 2 based on the securities valuation inputs; see Note 2.

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

(4)  Commercial Mortgage Backed Security

(5)  Interest Only

(6)  Collateralized Mortgage Obligation

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

(8)  Company has filed for Chapter 11 bankruptcy protection.

(9)  Security in default

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

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

(12)  PIK ("Payment-in-Kind") security — Income may be paid in additional securities or cash at the discretion of the issuer.

(13)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(14)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Asset Allocation: Diversified Growth Portfolio held the following restricted securities:

Name	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value per Share		% of Net Assets
Common Stocks
Metro Bank PLC	1/15/14		736	$	15,667	$	15,261	$	21		0.01	%
Loans
TXU Energy	5/19/11	$	25,513		24,158
	5/16/11		44,884		42,263
	8/21/14		928		928
			71,325		67,349		52,781		74		0.03	%
						$	68,042				0.04	%

(15)  Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at September 30, 2014.

(16)  Illiquid security. At September 30, 2014,the aggregate value of these securities was $1,347,793 representing 0.9% of net assets.

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

(18)  Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.

(19)  All loans in the portfolio were purchased through assignment agreements unless otherwise indicated.

(20)  Options — Purchased

179

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Put Options — Purchased

Issue	Expiration Month	Strike Price		Number of Contracts		Premiums Paid		Value at September 30, 2014		Unrealized Appreciation/ (Depreciation)
iShares MSCI Emerging Markets Index Fund	December 2014	$	40		51,307	$	34,376	$	52,333	$	17,957
iShares MSCI Emerging Markets Index Fund	November 2014		39		3,886		1,943		1,846		(97	)
iShares MSCI Emerging Markets Index Fund	January 2015		40		21,942		18,651		27,318		8,667
SPDR S&P ETF Trust	January 2014		185		2,075		2,739		3,766		1,027
					79,210	$	57,709	$	85,263	$	27,554

ADR — American Depository Receipt

BATS — Better Alternative Trading System

CVA — Certification Van Aandelen (Dutch Cert.)

Euronext — Euronext Stock Exchange, Amsterdam

GDR — Global Depository Receipt

NVDR — Non-Voting Depository Receipt

REMIC — Real Estate Mortgage Investment Conduit

RSP — Risparmio Savings Shares

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2014 and unless noted otherwise, the dates shown are the original maturity dates.

Open Put Option Contracts Written

Issue	Expiration Month	Strike Price		Number of Contracts		Premiums (Received)			Value at September 30, 2014		Unrealized Appreciation/ (Depreciation)
iShares MSCI Emerging Market	November 2014	$	38		3,886	$	(1,321	)	$	1,282	$	39
iShares MSCI Emerging Market	December 2014		38		51,307		(18,984	)		28,989		(10,005	)
iShares MSCI Emerging Market	January 2015		38		21,942		(10,971	)		15,908		(4,937	)
SPDR S&P 500ETF Trust	November 2014		180		2,075		(1,805	)		1,940		(135	)
					79,210	$	(33,081	)	$	48,119	$	(15,038	)

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 31, 2014		Unrealized Appreciation (Depreciation)
	15	Long	Mini MSCI EAFE Index	December 2014	$	1,418,250	$	1,379,775	$	(38,475	)
	41	Long	Russell 2000 Mini Index	December 2014		4,752,662		4,496,060		(256,602	)
	36	Short	Russell 2000 Mini Index	December 2014		4,173,120		3,947,760		225,360
	40	Long	S&P 500 E-Mini Index	December 2014		3,974,300		3,931,000		(43,300	)
	67	Short	S&P 500 E-Mini Index	December 2014		6,656,952		6,584,425		72,527
	6	Long	S&P Mid 400 E-Mini Index	December 2014		854,700		819,240		(35,460	)
	8	Short	S&P Mid 400 E-Mini Index	December 2014		1,139,322		1,092,320		47,002
	26	Long	SPI 200	December 2014		3,003,938		3,006,596		2,658
	8	Short	TOPIX Index	December 2014		972,692		967,586		5,106
	10	Long	U.S. Treasury 2 YR Notes	December 2014		2,188,750		2,188,438		(312	)
	42	Short	U.S. Treasury 2 YR Notes	December 2014		9,192,094		9,191,438		656
	16	Long	U.S. Treasury 5 YR Notes	December 2014		1,897,125		1,892,125		(5,000	)
	51	Short	U.S. Treasury 5 YR Notes	December 2014		6,047,087		6,031,149		15,938
	73	Long	U.S. Treasury 10 YR Notes	December 2014		9,151,282		9,098,766		(52,516	)
									$	(62,418	)

180

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Total Return Swap Contracts@

Swap Counterparty	Notional Amount (000's)		Termination Date	Fixed Payments Received (Paid) by Portfolio	Total Return Received or Paid by Portfolio	Gross Unrealized Appreciation (Depreciation)
Citibank N.A.	$	6,486	12/19/14	(3 Month USD LIBOR-BBA plus 15 bps)	Citibank U.S. Equity Custom Basket	$	130,534
Citibank N.A.		7,742	12/19/14	3 Month USD LIBOR-BBA minus 10 bps	Russell 1000 Index Total Return		18,120
Net Unrealized Appreciation (Depreciation)						$	148,654

BBA — British Banker's Association

LIBOR — London Interbank Offered Rate

@  Fair valued swap contracts. Total return swap contracts are classified as Level 2 based on swaps valuation inputs. See Note 2.

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America N.A.	EUR	2,957,000	USD	3,883,295	12/17/14	$	146,429	$	—
Barclays Bank PLC	CHF	539,300	USD	587,428	12/17/14		22,123		—
	GBP	1,219,000	USD	2,011,350	12/17/14		36,482		—
	HKD	1,999,100	USD	257,988	11/19/14		561		—
	USD	17,600	SEK	123,500	12/17/14		—		(489	)
							59,166		(489	)
Citibank N.A.	CAD	74,500	USD	69,752	10/15/14		3,253		—
	DKK	1,299,400	USD	229,543	12/17/14		8,967		—
							12,220		—
Credit Suisse AG	USD	477,016	EUR	363,200	12/17/14		—		(18,028	)
Goldman Sachs International	JPY	69,550,700	USD	677,426	11/19/14		43,068		—
HSBC Bank USA, N.A.	JPY	6,891,100	USD	67,124	11/19/14		4,272		—
JPMorgan Chase Bank	CHF	180,800	USD	196,933	12/17/14		7,415		—
	GBP	171,100	USD	281,904	12/17/14		4,710		—
	JPY	80,387,800	USD	782,874	11/19/14		49,672		—
	NOK	450,600	USD	72,423	12/17/14		2,475		—
	SEK	927,900	USD	132,250	12/17/14		3,690		—
	SGD	271,600	USD	217,662	11/19/14		4,765		—
	USD	85,931	CAD	93,900	10/15/14		—		(2,116	)
							72,727		(2,116	)
State Street Bank & Trust Co.	AUD	854,900	USD	804,931	10/15/14		57,112		—
	CAD	37,600	USD	35,200	10/15/14		1,639		—
	USD	12,810	ILS	43,900	10/15/14		—		(890	)
							58,751		(890	)
UBS AG	AUD	139,100	USD	130,979	10/15/14		9,302		—
	GBP	60,900	USD	100,469	12/17/14		1,807		—
							11,109		—
Westpac Banking Corp.	EUR	175,700	USD	230,773	12/17/14		8,734		—
	JPY	80,387,700	USD	782,903	11/19/14		49,703		—
							58,437		—
Net Unrealized Appreciation (Depreciation)						$	466,179	$	(21,523	)

AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
DKK — Danish Krone
EUR — Euro Dollar
GBP — Pound Sterling
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
SEK — Swedish Krona
SGD — Singapore Dollar
USD — United States Dollar

181

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Advertising Services	$	—	$	—	$	0	$	0
Agricultural Operations		70,499		—		644		71,143
Banks-Commercial		3,565,575		—		15,261		3,580,836
Medical-Drugs		7,804,423		—		—		7,804,423
Oil Companies-Exploration & Production		1,986,437		—		1,297		1,987,734
Retail-Hypermarkets		6,727		15,247		—		21,974
Other Indusrties*		109,771,144		—		—		109,771,144
Convertible Preferred Securities:
Aerospace/Defense-Equipment		17,667		—		—		17,667
Finance-Investment Banker/Broker		—		0		—		0
Real Estate Investment Trusts		21,920		—		—		21, 920
Preferred Securities:
Finance-Auto Loans		—		33,031		—		33,031
Other Industries*		391,271		—		—		391,271
Preferred Securities/Capital Securities		—		752,298		—		752,298
Asset Backed Securities		—		2,251,549		—		2,251,549
Convertible Bonds & Notes		—		30,315		—		30,315
U.S. Corporate Bonds & Notes:
Recycling		—		—		2		2
Other Industries*		—		9,167,952		—		9,167,952
Foreign Corporate Bonds & Notes:
Oil Companies-Exploration & Production		—		115,631		1		115,632
Other Industries*		—		1,462,975		—		1,462,975
Loans		—		117,608		—		117,608
Municipal Bonds & Notes		—		104,255		—		104,255
U.S. Government Agencies		—		2,975,755		—		2,975,755
U.S. Government Treasuries		—		2,475,034		—		2,475,034
Exchange-Traded Funds		246,348		—		—		246,348
Equity Certificates		—		638,848		—		638,848
Warrants:
Diversified Financial Services		—		82,030		—		82,030
Semiconductor Equipment		—		—		0		0
Rights:
Banks-Commercial		790		—		—		790
Building-Heavy Construction		—		—		10,003		10,003
Options-Purchased		85,263		—		—		85,263
Short-Term Investment Securities		—		915,988		—		915,988
Repurchase Agreements		—		10,835,000		—		10,835,000
Other Financial Instruments:+
Open Put Options Written-Appreciation		39		—		—		39
Open Futures Contracts-Appreciation		369,247		—		—		369,247
Total Return Swaps-Appreciation		—		148,654		—		148,654
Open Forward Currency Contracts-Appreciation		—		466,179		—		466,179
Total	$	124,337,350	$	32,588,349	$	27,208	$	156,952,907
Liabilities:
Other Financial Instruments:+
Open Put Options Written-Depreciation	$	15,077	$	—	$	—	$	15,077
Open Futures Contracts-Depreciation		431,665		—		—		431,665
Open Forward Currency Contracts-Depreciation		—		21,523		—		21,523
Total	$	446,742	$	21,523	$	—	$	468,265

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities held at the beginning of the period currently valued at $19,276,573 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities and other financial instruments were not considered a material portion of the Portfolio.

See Notes to Financial Statements

182

Seasons Series Trust Stock Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	9.3	%
Web Portals/ISP	8.3
E-Commerce/Products	5.8
E-Commerce/Services	4.8
Casino Hotels	4.0
Real Estate Investment Trusts	3.9
Oil Companies-Exploration & Production	3.7
Finance-Credit Card	3.0
Applications Software	2.7
Retail-Restaurants	2.5
Medical-Drugs	2.4
Retail-Building Products	2.3
Airlines	2.1
Medical-Wholesale Drug Distribution	2.1
Commercial Services-Finance	2.1
Internet Content-Entertainment	2.1
Diversified Manufacturing Operations	1.9
Metal Processors & Fabrication	1.8
Apparel Manufacturers	1.6
Multimedia	1.6
Machinery-General Industrial	1.6
Aerospace/Defense	1.5
Computers	1.5
Retail-Drug Store	1.5
Medical-HMO	1.3
Coatings/Paint	1.2
Medical Instruments	1.1
Registered Investment Companies	1.1
Retail-Auto Parts	1.0
Chemicals-Specialty	1.0
Aerospace/Defense-Equipment	0.9
Diversified Banking Institutions	0.9
Investment Management/Advisor Services	0.9
Telephone-Integrated	0.9
Retail-Gardening Products	0.9
Transport-Rail	0.8
Retail-Automobile	0.7
Internet Content-Information/News	0.7
Electronic Security Devices	0.7
Computers-Other	0.7
Semiconductor Equipment	0.7
Auto-Cars/Light Trucks	0.6
Auto/Truck Parts & Equipment-Original	0.6
Retail-Discount	0.6
Banks-Fiduciary	0.6
Athletic Footwear	0.6
Transport-Services	0.6
Finance-Other Services	0.6
Finance-Investment Banker/Broker	0.5
Therapeutics	0.5
Hotels/Motels	0.5
Software Tools	0.5
Data Processing/Management	0.4
Cosmetics & Toiletries	0.4
Internet Application Software	0.4
Beverages-Non-alcoholic	0.4
Transport-Truck	0.4
Electric Products-Misc.	0.4
Distribution/Wholesale	0.3
Building Products-Cement	0.3

Retail-Apparel/Shoe	0.3	%
Enterprise Software/Service	0.3
Machinery-Pumps	0.3
Industrial Gases	0.2
Motorcycle/Motor Scooter	0.2
Diagnostic Kits	0.2
Web Hosting/Design	0.1
	100.4	%

*  Calculated as a percentage of net assets

183

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 99.2%
Aerospace/Defense — 1.5%
Boeing Co.		49,200	$	6,267,096
Aerospace/Defense-Equipment — 0.9%
United Technologies Corp.		36,400		3,843,840
Airlines — 2.1%
American Airlines Group, Inc.		157,300		5,581,004
Delta Air Lines, Inc.		25,600		925,440
United Continental Holdings, Inc.†		48,600		2,273,994
				8,780,438
Apparel Manufacturers — 1.6%
Hanesbrands, Inc.		25,600		2,750,464
Michael Kors Holdings, Ltd.†		30,000		2,141,700
Under Armour, Inc., Class A†		24,100		1,665,310
				6,557,474
Applications Software — 2.7%
NetSuite, Inc.†		20,700		1,853,478
Red Hat, Inc.†		41,100		2,307,765
salesforce.com, Inc.†		90,000		5,177,700
ServiceNow, Inc.†		30,400		1,786,912
				11,125,855
Athletic Footwear — 0.6%
NIKE, Inc., Class B		27,500		2,453,000
Auto-Cars/Light Trucks — 0.6%
Tesla Motors, Inc.†		10,900		2,645,212
Auto/Truck Parts & Equipment-Original — 0.6%
Delphi Automotive PLC		42,800		2,625,352
Banks-Fiduciary — 0.6%
State Street Corp.		33,500		2,465,935
Beverages-Non-alcoholic — 0.4%
PepsiCo, Inc.		17,000		1,582,530
Building Products-Cement — 0.3%
Martin Marietta Materials, Inc.		10,600		1,366,764
Casino Hotels — 4.0%
Las Vegas Sands Corp.		69,200		4,304,932
MGM Resorts International†		150,680		3,432,490
Wynn Macau, Ltd.		655,600		2,085,465
Wynn Resorts, Ltd.		35,000		6,547,800
				16,370,687
Chemicals-Specialty — 1.0%
Ecolab, Inc.		37,000		4,248,710
Coatings/Paint — 1.2%
Sherwin-Williams Co.		23,200		5,080,568
Commercial Services-Finance — 2.1%
MasterCard, Inc., Class A		115,600		8,545,152
Computers — 1.5%
Apple, Inc.		62,100		6,256,575
Computers-Other — 0.7%
Stratasys, Ltd.†		23,600		2,850,408
Cosmetics & Toiletries — 0.4%
Estee Lauder Cos., Inc., Class A		22,400		1,673,728

Security Description	Shares		Value (Note 2)
Data Processing/Management — 0.4%
Fiserv, Inc.†		26,900	$	1,738,682
Diagnostic Kits — 0.2%
IDEXX Laboratories, Inc.†		6,000		706,980
Distribution/Wholesale — 0.3%
WW Grainger, Inc.		5,700		1,434,405
Diversified Banking Institutions — 0.9%
Morgan Stanley		107,400		3,712,818
Diversified Manufacturing Operations — 1.9%
Danaher Corp.		102,700		7,803,146
E-Commerce/Products — 5.8%
Alibaba Group Holding. Ltd. ADR†		57,200		5,082,220
Amazon.com, Inc.†		49,200		15,864,048
Vipshop Holdings, Ltd. ADR†		14,200		2,683,942
				23,630,210
E-Commerce/Services — 4.8%
Ctrip.com International, Ltd. ADR†		52,200		2,962,872
Netflix, Inc.†		8,500		3,835,030
Priceline Group, Inc.†		11,100		12,860,238
				19,658,140
Electric Products-Misc. — 0.4%
Mobileye NV†		26,900		1,441,571
Electronic Security Devices — 0.7%
Tyco International, Ltd.		65,100		2,901,507
Enterprise Software/Service — 0.3%
Workday, Inc., Class A†		14,900		1,229,250
Finance-Credit Card — 3.0%
American Express Co.		11,200		980,448
Visa, Inc., Class A		53,000		11,308,610
				12,289,058
Finance-Investment Banker/Broker — 0.5%
TD Ameritrade Holding Corp.		67,000		2,235,790
Finance-Other Services — 0.6%
Intercontinental Exchange, Inc.		12,200		2,379,610
Hotel/Motels — 0.5%
Starwood Hotels & Resorts Worldwide, Inc.		24,700		2,055,287
Industrial Gases — 0.2%
Praxair, Inc.		5,800		748,200
Internet Application Software — 0.4%
Tencent Holdings, Ltd.		107,000		1,588,839
Internet Content-Entertainment — 2.1%
Facebook, Inc., Class A†		96,600		7,635,264
Pandora Media, Inc.†		36,500		881,840
				8,517,104
Internet Content-Information/News — 0.7%
LinkedIn Corp., Class A†		14,400		2,992,176
Investment Management/Advisor Services — 0.9%
BlackRock, Inc.		6,400		2,101,248
Invesco, Ltd.		39,600		1,563,408
				3,664,656

184

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-General Industrial — 1.6%
Roper Industries, Inc.		27,800	$	4,066,862
Wabtec Corp.		30,000		2,431,200
				6,498,062
Machinery-Pumps — 0.3%
Flowserve Corp.		16,400		1,156,528
Medical Instruments — 1.1%
Intuitive Surgical, Inc.†		10,200		4,710,564
Medical-Biomedical/Gene — 9.3%
Alexion Pharmaceuticals, Inc.†		30,600		5,074,092
Biogen Idec, Inc.†		26,600		8,799,546
Celgene Corp.†		50,000		4,739,000
Gilead Sciences, Inc.†		118,300		12,593,035
Incyte Corp.†		30,100		1,476,405
Regeneron Pharmaceuticals, Inc.†		6,100		2,199,172
Vertex Pharmaceuticals, Inc.†		27,600		3,099,756
				37,981,006
Medical-Drugs — 2.4%
Allergan, Inc.		22,700		4,044,913
Valeant Pharmaceuticals International, Inc.†		42,800		5,615,360
				9,660,273
Medical-HMO — 1.3%
Humana, Inc.		17,700		2,306,133
UnitedHealth Group, Inc.		33,800		2,915,250
				5,221,383
Medical-Wholesale Drug Distribution — 2.1%
McKesson Corp.		44,200		8,604,414
Metal Processors & Fabrication — 1.8%
Precision Castparts Corp.		30,300		7,177,464
Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.		12,800		744,960
Multimedia — 1.6%
Twenty-First Century Fox, Inc., Class A		40,200		1,378,458
Walt Disney Co.		57,800		5,145,934
				6,524,392
Oil Companies-Exploration & Production — 3.7%
Concho Resources, Inc.†		15,600		1,956,084
Continental Resources, Inc.†		30,700		2,040,936
EQT Corp.		32,400		2,965,896
Pioneer Natural Resources Co.		26,600		5,239,402
Range Resources Corp.		42,938		2,911,626
				15,113,944
Real Estate Investment Trusts — 3.9%
American Tower Corp.		76,900		7,200,147
Crown Castle International Corp.		107,400		8,648,922
				15,849,069
Retail-Apparel/Shoe — 0.3%
Ross Stores, Inc.		16,700		1,262,186
Retail-Auto Parts — 1.0%
AutoZone, Inc.†		8,400		4,281,144

Security Description	Shares		Value (Note 2)
Retail-Automobile — 0.7%
CarMax, Inc.†		65,000	$	3,019,250
Retail-Building Products — 2.3%
Home Depot, Inc.		48,400		4,440,216
Lowe's Cos., Inc.		97,500		5,159,700
				9,599,916
Retail-Discount — 0.6%
Costco Wholesale Corp.		19,900		2,493,868
Retail-Drug Store — 1.5%
CVS Health Corp.		53,700		4,273,983
Walgreen Co.		28,600		1,695,122
				5,969,105
Retail-Gardening Products — 0.9%
Tractor Supply Co.		58,500		3,598,335
Retail-Restaurants — 2.5%
Chipotle Mexican Grill, Inc.†		6,600		4,399,494
Starbucks Corp.		77,500		5,848,150
				10,247,644
Semiconductor Equipment — 0.7%
ASML Holding NV (NY Registered Shares)		27,500		2,717,550
Software Tools — 0.5%
VMware, Inc., Class A†		21,900		2,055,096
Telephone-Integrated — 0.9%
SoftBank Corp.		52,200		3,659,592
Therapeutics — 0.5%
Pharmacyclics, Inc.†		17,700		2,078,511
Transport-Rail — 0.8%
Kansas City Southern		26,600		3,223,920
Transport-Services — 0.6%
FedEx Corp.		15,000		2,421,750
Transport-Truck — 0.4%
J.B. Hunt Transport Services, Inc.		20,400		1,510,620
Web Portals/ISP — 8.3%
Baidu, Inc. ADR†		32,600		7,114,298
Google, Inc., Class A†		21,400		12,591,974
Google, Inc., Class C†		21,800		12,586,448
NAVER Corp.		2,347		1,794,863
				34,087,583
Total Common Stocks (cost $308,779,899)				406,934,882
CONVERTIBLE PREFERRED SECURITIES — 0.1%
E-Commerce/Services — 0.0%
Living Social, Inc., Class F†(1)(2)(3)		11,949		5,496
Web Hosting/Design — 0.1%
AirBNB, Inc., Series D†(1)(2)(3)		13,329		541,178
Total Convertible Preferred Securities (cost $634,552)				546,674
Total Long-Term Investment Securities (cost $309,414,451)				407,481,556

185

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 1.1%
Registered Investment Companies — 1.1%
T. Rowe Price Reserve Investment Fund (cost $4,527,223)		4,527,223		$	4,527,223
TOTAL INVESTMENTS (cost $313,941,674)(4)		100.4	%		412,008,779
Liabilities in excess of other assets		(0.4	)		(1,806,875	)
NET ASSETS		100.0	%	$	410,201,904

†  Non-income producing security

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $546,674 representing 0.1% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Stock Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value per Share		% of Net Assets
Convertible Preferred Securities
Living Social, Inc., Class F	11/18/2011		11,949	$	91,888	$	5,496	$	0.46		0.00	%
AirBNB, Inc., Series D	04/16/2014		13,329		542,664		541,178		40.60		0.13
						$	546,674				0.13	%

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

ADR — American Depository Receipt

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
E-Commerce/Products	$	23,630,210	$	—	$	—	$	23,630,210
Medical-Biomedical/Gene		37,981,006		—		—		37,981,006
Web Portals/ISP		34,087,583		—		—		34,087,583
Other Industries*		311,236,083		—		—		311,236,083
Convertible Preferred Securities		—		—		546,674		546,674
Short-Term Investment Securities:
Registered Investment Companies		4,527,223		—		—		4,527,223
Total	$	411,462,105	$	—	$	546,674	$	412,008,779

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities held at the beginning of the period currently valued at $7,539,920 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

186

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Computers	6.1	%
Medical-Biomedical/Gene	5.6
Medical-Drugs	4.3
Web Portals/ISP	4.0
Applications Software	3.1
E-Commerce/Products	2.7
Real Estate Investment Trusts	2.7
Beverages-Non-alcoholic	2.3
Retail-Restaurants	2.3
Cable/Satellite TV	2.2
Multimedia	2.1
Oil Companies-Exploration & Production	2.1
Diversified Manufacturing Operations	2.0
Finance-Credit Card	1.9
Semiconductor Components-Integrated Circuits	1.8
Oil-Field Services	1.7
Cosmetics & Toiletries	1.7
Transport-Rail	1.7
Instruments-Controls	1.6
Internet Content-Entertainment	1.5
Retail-Building Products	1.5
Commercial Services-Finance	1.3
Metal Processors & Fabrication	1.3
Athletic Footwear	1.3
Retail-Discount	1.3
Chemicals-Diversified	1.2
Food-Retail	1.1
Retail-Apparel/Shoe	1.1
E-Commerce/Services	1.1
Enterprise Software/Service	1.0
Computer Services	1.0
Computers-Memory Devices	1.0
Aerospace/Defense	0.9
Medical-Generic Drugs	0.9
Tobacco	0.8
Food-Misc./Diversified	0.8
Industrial Gases	0.8
Electronic Components-Semiconductors	0.8
Repurchase Agreements	0.8
Agricultural Chemicals	0.8
Finance-Other Services	0.8
Transport-Services	0.7
Web Hosting/Design	0.7
Real Estate Management/Services	0.7
Exchange-Traded Funds	0.7
Medical Products	0.6
Investment Management/Advisor Services	0.6
Medical-Wholesale Drug Distribution	0.6
Internet Content-Information/News	0.6
Electronic Measurement Instruments	0.6
Electronic Components-Misc.	0.5
Banks-Commercial	0.5
Medical Information Systems	0.5
Airlines	0.5
Retail-Major Department Stores	0.5
Broadcast Services/Program	0.5
Oil Field Machinery & Equipment	0.5
Coatings/Paint	0.5
Registered Investment Companies	0.4

Electronic Connectors	0.4	%
Distribution/Wholesale	0.4
Casino Hotels	0.4
Banks-Super Regional	0.4
Diversified Banking Institutions	0.4
Finance-Investment Banker/Broker	0.4
Insurance Brokers	0.4
Food-Confectionery	0.4
Pharmacy Services	0.4
Telephone-Integrated	0.4
Apparel Manufacturers	0.4
Retail-Auto Parts	0.4
Telecom Services	0.3
Hotels/Motels	0.3
Medical-HMO	0.3
Medical Instruments	0.3
Cellular Telecom	0.3
Containers-Metal/Glass	0.3
Therapeutics	0.3
Television	0.3
Electronic Security Devices	0.3
Electronic Design Automation	0.3
Finance-Consumer Loans	0.3
Wireless Equipment	0.3
Oil Companies-Integrated	0.3
Semiconductor Equipment	0.3
Machinery-General Industrial	0.3
Retail-Catalog Shopping	0.3
Oil Refining & Marketing	0.2
Retail-Gardening Products	0.2
Computer Aided Design	0.2
Electric-Transmission	0.2
Telecommunication Equipment	0.2
Insurance-Life/Health	0.2
Chemicals-Specialty	0.2
Instruments-Scientific	0.2
Retail-Jewelry	0.2
Building-Residential/Commercial	0.2
Pipelines	0.2
Beverages-Wine/Spirits	0.2
Aerospace/Defense-Equipment	0.2
Transactional Software	0.2
Auto/Truck Parts & Equipment-Original	0.2
Data Processing/Management	0.2
Retail-Pet Food & Supplies	0.2
Retail-Perfume & Cosmetics	0.2
Toys	0.2
Retail-Mail Order	0.2
Electric Products-Misc.	0.1
Electronic Forms	0.1
Consumer Products-Misc.	0.1
Food-Wholesale/Distribution	0.1
Advertising Agencies	0.1
Retail-Drug Store	0.1
Auto-Heavy Duty Trucks	0.1
Electric-Integrated	0.1
Vitamins & Nutrition Products	0.1
Banks-Fiduciary	0.1
Coffee	0.1

187

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Industrial Automated/Robotic	0.1	%
Internet Security	0.1
Engines-Internal Combustion	0.1
	100.2	%

*  Calculated as a percentage of net assets

188

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.3%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		6,349	$	116,314
Omnicom Group, Inc.		3,784		260,566
				376,880
Aerospace/Defense — 0.9%
Boeing Co.		20,156		2,567,471
General Dynamics Corp.		2,201		279,725
Lockheed Martin Corp.		2,479		453,112
Northrop Grumman Corp.		1,347		177,481
Raytheon Co.		2,341		237,892
Rockwell Collins, Inc.		1,119		87,842
				3,803,523
Aerospace/Defense-Equipment — 0.2%
United Technologies Corp.		7,178		757,997
Agricultural Chemicals — 0.8%
CF Industries Holdings, Inc.		434		121,181
Monsanto Co.		28,782		3,238,263
				3,359,444
Airlines — 0.5%
Delta Air Lines, Inc.		12,701		459,141
Southwest Airlines Co.		10,323		348,608
United Continental Holdings, Inc.†		28,403		1,328,976
				2,136,725
Apparel Manufacturers — 0.4%
Carter's, Inc.		9,657		748,611
Michael Kors Holdings, Ltd.†		3,092		220,738
Ralph Lauren Corp.		549		90,437
Under Armour, Inc., Class A†		2,506		173,164
VF Corp.		5,196		343,092
				1,576,042
Applications Software — 3.1%
Citrix Systems, Inc.†		1,536		109,578
Intuit, Inc.		4,277		374,879
Microsoft Corp.		217,972		10,105,182
Red Hat, Inc.†		2,849		159,971
salesforce.com, Inc.†		14,329		824,348
ServiceNow, Inc.†		24,824		1,459,155
				13,033,113
Athletic Footwear — 1.3%
NIKE, Inc., Class B		60,914		5,433,529
Audio/Video Products — 0.0%
Harman International Industries, Inc.		1,026		100,589
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		5,345		303,997
Auto/Truck Parts & Equipment-Original — 0.2%
BorgWarner, Inc.		3,441		181,031
Delphi Automotive PLC		2,031		124,582
Johnson Controls, Inc.		10,034		441,496
				747,109

Security Description	Shares		Value (Note 2)
Banks-Commercial — 0.5%
First Republic Bank		29,816	$	1,472,314
PacWest Bancorp		13,470		555,368
Regions Financial Corp.		10,384		104,255
Zions Bancorporation		1,528		44,404
				2,176,341
Banks-Fiduciary — 0.1%
State Street Corp.		3,446		253,660
Banks-Super Regional — 0.4%
Comerica, Inc.		2,724		135,819
Fifth Third Bancorp		12,569		251,631
Huntington Bancshares, Inc.		12,309		119,767
KeyCorp		13,210		176,089
US Bancorp		24,937		1,043,115
				1,726,421
Beverages-Non-alcoholic — 2.3%
Coca-Cola Co.		80,804		3,447,099
Coca-Cola Enterprises, Inc.		18,165		805,799
Dr Pepper Snapple Group, Inc.		1,411		90,742
Monster Beverage Corp.†		7,508		688,258
PepsiCo, Inc.		51,590		4,802,513
				9,834,411
Beverages-Wine/Spirits — 0.2%
Brown-Forman Corp., Class B		6,330		571,093
Constellation Brands, Inc., Class A†		2,525		220,079
				791,172
Broadcast Services/Program — 0.5%
Discovery Communications, Inc., Class A†		24,791		937,100
Discovery Communications, Inc., Class C†		26,679		994,593
Scripps Networks Interactive, Inc., Class A		1,562		121,976
				2,053,669
Building Products-Cement — 0.0%
Martin Marietta Materials, Inc.		436		56,218
Vulcan Materials Co.		848		51,075
				107,293
Building Products-Wood — 0.0%
Masco Corp.		3,437		82,213
Building-Residential/Commercial — 0.2%
Lennar Corp., Class A		1,233		47,877
Toll Brothers, Inc.†		24,865		774,794
				822,671
Cable/Satellite TV — 2.2%
Comcast Corp., Class A		135,049		7,262,935
DIRECTV†		7,567		654,697
Time Warner Cable, Inc.		9,404		1,349,380
				9,267,012

189

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Casino Hotels — 0.4%
Las Vegas Sands Corp.		17,023	$	1,059,001
MGM Resorts International†		19,859		452,388
Wynn Resorts, Ltd.		1,222		228,612
				1,740,001
Cellular Telecom — 0.3%
T-Mobile US, Inc.†		42,204		1,218,429
Chemicals-Diversified — 1.2%
E.I. du Pont de Nemours & Co.		7,860		564,034
FMC Corp.		2,006		114,723
LyondellBasell Industries NV, Class A		19,420		2,110,177
PPG Industries, Inc.		7,388		1,453,515
Rockwood Holdings, Inc.		9,951		760,754
				5,003,203
Chemicals-Specialty — 0.2%
Eastman Chemical Co.		2,247		181,760
Ecolab, Inc.		4,063		466,554
International Flavors & Fragrances, Inc.		721		69,130
Sigma-Aldrich Corp.		1,004		136,554
				853,998
Coatings/Paint — 0.5%
Sherwin-Williams Co.		9,155		2,004,853
Coffee — 0.1%
Keurig Green Mountain, Inc.		1,835		238,789
Commercial Services — 0.0%
Cintas Corp.		1,456		102,779
Quanta Services, Inc.†		1,209		43,875
				146,654
Commercial Services-Finance — 1.3%
Alliance Data Systems Corp.†		837		207,802
Automatic Data Processing, Inc.		7,246		601,998
Equifax, Inc.		1,835		137,148
FleetCor Technologies, Inc.†		5,873		834,671
H&R Block, Inc.		2,735		84,812
MasterCard, Inc., Class A		40,177		2,969,884
McGraw Hill Financial, Inc.		2,408		203,356
Moody's Corp.		2,800		264,600
Total System Services, Inc.		2,490		77,090
Western Union Co.		5,028		80,649
				5,462,010
Computer Aided Design — 0.2%
ANSYS, Inc.†		10,659		806,567
Autodesk, Inc.†		3,424		188,662
				995,229
Computer Services — 1.0%
Accenture PLC, Class A		5,326		433,110
Cognizant Technology Solutions Corp., Class A†		9,159		410,049
IHS, Inc., Class A†		5,396		675,525
International Business Machines Corp.		13,663		2,593,647
				4,112,331

Security Description	Shares		Value (Note 2)
Computer Software — 0.0%
Akamai Technologies, Inc.†		2,684	$	160,503
Computers — 6.1%
Apple, Inc.		255,519		25,743,539
Computers-Integrated Systems — 0.0%
Teradata Corp.†		1,191		49,927
Computers-Memory Devices — 1.0%
EMC Corp.		103,640		3,032,506
NetApp, Inc.		3,271		140,522
SanDisk Corp.		3,378		330,875
Seagate Technology PLC		4,924		281,998
Western Digital Corp.		3,314		322,519
				4,108,420
Consumer Products-Misc. — 0.1%
Clorox Co.		1,126		108,141
Kimberly-Clark Corp.		3,324		357,563
				465,704
Containers-Metal/Glass — 0.3%
Ball Corp.		1,001		63,333
Crown Holdings, Inc.†		24,920		1,109,439
Owens-Illinois, Inc.†		1,440		37,512
				1,210,284
Containers-Paper/Plastic — 0.0%
Sealed Air Corp.		3,194		111,407
Cosmetics & Toiletries — 1.7%
Avon Products, Inc.		2,685		33,831
Colgate-Palmolive Co.		65,578		4,276,997
Estee Lauder Cos., Inc., Class A		15,019		1,122,219
Procter & Gamble Co.		20,805		1,742,211
				7,175,258
Data Processing/Management — 0.2%
Dun & Bradstreet Corp.		548		64,374
Fidelity National Information Services, Inc.		4,300		242,090
Fiserv, Inc.†		3,755		242,704
Paychex, Inc.		3,299		145,816
				694,984
Dental Supplies & Equipment — 0.0%
DENTSPLY International, Inc.		1,175		53,580
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc.†		1,605		117,390
Disposable Medical Products — 0.0%
C.R. Bard, Inc.		1,124		160,406
Distribution/Wholesale — 0.4%
Fastenal Co.		4,114		184,718
Fossil Group, Inc.†		701		65,824
Genuine Parts Co.		1,015		89,026
WW Grainger, Inc.		5,682		1,429,875
				1,769,443
Diversified Banking Institutions — 0.4%
Citigroup, Inc.		33,088		1,714,620

190

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Manufacturing Operations — 2.0%
3M Co.		9,762	$	1,383,080
Colfax Corp.†		18,386		1,047,450
Danaher Corp.		45,844		3,483,227
Dover Corp.		10,248		823,222
Eaton Corp. PLC		3,083		195,370
Illinois Tool Works, Inc.		3,023		255,202
Ingersoll-Rand PLC		19,159		1,079,801
Parker-Hannifin Corp.		1,323		151,021
Pentair PLC		1,770		115,917
Textron, Inc.		4,207		151,410
				8,685,700
Diversified Operations — 0.0%
Leucadia National Corp.		2,197		52,376
E-Commerce/Products — 2.7%
Alibaba Group Holding. Ltd. ADR†		9,234		820,441
Amazon.com, Inc.†		22,513		7,259,092
eBay, Inc.†		60,545		3,428,663
				11,508,196
E-Commerce/Services — 1.1%
Expedia, Inc.		882		77,281
Netflix, Inc.†		905		408,318
Priceline Group, Inc.†		3,404		3,943,806
TripAdvisor, Inc.†		1,678		153,403
				4,582,808
Electric Products-Misc. — 0.1%
AMETEK, Inc.		3,703		185,928
Emerson Electric Co.		6,519		407,959
				593,887
Electric-Integrated — 0.1%
Dominion Resources, Inc.		4,389		303,236
Electric-Transmission — 0.2%
Brookfield Infrastructure Partners LP		25,886		983,668
Electronic Components-Misc. — 0.5%
Garmin, Ltd.		768		39,928
TE Connectivity, Ltd.		39,821		2,201,703
				2,241,631
Electronic Components-Semiconductors — 0.8%
Altera Corp.		1,909		68,304
Avago Technologies, Ltd.		2,238		194,706
First Solar, Inc.†		1,132		74,497
Freescale Semiconductor, Ltd.†		13,892		271,311
Microchip Technology, Inc.		3,019		142,587
Micron Technology, Inc.†		16,133		552,717
NVIDIA Corp.		3,723		68,689
Texas Instruments, Inc.		9,650		460,209
Xilinx, Inc.		37,104		1,571,354
				3,404,374
Electronic Connectors — 0.4%
Amphenol Corp., Class A		18,219		1,819,349
Electronic Design Automation — 0.3%
Cadence Design Systems, Inc.†		67,406		1,160,057

Security Description	Shares		Value (Note 2)
Electronic Forms — 0.1%
Adobe Systems, Inc.†		7,119	$	492,564
Electronic Measurement Instruments — 0.6%
Agilent Technologies, Inc.		27,440		1,563,531
FLIR Systems, Inc.		1,409		44,158
National Instruments Corp.		24,957		771,920
				2,379,609
Electronic Security Devices — 0.3%
Allegion PLC		594		28,298
Tyco International, Ltd.		25,625		1,142,106
				1,170,404
Engines-Internal Combustion — 0.1%
Cummins, Inc.		1,701		224,498
Enterprise Software/Service — 1.0%
CA, Inc.		3,186		89,017
Oracle Corp.		103,878		3,976,450
Tyler Technologies, Inc.†		3,011		266,172
				4,331,639
Entertainment Software — 0.0%
Electronic Arts, Inc.†		4,710		167,723
Filtration/Separation Products — 0.0%
Pall Corp.		1,062		88,889
Finance-Consumer Loans — 0.3%
Navient Corp.		64,181		1,136,645
Finance-Credit Card — 1.9%
American Express Co.		23,042		2,017,097
Discover Financial Services		6,959		448,090
Visa, Inc., Class A		26,504		5,655,158
				8,120,345
Finance-Investment Banker/Broker — 0.4%
Charles Schwab Corp.		17,280		507,859
E*TRADE Financial Corp.†		27,541		622,151
LPL Financial Holdings, Inc.		12,444		573,047
				1,703,057
Finance-Other Services — 0.8%
Intercontinental Exchange, Inc.		16,681		3,253,629
Food-Confectionery — 0.4%
Hershey Co.		16,809		1,604,083
J.M. Smucker Co.		706		69,887
				1,673,970
Food-Meat Products — 0.0%
Hormel Foods Corp.		1,255		64,494
Food-Misc./Diversified — 0.8%
Campbell Soup Co.		1,267		54,139
General Mills, Inc.		5,076		256,084
Hain Celestial Group, Inc.†		17,728		1,814,461
Kellogg Co.		2,003		123,385
Kraft Foods Group, Inc.		8,949		504,723
McCormick & Co., Inc.		10,448		698,971
				3,451,763

191

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Retail — 1.1%
Kroger Co.		25,868	$	1,345,136
Safeway, Inc.		3,471		119,055
Whole Foods Market, Inc.		87,845		3,347,773
				4,811,964
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		11,008		417,754
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		1,278		148,964
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc.		2,145		73,809
Hotels/Motels — 0.3%
Marriott International, Inc., Class A		12,556		877,664
Starwood Hotels & Resorts Worldwide, Inc.		2,870		238,813
Wyndham Worldwide Corp.		1,886		153,256
				1,269,733
Human Resources — 0.0%
Robert Half International, Inc.		2,071		101,479
Industrial Automated/Robotic — 0.1%
Rockwell Automation, Inc.		2,077		228,221
Industrial Gases — 0.8%
Air Products & Chemicals, Inc.		13,766		1,792,058
Airgas, Inc.		11,900		1,316,735
Praxair, Inc.		2,596		334,884
				3,443,677
Instruments-Controls — 1.6%
Honeywell International, Inc.		38,422		3,577,857
Sensata Technologies Holding NV†		74,061		3,297,936
				6,875,793
Instruments-Scientific — 0.2%
PerkinElmer, Inc.		902		39,327
Thermo Fisher Scientific, Inc.		6,011		731,539
Waters Corp.†		759		75,232
				846,098
Insurance Brokers — 0.4%
Aon PLC		16,041		1,406,315
Marsh & McLennan Cos., Inc.		5,413		283,316
				1,689,631
Insurance-Life/Health — 0.2%
Lincoln National Corp.		1,770		94,837
Principal Financial Group, Inc.		2,183		114,542
Prudential Financial, Inc.		6,930		609,424
Torchmark Corp.		1,967		103,012
				921,815
Internet Content-Entertainment — 1.5%
Facebook, Inc., Class A†		77,881		6,155,714
Twitter, Inc.†		7,962		410,680
				6,566,394
Internet Content-Information/News — 0.6%
LinkedIn Corp., Class A†		11,638		2,418,260

Security Description	Shares		Value (Note 2)
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		737	$	87,511
Internet Security — 0.1%
Symantec Corp.		5,618		132,079
VeriSign, Inc.†		1,695		93,429
				225,508
Investment Management/Advisor Services — 0.6%
Affiliated Managers Group, Inc.†		837		167,701
Ameriprise Financial, Inc.		2,820		347,932
BlackRock, Inc.		3,888		1,276,508
Franklin Resources, Inc.		5,935		324,111
Invesco, Ltd.		6,519		257,370
T. Rowe Price Group, Inc.		3,963		310,699
				2,684,321
Machinery-General Industrial — 0.3%
Roper Industries, Inc.		7,534		1,102,149
Machinery-Pumps — 0.0%
Flowserve Corp.		2,061		145,342
Xylem, Inc.		1,651		58,594
				203,936
Medical Information Systems — 0.5%
athenahealth, Inc.†		5,410		712,443
Cerner Corp.†		24,415		1,454,401
				2,166,844
Medical Instruments — 0.3%
Boston Scientific Corp.†		19,973		235,881
Edwards Lifesciences Corp.†		863		88,155
Intuitive Surgical, Inc.†		341		157,481
Medtronic, Inc.		8,412		521,123
St Jude Medical, Inc.		4,289		257,898
				1,260,538
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings†		665		67,664
Medical Products — 0.6%
Baxter International, Inc.		4,162		298,707
Becton Dickinson and Co.		2,890		328,911
CareFusion Corp.†		1,284		58,101
Covidien PLC		3,267		282,628
Hospira, Inc.†		1,169		60,823
Stryker Corp.		4,506		363,859
Varian Medical Systems, Inc.†		964		77,236
Zimmer Holdings, Inc.		12,505		1,257,378
				2,727,643
Medical-Biomedical/Gene — 5.6%
Alexion Pharmaceuticals, Inc.†		2,980		494,144
Amgen, Inc.		24,577		3,452,085
Biogen Idec, Inc.†		12,473		4,126,193
Celgene Corp.†		57,288		5,429,757
Gilead Sciences, Inc.†		61,828		6,581,590
Medivation, Inc.†		9,586		947,768
NPS Pharmaceuticals, Inc.†		22,724		590,824
Regeneron Pharmaceuticals, Inc.†		5,427		1,956,542
Vertex Pharmaceuticals, Inc.†		3,587		402,856
				23,981,759

192

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs — 4.3%
Abbott Laboratories		41,399	$	1,721,784
AbbVie, Inc.		48,620		2,808,291
Allergan, Inc.		4,477		797,757
Bristol-Myers Squibb Co.		45,124		2,309,446
Endo International PLC†		19,985		1,365,775
Ironwood Pharmaceuticals, Inc.†		55,986		725,299
Jazz Pharmaceuticals PLC†		7,974		1,280,305
Johnson & Johnson		29,492		3,143,552
Mallinckrodt PLC†		13,103		1,181,236
Merck & Co., Inc.		20,427		1,210,913
Pfizer, Inc.		46,811		1,384,201
Zoetis, Inc.		4,984		184,159
				18,112,718
Medical-Generic Drugs — 0.9%
Actavis PLC†		3,981		960,536
Mylan, Inc.†		51,613		2,347,875
Perrigo Co. PLC		2,016		302,783
				3,611,194
Medical-HMO — 0.3%
Aetna, Inc.		11,164		904,284
Cigna Corp.		3,975		360,493
				1,264,777
Medical-Hospitals — 0.0%
Tenet Healthcare Corp.†		575		34,149
Universal Health Services, Inc., Class B		1,374		143,583
				177,732
Medical-Wholesale Drug Distribution — 0.6%
AmerisourceBergen Corp.		1,477		114,172
McKesson Corp.		12,772		2,486,325
				2,600,497
Metal Processors & Fabrication — 1.3%
Precision Castparts Corp.		19,982		4,733,336
Rexnord Corp.†		24,891		708,149
				5,441,485
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		3,276		190,663
Multimedia — 2.1%
Time Warner, Inc.		7,084		532,788
Twenty-First Century Fox, Inc., Class A		146,539		5,024,822
Viacom, Inc., Class B		5,736		441,328
Walt Disney Co.		34,673		3,086,937
				9,085,875
Non-Hazardous Waste Disposal — 0.0%
Waste Management, Inc.		3,594		170,823
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		3,056		76,369
Oil & Gas Drilling — 0.0%
Helmerich & Payne, Inc.		1,631		159,626

Security Description	Shares		Value (Note 2)
Oil Companies-Exploration & Production — 2.1%
Anadarko Petroleum Corp.		35,058	$	3,556,284
Cabot Oil & Gas Corp.		6,287		205,522
Chesapeake Energy Corp.		3,834		88,144
Cimarex Energy Co.		826		104,514
EOG Resources, Inc.		8,248		816,717
EQT Corp.		2,283		208,986
Newfield Exploration Co.†		1,235		45,781
Noble Energy, Inc.		40,474		2,766,803
Occidental Petroleum Corp.		5,403		519,498
Pioneer Natural Resources Co.		2,156		424,667
Range Resources Corp.		2,542		172,373
Southwestern Energy Co.†		3,033		106,003
				9,015,292
Oil Companies-Integrated — 0.3%
Phillips 66		13,674		1,111,833
Oil Field Machinery & Equipment — 0.5%
Cameron International Corp.†		17,443		1,157,866
FMC Technologies, Inc.†		3,538		192,149
National Oilwell Varco, Inc.		8,995		684,520
				2,034,535
Oil Refining & Marketing — 0.2%
Marathon Petroleum Corp.		1,878		159,010
Valero Energy Corp.		18,613		861,224
				1,020,234
Oil-Field Services — 1.7%
Core Laboratories NV		6,488		949,519
Halliburton Co.		42,893		2,767,027
NOW, Inc.†		10,970		333,598
Schlumberger, Ltd.		31,161		3,168,762
				7,218,906
Pharmacy Services — 0.4%
Express Scripts Holding Co.†		11,632		821,568
Omnicare, Inc.		13,653		850,036
				1,671,604
Pipelines — 0.2%
Kinder Morgan, Inc.		9,911		379,988
Spectra Energy Corp.		4,751		186,524
Williams Cos., Inc.		4,560		252,396
				818,908
Publishing-Newspapers — 0.0%
News Corp., Class A†		7,503		122,674
Publishing-Periodicals — 0.0%
Nielsen NV		2,521		111,756
Real Estate Investment Trusts — 2.7%
American Tower Corp.		78,104		7,312,877
Apartment Investment & Management Co., Class A		1,057		33,634
AvalonBay Communities, Inc.		810		114,186
Boston Properties, Inc.		1,153		133,471
CBS Outdoor Americas, Inc.		9,620		288,023
Crown Castle International Corp.		5,030		405,066
Equity Residential		2,507		154,381
Essex Property Trust, Inc.		545		97,419

193

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
General Growth Properties, Inc.		4,065	$	95,731
Health Care REIT, Inc.		3,369		210,125
Host Hotels & Resorts, Inc.		7,413		158,119
Iron Mountain, Inc.		1,139		37,188
Kimco Realty Corp.		2,787		61,063
Lexington Realty Trust		28,206		276,137
Macerich Co.		2,120		135,320
Plum Creek Timber Co., Inc.		1,521		59,334
Prologis, Inc.		4,444		167,539
Public Storage		1,245		206,471
Simon Property Group, Inc.		6,313		1,037,983
Ventas, Inc.		2,173		134,617
Vornado Realty Trust		1,394		139,344
				11,258,028
Real Estate Management/Services — 0.7%
CBRE Group, Inc., Class A†		77,967		2,318,738
Jones Lang LaSalle, Inc.		4,488		567,014
				2,885,752
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		1,445		160,539
Retail-Apparel/Shoe — 1.1%
Coach, Inc.		2,483		88,420
Gap, Inc.		2,724		113,564
L Brands, Inc.		32,384		2,169,080
PVH Corp.		17,174		2,080,630
Ross Stores, Inc.		3,161		238,908
Urban Outfitters, Inc.†		938		34,425
				4,725,027
Retail-Auto Parts — 0.4%
AutoZone, Inc.†		2,531		1,289,949
O'Reilly Automotive, Inc.†		1,563		235,013
				1,524,962
Retail-Automobile — 0.0%
CarMax, Inc.†		1,850		85,932
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.†		3,043		200,321
Retail-Building Products — 1.5%
Home Depot, Inc.		40,834		3,746,111
Lowe's Cos., Inc.		47,917		2,535,768
				6,281,879
Retail-Catalog Shopping — 0.3%
MSC Industrial Direct Co., Inc., Class A		12,615		1,078,078
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		798		32,878
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		2,142		71,950
Retail-Discount — 1.3%
Costco Wholesale Corp.		28,529		3,575,254
Dollar General Corp.†		27,250		1,665,248
Dollar Tree, Inc.†		3,098		173,705
				5,414,207

Security Description	Shares		Value (Note 2)
Retail-Drug Store — 0.1%
Walgreen Co.		6,232	$	369,371
Retail-Gardening Products — 0.2%
Tractor Supply Co.		16,503		1,015,099
Retail-Jewelry — 0.2%
Tiffany & Co.		8,571		825,473
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		9,573		637,275
Retail-Major Department Stores — 0.5%
Nordstrom, Inc.		1,138		77,805
TJX Cos., Inc.		33,967		2,009,827
				2,087,632
Retail-Perfume & Cosmetics — 0.2%
Ulta Salon Cosmetics & Fragrance, Inc.†		5,767		681,486
Retail-Pet Food & Supplies — 0.2%
PetSmart, Inc.		9,794		686,461
Retail-Restaurants — 2.3%
Chipotle Mexican Grill, Inc.†		2,011		1,340,512
Dunkin' Brands Group, Inc.		11,406		511,217
McDonald's Corp.		8,433		799,533
Starbucks Corp.		57,871		4,366,946
Yum! Brands, Inc.		37,472		2,697,234
				9,715,442
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		4,148		93,683
Savings & Loans/Thrifts — 0.0%
People's United Financial, Inc.		2,338		33,831
Semiconductor Components-Integrated Circuits — 1.8%
Analog Devices, Inc.		2,225		110,115
Atmel Corp.†		116,524		941,514
Linear Technology Corp.		2,048		90,911
QUALCOMM, Inc.		88,376		6,607,873
				7,750,413
Semiconductor Equipment — 0.3%
Applied Materials, Inc.		10,280		222,151
KLA-Tencor Corp.		10,035		790,557
Lam Research Corp.		1,221		91,209
				1,103,917
Telecom Services — 0.3%
Amdocs, Ltd.		29,519		1,354,332
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		36,745		878,573
Harris Corp.		742		49,269
				927,842
Telephone-Integrated — 0.4%
Verizon Communications, Inc.		32,476		1,623,475
Television — 0.3%
CBS Corp., Class B		21,880		1,170,580
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		933		125,787
Therapeutics — 0.3%
Pharmacyclics, Inc.†		9,985		1,172,538

194

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Tobacco — 0.8%
Altria Group, Inc.		43,000	$	1,975,420
Lorillard, Inc.		5,424		324,952
Philip Morris International, Inc.		13,180		1,099,212
Reynolds American, Inc.		2,321		136,939
				3,536,523
Tools-Hand Held — 0.0%
Snap-on, Inc.		490		59,329
Toys — 0.2%
Hasbro, Inc.		968		53,235
Mattel, Inc.		20,212		619,498
				672,733
Transactional Software — 0.2%
Solera Holdings, Inc.		13,311		750,208
Transport-Rail — 1.7%
CSX Corp.		9,638		308,994
Kansas City Southern		25,547		3,096,296
Norfolk Southern Corp.		4,663		520,391
Union Pacific Corp.		28,613		3,102,222
				7,027,903
Transport-Services — 0.7%
Expeditors International of Washington, Inc.		1,352		54,864
FedEx Corp.		11,896		1,920,609
United Parcel Service, Inc., Class B		10,598		1,041,678
				3,017,151
Vitamins & Nutrition Products — 0.1%
Mead Johnson Nutrition Co.		3,046		293,086
Web Hosting/Design — 0.7%
Equinix, Inc.		13,739		2,919,263
Web Portals/ISP — 4.0%
Google, Inc., Class A†		13,876		8,164,777
Google, Inc., Class C†		14,530		8,389,041
Yahoo!, Inc.†		13,936		567,892
				17,121,710
Wireless Equipment — 0.3%
Motorola Solutions, Inc.		17,897		1,132,522
Total Common Stocks (cost $328,241,096)				417,612,868

Security Description	Shares/ Principal Amount			Value (Note 2)
EXCHANGE-TRADED FUNDS — 0.7%
iShares S&P 500 Growth Index Fund (cost $2,829,912)		26,741		$	2,856,473
Total Long-Term Investment Securities (cost $331,071,008)					420,469,341
SHORT-TERM INVESTMENT SECURITIES — 0.4%
Registered Investment Companies — 0.4%
SSgA U.S. Government Money Market Fund (cost $1,941,133)		1,941,133			1,941,133
REPURCHASE AGREEMENTS — 0.8%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $2,320,000 and collateralized by $2,555,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00%, due 01/30/2023 and having an approximate value of $2,367,675	$	2,320,000			2,320,000
State Street Bank & Trust Co. Joint Repurchase Agreement(1)		1,064,000			1,064,000
Total Repurchase Agreements (cost $3,384,000)					3,384,000
TOTAL INVESTMENTS (cost $336,396,141)(2)		100.2	%		425,794,474
Liabilities in excess of other assets		(0.2	)		(818,996	)
NET ASSETS		100.0	%	$	424,975,478

†  Non-income producing security

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

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

ADR — American Depository Receipt

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Growth Index	December 2014	$	1,072,570	$	1,071,100	$	(1,470	)

195

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Computers	$	25,743,539	$	—	$	—	$	25,743,539
Medical-Biomedical/Gene		23,981,759		—		—		23,981,759
Other Industries*		367,887,570		—		—		367,887,570
Exchange-Traded Funds		2,856,473		—		—		2,856,473
Short-Term Investment Securities:
Registered Investment Companies		1,941,133		—		—		1,941,133
Repurchase Agreements		—		3,384,000		—		3,384,000
Total	$	422,410,474	$	3,384,000	$	—	$	425,794,474
Liabilities:
Other Financial Instruments:+
Open Futures Contracts — Depreciation	$	1,470	$	—	$	—	$	1,470

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

196

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Oil Companies-Integrated	6.8	%
Diversified Banking Institutions	6.4
Medical-Drugs	5.7
Banks-Super Regional	5.3
Oil Companies-Exploration & Production	4.3
Diversified Manufacturing Operations	3.9
Registered Investment Companies	3.4
Electric-Integrated	3.3
Telephone-Integrated	3.1
Electronic Components-Semiconductors	2.1
Networking Products	1.8
Repurchase Agreements	1.7
Semiconductor Components-Integrated Circuits	1.7
Insurance-Multi-line	1.6
Real Estate Investment Trusts	1.5
Multimedia	1.4
Paper & Related Products	1.2
Food-Misc./Diversified	1.2
Investment Management/Advisor Services	1.2
Aerospace/Defense	1.1
Gas-Distribution	1.1
Aerospace/Defense-Equipment	1.1
Medical Products	1.0
Applications Software	1.0
Computers-Memory Devices	1.0
Medical-Biomedical/Gene	1.0
Insurance-Reinsurance	1.0
Tobacco	1.0
Chemicals-Diversified	1.0
Insurance Brokers	0.9
Retail-Discount	0.9
Oil-Field Services	0.9
Computer Services	0.8
Steel-Producers	0.8
Insurance-Life/Health	0.8
Retail-Building Products	0.8
Retail-Regional Department Stores	0.8
Beverages-Non-alcoholic	0.8
Cruise Lines	0.8
Cosmetics & Toiletries	0.7
Auto-Cars/Light Trucks	0.7
Banks-Commercial	0.7
Exchange-Traded Funds	0.7
Medical-HMO	0.7
Banks-Fiduciary	0.6
Retail-Apparel/Shoe	0.6
Brewery	0.6
Building & Construction Products-Misc.	0.6
Internet Security	0.5
Computers	0.5
Building-Residential/Commercial	0.5
Transport-Services	0.5
Electronic Components-Misc.	0.5
Retail-Major Department Stores	0.5
Agricultural Operations	0.5
Beverages-Wine/Spirits	0.5
Retail-Drug Store	0.5
Instruments-Controls	0.5
Machinery-Construction & Mining	0.5
Finance-Other Services	0.5

Electric Products-Misc.	0.4	%
Insurance-Property/Casualty	0.4
Consumer Products-Misc.	0.4
Semiconductor Equipment	0.4
Telecom Equipment-Fiber Optics	0.4
Retail-Consumer Electronics	0.4
Home Decoration Products	0.4
Telecommunication Equipment	0.4
Machinery-Farming	0.4
Tools-Hand Held	0.3
Toys	0.3
Cable/Satellite TV	0.3
Finance-Credit Card	0.3
Enterprise Software/Service	0.3
Coal	0.3
Gold Mining	0.3
Oil & Gas Drilling	0.3
Building Products-Cement	0.3
Television	0.3
Medical Labs & Testing Services	0.3
Cellular Telecom	0.2
Auto/Truck Parts & Equipment-Original	0.2
Retail-Restaurants	0.2
Medical-Wholesale Drug Distribution	0.2
Agricultural Chemicals	0.2
Distribution/Wholesale	0.2
Retail-Office Supplies	0.2
Machinery-Pumps	0.2
Pharmacy Services	0.2
Building Products-Wood	0.2
Pipelines	0.2
Commercial Services-Finance	0.2
Oil Refining & Marketing	0.2
Airlines	0.2
Publishing-Newspapers	0.2
Electric-Generation	0.2
Medical Instruments	0.2
Metal-Copper	0.1
Food-Retail	0.1
Oil Field Machinery & Equipment	0.1
Industrial Gases	0.1
Food-Wholesale/Distribution	0.1
E-Commerce/Products	0.1
Appliances	0.1
Non-Hazardous Waste Disposal	0.1
Metal-Aluminum	0.1
Engineering/R&D Services	0.1
Professional Sports	0.1
Office Automation & Equipment	0.1
Food-Meat Products	0.1
Electronic Security Devices	0.1
Transport-Rail	0.1
	99.9	%

*  Calculated as a percentage of net assets

197

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 94.1%
Aerospace/Defense — 1.1%
Boeing Co.		23,900	$	3,044,382
General Dynamics Corp.		5,704		724,921
Lockheed Martin Corp.		3,499		639,547
Northrop Grumman Corp.		3,942		519,398
Raytheon Co.		5,167		525,071
Rockwell Collins, Inc.		2,022		158,727
Spirit AeroSystems Holdings, Inc., Class A†		106,000		4,034,360
				9,646,406
Aerospace/Defense-Equipment — 1.1%
Triumph Group, Inc.		51,000		3,317,550
United Technologies Corp.		53,649		5,665,334
				8,982,884
Agricultural Chemicals — 0.2%
CF Industries Holdings, Inc.		694		193,779
Mosaic Co.		10,591		470,346
Potash Corp. of Saskatchewan, Inc.		37,600		1,299,456
				1,963,581
Agricultural Operations — 0.5%
Archer-Daniels-Midland Co.		81,168		4,147,685
Airlines — 0.2%
United Continental Holdings, Inc.†		31,700		1,483,243
Apparel Manufacturers — 0.0%
Ralph Lauren Corp.		807		132,937
Appliances — 0.1%
Whirlpool Corp.		4,694		683,681
Applications Software — 1.0%
Citrix Systems, Inc.†		2,079		148,316
Microsoft Corp.		184,500		8,553,420
				8,701,736
Auto-Cars/Light Trucks — 0.7%
Ford Motor Co.		221,086		3,269,862
General Motors Co.		90,078		2,877,091
				6,146,953
Auto/Truck Parts & Equipment-Original — 0.2%
Delphi Automotive PLC		5,481		336,205
Johnson Controls, Inc.		38,100		1,676,400
				2,012,605
Banks-Commercial — 0.7%
BB&T Corp.		112,131		4,172,395
M&T Bank Corp.		4,389		541,120
Regions Financial Corp.		123,023		1,235,151
Zions Bancorporation		3,372		97,990
				6,046,656
Banks-Fiduciary — 0.6%
Bank of New York Mellon Corp.		39,134		1,515,660
Northern Trust Corp.		49,865		3,392,316
State Street Corp.		6,479		476,919
				5,384,895

Security Description	Shares		Value (Note 2)
Banks-Super Regional — 5.3%
Capital One Financial Corp.		18,668	$	1,523,682
PNC Financial Services Group, Inc.		138,978		11,893,737
SunTrust Banks, Inc.		90,057		3,424,868
US Bancorp		143,766		6,013,732
Wells Fargo & Co.		425,190		22,054,605
				44,910,624
Beverages-Non-alcoholic — 0.8%
Coca-Cola Co.		44,634		1,904,087
Dr Pepper Snapple Group, Inc.		3,374		216,982
PepsiCo, Inc.		44,847		4,174,807
				6,295,876
Beverages-Wine/Spirits — 0.5%
Brown-Forman Corp., Class B		2,154		194,334
Diageo PLC ADR		32,900		3,796,660
				3,990,994
Brewery — 0.6%
Anheuser-Busch InBev NV ADR		40,370		4,475,015
Molson Coors Brewing Co., Class B		5,294		394,085
				4,869,100
Building & Construction Products-Misc. — 0.6%
Fortune Brands Home & Security, Inc.		88,800		3,650,568
USG Corp.†		37,100		1,019,879
				4,670,447
Building Products-Cement — 0.3%
Martin Marietta Materials, Inc.		1,085		139,900
Vulcan Materials Co.		35,882		2,161,173
				2,301,073
Building Products-Wood — 0.2%
Masco Corp.		71,868		1,719,083
Building-Residential/Commercial — 0.5%
D.R. Horton, Inc.		11,030		226,336
Lennar Corp., Class A		3,194		124,023
PulteGroup, Inc.		230,553		4,071,566
				4,421,925
Cable/Satellite TV — 0.3%
Cablevision Systems Corp., Class A		77,114		1,350,266
Comcast Corp., Class A		26,100		1,403,658
				2,753,924
Cellular Telecom — 0.2%
Vodafone Group PLC		154,087		510,587
Vodafone Group PLC ADR		46,418		1,526,688
				2,037,275
Chemicals-Diversified — 1.0%
Dow Chemical Co.		102,329		5,366,133
E.I. du Pont de Nemours & Co.		38,688		2,776,251
				8,142,384
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc.		1,107		106,139
Sigma-Aldrich Corp.		1,741		236,794
				342,933

198

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Coal — 0.3%
CONSOL Energy, Inc.		63,655	$	2,409,978
Commercial Services — 0.0%
Quanta Services, Inc.†		4,542		164,829
Commercial Services-Finance — 0.2%
H&R Block, Inc.		3,111		96,472
McGraw Hill Financial, Inc.		3,694		311,958
Western Union Co.		72,219		1,158,393
				1,566,823
Computer Services — 0.8%
Accenture PLC, Class A		9,237		751,153
Computer Sciences Corp.		26,624		1,628,058
International Business Machines Corp.		24,070		4,569,208
				6,948,419
Computers — 0.5%
Apple, Inc.		22,700		2,287,025
Hewlett-Packard Co.		62,067		2,201,516
				4,488,541
Computers-Integrated Systems — 0.0%
Teradata Corp.†		2,526		105,890
Computers-Memory Devices — 1.0%
EMC Corp.		288,367		8,437,619
NetApp, Inc.		3,398		145,978
				8,583,597
Consumer Products-Misc. — 0.4%
Clorox Co.		27,400		2,631,496
Kimberly-Clark Corp.		5,099		548,499
				3,179,995
Containers-Metal/Glass — 0.0%
Ball Corp.		2,394		151,469
Owens-Illinois, Inc.†		2,303		59,993
				211,462
Containers-Paper/Plastic — 0.0%
Bemis Co., Inc.		3,322		126,302
Cosmetics & Toiletries — 0.7%
Avon Products, Inc.		108,228		1,363,673
Colgate-Palmolive Co.		11,135		726,224
Procter & Gamble Co.		48,624		4,071,774
				6,161,671
Cruise Lines — 0.8%
Carnival Corp.		76,279		3,064,127
Norwegian Cruise Line Holdings, Ltd.†		89,700		3,230,994
				6,295,121
Data Processing/Management — 0.0%
Paychex, Inc.		3,586		158,501
Dental Supplies & Equipment — 0.0%
DENTSPLY International, Inc.		2,122		96,763
Patterson Cos., Inc.		2,878		119,236
				215,999
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc.†		2,171		158,787

Security Description	Shares		Value (Note 2)
Distribution/Wholesale — 0.2%
Genuine Parts Co.		21,851	$	1,916,551
Diversified Banking Institutions — 6.4%
Bank of America Corp.		629,027		10,724,910
Citigroup, Inc.		221,647		11,485,748
Goldman Sachs Group, Inc.		30,627		5,622,198
JPMorgan Chase & Co.		407,151		24,526,776
Morgan Stanley		50,931		1,760,685
				54,120,317
Diversified Manufacturing Operations — 3.9%
Dover Corp.		1,662		133,509
Eaton Corp. PLC		98,913		6,268,117
General Electric Co.		839,249		21,501,559
Illinois Tool Works, Inc.		52,759		4,453,915
Ingersoll-Rand PLC		3,914		220,593
Leggett & Platt, Inc.		4,565		159,410
Parker-Hannifin Corp.		2,029		231,610
Pentair PLC		2,498		163,594
				33,132,307
Diversified Operations — 0.0%
Leucadia National Corp.		5,692		135,697
E-Commerce/Products — 0.1%
eBay, Inc.†		12,396		701,985
E-Commerce/Services — 0.0%
Expedia, Inc.		1,353		118,550
Electric Products-Misc. — 0.4%
Emerson Electric Co.		57,720		3,612,118
Electric-Generation — 0.2%
AES Corp.		95,230		1,350,361
Electric-Integrated — 3.3%
Ameren Corp.		8,069		309,285
American Electric Power Co., Inc.		16,252		848,517
CMS Energy Corp.		9,145		271,241
Consolidated Edison, Inc.		9,741		551,925
Dominion Resources, Inc.		9,689		669,413
DTE Energy Co.		5,886		447,807
Duke Energy Corp.		67,603		5,054,676
Edison International		48,736		2,725,317
Entergy Corp.		43,273		3,346,301
Exelon Corp.		94,574		3,224,028
FirstEnergy Corp.		64,079		2,151,132
Integrys Energy Group, Inc.		2,659		172,356
NextEra Energy, Inc.		14,512		1,362,387
Northeast Utilities		10,509		465,549
Pepco Holdings, Inc.		8,348		223,392
PG&E Corp.		15,678		706,137
Pinnacle West Capital Corp.		3,672		200,638
PPL Corp.		22,095		725,600
Public Service Enterprise Group, Inc.		16,826		626,600
SCANA Corp.		4,724		234,358
Southern Co.		29,788		1,300,246
TECO Energy, Inc.		7,759		134,851
Wisconsin Energy Corp.		7,500		322,500
Xcel Energy, Inc.		73,507		2,234,613
				28,308,869

199

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Misc. — 0.5%
Garmin, Ltd.		2,341	$	121,709
Jabil Circuit, Inc.		6,646		134,050
Koninklijke Philips NV		115,300		3,656,163
TE Connectivity, Ltd.		5,580		308,518
				4,220,440
Electronic Components-Semiconductors — 2.1%
Altera Corp.		6,063		216,934
Avago Technologies, Ltd.		3,432		298,584
Broadcom Corp., Class A		17,886		722,952
Intel Corp.		385,356		13,418,096
NVIDIA Corp.		8,903		164,260
Texas Instruments, Inc.		57,502		2,742,271
Xilinx, Inc.		4,018		170,162
				17,733,259
Electronic Measurement Instruments — 0.0%
Agilent Technologies, Inc.		3,549		202,222
FLIR Systems, Inc.		1,603		50,238
				252,460
Electronic Security Devices — 0.1%
Allegion PLC		1,885		89,802
Tyco International, Ltd.		6,932		308,959
				398,761
Electronics-Military — 0.0%
L-3 Communications Holdings, Inc.		2,868		341,063
Engineering/R&D Services — 0.1%
Fluor Corp.		5,238		349,846
Jacobs Engineering Group, Inc.†		4,425		216,029
				565,875
Engines-Internal Combustion — 0.0%
Cummins, Inc.		1,934		255,249
Enterprise Software/Service — 0.3%
CA, Inc.		26,323		735,465
Oracle Corp.		49,751		1,904,468
				2,639,933
Filtration/Separation Products — 0.0%
Pall Corp.		1,208		101,110
Finance-Consumer Loans — 0.0%
Navient Corp.		8,230		145,753
Finance-Credit Card — 0.3%
American Express Co.		31,300		2,740,002
Finance-Investment Banker/Broker — 0.0%
E*TRADE Financial Corp.†		3,841		86,768
Finance-Other Services — 0.5%
CME Group, Inc.		10,505		839,927
Intercontinental Exchange, Inc.		14,700		2,867,235
NASDAQ OMX Group, Inc.		3,928		166,626
				3,873,788
Food-Confectionery — 0.0%
J.M. Smucker Co.		1,829		181,053

Security Description	Shares		Value (Note 2)
Food-Meat Products — 0.1%
Hormel Foods Corp.		1,698	$	87,260
Tyson Foods, Inc., Class A		9,741		383,503
				470,763
Food-Misc./Diversified — 1.2%
Campbell Soup Co.		53,954		2,305,455
ConAgra Foods, Inc.		23,251		768,213
General Mills, Inc.		9,167		462,475
Kellogg Co.		4,082		251,451
Kraft Foods Group, Inc.		57,800		3,259,920
McCormick & Co., Inc.		17,672		1,182,257
Mondelez International, Inc., Class A		56,068		1,921,170
				10,150,941
Food-Retail — 0.1%
Kroger Co.		16,260		845,520
Whole Foods Market, Inc.		4,565		173,972
				1,019,492
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		19,514		740,556
Gas-Distribution — 1.1%
AGL Resources, Inc.		3,974		204,025
CenterPoint Energy, Inc.		14,294		349,774
National Grid PLC ADR		57,100		4,104,348
NiSource, Inc.		100,387		4,113,860
Sempra Energy		7,687		810,056
				9,582,063
Gold Mining — 0.3%
Barrick Gold Corp.		61,600		903,056
Newmont Mining Corp.		65,087		1,500,255
				2,403,311
Home Decoration Products — 0.4%
Newell Rubbermaid, Inc.		87,871		3,023,641
Hotel/Motels — 0.0%
Marriott International, Inc., Class A		3,044		212,776
Independent Power Producers — 0.0%
NRG Energy, Inc.		11,231		342,321
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		2,742		356,954
Airgas, Inc.		825		91,286
Praxair, Inc.		3,982		513,678
				961,918
Instruments-Controls — 0.5%
Honeywell International, Inc.		42,349		3,943,539
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		1,765		76,954
Waters Corp.†		1,117		110,717
				187,671
Insurance Brokers — 0.9%
Marsh & McLennan Cos., Inc.		135,205		7,076,630
Willis Group Holdings PLC		16,100		666,540
				7,743,170

200

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Life/Health — 0.8%
Aflac, Inc.		15,067	$	877,653
Lincoln National Corp.		4,775		255,845
Principal Financial Group, Inc.		77,822		4,083,320
Sun Life Financial, Inc.		31,300		1,135,251
Unum Group		8,474		291,336
				6,643,405
Insurance-Multi-line — 1.6%
ACE, Ltd.		36,014		3,776,788
Allstate Corp.		14,414		884,587
American International Group, Inc.(1)		47,454		2,563,465
Assurant, Inc.		2,374		152,648
Cincinnati Financial Corp.		4,898		230,451
Genworth Financial, Inc., Class A†		16,516		216,360
Hartford Financial Services Group, Inc.		14,892		554,727
Loews Corp.		36,140		1,505,592
MetLife, Inc.		68,105		3,658,601
XL Group PLC		8,830		292,891
				13,836,110
Insurance-Property/Casualty — 0.4%
Chubb Corp.		22,398		2,040,010
Progressive Corp.		17,900		452,512
Travelers Cos., Inc.		11,276		1,059,267
				3,551,789
Insurance-Reinsurance — 1.0%
Berkshire Hathaway, Inc., Class B†		60,629		8,375,290
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		838		99,504
Internet Security — 0.5%
Symantec Corp.		191,763		4,508,348
Investment Management/Advisor Services — 1.2%
BlackRock, Inc.		11,900		3,907,008
Invesco, Ltd.		104,050		4,107,894
Legg Mason, Inc.		38,989		1,994,677
Och-Ziff Capital Management Group LLC, Class A		6,000		64,260
				10,073,839
Machinery-Construction & Mining — 0.5%
Caterpillar, Inc.		20,880		2,067,747
Joy Global, Inc.		34,165		1,863,359
				3,931,106
Machinery-Farming — 0.4%
Deere & Co.		36,120		2,961,479
Machinery-General Industrial — 0.0%
Roper Industries, Inc.		1,364		199,540
Machinery-Pumps — 0.2%
Xylem, Inc.		52,730		1,871,388
Medical Instruments — 0.2%
Edwards Lifesciences Corp.†		1,622		165,687
Intuitive Surgical, Inc.†		442		204,124
Medtronic, Inc.		14,008		867,796
				1,237,607

Security Description	Shares		Value (Note 2)
Medical Labs & Testing Services — 0.3%
Laboratory Corp. of America Holdings†		1,355	$	137,871
Quest Diagnostics, Inc.		33,803		2,051,166
				2,189,037
Medical Products — 1.0%
Baxter International, Inc.		45,477		3,263,884
CareFusion Corp.†		3,913		177,063
Covidien PLC		56,513		4,888,940
Hospira, Inc.†		3,030		157,651
Varian Medical Systems, Inc.†		1,304		104,476
Zimmer Holdings, Inc.		1,910		192,051
				8,784,065
Medical-Biomedical/Gene — 1.0%
Amgen, Inc.		36,250		5,091,675
Vertex Pharmaceuticals, Inc.†		30,500		3,425,455
				8,517,130
Medical-Drugs — 5.7%
Abbott Laboratories		50,009		2,079,874
Bristol-Myers Squibb Co.		151,698		7,763,904
Eli Lilly & Co.		32,699		2,120,530
GlaxoSmithKline PLC		57,329		1,313,227
Johnson & Johnson		82,556		8,799,644
Mallinckrodt PLC†		3,767		339,595
Merck & Co., Inc.		230,937		13,689,945
Pfizer, Inc.		228,516		6,757,218
Roche Holding AG ADR		146,600		5,422,734
Zoetis, Inc.		5,667		209,396
				48,496,067
Medical-HMO — 0.7%
Aetna, Inc.		11,793		955,233
Humana, Inc.		5,130		668,388
UnitedHealth Group, Inc.		32,313		2,786,996
WellPoint, Inc.		9,121		1,091,054
				5,501,671
Medical-Hospitals — 0.0%
Tenet Healthcare Corp.†		1,986		117,949
Medical-Wholesale Drug Distribution — 0.2%
AmerisourceBergen Corp.		3,828		295,904
Cardinal Health, Inc.		11,196		838,804
McKesson Corp.		4,313		839,612
				1,974,320
Metal-Aluminum — 0.1%
Alcoa, Inc.		39,121		629,457
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		34,556		1,128,253
Multimedia — 1.4%
Pearson PLC		40,610		816,353
Thomson Reuters Corp.		77,700		2,829,057
Time Warner, Inc.		55,193		4,151,066
Twenty-First Century Fox, Inc., Class A		28,187		966,532
Walt Disney Co.		34,332		3,056,578
				11,819,586

201

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description			Shares		Value (Note 2)
COMMON STOCKS (continued)
Networking Products — 1.8%
Cisco Systems, Inc.				610,935	$	15,377,234
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.				8,399		327,729
Waste Management, Inc.				6,491		308,517
						636,246
Office Automation & Equipment — 0.1%
Xerox Corp.				36,050		476,942
Office Supplies & Forms — 0.0%
Avery Dennison Corp.				3,117		139,174
Oil & Gas Drilling — 0.3%
Diamond Offshore Drilling, Inc.				37,335		1,279,471
Ensco PLC, Class A				7,773		321,103
Nabors Industries, Ltd.				9,624		219,042
Noble Corp. PLC				8,456		187,892
Transocean, Ltd.				11,322		361,964
						2,369,472
Oil Companies-Exploration & Production — 4.3%
Anadarko Petroleum Corp.				27,709		2,810,801
Apache Corp.				69,420		6,516,455
BG Group PLC				245,478		4,536,706
Chesapeake Energy Corp.				8,808		202,496
Cimarex Energy Co.				1,071		135,514
ConocoPhillips				56,592		4,330,420
Denbury Resources, Inc.				11,716		176,092
Devon Energy Corp.				12,789		871,954
EOG Resources, Inc.				46,000		4,554,920
Hess Corp.				47,199		4,451,810
Newfield Exploration Co.†				1,818		67,393
Occidental Petroleum Corp.				14,001		1,346,196
QEP Resources, Inc.				5,510		169,598
Southwestern Energy Co.†				151,200		5,284,440
Talisman Energy, Inc.				134,000		1,159,100
						36,613,895
Oil Companies-Integrated — 6.8%
BP	PL	C ADR		33,604		1,476,896
Chevron Corp.				200,671		23,944,064
Exxon Mobil Corp.				194,843		18,324,984
Marathon Oil Corp.				146,131		5,493,064
Murphy Oil Corp.				51,951		2,956,531
Phillips 66				18,587		1,511,309
Royal Dutch Shell PLC ADR				55,000		4,187,150
						57,893,998
Oil Field Machinery & Equipment — 0.1%
Cameron International Corp.†				6,748		447,932
National Oilwell Varco, Inc.				7,297		555,302
						1,003,234
Oil Refining & Marketing — 0.2%
Marathon Petroleum Corp.				5,277		446,803
Tesoro Corp.				4,265		260,080
Valero Energy Corp.				17,559		812,455
						1,519,338

Security Description	Shares		Value (Note 2)
Oil-Field Services — 0.9%
Baker Hughes, Inc.		14,468	$	941,288
Halliburton Co.		67,700		4,367,327
Schlumberger, Ltd.		22,500		2,288,025
				7,596,640
Paper & Related Products — 1.2%
International Paper Co.		177,290		8,463,824
MeadWestvaco Corp.		42,803		1,752,355
				10,216,179
Pharmacy Services — 0.2%
Express Scripts Holding Co.†		24,792		1,751,059
Pipelines — 0.2%
ONEOK, Inc.		6,918		453,475
Spectra Energy Corp.		11,825		464,249
Williams Cos., Inc.		12,302		680,916
				1,598,640
Professional Sports — 0.1%
Madison Square Garden Co., Class A†		8,325		550,449
Publishing-Newspapers — 0.2%
Gannett Co., Inc.		7,504		222,644
New York Times Co., Class A		65,400		733,788
News Corp., Class A†		24,500		400,575
				1,357,007
Publishing-Periodicals — 0.0%
Nielsen NV		4,553		201,834
Real Estate Investment Trusts — 1.5%
Apartment Investment & Management Co., Class A		2,527		80,409
AvalonBay Communities, Inc.		2,574		362,857
Boston Properties, Inc.		2,546		294,725
Digital Realty Trust, Inc.		20,300		1,266,314
Equity Residential		6,496		400,024
Essex Property Trust, Inc.		908		162,305
General Growth Properties, Inc.		11,896		280,151
HCP, Inc.		15,259		605,935
Health Care REIT, Inc.		3,341		208,378
Host Hotels & Resorts, Inc.		189,611		4,044,403
Iron Mountain, Inc.		3,201		104,513
Kimco Realty Corp.		7,518		164,719
Plum Creek Timber Co., Inc.		2,533		98,812
Prologis, Inc.		6,818		257,039
Public Storage		2,074		343,952
Simon Property Group, Inc.		4,341		713,747
Ventas, Inc.		4,992		309,254
Vornado Realty Trust		2,728		272,691
Weyerhaeuser Co.		86,827		2,766,308
				12,736,536
Real Estate Management/Services — 0.0%
CBRE Group, Inc., Class A†		2,969		88,298

202

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 0.6%
Coach, Inc.		21,853	$	778,185
Gap, Inc.		3,098		129,156
L Brands, Inc.		2,940		196,921
PVH Corp.		33,814		4,096,566
Urban Outfitters, Inc.†		1,324		48,591
				5,249,419
Retail-Automobile — 0.0%
AutoNation, Inc.†		2,602		130,907
CarMax, Inc.†		3,208		149,011
				279,918
Retail-Building Products — 0.8%
Home Depot, Inc.		63,367		5,813,289
Lowe's Cos., Inc.		13,131		694,892
				6,508,181
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		1,986		81,823
Retail-Consumer Electronics — 0.4%
Best Buy Co., Inc.		91,132		3,061,124
Retail-Discount — 0.9%
Costco Wholesale Corp.		14,576		1,826,664
Dollar General Corp.†		5,449		332,988
Family Dollar Stores, Inc.		3,183		245,855
Target Corp.		21,076		1,321,044
Wal-Mart Stores, Inc.		52,514		4,015,746
				7,742,297
Retail-Drug Store — 0.5%
CVS Health Corp.		38,516		3,065,489
Walgreen Co.		15,512		919,396
				3,984,885
Retail-Jewelry — 0.0%
Tiffany & Co.		1,800		173,358
Retail-Major Department Stores — 0.5%
Nordstrom, Inc.		61,178		4,182,740
Retail-Office Supplies — 0.2%
Staples, Inc.		156,024		1,887,890
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc.		1,619		113,476
Retail-Regional Department Stores — 0.8%
Kohl's Corp.		58,607		3,576,785
Macy's, Inc.		48,444		2,818,472
				6,395,257
Retail-Restaurants — 0.2%
Darden Restaurants, Inc.		4,400		226,424
McDonald's Corp.		14,042		1,331,322
Yum! Brands, Inc.		5,849		421,011
				1,978,757
Savings & Loans/Thrifts — 0.0%
Hudson City Bancorp, Inc.		16,003		155,549
People's United Financial, Inc.		5,160		74,665
				230,214

Security Description	Shares		Value (Note 2)
Security Services — 0.0%
ADT Corp.		5,787	$	205,207
Semiconductor Components-Integrated Circuits — 1.7%
Analog Devices, Inc.		44,938		2,223,982
Linear Technology Corp.		3,411		151,414
Marvell Technology Group, Ltd.		305,600		4,119,488
Maxim Integrated Products, Inc.		179,448		5,426,507
QUALCOMM, Inc.		33,300		2,489,841
				14,411,232
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		136,529		2,950,392
Lam Research Corp.		2,695		201,316
				3,151,708
Steel-Producers — 0.8%
Nucor Corp.		58,704		3,186,453
Steel Dynamics, Inc.		155,250		3,510,203
				6,696,656
Steel-Specialty — 0.0%
Allegheny Technologies, Inc.		3,616		134,154
Telecom Equipment-Fiber Optics — 0.4%
Corning, Inc.		160,836		3,110,568
Telecommunication Equipment — 0.4%
Harris Corp.		40,347		2,679,041
Juniper Networks, Inc.		13,355		295,813
				2,974,854
Telephone-Integrated — 3.1%
AT&T, Inc.		341,440		12,032,346
CenturyLink, Inc.		59,982		2,452,664
Frontier Communications Corp.		33,327		216,959
Telefonica SA		76,043		1,177,045
Verizon Communications, Inc.		199,405		9,968,256
Windstream Holdings, Inc.		20,043		216,063
				26,063,333
Television — 0.3%
CBS Corp., Class B		41,050		2,196,175
Tobacco — 1.0%
Altria Group, Inc.		31,003		1,424,278
Imperial Tobacco Group PLC ADR		52,800		4,581,456
Philip Morris International, Inc.		22,859		1,906,440
Reynolds American, Inc.		5,124		302,316
				8,214,490
Tools-Hand Held — 0.3%
Snap-on, Inc.		850		102,918
Stanley Black & Decker, Inc.		31,297		2,778,861
				2,881,779
Toys — 0.3%
Hasbro, Inc.		1,679		92,337
Mattel, Inc.		88,207		2,703,544
				2,795,881
Transport-Rail — 0.1%
CSX Corp.		11,967		383,662

203

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
Transport-Services — 0.5%
C.H. Robinson Worldwide, Inc.		4,894	$	324,570
Expeditors International of Washington, Inc.		3,504		142,192
FedEx Corp.		4,591		741,217
Ryder System, Inc.		1,765		158,797
United Parcel Service, Inc., Class B		29,600		2,909,384
				4,276,160
Wireless Equipment — 0.0%
Motorola Solutions, Inc.		4,405		278,748
Total Common Stocks (cost $663,006,204)				798,496,307
EXCHANGE-TRADED FUNDS — 0.7%
iShares S&P 500 Value Index Fund (cost $5,871,872)		64,200		5,782,494
Total Long-Term Investment Securities (cost $668,878,076)				804,278,801
SHORT-TERM INVESTMENT SECURITIES — 3.4%
Registered Investment Companies — 3.4%
T. Rowe Price Reserve Investment Fund (cost $28,681,930)		28,681,930		28,681,930
REPURCHASE AGREEMENTS — 1.7%
Bank of America Securities LLC Joint Repurchase Agreement(2)	$	3,160,000		3,160,000

Security Description	Principal Amount			Value (Note 2)
Barclays Capital, Inc. Joint Repurchase Agreement(2)	$	2,755,000		$	2,755,000
BNP Paribas SA Joint Repurchase Agreement(2)		2,560,000			2,560,000
Deutsche Bank AG Joint Repurchase Agreement(2)		1,690,000			1,690,000
Royal Bank of Scotland Group PLC Joint Repurchase Agreement(2)		2,950,000			2,950,000
State Street Bank & Trust Co. Joint Repurchase Agreement(2)		1,622,000			1,622,000
Total Repurchase Agreements (cost $14,737,000)					14,737,000
TOTAL INVESTMENTS (cost $712,297,006)(3)		99.9	%		847,697,731
Other assets less liabilities		0.1			969,044
NET ASSETS		100.0	%	$	848,666,775

†  Non-income producing security

(1)  Security represents an investment in an affliated company; see Note 8

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

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

ADR — American Depository Receipt

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Value Index	December 2014	$	899,220	$	886,200	$	(13,020	)

204

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Banks-Super Regional	$	44,910,624	$	—	$	—	$	44,910,624
Diversified Banking Institutions		54,120,317		—		—		54,120,317
Medical-Drugs		48,496,067		—		—		48,496,067
Oil Companies-Integrated		57,893,998		—		—		57,893,998
Other Industries*		593,075,301		—		—		593,075,301
Exchange-Traded Funds		5,782,494		—		—		5,782,494
Short-Term Investment Securities:
Registered Investment Companies		28,681,930		—		—		28,681,930
Repurchase Agreements		—		14,737,000		—		14,737,000
Total	$	832,960,731	$	14,737,000	$	—	$	847,697,731
Liabilities:
Other Financial Instruments:+
Open Futures Contracts - Depreciation	$	13,020	$	—	$	—	$	13,020

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

See Notes to Financial Statements

205

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Oil Companies-Exploration & Production	4.3	%
Medical-Biomedical/Gene	3.2
Medical-Drugs	2.5
Repurchase Agreements	2.4
Retail-Restaurants	2.4
Hotels/Motels	2.0
Electronic Components-Semiconductors	2.0
E-Commerce/Services	2.0
Retail-Apparel/Shoe	1.9
Commercial Services-Finance	1.9
Applications Software	1.7
Distribution/Wholesale	1.7
Airlines	1.5
Retail-Auto Parts	1.3
Real Estate Investment Trusts	1.3
Apparel Manufacturers	1.3
Medical Instruments	1.3
Exchange-Traded Funds	1.2
Enterprise Software/Service	1.2
Diversified Manufacturing Operations	1.2
Building Products-Cement	1.0
Consumer Products-Misc.	1.0
Semiconductor Components-Integrated Circuits	0.9
Coatings/Paint	0.9
Filtration/Separation Products	0.9
Internet Infrastructure Software	0.8
Machinery-General Industrial	0.8
Computer Services	0.8
Internet Content-Information/News	0.8
Consulting Services	0.8
Chemicals-Specialty	0.8
Transport-Rail	0.8
Food-Retail	0.8
Wireless Equipment	0.8
Data Processing/Management	0.8
Coffee	0.8
Medical Information Systems	0.8
Auto/Truck Parts & Equipment-Original	0.8
Investment Management/Advisor Services	0.8
Internet Content-Entertainment	0.8
Finance-Investment Banker/Broker	0.8
Beverages-Non-alcoholic	0.7
Human Resources	0.7
Computer Software	0.7
Retail-Jewelry	0.7
Retail-Discount	0.7
Transport-Truck	0.7
Computers-Memory Devices	0.7
Medical-Generic Drugs	0.7
Engineering/R&D Services	0.7
E-Commerce/Products	0.7
Medical Products	0.7
Web Hosting/Design	0.6
Motorcycle/Motor Scooter	0.6
Industrial Automated/Robotic	0.6
Physicians Practice Management	0.6
Commercial Services	0.6
Machinery-Pumps	0.6
Hazardous Waste Disposal	0.6
Entertainment Software	0.6

Publishing-Periodicals	0.6	%
Real Estate Management/Services	0.6
Casino Hotels	0.6
Broadcast Services/Program	0.6
Appliances	0.5
Instruments-Controls	0.5
Multimedia	0.5
Satellite Telecom	0.5
Finance-Other Services	0.5
Retail-Automobile	0.5
Chemicals-Diversified	0.5
Transactional Software	0.5
Power Converter/Supply Equipment	0.5
Lighting Products & Systems	0.5
Electronic Measurement Instruments	0.5
Beverages-Wine/Spirits	0.5
Electronic Design Automation	0.5
Medical Labs & Testing Services	0.4
Building-Residential/Commercial	0.4
Semiconductor Equipment	0.4
Medical-Wholesale Drug Distribution	0.4
Patient Monitoring Equipment	0.4
Aerospace/Defense	0.4
Containers-Metal/Glass	0.4
Oil Field Machinery & Equipment	0.4
Advertising Agencies	0.4
Oil-Field Services	0.4
Cable/Satellite TV	0.4
Banks-Fiduciary	0.4
Vitamins & Nutrition Products	0.4
Electronic Components-Misc.	0.4
Food-Misc./Diversified	0.4
Transport-Services	0.4
Audio/Video Products	0.4
Financial Guarantee Insurance	0.3
Oil Refining & Marketing	0.3
Rental Auto/Equipment	0.3
Medical-HMO	0.3
Electric Products-Misc.	0.3
Diversified Financial Services	0.3
Food-Confectionery	0.3
Heart Monitors	0.3
Insurance-Multi-line	0.3
Electronic Connectors	0.3
Industrial Audio & Video Products	0.3
Insurance Brokers	0.3
Internet Security	0.3
Building & Construction Products-Misc.	0.3
Retail-Gardening Products	0.3
Industrial Gases	0.3
Auto-Heavy Duty Trucks	0.3
Computer Aided Design	0.3
Recreational Vehicles	0.3
Food-Dairy Products	0.3
Diagnostic Equipment	0.2
Auto-Cars/Light Trucks	0.2
Electronic Security Devices	0.2
Diagnostic Kits	0.2
Banks-Commercial	0.2
Soap & Cleaning Preparation	0.2

206

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Dental Supplies & Equipment	0.2	%
Tobacco	0.2
Auction Houses/Art Dealers	0.2
Therapeutics	0.2
Medical-Hospitals	0.2
Computers-Integrated Systems	0.2
Retail-Misc./Diversified	0.2
Retail-Drug Store	0.2
Retail-Regional Department Stores	0.2
Computers-Other	0.2
Toys	0.2
Finance-Mortgage Loan/Banker	0.2
Retail-Pet Food & Supplies	0.2
Dialysis Centers	0.2
Instruments-Scientific	0.2
Drug Delivery Systems	0.2
Pharmacy Services	0.2
Retail-Mail Order	0.2
Food-Baking	0.2
Tools-Hand Held	0.2
Registered Investment Companies	0.2
Insurance-Property/Casualty	0.1
Cruise Lines	0.1
Containers-Paper/Plastic	0.1
Telecom Services	0.1
Steel Pipe & Tube	0.1
Oil & Gas Drilling	0.1
Retail-Perfume & Cosmetics	0.1
Metal Processors & Fabrication	0.1
Non-Hazardous Waste Disposal	0.1
Retail-Home Furnishings	0.1
Disposable Medical Products	0.1
Web Portals/ISP	0.1
Gas-Distribution	0.1
Retail-Major Department Stores	0.1
Decision Support Software	0.1
Aerospace/Defense-Equipment	0.1
Internet Incubators	0.1
Agricultural Chemicals	0.1
Radio	0.1
Footwear & Related Apparel	0.1
Quarrying	0.1
Telecommunication Equipment	0.1
Networking Products	0.1
Building Products-Wood	0.1
Retail-Sporting Goods	0.1
Transport-Marine	0.1
E-Services/Consulting	0.1
Food-Meat Products	0.1
Machinery-Construction & Mining	0.1
Pipelines	0.1
Respiratory Products	0.1
Independent Power Producers	0.1
Retail-Arts & Crafts	0.1
Internet Application Software	0.1
Electronic Forms	0.1
Rubber-Tires	0.1
Telephone-Integrated	0.1
Platinum	0.1
Building-Heavy Construction	0.1

Retail-Bedding	0.1	%
Home Decoration Products	0.1
Finance-Auto Loans	0.1
Steel-Producers	0.1
Electric-Transmission	0.1
Retirement/Aged Care	0.1
	99.9	%

*  Calculated as a percentage of net assets

207

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 95.4%
Advanced Materials — 0.0%
Hexcel Corp.†		1,786	$	70,904
Advertising Agencies — 0.4%
Interpublic Group of Cos., Inc.		15,737		288,302
Omnicom Group, Inc.		6,420		442,081
				730,383
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A		356		2,399
Lamar Advertising Co., Class A		1,450		71,413
				73,812
Aerospace/Defense — 0.4%
Rockwell Collins, Inc.		2,182		171,287
Spirit AeroSystems Holdings, Inc., Class A†		2,048		77,947
TransDigm Group, Inc.		2,666		491,424
				740,658
Aerospace/Defense-Equipment — 0.1%
B/E Aerospace, Inc.†		1,922		161,333
Triumph Group, Inc.		223		14,506
				175,839
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		600		167,532
Airlines — 1.5%
Alaska Air Group, Inc.		7,494		326,289
Copa Holdings SA, Class A		3,377		362,318
Southwest Airlines Co.		22,845		771,476
Spirit Airlines, Inc.†		10,588		732,054
United Continental Holdings, Inc.†		11,320		529,663
				2,721,800
Apparel Manufacturers — 1.3%
Carter's, Inc.		980		75,970
Hanesbrands, Inc.		7,618		818,478
Michael Kors Holdings, Ltd.†		3,731		266,356
Ralph Lauren Corp.		811		133,596
Under Armour, Inc., Class A†		3,159		218,287
VF Corp.		6,300		415,989
Vince Holding Corp.†		12,728		385,149
				2,313,825
Appliances — 0.5%
Whirlpool Corp.		6,747		982,701
Applications Software — 1.7%
Check Point Software Technologies, Ltd.†		1,600		110,784
Citrix Systems, Inc.†		4,708		335,869
Dealertrack Technologies, Inc.†		2,600		112,866
Intuit, Inc.		9,284		813,743
NetSuite, Inc.†		3,058		273,813
PTC, Inc.†		2,166		79,925
Red Hat, Inc.†		11,257		632,081
ServiceNow, Inc.†		9,870		580,159
Tableau Software, Inc., Class A†		2,596		188,599
				3,127,839

Security Description	Shares		Value (Note 2)
Auction Houses/Art Dealers — 0.2%
KAR Auction Services, Inc.		6,126	$	175,387
Ritchie Bros. Auctioneers, Inc.		4,000		89,560
Sotheby's		3,000		107,160
				372,107
Audio/Video Products — 0.4%
Harman International Industries, Inc.		6,539		641,084
Auto-Cars/Light Trucks — 0.2%
Tesla Motors, Inc.†		1,736		421,292
Auto-Heavy Duty Trucks — 0.3%
Navistar International Corp.†		161		5,299
PACCAR, Inc.		8,533		485,314
				490,613
Auto/Truck Parts & Equipment-Original — 0.8%
Allison Transmission Holdings, Inc.		2,465		70,228
BorgWarner, Inc.		4,175		219,647
Delphi Automotive PLC		7,300		447,782
Lear Corp.		1,189		102,742
Tenneco, Inc.†		5,949		311,192
WABCO Holdings, Inc.†		2,834		257,752
				1,409,343
Banks-Commercial — 0.2%
BankUnited, Inc.		4,700		143,303
Signature Bank†		849		95,139
SVB Financial Group†		1,580		177,102
				415,544
Banks-Fiduciary — 0.4%
Northern Trust Corp.		10,100		687,103
Beverages-Non-alcoholic — 0.7%
Coca-Cola Enterprises, Inc.		4,591		203,657
Dr Pepper Snapple Group, Inc.		5,486		352,804
Monster Beverage Corp.†		8,715		798,904
				1,355,365
Beverages-Wine/Spirits — 0.5%
Brown-Forman Corp., Class B		6,434		580,475
Constellation Brands, Inc., Class A†		2,730		237,947
				818,422
Broadcast Services/Program — 0.6%
Discovery Communications, Inc., Class A†		4,191		158,420
Discovery Communications, Inc., Class C†		17,391		648,336
Scripps Networks Interactive, Inc., Class A		1,929		150,636
Starz, Class A†		1,499		49,587
				1,006,979
Building & Construction Products-Misc. — 0.3%
Armstrong World Industries, Inc.†		2,927		163,912
Fortune Brands Home & Security, Inc.		7,467		306,968
USG Corp.†		1,700		46,733
				517,613
Building Products-Air & Heating — 0.0%
Lennox International, Inc.		897		68,952

208

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building Products-Cement — 1.0%
Eagle Materials, Inc.		8,897	$	905,981
Martin Marietta Materials, Inc.		4,507		581,133
Vulcan Materials Co.		4,400		265,012
				1,752,126
Building Products-Wood — 0.1%
Masco Corp.		6,511		155,743
Building-Heavy Construction — 0.1%
Chicago Bridge & Iron Co. NV		1,799		104,072
Building-Maintenance & Services — 0.0%
Rollins, Inc.		1,159		33,936
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		839		43,208
Building-Residential/Commercial — 0.4%
D.R. Horton, Inc.		483		9,911
Lennar Corp., Class A		13,577		527,195
NVR, Inc.†		77		87,012
Toll Brothers, Inc.†		4,700		146,452
				770,570
Cable/Satellite TV — 0.4%
Cablevision Systems Corp., Class A		3,571		62,528
Charter Communications, Inc., Class A†		2,949		446,390
DISH Network Corp., Class A†		2,855		184,376
				693,294
Casino Hotels — 0.6%
MGM Resorts International†		12,478		284,249
Wynn Resorts, Ltd.		3,879		725,683
				1,009,932
Casino Services — 0.0%
Bally Technologies, Inc.†		716		57,781
Gaming and Leisure Properties, Inc.		257		7,941
				65,722
Chemicals-Diversified — 0.5%
Celanese Corp., Series A		6,445		377,161
FMC Corp.		5,132		293,499
Huntsman Corp.		2,586		67,210
Rockwood Holdings, Inc.		85		6,498
Sociedad Quimica y Minera de Chile SA ADR		3,300		86,262
Westlake Chemical Corp.		640		55,418
				886,048
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.		91		2,995
Chemicals-Specialty — 0.8%
Albemarle Corp.		591		34,810
Cabot Corp.		76		3,859
Cytec Industries, Inc.		156		7,377
Eastman Chemical Co.		2,496		201,901
International Flavors & Fragrances, Inc.		1,484		142,286
NewMarket Corp.		164		62,487
Platform Specialty Products Corp.†		31,009		775,845
Sigma-Aldrich Corp.		998		135,738

Security Description	Shares		Value (Note 2)
Chemicals-Specialty (continued)
W.R. Grace & Co.†		1,201	$	109,219
				1,473,522
Coatings/Paint — 0.9%
RPM International, Inc.		5,955		272,620
Sherwin-Williams Co.		4,173		913,845
Valspar Corp.		4,844		382,628
				1,569,093
Coffee — 0.8%
Keurig Green Mountain, Inc.		10,916		1,420,499
Commercial Services — 0.6%
Aramark		713		18,752
Cintas Corp.		1,470		103,767
CoStar Group, Inc.†		5,198		808,497
Live Nation Entertainment, Inc.†		1,340		32,187
Quanta Services, Inc.†		3,943		143,091
				1,106,294
Commercial Services-Finance — 1.9%
Alliance Data Systems Corp.†		1,490		369,922
Equifax, Inc.		2,692		201,200
FleetCor Technologies, Inc.†		1,514		215,170
Global Payments, Inc.		3,356		234,517
H&R Block, Inc.		5,007		155,267
McGraw Hill Financial, Inc.		8,871		749,156
Moody's Corp.		6,752		638,064
Morningstar, Inc.		353		23,969
SEI Investments Co.		2,273		82,192
Total System Services, Inc.		2,366		73,251
Vantiv, Inc., Class A†		11,575		357,667
Western Union Co.		9,842		157,866
WEX, Inc.†		1,200		132,384
				3,390,625
Communications Software — 0.0%
SolarWinds, Inc.†		1,200		50,460
Computer Aided Design — 0.3%
ANSYS, Inc.†		2,290		173,284
Autodesk, Inc.†		5,578		307,348
				480,632
Computer Graphics — 0.0%
Atlassian Class A FDR†(1)(2)(3)		304		4,864
Atlassian Class A†(1)(2)(3)		441		7,056
Atlassian Series 1†(1)(2)(3)		775		12,400
Atlassian Series 2†(1)(2)(3)		2,075		33,200
				57,520
Computer Services — 0.8%
Computer Sciences Corp.		161		9,845
DST Systems, Inc.		448		37,596
IHS, Inc., Class A†		11,778		1,474,488
				1,521,929
Computer Software — 0.7%
Akamai Technologies, Inc.†		22,133		1,323,553

209

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Integrated Systems — 0.2%
Diebold, Inc.		1,179	$	41,642
Jack Henry & Associates, Inc.		1,543		85,884
NCR Corp.†		294		9,823
Riverbed Technology, Inc.†		2,932		54,374
Teradata Corp.†		2,272		95,242
VeriFone Systems, Inc.†		2,035		69,963
				356,928
Computers-Memory Devices — 0.6%
NetApp, Inc.		2,183		93,782
SanDisk Corp.		10,687		1,046,791
				1,140,573
Computers-Other — 0.2%
3D Systems Corp.†		2,007		93,065
Stratasys, Ltd.†		1,912		230,931
				323,996
Consulting Services — 0.8%
Booz Allen Hamilton Holding Corp.		1,268		29,671
CoreLogic, Inc.†		8,400		227,388
Corporate Executive Board Co.		1,500		90,105
Gartner, Inc.†		6,347		466,314
Genpact, Ltd.†		4,621		75,415
Verisk Analytics, Inc., Class A†		9,639		586,919
				1,475,812
Consumer Products-Misc. — 1.0%
Clorox Co.		3,547		340,654
Jarden Corp.†		721		43,339
Samsonite International SA		192,990		620,115
Scotts Miracle-Gro Co., Class A		818		44,990
Spectrum Brands Holdings, Inc.		6,987		632,533
Tupperware Brands Corp.		921		63,586
				1,745,217
Containers-Metal/Glass — 0.4%
Ball Corp.		8,546		540,705
Crown Holdings, Inc.†		2,530		112,636
Owens-Illinois, Inc.†		1,812		47,203
Silgan Holdings, Inc.		796		37,412
				737,956
Containers-Paper/Plastic — 0.1%
Packaging Corp. of America		1,795		114,557
Sealed Air Corp.		3,942		137,497
				252,054
Cosmetics & Toiletries — 0.0%
Avon Products, Inc.		3,237		40,786
Coty, Inc., Class A		1,011		16,732
				57,518
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		2,534		91,275
Royal Caribbean Cruises, Ltd.		2,400		161,496
				252,771

Security Description	Shares		Value (Note 2)
Data Processing/Management — 0.8%
Broadridge Financial Solutions, Inc.		2,203	$	91,711
Dun & Bradstreet Corp.		241		28,310
Fidelity National Information Services, Inc.		7,851		442,012
Fiserv, Inc.†		8,551		552,694
Paychex, Inc.		7,546		333,533
				1,448,260
Decision Support Software — 0.1%
MSCI, Inc.		3,844		180,745
Dental Supplies & Equipment — 0.2%
Align Technology, Inc.†		4,390		226,875
DENTSPLY International, Inc.		3,605		164,388
Patterson Cos., Inc.		139		5,759
				397,022
Diagnostic Equipment — 0.2%
Cepheid†		10,100		444,703
Diagnostic Kits — 0.2%
IDEXX Laboratories, Inc.†		3,537		416,765
Dialysis Centers — 0.2%
DaVita HealthCare Partners, Inc.†		4,226		309,090
Disposable Medical Products — 0.1%
C.R. Bard, Inc.		1,392		198,652
Distribution/Wholesale — 1.7%
Fastenal Co.		9,220		413,978
Fossil Group, Inc.†		2,450		230,055
Genuine Parts Co.		2,625		230,239
HD Supply Holdings, Inc.†		33,134		903,233
LKQ Corp.†		5,512		146,564
WESCO International, Inc.†		6,125		479,342
WW Grainger, Inc.		2,364		594,901
				2,998,312
Diversified Financial Services — 0.3%
Julius Baer Group, Ltd.		13,598		610,322
Diversified Manufacturing Operations — 1.2%
A.O. Smith Corp.		623		29,456
Colfax Corp.†		1,741		99,185
Crane Co.		324		20,480
Dover Corp.		2,244		180,261
Ingersoll-Rand PLC		419		23,615
ITT Corp.		377		16,942
Leggett & Platt, Inc.		1,250		43,650
Parker-Hannifin Corp.		1,449		165,403
Pentair PLC		8,841		578,997
Textron, Inc.		23,892		859,873
Trinity Industries, Inc.		2,167		101,242
				2,119,104
Diversified Operations — 0.0%
Leucadia National Corp.		1,103		26,296
Liberty TripAdvisor Holdings, Inc. Class A†		1,345		45,595
				71,891

210

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Drug Delivery Systems — 0.2%
Catalent, Inc.†		12,200	$	305,366
E-Commerce/Products — 0.5%
MercadoLibre, Inc.		1,400		152,110
Vipshop Holdings, Ltd. ADR†		600		113,406
The Honest Company, Inc.†(1)(2)(3)		1,850		50,056
zulily, Inc., Class A†		15,742		596,464
				912,036
E-Commerce/Services — 1.8%
Coupons.com, Inc.†		5,809		69,476
Expedia, Inc.		1,847		161,834
Groupon, Inc.†		8,786		58,690
IAC/InterActiveCorp		560		36,904
Liberty Interactive Corp., Class A†		10,282		293,243
Liberty Ventures, Series A†		1,345		51,056
Netflix, Inc.†		4,753		2,144,459
TripAdvisor, Inc.†		3,934		359,646
Zillow, Inc., Class A†		567		65,766
				3,241,074
E-Services/Consulting — 0.1%
CDW Corp.		1,586		49,245
Sapient Corp.†		6,400		89,600
				138,845
Electric Products-Misc. — 0.3%
AMETEK, Inc.		8,380		420,760
Mobileye NV†		3,600		192,924
				613,684
Electric-Transmission — 0.1%
ITC Holdings Corp.		2,718		96,842
Electronic Components-Misc. — 0.4%
Gentex Corp.		5,469		146,405
TE Connectivity, Ltd.		9,614		531,558
				677,963
Electronic Components-Semiconductors — 2.0%
Advanced Micro Devices, Inc.†		11,279		38,461
Altera Corp.		13,939		498,737
ARM Holdings PLC ADR		7,700		336,413
Avago Technologies, Ltd.		4,562		396,894
Cree, Inc.†		1,220		49,959
First Solar, Inc.†		6,109		402,033
Freescale Semiconductor, Ltd.†		1,771		34,588
IPG Photonics Corp.†		3,007		206,821
Microchip Technology, Inc.		6,408		302,650
NVIDIA Corp.		1,670		30,812
ON Semiconductor Corp.†		4,132		36,940
Skyworks Solutions, Inc.		7,862		456,389
SunEdison, Inc.†		21,478		405,505
Xilinx, Inc.		10,399		440,398
				3,636,600
Electronic Connectors — 0.3%
Amphenol Corp., Class A		5,769		576,092
Electronic Design Automation — 0.5%
Cadence Design Systems, Inc.†		47,408		815,892

Security Description	Shares		Value (Note 2)
Electronic Measurement Instruments — 0.5%
Agilent Technologies, Inc.		6,176	$	351,909
FLIR Systems, Inc.		1,810		56,725
National Instruments Corp.		1,816		56,169
Trimble Navigation, Ltd.†		12,564		383,202
				848,005
Electronic Parts Distribution — 0.0%
Avnet, Inc.		513		21,289
Electronic Security Devices — 0.2%
Allegion PLC		1,763		83,989
Tyco International, Ltd.		7,513		334,855
				418,844
Energy-Alternate Sources — 0.0%
SolarCity Corp.†		775		46,190
Engineering/R&D Services — 0.7%
AECOM Technology Corp.†		27,591		931,197
Fluor Corp.		1,775		118,552
Foster Wheeler AG		1,821		57,580
Jacobs Engineering Group, Inc.†		2,500		122,050
				1,229,379
Enterprise Software/Service — 1.2%
Concur Technologies, Inc.†		1,470		186,426
Guidewire Software, Inc.†		3,700		164,058
Informatica Corp.†		1,804		61,769
Tyler Technologies, Inc.†		4,483		396,297
Veeva Systems, Inc., Class A†		33,966		956,822
Workday, Inc., Class A†		4,408		363,660
				2,129,032
Entertainment Software — 0.6%
Activision Blizzard, Inc.		42,823		890,290
Electronic Arts, Inc.†		4,400		156,684
				1,046,974
Filtration/Separation Products — 0.9%
CLARCOR, Inc.		1,800		113,544
Donaldson Co., Inc.		8,284		336,579
Pall Corp.		13,172		1,102,496
				1,552,619
Finance-Auto Loans — 0.1%
Ally Financial, Inc.†		4,418		102,233
Finance-Consumer Loans — 0.0%
Ocwen Financial Corp.†		1,942		50,842
Santander Consumer USA Holdings, Inc.		109		1,941
SLM Corp.		2,625		22,470
				75,253
Finance-Investment Banker/Broker — 0.8%
E*TRADE Financial Corp.†		13,000		293,670
Lazard, Ltd., Class A		7,156		362,809
LPL Financial Holdings, Inc.		6,196		285,326
TD Ameritrade Holding Corp.		12,695		423,632
				1,365,437
Finance-Leasing Companies — 0.0%
Air Lease Corp.		119		3,868

211

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Mortgage Loan/Banker — 0.2%
FNF Group		9,900	$	274,626
FNFV Group†		1,999		27,506
Nationstar Mtg. Holdings, Inc.†		355		12,155
				314,287
Finance-Other Services — 0.5%
CBOE Holdings, Inc.		7,969		426,541
Intercontinental Exchange, Inc.		2,391		466,364
				892,905
Financial Guarantee Insurance — 0.3%
Assured Guaranty, Ltd.		28,627		634,374
Food-Baking — 0.2%
Flowers Foods, Inc.		15,088		277,016
Food-Confectionery — 0.3%
Hershey Co.		4,930		470,470
J.M. Smucker Co.		1,400		138,586
				609,056
Food-Dairy Products — 0.3%
WhiteWave Foods Co., Class A†		12,627		458,739
Food-Meat Products — 0.1%
Hormel Foods Corp.		2,443		125,546
Tyson Foods, Inc., Class A		299		11,771
				137,317
Food-Misc./Diversified — 0.4%
Campbell Soup Co.		2,110		90,160
Hain Celestial Group, Inc.†		838		85,769
Ingredion, Inc.		203		15,386
McCormick & Co., Inc.		6,883		460,473
				651,788
Food-Retail — 0.8%
Fresh Market, Inc.†		3,400		118,762
Kroger Co.		9,306		483,912
Sprouts Farmers Market, Inc.†		18,676		542,912
Whole Foods Market, Inc.		8,220		313,264
				1,458,850
Footwear & Related Apparel — 0.1%
Deckers Outdoor Corp.†		632		61,418
Wolverine World Wide, Inc.		4,100		102,746
				164,164
Funeral Services & Related Items — 0.0%
Service Corp. International		3,033		64,118
Garden Products — 0.0%
Toro Co.		1,029		60,948
Gas-Distribution — 0.1%
NiSource, Inc.		4,600		188,508
Gold Mining — 0.0%
Eldorado Gold Corp.		13,300		89,642
Hazardous Waste Disposal — 0.6%
Clean Harbors, Inc.†		14,388		775,801
Stericycle, Inc.†		2,347		273,566
				1,049,367

Security Description	Shares		Value (Note 2)
Heart Monitors — 0.3%
HeartWare International, Inc.†		7,802	$	605,669
Home Decoration Products — 0.1%
Newell Rubbermaid, Inc.		2,996		103,092
Home Furnishings — 0.0%
Tempur Sealy International, Inc.†		1,110		62,349
Hotels/Motels — 2.0%
Choice Hotels International, Inc.		4,243		220,636
Diamond Resorts International, Inc.†		29,529		672,080
Extended Stay America, Inc.		4,900		116,326
Hilton Worldwide Holdings, Inc.†		2,470		60,836
Hyatt Hotels Corp., Class A†		41		2,481
Marriott International, Inc., Class A		8,102		566,330
Starwood Hotels & Resorts Worldwide, Inc.		15,142		1,259,966
Wyndham Worldwide Corp.		10,012		813,575
				3,712,230
Human Resources — 0.7%
Manpowergroup, Inc.		13,021		912,772
Robert Half International, Inc.		5,811		284,739
Team Health Holdings, Inc.†		2,300		133,377
				1,330,888
Independent Power Producers — 0.1%
Calpine Corp.†		5,698		123,647
Industrial Audio & Video Products — 0.3%
Imax Corp.†		19,735		541,923
Industrial Automated/Robotic — 0.6%
Cognex Corp.†		16,114		648,911
Nordson Corp.		2,675		203,487
Rockwell Automation, Inc.		2,528		277,777
				1,130,175
Industrial Gases — 0.3%
Airgas, Inc.		4,456		493,056
Instruments-Controls — 0.5%
Mettler-Toledo International, Inc.†		1,734		444,129
Sensata Technologies Holding NV†		10,600		472,018
				916,147
Instruments-Scientific — 0.2%
FEI Co.		1,800		135,756
PerkinElmer, Inc.		390		17,004
Waters Corp.†		1,548		153,438
				306,198
Insurance Brokers — 0.3%
Aon PLC		4,161		364,795
Arthur J. Gallagher & Co.		2,710		122,926
Brown & Brown, Inc.		127		4,083
Erie Indemnity Co., Class A		446		33,811
				525,615
Insurance-Multi-line — 0.3%
American Financial Group, Inc.		218		12,620
XL Group PLC		17,251		572,216
				584,836

212

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Property/Casualty — 0.1%
HCC Insurance Holdings, Inc.		1,700	$	82,093
Progressive Corp.		6,900		174,432
				256,525
Insurance-Reinsurance — 0.0%
Reinsurance Group of America, Inc.		351		28,126
Internet Application Software — 0.1%
Splunk, Inc.†		2,159		119,522
Internet Content-Entertainment — 0.8%
Pandora Media, Inc.†		7,651		184,848
Shutterstock, Inc.†		7,052		503,372
Twitter, Inc.†		13,250		683,435
				1,371,655
Internet Content-Information/News — 0.8%
LinkedIn Corp., Class A†		3,805		790,641
Yelp, Inc.†		10,612		724,269
				1,514,910
Internet Incubators — 0.1%
HomeAway, Inc.†		4,879		173,204
Internet Infrastructure Software — 0.8%
F5 Networks, Inc.†		10,548		1,252,469
TIBCO Software, Inc.†		8,571		202,533
				1,455,002
Internet Security — 0.3%
FireEye, Inc.†		1,269		38,781
VeriSign, Inc.†		8,701		479,599
				518,380
Investment Management/Advisor Services — 0.8%
Affiliated Managers Group, Inc.†		1,009		202,163
Ameriprise Financial, Inc.		1,213		149,660
Artisan Partners Asset Management, Inc., Class A		3,101		161,407
Eaton Vance Corp.		2,197		82,893
Federated Investors, Inc., Class B		1,261		37,023
Financial Engines, Inc.		2,400		82,116
Invesco, Ltd.		4,176		164,868
Legg Mason, Inc.		742		37,961
NorthStar Asset Management Group, Inc.		717		13,207
T. Rowe Price Group, Inc.		4,798		376,163
Waddell & Reed Financial, Inc., Class A		1,556		80,430
				1,387,891
Lighting Products & Systems — 0.5%
Acuity Brands, Inc.		7,207		848,336
Machine Tools & Related Products — 0.0%
Lincoln Electric Holdings, Inc.		500		34,567
Machinery-Construction & Mining — 0.1%
Terex Corp.		4,300		136,611

Security Description	Shares		Value (Note 2)
Machinery-General Industrial — 0.8%
Babcock & Wilcox Co.		4,600	$	127,374
IDEX Corp.		3,409		246,709
Manitowoc Co., Inc.		2,468		57,875
Middleby Corp.†		1,046		92,184
Roper Industries, Inc.		3,525		515,672
Wabtec Corp.		5,161		418,248
Zebra Technologies Corp., Class A†		921		65,363
				1,523,425
Machinery-Pumps — 0.6%
Flowserve Corp.		6,608		465,996
Graco, Inc.		4,206		306,954
Xylem, Inc.		9,333		331,228
				1,104,178
Medical Information Systems — 0.8%
Allscripts Healthcare Solutions, Inc.†		1,222		16,393
athenahealth, Inc.†		1,590		209,387
Cerner Corp.†		17,818		1,061,418
IMS Health Holdings, Inc.†		1,365		35,750
Medidata Solutions, Inc.†		2,000		88,580
				1,411,528
Medical Instruments — 1.3%
Boston Scientific Corp.†		2,295		27,104
Bruker Corp.†		6,611		122,403
DexCom, Inc.†		24,913		996,271
Edwards Lifesciences Corp.†		1,926		196,741
Intuitive Surgical, Inc.†		1,356		626,228
St Jude Medical, Inc.		3,342		200,954
Techne Corp.		328		30,684
Thoratec Corp.†		3,700		98,901
				2,299,286
Medical Labs & Testing Services — 0.4%
Covance, Inc.†		9,295		731,516
Laboratory Corp. of America Holdings†		613		62,373
				793,889
Medical Products — 0.7%
Cooper Cos., Inc.		647		100,770
Henry Schein, Inc.†		3,558		414,400
Hill-Rom Holdings, Inc.		69		2,859
Hospira, Inc.†		2,300		119,669
Sirona Dental Systems, Inc.†		3,248		249,057
Teleflex, Inc.		1,400		147,056
Varian Medical Systems, Inc.†		1,898		152,068
Zimmer Holdings, Inc.		229		23,026
				1,208,905
Medical-Biomedical/Gene — 3.2%
Alexion Pharmaceuticals, Inc.†		2,000		331,640
Alnylam Pharmaceuticals, Inc.†		5,861		457,744
BioMarin Pharmaceutical, Inc.†		6,165		444,866
Charles River Laboratories International, Inc.†		417		24,912
Cubist Pharmaceuticals, Inc.†		4,693		311,334
Illumina, Inc.†		2,547		417,504
Incyte Corp.†		14,600		716,130

213

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Intercept Pharmaceuticals, Inc.†		727	$	172,074
Medivation, Inc.†		1,397		138,121
Myriad Genetics, Inc.†		3,897		150,307
NPS Pharmaceuticals, Inc.†		10,453		271,778
Puma Biotechnology, Inc.†		1,300		310,141
Regeneron Pharmaceuticals, Inc.†		2,128		767,187
Seattle Genetics, Inc.†		4,346		161,584
United Therapeutics Corp.†		1,875		241,219
Vertex Pharmaceuticals, Inc.†		8,471		951,378
				5,867,919
Medical-Drugs — 2.5%
ACADIA Pharmaceuticals, Inc.†		6,800		168,368
Alkermes PLC†		7,558		324,012
Endo International PLC†		7,680		524,851
Jazz Pharmaceuticals PLC†		2,384		382,775
Mallinckrodt PLC†		1,494		134,684
Ono Pharmaceutical Co., Ltd.		9,480		841,898
Pacira Pharmaceuticals, Inc.†		1,400		135,688
Quintiles Transnational Holdings, Inc.†		2,986		166,559
Salix Pharmaceuticals, Ltd.†		7,784		1,216,172
Zoetis, Inc.		19,750		729,763
				4,624,770
Medical-Generic Drugs — 0.7%
Actavis PLC†		3,534		852,684
Mylan, Inc.†		6,825		310,469
Perrigo Co. PLC		552		82,905
				1,246,058
Medical-HMO — 0.3%
Centene Corp.†		1,053		87,094
Cigna Corp.		1,982		179,747
Humana, Inc.		2,100		273,609
WellCare Health Plans, Inc.†		1,300		78,442
				618,892
Medical-Hospitals — 0.2%
HCA Holdings, Inc.†		566		39,914
Tenet Healthcare Corp.†		1,783		105,893
Universal Health Services, Inc., Class B		2,058		215,061
				360,868
Medical-Outpatient/Home Medical — 0.0%
Premier, Inc., Class A†		591		19,420
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		9,424		728,475
Cardinal Health, Inc.		502		37,610
				766,085
Metal Processors & Fabrication — 0.1%
Rexnord Corp.†		7,300		207,685
Timken Co.		96		4,069
				211,754
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		271		16,450

Security Description	Shares		Value (Note 2)
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp.		1,469	$	48,433
Motorcycle/Motor Scooter — 0.6%
Harley-Davidson, Inc.		19,880		1,157,016
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		1,076		48,452
Multimedia — 0.5%
FactSet Research Systems, Inc.		6,353		772,080
Markit Ltd†		6,000		140,100
				912,180
Networking Products — 0.1%
Fortinet, Inc.†		2,502		63,213
Palo Alto Networks, Inc.†		948		92,999
				156,212
Non-Hazardous Waste Disposal — 0.1%
Covanta Holding Corp.		804		17,061
Waste Connections, Inc.		3,974		192,818
				209,879
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		1,691		42,258
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		603		26,924
Oil & Gas Drilling — 0.1%
Atwood Oceanics, Inc.		255		11,141
Helmerich & Payne, Inc.		1,194		116,857
Nabors Industries, Ltd.		538		12,245
Patterson-UTI Energy, Inc.		1,348		43,850
Seadrill, Ltd.		1,915		51,245
				235,338
Oil Companies-Exploration & Production — 4.3%
Antero Resources Corp.†		2,668		146,447
Athlon Energy, Inc.†		4,935		287,365
Cabot Oil & Gas Corp.		15,321		500,843
Chesapeake Energy Corp.		2,212		50,854
Cimarex Energy Co.		1,792		226,742
Cobalt International Energy, Inc.†		5,822		79,179
Concho Resources, Inc.†		4,558		571,528
Continental Resources, Inc.†		3,370		224,038
Diamondback Energy, Inc.†		12,934		967,204
Energen Corp.		9,339		674,649
EQT Corp.		7,211		660,095
Gulfport Energy Corp.†		1,262		67,391
Kosmos Energy, Ltd.†		1,929		19,213
Laredo Petroleum, Inc.†		1,246		27,923
Noble Energy, Inc.		4,697		321,087
Oasis Petroleum, Inc.†		1,847		77,223
Pioneer Natural Resources Co.		6,397		1,260,017
QEP Resources, Inc.		417		12,835
Range Resources Corp.		10,793		731,873
Rice Energy, Inc.†		4,955		131,803
Seventy Seven Energy, Inc.†		157		3,727
SM Energy Co.		3,024		235,872
Southwestern Energy Co.†		6,447		225,323
Ultra Petroleum Corp.†		836		19,445

214

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Unit Corp.†		58	$	3,402
Whiting Petroleum Corp.†		2,023		156,884
WPX Energy, Inc.†		5,300		127,518
				7,810,480
Oil Field Machinery & Equipment — 0.4%
Cameron International Corp.†		4,782		317,429
Dresser-Rand Group, Inc.†		1,396		114,835
Dril-Quip, Inc.†		745		66,603
FMC Technologies, Inc.†		4,295		233,262
				732,129
Oil Refining & Marketing — 0.3%
Cheniere Energy, Inc.†		4,345		347,730
CVR Energy, Inc.		117		5,233
HollyFrontier Corp.		663		28,960
Murphy USA, Inc.†		396		21,012
PBF Energy, Inc., Class A		395		9,480
Tesoro Corp.		3,515		214,345
				626,760
Oil-Field Services — 0.4%
Core Laboratories NV		900		131,715
Frank's International NV		5,581		104,365
MRC Global, Inc.†		843		19,659
NOW, Inc.†		166		5,048
Oceaneering International, Inc.		4,872		317,508
RPC, Inc.		1,123		24,661
Superior Energy Services, Inc.		194		6,377
Targa Resources Corp.		688		93,685
				703,018
Paper & Related Products — 0.0%
International Paper Co.		1,226		58,529
Veritiv Corp.†		22		1,102
				59,631
Patient Monitoring Equipment — 0.4%
Insulet Corp.†		20,584		758,520
Pharmacy Services — 0.2%
Catamaran Corp.†		7,001		295,092
Physicians Practice Management — 0.6%
Envision Healthcare Holdings, Inc.†		25,137		871,751
MEDNAX, Inc.†		4,398		241,099
				1,112,850
Pipelines — 0.1%
ONEOK, Inc.		2,012		131,887
Platinum — 0.1%
Stillwater Mining Co.†		7,000		105,210
Poultry — 0.0%
Pilgrim's Pride Corp.†		152		4,645
Power Converter/Supply Equipment — 0.5%
Generac Holdings, Inc.†		15,032		609,397
Hubbell, Inc., Class B		2,073		249,859
SunPower Corp.†		75		2,541
				861,797

Security Description	Shares		Value (Note 2)
Precious Metals — 0.0%
Tahoe Resources, Inc.†		241	$	4,892
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		360		5,926
Publishing-Periodicals — 0.6%
Nielsen NV		23,281		1,032,047
Quarrying — 0.1%
Compass Minerals International, Inc.		1,911		161,059
Radio — 0.1%
Sirius XM Holdings, Inc.†		47,345		165,234
Real Estate Investment Trusts — 1.3%
Apartment Investment & Management Co., Class A		1,510		48,048
Boston Properties, Inc.		335		38,780
CBS Outdoor Americas, Inc.		125		3,743
Columbia Property Trust, Inc.		341		8,140
Crown Castle International Corp.		13,295		1,070,646
Equity Lifestyle Properties, Inc.		1,101		46,638
Extra Space Storage, Inc.		2,117		109,174
Federal Realty Investment Trust		1,915		226,851
Health Care REIT, Inc.		2,978		185,738
Healthcare Trust of America, Inc., Class A		520		6,032
Iron Mountain, Inc.		2,788		91,028
NorthStar Realty Finance Corp.		717		12,669
Omega Healthcare Investors, Inc.		755		25,813
Plum Creek Timber Co., Inc.		1,558		60,778
Rayonier, Inc.		275		8,563
Tanger Factory Outlet Centers, Inc.		1,037		33,931
Taubman Centers, Inc.		1,079		78,767
Ventas, Inc.		2,542		157,477
Vornado Realty Trust		769		76,869
Weyerhaeuser Co.		1,020		32,497
				2,322,182
Real Estate Management/Services — 0.6%
CBRE Group, Inc., Class A†		24,377		724,972
Jones Lang LaSalle, Inc.		2,017		254,828
Realogy Holdings Corp.†		1,155		42,966
				1,022,766
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		344		51,600
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		3,103		464,798
Rental Auto/Equipment — 0.3%
Aaron's, Inc.		212		5,156
Avis Budget Group, Inc.†		1,925		105,663
Hertz Global Holdings, Inc.†		12,475		316,740
United Rentals, Inc.†		1,776		197,314
				624,873
Resorts/Theme Parks — 0.0%
SeaWorld Entertainment, Inc.		1,242		23,883
Six Flags Entertainment Corp.		1,330		45,739
				69,622

215

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Respiratory Products — 0.1%
ResMed, Inc.		2,563	$	126,279
Retail-Apparel/Shoe — 1.9%
Abercrombie & Fitch Co., Class A		191		6,941
Chico's FAS, Inc.		1,231		18,182
Coach, Inc.		8,206		292,216
Foot Locker, Inc.		386		21,481
Gap, Inc.		4,832		201,446
Kate Spade & Co.†		29,466		772,893
L Brands, Inc.		6,784		454,392
Lululemon Athletica, Inc.†		3,000		126,030
PVH Corp.		1,316		159,433
Ross Stores, Inc.		18,155		1,372,155
Urban Outfitters, Inc.†		1,410		51,747
Zalando SE†*		1,357		36,850
				3,513,766
Retail-Arts & Crafts — 0.1%
Michaels Cos., Inc.†		7,000		122,360
Retail-Auto Parts — 1.3%
Advance Auto Parts, Inc.		6,823		889,037
AutoZone, Inc.†		1,595		812,908
O'Reilly Automotive, Inc.†		4,637		697,219
				2,399,164
Retail-Automobile — 0.5%
AutoNation, Inc.†		1,328		66,812
CarMax, Inc.†		14,374		667,672
Copart, Inc.†		4,555		142,640
Penske Automotive Group, Inc.		345		14,003
				891,127
Retail-Bedding — 0.1%
Bed Bath & Beyond, Inc.†		1,576		103,748
Retail-Building Products — 0.0%
Lumber Liquidators Holdings, Inc.†		1,200		68,856
Retail-Catalog Shopping — 0.0%
MSC Industrial Direct Co., Inc., Class A		866		74,008
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		109		4,491
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		1,567		52,636
Retail-Discount — 0.7%
Big Lots, Inc.		315		13,561
Dollar General Corp.†		8,207		501,530
Dollar Tree, Inc.†		11,476		643,459
Family Dollar Stores, Inc.		1,647		127,214
				1,285,764
Retail-Drug Store — 0.2%
Rite Aid Corp.†		71,518		346,147
Retail-Gardening Products — 0.3%
Tractor Supply Co.		8,328		512,255
Retail-Home Furnishings — 0.1%
Restoration Hardware Holdings, Inc.†		2,500		198,875

Security Description	Shares		Value (Note 2)
Retail-Jewelry — 0.7%
Signet Jewelers, Ltd.		6,644	$	756,818
Tiffany & Co.		5,660		545,115
				1,301,933
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		4,419		294,173
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		2,532		173,113
Sears Holdings Corp.†		380		9,587
				182,700
Retail-Misc./Diversified — 0.2%
CST Brands, Inc.		1,178		42,349
Five Below, Inc.†		3,800		150,518
PriceSmart, Inc.		1,200		102,768
Sally Beauty Holdings, Inc.†		2,191		59,968
				355,603
Retail-Perfume & Cosmetics — 0.1%
Ulta Salon Cosmetics & Fragrance, Inc.†		1,975		233,386
Retail-Pet Food & Supplies — 0.2%
PetSmart, Inc.		4,412		309,237
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		290		11,577
Retail-Regional Department Stores — 0.2%
Dillard's, Inc., Class A		316		34,438
Kohl's Corp.		209		12,755
Macy's, Inc.		5,101		296,776
				343,969
Retail-Restaurants — 2.4%
Bloomin' Brands, Inc.†		29,268		536,775
Brinker International, Inc.		4,886		248,160
Buffalo Wild Wings, Inc.†		3,453		463,634
Burger King Worldwide, Inc.		1,930		57,244
Chipotle Mexican Grill, Inc.†		2,481		1,653,810
Domino's Pizza, Inc.		1,016		78,191
Dunkin' Brands Group, Inc.		1,941		86,996
Panera Bread Co., Class A†		6,232		1,014,071
Papa John's International, Inc.		3,900		155,961
				4,294,842
Retail-Sporting Goods — 0.1%
Cabela's, Inc.†		105		6,185
Dick's Sporting Goods, Inc.		3,305		145,023
				151,208
Retail-Vitamins & Nutrition Supplements — 0.0%
GNC Holdings, Inc., Class A		1,662		64,386
Retirement/Aged Care — 0.1%
Brookdale Senior Living, Inc.†		2,938		94,662
Rubber-Tires — 0.1%
Goodyear Tire & Rubber Co.		5,032		113,648
Satellite Telecom — 0.5%
DigitalGlobe, Inc.†		31,416		895,356
EchoStar Corp., Class A†		193		9,411
				904,767

216

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Semiconductor Components-Integrated Circuits — 0.9%
Analog Devices, Inc.		2,616	$	129,466
Atmel Corp.†		7,687		62,111
Linear Technology Corp.		8,820		391,520
Maxim Integrated Products, Inc.		4,739		143,307
NXP Semiconductor NV†		13,040		892,327
				1,618,731
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		14,852		320,952
KLA-Tencor Corp.		4,861		382,949
Lam Research Corp.		787		58,789
Teradyne, Inc.		390		7,562
				770,252
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		757		78,887
Soap & Cleaning Preparation — 0.2%
Church & Dwight Co., Inc.		5,782		405,665
Steel Pipe & Tube — 0.1%
TimkenSteel Corp.		47		2,185
Valmont Industries, Inc.		1,732		233,699
				235,884
Steel-Producers — 0.1%
Carpenter Technology Corp.		2,159		97,479
Telecom Services — 0.1%
Level 3 Communications, Inc.†		3,078		140,757
tw telecom, Inc.†		2,518		104,774
				245,531
Telecommunication Equipment — 0.1%
ARRIS Group, Inc.†		2,297		65,131
CommScope Holding Co., Inc.†		1,137		27,186
Harris Corp.		398		26,427
Juniper Networks, Inc.		1,877		41,576
				160,320
Telephone-Integrated — 0.1%
Windstream Holdings, Inc.		10,301		111,045
Television — 0.0%
AMC Networks, Inc., Class A†		1,089		63,619
Theaters — 0.0%
Cinemark Holdings, Inc.		2,107		71,722
Regal Entertainment Group, Class A		379		7,535
				79,257
Therapeutics — 0.2%
Pharmacyclics, Inc.†		3,111		365,325
Tobacco — 0.2%
Lorillard, Inc.		6,621		396,664
Tools-Hand Held — 0.2%
Snap-on, Inc.		2,048		247,972
Stanley Black & Decker, Inc.		318		28,235
				276,207

Security Description	Shares/ Principal Amount		Value (Note 2)
Toys — 0.2%
Hasbro, Inc.		1,781	$	97,946
Mattel, Inc.		7,243		221,998
				319,944
Transactional Software — 0.5%
Solera Holdings, Inc.		15,484		872,678
Transport-Equipment & Leasing — 0.0%
AMERCO		75		19,642
Transport-Marine — 0.1%
Kirby Corp.†		1,041		122,682
Teekay Corp.		381		25,283
				147,965
Transport-Rail — 0.8%
Genesee & Wyoming, Inc., Class A†		2,538		241,897
Kansas City Southern		10,043		1,217,211
				1,459,108
Transport-Services — 0.4%
C.H. Robinson Worldwide, Inc.		4,910		325,631
Expeditors International of Washington, Inc.		7,904		320,745
				646,376
Transport-Truck — 0.7%
J.B. Hunt Transport Services, Inc.		4,780		353,959
Landstar System, Inc.		11,449		826,503
Old Dominion Freight Line, Inc.†		1,149		81,166
				1,261,628
Travel Services — 0.0%
Sabre Corp.		824		14,762
Vitamins & Nutrition Products — 0.4%
Herbalife, Ltd.		1,391		60,856
Mead Johnson Nutrition Co.		6,490		624,468
				685,324
Web Hosting/Design — 0.6%
Equinix, Inc.		4,657		989,519
Rackspace Hosting, Inc.†		5,242		170,627
				1,160,146
Web Portals/ISP — 0.0%
Dropbox, Inc.†(1)(2)(3)		844		14,753
Wireless Equipment — 0.8%
Motorola Solutions, Inc.		3,022		191,232
SBA Communications Corp., Class A†		7,852		870,787
Ubiquiti Networks, Inc.		10,499		394,027
				1,456,046
X-Ray Equipment — 0.0%
Hologic, Inc.†		1,421		34,573
Total Common Stocks (cost $134,758,045)				173,334,839
CONVERTIBLE PREFERRED SECURITIES — 0.7%
Computers-Memory Devices — 0.1%
Pure Storage, Inc. Series F†(1)(2)(3)		7,349		115,570

217

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
CONVERTIBLE PREFERRED SECURITIES (continued)
E-Commerce/Products — 0.2%
One Kings Lane, Inc. Series E.†(1)(2)(3)		11,800	$	180,658
The Honest Company, Inc.†(1)(2)(3)		4,317		116,806
				297,464
E-Commerce/Services — 0.2%
Uber Technologies, Inc.†(1)(2)(3)		6,368		395,149
Electronic Forms — 0.1%
Docusign, Inc., Series B.†(1)(2)(3)		358		5,578
Docusign, Inc., Series B-1.†(1)(2)(3)		107		1,667
Docusign, Inc., Series D.†(1)(2)(3)		257		4,004
Docusign, Inc., Series E.†(1)(2)(3)		6,656		103,700
				114,949
Internet Infrastructure Software — 0.0%
New Relic, Inc. Series F.†(1)(2)(3)		2,935		84,921
Web Hosting/Design — 0.0%
AirBNB, Inc., Series D.†(1)(2)(3)		2,091		84,898
Web Portals/ISP — 0.1%
Dropbox, Inc., Class A-1.†(1)(2)(3)		5,146		97,465
Dropbox, Inc., Class C.†(1)(2)(3)		3,310		64,181
Dropbox, Inc., Series A.†(1)(2)(3)		1,047		19,830
				181,476
Total Convertible Preferred Securities (cost $1,195,654)				1,274,427
EXCHANGE-TRADED FUNDS — 1.2%
iShares Russell Midcap Growth Index Fund (cost $4,397,362)		24,410		2,156,624
PREFERRED SECURITIES — 0.0%
Computer Graphics — 0.0%
Atlassian Class A FDR†(1)(2)(3)		1,588		25,408
Atlassian Series A†(1)(2)(3)		1,534		24,544
Total Preferred Securities (cost $49,952)				49,952
Total Long-Term Investment Securities (cost $140,401,013)				176,815,842
SHORT-TERM INVESTMENT SECURITIES — 0.2%
Registered Investment Companies — 0.2%
T. Rowe Price Reserve Investment Fund (cost $260,536)		260,536		260,536
REPURCHASE AGREEMENTS — 2.4%
Bank of America Securities LLC Joint Repurchase Agreement(4)		915,000		915,000
Barclays Capital PLC Joint Repurchase Agreement(4)		790,000		790,000
BNP Paribas SA Joint Repurchase Agreement(4)		730,000		730,000
Deutsche Bank AG Joint Repurchase Agreement(4)		485,000		485,000
Royal Bank of Scotland Joint Repurchase Agreement(4)		845,000		845,000
State Street Bank & Trust Co. Joint Repurchase Agreement(4)		602,000		602,000
Total Repurchase Agreements (cost $4,367,000)				4,367,000

Security Description	Shares/ Principal Amount			Value (Note 2)
TOTAL INVESTMENTS (cost $145,028,549)(5)		99.9	%	$	181,443,378
Other assets less liabilities		0.1			115,407
NET ASSETS		100.0	%	$	181,558,785

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $36,850 representing 0.0% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $1,446,708 representing 0.8% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Mid Cap Growth Portfolio held the following restricted securities:

Name Acquisition
Date Shares Acquisition
Cost Value Value
Per
Share % of
Net
Assets

Common Stocks

Atlassian Class A FDR	04/09/2014	304	$	4,864	$	4,864	$	16.00	0.00	%
Atlassian Class A	04/09/2014	441		7,056		7,056		16.00	0.00
Atlassian Series 1	04/09/2014	775		12,400		12,400		16.00	0.01
Atlassian Series 2	04/09/2014	2,075		33,200		33,200		16.00	0.02
Dropbox, Inc.	05/01/2012	844		7,637		14,753		17.48	0.01
The Honest Company, Inc.	08/20/2014	1,850		50,056		50,056		27.06	0.03

Convertible Preferred Securities

AirBNB, Inc. Series D	04/16/2014	2,091	85,131	84,898	40.60	0.05
Dropbox, Inc. Class A-1	05/01/2012	5,146	46,567	97,465	18.94	0.05
Dropbox, Inc. Class C	01/28/2014	3,310	63,225	64,181	19.39	0.04
Dropbox, Inc. Series A	05/01/2012	1,047	9,474	19,830	18.94	0.01
Docusign, Inc. Series B	02/28/2014	358	4,702	5,578	15.58	0.00

218

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Name Acquisition
Date Shares Acquisition
Cost Value Value
Per
Share % of
Net
Assets

Convertible Preferred Securities (continued)

Docusign, Inc. Series B-1	02/28/2014	107	$	1,405	$	1,667	$	15.58	0.00	%
Docusign, Inc. Series D	02/28/2014	257		3,375		4,004		15.58	0.00
Docusign, Inc. Series E	02/28/2014	6,656		87,409		103,700		15.58	0.06
One Kings Lane, Inc. Series E	01/28/2014	11,800		181,921		180,658		15.31	0.10
New Relic, Inc. Series F	04/16/2014	2,935		84,921		84,921		28.93	0.05
Pure Storage, Inc. Series F	04/16/2014	7,349		115,570		115,570		15.73	0.06
The Honest Company, Inc	08/20/2014	4,317		116,806		116,806		27.06	0.06
Uber Technologies, Inc.	06/05/2014	6,368		395,148		395,149		62.05	0.22

Preferred Securities

Atlassian Class A FDR	04/09/2014	1,588	25,408		25,408	16.00	0.01
Atlassian Class A	04/09/2014	1,534	24,544		24,544	16.00	0.01
				$	1,446,708		0.79	%

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

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

ADR — American Depository Receipt

FDR — Fiduciary Depository Receipt

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2014	$	567,407	$	546,160	$	(21,247	)

219

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stock:
Computer Graphics	$	—	$	—	$	57,520	$	57,520
E-Commerce/Products		861,980		—		50,056		912,036
Web Portals/ISP		—		—		14,753		14,753
Other Industries*		172,350,530		—		—		172,350,530
Convertible Preferred Securities		—		—		1,274,427		1,274,427
Exchange-Traded Funds		2,156,624		—		—		2,156,624
Preferred Securities		—		—		49,952		49,952
Short-Term Investment Securities:
Registered Investment Companies		260,536		—		—		260,536
Repurchase Agreements		—		4,367,000		—		4,367,000
Total	$	175,629,670	$	4,367,000	$	1,446,708	$	181,443,378
Liabilities:
Other Financial Instruments:+
Open Futures Contracts-Depreciation	$	21,247	$	—	$	—	$	21,247
Total	$	21,247	$	—	$	—	$	21,247

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities held at the beginning of the period currently valued at $2,072,335 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investment in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

220

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	8.1	%
Electric-Integrated	5.3
Oil Companies-Exploration & Production	3.9
Banks-Commercial	3.5
Insurance-Multi-line	3.4
Banks-Super Regional	2.7
Insurance-Life/Health	2.6
Investment Management/Advisor Services	2.0
Diversified Manufacturing Operations	1.9
Gas-Distribution	1.9
Electronic Components-Semiconductors	1.9
Aerospace/Defense-Equipment	1.8
Medical-HMO	1.8
Retail-Apparel/Shoe	1.5
Food-Misc./Diversified	1.5
Semiconductor Components-Integrated Circuits	1.5
Hotels/Motels	1.4
Insurance-Reinsurance	1.4
Repurchase Agreements	1.3
Medical-Wholesale Drug Distribution	1.2
Steel-Producers	1.2
Building & Construction Products-Misc.	1.2
Medical-Hospitals	1.2
Medical-Generic Drugs	1.2
Computers-Memory Devices	1.1
Medical-Drugs	1.1
Agricultural Chemicals	1.1
Exchange-Traded Funds	1.0
Data Processing/Management	1.0
Finance-Consumer Loans	0.9
Real Estate Management/Services	0.9
Paper & Related Products	0.9
Television	0.9
Building-Residential/Commercial	0.9
Medical Products	0.8
Chemicals-Diversified	0.8
Chemicals-Specialty	0.8
Finance-Investment Banker/Broker	0.8
Applications Software	0.8
Registered Investment Companies	0.8
Oil-Field Services	0.7
Insurance Brokers	0.7
Electronic Measurement Instruments	0.7
Food-Retail	0.7
Distribution/Wholesale	0.7
Insurance-Property/Casualty	0.6
E-Commerce/Services	0.6
Oil Refining & Marketing	0.6
Banks-Fiduciary	0.6
Food-Meat Products	0.6
Independent Power Producers	0.6
Tools-Hand Held	0.6
Office Automation & Equipment	0.6
Medical Instruments	0.6
Engineering/R&D Services	0.6
Consumer Products-Misc.	0.5
Containers-Paper/Plastic	0.5
Transport-Services	0.5
Computers-Integrated Systems	0.5
Retail-Regional Department Stores	0.5

Steel-Specialty	0.5	%
Electronic Security Devices	0.5
Finance-Other Services	0.5
Coal	0.4
Semiconductor Equipment	0.4
Medical Labs & Testing Services	0.4
Instruments-Scientific	0.4
Electronic Components-Misc.	0.4
Appliances	0.4
Textile-Home Furnishings	0.4
Rental Auto/Equipment	0.4
Airlines	0.4
Retail-Office Supplies	0.4
Enterprise Software/Service	0.4
Coatings/Paint	0.4
Transport-Truck	0.4
Batteries/Battery Systems	0.3
Machinery-Construction & Mining	0.3
Entertainment Software	0.3
Electric-Transmission	0.3
Casino Hotels	0.3
Investment Companies	0.3
Transport-Rail	0.3
Oil & Gas Drilling	0.3
Oil Field Machinery & Equipment	0.3
Metal Processors & Fabrication	0.3
Transport-Marine	0.3
Steel Pipe & Tube	0.3
Gold Mining	0.2
Web Portals/ISP	0.2
Savings & Loans/Thrifts	0.2
Commercial Services-Finance	0.2
Retail-Vitamins & Nutrition Supplements	0.2
Metal-Aluminum	0.2
Publishing-Newspapers	0.2
Physicians Practice Management	0.2
Auto/Truck Parts & Equipment-Original	0.2
Internet Security	0.2
Consulting Services	0.2
Beverages-Wine/Spirits	0.2
Non-Hazardous Waste Disposal	0.2
Broadcast Services/Program	0.2
Telecommunication Equipment	0.2
Water	0.1
Agricultural Operations	0.1
Machinery-General Industrial	0.1
Cruise Lines	0.1
Wireless Equipment	0.1
Electric-Generation	0.1
Food-Confectionery	0.1
Electronics-Military	0.1
Oil Companies-Integrated	0.1
Brewery	0.1
Commercial Services	0.1
Retail-Restaurants	0.1
Finance-Mortgage Loan/Banker	0.1
Telephone-Integrated	0.1
Computer Services	0.1
Diagnostic Kits	0.1
Dialysis Centers	0.1

221

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Computer Aided Design	0.1	%
Building Products-Cement	0.1
Telecom Services	0.1
Retail-Bedding	0.1
Dental Supplies & Equipment	0.1
Toys	0.1
Power Converter/Supply Equipment	0.1
Diversified Operations	0.1
Auto-Heavy Duty Trucks	0.1
Machine Tools & Related Products	0.1
Electronic Parts Distribution	0.1
Retail-Consumer Electronics	0.1
Retail-Discount	0.1
Pipelines	0.1
Casino Services	0.1
Real Estate Operations & Development	0.1
Security Services	0.1
Pharmacy Services	0.1
Electronic Design Automation	0.1
Retail-Sporting Goods	0.1
Human Resources	0.1
Medical-Biomedical/Gene	0.1
Schools	0.1
Financial Guarantee Insurance	0.1
Retail-Computer Equipment	0.1
Machinery-Farming	0.1
	99.6	%

*  Calculated as a percentage of net assets

222

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.5%
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A		780	$	5,257
Aerospace/Defense — 0.0%
Rockwell Collins, Inc.		551		43,254
Spirit AeroSystems Holdings, Inc., Class A†		286		10,885
				54,139
Aerospace/Defense-Equipment — 1.8%
Alliant Techsystems, Inc.		7,197		918,625
Exelis, Inc.		96,338		1,593,430
Triumph Group, Inc.		47,238		3,072,832
				5,584,887
Agricultural Chemicals — 1.1%
CF Industries Holdings, Inc.		10,010		2,794,992
Mosaic Co.		11,541		512,536
				3,307,528
Agricultural Operations — 0.1%
Bunge, Ltd.		5,077		427,636
Airlines — 0.4%
Alaska Air Group, Inc.		406		17,677
Copa Holdings SA, Class A		246		26,393
Southwest Airlines Co.		2,624		88,613
United Continental Holdings, Inc.†		21,457		1,003,973
				1,136,656
Apparel Manufacturers — 0.0%
Ralph Lauren Corp.		503		82,859
Appliances — 0.4%
Whirlpool Corp.		8,134		1,184,717
Applications Software — 0.8%
Check Point Software Technologies, Ltd.†		12,220		846,113
Citrix Systems, Inc.†		17,170		1,224,908
Nuance Communications, Inc.†		9,049		139,490
Red Hat, Inc.†		2,632		147,787
				2,358,298
Auction House/Art Dealers — 0.0%
KAR Auction Services, Inc.		2,883		82,540
Auto-Heavy Duty Trucks — 0.1%
Navistar International Corp.†		1,583		52,096
Oshkosh Corp.		2,928		129,271
PACCAR, Inc.		1,027		58,411
				239,778
Auto/Truck Parts & Equipment-Original — 0.2%
Lear Corp.		557		48,130
TRW Automotive Holdings Corp.†		3,820		386,775
Visteon Corp.†		1,516		147,431
				582,336
Banks-Commercial — 3.5%
Associated Banc-Corp.		5,499		95,793
Bank of Hawaii Corp.		1,532		87,033
BankUnited, Inc.		3,505		106,867

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
BOK Financial Corp.		937	$	62,292
CIT Group, Inc.		33,371		1,533,731
City National Corp.		1,641		124,175
Commerce Bancshares, Inc.		2,805		125,229
Cullen/Frost Bankers, Inc.		1,825		139,631
East West Bancorp, Inc.		30,545		1,038,530
First Horizon National Corp.		8,159		100,193
First Republic Bank		23,746		1,172,578
Fulton Financial Corp.		6,517		72,208
M&T Bank Corp.		34,803		4,290,862
PacWest Bancorp		3,514		144,882
Popular, Inc.†		3,568		105,024
Regions Financial Corp.		47,565		477,553
Signature Bank†		6,572		736,458
SVB Financial Group†		1,587		177,887
Synovus Financial Corp.		4,794		113,330
TCF Financial Corp.		5,746		89,235
Zions Bancorporation		6,990		203,129
				10,996,620
Banks-Fiduciary — 0.6%
Citizens Financial Group, Inc.†		59,100		1,384,122
Northern Trust Corp.		8,156		554,853
				1,938,975
Banks-Super Regional — 2.7%
Comerica, Inc.		32,466		1,618,755
Fifth Third Bancorp		119,913		2,400,658
Huntington Bancshares, Inc.		156,361		1,521,393
KeyCorp		30,467		406,125
SunTrust Banks, Inc.		68,678		2,611,824
				8,558,755
Batteries/Battery Systems — 0.3%
Energizer Holdings, Inc.		8,669		1,068,107
Beverages-Wine/Spirits — 0.2%
Constellation Brands, Inc., Class A†		5,681		495,156
Brewery — 0.1%
Molson Coors Brewing Co., Class B		4,687		348,900
Broadcast Services/Program — 0.2%
Scripps Networks Interactive, Inc., Class A		5,969		466,119
Starz, Class A†		396		13,100
				479,219
Building & Construction Products-Misc. — 1.2%
Armstrong World Industries, Inc.†		43,832		2,454,592
Fortune Brands Home & Security, Inc.		28,509		1,172,005
Owens Corning		4,061		128,937
				3,755,534
Building Products-Cement — 0.1%
Vulcan Materials Co.		4,511		271,698
Building-Residential/Commercial — 0.9%
D.R. Horton, Inc.		10,073		206,698
Lennar Corp., Class A		25,761		1,000,300
PulteGroup, Inc.		13,059		230,622
Taylor Morrison Home Corp., Class A†		1,118		18,134

223

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Residential/Commercial (continued)
Toll Brothers, Inc.†		39,559	$	1,232,658
				2,688,412
Cable/Satellite TV — 0.0%
DISH Network Corp., Class A†		1,963		126,771
Casino Hotels — 0.3%
MGM Resorts International†		41,458		944,413
Casino Services — 0.1%
Gaming and Leisure Properties, Inc.		2,421		74,809
International Game Technology		8,519		143,715
				218,524
Cellular Telecom — 0.0%
U.S. Cellular Corp.†		458		16,250
Chemicals-Diversified — 0.8%
Axiall Corp.		21,100		755,591
Celanese Corp., Series A		25,982		1,520,467
Huntsman Corp.		2,072		53,851
Rockwood Holdings, Inc.		2,342		179,046
Westlake Chemical Corp.		208		18,011
				2,526,966
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.		1,279		42,092
Chemicals-Specialty — 0.8%
Albemarle Corp.		27,026		1,591,831
Ashland, Inc.		2,687		279,717
Cabot Corp.		2,078		105,500
Cytec Industries, Inc.		2,174		102,809
Eastman Chemical Co.		466		37,695
Sigma-Aldrich Corp.		2,212		300,854
W.R. Grace & Co.†		362		32,920
				2,451,326
Coal — 0.4%
CONSOL Energy, Inc.		33,530		1,269,446
Peabody Energy Corp.		9,358		115,852
				1,385,298
Coatings/Paint — 0.4%
RPM International, Inc.		334		15,290
Valspar Corp.		13,744		1,085,639
				1,100,929
Commercial Services — 0.1%
Aramark		108		2,840
Cintas Corp.		693		48,919
Live Nation Entertainment, Inc.†		2,452		58,897
Quanta Services, Inc.†		5,581		202,535
				313,191
Commercial Services-Finance — 0.2%
Equifax, Inc.		1,956		146,191
Global Payments, Inc.		7,375		515,365
SEI Investments Co.		288		10,414
Total System Services, Inc.		1,312		40,620
				712,590

Security Description	Shares		Value (Note 2)
Computer Aided Design — 0.1%
ANSYS, Inc.†		2,458	$	185,997
Autodesk, Inc.†		1,654		91,135
				277,132
Computer Services — 0.1%
Computer Sciences Corp.		4,691		286,855
DST Systems, Inc.		194		16,280
				303,135
Computers-Integrated Systems — 0.5%
Brocade Communications Systems, Inc.		55,350		601,655
NCR Corp.†		5,234		174,868
Teradata Corp.†		1,146		48,040
VeriFone Systems, Inc.†		22,061		758,457
				1,583,020
Computers-Memory Devices — 1.1%
NetApp, Inc.		26,007		1,117,261
SanDisk Corp.		16,074		1,574,448
Western Digital Corp.		7,677		747,126
				3,438,835
Computers-Other — 0.0%
Stratasys, Ltd.†		736		88,894
Computers-Periphery Equipment — 0.0%
Lexmark International, Inc., Class A		2,133		90,652
Consulting Services — 0.2%
Booz Allen Hamilton Holding Corp.		168		3,931
CoreLogic, Inc.†		3,167		85,731
Genpact, Ltd.†		4,908		80,099
Leidos Holdings, Inc.		2,213		75,972
Towers Watson & Co., Class A		2,239		222,780
Vectrus, Inc.†		2,252		43,984
				512,497
Consumer Products-Misc. — 0.5%
Clorox Co.		757		72,702
Jarden Corp.†		27,087		1,628,200
				1,700,902
Containers-Metal/Glass — 0.0%
Greif, Inc., Class A		1,093		47,884
Owens-Illinois, Inc.†		2,271		59,160
				107,044
Containers-Paper/Plastic — 0.5%
Bemis Co., Inc.		3,478		132,233
Packaging Corp. of America		17,369		1,108,490
Rock-Tenn Co., Class A		4,948		235,426
Sonoco Products Co.		3,518		138,222
				1,614,371
Cosmetics & Toiletries — 0.0%
Avon Products, Inc.		8,870		111,762
Coty, Inc., Class A		514		8,507
				120,269
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		223		8,033
Royal Caribbean Cruises, Ltd.		5,728		385,437
				393,470

224

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Data Processing/Management — 1.0%
Dun & Bradstreet Corp.		8,006	$	940,465
Fidelity National Information Services, Inc.		37,094		2,088,392
Paychex, Inc.		1,223		54,057
				3,082,914
Decision Support Software — 0.0%
MSCI, Inc.		2,241		105,372
Dental Supplies & Equipment — 0.1%
DENTSPLY International, Inc.		3,368		153,581
Patterson Cos., Inc.		2,698		111,778
				265,359
Diagnostic Kits — 0.1%
Alere, Inc.†		2,848		110,445
QIAGEN NV†		8,053		183,367
				293,812
Dialysis Centers — 0.1%
DaVita HealthCare Partners, Inc.†		4,003		292,779
Distribution/Wholesale — 0.7%
Arrow Electronics, Inc.†		3,435		190,127
Fossil Group, Inc.†		9,032		848,105
Genuine Parts Co.		339		29,734
Ingram Micro, Inc., Class A†		5,351		138,109
WESCO International, Inc.†		10,532		824,234
				2,030,309
Diversified Manufacturing Operations — 1.9%
A.O. Smith Corp.		1,427		67,469
Carlisle Cos., Inc.		8,691		698,583
Crane Co.		6,861		433,684
Dover Corp.		1,504		120,816
Ingersoll-Rand PLC		8,532		480,864
ITT Corp.		29,621		1,331,168
Leggett & Platt, Inc.		2,419		84,471
Parker Hannifin Corp.		2,398		273,732
Pentair PLC		6,215		407,020
SPX Corp.		1,511		141,928
Textron, Inc.		53,661		1,931,259
Trinity Industries, Inc.		1,250		58,400
				6,029,394
Diversified Operations — 0.1%
Leucadia National Corp.		10,627		253,348
E-Commerce/Services — 0.6%
Expedia, Inc.		7,344		643,481
IAC/InterActiveCorp		1,509		99,443
Liberty Interactive Corp., Class A†		42,874		1,222,767
				1,965,691
Electric-Generation — 0.1%
AES Corp.		25,017		354,741
Electric-Integrated — 5.3%
Alliant Energy Corp.		3,825		211,943
Ameren Corp.		8,369		320,784
CMS Energy Corp.		41,794		1,239,610
Consolidated Edison, Inc.		10,102		572,379

Security Description	Shares		Value (Note 2)
Electric-Integrated (continued)
DTE Energy Co.		6,105	$	464,468
Edison International		44,530		2,490,118
Entergy Corp.		6,186		478,363
FirstEnergy Corp.		61,276		2,057,035
Great Plains Energy, Inc.		5,311		128,367
Hawaiian Electric Industries, Inc.		3,500		92,925
Integrys Energy Group, Inc.		2,757		178,709
MDU Resources Group, Inc.		6,609		183,796
Northeast Utilities		10,898		482,782
OGE Energy Corp.		6,868		254,872
Pepco Holdings, Inc.		8,657		231,661
PG&E Corp.		17,228		775,949
Pinnacle West Capital Corp.		3,806		207,960
Portland General Electric Co.		46,300		1,487,156
PPL Corp.		58,695		1,927,544
Public Service Enterprise Group, Inc.		17,449		649,801
SCANA Corp.		19,010		943,086
TECO Energy, Inc.		8,023		139,440
Westar Energy, Inc.		4,445		151,663
Wisconsin Energy Corp.		7,778		334,454
Xcel Energy, Inc.		22,370		680,048
				16,684,913
Electric-Transmission — 0.3%
ITC Holdings Corp.		27,403		976,369
Electronic Components-Misc. — 0.4%
AVX Corp.		1,605		21,314
Garmin, Ltd.		4,204		218,566
Gentex Corp.		2,067		55,334
Jabil Circuit, Inc.		7,010		141,392
Knowles Corp.†		2,932		77,698
TE Connectivity, Ltd.		12,200		674,538
Vishay Intertechnology, Inc.		4,666		66,677
				1,255,519
Electronic Components-Semiconductors — 1.9%
Altera Corp.		43,509		1,556,752
Broadcom Corp., Class A		62,649		2,532,273
Cree, Inc.†		1,900		77,805
First Solar, Inc.†		2,526		166,236
Freescale Semiconductor, Ltd.†		282		5,507
NVIDIA Corp.		68,190		1,258,106
ON Semiconductor Corp.†		7,406		66,210
Rovi Corp.†		3,266		64,487
SunEdison, Inc.†		6,280		118,566
				5,845,942
Electronic Design Automation — 0.1%
Synopsys, Inc.†		5,336		211,813
Electronic Measurement Instruments — 0.7%
Agilent Technologies, Inc.		38,539		2,195,952
FLIR Systems, Inc.		1,464		45,882
				2,241,834
Electronic Parts Distribution — 0.1%
Avnet, Inc.		3,804		157,866
Tech Data Corp.†		1,315		77,401
				235,267

225

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Security Devices — 0.5%
Tyco International, Ltd.		32,317	$	1,440,369
Electronics-Military — 0.1%
L-3 Communications Holdings, Inc.		2,974		353,668
Engineering/R&D Services — 0.6%
AECOM Technology Corp.†		3,422		115,492
Fluor Corp.		2,134		142,530
Jacobs Engineering Group, Inc.†		25,161		1,228,360
KBR, Inc.		5,077		95,600
URS Corp.		2,378		136,997
				1,718,979
Enterprise Software/Service — 0.4%
CA, Inc.		11,033		308,262
Informatica Corp.†		23,741		812,892
				1,121,154
Entertainment Software — 0.3%
Activision Blizzard, Inc.		5,809		120,769
Electronic Arts, Inc.†		25,538		909,408
				1,030,177
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		429		17,430
Finance-Auto Loans — 0.0%
Ally Financial, Inc.†		978		22,631
Finance-Consumer Loans — 0.9%
Navient Corp.		95,045		1,683,247
Santander Consumer USA Holdings, Inc.		2,815		50,135
SLM Corp.		135,721		1,161,772
				2,895,154
Finance-Investment Banker/Broker — 0.8%
E*TRADE Financial Corp.†		9,951		224,793
Greenhill & Co., Inc.		16,096		748,303
Interactive Brokers Group, Inc., Class A		1,860		46,407
Raymond James Financial, Inc.		25,975		1,391,741
TD Ameritrade Holding Corp.		1,158		38,642
				2,449,886
Finance-Leasing Companies — 0.0%
Air Lease Corp.		3,289		106,892
Finance-Mortgage Loan/Banker — 0.1%
FNF Group		9,553		265,000
FNFV Group†		3,183		43,798
Nationstar Mtg. Holdings, Inc.†		54		1,849
				310,647
Finance-Other Services — 0.5%
Intercontinental Exchange, Inc.		2,287		446,079
NASDAQ OMX Group, Inc.		23,239		985,799
				1,431,878
Financial Guarantee Insurance — 0.1%
Assured Guaranty, Ltd.		5,831		129,215
MBIA, Inc.†		4,883		44,826
				174,041

Security Description	Shares		Value (Note 2)
Food-Confectionery — 0.1%
J.M. Smucker Co.		3,575	$	353,889
Food-Meat Products — 0.6%
Tyson Foods, Inc., Class A		48,999		1,929,091
Food-Misc./Diversified — 1.5%
Campbell Soup Co.		2,006		85,716
ConAgra Foods, Inc.		60,525		1,999,746
Hain Celestial Group, Inc.†		145		14,841
Ingredion, Inc.		10,435		790,869
Pinnacle Foods, Inc.		51,276		1,674,161
				4,565,333
Food-Retail — 0.7%
Kroger Co.		21,140		1,099,280
Safeway, Inc.		7,943		272,445
Whole Foods Market, Inc.		21,198		807,856
				2,179,581
Funeral Services & Related Items — 0.0%
Service Corp. International		1,635		34,564
Gas-Distribution — 1.9%
AGL Resources, Inc.		4,112		211,110
Atmos Energy Corp.		3,454		164,756
CenterPoint Energy, Inc.		14,822		362,694
National Fuel Gas Co.		2,896		202,691
NiSource, Inc.		10,860		445,043
Questar Corp.		6,040		134,631
Sempra Energy		38,085		4,013,397
UGI Corp.		5,952		202,904
Vectren Corp.		2,843		113,436
				5,850,662
Gold Mining — 0.2%
Newmont Mining Corp.		26,732		616,172
Royal Gold, Inc.		2,222		144,297
				760,469
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc.†		552		29,764
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc.		3,883		133,614
Hotels/Motels — 1.4%
Choice Hotels International, Inc.		1,118		58,136
Hyatt Hotels Corp., Class A†		15,351		929,042
Marriott International, Inc., Class A		962		67,244
Starwood Hotels & Resorts Worldwide, Inc.		19,165		1,594,720
Wyndham Worldwide Corp.		21,500		1,747,090
				4,396,232
Human Resources — 0.1%
Manpowergroup, Inc.		2,745		192,424
Independent Power Producers — 0.6%
Calpine Corp.†		30,201		655,362
NRG Energy, Inc.		40,374		1,230,599
				1,885,961
Instruments-Scientific — 0.4%
PerkinElmer, Inc.		29,466		1,284,718

226

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance Brokers — 0.7%
Aon PLC		2,373	$	208,041
Arthur J. Gallagher & Co.		21,085		956,416
Brown & Brown, Inc.		3,920		126,028
Marsh & McLennan Cos., Inc.		19,100		999,694
				2,290,179
Insurance-Life/Health — 2.6%
Lincoln National Corp.		76,349		4,090,779
Principal Financial Group, Inc.		45,584		2,391,793
Protective Life Corp.		2,718		188,656
StanCorp Financial Group, Inc.		1,508		95,275
Torchmark Corp.		4,543		237,917
Unum Group		30,294		1,041,508
				8,045,928
Insurance-Multi-line — 3.4%
Allstate Corp.		24,500		1,503,565
American Financial Group, Inc.		2,087		120,816
American National Insurance Co.		250		28,100
Assurant, Inc.		2,470		158,821
Cincinnati Financial Corp.		5,640		265,362
CNA Financial Corp.		913		34,721
Genworth Financial, Inc., Class A†		17,117		224,233
Hartford Financial Services Group, Inc.		75,110		2,797,848
Loews Corp.		11,232		467,925
Old Republic International Corp.		8,986		128,320
Voya Financial, Inc.		28,705		1,122,366
XL Group PLC		114,882		3,810,636
				10,662,713
Insurance-Property/Casualty — 0.6%
Alleghany Corp.†		567		237,091
Arch Capital Group, Ltd.†		4,624		253,025
Hanover Insurance Group, Inc.		1,518		93,236
HCC Insurance Holdings, Inc.		3,445		166,359
Markel Corp.†		481		305,988
Mercury General Corp.		926		45,198
ProAssurance Corp.		2,047		90,211
Progressive Corp.		20,419		516,193
White Mountains Insurance Group, Ltd.		212		133,575
WR Berkley Corp.		3,460		165,388
				2,006,264
Insurance-Reinsurance — 1.4%
Allied World Assurance Co. Holdings AG		3,398		125,182
Argo Group International Holdings, Ltd.		19,300		970,983
Aspen Insurance Holdings, Ltd.		2,256		96,489
Axis Capital Holdings, Ltd.		3,716		175,878
Endurance Specialty Holdings, Ltd.		1,539		84,922
Everest Re Group, Ltd.		9,134		1,479,799
PartnerRe, Ltd.		1,741		191,319
Reinsurance Group of America, Inc.		1,720		137,824
RenaissanceRe Holdings, Ltd.		1,398		139,786
Validus Holdings, Ltd.		23,778		930,671
				4,332,853

Security Description	Shares		Value (Note 2)
Internet Application Software — 0.0%
Zynga, Inc., Class A†		24,917	$	67,276
Internet Incubators — 0.0%
HomeAway, Inc.†		241		8,556
Internet Security — 0.2%
FireEye, Inc.†		557		17,022
Symantec Corp.		23,857		560,878
				577,900
Investment Companies — 0.3%
Ares Capital Corp.		58,300		942,128
Investment Management/Advisor Services — 2.0%
Affiliated Managers Group, Inc.†		3,800		761,368
Ameriprise Financial, Inc.		4,256		525,105
Federated Investors, Inc., Class B		853		25,044
Invesco, Ltd.		104,743		4,135,254
Janus Capital Group, Inc.		34,400		500,176
Legg Mason, Inc.		2,176		111,324
NorthStar Asset Management Group, Inc.†		4,976		91,658
				6,149,929
Machine Tools & Related Products — 0.1%
Kennametal, Inc.		2,709		111,909
Lincoln Electric Holdings, Inc.		1,827		126,309
				238,218
Machinery-Construction & Mining — 0.3%
Joy Global, Inc.		3,453		188,327
Terex Corp.		26,990		857,472
				1,045,799
Machinery-Electrical — 0.0%
Regal-Beloit Corp.		1,556		99,973
Machinery-Farming — 0.1%
AGCO Corp.		3,238		147,199
Machinery-General Industrial — 0.1%
Babcock & Wilcox Co.		3,802		105,277
IDEX Corp.		213		15,415
Roper Industries, Inc.		1,881		275,172
				395,864
Machinery-Pumps — 0.0%
Xylem, Inc.		1,742		61,824
Medical Information Systems — 0.0%
Allscripts Healthcare Solutions, Inc.†		3,881		52,064
Medical Instruments — 0.6%
Boston Scientific Corp.†		41,287		487,599
Intuitive Surgical, Inc.†		97		44,797
St Jude Medical, Inc.		19,089		1,147,822
Techne Corp.		655		61,275
				1,741,493
Medical Labs & Testing Services — 0.4%
Covance, Inc.†		187		14,717
Laboratory Corp. of America Holdings†		9,644		981,277
Quest Diagnostics, Inc.		4,982		302,308
				1,298,302

227

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Products — 0.8%
CareFusion Corp.†		7,149	$	323,492
Cooper Cos., Inc.		427		66,505
Hill-Rom Holdings, Inc.		1,841		76,273
Hospira, Inc.†		5,764		299,901
Sirona Dental Systems, Inc.†		763		58,507
Teleflex, Inc.		1,425		149,682
Zimmer Holdings, Inc.		16,472		1,656,259
				2,630,619
Medical-Biomedical/Gene — 0.1%
Alnylam Pharmaceuticals, Inc.†		347		27,101
Bio-Rad Laboratories, Inc., Class A†		715		81,081
Charles River Laboratories International, Inc.†		879		52,511
Cubist Pharmaceuticals, Inc.†		134		8,889
Myriad Genetics, Inc.†		317		12,227
				181,809
Medical-Drugs — 1.1%
Alkermes PLC†		717		30,738
Endo International PLC†		23,333		1,594,577
Mallinckrodt PLC†		19,177		1,728,807
Quintiles Transnational Holdings, Inc.†		1,031		57,509
				3,411,631
Medical-Generic Drugs — 1.2%
Actavis PLC†		4,200		1,013,376
Mylan, Inc.†		45,005		2,047,277
Perrigo Co. PLC		3,571		536,329
				3,596,982
Medical-HMO — 1.8%
Cigna Corp.		52,161		4,730,481
Health Net, Inc.†		2,766		127,540
Humana, Inc.		5,338		695,488
				5,553,509
Medical-Hospitals — 1.2%
Community Health Systems, Inc.†		22,475		1,231,405
HCA Holdings, Inc.†		10,189		718,528
LifePoint Hospitals, Inc.†		1,534		106,138
Tenet Healthcare Corp.†		8,053		478,268
Universal Health Services, Inc., Class B		10,186		1,064,437
				3,598,776
Medical-Wholesale Drug Distribution — 1.2%
Cardinal Health, Inc.		51,979		3,894,267
Metal Processors & Fabrication — 0.3%
Timken Co.		19,090		809,225
Metal-Aluminum — 0.2%
Alcoa, Inc.		40,433		650,567
Metal-Iron — 0.0%
Cliffs Natural Resources, Inc.		5,283		54,838
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		1,744		105,861
Motion Pictures & Services — 0.0%
Dolby Laboratories, Inc., Class A†		1,648		68,870

Security Description	Shares		Value (Note 2)
Motion Pictures & Services (continued)
DreamWorks Animation SKG, Inc., Class A†		2,579	$	70,329
				139,199
Non-Hazardous Waste Disposal — 0.2%
Covanta Holding Corp.		2,203		46,748
Republic Services, Inc.		9,160		357,423
Waste Connections, Inc.		1,679		81,465
				485,636
Office Automation & Equipment — 0.6%
Pitney Bowes, Inc.		3,794		94,812
Xerox Corp.		128,292		1,697,303
				1,792,115
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		2,144		95,730
Oil & Gas Drilling — 0.3%
Atwood Oceanics, Inc.†		1,733		75,715
Diamond Offshore Drilling, Inc.		2,311		79,198
Helmerich & Payne, Inc.		1,076		105,308
Nabors Industries, Ltd.		9,244		210,393
Patterson-UTI Energy, Inc.		2,436		79,243
Rowan Cos. PLC, Class A		4,289		108,555
Seadrill, Ltd.		8,563		229,146
				887,558
Oil Companies-Exploration & Production — 3.9%
Chesapeake Energy Corp.		52,858		1,215,205
Cimarex Energy Co.		28,441		3,598,640
Cobalt International Energy, Inc.†		1,113		15,137
Denbury Resources, Inc.		12,129		182,299
Energen Corp.		2,509		181,250
EP Energy Corp.†		1,139		19,910
EQT Corp.		16,991		1,555,356
Gulfport Energy Corp.†		14,562		777,611
Laredo Petroleum, Inc.†		323		7,238
Newfield Exploration Co.†		27,350		1,013,865
Noble Energy, Inc.		3,570		244,045
QEP Resources, Inc.		35,839		1,103,124
Rice Energy, Inc.†		119		3,165
SandRidge Energy, Inc.†		17,051		73,149
Seventy Seven Energy, Inc.†		997		23,669
Southwestern Energy Co.†		41,952		1,466,222
Ultra Petroleum Corp.†		3,702		86,109
Unit Corp.†		1,599		93,781
Whiting Petroleum Corp.†		3,679		285,307
WPX Energy, Inc.†		6,972		167,746
				12,112,828
Oil Companies-Integrated — 0.1%
Murphy Oil Corp.†		6,188		352,159
Oil Field Machinery & Equipment — 0.3%
Cameron International Corp.†		13,287		881,991
Oil Refining & Marketing — 0.6%
CVR Energy, Inc.		317		14,179
HollyFrontier Corp.		5,598		244,520
Murphy USA, Inc.		861		45,685

228

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Refining & Marketing (continued)
PBF Energy, Inc., Class A		1,635	$	39,240
Tesoro Corp.		26,565		1,619,934
				1,963,558
Oil-Field Services — 0.7%
Frank's International NV		1,028		19,224
MRC Global, Inc.†		1,923		44,844
NOW, Inc.†		3,384		102,907
Oil States International, Inc.†		20,406		1,263,131
Superior Energy Services, Inc.		26,396		867,637
				2,297,743
Paper & Related Products — 0.9%
Domtar Corp.		2,211		77,672
International Paper Co.		51,325		2,450,256
MeadWestvaco Corp.		5,789		237,002
Veritiv Corp.†		240		12,014
				2,776,944
Pharmacy Services — 0.1%
Omnicare, Inc.		3,415		212,618
Physicians Practice Management — 0.2%
Envision Healthcare Holdings, Inc.†		15,159		525,714
MEDNAX, Inc.†		1,192		65,346
				591,060
Pipelines — 0.1%
ONEOK, Inc.		3,368		220,772
Poultry — 0.0%
Pilgrim's Pride Corp.†		1,894		57,881
Power Converter/Supply Equipment — 0.1%
Hubbell, Inc., Class B		1,711		206,227
SunPower Corp.†		1,434		48,584
				254,811
Precious Metals — 0.0%
Tahoe Resources, Inc.†		2,439		49,512
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		6,202		102,085
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		2,129		140,769
Publishing-Books — 0.0%
John Wiley & Sons, Inc., Class A		1,520		85,287
Publishing-Newspapers — 0.2%
Gannett Co., Inc.		7,821		232,049
Graham Holdings Co., Class B		119		83,251
News Corp., Class A†		17,153		280,452
				595,752
Publishing-Periodicals — 0.0%
Nielsen NV		2,459		109,007
Real Estate Investment Trusts — 8.1%
Alexandria Real Estate Equities, Inc.		2,471		182,236
American Campus Communities, Inc.		3,617		131,840
American Capital Agency Corp.		12,167		258,549
American Homes 4 Rent, Class A		5,146		86,916
American Realty Capital Properties, Inc.		31,318		377,695

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Annaly Capital Management, Inc.		32,681	$	349,033
Apartment Investment & Management Co., Class A		2,186		69,559
AvalonBay Communities, Inc.		13,623		1,920,434
BioMed Realty Trust, Inc.		55,315		1,117,363
Boston Properties, Inc.		17,744		2,054,045
Brandywine Realty Trust		6,170		86,812
Brixmor Property Group, Inc.		28,934		644,071
Camden Property Trust		32,159		2,203,856
CBL & Associates Properties, Inc.		5,745		102,836
CBS Outdoor Americas, Inc.		3,813		114,161
Chimera Investment Corp.		35,441		107,741
Columbia Property Trust, Inc.		3,664		87,460
Corporate Office Properties Trust		3,021		77,700
Corrections Corp. of America		4,013		137,887
DDR Corp.		125,982		2,107,679
Digital Realty Trust, Inc.		4,667		291,127
Douglas Emmett, Inc.		4,954		127,169
Duke Realty Corp.		11,364		195,234
Equity Commonwealth		4,438		114,101
Equity Lifestyle Properties, Inc.		793		33,591
Essex Property Trust, Inc.		2,155		385,206
Federal Realty Investment Trust		778		92,162
General Growth Properties, Inc.		19,556		460,544
HCP, Inc.		15,803		627,537
Health Care REIT, Inc.		4,968		309,854
Healthcare Trust of America, Inc., Class A		7,202		83,543
Home Properties, Inc.		1,969		114,675
Hospitality Properties Trust		5,164		138,653
Host Hotels & Resorts, Inc.		26,107		556,862
Iron Mountain, Inc.		643		20,994
Kilroy Realty Corp.		2,835		168,512
Kimco Realty Corp.		14,158		310,202
Liberty Property Trust		5,093		169,393
Macerich Co.		20,652		1,318,217
MFA Financial, Inc.		12,645		98,378
Mid-America Apartment Communities, Inc.		2,586		169,771
National Retail Properties, Inc.		4,248		146,853
NorthStar Realty Finance Corp.		5,360		94,711
Omega Healthcare Investors, Inc.		2,920		99,835
Piedmont Office Realty Trust, Inc., Class A		5,320		93,845
Plum Creek Timber Co., Inc.		3,163		123,389
Post Properties, Inc.		1,873		96,160
Prologis, Inc.		17,234		649,722
Rayonier, Inc.		3,842		119,640
Realty Income Corp.		7,637		311,513
Regency Centers Corp.		3,183		171,341
Retail Properties of America, Inc., Class A		8,159		119,366
RLJ Lodging Trust		21,962		625,258
Senior Housing Properties Trust		7,026		146,984
SL Green Realty Corp.		3,291		333,444
Spirit Realty Capital, Inc.		13,753		150,870
Starwood Property Trust, Inc.		49,047		1,077,072

229

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Tanger Factory Outlet Centers, Inc.		1,175	$	38,446
Taubman Centers, Inc.		12,806		934,838
Two Harbors Investment Corp.		12,626		122,093
UDR, Inc.		8,671		236,285
Ventas, Inc.		5,349		331,371
Vornado Realty Trust		5,008		500,600
Washington Prime Group, Inc.		5,357		93,640
Weingarten Realty Investors		4,213		132,710
Weyerhaeuser Co.		16,252		517,789
				25,271,373
Real Estate Management/Services — 0.9%
Jones Lang LaSalle, Inc.		14,025		1,771,919
Realogy Holdings Corp.†		21,257		790,760
WP Carey, Inc.		3,426		218,476
				2,781,155
Real Estate Operations & Development — 0.1%
Forest City Enterprises, Inc., Class A†		5,671		110,925
Howard Hughes Corp.†		715		107,250
				218,175
Rental Auto/Equipment — 0.4%
Aaron's, Inc.		1,823		44,335
Hertz Global Holdings, Inc.†		44,418		1,127,773
				1,172,108
Retail-Apparel/Shoe — 1.5%
Abercrombie & Fitch Co., Class A		2,148		78,058
Ascena Retail Group, Inc.†		4,487		59,677
Chico's FAS, Inc.		2,960		43,719
DSW, Inc., Class A		2,590		77,985
Foot Locker, Inc.		4,299		239,239
Gap, Inc.		34,735		1,448,102
L Brands, Inc.		5,390		361,022
PVH Corp.		20,576		2,492,783
Urban Outfitters, Inc.†		1,025		37,618
				4,838,203
Retail-Automobile — 0.0%
CarMax, Inc.†		2,363		109,761
Penske Automotive Group, Inc.		816		33,122
				142,883
Retail-Bedding — 0.1%
Bed Bath & Beyond, Inc.†		4,059		267,204
Retail-Computer Equipment — 0.1%
GameStop Corp., Class A		3,746		154,335
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		6,943		233,215
Retail-Discount — 0.1%
Big Lots, Inc.		1,410		60,700
Dollar General Corp.†		2,554		156,075
Family Dollar Stores, Inc.		187		14,444
				231,219
Retail-Drug Store — 0.0%
Rite Aid Corp.†		11,136		53,898

Security Description	Shares		Value (Note 2)
Retail-Jewelry — 0.0%
Signet Jewelers, Ltd.		869	$	98,988
Retail-Major Department Stores — 0.0%
J.C. Penney Co., Inc.†		10,513		105,551
Sears Holdings Corp.†		202		5,096
				110,647
Retail-Misc./Diversified — 0.0%
CST Brands, Inc.		382		13,733
Sally Beauty Holdings, Inc.†		1,446		39,577
				53,310
Retail-Office Supplies — 0.4%
Staples, Inc.		93,100		1,126,510
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		1,933		77,165
Retail-Regional Department Stores — 0.5%
Dillard's, Inc., Class A		283		30,841
Kohl's Corp.		6,798		414,882
Macy's, Inc.		19,144		1,113,798
				1,559,521
Retail-Restaurants — 0.1%
Darden Restaurants, Inc.		4,561		234,709
Wendy's Co.		9,482		78,321
				313,030
Retail-Sporting Goods — 0.1%
Cabela's, Inc.†		1,524		89,763
Dick's Sporting Goods, Inc.		2,753		120,802
				210,565
Retail-Vitamins & Nutrition Supplements — 0.2%
GNC Holdings, Inc., Class A		18,246		706,850
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		1,120		54,611
Savings & Loans/Thrifts — 0.2%
First Niagara Financial Group, Inc.		12,260		102,126
Hudson City Bancorp, Inc.		18,236		177,254
New York Community Bancorp, Inc.		15,267		242,287
People's United Financial, Inc.		10,697		154,785
TFS Financial Corp.		2,602		37,261
				713,713
Schools — 0.1%
Apollo Education Group, Inc.†		3,343		84,077
DeVry Education Group, Inc.		2,189		93,711
				177,788
Security Services — 0.1%
ADT Corp.		6,010		213,115
Semiconductor Components-Integrated Circuits — 1.5%
Analog Devices, Inc.		27,905		1,381,018
Atmel Corp.†		99,081		800,574
Marvell Technology Group, Ltd.		13,997		188,680
Maxim Integrated Products, Inc.		45,400		1,372,896
NXP Semiconductor NV†		12,000		821,160
				4,564,328

230

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		41,612	$	899,235
KLA-Tencor Corp.		502		39,547
Lam Research Corp.		4,104		306,569
Teradyne, Inc.		6,279		121,750
				1,367,101
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		262		27,303
Steel Pipe & Tube — 0.3%
TimkenSteel Corp.		14,281		663,924
Valmont Industries, Inc.		866		116,849
				780,773
Steel-Producers — 1.2%
Carpenter Technology Corp.		1,719		77,613
Nucor Corp.		10,983		596,157
Reliance Steel & Aluminum Co.		31,148		2,130,523
Steel Dynamics, Inc.		37,704		852,487
United States Steel Corp.		4,991		195,498
				3,852,278
Steel-Specialty — 0.5%
Allegheny Technologies, Inc.		40,444		1,500,472
Telecom Equipment-Fiber Optics — 0.0%
JDS Uniphase Corp.†		7,977		102,106
Telecom Services — 0.1%
Amdocs, Ltd.		5,517		253,120
Level 3 Communications, Inc.†		397		18,155
				271,275
Telecommunication Equipment — 0.2%
Harris Corp.		2,919		193,822
Juniper Networks, Inc.		12,795		283,409
				477,231
Telephone-Integrated — 0.1%
Frontier Communications Corp.		34,570		225,051
Telephone & Data Systems, Inc.		2,968		71,113
Windstream Holdings, Inc.		1,329		14,327
				310,491
Television — 0.9%
AMC Networks, Inc., Class A†		15,605		911,644
Liberty Media Corp., Class A†		13,576		640,516
Liberty Media Corp., Class C†		25,807		1,212,671
				2,764,831
Textile-Home Furnishings — 0.4%
Mohawk Industries, Inc.†		8,737		1,177,922
Theaters — 0.0%
Regal Entertainment Group, Class A		2,126		42,265
Tools-Hand Held — 0.6%
Snap-on, Inc.		1,727		209,105
Stanley Black & Decker, Inc.		18,654		1,656,289
				1,865,394

Security Description	Shares		Value (Note 2)
Toys — 0.1%
Hasbro, Inc.		626	$	34,427
Mattel, Inc.		7,464		228,771
				263,198
Transport-Equipment & Leasing — 0.0%
AMERCO		109		28,546
GATX Corp.		1,587		92,633
				121,179
Transport-Marine — 0.3%
Golar LNG, Ltd.		1,745		115,868
Teekay Corp.		848		56,273
Tidewater, Inc.		15,814		617,221
				789,362
Transport-Rail — 0.3%
Genesee & Wyoming, Inc., Class A†		968		92,260
Kansas City Southern		6,912		837,734
				929,994
Transport-Services — 0.5%
Ryder System, Inc.		17,734		1,595,528
Transport-Truck — 0.4%
Con-way, Inc.		23,166		1,100,385
Veterinary Diagnostics — 0.0%
VCA, Inc.†		3,045		119,760
Water — 0.1%
American Water Works Co., Inc.		6,174		297,772
Aqua America, Inc.		6,106		143,674
				441,446
Web Portals/ISP — 0.2%
AOL, Inc.†		16,813		755,744
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		6,000		379,680
X-Ray Equipment — 0.0%
Hologic, Inc.†		5,601		136,272
Total Common Stocks (cost $262,308,217)				301,884,622
EXCHANGE-TRADED FUNDS — 1.0%
iShares Russell Midcap Value Index Fund (cost $3,260,853)		45,590		3,191,300
Total Long-Term Investment Securities (cost $265,569,070)				305,075,922
SHORT-TERM INVESTMENT SECURITIES — 0.8%
Registered Investment Companies — 0.8%
SSgA U.S. Government Money Market Fund (cost $2,306,866)		2,306,866		2,306,866

231

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 1.3%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $3,494,000 and collateralized by $3,850,000 of Federal National Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $3,567,730	$	3,494,000		$	3,494,000
State Street Bank & Trust Co. Joint Repurchase Agreement(2)		553,000			553,000
Total Repurchase Agreements (cost $4,047,000)					4,047,000
TOTAL INVESTMENTS (cost $271,922,936)(1)		99.6	%		311,429,788
Other assets less liabilities		0.4			1,365,287
NET ASSETS		100.0	%	$	312,795,075

†  Non-income producing security

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

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

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 E-Mini Index	December 2014	$	567,407	$	546,160	$	(21,247	)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Electric-Integrated	$	16,684,913	$	—	$	—	$	16,684,913
Real Estate Investment Trusts		25,271,373		—		—		25,271,373
Other Industries*		259,928,336		—		—		259,928,336
Exchange-Traded Funds		3,191,300		—		—		3,191,300
Short-Term Investment Securities:
Registered Investment Companies		2,306,866		—		—		2,306,866
Repurchase Agreements		—		4,047,000		—		4,047,000
Total	$	307,382,788	$	4,047,000	$	—	$	311,429,788
Liabilities:
Other Financial Instruments:+
Open Futures Contracts - Depreciation	$	21,247	$	—	$	—	$	21,247

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

232

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Banks-Commercial	10.9	%
Real Estate Investment Trusts	7.3
Semiconductor Equipment	2.8
Oil-Field Services	2.4
Electric-Integrated	1.8
Oil Companies-Exploration & Production	1.8
Electronic Components-Misc.	1.7
Diversified Manufacturing Operations	1.7
Finance-Investment Banker/Broker	1.7
Retail-Apparel/Shoe	1.6
Human Resources	1.5
Investment Management/Advisor Services	1.5
Semiconductor Components-Integrated Circuits	1.5
Exchange-Traded Funds	1.4
Medical-Biomedical/Gene	1.4
Medical-Drugs	1.3
Metal Processors & Fabrication	1.3
Computer Services	1.3
Retail-Restaurants	1.3
Electronic Components-Semiconductors	1.3
Time Deposits	1.2
Transport-Truck	1.2
Engineering/R&D Services	1.2
Insurance-Property/Casualty	1.2
Gas-Distribution	1.1
Aerospace/Defense-Equipment	1.1
Repurchase Agreements	1.0
Chemicals-Specialty	0.9
Enterprise Software/Service	0.9
Distribution/Wholesale	0.9
Footwear & Related Apparel	0.9
Auto/Truck Parts & Equipment-Original	0.8
Medical Instruments	0.8
Wireless Equipment	0.8
Medical Products	0.7
Finance-Consumer Loans	0.7
Circuit Boards	0.7
Savings & Loans/Thrifts	0.7
Insurance-Reinsurance	0.7
Steel-Producers	0.7
Building-Residential/Commercial	0.7
Food-Misc./Diversified	0.7
Medical-Hospitals	0.7
Telecom Services	0.7
Telecommunication Equipment	0.6
Food-Retail	0.6
Networking Products	0.6
Retail-Convenience Store	0.6
Retail-Automobile	0.5
Transport-Services	0.5
Machinery-General Industrial	0.5
Schools	0.5
Paper & Related Products	0.5
Office Supplies & Forms	0.5
Coal	0.5
Non-Ferrous Metals	0.4
Real Estate Management/Services	0.4
Insurance-Life/Health	0.4
Oil Field Machinery & Equipment	0.4
Building & Construction Products-Misc.	0.4

Building Products-Wood	0.4	%
Transport-Marine	0.4
Energy-Alternate Sources	0.4
Commercial Services-Finance	0.4
Medical-Outpatient/Home Medical	0.4
Retail-Home Furnishings	0.4
Retail-Leisure Products	0.4
Medical-HMO	0.4
Finance-Other Services	0.4
Retail-Regional Department Stores	0.4
Lasers-System/Components	0.4
Audio/Video Products	0.4
Airlines	0.4
Research & Development	0.3
Communications Software	0.3
Auto/Truck Parts & Equipment-Replacement	0.3
Retail-Jewelry	0.3
Applications Software	0.3
Retail-Bookstores	0.3
Poultry	0.3
Entertainment Software	0.3
Electronic Security Devices	0.3
Retail-Drug Store	0.3
Consulting Services	0.3
Computer Software	0.3
Aerospace/Defense	0.3
Containers-Paper/Plastic	0.3
Computers-Integrated Systems	0.3
Retail-Appliances	0.3
Shipbuilding	0.3
Retail-Vitamins & Nutrition Supplements	0.3
Tools-Hand Held	0.3
Computers-Periphery Equipment	0.2
Transactional Software	0.2
Computer Aided Design	0.2
Therapeutics	0.2
Commercial Services	0.2
Data Processing/Management	0.2
Printing-Commercial	0.2
Telecom Equipment-Fiber Optics	0.2
Filtration/Separation Products	0.2
Power Converter/Supply Equipment	0.2
Alternative Waste Technology	0.2
Engines-Internal Combustion	0.2
Food-Canned	0.2
Electronic Measurement Instruments	0.2
Drug Delivery Systems	0.2
Linen Supply & Related Items	0.2
Medical Information Systems	0.2
Consumer Products-Misc.	0.2
Real Estate Operations & Development	0.2
Diversified Minerals	0.2
Retail-Pawn Shops	0.2
Garden Products	0.2
Home Furnishings	0.2
Office Furnishings-Original	0.2
Lighting Products & Systems	0.2
Medical Laser Systems	0.2
United States Treasury Notes	0.2
Computer Data Security	0.2

233

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Industry Allocation*
Chemicals-Plastics	0.1	%
Oil Refining & Marketing	0.1
Building-Heavy Construction	0.1
Miscellaneous Manufacturing	0.1
Batteries/Battery Systems	0.1
Metal-Aluminum	0.1
Apparel Manufacturers	0.1
Internet Telephone	0.1
Vitamins & Nutrition Products	0.1
Internet Application Software	0.1
Medical-Generic Drugs	0.1
Decision Support Software	0.1
Building & Construction-Misc.	0.1
Computers-Memory Devices	0.1
Diversified Operations/Commercial Services	0.1
Veterinary Diagnostics	0.1
Building Products-Doors & Windows	0.1
Identification Systems	0.1
E-Marketing/Info	0.1
Brewery	0.1
Medical-Nursing Homes	0.1
Electric Products-Misc.	0.1
Instruments-Controls	0.1
Retail-Sporting Goods	0.1
Resorts/Theme Parks	0.1
Platinum	0.1
Insurance-Multi-line	0.1
Auction Houses/Art Dealers	0.1
Chemicals-Diversified	0.1
Agricultural Operations	0.1
Industrial Audio & Video Products	0.1
Storage/Warehousing	0.1
Environmental Consulting & Engineering	0.1
Casino Services	0.1
Telephone-Integrated	0.1
Web Portals/ISP	0.1
Internet Content-Information/News	0.1
Retail-Building Products	0.1
E-Commerce/Products	0.1
Retirement/Aged Care	0.1
Auto Repair Centers	0.1
Travel Services	0.1
Rubber/Plastic Products	0.1
Machinery-Construction & Mining	0.1
Gambling (Non-Hotel)	0.1
Wire & Cable Products	0.1
Tobacco	0.1
Disposable Medical Products	0.1
MRI/Medical Diagnostic Imaging	0.1
Radio	0.1
Machinery-Electrical	0.1
Food-Wholesale/Distribution	0.1
Textile-Apparel	0.1
Physicians Practice Management	0.1
Retail-Discount	0.1
Building-Maintenance & Services	0.1
Funeral Services & Related Items	0.1
Retail-Hair Salons	0.1
Web Hosting/Design	0.1
Advertising Services	0.1

Water	0.1	%
Security Services	0.1
Computer Graphics	0.1
Industrial Automated/Robotic	0.1
Patient Monitoring Equipment	0.1
Physical Therapy/Rehabilitation Centers	0.1
Financial Guarantee Insurance	0.1
Medical Labs & Testing Services	0.1
Banks-Fiduciary	0.1
Independent Power Producers	0.1
	99.9	%

*  Calculated as a percentage of net assets

234

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.1%
Advertising Services — 0.1%
Millennial Media, Inc.†		47,200	$	87,792
Sizmek, Inc.†		6,232		48,236
				136,028
Aerospace/Defense — 0.3%
Aerovironment, Inc.†		2,292		68,920
Cubic Corp.		2,476		115,877
National Presto Industries, Inc.		560		33,998
Teledyne Technologies, Inc.†		4,282		402,551
				621,346
Aerospace/Defense-Equipment — 1.1%
AAR Corp.		33,691		813,638
Curtiss-Wright Corp.		5,498		362,428
GenCorp, Inc.†		6,697		106,951
Kaman Corp.		3,091		121,476
Moog, Inc., Class A†		4,914		336,118
Orbital Sciences Corp.†		6,913		192,181
Triumph Group, Inc.		9,830		639,442
				2,572,234
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		6,424		99,251
Agricultural Operations — 0.1%
Andersons, Inc.		3,013		189,457
Airlines — 0.4%
Alaska Air Group, Inc.		12,700		552,958
Allegiant Travel Co.		1,589		196,495
SkyWest, Inc.		5,833		45,381
				794,834
Alternative Waste Technology — 0.2%
Calgon Carbon Corp.†		6,070		117,637
Darling Ingredients, Inc.†		18,785		344,141
				461,778
Apparel Manufacturers — 0.1%
G-III Apparel Group, Ltd.†		2,137		177,072
Oxford Industries, Inc.		1,653		100,816
Quiksilver, Inc.†		14,060		24,183
				302,071
Appliances — 0.0%
iRobot Corp.†		3,363		102,403
Applications Software — 0.3%
Actuate Corp.†		10,100		39,390
Dealertrack Technologies, Inc.†		5,042		218,873
Ebix, Inc.		3,499		49,616
Epiq Systems, Inc.		3,532		62,022
Five9, Inc.†		3,800		24,852
Globant SA†		2,000		28,140
Paycom Software, Inc.†		5,500		91,080
Progress Software Corp.†		5,779		138,176
Tangoe, Inc.†		4,159		56,354
				708,503
Auction House/Art Dealers — 0.1%
Sotheby's		5,600		200,032

Security Description	Shares		Value (Note 2)
Audio/Video Products — 0.4%
Daktronics, Inc.		4,445	$	54,629
DTS, Inc.†		1,952		49,288
TiVo, Inc.†		37,100		474,694
Universal Electronics, Inc.†		1,791		88,422
VOXX International Corp.†		14,186		131,930
				798,963
Auto Repair Centers — 0.1%
Monro Muffler Brake, Inc.		3,599		174,659
Auto/Truck Parts & Equipment-Original — 0.8%
Dana Holding Corp.		63,410		1,215,570
Superior Industries International, Inc.		21,892		383,767
Titan International, Inc.		6,115		72,279
Tower International, Inc.†		8,800		221,672
				1,893,288
Auto/Truck Parts & Equipment-Replacement — 0.3%
Dorman Products, Inc.†		3,540		141,813
Douglas Dynamics, Inc.		26,200		510,900
Standard Motor Products, Inc.		2,373		81,702
				734,415
Banks-Commercial — 10.9%
1st Source Corp.		3,200		91,136
BancFirst Corp.		6,200		387,872
BancorpSouth, Inc.		13,500		271,890
Bank of the Ozarks, Inc.		7,361		232,019
BankUnited, Inc.		37,700		1,149,473
Banner Corp.		5,433		209,007
BBCN Bancorp, Inc.		13,669		199,431
Capital Bank Financial Corp., Class A†		14,000		334,320
Cardinal Financial Corp.		3,648		62,271
Cathay General Bancorp		5,200		129,116
Central Pacific Financial Corp.		25,800		462,594
Chemical Financial Corp.		2,100		56,469
Citizens & Northern Corp.		1,300		24,700
City Holding Co.		5,168		217,728
CoBiz Financial, Inc.		3,900		43,602
Columbia Banking System, Inc.		6,007		149,034
Community Bank System, Inc.		4,643		155,958
CVB Financial Corp.		33,984		487,670
East West Bancorp, Inc.		655		22,270
First BanCorp†		11,894		56,496
First Commonwealth Financial Corp.		47,368		397,418
First Financial Bancorp		9,584		151,715
First Financial Bankshares, Inc.		7,307		203,062
First Interstate BancSystem, Inc.		3,200		85,024
First Midwest Bancorp, Inc.		8,588		138,181
First Republic Bank		20,020		988,588
FirstMerit Corp.		102,190		1,798,544
FNB Corp.		28,222		338,382
Glacier Bancorp, Inc.		8,496		219,707
Guaranty Bancorp		2,300		31,073
Hanmi Financial Corp.		3,635		73,282
Home BancShares, Inc.		6,596		193,988
Iberiabank Corp.		42,870		2,679,804
Independent Bank Corp.		2,728		97,444

235

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
MainSource Financial Group, Inc.		2,700	$	46,575
MB Financial, Inc.		7,259		200,929
National Penn Bancshares, Inc.		17,247		167,468
NBT Bancorp, Inc.		4,986		112,285
OFG Bancorp		14,600		218,708
Old National Bancorp		11,917		154,563
OmniAmerican Bancorp, Inc.		2,000		51,980
PacWest Bancorp		3,800		156,674
Pinnacle Financial Partners, Inc.		3,774		136,241
PrivateBancorp, Inc.		8,016		239,759
S&T Bancorp, Inc.		3,399		79,741
Sierra Bancorp		1,600		26,816
Signature Bank†		13,980		1,566,599
Simmons First National Corp., Class A		5,764		222,029
Southwest Bancorp, Inc.		8,600		141,040
Suffolk Bancorp		7,202		139,791
Susquehanna Bancshares, Inc.		29,214		292,140
SVB Financial Group†		19,200		2,152,128
TCF Financial Corp.		13,600		211,208
Texas Capital Bancshares, Inc.†		4,918		283,670
Tompkins Financial Corp.		19,030		838,842
TrustCo Bank Corp.		10,801		69,558
UMB Financial Corp.		6,308		344,101
Union Bankshares Corp.		20,063		463,455
United Bankshares, Inc.		7,260		224,552
United Community Banks, Inc.		5,146		84,703
ViewPoint Financial Group, Inc.		4,137		99,040
Webster Financial Corp.		1,300		37,882
West Bancorporation, Inc.		6,100		86,193
Westamerica Bancorporation		4,675		217,481
Wilshire Bancorp, Inc.		20,240		186,815
Wintrust Financial Corp.		67,885		3,032,423
				24,424,657
Banks-Fiduciary — 0.1%
Boston Private Financial Holdings, Inc.		9,174		113,666
Batteries/Battery Systems — 0.1%
EnerSys		5,308		311,261
Brewery — 0.1%
Boston Beer Co., Inc., Class A†		1,012		224,421
Building & Construction Products-Misc. — 0.4%
Drew Industries, Inc.		2,696		113,744
Gibraltar Industries, Inc.†		33,951		464,789
Nortek, Inc.†		1,500		111,750
Quanex Building Products Corp.		4,282		77,462
Simpson Manufacturing Co., Inc.		4,749		138,433
Trex Co., Inc.†		1,300		44,941
				951,119
Building & Construction-Misc. — 0.1%
Aegion Corp.†		4,263		94,852
Comfort Systems USA, Inc.		4,306		58,346
Dycom Industries, Inc.†		3,879		119,124
				272,322

Security Description	Shares		Value (Note 2)
Building Products-Air & Heating — 0.0%
AAON, Inc.		4,833	$	82,209
Building Products-Cement — 0.0%
Headwaters, Inc.†		8,385		105,148
Building Products-Doors & Windows — 0.1%
Apogee Enterprises, Inc.		3,323		132,255
Griffon Corp.		4,902		55,834
PGT, Inc.†		5,396		50,291
				238,380
Building Products-Wood — 0.4%
Boise Cascade Co.†		27,936		841,991
Universal Forest Products, Inc.		2,290		97,806
				939,797
Building-Heavy Construction — 0.1%
Orion Marine Group, Inc.†		3,127		31,207
Tutor Perini Corp.†		10,780		284,592
				315,799
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		5,915		151,956
Building-Mobile Home/Manufactured Housing — 0.0%
Winnebago Industries, Inc.†		3,086		67,182
Building-Residential/Commercial — 0.7%
M/I Homes, Inc.†		2,792		55,337
Meritage Homes Corp.†		4,240		150,520
Ryland Group, Inc.		27,555		915,928
Standard Pacific Corp.†		17,212		128,918
WCI Communities, Inc.†		16,740		308,686
				1,559,389
Casino Hotels — 0.0%
Boyd Gaming Corp.†		8,903		90,454
Monarch Casino & Resort, Inc.†		1,150		13,697
				104,151
Casino Services — 0.1%
Multimedia Games Holding Co., Inc.†		3,386		121,930
Scientific Games Corp., Class A†		5,601		60,323
				182,253
Cellular Telecom — 0.0%
NTELOS Holdings Corp.		1,928		20,514
Chemicals-Diversified — 0.1%
Aceto Corp.		3,110		60,085
Innophos Holdings, Inc.		2,492		137,284
				197,369
Chemicals-Other — 0.0%
American Vanguard Corp.		2,886		32,323
Chemicals-Plastics — 0.1%
A. Schulman, Inc.		3,332		120,485
PolyOne Corp.		6,050		215,259
				335,744
Chemicals-Specialty — 0.9%
Balchem Corp.		3,489		197,373
H.B. Fuller Co.		5,729		227,441

236

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty (continued)
Hawkins, Inc.		1,078	$	38,765
Kraton Performance Polymers, Inc.†		29,832		531,308
Minerals Technologies, Inc.		9,400		580,074
OM Group, Inc.		10,126		262,770
Quaker Chemical Corp.		1,511		108,324
Stepan Co.		2,188		97,103
Zep, Inc.		2,622		36,760
				2,079,918
Circuit Boards — 0.7%
Park Electrochemical Corp.		67,252		1,583,784
TTM Technologies, Inc.†		6,085		41,439
				1,625,223
Coal — 0.5%
Arch Coal, Inc.		24,218		51,342
Cloud Peak Energy, Inc.†		62,671		790,908
SunCoke Energy, Inc.†		7,909		177,557
				1,019,807
Commercial Services — 0.2%
ExlService Holdings, Inc.†		3,551		86,680
Healthcare Services Group, Inc.		8,024		229,567
Medifast, Inc.†		2,152		70,650
Providence Service Corp.†		1,404		67,925
TeleTech Holdings, Inc.†		2,020		49,652
				504,474
Commercial Services-Finance — 0.4%
Cardtronics, Inc.†		5,074		178,605
EVERTEC, Inc.		2,000		44,680
Green Dot Corp., Class A†		3,570		75,470
Heartland Payment Systems, Inc.		8,005		381,998
MoneyGram International, Inc.†		7,200		90,288
Vantiv, Inc., Class A†		3,400		105,060
				876,101
Communications Software — 0.3%
Digi International, Inc.†		101,935		764,512
Computer Aided Design — 0.2%
Aspen Technology, Inc.†		13,700		516,764
Computer Data Security — 0.2%
Qualys, Inc.†		7,100		188,860
Varonis Systems, Inc.†		7,400		156,140
				345,000
Computer Graphics — 0.1%
Monotype Imaging Holdings, Inc.		4,469		126,562
Computer Services — 1.3%
CACI International, Inc., Class A†		2,683		191,218
Ciber, Inc.†		8,012		27,481
Engility Holdings, Inc.†		9,910		308,895
iGATE Corp.†		4,167		153,012
Insight Enterprises, Inc.†		6,670		150,942
j2 Global, Inc.		5,173		255,339
LivePerson, Inc.†		5,583		70,290
Manhattan Associates, Inc.†		39,867		1,332,355
Sykes Enterprises, Inc.†		4,496		89,830

Security Description	Shares		Value (Note 2)
Computer Services (continued)
Unisys Corp.†		9,100	$	213,031
Virtusa Corp.†		3,030		107,747
				2,900,140
Computer Software — 0.3%
AVG Technologies NV		9,200		152,536
Avid Technology, Inc.†		26,600		268,660
Blackbaud, Inc.		5,268		206,980
				628,176
Computers-Integrated Systems — 0.3%
Agilysys, Inc.†		1,693		19,859
Mercury Systems, Inc.†		3,617		39,823
MTS Systems Corp.		1,727		117,885
NetScout Systems, Inc.†		4,262		195,200
Super Micro Computer, Inc.†		3,896		114,620
VeriFone Systems, Inc.†		3,300		113,454
				600,841
Computers-Memory Devices — 0.1%
Nimble Storage, Inc.†		10,200		264,894
Computers-Periphery Equipment — 0.2%
Electronics for Imaging, Inc.†		5,307		234,410
Synaptics, Inc.†		4,192		306,855
				541,265
Consulting Services — 0.3%
Forrester Research, Inc.		1,249		46,038
FTI Consulting, Inc.†		5,900		206,264
MAXIMUS, Inc.		7,643		306,714
Navigant Consulting, Inc.†		5,572		77,506
				636,522
Consumer Products-Misc. — 0.2%
Central Garden and Pet Co., Class A†		4,890		39,316
CSS Industries, Inc.		4,100		99,425
Helen of Troy, Ltd.†		3,042		159,766
WD-40 Co.		1,595		108,396
				406,903
Containers-Paper/Plastic — 0.3%
Graphic Packaging Holding Co.†		49,500		615,285
Cosmetics & Toiletries — 0.0%
Inter Parfums, Inc.		2,941		80,877
Data Processing/Management — 0.2%
CSG Systems International, Inc.		3,957		103,990
Fair Isaac Corp.		4,900		269,990
Pegasystems, Inc.		6,800		129,948
				503,928
Decision Support Software — 0.1%
Castlight Health, Inc., Class B†		15,000		194,100
Interactive Intelligence Group, Inc.†		1,914		80,005
				274,105
Diagnostic Equipment — 0.0%
Affymetrix, Inc.†		8,372		66,809
Diagnostic Kits — 0.0%
Meridian Bioscience, Inc.		4,742		83,886

237

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Direct Marketing — 0.0%
Harte-Hanks, Inc.		4,920	$	31,340
Disposable Medical Products — 0.1%
ICU Medical, Inc.†		1,533		98,388
Merit Medical Systems, Inc.†		4,932		58,592
				156,980
Distribution/Wholesale — 0.9%
MWI Veterinary Supply, Inc.†		1,467		217,703
Owens & Minor, Inc.		9,100		297,934
Pool Corp.		5,026		271,002
ScanSource, Inc.†		9,756		337,460
United Stationers, Inc.		24,145		907,127
				2,031,226
Diversified Manufacturing Operations — 1.7%
Actuant Corp., Class A		7,841		239,307
AZZ, Inc.		2,926		122,219
Barnes Group, Inc.		5,581		169,383
Blount International, Inc.†		2,900		43,877
EnPro Industries, Inc.†		2,736		165,610
Fabrinet†		3,365		49,129
Federal Signal Corp.		7,159		94,785
Harsco Corp.		55,290		1,183,759
Koppers Holdings, Inc.		28,228		936,041
Leggett & Platt, Inc.		5,200		181,584
LSB Industries, Inc.†		2,217		79,169
Lydall, Inc.†		1,947		52,588
Park-Ohio Holdings Corp.		1,600		76,576
Standex International Corp.		6,056		448,992
Tredegar Corp.		2,919		53,739
				3,896,758
Diversified Minerals — 0.2%
US Silica Holdings, Inc.		6,143		383,999
Diversified Operations/Commercial Services — 0.1%
Chemed Corp.		1,972		202,919
Viad Corp.		2,286		47,206
				250,125
Drug Delivery Systems — 0.2%
BioDelivery Sciences International, Inc.†		8,400		143,556
Catalent, Inc.†		5,500		137,665
Depomed, Inc.†		6,671		101,332
Revance Therapeutics, Inc.†		2,900		56,057
				438,610
E-Commerce/Products — 0.1%
Blue Nile, Inc.†		1,350		38,542
Chegg, Inc.†		1,800		11,232
FTD Cos., Inc.†		2,162		73,746
Stamps.com, Inc.†		1,666		52,912
				176,432
E-Commerce/Services — 0.0%
Coupons.com, Inc.†		1,700		20,332
E-Marketing/Info — 0.1%
comScore, Inc.†		3,898		141,926
Liquidity Services, Inc.†		2,775		38,156

Security Description	Shares		Value (Note 2)
E-Marketing/Info (continued)
QuinStreet, Inc.†		3,899	$	16,181
Rubicon Project, Inc.†		2,000		23,460
TubeMogul, Inc.†		1,200		13,800
				233,523
E-Services/Consulting — 0.0%
Perficient, Inc.†		3,927		58,866
Electric Products-Misc. — 0.1%
Littelfuse, Inc.		2,570		218,913
Electric-Generation — 0.0%
Atlantic Power Corp.		43,200		102,816
Electric-Integrated — 1.8%
ALLETE, Inc.		13,064		579,911
Avista Corp.		6,763		206,474
Cleco Corp.		11,240		541,206
El Paso Electric Co.		10,903		398,505
MGE Energy, Inc.		5,100		190,026
NorthWestern Corp.		17,365		787,677
PNM Resources, Inc.		4,900		122,059
Portland General Electric Co.		29,500		947,540
UIL Holdings Corp.		6,451		228,365
				4,001,763
Electronic Components-Misc. — 1.7%
AVX Corp.		100,960		1,340,749
Bel Fuse, Inc., Class B		9,990		247,153
Benchmark Electronics, Inc.†		30,045		667,299
CTS Corp.		3,834		60,922
InvenSense, Inc.†		9,700		191,381
Methode Electronics, Inc.		4,353		160,495
OSI Systems, Inc.†		2,123		134,768
Plexus Corp.†		3,850		142,181
Rogers Corp.†		2,083		114,065
Sanmina Corp.†		9,428		196,668
Stoneridge, Inc.†		51,700		582,659
Vishay Intertechnology, Inc.		6,100		87,169
				3,925,509
Electronic Components-Semiconductors — 1.3%
CEVA, Inc.†		2,335		31,382
Diodes, Inc.†		4,178		99,938
DSP Group, Inc.†		8,211		72,832
Entropic Communications, Inc.†		10,128		26,940
First Solar, Inc.†		4,600		302,726
GT Advanced Technologies, Inc.†		15,691		169,934
Kopin Corp.†		6,934		23,576
Microsemi Corp.†		10,883		276,537
Monolithic Power Systems, Inc.		4,109		181,001
OmniVision Technologies, Inc.†		3,500		92,610
ON Semiconductor Corp.†		145,010		1,296,389
PMC-Sierra, Inc.†		20,200		150,692
QLogic Corp.†		10,019		91,774
Rubicon Technology, Inc.†		2,656		11,288
				2,827,619
Electronic Measurement Instruments — 0.2%
Badger Meter, Inc.		1,647		83,091
ESCO Technologies, Inc.		3,001		104,375
FARO Technologies, Inc.†		1,968		99,876

238

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Measurement Instruments (continued)
Measurement Specialties, Inc.†		1,846	$	158,036
				445,378
Electronic Security Devices — 0.3%
American Science & Engineering, Inc.		903		50,008
Taser International, Inc.†		39,393		608,228
				658,236
Energy-Alternate Sources — 0.4%
FutureFuel Corp.		2,537		30,165
Green Plains, Inc.		3,900		145,821
Renewable Energy Group, Inc.†		3,900		39,585
REX American Resources Corp.†		8,900		648,632
TerraForm Power, Inc., Class A†		1,000		28,860
				893,063
Engineering/R&D Services — 1.2%
Argan, Inc.		13,100		437,278
EMCOR Group, Inc.		44,380		1,773,425
Exponent, Inc.		1,493		105,824
VSE Corp.		6,500		318,630
				2,635,157
Engines-Internal Combustion — 0.2%
Briggs & Stratton Corp.		25,526		459,979
Enterprise Software/Service — 0.9%
Digital River, Inc.†		3,648		52,969
ManTech International Corp., Class A		19,578		527,627
MedAssets, Inc.†		22,156		459,072
MicroStrategy, Inc., Class A†		1,031		134,896
Omnicell, Inc.†		4,093		111,862
OPOWER, Inc.†		400		7,544
Rally Software Development Corp.†		14,600		175,346
SYNNEX Corp.		3,174		205,136
Tyler Technologies, Inc.†		3,748		331,323
Veeva Systems, Inc., Class A†		2,600		73,242
				2,079,017
Entertainment Software — 0.3%
Take-Two Interactive Software, Inc.†		29,223		674,175
Environmental Consulting & Engineering — 0.1%
Tetra Tech, Inc.		7,329		183,078
Filtration/Separation Products — 0.2%
Polypore International, Inc.†		12,400		482,484
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		600		75,642
Finance-Consumer Loans — 0.7%
Encore Capital Group, Inc.†		2,719		120,479
Nelnet, Inc., Class A		5,800		249,922
Ocwen Financial Corp.†		11,900		311,542
Portfolio Recovery Associates, Inc.†		10,413		543,871
World Acceptance Corp.†		6,338		427,815
				1,653,629
Finance-Investment Banker/Broker — 1.7%
Cowen Group, Inc., Class A†		27,600		103,500
Evercore Partners, Inc., Class A		4,139		194,533
FBR & Co.†		3,900		107,328

Security Description	Shares		Value (Note 2)
Finance-Investment Banker/Broker (continued)
FXCM, Inc., Class A		4,714	$	74,717
Greenhill & Co., Inc.		16,621		772,710
Interactive Brokers Group, Inc., Class A		6,514		162,524
Investment Technology Group, Inc.†		34,321		540,899
Piper Jaffray Cos.†		1,855		96,905
Raymond James Financial, Inc.		25,280		1,354,503
Stifel Financial Corp.†		7,496		351,488
SWS Group, Inc.†		2,617		18,031
				3,777,138
Finance-Leasing Companies — 0.0%
Marlin Business Services Corp.		4,300		78,776
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		3,200		81,312
Finance-Other Services — 0.4%
MarketAxess Holdings, Inc.		4,279		264,699
Outerwall, Inc.†		6,865		385,126
WageWorks, Inc.†		3,734		170,009
				819,834
Financial Guarantee Insurance — 0.1%
NMI Holdings, Inc., Class A†		13,400		115,910
Firearms & Ammunition — 0.0%
Sturm Ruger & Co., Inc.		2,215		107,848
Food-Canned — 0.2%
Seneca Foods Corp., Class A†		2,313		66,152
TreeHouse Foods, Inc.†		4,799		386,319
				452,471
Food-Misc./Diversified — 0.7%
Annie's, Inc.†		1,950		89,505
B&G Foods, Inc.		10,722		295,391
Cal-Maine Foods, Inc.		1,711		152,844
Chiquita Brands International, Inc.†		22,600		320,920
Diamond Foods, Inc.†		3,008		86,059
J&J Snack Foods Corp.		1,702		159,239
Pinnacle Foods, Inc.		7,500		244,875
Snyder's-Lance, Inc.		5,930		157,145
				1,505,978
Food-Retail — 0.6%
Nutrisystem, Inc.		3,284		50,475
Smart & Final Stores, Inc.†		6,600		95,238
Weis Markets, Inc.		29,150		1,137,725
				1,283,438
Food-Wholesale/Distribution — 0.1%
Calavo Growers, Inc.		1,600		72,224
SpartanNash Co.		4,304		83,713
				155,937
Footwear & Related Apparel — 0.9%
Crocs, Inc.†		9,727		122,366
Iconix Brand Group, Inc.†		30,180		1,114,849
Skechers U.S.A., Inc., Class A†		4,616		246,079
Steven Madden, Ltd.†		6,552		211,171
Wolverine World Wide, Inc.		11,576		290,094
				1,984,559

239

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Forestry — 0.0%
Deltic Timber Corp.		1,263	$	78,710
Funeral Services & Related Items — 0.1%
Matthews International Corp., Class A		3,371		147,953
Gambling (Non-Hotel) — 0.1%
Pinnacle Entertainment, Inc.†		6,821		171,139
Garden Products — 0.2%
Toro Co.		6,351		376,170
Gas-Distribution — 1.1%
AGL Resources, Inc.		3,000		154,020
Laclede Group, Inc.		12,305		570,952
New Jersey Resources Corp.		8,501		429,386
Northwest Natural Gas Co.		5,356		226,291
Piedmont Natural Gas Co., Inc.		12,737		427,072
South Jersey Industries, Inc.		3,780		201,701
Southwest Gas Corp.		8,506		413,221
WGL Holdings, Inc.		3,660		154,159
				2,576,802
Golf — 0.0%
Callaway Golf Co.		8,865		64,183
Health Care Cost Containment — 0.0%
CorVel Corp.†		1,023		34,833
HealthEquity, Inc.†		1,000		18,310
				53,143
Home Furnishings — 0.2%
American Woodmark Corp.†		1,401		51,641
Ethan Allen Interiors, Inc.		2,970		67,716
La-Z-Boy, Inc.		5,993		118,601
Select Comfort Corp.†		6,131		128,261
				366,219
Hotel/Motels — 0.0%
Marcus Corp.		2,092		33,054
Housewares — 0.0%
Lifetime Brands, Inc.		2,800		42,868
Human Resources — 1.5%
AMN Healthcare Services, Inc.†		5,305		83,288
Barrett Business Services, Inc.		9,000		355,410
CDI Corp.		1,656		24,045
Cross Country Healthcare, Inc.†		116,131		1,078,857
Heidrick & Struggles International, Inc.		1,872		38,451
Insperity, Inc.		2,593		70,893
Kelly Services, Inc., Class A		3,387		53,074
Korn/Ferry International†		19,828		493,717
Monster Worldwide, Inc.†		10,133		55,732
On Assignment, Inc.†		5,593		150,172
Paylocity Holding Corp.†		2,300		45,195
Resources Connection, Inc.		4,372		60,946
TriNet Group, Inc.†		1,700		43,775
TrueBlue, Inc.†		35,726		902,439
				3,455,994

Security Description	Shares		Value (Note 2)
Identification Systems — 0.1%
Brady Corp., Class A		5,431	$	121,872
Checkpoint Systems, Inc.†		4,757		58,178
Imprivata Inc†		3,600		55,872
				235,922
Independent Power Producers — 0.1%
Dynegy, Inc.†		3,900		112,554
Industrial Audio & Video Products — 0.1%
GoPro, Inc., Class A†		2,000		187,400
Industrial Automated/Robotic — 0.1%
Hurco Cos., Inc.		3,300		124,278
Instruments-Controls — 0.1%
Watts Water Technologies, Inc., Class A		3,745		218,146
Insurance Brokers — 0.0%
eHealth, Inc.†		2,027		48,912
Insurance-Life/Health — 0.4%
American Equity Investment Life Holding Co.		15,100		345,488
CNO Financial Group, Inc.		26,100		442,656
Primerica, Inc.		3,200		154,304
Trupanion, Inc.†		3,600		30,600
				973,048
Insurance-Multi-line — 0.1%
Horace Mann Educators Corp.		4,670		133,142
United Fire Group, Inc.		2,416		67,092
				200,234
Insurance-Property/Casualty — 1.2%
AMERISAFE, Inc.		2,130		83,304
Employers Holdings, Inc.		3,592		69,146
Global Indemnity PLC†		1,200		30,276
HCI Group, Inc.		1,061		38,185
Infinity Property & Casualty Corp.		1,312		83,981
Meadowbrook Insurance Group, Inc.		5,315		31,093
Navigators Group, Inc.†		4,237		260,576
ProAssurance Corp.		33,605		1,480,972
RLI Corp.		4,221		182,727
Safety Insurance Group, Inc.		1,438		77,523
Selective Insurance Group, Inc.		6,431		142,382
Stewart Information Services Corp.		3,156		92,629
Universal Insurance Holdings, Inc.		3,373		43,613
				2,616,407
Insurance-Reinsurance — 0.7%
Aspen Insurance Holdings, Ltd.		1,400		59,878
Axis Capital Holdings, Ltd.		24,450		1,157,218
Platinum Underwriters Holdings, Ltd.		6,000		365,220
				1,582,316
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		13,100		96,809
Intralinks Holdings, Inc.†		23,100		187,110
				283,919
Internet Content-Information/News — 0.1%
Dice Holdings, Inc.†		4,286		35,917
HealthStream, Inc.†		2,422		58,152

240

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Content-Information/News (continued)
WebMD Health Corp.†		1,300	$	54,353
XO Group, Inc.†		2,761		30,951
				179,373
Internet Security — 0.0%
VASCO Data Security International, Inc.†		3,349		62,894
Internet Telephone — 0.1%
magicJack VocalTec, Ltd.†		7,925		78,061
RingCentral, Inc.†		12,700		161,417
TeleCommunication Systems, Inc., Class A†		22,400		62,496
				301,974
Investment Management/Advisor Services — 1.5%
Affiliated Managers Group, Inc.†		9,290		1,861,345
Artisan Partners Asset Management, Inc., Class A		1,300		67,665
Calamos Asset Management, Inc., Class A		1,944		21,909
Federated Investors, Inc., Class B		1,900		55,784
Financial Engines, Inc.		5,904		202,005
Virtus Investment Partners, Inc.		812		141,044
Waddell & Reed Financial, Inc., Class A		18,110		936,106
				3,285,858
Lasers-System/Components — 0.4%
Coherent, Inc.†		8,746		536,742
Electro Scientific Industries, Inc.		3,023		20,526
II-VI, Inc.†		5,956		70,102
Newport Corp.†		5,556		98,452
Rofin-Sinar Technologies, Inc.†		3,195		73,677
				799,499
Lighting Products & Systems — 0.2%
Acuity Brands, Inc.		3,000		353,130
Linen Supply & Related Items — 0.2%
G&K Services, Inc., Class A		4,572		253,197
UniFirst Corp.		1,783		172,220
				425,417
Machinery-Construction & Mining — 0.1%
Astec Industries, Inc.		2,144		78,192
Hyster-Yale Materials Handling, Inc.		1,300		93,106
				171,298
Machinery-Electrical — 0.1%
Franklin Electric Co., Inc.		4,504		156,469
Machinery-Farming — 0.0%
Lindsay Corp.		1,452		108,537
Machinery-General Industrial — 0.5%
Albany International Corp., Class A		3,265		111,141
Altra Industrial Motion Corp.		3,950		115,182
Applied Industrial Technologies, Inc.		9,335		426,143
DXP Enterprises, Inc.†		1,467		108,088

Security Description	Shares		Value (Note 2)
Machinery-General Industrial (continued)
Kadant, Inc.		7,500	$	292,875
Tennant Co.		2,097		140,688
				1,194,117
Medical Imaging Systems — 0.0%
Analogic Corp.		1,412		90,312
Medical Information Systems — 0.2%
Computer Programs & Systems, Inc.		1,189		68,356
Medidata Solutions, Inc.†		6,164		273,004
Quality Systems, Inc.		5,015		69,056
				410,416
Medical Instruments — 0.8%
Abaxis, Inc.		2,415		122,465
CONMED Corp.		14,920		549,653
CryoLife, Inc.		2,867		28,297
Integra LifeSciences Holdings Corp.†		2,864		142,169
Natus Medical, Inc.†		3,686		108,774
NuVasive, Inc.†		11,859		413,523
SurModics, Inc.†		26,251		476,718
Symmetry Medical, Inc.†		4,284		43,226
				1,884,825
Medical Labs & Testing Services — 0.1%
Bio-Reference Laboratories, Inc.†		2,815		78,989
Roka Bioscience, Inc.†		3,600		36,180
				115,169
Medical Laser Systems — 0.2%
Cynosure, Inc., Class A†		2,469		51,849
PhotoMedex, Inc.†		48,038		297,836
				349,685
Medical Products — 0.7%
ABIOMED, Inc.†		4,155		103,169
Accuray, Inc.†		22,200		161,172
Cantel Medical Corp.		4,012		137,932
Cyberonics, Inc.†		3,037		155,373
Greatbatch, Inc.†		2,842		121,098
Haemonetics Corp.†		5,867		204,876
Hanger, Inc.†		4,026		82,613
Intersect ENT, Inc.†		1,000		15,500
Invacare Corp.		3,337		39,410
Luminex Corp.†		4,342		84,669
West Pharmaceutical Services, Inc.		8,062		360,855
Wright Medical Group, Inc.†		6,500		196,950
				1,663,617
Medical-Biomedical/Gene — 1.4%
Acorda Therapeutics, Inc.†		4,762		161,337
Alnylam Pharmaceuticals, Inc.†		6,500		507,650
Applied Genetic Technologies Corp.†		1,300		24,193
Ardelyx, Inc.†		3,600		51,156
Avalanche Biotechnologies, Inc.†		1,100		37,609
Cambrex Corp.†		3,493		65,249
Eleven Biotherapeutics, Inc.†		3,600		40,104
Emergent Biosolutions, Inc.†		3,335		71,069
Foundation Medicine, Inc.†		1,200		22,752
Karyopharm Therapeutics, Inc.†		1,000		34,940

241

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Ligand Pharmaceuticals, Inc.†		2,157	$	101,357
MacroGenics, Inc.†		6,500		135,850
Medicines Co.†		7,417		165,547
Merrimack Pharmaceuticals, Inc.†		14,700		129,066
Momenta Pharmaceuticals, Inc.†		5,302		60,125
NPS Pharmaceuticals, Inc.†		14,600		379,600
Prothena Corp. PLC†		8,300		183,928
PTC Therapeutics, Inc.†		6,200		272,862
Repligen Corp.†		3,501		69,705
Sage Therapeutics, Inc.†		700		22,050
Spectrum Pharmaceuticals, Inc.†		6,599		53,716
Synageva BioPharma Corp.†		3,200		220,096
Trius Therapeutics, Inc. CVR†(1)(2)		13,800		0
Ultragenyx Pharmaceutical, Inc.†		1,700		96,220
Versartis, Inc.†		7,200		136,728
				3,042,909
Medical-Drugs — 1.3%
ACADIA Pharmaceuticals, Inc.†		16,000		396,160
Akorn, Inc.†		8,197		297,305
Auspex Pharmaceuticals, Inc.†		400		10,268
ChemoCentryx, Inc.†		10,100		45,450
Chimerix, Inc.†		6,100		168,482
Dicerna Pharmaceuticals, Inc.†		2,900		36,917
Immune Design Corp.†		11,191		197,633
Lannett Co., Inc.†		5,113		233,562
Mallinckrodt PLC†		1,438		129,635
Pacira Pharmaceuticals, Inc.†		4,900		474,908
PharMerica Corp.†		14,529		354,944
Prestige Brands Holdings, Inc.†		14,329		463,830
Sagent Pharmaceuticals, Inc.†		2,584		80,362
Tokai Pharmaceuticals, Inc.†		6,600		99,924
ZS Pharma, Inc.†		1,000		39,230
				3,028,610
Medical-Generic Drugs — 0.1%
Amphastar Pharmaceuticals, Inc.†		9,100		106,015
Impax Laboratories, Inc.†		7,501		177,849
				283,864
Medical-HMO — 0.4%
Centene Corp.†		6,000		496,260
Magellan Health, Inc.†		3,287		179,897
Molina Healthcare, Inc.†		3,449		145,893
				822,050
Medical-Hospitals — 0.7%
Community Health Systems, Inc.†		3,240		177,520
LifePoint Hospitals, Inc.†		19,150		1,324,988
				1,502,508
Medical-Nursing Homes — 0.1%
Ensign Group, Inc.		2,281		79,379
Kindred Healthcare, Inc.		7,373		143,036
				222,415
Medical-Outpatient/Home Medical — 0.4%
Air Methods Corp.†		4,065		225,811
Almost Family, Inc.†		897		24,371

Security Description	Shares		Value (Note 2)
Medical-Outpatient/Home Medical (continued)
Amedisys, Inc.†		12,692	$	255,998
Amsurg Corp.†		4,720		236,236
Gentiva Health Services, Inc.†		3,578		60,039
LHC Group, Inc.†		2,100		48,720
				851,175
Metal Processors & Fabrication — 1.3%
Ampco-Pittsburgh Corp.		1,100		22,000
CIRCOR International, Inc.		2,015		135,670
Haynes International, Inc.		13,213		607,666
Mueller Industries, Inc.		6,470		184,654
RBC Bearings, Inc.		17,104		969,796
RTI International Metals, Inc.†		18,974		467,899
Worthington Industries, Inc.		14,200		528,524
				2,916,209
Metal Products-Distribution — 0.0%
A.M. Castle & Co.†		6,083		51,949
Olympic Steel, Inc.		1,040		21,393
				73,342
Metal-Aluminum — 0.1%
Century Aluminum Co.†		5,876		152,600
Kaiser Aluminum Corp.		2,039		155,412
				308,012
Miscellaneous Manufacturing — 0.1%
Hillenbrand, Inc.		7,170		221,481
John Bean Technologies Corp.		3,324		93,504
				314,985
MRI/Medical Diagnostic Imaging — 0.1%
RadNet, Inc.†		23,700		156,894
Multimedia — 0.0%
EW Scripps Co., Class A†		3,409		55,601
Networking Products — 0.6%
Anixter International, Inc.		3,102		263,174
Arista Networks, Inc.†		1,300		114,829
Black Box Corp.		8,112		189,172
Ixia†		6,587		60,205
LogMeIn, Inc.†		2,809		129,410
NETGEAR, Inc.†		4,097		128,031
Polycom, Inc.†		30,400		373,464
Procera Networks, Inc.†		2,358		22,590
				1,280,875
Non-Ferrous Metals — 0.4%
Globe Specialty Metals, Inc.		7,321		133,169
Horsehead Holding Corp.†		48,120		795,424
Materion Corp.		2,356		72,258
				1,000,851
Office Furnishings-Original — 0.2%
Herman Miller, Inc.		6,330		188,950
Interface, Inc.		7,584		122,406
Steelcase, Inc., Class A		2,900		46,951
				358,307
Office Supplies & Forms — 0.5%
ACCO Brands Corp.†		162,124		1,118,656

242

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil & Gas Drilling — 0.0%
Paragon Offshore PLC†		9,669	$	59,464
Oil Companies-Exploration & Production — 1.8%
Abraxas Petroleum Corp.†		130,000		686,400
Approach Resources, Inc.†		4,132		59,914
Bill Barrett Corp.†		24,622		542,669
Carrizo Oil & Gas, Inc.†		10,911		587,230
Clayton Williams Energy, Inc.†		3,700		356,865
Comstock Resources, Inc.		9,978		185,790
Contango Oil & Gas Co.†		3,113		103,476
Forest Oil Corp.†		13,615		15,929
Isramco, Inc.†		200		24,432
Jones Energy, Inc., Class A†		15,300		287,334
Northern Oil and Gas, Inc.†		6,545		93,070
PDC Energy, Inc.†		4,092		205,787
Penn Virginia Corp.†		8,155		103,650
PetroQuest Energy, Inc.†		6,711		37,716
Stone Energy Corp.†		11,109		348,378
Swift Energy Co.†		4,998		47,981
Synergy Resources Corp.†		7,704		93,912
VAALCO Energy, Inc.†		23,900		203,150
				3,983,683
Oil Field Machinery & Equipment — 0.4%
Flotek Industries, Inc.†		5,721		149,147
Gulf Island Fabrication, Inc.		28,522		490,578
Natural Gas Services Group, Inc.†		13,360		321,575
				961,300
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		1,000		44,290
Alon USA Energy, Inc.		6,800		97,648
Western Refining, Inc.		4,200		176,358
				318,296
Oil-Field Services — 2.4%
Basic Energy Services, Inc.†		11,492		249,261
C&J Energy Services, Inc.†		5,247		160,296
Exterran Holdings, Inc.		23,246		1,030,030
Frank's International NV		20,480		382,976
Gulfmark Offshore, Inc., Class A		3,074		96,370
Helix Energy Solutions Group, Inc.†		8,900		196,334
Hornbeck Offshore Services, Inc.†		3,687		120,676
Key Energy Services, Inc.†		68,570		331,879
Matrix Service Co.†		8,517		205,430
McDermott International, Inc.†		68,160		389,875
Newpark Resources, Inc.†		9,545		118,740
Pioneer Energy Services Corp.†		23,910		335,218
SEACOR Holdings, Inc.†		8,648		646,870
Tesco Corp.		4,162		82,616
TETRA Technologies, Inc.†		88,475		957,300
				5,303,871
Paper & Related Products — 0.5%
Clearwater Paper Corp.†		2,259		135,789
Domtar Corp.		2,800		98,364
KapStone Paper and Packaging Corp.†		9,630		269,351
Neenah Paper, Inc.		1,896		101,398
P.H. Glatfelter Co.		4,895		107,445

Security Description	Shares		Value (Note 2)
Paper & Related Products (continued)
Resolute Forest Products, Inc.†		11,500	$	179,860
Schweitzer-Mauduit International, Inc.		3,475		143,552
Veritiv Corp.†		931		46,606
Wausau Paper Corp.		5,701		45,209
Xerium Technologies, Inc.†		3,300		48,213
				1,175,787
Patient Monitoring Equipment — 0.1%
Masimo Corp.†		5,686		120,998
Physical Therapy/Rehabilitation Centers — 0.1%
HealthSouth Corp.		3,200		118,080
Physicians Practice Management — 0.1%
Healthways, Inc.†		4,032		64,593
IPC The Hospitalist Co., Inc.†		1,961		87,833
				152,426
Platinum — 0.1%
Stillwater Mining Co.†		13,693		205,806
Poultry — 0.3%
Pilgrim's Pride Corp.†		7,500		229,200
Sanderson Farms, Inc.		5,243		461,122
				690,322
Power Converter/Supply Equipment — 0.2%
Advanced Energy Industries, Inc.†		4,282		80,459
Powell Industries, Inc.		1,055		43,107
SunPower Corp.†		9,500		321,860
Vicor Corp.†		1,891		17,775
				463,201
Printing-Commercial — 0.2%
Deluxe Corp.		6,500		358,540
Quad/Graphics, Inc.		4,000		77,000
RR Donnelley & Sons Co.		3,832		63,075
				498,615
Protection/Safety — 0.0%
Landauer, Inc.		1,090		35,981
Publishing-Books — 0.0%
Scholastic Corp.		3,019		97,574
Publishing-Newspapers — 0.0%
Lee Enterprises, Inc.†		32,900		111,202
Radio — 0.1%
Entercom Communications Corp., Class A†		11,400		91,542
Radio One, Inc., Class D†		9,500		30,210
Townsquare Media, Inc.†		2,900		34,858
				156,610
Real Estate Investment Trusts — 7.3%
Acadia Realty Trust		6,767		186,634
Agree Realty Corp.		1,621		44,383
American Assets Trust, Inc.		10,032		330,755
Anworth Mtg. Asset Corp.		22,500		107,775
Ashford Hospitality Prime, Inc.		520		7,920
Ashford Hospitality Trust, Inc.		2,700		27,594
Associated Estates Realty Corp.		7,776		136,158
Aviv REIT, Inc.		2,803		73,859
BioMed Realty Trust, Inc.		20,540		414,908

243

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Capstead Mtg. Corp.		41,329	$	505,867
CareTrust REIT, Inc.†		2,278		32,575
CBL & Associates Properties, Inc.		6,500		116,350
Cedar Realty Trust, Inc.		7,862		46,386
Chesapeake Lodging Trust		6,189		180,409
CoreSite Realty Corp.		21,766		715,448
Corporate Office Properties Trust		11,290		290,379
Cousins Properties, Inc.		71,855		858,667
CYS Investments, Inc.		90,000		741,600
DCT Industrial Trust, Inc.		12,200		91,622
DiamondRock Hospitality Co.		28,826		365,514
EastGroup Properties, Inc.		18,467		1,118,916
Education Realty Trust, Inc.		15,922		163,678
Empire State Realty Trust, Inc., Class A		19,670		295,443
EPR Properties		10,364		525,248
Equity Lifestyle Properties, Inc.		2,300		97,428
FelCor Lodging Trust, Inc.		3,600		33,696
First Industrial Realty Trust, Inc.		2,500		42,275
First Potomac Realty Trust		30,020		352,735
Franklin Street Properties Corp.		15,672		175,840
Geo Group, Inc.		8,287		316,729
Getty Realty Corp.		2,974		50,558
Gladstone Commercial Corp.		1,500		25,485
Government Properties Income Trust		8,018		175,674
Healthcare Realty Trust, Inc.		11,119		263,298
Hersha Hospitality Trust		28,030		178,551
Home Properties, Inc.		3,500		203,840
Hospitality Properties Trust		6,300		169,155
Inland Real Estate Corp.		10,043		99,526
Kite Realty Group Trust		9,488		229,989
Lexington Realty Trust		23,748		232,493
LTC Properties, Inc.		13,975		515,538
Medical Properties Trust, Inc.		19,772		242,405
Mid-America Apartment Communities, Inc.		5,400		354,510
National Retail Properties, Inc.		2,500		86,425
Parkway Properties, Inc.		9,467		177,790
Pebblebrook Hotel Trust		34,820		1,300,179
Pennsylvania Real Estate Investment Trust		14,042		279,998
Post Properties, Inc.		9,507		488,089
Potlatch Corp.		11,800		474,478
PS Business Parks, Inc.		3,309		251,947
RAIT Financial Trust		3,200		23,776
Ramco-Gershenson Properties Trust		11,700		190,125
Retail Opportunity Investments Corp.		10,392		152,762
Sabra Health Care REIT, Inc.		6,075		147,744
Saul Centers, Inc.		4,381		204,768
Sovran Self Storage, Inc.		3,797		282,345
Strategic Hotels & Resorts, Inc.†		30,100		350,665
Tanger Factory Outlet Centers, Inc.		10,939		357,924
Taubman Centers, Inc.		2,000		146,000
Universal Health Realty Income Trust		1,475		61,478

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Urstadt Biddle Properties, Inc., Class A		2,919	$	59,256
Washington Real Estate Investment Trust		5,530		140,351
				16,313,913
Real Estate Management/Services — 0.4%
CBRE Group, Inc., Class A†		6,110		181,711
HFF, Inc., Class A		14,515		420,209
Jones Lang LaSalle, Inc.		3,040		384,074
				985,994
Real Estate Operations & Development — 0.2%
Alexander & Baldwin, Inc.		8,200		294,954
Forestar Group, Inc.†		3,983		70,579
St. Joe Co.†		1,200		23,916
				389,449
Recreational Centers — 0.0%
Steiner Leisure, Ltd.†		2,550		95,854
Recreational Vehicles — 0.0%
Arctic Cat, Inc.		1,474		51,325
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		1,200		36,420
Research & Development — 0.3%
Albany Molecular Research, Inc.†		2,695		59,479
Arrowhead Research Corp.†		14,400		212,688
PAREXEL International Corp.†		8,044		507,496
				779,663
Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.†		3,317		210,331
Respiratory Products — 0.0%
Inogen, Inc.†		2,000		41,220
Retail-Apparel/Shoe — 1.6%
Aeropostale, Inc.†		9,023		29,686
ANN, Inc.†		2,300		94,599
Brown Shoe Co., Inc.		8,486		230,225
Buckle, Inc.		3,201		145,293
Burlington Stores, Inc.†		27,120		1,081,003
Cato Corp., Class A		8,900		306,694
Children's Place, Inc.		15,460		736,824
Christopher & Banks Corp.†		4,209		41,627
Express, Inc.†		8,500		132,685
Finish Line, Inc., Class A		5,452		136,464
Francesca's Holdings Corp.†		4,826		67,226
Genesco, Inc.†		2,749		205,488
Guess?, Inc.		4,600		101,062
Men's Wearhouse, Inc.		5,208		245,922
Stein Mart, Inc.		3,230		37,306
				3,592,104
Retail-Appliances — 0.3%
Conn's, Inc.†		2,900		87,783
hhgregg, Inc.†		79,900		504,169
				591,952
Retail-Auto Parts — 0.0%
Pep Boys-Manny Moe & Jack†		6,080		54,173

244

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Automobile — 0.5%
Group 1 Automotive, Inc.		2,436	$	177,122
Lithia Motors, Inc., Class A		2,591		196,113
Rush Enterprises, Inc., Class A†		22,710		759,649
Sonic Automotive, Inc., Class A		3,903		95,662
				1,228,546
Retail-Bookstores — 0.3%
Barnes & Noble, Inc.†		35,165		694,157
Retail-Building Products — 0.1%
Lumber Liquidators Holdings, Inc.†		3,092		177,419
Retail-Computer Equipment — 0.0%
Systemax, Inc.†		2,300		28,681
Retail-Convenience Store — 0.6%
Casey's General Stores, Inc.		4,322		309,887
Pantry, Inc.†		46,380		938,268
				1,248,155
Retail-Discount — 0.1%
Fred's, Inc., Class A		3,955		55,370
Tuesday Morning Corp.†		4,981		96,656
				152,026
Retail-Drug Store — 0.3%
Rite Aid Corp.†		132,500		641,300
Retail-Hair Salons — 0.1%
Regis Corp.		9,242		147,502
Retail-Home Furnishings — 0.4%
Haverty Furniture Cos., Inc.		2,355		51,315
Kirkland's, Inc.†		1,697		27,339
Pier 1 Imports, Inc.		64,370		765,359
				844,013
Retail-Hypermarkets — 0.0%
Roundy's, Inc.		11,700		34,983
Retail-Jewelry — 0.3%
Movado Group, Inc.		21,670		716,410
Retail-Leisure Products — 0.4%
MarineMax, Inc.†		48,876		823,561
Retail-Pawn Shops — 0.2%
Cash America International, Inc.		3,296		144,365
Ezcorp, Inc., Class A†		5,563		55,129
First Cash Financial Services, Inc.†		3,248		181,823
				381,317
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		2,303		31,321
Retail-Regional Department Stores — 0.4%
Bon-Ton Stores, Inc.		6,000		50,160
Dillard's, Inc., Class A		6,400		697,472
Stage Stores, Inc.		3,627		62,058
				809,690
Retail-Restaurants — 1.3%
Biglari Holdings, Inc.†		196		66,593
BJ's Restaurants, Inc.†		2,664		95,877
Bob Evans Farms, Inc.		2,691		127,392
Buffalo Wild Wings, Inc.†		2,159		289,889

Security Description	Shares		Value (Note 2)
Retail-Restaurants (continued)
Cracker Barrel Old Country Store, Inc.		2,718	$	280,470
DineEquity, Inc.		2,371		193,450
Jack in the Box, Inc.		5,453		371,840
Papa John's International, Inc.		3,455		138,166
Red Robin Gourmet Burgers, Inc.†		5,637		320,745
Ruby Tuesday, Inc.†		7,012		41,301
Ruth's Hospitality Group, Inc.		4,068		44,911
Sonic Corp.†		29,661		663,220
Texas Roadhouse, Inc.		7,138		198,722
				2,832,576
Retail-Sporting Goods — 0.1%
Big 5 Sporting Goods Corp.		2,087		19,555
Hibbett Sports, Inc.†		2,867		122,220
Zumiez, Inc.†		2,465		69,267
				211,042
Retail-Vitamins & Nutrition Supplements — 0.3%
GNC Holdings, Inc., Class A		11,170		432,726
Vitamin Shoppe, Inc.†		3,524		156,430
				589,156
Retirement/Aged Care — 0.1%
Brookdale Senior Living, Inc.†		5,430		174,955
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		9,758		172,131
Savings & Loans/Thrifts — 0.7%
Astoria Financial Corp.		1,600		19,824
Bank Mutual Corp.		4,940		31,665
BankFinancial Corp.		1,200		12,456
Beneficial Mutual Bancorp, Inc.†		4,000		51,120
BofI Holding, Inc.†		1,425		103,612
Brookline Bancorp, Inc.		7,988		68,297
Capitol Federal Financial, Inc.		1,200		14,184
Charter Financial Corp.		5,200		55,640
Dime Community Bancshares, Inc.		3,448		49,651
Flushing Financial Corp.		7,500		137,025
Northfield Bancorp, Inc.		2,200		29,964
Northwest Bancshares, Inc.		10,834		131,092
OceanFirst Financial Corp.		4,200		66,822
Oritani Financial Corp.		4,412		62,165
Provident Financial Services, Inc.		6,144		100,577
Sterling Bancorp		9,539		122,004
Westfield Financial, Inc.		75,780		535,007
				1,591,105
Schools — 0.5%
American Public Education, Inc.†		1,968		53,116
Capella Education Co.		1,244		77,875
Career Education Corp.†		6,828		34,686
Strayer Education, Inc.†		16,644		996,643
Universal Technical Institute, Inc.		2,441		22,823
				1,185,143
Security Services — 0.1%
Brink's Co.		5,541		133,206

245

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Seismic Data Collection — 0.0%
Dawson Geophysical Co.		1,000	$	18,180
Geospace Technologies Corp.†		1,498		52,654
ION Geophysical Corp.†		14,601		40,737
				111,571
Semiconductor Components-Integrated Circuits — 1.5%
Cirrus Logic, Inc.†		7,088		147,785
Emulex Corp.†		91,000		449,540
Exar Corp.†		117,851		1,054,766
Integrated Device Technology, Inc.†		19,900		317,405
Micrel, Inc.		9,495		114,225
Pericom Semiconductor Corp.†		2,278		22,188
Power Integrations, Inc.		3,434		185,127
TriQuint Semiconductor, Inc.†		51,948		990,648
				3,281,684
Semiconductor Equipment — 2.8%
Brooks Automation, Inc.		39,422		414,325
Cabot Microelectronics Corp.†		2,713		112,454
Cohu, Inc.		2,898		34,689
Kulicke & Soffa Industries, Inc.†		8,746		124,456
MKS Instruments, Inc.		6,051		201,983
Nanometrics, Inc.†		2,752		41,555
Photronics, Inc.†		19,200		154,560
Rudolph Technologies, Inc.†		164,385		1,487,684
Teradyne, Inc.		74,970		1,453,668
Tessera Technologies, Inc.		5,330		141,672
Ultra Clean Holdings, Inc.†		39,104		349,981
Ultratech, Inc.†		3,215		73,141
Veeco Instruments, Inc.†		47,133		1,647,298
				6,237,466
Shipbuilding — 0.3%
Huntington Ingalls Industries, Inc.		5,670		590,871
Steel-Producers — 0.7%
AK Steel Holding Corp.†		19,599		156,988
Carpenter Technology Corp.		8,735		394,385
Commercial Metals Co.		25,940		442,796
Steel Dynamics, Inc.		25,330		572,711
				1,566,880
Storage/Warehousing — 0.1%
Mobile Mini, Inc.		5,326		186,250
Telecom Equipment-Fiber Optics — 0.2%
Harmonic, Inc.†		71,959		456,220
Oplink Communications, Inc.		1,816		30,545
				486,765
Telecom Services — 0.7%
Consolidated Communications Holdings, Inc.		11,575		289,954
EarthLink Holdings Corp.		68,800		235,296
FairPoint Communications, Inc.†		10,300		156,251
Inteliquent, Inc.		28,800		358,560
Lumos Networks Corp.		2,146		34,872
NeuStar, Inc., Class A†		15,000		372,450
Spok Holdings, Inc.		2,473		32,174
				1,479,557

Security Description	Shares		Value (Note 2)
Telecommunication Equipment — 0.6%
8x8, Inc.†		10,122	$	67,615
Comtech Telecommunications Corp.		1,829		67,948
Plantronics, Inc.		26,890		1,284,804
				1,420,367
Telephone-Integrated — 0.1%
Atlantic Tele-Network, Inc.		1,145		61,716
Cincinnati Bell, Inc.†		23,855		80,391
General Communication, Inc., Class A†		3,511		38,305
				180,412
Textile-Apparel — 0.1%
Perry Ellis International, Inc.†		1,382		28,124
Unifi, Inc.†		4,900		126,910
				155,034
Therapeutics — 0.2%
Agios Pharmaceuticals, Inc.†		600		36,810
Anika Therapeutics, Inc.†		1,653		60,599
Cara Therapeutics, Inc.†		4,300		36,077
Egalet Corp.†		2,000		11,400
Kite Pharma, Inc.†		1,500		42,750
Mirati Therapeutics, Inc.†		8,500		148,835
Xencor, Inc.†		15,600		145,236
Zafgen, Inc.†		1,400		27,510
				509,217
Tobacco — 0.1%
Alliance One International, Inc.†		9,370		18,459
Universal Corp.		3,200		142,048
				160,507
Tools-Hand Held — 0.3%
Snap-on, Inc.		4,650		563,022
Transactional Software — 0.2%
ACI Worldwide, Inc.†		11,700		219,492
Bottomline Technologies de, Inc.†		4,310		118,913
Synchronoss Technologies, Inc.†		4,057		185,729
				524,134
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		2,882		95,164
Transport-Marine — 0.4%
Diana Shipping, Inc.†		46,290		413,833
Tidewater, Inc.		12,570		490,607
				904,440
Transport-Services — 0.5%
Bristow Group, Inc.		4,057		272,630
Era Group, Inc.†		2,205		47,959
Hub Group, Inc., Class A†		3,971		160,945
Matson, Inc.		24,505		613,360
UTi Worldwide, Inc.†		10,466		111,254
				1,206,148
Transport-Truck — 1.2%
ArcBest Corp.		9,958		371,433
Celadon Group, Inc.		4,489		87,311
Con-way, Inc.		3,200		152,000
Forward Air Corp.		3,517		157,667

246

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Transport-Truck (continued)
Heartland Express, Inc.		6,309	$	151,164
Knight Transportation, Inc.		6,932		189,867
Old Dominion Freight Line, Inc.†		14,500		1,024,280
Roadrunner Transportation Systems, Inc.†		3,158		71,971
Saia, Inc.†		2,817		139,611
Swift Transportation Co.†		7,500		157,350
USA Truck, Inc.†		8,600		150,758
				2,653,412
Travel Services — 0.1%
Interval Leisure Group, Inc.		9,144		174,193
Veterinary Diagnostics — 0.1%
Neogen Corp.†		4,191		165,544
Phibro Animal Health Corp., Class A		3,600		80,676
				246,220
Vitamins & Nutrition Products — 0.1%
Herbalife, Ltd.		1,100		48,125
USANA Health Sciences, Inc.†		3,400		250,444
				298,569
Water — 0.1%
American States Water Co.		4,416		134,335
Web Hosting/Design — 0.1%
NIC, Inc.		6,924		119,231
Q2 Holdings, Inc.†		1,700		23,800
				143,031
Web Portals/ISP — 0.1%
Blucora, Inc.†		11,792		179,710
Wire & Cable Products — 0.1%
Encore Wire Corp.		2,127		78,891
General Cable Corp.		5,552		83,724
				162,615
Wireless Equipment — 0.8%
CalAmp Corp.†		4,101		72,260
InterDigital, Inc.		22,320		888,782
RF Micro Devices, Inc.†		13,300		153,482
Ubiquiti Networks, Inc.		12,700		476,631
ViaSat, Inc.†		4,903		270,253
				1,861,408
Total Common Stocks (cost $187,952,234)				216,034,979
EXCHANGE-TRADED FUNDS — 1.4%
iShares Core S&P Small-Cap ETF		20,224		2,109,363
iShares Russell 2000 Value ETF		11,630		1,088,103
Total Exchange-Traded Funds (cost $3,355,138)				3,197,466

Security Description	Principal Amount			Value (Note 2)
U.S. GOVERNMENT TREASURIES — 0.2%
United States Treasury Notes — 0.2%
0.25% due 11/30/2014(3) (cost $345,091)	$	345,000		$	345,108
Total Long-Term Investment Securities (cost $191,652,463)					219,577,553
SHORT-TERM INVESTMENT SECURITIES — 1.2%
Time Deposits — 1.2%
Euro Time Deposit with State Street Bank & Trust Co. 0.01% due 10/01/2014 (cost $2,733,000)		2,733,000			2,733,000
REPURCHASE AGREEMENTS — 1.0%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $1,390,000 and collateralized by $1,530,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00%, due 01/30/2023 and having an approximate value of $1,417,825		1,390,000			1,390,000
State Street Bank & Trust Co. Joint Repurchase Agreement(4)		843,000			843,000
Total Repurchase Agreements (cost $2,233,000)					2,233,000
TOTAL INVESTMENTS (cost $196,618,463)(5)		99.9	%		224,543,553
Other assets less liabilities		0.1			277,032
NET ASSETS		100.0	%	$	224,820,585

†  Non-income producing security

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $0 representing 0.0% of net assets.

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

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

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

CVR — Contingent Value Rights

247

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	37	Long	Russell 2000 Mini Index	December 2014	$	4,239,433	$	4,057,420	$	(182,013	)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Banks-Commercial	$	24,424,657	$	—	$	—	$	24,424,657
Medical-Biomedical/Gene		3,042,909		—		0		3,042,909
Real Estate Investment Trusts		16,313,913		—		—		16,313,913
Other Industries*		172,253,500		—		—		172,253,500
Exchange-Traded Funds		3,197,466		—		—		3,197,466
Short-Term Investment Securities:
U.S. Government Treasuries		—		345,108		—		345,108
Time Deposits		—		2,733,000		—		2,733,000
Repurchase Agreements		—		2,233,000		—		2,233,000
Total	$	219,232,445	$	5,311,108	$	0	$	224,543,553
Liabilities:
Other Financial Instruments:+
Open Futures Contracts - Depreciation	$	182,013	$	—	$	—	$	182,013

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

248

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Banks-Commercial	8.7	%
Diversified Banking Institutions	6.8
Medical-Drugs	6.1
Oil Companies-Integrated	3.6
Auto-Cars/Light Trucks	3.5
Insurance-Life/Health	3.1
Repurchase Agreements	2.9
Telephone-Integrated	2.5
Insurance-Multi-line	2.2
Brewery	2.1
Tobacco	2.1
Chemicals-Diversified	1.9
Food-Misc./Diversified	1.7
Oil Companies-Exploration & Production	1.7
Electronic Components-Semiconductors	1.6
Real Estate Management/Services	1.6
Transport-Services	1.6
Metal-Diversified	1.4
Electric-Generation	1.3
Electric Products-Misc.	1.2
Cellular Telecom	1.2
Import/Export	1.2
Auto/Truck Parts & Equipment-Original	1.1
Diversified Manufacturing Operations	1.1
Cosmetics & Toiletries	1.1
Electric-Integrated	1.1
Semiconductor Components-Integrated Circuits	1.0
Beverages-Wine/Spirits	1.0
Wireless Equipment	1.0
Building-Heavy Construction	0.9
Soap & Cleaning Preparation	0.9
Diversified Operations	0.9
Electronic Components-Misc.	0.9
Machinery-General Industrial	0.8
Building-Residential/Commercial	0.8
Diversified Minerals	0.8
Optical Supplies	0.7
Electronic Measurement Instruments	0.7
Steel-Producers	0.7
Retail-Jewelry	0.7
Time Deposits	0.7
Chemicals-Specialty	0.7
Real Estate Investment Trusts	0.6
Airlines	0.6
Real Estate Operations & Development	0.6
Dialysis Centers	0.6
Exchange-Traded Funds	0.6
Pharmacy Services	0.6
Cable/Satellite TV	0.5
Web Portals/ISP	0.5
Consumer Products-Misc.	0.5
Commercial Services	0.5
Enterprise Software/Service	0.5
Leisure Products	0.5
Metal Processors & Fabrication	0.5
Advanced Materials	0.5
Gas-Transportation	0.5
Gas-Distribution	0.5
Casino Hotels	0.4
Computers-Integrated Systems	0.4
Oil Refining & Marketing	0.4
Transport-Marine	0.4

Advertising Agencies	0.4	%
Food-Retail	0.4
E-Commerce/Products	0.4
Independent Power Producers	0.4
Finance-Leasing Companies	0.4
Medical-Biomedical/Gene	0.4
Steel-Specialty	0.4
Retail-Apparel/Shoe	0.4
Finance-Other Services	0.3
Public Thoroughfares	0.3
Internet Application Software	0.3
Filtration/Separation Products	0.3
Respiratory Products	0.3
Retail-Major Department Stores	0.3
Coatings/Paint	0.3
Power Converter/Supply Equipment	0.3
Telecom Services	0.3
Rubber-Tires	0.3
Finance-Investment Banker/Broker	0.3
Transport-Rail	0.2
Applications Software	0.2
Insurance-Property/Casualty	0.2
Industrial Gases	0.2
Building Products-Cement	0.2
Insurance-Reinsurance	0.2
Airport Development/Maintenance	0.2
E-Commerce/Services	0.2
Aerospace/Defense	0.2
Machinery-Electrical	0.2
Audio/Video Products	0.2
Engineering/R&D Services	0.1
Building & Construction Products-Misc.	0.1
Aerospace/Defense-Equipment	0.1
Office Automation & Equipment	0.1
Machinery-Construction & Mining	0.1
Medical Products	0.1
Semiconductor Equipment	0.1
Medical-Generic Drugs	0.1
Agricultural Chemicals	0.1
Textile-Apparel	0.1
Retail-Misc./Diversified	0.1
Investment Management/Advisor Services	0.1
U.S. Government Treasuries	0.1
Industrial Automated/Robotic	0.1
Publishing-Periodicals	0.1
Machinery-Farming	0.1
Photo Equipment & Supplies	0.1
Food-Catering	0.1
Oil & Gas Drilling	0.1
Security Services	0.1
Auto-Heavy Duty Trucks	0.1
Building Products-Air & Heating	0.1
Electronics-Military	0.1
Publishing-Books	0.1
Multimedia	0.1
Athletic Footwear	0.1
Commercial Services-Finance	0.1
Transactional Software	0.1
	99.3	%

*  Calculated as a percentage of net assets

249

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Country Allocation*
Japan	18.7	%
United Kingdom	16.7
Germany	7.7
France	6.9
Switzerland	5.8
United States	4.6
Netherlands	4.4
Hong Kong	3.8
Sweden	3.2
Italy	2.6
Australia	2.4
Jersey	2.3
Spain	2.1
Denmark	2.0
Cayman Islands	1.4
India	1.3
South Korea	1.2
Luxembourg	1.2
Norway	1.1
Canada	1.1
Brazil	1.1
Taiwan	1.0
Indonesia	0.9
Thailand	0.8
Bermuda	0.7
Mexico	0.5
Singapore	0.5
Finland	0.4
China	0.4
Belgium	0.4
Portugal	0.4
New Zealand	0.3
Philippines	0.3
Greece	0.3
Austria	0.3
Israel	0.2
Turkey	0.2
Ireland	0.1
	99.3	%

*  Calculated as a percentage of net assets

250

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 93.3%
Australia — 2.4%
AGL Energy, Ltd.		11,326	$	134,269
Amcor, Ltd.		19,221		190,672
AMP, Ltd.		49,222		235,306
APA Group		15,323		99,815
Asciano, Ltd.		17,680		93,652
ASX, Ltd.		4,383		137,614
Aurizon Holdings, Ltd.		36,666		145,426
AusNet Services		43,958		52,535
Australia & New Zealand Banking Group, Ltd.		41,282		1,117,587
Bendigo and Adelaide Bank, Ltd.		9,146		95,453
BGP Holdings PLC†(1)(5)		98,723		0
BHP Billiton, Ltd.		49,301		1,462,015
Boral, Ltd.		17,176		74,741
Brambles, Ltd.		26,238		218,700
CFS Retail Property Trust Group		42,002		73,366
Coca-Cola Amatil, Ltd.		10,987		84,461
Cochlear, Ltd.		1,308		79,604
Commonwealth Bank of Australia		24,320		1,603,179
Computershare, Ltd.		10,034		106,829
Crown Resorts, Ltd.		7,544		91,151
CSL, Ltd.		7,251		470,877
Dexus Property Group		90,651		88,100
Federation Centres		31,668		71,535
Fortescue Metals Group, Ltd.		26,420		80,499
Goodman Group		31,570		142,905
GPT Group		30,461		103,213
Incitec Pivot, Ltd.		36,736		87,165
Insurance Australia Group, Ltd.†		39,237		210,246
Lend Lease Group		10,146		127,387
Macquarie Group, Ltd.		4,643		234,114
Mirvac Group		62,272		93,778
National Australia Bank, Ltd.		35,389		1,008,247
Newcrest Mining, Ltd.†		13,610		125,716
Orica, Ltd.		6,984		115,571
Origin Energy, Ltd.		18,678		244,812
QBE Insurance Group, Ltd.		21,570		220,206
Ramsay Health Care, Ltd.		2,347		102,931
Rio Tinto, Ltd.		6,836		356,602
Santos, Ltd.		16,262		194,636
Scentre Group†		82,902		238,078
Seek, Ltd.		5,257		74,611
Sonic Healthcare, Ltd.		7,702		118,281
Stockland†		40,010		138,371
Suncorp Group, Ltd.		19,551		240,335
Sydney Airport		19,532		73,022
Tatts Group, Ltd.		34,887		96,218
Telstra Corp., Ltd.		66,514		308,653
Transurban Group		28,520		192,774
Wesfarmers, Ltd.		17,481		645,280
Westfield Corp.†		29,765		194,153
Westpac Banking Corp.		46,680		1,313,584
Woodside Petroleum, Ltd.		11,422		406,022
Woolworths, Ltd.		18,948		568,039
				14,782,336

Security Description	Shares		Value (Note 2)
Austria — 0.3%
Andritz AG		25,843	$	1,378,104
Erste Group Bank AG		4,661		106,762
OMV AG		3,353		112,842
Voestalpine AG		2,244		88,713
				1,686,421
Belgium — 0.4%
Ageas		4,725		156,867
Anheuser-Busch InBev NV		12,079		1,344,393
Belgacom SA		2,352		81,872
Colruyt SA		1,325		58,382
Delhaize Group SA		1,844		128,285
Groupe Bruxelles Lambert SA		1,440		131,972
KBC Groep NV†		4,078		217,180
Solvay SA		1,013		155,967
UCB SA		2,062		187,205
Umicore SA		1,898		83,029
				2,545,152
Bermuda — 0.7%
Cheung Kong Infrastructure Holdings, Ltd.		365,000		2,564,215
Kunlun Energy Co., Ltd.		900,000		1,298,158
Li & Fung, Ltd.		100,000		113,589
Noble Group, Ltd.		87,000		88,657
NWS Holdings, Ltd.		35,000		63,105
Seadrill, Ltd.		6,121		164,154
				4,291,878
Brazil — 0.6%
AMBEV SA		312,400		2,047,144
BB Seguridade Participacoes SA		116,900		1,537,812
				3,584,956
Canada — 1.1%
Athabasca Oil Corp.†		164,029		839,222
Catamaran Corp.†		81,804		3,445,417
MEG Energy Corp.†		40,612		1,246,699
Teck Resources, Ltd., Class B		70,922		1,343,145
				6,874,483
Cayman Islands — 1.4%
Alibaba Group Holding. Ltd. ADR†		25,950		2,305,657
Baidu, Inc. ADR†		14,300		3,120,689
Ctrip.com International, Ltd. ADR†		17,674		1,003,176
MGM China Holdings, Ltd.		16,800		48,140
Sands China, Ltd.		36,400		189,856
Tencent Holdings, Ltd.		140,500		2,086,280
Wynn Macau, Ltd.		26,800		85,251
				8,839,049
China — 0.4%
Beijing Capital International Airport Co., Ltd., Class H		1,338,000		1,023,551
Travelsky Technology, Ltd.		1,491,000		1,609,121
				2,632,672
Denmark — 2.0%
AP Moeller - Maersk A/S, Series B		1,059		2,515,631
Carlsberg A/S, Class B		1,900		168,930

251

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Denmark (continued)
Coloplast A/S, Class B		1,873	$	156,996
Danske Bank A/S		10,159		276,145
DSV A/S		3,821		107,624
H. Lundbeck A/S		72,000		1,607,724
Novo Nordisk A/S, Class B		97,315		4,656,418
Novozymes A/S, Class B		3,831		166,213
Pandora A/S		1,874		146,936
TDC A/S		276,465		2,099,681
Vestas Wind Systems A/S†		3,592		140,424
				12,042,722
Finland — 0.4%
Elisa Oyj		3,213		85,303
Fortum Oyj†		6,540		159,507
Kone Oyj, Class B		5,132		206,256
Metso Oyj		2,288		81,494
Nokia Oyj		59,208		505,157
Orion Oyj, Class B		1,837		71,927
Outokumpu Oyj†		141,413		985,937
Sampo Oyj, Class A		6,608		320,496
UPM-Kymmene Oyj		9,772		139,594
Wartsila Oyj Abp		2,755		123,286
				2,678,957
France — 6.9%
Accor SA		2,863		126,980
Air Liquide SA		5,210		635,478
Alcatel-Lucent†		46,485		144,258
Alstom SA†		3,574		122,243
AtoS		1,480		107,243
AXA SA		158,969		3,917,332
BNP Paribas SA		79,206		5,254,163
Bollore SA		81		46,018
Bouygues SA		3,246		105,223
Bureau Veritas SA		3,496		77,251
Cap Gemini SA		2,366		169,829
Carrefour SA		10,048		310,425
Casino Guichard Perrachon SA		908		97,792
Christian Dior SA		911		152,690
Cie de St-Gobain		7,176		328,421
Cie Generale des Etablissements Michelin		2,914		274,862
Credit Agricole SA		16,146		243,597
Danone SA		8,762		586,543
Dassault Systemes		1,968		126,422
Edenred		112,331		2,771,620
Electricite de France SA		104,137		3,415,842
Essilor International SA		37,886		4,160,247
Eutelsat Communications SA		3,098		100,034
GDF Suez		22,129		555,088
Gecina SA†		514		67,355
Groupe Eurotunnel SA		8,502		103,862
ICADE		746		62,913
Iliad SA		386		81,711
Kering		8,985		1,811,789
Klepierre		1,632		71,465
L'Oreal SA		3,676		583,622

Security Description	Shares		Value (Note 2)
France (continued)
Lafarge SA		2,888	$	207,991
Legrand SA		4,336		225,608
LVMH Moet Hennessy Louis Vuitton SA		4,237		688,744
Natixis		16,645		114,536
Orange SA		29,116		437,806
Pernod Ricard SA		3,282		371,588
Peugeot SA†		6,077		77,945
Publicis Groupe SA		3,075		211,167
Renault SA		3,155		228,535
Rexel SA		5,203		97,096
Safran SA		4,239		275,092
Sanofi		18,221		2,061,138
Schneider Electric SE		24,707		1,897,336
SCOR SE		3,003		93,818
Societe BIC SA		521		67,187
Societe Generale SA		86,535		4,417,828
Sodexo		1,678		164,211
Suez Environnement Co.		5,428		91,834
Technip SA		1,736		146,053
Thales SA		1,511		80,490
Total SA		32,702		2,125,105
Unibail-Rodamco SE (Euronext Amsterdam)		1,446		372,032
Unibail-Rodamco SE (Euronext Paris)		73		18,782
Valeo SA		1,350		150,238
Veolia Environnement SA		6,484		114,491
Vinci SA		7,252		421,389
Vivendi SA		18,907		456,595
Zodiac Aerospace		3,322		105,966
				42,332,919
Germany — 6.5%
adidas AG		3,544		265,218
Allianz SE		5,885		954,032
BASF SE†		14,124		1,295,670
Bayer AG		12,723		1,782,140
Bayerische Motoren Werke AG		5,247		563,447
Beiersdorf AG		1,543		128,899
Brenntag AG		68,523		3,367,583
Commerzbank AG†		99,408		1,486,599
Continental AG		1,745		332,036
Daimler AG		41,790		3,205,504
Deutsche Bank AG		102,541		3,597,264
Deutsche Boerse AG		21,476		1,446,591
Deutsche Lufthansa AG		4,259		67,268
Deutsche Post AG		15,201		487,479
Deutsche Telekom AG		47,693		722,864
Deutsche Wohnen AG		5,216		111,470
E.ON SE		31,327		573,532
Fresenius Medical Care AG & Co. KGaA		3,347		233,777
Fresenius SE & Co. KGaA		69,112		3,421,408
GEA Group AG†		3,511		153,192
Hannover Rueck SE		1,141		92,262
HeidelbergCement AG		2,343		154,832
Henkel AG & Co. KGaA		1,933		180,645

252

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Germany (continued)
Hugo Boss AG†		565	$	70,620
Infineon Technologies AG		19,726		204,128
K+S AG		2,749		77,967
Kabel Deutschland Holding AG†		449		61,021
LANXESS AG		1,651		91,138
Linde AG		2,828		543,466
MAN SE		584		65,722
Merck KGaA		2,069		190,846
Metro AG†		2,852		93,946
MorphoSys AG†		17,187		1,686,498
Muenchener Rueckversicherungs AG		2,600		514,099
ProSiebenSat.1 Media AG		4,081		162,625
RWE AG		7,762		302,496
SAP SE		41,094		2,963,707
Siemens AG		40,438		4,819,970
ThyssenKrupp AG†		124,559		3,268,412
United Internet AG		2,185		92,990
				39,833,363
Greece — 0.3%
National Bank of Greece SA†		581,437		1,703,771
Guernsey — 0.0%
Friends Life Group, Ltd.		23,529		117,522
Hong Kong — 3.8%
AIA Group, Ltd.		1,393,200		7,203,871
Bank of East Asia, Ltd.		17,600		71,512
BOC Hong Kong Holdings, Ltd.		62,500		199,215
Cathay Pacific Airways, Ltd.		1,060,000		1,954,861
Cheung Kong Holdings, Ltd.		21,000		345,635
China Overseas Land & Investment, Ltd.		750,000		1,927,919
China Resources Power Holdings Co., Ltd.		734,000		1,980,373
CLP Holdings, Ltd.		31,000		248,723
Galaxy Entertainment Group, Ltd.		37,000		214,904
Hang Lung Properties, Ltd.		38,000		107,909
Hang Seng Bank, Ltd.		11,700		188,047
Henderson Land Development Co., Ltd.		16,500		106,886
Hong Kong & China Gas Co., Ltd.		99,700		216,224
Hong Kong Exchanges and Clearing, Ltd.		17,400		374,897
Hutchison Whampoa, Ltd.		32,000		387,387
Hysan Development Co., Ltd.		13,000		60,104
Link REIT		37,000		213,475
Melco International Development		1,720,000		3,987,199
MTR Corp., Ltd.		29,500		115,685
New World Development Co., Ltd.		98,000		114,094
Power Assets Holdings, Ltd.		22,500		199,215
Sino Land Co., Ltd.		54,000		83,870
SJM Holdings, Ltd.		1,252,000		2,386,344
Sun Hung Kai Properties, Ltd.		26,000		368,661
Swire Pacific, Ltd., Class A		9,500		122,591
Swire Properties, Ltd.		20,800		64,959
Techtronic Industries Co.		26,000		75,340

Security Description	Shares		Value (Note 2)
Hong Kong (continued)
Wharf Holdings, Ltd.		24,000	$	170,770
Wheelock & Co., Ltd.		17,000		81,334
				23,572,004
India — 1.3%
ICICI Bank, Ltd. ADR		109,914		5,396,777
Reliance Industries, Ltd. GDR*		81,795		2,494,748
				7,891,525
Indonesia — 0.9%
Bank Negara Indonesia Persero Tbk PT		4,895,818		2,219,893
Indofood Sukses Makmur Tbk PT		5,303,600		3,046,795
				5,266,688
Ireland — 0.1%
Bank of Ireland†		473,907		186,155
CRH PLC		12,378		283,133
James Hardie Industries PLC CDI		9,298		97,446
Kerry Group PLC, Class A (ISE)		2,360		166,388
Kerry Group PLC, Class A (LSE)		104		7,373
				740,495
Isle of Man — 0.0%
Genting Singapore PLC		121,000		108,129
Israel — 0.2%
Bank Hapoalim BM		27,092		152,785
Bank Leumi Le-Israel BM†		34,883		141,315
Bezeq The Israeli Telecommunication Corp., Ltd.		44,046		76,074
Teva Pharmaceutical Industries, Ltd.		13,639		735,842
				1,106,016
Italy — 2.6%
Assicurazioni Generali SpA		18,605		391,494
Atlantia SpA		6,739		166,404
Banca Monte dei Paschi di Siena SpA†		72,000		94,941
Banco Popolare SC†		6,027		88,532
Enel Green Power SpA		31,116		79,624
Enel SpA†		100,672		534,300
Eni SpA		38,934		927,944
ENI SpA ADR		56,200		2,655,450
Exor SpA		1,927		74,818
Fiat SpA†		15,033		145,064
Intesa Sanpaolo SpA		192,289		584,347
Luxottica Group SpA		2,476		128,908
Mediobanca SpA†		10,810		92,981
Saipem SpA†		4,590		97,628
Snam SpA		490,864		2,715,539
Telecom Italia SpA†		161,307		184,893
Telecom Italia SpA RSP		93,664		83,226
Terna Rete Elettrica Nazionale SpA		25,031		125,892
UniCredit SpA		808,227		6,390,405
Unione di Banche Italiane SCpA		15,588		131,125
				15,693,515
Japan — 18.7%
Aeon Co., Ltd.		11,900		118,485
Aisin Seiki Co., Ltd.		3,600		129,820

253

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Ajinomoto Co., Inc.		10,000	$	166,401
Aozora Bank, Ltd.		21,000		71,037
Asahi Glass Co., Ltd.		18,000		97,586
Asahi Group Holdings, Ltd.		5,900		170,692
Asahi Kasei Corp.		330,000		2,679,116
Astellas Pharma, Inc.		33,500		498,796
Bandai Namco Holdings, Inc.		2,900		74,434
Bank of Kyoto, Ltd.		9,000		74,757
Bank of Yokohama, Ltd.		483,000		2,656,445
Bridgestone Corp.		10,100		333,551
Brother Industries, Ltd.		4,600		85,101
Canon, Inc.		17,900		582,739
Casio Computer Co., Ltd.		3,800		63,336
Central Japan Railway Co.		2,200		297,178
Chiba Bank, Ltd.†		17,000		118,268
Chubu Electric Power Co., Inc.†		11,300		129,717
Chugai Pharmaceutical Co., Ltd.		3,800		110,007
Chugoku Electric Power Co., Inc.†		5,700		73,072
Dai Nippon Printing Co., Ltd.		12,000		120,301
Dai-ichi Life Insurance Co., Ltd.		17,800		264,221
Daicel Corp.		7,000		76,015
Daihatsu Motor Co., Ltd.		4,400		69,846
Daiichi Sankyo Co., Ltd.		10,500		164,764
Daikin Industries, Ltd.		3,800		235,536
Daito Trust Construction Co., Ltd.		1,100		129,934
Daiwa House Industry Co., Ltd.		120,500		2,161,694
Daiwa Securities Group, Inc.		27,000		213,907
Denso Corp.		8,000		368,726
Dentsu, Inc.		3,500		133,235
Don Quijote Holdings Co., Ltd.		1,400		80,292
East Japan Railway Co.		5,100		382,238
Eisai Co., Ltd.		4,200		169,838
Electric Power Development Co., Ltd.		2,100		68,644
FANUC Corp.		3,000		541,874
Fast Retailing Co., Ltd.		900		301,204
Fuji Heavy Industries, Ltd.		9,200		304,164
FUJIFILM Holdings Corp.		7,600		233,526
Fujitsu, Ltd.		29,000		178,482
Fukuoka Financial Group, Inc.		18,000		85,835
Hachijuni Bank, Ltd.		12,000		72,104
Hamamatsu Photonics KK		1,400		66,506
Hankyu Hanshin Holdings, Inc.†		23,000		134,005
Hino Motors, Ltd.		5,500		76,927
Hirose Electric Co., Ltd.†		600		74,073
Hitachi Metals, Ltd.		4,000		72,067
Hitachi, Ltd.		586,000		4,474,812
Hokuhoku Financial Group, Inc.		37,000		72,532
Honda Motor Co., Ltd.		25,400		880,055
Hoya Corp.		7,400		248,567
IHI Corp.		24,000		124,294
Iida Group Holdings Co., Ltd.		37,913		463,909
Inpex Corp.		343,600		4,854,417
Isetan Mitsukoshi Holdings, Ltd.		6,800		88,538
Isuzu Motors, Ltd.		10,500		148,393
ITOCHU Corp.		24,300		296,895
Iyo Bank, Ltd.		8,100		81,979

Security Description	Shares		Value (Note 2)
Japan (continued)
J. Front Retailing Co., Ltd.		5,600	$	73,271
Japan Exchange Group, Inc.		4,500		106,802
Japan Real Estate Investment Corp.		22		113,134
Japan Retail Fund Investment Corp.		41		82,617
Japan Tobacco, Inc.		224,300		7,294,991
JFE Holdings, Inc.		8,300		165,622
JGC Corp.		4,000		109,195
Joyo Bank, Ltd.		19,000		93,549
JSR Corp.		4,400		76,747
JTEKT Corp.		4,800		80,266
JX Holdings, Inc.		40,700		187,589
Kajima Corp.		14,000		67,016
Kansai Electric Power Co., Inc.†		11,700		110,573
Kansai Paint Co., Ltd.		128,000		1,911,685
Kao Corp.		7,800		304,141
Kawasaki Heavy Industries, Ltd.		28,000		111,821
KDDI Corp.		9,000		541,026
Keikyu Corp.		11,000		91,871
Keio Corp.†		14,000		103,524
Keyence Corp.		9,800		4,259,102
Kikkoman Corp.		3,000		63,761
Kintetsu Corp.		37,000		124,486
Kirin Holdings Co., Ltd.		13,200		175,298
Kobe Steel, Ltd.		56,000		90,887
Komatsu, Ltd.		14,700		339,973
Konica Minolta, Inc.		8,900		96,080
Kubota Corp.		18,000		284,340
Kuraray Co., Ltd.		8,200		96,150
Kyocera Corp.		5,200		242,327
Kyushu Electric Power Co., Inc.†		6,500		70,052
Lawson, Inc.		1,300		90,914
LIXIL Group Corp.		4,500		96,134
Makita Corp.		1,900		107,408
Marubeni Corp.		28,000		191,679
Mazda Motor Corp.		8,500		213,052
McDonald's Holdings Co. Japan, Ltd.		2,100		51,947
MEIJI Holdings Co., Ltd.		1,200		94,862
Mitsubishi Chemical Holdings Corp.		26,800		131,856
Mitsubishi Corp.		148,100		3,032,894
Mitsubishi Electric Corp.		30,000		399,498
Mitsubishi Estate Co., Ltd.		154,000		3,466,141
Mitsubishi Heavy Industries, Ltd.		48,000		308,811
Mitsubishi Materials Corp.		20,000		64,737
Mitsubishi Motors Corp.		10,300		124,999
Mitsubishi UFJ Financial Group, Inc.		199,300		1,127,019
Mitsui & Co., Ltd.		27,100		427,349
Mitsui Fudosan Co., Ltd.		15,000		459,471
Mitsui OSK Lines, Ltd.		25,000		79,781
Mizuho Financial Group, Inc.		350,300		625,701
Mori Hills REIT Investment Corp		689		957,407
MS&AD Insurance Group Holdings, Inc.		8,500		185,423
Murata Manufacturing Co., Ltd.		3,200		363,839
NEC Corp.		45,000		155,505
NGK Insulators, Ltd.		5,000		119,079
NGK Spark Plug Co., Ltd.		201,800		5,933,941
NH Foods, Ltd.†		3,000		63,624

254

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Nidec Corp.		40,100	$	2,712,943
Nikon Corp.		6,000		86,711
Nintendo Co., Ltd.		1,800		195,797
Nippon Building Fund, Inc.		25		131,525
Nippon Express Co., Ltd.		19,000		79,517
Nippon Paint Co., Ltd.		3,000		67,426
Nippon Steel & Sumitomo Metal Corp.		121,000		313,988
Nippon Telegraph & Telephone Corp.		5,800		360,718
Nippon Yusen KK		31,000		81,687
Nissan Motor Co., Ltd.		189,200		1,844,129
Nissin Foods Holdings Co., Ltd.		1,300		67,563
Nitori Holdings Co., Ltd.		1,400		86,674
Nitto Denko Corp.		2,800		153,563
Nomura Holdings, Inc.		58,700		349,925
Nomura Research Institute, Ltd.		2,400		77,575
NSK, Ltd.		169,000		2,405,370
NTT Data Corp.		2,500		90,039
NTT DOCOMO, Inc.		23,500		392,220
Obayashi Corp.		10,000		68,475
OBIC Co., Ltd.†		71,800		2,566,273
Odakyu Electric Railway Co., Ltd.		13,000		118,888
Oji Holdings Corp.		19,000		71,894
Olympus Corp.†		4,200		150,691
Omron Corp.		3,700		168,005
Ono Pharmaceutical Co., Ltd.		1,300		115,450
Oriental Land Co., Ltd.		800		151,247
ORIX Corp.		161,500		2,227,942
Osaka Gas Co., Ltd.		35,000		140,638
Otsuka Holdings Co., Ltd.		6,400		220,579
Panasonic Corp.		35,100		417,488
Rakuten, Inc.		12,900		148,554
Resona Holdings, Inc.		37,100		209,187
Ricoh Co., Ltd.		12,100		129,964
Rinnai Corp.		700		58,145
Rohm Co., Ltd.		1,600		100,661
Santen Pharmaceutical Co., Ltd.		1,600		89,574
Secom Co., Ltd.		3,500		208,484
Sega Sammy Holdings, Inc.		182,000		2,928,926
Seiko Epson Corp.		2,200		105,712
Sekisui Chemical Co., Ltd.		9,000		103,232
Sekisui House, Ltd.		9,900		116,625
Seven & I Holdings Co., Ltd.		11,400		442,175
Seven Bank, Ltd.		1,036,103		4,222,822
Sharp Corp.†		29,000		82,498
Shimano, Inc.		1,400		170,285
Shimizu Corp.		11,000		86,756
Shin-Etsu Chemical Co., Ltd.		36,300		2,372,449
Shinsei Bank, Ltd.		35,000		74,994
Shionogi & Co., Ltd.		5,000		114,703
Shiseido Co., Ltd.		6,300		103,942
Shizuoka Bank, Ltd.†		12,000		123,529
SMC Corp.		900		248,233
SoftBank Corp.		47,500		3,330,089
Sompo Japan Nipponkoa Holdings, Inc.		5,800		140,723

Security Description	Shares		Value (Note 2)
Japan (continued)
Sony Corp.		16,100	$	292,274
Sony Financial Holdings, Inc.		4,700		76,023
Stanley Electric Co., Ltd.		3,200		69,208
Sumco Corp.		213,800		2,581,000
Sumitomo Chemical Co., Ltd.		26,000		92,692
Sumitomo Corp.		260,800		2,878,490
Sumitomo Electric Industries, Ltd.		12,900		190,604
Sumitomo Metal Mining Co., Ltd.		9,000		126,702
Sumitomo Mitsui Financial Group, Inc.		19,600		799,012
Sumitomo Mitsui Trust Holdings, Inc.		53,000		220,602
Sumitomo Realty & Development Co., Ltd.		5,000		177,912
Suntory Beverage & Food, Ltd.		2,200		78,031
Suruga Bank, Ltd.†		4,000		79,726
Suzuki Motor Corp.		6,000		198,888
Sysmex Corp.		2,500		100,524
T&D Holdings, Inc.		10,900		139,983
Taiheiyo Cement Corp.		23,000		86,820
Taisei Corp.		18,000		101,591
Takeda Pharmaceutical Co., Ltd.		12,400		539,076
TDK Corp.		2,300		128,343
Terumo Corp.		5,800		139,031
Tobu Railway Co., Ltd.†		25,000		125,826
Toho Co., Ltd.		3,000		67,837
Tohoku Electric Power Co., Inc.		8,200		93,159
Tokio Marine Holdings, Inc.		10,900		338,156
Tokyo Electric Power Co., Inc.†		24,000		84,030
Tokyo Electron, Ltd.		2,700		176,217
Tokyo Gas Co., Ltd.		37,000		207,983
Tokyo Tatemono Co., Ltd.		8,000		64,700
Tokyu Corp.		21,000		137,670
Tokyu Fudosan Holdings Corp.		8,400		57,596
Toppan Printing Co., Ltd.		14,000		100,588
Toray Industries, Inc.		25,000		165,261
Toshiba Corp.		593,000		2,747,778
TOTO, Ltd.		7,000		76,973
Toyota Industries Corp.		3,000		144,974
Toyota Motor Corp.		94,600		5,574,651
Toyota Tsusho Corp.		4,300		104,760
Trend Micro, Inc.		2,300		77,803
Unicharm Corp.		6,300		143,635
United Urban Investment Corp.		48		73,658
USS Co., Ltd.		5,100		78,122
West Japan Railway Co.		3,100		138,769
Yahoo Japan Corp.		23,700		90,111
Yakult Honsha Co., Ltd.		1,700		89,282
Yamaha Motor Co., Ltd.		4,500		88,010
Yamato Holdings Co., Ltd.		6,000		111,685
				115,268,822
Jersey — 2.3%
Experian PLC		15,848		252,681
Genel Energy Plc†		28,584		390,174
Glencore PLC		976,860		5,435,041
Kennedy Wilson Europe Real Estate PLC		245,013		4,337,455
Petrofac, Ltd.		4,937		82,998

255

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Jersey (continued)
Randgold Resources, Ltd.		1,296	$	88,432
Shire PLC		9,075		785,617
Wolseley PLC		4,242		222,950
WPP PLC		132,710		2,667,771
				14,263,119
Luxembourg — 1.2%
Altice SA†		1,348		71,390
APERAM†		34,449		1,075,370
ArcelorMittal		16,021		220,565
L'Occitane International SA		957,500		2,197,422
Millicom International Cellular SA SDR		1,255		100,786
RTL Group SA		835		71,600
Samsonite International SA		1,018,700		3,273,285
SES SA FDR		5,126		177,236
Subsea 7 SA		5,391		76,987
Tenaris SA		8,251		189,149
				7,453,790
Mauritius — 0.0%
Golden Agri-Resources, Ltd.		138,000		55,711
Mexico — 0.5%
Mexico Real Estate Management SA de CV*		839,900		1,482,121
OHL Mexico SAB de CV†		610,478		1,656,820
				3,138,941
Netherlands — 4.4%
Aegon NV		353,500		2,916,462
Airbus Group NV		8,919		561,230
Akzo Nobel NV		4,041		276,891
ASML Holding NV		5,639		561,383
CNH Industrial NV†		18,038		143,532
Delta Lloyd NV		4,634		111,763
Gemalto NV		1,367		125,489
Heineken Holding NV		62,784		4,152,907
Heineken NV		3,653		273,329
ING Groep NV CVA†		214,692		3,066,897
Koninklijke Ahold NV		14,938		241,881
Koninklijke Boskalis Westminster NV		1,819		102,422
Koninklijke DSM NV		2,777		171,358
Koninklijke KPN NV		51,857		166,168
Koninklijke Philips NV		15,355		489,993
Koninklijke Vopak NV		48,559		2,620,430
LyondellBasell Industries NV, Class A		42,058		4,570,022
QIAGEN NV†		4,275		97,354
Randstad Holding NV		2,389		111,222
Reed Elsevier NV		11,882		269,686
STMicroelectronics NV		10,840		83,792
TNT Express NV		442,122		2,799,930
Unilever NV CVA		79,668		3,172,697
Wolters Kluwer NV†		6,042		161,174
Ziggo NV		2,756		129,109
				27,377,121

Security Description	Shares		Value (Note 2)
New Zealand — 0.3%
Air New Zealand, Ltd.		1,266,734	$	1,918,419
Fletcher Building, Ltd.		13,296		91,132
Spark New Zealand, Ltd.		36,418		84,436
				2,093,987
Norway — 1.1%
DNB ASA		207,476		3,884,877
Gjensidige Forsikring ASA		4,351		92,035
Norsk Hydro ASA		22,273		124,595
Orkla ASA		13,292		120,202
Statoil ASA		16,415		447,630
Storebrand ASA†		353,513		1,967,645
Telenor ASA		11,889		260,920
Yara International ASA		2,813		141,246
				7,039,150
Philippines — 0.3%
LT Group, Inc.		5,945,000		2,071,858
Portugal — 0.4%
Banco Comercial Portugues SA†		610,376		79,869
Banco Espirito Santo SA†(2)		59,101		8,958
EDP - Energias de Portugal SA		35,272		153,921
Galp Energia SGPS SA		134,284		2,182,848
Jeronimo Martins SGPS SA		5,496		60,518
				2,486,114
Singapore — 0.5%
Ascendas Real Estate Investment Trust		47,000		82,896
CapitaLand, Ltd.		47,000		117,896
CapitaMall Trust†		54,000		80,850
ComfortDelGro Corp., Ltd.		43,000		80,897
DBS Group Holdings, Ltd.		26,000		375,417
Global Logistic Properties, Ltd.		52,000		110,465
Keppel Corp., Ltd.		24,000		197,539
Oversea-Chinese Banking Corp., Ltd.		46,000		351,211
Sembcorp Industries, Ltd.		23,000		93,392
Singapore Airlines, Ltd.		16,000		123,415
Singapore Exchange, Ltd.		22,000		124,684
Singapore Press Holdings, Ltd.†		37,000		121,815
Singapore Technologies Engineering, Ltd.		34,000		97,280
Singapore Telecommunications, Ltd.		117,000		348,514
United Overseas Bank, Ltd.		19,000		333,621
Wilmar International, Ltd.		38,000		92,043
				2,731,935
South Korea — 1.2%
Samsung Electronics Co., Ltd.		2,002		2,246,262
SK Hynix, Inc.†		46,278		2,050,222
SK Telecom Co., Ltd.†		11,692		3,213,153
				7,509,637
Spain — 2.1%
Abertis Infraestructuras SA		6,542		129,231
ACS Actividades de Construccion y Servicios SA		38,369		1,474,213
Amadeus IT Holding SA, Class A		6,276		234,795
Banco Bilbao Vizcaya Argentaria SA		410,578		4,952,965
Banco de Sabadell SA		54,898		162,530

256

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Spain (continued)
Banco Popular Espanol SA		28,902	$	176,938
Banco Santander SA†		181,086		1,740,794
Bankia SA†		71,151		132,824
CaixaBank SA		28,065		170,892
Distribuidora Internacional de Alimentacion SA		12,535		89,991
Enagas SA		3,141		101,284
Ferrovial SA†		6,730		130,523
Gas Natural SDG SA		5,120		150,742
Grifols SA		2,685		110,013
Iberdrola SA		74,724		535,136
Inditex SA		17,110		472,736
International Consolidated Airlines Group SA†		21,285		126,758
Obrascon Huarte Lain SA		22,144		740,759
Red Electrica Corp. SA		1,757		152,147
Repsol SA		16,125		382,894
Telefonica SA		62,221		963,099
				13,131,264
Sweden — 3.2%
Alfa Laval AB		97,148		2,078,666
Assa Abloy AB, Class B		5,234		270,259
Atlas Copco AB, Class A		8,687		249,197
Atlas Copco AB, Class B		7,329		190,335
Boliden AB		5,823		94,495
Electrolux AB, Series B		3,621		95,794
Elekta AB, Series B		7,716		76,080
Getinge AB, Class B		3,310		83,530
Hennes & Mauritz AB, Class B		14,482		601,075
Hexagon AB, Class B		72,777		2,309,580
Investment AB Kinnevik, Class B		3,825		138,190
Investor AB, Class B		6,741		238,401
Lundin Petroleum AB†		3,696		62,539
Nordea Bank AB†		44,672		581,305
Sandvik AB		17,468		197,048
Securitas AB, Class B		5,665		62,923
Skandinaviska Enskilda Banken AB, Class A		22,303		297,950
Skanska AB, Class B		6,648		137,548
SKF AB, Class B		6,739		140,738
Svenska Cellulosa AB SCA, Class B		9,191		219,203
Svenska Handelsbanken AB, Class A		7,248		341,006
Swedbank AB, Class A		13,472		339,227
Swedish Match AB		3,184		103,251
Swedish Orphan Biovitrum AB†		153,113		1,634,889
Tele2 AB, Class B		5,702		68,865
Telefonaktiebolaget LM Ericsson, Class B		417,938		5,305,310
TeliaSonera AB		492,490		3,407,026
Volvo AB, Class B		23,310		253,419
				19,577,849
Switzerland — 5.8%
ABB, Ltd.		34,474		775,638
Actelion, Ltd.		1,531		180,089
Adecco SA		3,039		206,430

Security Description	Shares		Value (Note 2)
Switzerland (continued)
Aryzta AG		1,552	$	133,872
Baloise Holding AG		1,024		131,392
Chocoladefabriken Lindt & Spruengli AG		2		118,749
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate)		13		64,966
Cie Financiere Richemont SA		44,852		3,680,899
Coca-Cola HBC AG CDI		3,337		72,112
Credit Suisse Group AG		24,510		679,564
Geberit AG		603		195,042
Givaudan SA		143		228,872
Holcim, Ltd.		3,683		268,693
Julius Baer Group, Ltd.		3,863		173,384
Kuehne & Nagel International AG		938		118,490
Lonza Group AG		1,087		131,392
Nestle SA		48,821		3,592,412
Novartis AG		34,925		3,297,883
Novartis AG ADR		32,000		3,012,160
Panalpina Welttransport Holding AG		29,369		3,694,581
Partners Group Holding AG		315		82,982
Roche Holding AG		36,518		10,828,790
Schindler Holding AG		1,086		147,424
SGS SA		93		192,975
Sika AG (BR)		38		131,828
Sonova Holding AG		977		156,164
Swatch Group AG(TRQX)		1,050		91,945
Swatch Group AG(XEGT)		463		220,224
Swiss Life Holding AG†		566		135,290
Swiss Prime Site AG		1,161		86,221
Swiss Re AG		5,445		434,311
Swisscom AG		379		215,363
Syngenta AG		1,467		467,590
Transocean, Ltd.		6,495		210,150
UBS AG		57,095		996,337
Zurich Insurance Group AG		2,253		672,101
				35,826,315
Taiwan — 1.0%
Siliconware Precision Industries Co. ADR		1		7
Taiwan Semiconductor Manufacturing Co., Ltd.†		1,152,000		4,544,453
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		79,000		1,594,220
				6,138,680
Thailand — 0.8%
Bangkok Bank PCL		379,000		2,454,587
Bangkok Bank PCL NVDR		382,600		2,407,106
				4,861,693
Turkey — 0.2%
Turkiye Halk Bankasi AS†		164,324		988,882
United Kingdom — 16.7%
3i Group PLC		17,934		111,440
Abengoa Yield PLC†		67,949		2,417,625
Aberdeen Asset Management PLC		14,854		96,443

257

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
Admiral Group PLC		3,092	$	64,312
Aggreko PLC		3,909		98,098
Alent PLC		519,720		2,763,547
AMEC PLC		5,742		102,767
Anglo American PLC		21,251		476,803
Antofagasta PLC		7,658		89,510
ARM Holdings PLC		214,601		3,151,978
Associated British Foods PLC		5,212		226,360
AstraZeneca PLC		19,262		1,386,929
Aviva PLC		44,853		380,655
Babcock International Group PLC		7,536		133,410
BAE Systems PLC		46,570		355,968
Barclays PLC		893,076		3,293,045
Berkeley Group Holdings PLC		43,212		1,576,196
BG Group PLC		51,843		958,116
BHP Billiton PLC		31,886		886,518
BP PLC		533,166		3,919,360
British American Tobacco PLC		28,296		1,597,265
British Land Co. PLC		15,253		173,710
British Sky Broadcasting Group PLC		15,844		226,546
BT Group PLC		119,169		733,352
Bunzl PLC		4,816		125,700
Burberry Group PLC		7,132		174,702
Capita PLC		9,714		183,305
Carnival PLC		3,375		134,815
Centrica PLC		77,193		385,185
Cobham PLC		19,118		90,221
Compass Group PLC		25,045		404,596
Countrywide PLC		275,044		2,012,737
Croda International PLC		2,237		74,452
Diageo PLC		123,416		3,571,354
Direct Line Insurance Group PLC		22,149		105,638
Dixons Carphone PLC		17,083		101,444
easyJet PLC†		2,883		66,508
Fresnillo PLC		3,738		46,055
G4S PLC		22,475		91,343
GKN PLC		29,354		151,899
GlaxoSmithKline PLC		132,791		3,041,824
Hammerson PLC		10,575		98,490
Hargreaves Lansdown PLC		4,449		68,158
HSBC Holdings PLC		997,555		10,125,204
IMI PLC		4,841		96,530
Imperial Tobacco Group PLC		86,516		3,736,405
Inmarsat PLC		7,351		83,539
InterContinental Hotels Group PLC		3,836		147,944
Intertek Group PLC		2,960		125,771
Intu Properties PLC		13,980		73,136
Investec PLC		10,827		91,271
ITV PLC		62,692		211,194
J Sainsbury PLC		20,946		85,401
Johnson Matthey PLC		3,157		149,394
Kingfisher PLC		37,494		196,877
Land Securities Group PLC		12,180		205,157
Legal & General Group PLC		88,635		328,908
Liberty Global PLC, Class A†		76,080		3,236,443

Security Description	Shares/ Principal Amount		Value (Note 2)
United Kingdom (continued)
Lloyds Banking Group PLC†		3,177,195	$	3,959,351
London Stock Exchange Group PLC		3,069		92,939
Marks & Spencer Group PLC		26,152		171,536
Meggitt PLC		14,133		103,378
Melrose Industries PLC		17,828		71,590
National Grid PLC		54,630		786,443
Next PLC		2,343		250,881
Old Mutual PLC		79,555		234,340
Pearson PLC		13,369		268,747
Persimmon PLC		5,319		115,029
Prudential PLC		350,848		7,826,376
Reckitt Benckiser Group PLC		55,338		4,799,550
Reed Elsevier PLC		17,587		281,690
Rexam PLC		11,762		93,776
Rio Tinto PLC		19,215		944,324
Rio Tinto PLC ADR		28,000		1,377,040
Rolls-Royce Holdings PLC		29,294		458,041
Royal Bank of Scotland Group PLC†		37,531		224,025
Royal Dutch Shell PLC ADR		46,600		3,547,658
Royal Dutch Shell PLC, Class A		59,688		2,282,160
Royal Dutch Shell PLC, Class B		37,173		1,468,610
Royal Mail PLC†		10,485		66,665
RSA Insurance Group PLC†		16,143		126,795
SABMiller PLC†		84,385		4,689,530
Sage Group PLC		20,341		120,494
Schroders PLC		2,369		91,826
Segro PLC		13,059		76,870
Severn Trent PLC		3,866		117,638
Smith & Nephew PLC		13,899		234,337
Smiths Group PLC		84,438		1,730,248
SSE PLC		94,784		2,377,106
Standard Chartered PLC		37,611		695,398
Standard Life PLC		38,486		258,551
Tate & Lyle PLC		59,449		570,063
Tesco PLC		124,696		376,405
Travis Perkins PLC		4,397		118,613
Tullow Oil PLC		15,431		161,228
Unilever PLC		54,668		2,290,957
United Utilities Group PLC		10,344		135,495
Vodafone Group PLC		1,150,205		3,811,355
Weir Group PLC		3,325		134,866
Whitbread PLC		2,821		189,973
William Hill PLC		15,966		95,716
WM Morrison Supermarkets PLC		35,774		97,606
				102,966,772
United States — 0.3%
ResMed, Inc.		41,665		2,052,834
Total Common Stocks (cost $542,269,257)				575,359,047
PREFERRED SECURITIES — 1.7%
Brazil — 0.5%
AES Tiete SA		303,800		2,674,656
Cia de Gas de Sao Paulo Co. COMGAS		29,000		582,903
				3,257,559

258

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
PREFERRED SECURITIES (continued)
Germany — 1.2%
Bayerische Motoren Werke AG		798	$	64,940
Henkel AG & Co. KGaA		2,564		256,033
Porsche Automobil Holding SE		2,527		202,483
Volkswagen AG		32,850		6,821,154
				7,344,610
Total Preferred Securities (cost $12,081,518)				10,602,169
EXCHANGE-TRADED FUNDS — 0.6%
WisdomTree India Earnings Fund (cost $3,088,261)		166,446		3,646,832
RIGHTS — 0.0%
Banco Bilbao Vizcaya Argentaria SA Expires 10/17/2014†		410,578		40,969
Banco Popular Espanol SA Expires 10/13/2014†		28,902		401
Fiat SPA Expires 10/06/2014 (subscription price 7.727 EUR)†		15,033		0
Total Rights (cost $42,101)				41,370
Total Long-Term Investment Securities (cost $557,481,137)				589,649,418
SHORT-TERM INVESTMENT SECURITIES — 0.8%
Time Deposits — 0.7%
Euro Time Deposit with State Street Bank & Trust Co. 0.01% due 10/01/2014	$	4,113,000		4,113,000
U.S. Government Treasuries — 0.1%
United States Treasury Bills
0.01% due 12/18/2014(4)		220,000		219,992
0.02% due 10/30/2014(4)		20,000		20,000
0.03% due 10/30/2014(4)		320,000		319,992
				559,984
Total Short-Term Investment Securities (cost $4,672,987)				4,672,984
REPURCHASE AGREEMENTS — 2.9%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $9,035,000 collateralized by $6,520,000 of United States Treasury Bonds, bearing interest at 8.00% due 11/15/2021 and having an approximate value of $9,219,691		9,035,000		9,035,000

Security Description	Principal Amount			Value (Note 2)
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $4,940,000 collateralized by $5,365,000 of Federal Home Loan Corp. Notes, bearing interest at 2.07% due 11/07/2022 and having an approximate value of $5,043,009	$	4,940,000		$	4,940,000
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $4,112,000 collateralized by $6,520,000 of Federal Home Loan Mtg. Corp Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $4,197,874		4,112,000			4,112,000
Total Repurchase Agreements (cost $18,087,000)					18,087,000
TOTAL INVESTMENTS (cost $580,241,124)(3)		99.3	%		612,409,402
Other assets less liabilities		0.7			4,007,180
NET ASSETS		100.0	%	$	616,416,582

†  Non-income producing security

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $3,976,869 representing 0.6% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Fair valued security. Securities are classified as Level 2 based on the securities valuation inputs; see Note 2.

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

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

(5)  Illiquid security. At September 30, 2014 the aggregate value of these securities was $0 representing 0.0% of net assets.

ADR — American Depository Receipt

CDI — Chess Depository Interest

CVA — Certification Van Aandelen (Dutch Cert.)

FDR — Fiduciary Depository Receipt

GDR — Global Depository Receipt

ISE — Irish Stock Exchange

LSE — London Stock Exchange

NVDR — Non-Voting Depository Receipt

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

259

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

SDR — Swedish Depository Receipt

TRQX — Turquoise Stock Exchange

XEGT — Equiduct Stock Exchange

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	110	Long	MSCI E-Mini Index	December 2014	$	10,395,109	$	10,118,350	$	(276,759	)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks
Australia	$	14,782,336	$	—	$	0	$	14,782,336
France		42,332,919		—		—		42,332,919
Germany		39,833,363		—		—		39,833,363
Japan		115,268,822		—		—		115,268,822
Portugal		2,477,156		8,958		—		2,486,114
Switzerland		35,826,315		—		—		35,826,315
United Kingdom		102,966,772		—		—		102,966,772
Other Countries*		221,862,406		—		—		221,862,406
Preferred Securities		10,602,169		—		—		10,602,169
Exchange-Traded Funds		3,646,832		—		—		3,646,832
Rights		41,370		0		—		41,370
Short-Term Investment Securities:
Time Deposits		—		4,113,000		—		4,113,000
U.S. Government Treasuries		—		559,984		—		559,984
Repurchase Agreements		—		18,087,000		—		18,087,000
Total	$	589,640,460	$	22,768,942	$	0	$	612,409,402
Liabilities:
Other Financial Instruments:+
Open Futures Contracts-Depreciation	$	276,759	$	—	$	—	$	276,759

*  Sum of all other countries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by country classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities held at the beginning of the period currently valued at $499,185,244 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

260

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
United States Treasury Notes	31.1	%
Diversified Financial Services	11.8
Repurchase Agreements	7.9
Federal National Mtg. Assoc.	6.8
United States Treasury Bonds	5.8
Diversified Banking Institutions	5.3
Federal Home Loan Mtg. Corp.	3.7
Banks-Commercial	2.3
Government National Mtg. Assoc.	1.9
Electric-Integrated	1.8
Telephone-Integrated	1.6
Real Estate Investment Trusts	1.1
Cable/Satellite TV	1.1
Oil Companies-Exploration & Production	1.1
Banks-Super Regional	1.0
Sovereign	1.0
Pipelines	0.9
Federal Home Loan Bank	0.9
Oil Companies-Integrated	0.8
Multimedia	0.7
Exchange-Traded Funds	0.6
Insurance-Multi-line	0.5
Medical-Drugs	0.5
Municipal Bonds & Notes	0.4
Finance-Auto Loans	0.4
Insurance-Life/Health	0.4
Brewery	0.4
Medical-Biomedical/Gene	0.4
Transport-Rail	0.4
Medical-HMO	0.3
Insurance Brokers	0.3
Computers	0.3
Retail-Discount	0.3
Foreign Government Obligations	0.3
Special Purpose Entities	0.3
Auto/Truck Parts & Equipment-Original	0.2
Auto-Cars/Light Trucks	0.2
Steel-Producers	0.2
Medical-Hospitals	0.2
Retail-Drug Store	0.2
Cellular Telecom	0.2
Finance-Credit Card	0.2
Food-Misc./Diversified	0.2
Diversified Minerals	0.2
Aerospace/Defense-Equipment	0.2
Banks-Money Center	0.2
Agricultural Chemicals	0.2
Banks-Fiduciary	0.2
Retail-Auto Parts	0.2
Paper & Related Products	0.2
Gas-Distribution	0.2
Coal	0.2
Insurance-Property/Casualty	0.2
Publishing-Newspapers	0.2
Independent Power Producers	0.2
Tobacco	0.1
Enterprise Software/Service	0.1
Diversified Manufacturing Operations	0.1
Non-Hazardous Waste Disposal	0.1
Trucking/Leasing	0.1

Diversified Operations	0.1	%
Medical Labs & Testing Services	0.1
Savings & Loans/Thrifts	0.1
Transport-Services	0.1
Oil & Gas Drilling	0.1
Food-Baking	0.1
Telecom Services	0.1
Finance-Other Services	0.1
Machinery-Farming	0.1
Food-Wholesale/Distribution	0.1
Containers-Paper/Plastic	0.1
Building Societies	0.1
Finance-Consumer Loans	0.1
Gold Mining	0.1
Television	0.1
Airlines	0.1
Insurance-Mutual	0.1
Metal-Copper	0.1
Aerospace/Defense	0.1
Computer Services	0.1
Investment Management/Advisor Services	0.1
Commercial Services	0.1
Finance-Leasing Companies	0.1
SupraNational Banks	0.1
Metal-Diversified	0.1
Finance-Investment Banker/Broker	0.1
Oil Refining & Marketing	0.1
Machinery-General Industrial	0.1
Metal Processors & Fabrication	0.1
Security Services	0.1
Entertainment Software	0.1
Rental Auto/Equipment	0.1
Forestry	0.1
Satellite Telecom	0.1
Retail-Automobile	0.1
Semiconductor Components-Integrated Circuits	0.1
Advertising Agencies	0.1
Containers-Metal/Glass	0.1
Advertising Sales	0.1
Retail-Building Products	0.1
Office Automation & Equipment	0.1
Electric-Transmission	0.1
Chemicals-Diversified	0.1
Networking Products	0.1
Specified Purpose Acquisitions	0.1
Instruments-Scientific	0.1
Professional Sports	0.1
Cosmetics & Toiletries	0.1
Building-Residential/Commercial	0.1
Internet Connectivity Services	0.1
Steel Pipe & Tube	0.1
Agricultural Operations	0.1
E-Commerce/Services	0.1
Banks-Special Purpose	0.1
Tools-Hand Held	0.1
	104.4	%

*  Calculated as a percentage of net assets.

261

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited) (continued)

Credit Quality†#
Aaa	59.7	%
Aa	2.8
A	9.3
Baa	17.3
Ba	3.8
B	1.1
Caa	1.0
Ca	0.3
Not Rated@	4.7
	100.0	%

†  Source: Moody's

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

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

262

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES — 11.2%
Diversified Financial Services — 11.2%
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 0.42% due 11/25/2035(1)	$	332,021	$	308,299
American Express Credit Account Master Trust Series 2014-3, Class A 1.49% due 04/15/2020		219,000		218,717
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.06% due 10/25/2046(1)		87,632		63,543
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		143,000		141,589
AMMC CDO FRS Series 2014-14A, Class A1L 1.80% due 07/27/2026*(2)		1,190,000		1,185,835
Apidos CDO FRS Series 2014-17A, Class A1A 1.71% due 04/17/2026*(2)		1,315,000		1,314,211
Apidos CLO XVI FRS Series 2013-16A, Class A1 1.68% due 01/19/2025*(2)		795,000		794,205
Applebee's/IHOP Funding LLC Series 2014-1, Class A2 4.28% due 09/05/2044*		124,000		122,821
ARES CLO, Ltd. FRS Series 2014-30A, Class A2 1.02% due 04/20/2023*(2)		1,165,000		1,151,253
ARES CLO, Ltd. FRS Series 2014-1A, Class A1 1.76% due 04/17/2026*(2)		1,215,000		1,214,757
Atlas Senior Loan Fund, Ltd. Series 2014-6A, Class A 1.80% due 10/15/2026*(2)		1,105,000		1,103,342
Atlas Senior Loan Fund V, Ltd. FRS Series 2014-1A, Class A 1.80% due 07/16/2026*(2)		540,000		540,756
Atrium CDO Corp. Series 7AR, Class BR 1.99% due 11/16/2022*(2)		505,000		494,799
Atrium CDO Corp. Series 11-A, Class B 2.48% due 10/23/2025*(2)		1,520,000		1,501,456
Avalon IV Capital, Ltd. FRS Series 2012-1AR, Class BR 2.08% due 04/17/2023*(2)		485,000		483,739
Aventura Mall Trust VRS Series 2013-AVM, Class A 3.74% due 12/05/2032*(3)		1,425,000		1,497,835
Avery Point CLO, Ltd. FRS Series 2014-1A, Class A 1.75% due 04/25/2026*(2)		1,205,000		1,205,120

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Avis Budget Rental Car Funding AESOP LLC Series 2014-1A, Class A 2.46% due 07/20/2020*	$	87,000	$	86,964
Babson CLO, Ltd. FRS Series 2014-IA, Class A1 1.72% due 07/20/2025*(2)		295,000		294,912
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.75% due 02/10/2051(3)		846,828		929,952
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 0.21% due 01/25/2037(1)		28,529		18,269
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 0.38% due 02/20/2047(1)		658,150		571,236
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(3)		1,155,000		1,139,319
BCAP LLC Trust FRS Series 2006-AA2, Class A1 0.32% due 01/25/2037(1)		34,176		25,904
BCAP LLC Trust FRS Series 2007-AA2, Class 12A1 0.36% due 05/25/2047(1)		38,360		29,194
Bear Stearns ALT-A Trust FRS Series 2006-3, Class 1A1 0.53% due 05/25/2036(1)		180,017		132,227
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 0.63% due 02/25/2036(1)		94,079		78,157
Bear Stearns Commercial Mtg. Securities Trust Series 2005-PWR8, Class A4 4.67% due 06/11/2041(3)		34,946		35,427
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2005-T20, Class A4A 5.14% due 10/12/2042(3)		35,000		36,087
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-T26, Class A4 5.47% due 01/12/2045(3)		28,017		30,340
Bear Stearns Commercial Mtg. Securities Trust Series 2006-T24, Class A4 5.54% due 10/12/2041(3)		287,581		308,020
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 0.35% due 02/25/2037(1)		299,172		221,231
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		348,000		349,997

263

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Cent CLO, Ltd. FRS Series 2014-21A, Class A1A 1.72% due 07/27/2026*(2)	$	820,000	$	818,032
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1)		320,000		318,348
CHL Mtg. Pass-Through Trust FRS Series 2007-HY1, Class 1A1 2.66% due 04/25/2037(1)		33,276		28,043
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.73% due 05/24/2026*(2)		1,200,000		1,197,720
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 1.73% due 04/18/2025*(2)		1,285,000		1,283,715
CIFC Funding, Ltd. Series 2012-1AR, Class A2R FRS 2.34% due 08/14/2024*(2)		1,085,000		1,082,287
Citibank Credit Card Issuance Trust Series 2014-A2, Class A2 1.02% due 02/22/2019		214,000		213,092
Citibank Credit Card Issuance Trust Series 2014-A8, Class A8 1.73% due 04/09/2020		210,000		209,794
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(3)		303,000		309,448
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(3)		494,000		503,819
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A2 2.96% due 11/10/2046(3)		602,000		617,503
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(3)		610,000		630,174
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(3)		615,000		644,222
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(3)		1,110,000		1,173,725
Citigroup Commercial Mtg. Trust VRS Series 2013-GC15, Class A4 4.37% due 09/10/2046(3)		870,000		939,006

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.13% due 12/10/2049(3)	$	345,143	$	380,350
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(3)		1,190,000		1,271,256
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 4.47% due 03/20/2043*		171,063		172,648
CLI Funding V LLC Series 2014-1A, Class A 3.29% due 06/18/2029*		239,427		238,458
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.04% due 12/10/2049(3)		912,754		988,169
Commercial Mtg. Trust Series 2012-CR5, Class A4 2.77% due 12/10/2045(3)		45,000		43,668
Commercial Mtg. Trust Series 2014-UBS2, Class A2 2.82% due 03/10/2047(3)		348,000		354,916
Commercial Mtg. Trust Series 2012-CR4, Class A3 2.85% due 10/15/2045(3)		1,065,000		1,040,638
Commercial Mtg. Trust Series 2013-CR8, Class A4 3.33% due 06/10/2046(3)		425,000		427,394
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(3)		775,000		794,417
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(3)		1,135,000		1,156,328
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(3)		620,000		647,353
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(3)		605,000		631,477
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(3)		900,000		942,778
Commercial Mtg. Trust Series 2013-CR9, Class A3 4.02% due 07/10/2045(3)		130,000		137,144
Commercial Mtg. Trust Series 2013-CR12, Class A4 4.05% due 10/10/2046(3)		630,155		664,221
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(3)		675,000		709,319
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.24% due 07/10/2045(3)		700,000		752,726

264

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(3)	$	845,000	$	909,544
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.76% due 06/10/2046(3)		140,317		148,738
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 0.42% due 01/25/2036(1)		108,456		96,912
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 0.47% due 11/25/2035(1)		96,609		78,727
Countrywide Alternative Loan Trust FRS Series 2006-29T1, Class 2A16 0.60% due 10/25/2036(1)		555,835		411,711
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 0.95% due 12/25/2035(1)		496,190		410,254
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1)		327,791		279,806
Countrywide Alternative Loan Trust Series 2007-9T1, Class 2A1 6.00% due 05/25/2037(1)		127,886		104,791
Countrywide Alternative Loan Trust Series 2007-19, Class 2A1 6.50% due 08/25/2037(1)		415,470		300,763
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-2, Class 2A3 0.49% due 03/25/2035(1)		124,193		109,313
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB3, Class 2A2A 2.42% due 06/20/2035(1)		240,226		231,576
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB7, Class 6A1 4.87% due 11/20/2035(1)		65,589		59,250
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(1)		86,253		87,732
Credit Acceptance Auto Loan Trust Series 2014-1A, Class A 1.55% due 10/15/2021*		625,000		627,455

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Credit Acceptance Auto Loan Trust Series 2014-2A, Class A 1.88% due 03/15/2022*	$	1,215,000	$	1,214,818
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(3)		380,000		386,682
Credit Suisse Mtg. Trust Series 2014-USA, Class A2 3.95% due 09/15/2037*(3)		253,000		261,390
CW Capital Cobalt, Ltd. Series 2006-C1, Class A4 5.22% due 08/15/2048(3)		82,366		87,564
CWHL Mtg. Pass Through Trust FRS Series 2007-HY4, Class 1A1 2.58% due 09/25/2047(1)		420,672		376,425
CWHL Mtg. Pass Through Trust Series 2007-12, Class A9 5.75% due 08/25/2037(1)		277,083		265,410
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 0.30% due 03/25/2037(1)		32,345		22,318
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*		46,380		48,985
Dryden Senior Loan Fund FRS Series 2014-31A, Class A 1.58% due 04/18/2026*(2)		1,260,000		1,252,944
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 1.70% due 07/15/2026*(2)		1,370,000		1,369,315
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.04% due 03/19/2046(1)		377,013		293,589
First Horizon Alternative Mtg. Securities Trust FRS Series 2006-AA1, Class 2A1 2.21% due 04/25/2036(1)		25,443		21,447
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA9, Class 3A1 2.23% due 11/25/2035(1)		380,930		317,785
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA7, Class 2A1 2.24% due 09/25/2035(1)		165,645		145,790
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		175,000		176,081
Flagship Credit Auto Trust Series 2014-1, Class A 1.21% due 04/15/2019*		320,989		320,618
Flatiron CLO, Ltd. FRS Series 2014-1A, Class A2 2.14% due 07/17/2026*(2)		290,000		287,477

265

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019	$	99,000	$	98,833
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		190,000		189,197
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		242,000		240,748
FREMF Mtg. Trust VRS Series 2012-K19, Class B 4.18% due 05/25/2045*(3)		20,037		20,556
GE Capital Commercial Mtg. Corp. VRS Series 2005-C4, Class A4 5.31% due 11/10/2045(3)		810,222		831,908
GM Financial Automobile Leasing Trust 2014-1 Series 2014-2A, Class B 1.96% due 03/20/2018*		190,000		189,991
GMAC Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1 2.95% due 04/19/2036(1)		564,457		499,592
GMACM Mtg. Loan Trust FRS Series 2005-AR5, Class 4A1 2.93% due 09/19/2035(1)		110,033		103,357
Gramercy Park CLO, Ltd. Series 2012-1AR, Class A1R 1.53% due 07/17/2023*(2)		1,220,000		1,218,780
Greenwich Capital Commercial Funding Corp. Series 2007-GG11, Class A4 5.74% due 12/10/2049(3)		284,000		311,055
GS Mtg. Securities Corp. II Series 2012-GCJ9, Class A2 1.76% due 11/10/2045(3)		208,000		207,994
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(3)		1,285,000		1,260,152
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(3)		155,000		180,299
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(3)		1,225,000		1,259,459
GS Mtg. Securities Trust Series 2013-GC12, Class A4 3.14% due 06/10/2046(3)		1,050,000		1,038,652
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(3)		615,000		642,840
GS Mtg. Securities Trust Series 2013-GC14, Class A5 4.24% due 08/10/2046(3)		425,000		454,627

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 0.20% due 12/25/2046	$	65,880	$	44,443
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 0.23% due 02/25/2037		581,625		318,635
GSAA Home Equity Trust FRS Series 2006-19, Class A1 0.24% due 12/25/2036		19,071		9,519
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 0.39% due 11/25/2036		156,144		95,111
GSAA Home Equity Trust FRS Series 2006-3, Class A3 0.45% due 03/25/2036		35,014		25,402
GSAA Home Equity Trust Series 2007-5, Class 2A3A 0.47% due 04/25/2047		262,651		170,967
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036		142,104		81,169
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036		269,310		158,717
GSAA Trust FRS Series 2007-3, Class 1A2 0.32% due 03/25/2047		105,546		55,786
GSAA Trust Series 2005-7, Class AF4 5.06% due 05/25/2035		365,000		327,235
GSR Mtg. Loan Trust FRS Series 2005-8F, Class 3A2 0.65% due 11/25/2035(1)		26,300		19,681
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(1)		26,517		24,968
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A4 2.74% due 01/25/2036(1)		267,535		246,297
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 0.34% due 01/19/2038(1)		17,983		15,350
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 0.39% due 12/19/2036(1)		417,721		290,762
HarborView Mtg. Loan Trust FRS Series 2004-11, Class 1A 0.50% due 01/19/2035(1)		58,100		41,292
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(3)		1,305,000		1,309,521
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 0.43% due 07/25/2035(1)		8,887		7,670

266

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR13, Class 1A1 2.47% due 08/25/2035(1)	$	130,783	$	105,770
IndyMac Index Mtg. Loan Trust FRS Series 2006-AR3, Class 1A1 2.60% due 12/25/2036(1)		557,455		489,989
ING IM CLO, Ltd. FRS Series 2012-1RA, Class A2R 2.08% due 03/14/2022*(2)		1,000,000		991,600
ING IM CLO, Ltd. FRS Series 2012-1RA, Class A1R 1.43% due 03/14/2022*(2)		660,000		655,842
ING Investment Management Co. FRS Series 2014-1A, Class A1 1.77% due 04/18/2026*(2)		1,250,000		1,251,625
Invitation Homes Trust FRS Series 2014-SFR1, Class A 1.15% due 06/17/2031*		170,000		168,841
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2012-LC9, Class A5 2.84% due 12/15/2047(3)		855,000		832,104
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(3)		1,000,000		999,877
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(3)		1,210,000		1,240,582
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(3)		985,000		1,047,594
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP8, Class A4 5.40% due 05/15/2045(3)		55,803		59,372
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.70% due 02/12/2049(3)		820,000		891,379
JP Morgan Mtg. Trust FRS Series 2006-A3, Class 3A2 2.71% due 05/25/2036(1)		52,370		46,734
JPMBB Commercial Mtg. Securities Trust Series 2013-C15, Class A2 2.98% due 11/15/2045(3)		509,000		522,917
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(3)		290,000		297,752

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(3)	$	610,000	$	638,128
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C14, Class A4 4.13% due 08/15/2046(3)		1,165,000		1,234,919
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(3)		335,000		356,276
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(3)		204,661		221,632
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(3)		766,821		812,495
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(3)		579,363		616,533
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(3)		100,000		111,888
Lehman XS Trust FRS Series 2006-16N, Class A4A 0.34% due 11/25/2046(1)		396,843		330,242
Lehman XS Trust FRS Series 2007-7N Class 1A2 0.39% due 06/25/2047(1)		45,458		30,706
Lehman XS Trust FRS Series 2005-6, Class 1A1 0.41% due 11/25/2035		86,784		62,345
Lehman XS Trust FRS Series 2007-16N, Class 2A2 1.00% due 09/25/2047(1)		371,660		308,442
Limerock CLO FRS Series 2014-2A, Class A 1.73% due 04/18/2026*(2)		1,295,000		1,293,446
Luminent Mtg. Trust FRS Series 2006-2, Class A1A 0.35% due 02/25/2046(1)		446,213		330,813
Luminent Mtg. Trust FRS Series 2005-1, Class A1 0.41% due 11/25/2035(1)		465,602		426,615
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.68% due 07/20/2026*(2)		1,290,000		1,291,806
Madison Park Funding XIII, Ltd. FRS Series 2014-13A, Class A 1.68% due 01/19/2025*(2)		750,000		748,575
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.70% due 07/25/2026*(2)		1,115,000		1,113,327

267

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.23% due 07/25/2026*(2)	$	895,000	$	894,105
Magnetite VIII, Ltd. FRS Series 2014-8A, Class A 1.71% due 04/15/2026*(2)		835,000		831,493
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A4, Class 1A 2.52% due 07/25/2035(1)		463,434		386,452
Merrill Lynch Mtg. Trust VRS(3) Series 2005-MCP1, Class A4 4.75% due 06/12/2043		37,118		37,598
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(3)		970,137		1,037,133
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(3)		625,000		685,029
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.74% due 06/12/2050(3)		650,000		707,197
Morgan Stanley ABS Capital I Trust FRS Series 2006-HE4, Class A3 0.30% due 06/25/2036		313,283		233,746
Morgan Stanley ABS Capital I Trust FRS Series 2006-NC4, Class A2C 0.30% due 06/25/2036		55,856		50,450
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5, Class A2 1.97% due 08/15/2045(3)		150,440		151,805
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(3)		1,065,000		1,119,474
Morgan Stanley Capital I Trust Series 2005-HQ6, Class A4A 4.99% due 08/13/2042(3)		465,000		469,995
Morgan Stanley Capital I Trust Series 2006-IQ12 Class A4 5.33% due 12/15/2043(3)		1,083,388		1,160,038
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(3)		1,255,000		1,363,216
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(3)		1,106,444		1,209,037
Morgan Stanley Mtg. Loan Trust FRS Series 2006-6AR, Class 1A1 0.32% due 05/25/2036(1)		101,506		54,611

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Mtg. Loan Trust FRS Series 2006-6AR, Class 1A3 0.32% due 05/25/2036(1)	$	105,908	$	56,979
Morgan Stanley Mtg. Loan Trust FRS Series 2006-6AR, Class 3A1 2.59% due 05/25/2036(1)		111,037		81,392
Neuberger Berman CLO XVII, Ltd. Series 2014-17A, Class A 1.70% due 08/04/2025*(2)		1,085,000		1,082,396
Neuberger Berman CLO, Ltd. FRS Series 2014-16A, Class A1 1.70% due 04/15/2026*(2)		955,000		953,472
Newcastle Mtg. Securities Trust FRS Series 2007-1, Class 2A3 0.38% due 04/25/2037		575,000		362,990
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		230,000		230,277
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(1)		322,456		316,250
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class A 1.72% due 07/20/2026*(2)		405,000		404,595
Octagon Investment Partners XVI, Ltd. Series 2013-A, Class 1A 1.35% due 07/17/2025*(2)		705,000		695,320
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.73% due 04/17/2026*(2)		1,265,000		1,264,747
RALI Series Trust FRS Series 2006-QO7, Class 1A1 0.92% due 09/25/2046(1)		301,465		204,456
Residential Accredit Loans, Inc. FRS Series 2007-QH9, Class A1 1.41% due 11/25/2037(1)		127,011		82,396
RFMSI Trust FRS Series 2007-SA2, Class 2A1 3.05% due 04/25/2037(1)		58,544		51,303
RFMSI Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(1)		199,384		205,075
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		285,000		284,840
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 0.24% due 07/25/2036		233,479		113,949

268

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class A 1.70% due 07/17/2026*(2)	$	955,000	$	955,477
Sequoia Mtg. Trust FRS Series 2007-3, Class 2AA1 2.52% due 07/20/2037(1)		39,343		32,288
Shackleton CLO, Ltd. FRS Series 2014-6A, Class A2 1.72% due 07/17/2026*(2)		985,000		985,492
Sierra Timeshare 2014-2 Receivables Funding LLC Series 2014-2A, Class A 2.05% due 06/20/2031*		149,373		148,434
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 0.33% due 07/25/2037		50,000		31,827
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(5)		1,305,000		1,304,914
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		755,000		753,547
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.45% due 09/25/2034(1)		46,951		42,032
Structured Asset Mtg. Investments II Trust FRS Series 2005-AR8, Class A1A 0.43% due 02/25/2036(1)		35,016		27,950
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2 1.71% due 07/14/2026*(2)		1,130,000		1,128,870
Symphony CLO, Ltd. Series 2012-BR, Class 8AR 1.98% due 01/09/2023*(2)		1,200,000		1,192,320
TAL Advantage V LLC Series 2013-2A, Class A 3.55% due 11/20/2038*		122,833		124,118
Thacher Park CLO Series 2014-A, Class 1A 1.70% due 10/20/2026*(2)		810,000		809,190
UBS Commercial Mtg. Trust Series 2012-C1, Class A3 3.40% due 05/10/2045(3)		810,000		822,710
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(3)		700,000		695,621
UBS-Barclays Commercial Mtg. Trust Series 2013-C6, Class A4 3.24% due 04/10/2046(3)		101,000		100,760

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(3)	$	1,195,000	$	1,174,959
Voya CLO 2014-2, Ltd. FRS Series 2014-2A, Class A1 1.68% due 07/17/2026*(2)		250,000		249,750
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C21, Class A4 5.41% due 10/15/2044(3)		12,411		12,786
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C26, Class AM 6.17% due 06/15/2045(3)		100,000		107,200
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR16, Class A1 2.49% due 10/25/2036(1)		347,795		325,528
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR16, Class 4A8 2.61% due 10/25/2035(1)		325,000		305,604
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.62% due 11/25/2034(1)		76,513		76,743
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 1.28% due 02/15/2044*(3)(4)		992,593		31,957
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class A3 2.88% due 12/15/2045(3)		1,405,000		1,374,606
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A2 2.92% due 08/15/2047(3)		351,000		358,771
WF-RBS Commercial Mtg. Trust Series 2013-C15, Class A3 3.88% due 08/15/2046(3)		505,000		527,502
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(3)		1,140,000		1,191,796
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(3)		480,000		506,137
Total Asset Backed Securities (cost $113,004,826)				113,358,347

269

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 24.0%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc. Senior Notes 3.75% due 02/15/2023	$	403,000	$	399,620
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		94,000		94,899
				494,519
Advertising Sales — 0.0%
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. Company Guar. Notes 5.88% due 03/15/2025*		41,000		41,205
Lamar Media Corp. Company Guar. Notes 5.38% due 01/15/2024*		40,000		40,100
				81,305
Advertising Services — 0.0%
Visant Corp. Company Guar. Notes 10.00% due 10/01/2017		51,000		45,518
Aerospace/Defense — 0.1%
Bae Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		167,000		166,504
Bae Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		121,000		120,367
Boeing Co. Senior Notes 0.95% due 05/15/2018		212,000		206,355
Lockheed Martin Corp. Senior Notes 5.72% due 06/01/2040		400,000		483,903
				977,129
Aerospace/Defense-Equipment — 0.2%
Alliant Techsystems, Inc. Company Guar. Notes 5.25% due 10/01/2021*		44,000		44,110
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		175,000		172,375
United Technologies Corp. Senior Notes 4.50% due 06/01/2042		160,000		167,420
United Technologies Corp. Senior Notes 6.13% due 07/15/2038		1,036,000		1,316,824
				1,700,729
Agricultural Chemicals — 0.2%
CF Industries, Inc. Company Guar. Notes 5.38% due 03/15/2044		1,275,000		1,334,275

Security Description	Principal Amount(12)		Value (Note 2)
Agricultural Chemicals (continued)
Monsanto Co. Senior Notes 4.70% due 07/15/2064	$	123,000	$	122,421
				1,456,696
Agricultural Operations — 0.1%
Cargill, Inc. Senior Notes 4.31% due 05/14/2021*		414,000		451,217
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		83,000		84,660
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016		35,886		36,424
United Airlines Pass Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		140,000		139,300
United Airlines 2013-1 Class B Pass Through Trust Pass Through Certs. Series 2013-1, Class B 5.38% due 02/15/2023		100,000		103,750
				364,134
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		34,000		35,445
Darling Ingredients, Inc. Company Guar. Notes 5.38% due 01/15/2022		57,000		57,428
				92,873
Apparel Manufacturers — 0.0%
Quiksilver, Inc./QS Wholesale, Inc. Company Guar. Notes 10.00% due 08/01/2020		93,000		54,870
Athletic Footwear — 0.0%
NIKE, Inc. Senior Notes 3.63% due 05/01/2043		260,000		244,570
Auction House/Art Dealers — 0.0%
Sotheby's Company Guar. Notes 5.25% due 10/01/2022*		235,000		222,662
Auto-Cars/Light Trucks — 0.2%
American Honda Finance Corp. FRS Senior Notes 0.61% due 05/26/2016*		500,000		502,368
American Honda Finance Corp. Notes 1.20% due 07/14/2017		236,000		235,108

270

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
American Honda Finance Corp. Senior Notes 1.60% due 02/16/2018*	$	275,000	$	273,995
Daimler Finance North America LLC Company Guar. Notes 1.38% due 08/01/2017*		306,000		304,574
Daimler Finance North America LLC Company Guar. Notes 2.63% due 09/15/2016*		359,000		369,509
General Motors Co. Senior Notes 6.25% due 10/02/2043		285,000		333,450
				2,019,004
Auto-Heavy Duty Trucks — 0.0%
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		264,000		263,730
Auto/Truck Parts & Equipment-Original — 0.2%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		97,000		99,667
TRW Automotive, Inc. Company Guar. Notes 7.25% due 03/15/2017*		2,000,000		2,200,000
				2,299,667
Banks-Commercial — 0.7%
BB&T Corp. Sub. Notes 4.90% due 06/30/2017		250,000		271,815
Branch Banking & Trust Co. Senior Notes 1.45% due 10/03/2016		600,000		605,219
Capital One NA Senior Notes 1.50% due 09/05/2017		1,500,000		1,493,439
Capital One NA Senior Notes 1.50% due 03/22/2018		360,000		354,579
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		530,000		554,513
Discover Bank Senior Notes 4.20% due 08/08/2023		250,000		258,817
Fifth Third Bank Senior Notes 2.88% due 10/01/2021		255,000		251,018
HSBC Bank USA NA Sub. Notes 4.88% due 08/24/2020		650,000		718,269
MUFG Union Bank NA Senior Notes 3.00% due 06/06/2016		595,000		614,690

Security Description	Principal Amount(12)		Value (Note 2)
Banks-Commercial (continued)
National City Bank Sub. Notes 5.80% due 06/07/2017	$	250,000	$	277,661
PNC Bank NA Senior Notes 1.13% due 01/27/2017		392,000		390,849
PNC Bank NA Sub. Notes 2.70% due 11/01/2022		1,000,000		953,784
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		299,000		378,905
Zions Bancorporation Senior Notes 4.50% due 06/13/2023		13,000		13,611
				7,137,169
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.20% due 03/04/2019		1,075,000		1,074,910
RBS Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		260,000		260,388
State Street Corp. Sub. Notes 3.10% due 05/15/2023		165,000		160,030
				1,495,328
Banks-Super Regional — 1.0%
Capital One Financial Corp. Senior Notes 1.00% due 11/06/2015		430,000		431,200
Capital One Financial Corp. Senior Notes 2.15% due 03/23/2015		481,000		484,838
Comerica, Inc. Senior Notes 2.13% due 05/23/2019		110,000		109,023
Fifth Third Bancorp Senior Notes 3.63% due 01/25/2016		225,000		232,918
Fifth Third Bancorp Sub. Notes 5.45% due 01/15/2017		225,000		244,691
Fifth Third Bancorp Sub. Notes 8.25% due 03/01/2038		125,000		183,757
JP Morgan Chase Bank NA Sub. Notes 6.00% due 10/01/2017		625,000		698,786
National City Corp. Sub. Notes 6.88% due 05/15/2019		169,000		200,250
PNC Financial Services Group, Inc. Senior Notes 2.85% due 11/09/2022(6)		190,000		184,971

271

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
PNC Financial Services Group, Inc. Sub. Notes 3.90% due 04/29/2024	$	120,000	$	119,449
PNC Funding Corp. Bank Guar. Notes 2.70% due 09/19/2016		500,000		515,936
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		395,000		414,289
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035		600,000		680,638
Wells Fargo & Co. Senior Notes 1.40% due 09/08/2017		507,000		505,495
Wells Fargo & Co. Senior Notes 2.13% due 04/22/2019		2,000,000		1,975,728
Wells Fargo & Co. Senior Notes 3.30% due 09/09/2024		650,000		637,673
Wells Fargo & Co. Sub. Notes 3.45% due 02/13/2023		390,000		383,230
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		180,000		179,367
Wells Fargo & Co. Sub. Notes 4.13% due 08/15/2023		580,000		599,675
Wells Fargo & Co. Sub. Notes 4.48% due 01/16/2024		396,000		417,589
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		893,000		1,006,382
Wells Fargo & Co. Senior Notes 5.63% due 12/11/2017		100,000		111,952
				10,317,837
Beverages-Non-alcoholic — 0.0%
Coca-Cola Enterprises, Inc. Senior Notes 3.50% due 09/15/2020		300,000		310,157
Brewery — 0.3%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 0.80% due 07/15/2015		820,000		822,413
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 1.38% due 07/15/2017		325,000		324,567

Security Description	Principal Amount(12)		Value (Note 2)
Brewery (continued)
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.38% due 01/15/2020	$	425,000	$	479,480
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Bonds 8.20% due 01/15/2039		500,000		758,200
Molson Coors Brewing Co. Company Guar. Notes 5.00% due 05/01/2042		405,000		407,151
SABMiller Holdings, Inc. Company Guar. Notes 3.75% due 01/15/2022*		655,000		667,628
				3,459,439
Building & Construction Products-Misc. — 0.0%
Building Materials Corp. of America Company Guar. Notes 7.50% due 03/15/2020*		260,000		271,700
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/ Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		100,000		96,750
Building Products-Cement — 0.0%
Headwaters, Inc. Sec. Notes 7.63% due 04/01/2019		109,000		113,633
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		212,000		231,610
Building-Residential/Commercial — 0.1%
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		205,000		203,206
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		100,000		108,000
Toll Brothers Finance Corp. Company Guar. Notes 5.88% due 02/15/2022		140,000		148,750
WLH PNW Finance Corp. Senior Notes 7.00% due 08/15/2022*		34,000		34,425
				494,381
Cable/Satellite TV — 1.0%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.13% due 02/15/2023		10,000		9,600
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		10,000		9,788

272

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023	$	60,000	$	59,700
Comcast Corp. Company Guar. Notes 2.85% due 01/15/2023		800,000		783,872
Comcast Corp. Company Guar. Notes 3.60% due 03/01/2024		305,000		310,295
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		200,000		210,996
Comcast Corp. Company Guar. Notes 6.95% due 08/15/2037		500,000		669,934
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		540,000		724,125
Cox Communications, Inc. Senior Notes 2.95% due 06/30/2023*		230,000		215,275
Cox Communications, Inc. Senior Notes 5.50% due 10/01/2015		315,000		329,402
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		200,000		228,418
CSC Holdings LLC Senior Notes 8.63% due 02/15/2019		240,000		274,200
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		700,000		696,623
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		625,000		638,953
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 3.13% due 02/15/2016		400,000		411,602
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		150,000		166,104
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.35% due 03/15/2040		152,000		177,123

Security Description	Principal Amount(12)		Value (Note 2)
Cable/Satellite TV (continued)
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.38% due 03/01/2041	$	100,000	$	116,540
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		375,000		359,766
DISH DBS Corp. Company Guar. Notes 7.88% due 09/01/2019		240,000		271,200
Time Warner Cable, Inc. Company Guar. Notes 4.00% due 09/01/2021		690,000		726,029
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		124,000		122,362
Time Warner Cable, Inc. Company Guar. Notes 5.00% due 02/01/2020		800,000		888,997
Time Warner Cable, Inc. Company Guar. Notes 5.85% due 05/01/2017		300,000		332,520
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		225,000		264,739
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		419,000		528,570
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		300,000		348,817
Time Warner Cable, Inc. Company Guar. Notes 7.30% due 07/01/2038		144,000		195,826
				10,071,376
Casino Hotels — 0.0%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020*		79,000		77,815
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021*		89,000		83,437
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. Sec. Notes 9.38% due 05/01/2022*		65,000		56,875
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		50,000		52,750

273

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Hotels (continued)
Seminole Hard Rock Entertainment, Inc./ Seminole Hard Rock International LLC Company Guar. Notes 5.88% due 05/15/2021*	$	50,000	$	48,250
				319,127
Cellular Telecom — 0.1%
Sprint Nextel Corp. Company Guar. Notes 7.00% due 03/01/2020*		520,000		568,750
Sprint Nextel Corp. Senior Notes 7.00% due 08/15/2020		77,000		80,273
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		40,000		39,900
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		125,000		126,562
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		400,000		410,000
				1,225,485
Chemicals-Diversified — 0.1%
Dow Chemical Co. Senior Notes 4.25% due 10/01/2034		251,000		241,677
Eagle Spinco, Inc. Company Guar. Notes 4.63% due 02/15/2021		150,000		144,000
Olin Corp. Senior Notes 5.50% due 08/15/2022		100,000		103,000
				488,677
Chemicals-Specialty — 0.0%
Chemtura Corp. Company Guar. Notes 5.75% due 07/15/2021		80,000		79,200
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		108,000		141,308
WR Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		56,000		57,400
				277,908
Coal — 0.1%
CONSOL Energy, Inc. Company Guar. Notes 6.38% due 03/01/2021		100,000		101,500
Murray Energy Corp. Senior Sec. Notes 8.63% due 06/15/2021*		64,000		66,240
Peabody Energy Corp. Company Guar. Notes 6.00% due 11/15/2018		400,000		392,000

Security Description	Principal Amount(12)		Value (Note 2)
Coal (continued)
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020	$	120,000	$	112,200
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		145,000		152,250
				824,190
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022*		200,000		197,000
Harland Clarke Holdings Corp. Senior Sec. Notes 6.88% due 03/01/2020*		40,000		40,800
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		96,000		97,200
				335,000
Computer Services — 0.1%
International Business Machines Corp. Senior Notes 1.63% due 05/15/2020		480,000		459,752
International Business Machines Corp. Senior Notes 3.38% due 08/01/2023		200,000		201,933
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042		278,000		266,113
International Business Machines Corp. Senior Notes 5.60% due 11/30/2039		16,000		19,166
				946,964
Computers — 0.3%
Apple, Inc. Senior Notes 3.85% due 05/04/2043		525,000		486,801
Hewlett-Packard Co. Senior Notes 2.35% due 03/15/2015		200,000		201,702
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		615,000		624,626
Hewlett-Packard Co. Senior Notes 3.00% due 09/15/2016		600,000		620,955
Hewlett-Packard Co. Senior Notes 3.75% due 12/01/2020		200,000		207,372
Hewlett-Packard Co. Senior Notes 4.38% due 09/15/2021		230,000		245,546

274

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041	$	239,000	$	272,453
				2,659,455
Consumer Products-Misc. — 0.0%
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.75% due 10/15/2020		113,000		114,977
Containers-Metal/Glass — 0.1%
Ball Corp. Company Guar. Notes 5.00% due 03/15/2022		64,000		64,320
Crown Americas LLC/Crown Americas Capital Corp. III Company Guar. Notes 6.25% due 02/01/2021		270,000		283,500
Crown Cork & Seal Co., Inc. Senior Notes 7.38% due 12/15/2026		113,000		124,300
				472,120
Containers-Paper/Plastic — 0.0%
Consolidated Container Co. LLC/ Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		168,000		157,920
Packaging Corp. of America Senior Notes 3.65% due 09/15/2024		129,000		126,694
				284,614
Cosmetics & Toiletries — 0.1%
First Quality Finance Co., Inc. Senior Notes 4.63% due 05/15/2021*		109,000		101,642
Procter & Gamble Co. Senior Notes 3.10% due 08/15/2023		400,000		404,868
				506,510
Data Processing/Management — 0.0%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		355,000		363,875
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		48,000		47,160
Fresenius Medical Care US Finance, Inc. Company Guar. Notes 5.75% due 02/15/2021*		270,000		284,850
				332,010

Security Description	Principal Amount(12)		Value (Note 2)
Distribution/Wholesale — 0.0%
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023	$	45,000	$	43,425
Diversified Banking Institutions — 3.5%
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		2,046,000		2,042,014
Bank of America Corp. Senior Notes 4.00% due 04/01/2024		260,000		262,709
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		715,000		729,941
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		678,000		672,137
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		375,000		395,602
Bank of America Corp. Senior Notes 5.63% due 07/01/2020		525,000		592,826
Bank of America Corp. Senior Notes 5.88% due 01/05/2021		780,000		894,645
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		350,000		390,195
Bank of America Corp. Senior Notes 7.63% due 06/01/2019		755,000		912,083
Citigroup, Inc. Senior Notes 1.70% due 07/25/2016		150,000		151,520
Citigroup, Inc. Senior Notes 2.50% due 09/26/2018		1,425,000		1,434,268
Citigroup, Inc. Senior Notes 4.45% due 01/10/2017		410,000		436,844
Citigroup, Inc. Sub. Notes 4.88% due 05/07/2015		425,000		435,672
Citigroup, Inc. Senior Notes 5.38% due 08/09/2020		92,000		104,110
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		390,000		424,714
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		757,000		849,253
Citigroup, Inc. Senior Notes 6.13% due 11/21/2017		480,000		541,490
Citigroup, Inc. Senior Notes 6.13% due 05/15/2018		600,000		679,348

275

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 6.13% due 08/25/2036	$	1,160,000	$	1,330,017
Citigroup, Inc. Sub. Notes 6.68% due 09/13/2043		85,000		104,179
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		135,000		168,746
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		800,000		808,305
Goldman Sachs Group, Inc. Senior Notes 3.85% due 07/08/2024		655,000		651,134
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		1,135,000		1,143,149
Goldman Sachs Group, Inc. Senior Notes 4.80% due 07/08/2044		125,000		125,695
Goldman Sachs Group, Inc. Senior Notes 5.25% due 07/27/2021		332,000		368,056
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		850,000		946,364
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		89,000		106,515
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		260,000		314,918
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		385,000		448,383
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		1,522,000		1,816,944
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		1,956,000		1,925,197
JPMorgan Chase & Co. Sub. Notes 3.38% due 05/01/2023		645,000		617,870
JPMorgan Chase & Co. Senior Notes 3.63% due 05/13/2024		820,000		814,530
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		45,000		48,011
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		450,000		481,008
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022		225,000		241,071

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 4.63% due 05/10/2021	$	525,000	$	570,800
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		805,000		892,055
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		357,000		401,810
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		360,000		417,576
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		694,000		794,383
Merrill Lynch & Co., Inc. Senior Notes 6.88% due 04/25/2018		900,000		1,038,064
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		930,000		1,256,680
Morgan Stanley Senior Notes 1.75% due 02/25/2016		115,000		116,227
Morgan Stanley Senior Notes 2.13% due 04/25/2018		1,700,000		1,699,822
Morgan Stanley Senior Notes 2.50% due 01/24/2019		425,000		425,029
Morgan Stanley Senior Notes 3.75% due 02/25/2023		400,000		399,480
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		1,007,000		1,004,219
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		911,000		895,346
Morgan Stanley Senior Notes 4.75% due 03/22/2017		207,000		222,445
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		185,000		195,449
Morgan Stanley Senior Notes 5.50% due 07/24/2020		200,000		225,010
Morgan Stanley Senior Notes 5.55% due 04/27/2017		240,000		262,765
Morgan Stanley Senior Notes 6.25% due 08/28/2017		150,000		168,532
Morgan Stanley Senior Notes 6.63% due 04/01/2018		1,225,000		1,402,899

276

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 7.30% due 05/13/2019	$	125,000	$	149,095
NationsBank Corp. Sub. Notes 7.25% due 10/15/2025		23,000		28,210
				36,975,359
Diversified Financial Services — 0.6%
Associates Corp. of North America Senior Notes 6.95% due 11/01/2018		241,000		282,640
General Electric Capital Corp. Senior Notes 1.50% due 07/12/2016		785,000		794,533
General Electric Capital Corp. Senior Notes 2.30% due 04/27/2017		400,000		410,998
General Electric Capital Corp. Senior Notes 4.65% due 10/17/2021		570,000		627,837
General Electric Capital Corp. Sub. Notes 5.30% due 02/11/2021		255,000		287,396
General Electric Capital Corp. Senior Notes 5.50% due 01/08/2020		245,000		280,765
General Electric Capital Corp. Senior Notes 5.88% due 01/14/2038		980,000		1,182,043
General Electric Capital Corp. Senior Notes 6.00% due 08/07/2019		1,100,000		1,282,904
General Electric Capital Corp. Senior Notes 6.15% due 08/07/2037		150,000		185,233
General Electric Capital Corp. Senior Notes 6.75% due 03/15/2032		225,000		296,648
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		275,000		274,548
				5,905,545
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		202,000		196,614
General Electric Co. Senior Notes 4.13% due 10/09/2042		160,000		158,968
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		415,000		490,281
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		94,000		100,933

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Manufacturing Operations (continued)
Textron, Inc. Senior Notes 4.63% due 09/21/2016	$	234,000	$	249,054
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		134,000		134,235
				1,330,085
E-Commerce/Services — 0.1%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		428,000		436,560
Electric-Distribution — 0.0%
Connecticut Light & Power Co. 1st Mtg. Notes 2.50% due 01/15/2023		345,000		330,514
Electric-Generation — 0.0%
AES Corp. Senior Notes 4.88% due 05/15/2023		68,000		64,600
AES Corp. Senior Notes 5.50% due 03/15/2024		63,000		61,267
AES Corp. Senior Notes 8.00% due 06/01/2020		240,000		275,400
				401,267
Electric-Integrated — 1.7%
American Electric Power Co., Inc. Senior Notes 1.65% due 12/15/2017		105,000		104,954
Commonwealth Edison Co. 1st Mtg. Bonds 5.80% due 03/15/2018		235,000		266,398
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		300,000		294,990
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		74,000		79,091
Dominion Resources, Inc. Senior Notes 1.40% due 09/15/2017		125,000		124,126
Dominion Resources, Inc. Senior Notes 4.45% due 03/15/2021		486,000		526,661
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		336,000		379,965
Dominion Resources, Inc. Senior Notes 5.60% due 11/15/2016		200,000		218,824
Dominion Resources, Inc. Senior Notes 7.00% due 06/15/2038		255,000		341,652

277

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
DPL, Inc. Senior Notes 7.25% due 10/15/2021	$	395,000	$	407,837
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		78,360
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		50,947
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		50,000		62,075
Duke Energy Corp. Senior Notes 3.55% due 09/15/2021		450,000		466,371
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024		1,705,000		1,747,940
Duke Energy Corp. Senior Notes 3.95% due 10/15/2023		905,000		941,797
Duke Energy Indiana, Inc. 1st Mtg. Notes 4.90% due 07/15/2043		195,000		218,924
Edison International Senior Notes 3.75% due 09/15/2017		1,525,000		1,614,397
Entergy Corp. Senior Notes 3.63% due 09/15/2015		80,000		81,938
Exelon Generation Co. LLC Senior Notes 4.25% due 06/15/2022		350,000		360,701
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		171,000		202,154
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		183,000		185,284
FPL Group Capital, Inc. Company Guar. Notes 6.00% due 03/01/2019		250,000		286,573
Georgia Power Co. Senior Notes 3.00% due 04/15/2016		48,000		49,638
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		350,000		373,913
Great Plains Energy, Inc. Senior Notes 4.85% due 06/01/2021		91,000		100,239
MidAmerican Energy Holdings Co. Senior Notes 5.75% due 04/01/2018		450,000		508,179

Security Description	Principal Amount(12)		Value (Note 2)
Electric-Integrated (continued)
MidAmerican Energy Holdings Co. Senior Notes 6.13% due 04/01/2036	$	505,000	$	624,959
Nevada Power Co. General Refunding Mtg. 7.13% due 03/15/2019		200,000		241,155
NiSource Finance Corp. Company Guar. Notes 3.85% due 02/15/2023		275,000		281,989
Nisource Finance Corp. Company Guar. Notes 4.80% due 02/15/2044		126,000		128,190
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		437,000		470,954
NiSource Finance Corp. Company Guar. Notes 6.40% due 03/15/2018		80,000		91,310
Northeast Utilities Senior Notes 2.80% due 05/01/2023		825,000		794,522
Pacific Gas & Electric Co. Senior Notes 2.45% due 08/15/2022		450,000		427,052
Pacific Gas & Electric Co. Senior Notes 3.25% due 09/15/2021		172,000		174,938
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		260,000		265,817
PacifiCorp 1st Mtg. Bonds 4.10% due 02/01/2042		275,000		271,681
Pepco Holdings, Inc. Senior Notes 2.70% due 10/01/2015		175,000		178,025
Potomac Electric Power Co. 1st Mtg. Bonds 7.90% due 12/15/2038		65,000		100,409
Progress Energy, Inc. Senior Notes 3.15% due 04/01/2022		86,000		86,298
Progress Energy, Inc. Senior Notes 7.05% due 03/15/2019		180,000		215,803
PSEG Power LLC Company Guar. Notes 8.63% due 04/15/2031		200,000		287,368
San Diego Gas & Electric Co. 1st Mtg. Notes 3.60% due 09/01/2023		575,000		600,061
Sierra Pacific Power Co. General Refunding Mtg. 6.00% due 05/15/2016		150,000		162,065
Southern California Edison Co. 1st. Mtg. Bonds 1.13% due 05/01/2017		235,000		234,175

278

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Southern Co. Senior Notes 1.30% due 08/15/2017	$	201,000	$	200,022
Southern Power Co. Senior Notes 5.25% due 07/15/2043		170,000		188,856
Union Electric Co. Senior Sec. Notes 6.40% due 06/15/2017		165,000		185,106
Virginia Electric & Power Co. Senior Notes 1.20% due 01/15/2018		350,000		345,155
Virginia Electric & Power Co. Senior Notes 2.95% due 01/15/2022		165,000		166,423
Virginia Electric & Power Co. Senior Notes 5.40% due 04/30/2018		100,000		112,282
Xcel Energy, Inc. Senior Notes 0.75% due 05/09/2016		1,100,000		1,098,381
				18,006,924
Electric-Transmission — 0.1%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		70,000		75,095
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.00% due 09/30/2017		300,000		329,645
Oncor Electric Delivery Co. LLC Senior Sec. Notes 6.80% due 09/01/2018		150,000		175,849
				580,589
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 1.35% due 12/15/2017		380,000		378,769
Enterprise Software/Service — 0.1%
BMC Software Finance, Inc. Senior Notes 8.13% due 07/15/2021*		65,000		62,400
Oracle Corp. Senior Notes 2.80% due 07/08/2021		425,000		421,829
Oracle Corp. Senior Notes 5.38% due 07/15/2040		400,000		453,444
Oracle Corp. Senior Notes 5.75% due 04/15/2018		250,000		283,493
Oracle Corp. Senior Notes 6.13% due 07/08/2039		160,000		197,904
				1,419,070

Security Description	Principal Amount(12)		Value (Note 2)
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*	$	100,000	$	104,000
Activision Blizzard, Inc. Company Guar. Notes 6.13% due 09/15/2023*		350,000		371,875
				475,875
Finance-Auto Loans — 0.4%
Ally Financial, Inc. Company Guar. Notes 3.50% due 01/27/2019		14,000		13,615
Ally Financial, Inc. Senior Notes 5.13% due 09/30/2024		134,000		131,320
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		115,000		114,809
Ford Motor Credit Co. LLC Senior Notes 1.68% due 09/08/2017		1,000,000		995,599
Ford Motor Credit Co. LLC Senior Notes 2.75% due 05/15/2015		300,000		303,915
Ford Motor Credit Co. LLC Senior Notes 3.88% due 01/15/2015		250,000		252,403
Ford Motor Credit Co. LLC Senior Notes 5.88% due 08/02/2021		1,225,000		1,408,534
Ford Motor Credit Co. LLC Senior Notes 6.63% due 08/15/2017		375,000		423,930
General Motors Acceptance Corp. Senior Notes 8.00% due 11/01/2031		60,000		74,700
General Motors Financial Co., Inc. Company Guar. Notes 6.75% due 06/01/2018		370,000		412,781
				4,131,606
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021*		126,000		126,000
SLM Corp. Senior Notes 7.25% due 01/25/2022		670,000		726,950
Synchrony Financial Senior Notes 3.75% due 08/15/2021		84,000		84,759
Synchrony Financial Senior Notes 4.25% due 08/15/2024		110,000		110,014
				1,047,723

279

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Credit Card — 0.2%
American Express Co. Senior Notes 7.00% due 03/19/2018	$	975,000	$	1,135,168
American Express Credit Corp. Senior Notes 2.80% due 09/19/2016		700,000		723,123
Discover Financial Services Senior Notes 5.20% due 04/27/2022		160,000		175,182
Discover Financial Services Senior Notes 6.45% due 06/12/2017		40,000		44,804
				2,078,277
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 5.70% due 11/15/2014		485,000		485,997
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		215,000		250,127
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(8)		131,000		13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(8)		99,000		10
				736,147
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 4.75% due 03/01/2020		721,000		764,260
Finance-Other Services — 0.1%
Cogent Communications Finance, Inc. Company Guar. Notes 5.63% due 04/15/2021*		43,000		42,355
Harley-Davidson Financial Services, Inc. Company Guar. Notes 1.15% due 09/15/2015*		355,000		356,823
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		365,000		364,412
National Rural Utilities Cooperative Finance Corp. Notes 2.35% due 06/15/2020		195,000		193,740
				957,330
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		75,000		73,125

Security Description	Principal Amount(12)		Value (Note 2)
Food-Dairy Products — 0.0%
Whitewave Foods Co. Company Guar. Notes 5.38% due 10/01/2022	$	50,000	$	50,500
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*		84,000		88,200
Tyson Foods, Inc. Company Guar. Notes 5.15% due 08/15/2044		90,000		93,131
				181,331
Food-Misc./Diversified — 0.2%
Kraft Foods Group, Inc. Senior Notes 5.00% due 06/04/2042		595,000		622,044
Kraft Foods, Inc. Senior Notes 6.50% due 02/09/2040		131,000		164,251
Mondelez International, Inc. Senior Notes 4.00% due 02/01/2024		1,000,000		1,024,669
				1,810,964
Food-Retail — 0.0%
Kroger Co. Senior Notes 5.15% due 08/01/2043		220,000		235,250
Food-Wholesale/Distribution — 0.1%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*		39,000		37,050
Sysco Corp. Company Guar. Notes 2.35% due 10/02/2019		665,000		665,014
Sysco Corp. Company Guar. Notes 3.50% due 10/02/2024		172,000		172,472
Sysco Corp. Company Guar. Bonds 4.35% due 10/02/2034		76,000		77,105
Sysco Corp. Company Guar. Bonds 4.50% due 10/02/2044		126,000		126,921
				1,078,562
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 5.38% due 01/15/2022		225,000		227,250
Gambling (Non-Hotel) — 0.0%
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Senior Notes 8.63% due 09/15/2014*†(5)(8)(20)		1,581		320

280

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Gas-Distribution — 0.2%
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018	$	95,000	$	109,538
Sempra Energy Senior Notes 3.55% due 06/15/2024		1,200,000		1,209,008
Sempra Energy Senior Notes 6.50% due 06/01/2016		65,000		70,923
Sempra Energy Senior Notes 9.80% due 02/15/2019		100,000		130,315
				1,519,784
Gold Mining — 0.0%
Barrick North America Finance LLC Company Guar. Notes 5.75% due 05/01/2043		225,000		222,678
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		280,000		280,000
Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		28,000		28,980
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		425,000		449,437
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		55,000		57,200
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022*		76,000		77,948
				613,565
Instruments-Scientific — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 1.30% due 02/01/2017		515,000		513,426
Insurance Brokers — 0.3%
AON Corp. Senior Notes 3.13% due 05/27/2016		125,000		129,227
AON Corp. Company Guar. Notes 5.00% due 09/30/2020		275,000		305,309
Marsh & McLennan Cos., Inc. Senior Notes 2.30% due 04/01/2017		1,450,000		1,474,135
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		285,189
Marsh & McLennan Cos., Inc. Senior Notes 4.80% due 07/15/2021		250,000		275,304

Security Description	Principal Amount(12)		Value (Note 2)
Insurance Brokers (continued)
Marsh & McLennan Cos., Inc. Senior Notes 5.75% due 09/15/2015	$	9,000	$	9,427
USI, Inc. Senior Notes 7.75% due 01/15/2021*		130,000		129,350
				2,607,941
Insurance-Life/Health — 0.4%
Lincoln National Corp. Senior Notes 4.85% due 06/24/2021		400,000		441,853
Lincoln National Corp. Senior Notes 6.15% due 04/07/2036		200,000		245,045
Lincoln National Corp. Senior Notes 8.75% due 07/01/2019		335,000		426,742
Pacific Life Insurance Co. Sub. Notes 9.25% due 06/15/2039*		225,000		348,555
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		185,000		210,673
Pricoa Global Funding I Sec. Notes 1.35% due 08/18/2017*		251,000		249,741
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		70,000		70,023
Principal Financial Group, Inc. Company Guar. Notes 3.30% due 09/15/2022		60,000		59,801
Principal Financial Group, Inc. Company Guar. Notes 8.88% due 05/15/2019		100,000		126,955
Principal Life Global Funding II Senior Sec. Notes 1.00% due 12/11/2015*		186,000		186,797
Prudential Financial, Inc. Senior Notes 5.10% due 08/15/2043		400,000		422,228
Prudential Financial, Inc. Senior Notes 5.70% due 12/14/2036		320,000		367,923
Prudential Financial, Inc. Senior Notes 7.38% due 06/15/2019		180,000		219,216
Teachers Insurance & Annuity Assoc. of America Bonds 4.90% due 09/15/2044*		126,000		128,410
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		352,000		453,483
				3,957,445

281

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Multi-line — 0.5%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034	$	351,000	$	421,507
Guardian Life Insurance Co. of America Sub. Notes 7.38% due 09/30/2039*		100,000		136,811
Hartford Financial Services Group, Inc. Senior Notes 6.10% due 10/01/2041		275,000		343,156
MetLife, Inc. Senior Notes 6.38% due 06/15/2034		350,000		448,319
Metropolitan Life Global Funding I Sec. Notes 1.50% due 01/10/2018*		340,000		337,179
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019*		2,200,000		2,190,355
Metropolitan Life Global Funding I Senior Sec. Notes 2.50% due 09/29/2015*		194,000		197,814
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		350,000		538,840
Onex York Acquisition Corp. Company Guar. Notes 8.50% due 10/01/2022*		50,000		49,688
				4,663,669
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		495,000		764,668
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		222,000		223,970
				988,638
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		325,000		321,598
Investment Management/Advisor Services — 0.0%
Ameriprise Financial, Inc. Senior Notes 5.30% due 03/15/2020		305,000		345,465
Machinery-Farming — 0.1%
CNH Capital LLC Company Guar. Notes 6.25% due 11/01/2016		130,000		136,825

Security Description	Principal Amount(12)		Value (Note 2)
Machinery-Farming (continued)
CNH Industrial Capital LLC Company Guar. Notes 3.25% due 02/01/2017	$	166,000	$	163,510
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		444,000		441,672
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		339,000		339,585
				1,081,592
Medical Labs & Testing Services — 0.1%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		351,000		350,347
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019*		278,000		276,854
Roche Holdings, Inc. Company Guar. Notes 7.00% due 03/01/2039*		300,000		419,723
				1,046,924
Medical Products — 0.0%
Becton Dickinson and Co. Senior Notes 3.13% due 11/08/2021		55,000		56,293
Becton Dickinson and Co. Senior Notes 7.00% due 08/01/2027		116,000		149,860
Universal Hospital Services, Inc. Sec. Notes 7.63% due 08/15/2020		77,000		72,380
				278,533
Medical-Biomedical/Gene — 0.4%
Amgen, Inc. Senior Notes 2.13% due 05/15/2017		250,000		254,453
Amgen, Inc. Senior Notes 3.63% due 05/22/2024		1,170,000		1,159,366
Amgen, Inc. Senior Notes 3.88% due 11/15/2021		400,000		420,617
Amgen, Inc. Senior Notes 5.15% due 11/15/2041		225,000		237,480
Amgen, Inc. Senior Notes 6.40% due 02/01/2039		480,000		586,796
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		526,041
Gilead Sciences, Inc. Senior Notes 4.40% due 12/01/2021		650,000		709,480
				3,894,233

282

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs — 0.3%
AbbVie, Inc. Senior Notes 1.20% due 11/06/2015	$	195,000	$	195,734
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018		940,000		925,498
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		212,000		209,350
Forest Laboratories, Inc. Senior Notes 4.88% due 02/15/2021*		321,000		342,436
Schering-Plough Corp. Senior Notes 6.50% due 12/01/2033		400,000		537,170
Wyeth LLC Company Guar. Bonds 6.50% due 02/01/2034		750,000		979,781
Zoetis, Inc. Senior Notes 4.70% due 02/01/2043		250,000		251,373
				3,441,342
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 7.88% due 07/15/2020*		319,000		347,960
Medical-HMO — 0.3%
Aetna, Inc. Senior Notes 2.75% due 11/15/2022		150,000		143,464
Aetna, Inc. Senior Notes 4.50% due 05/15/2042		200,000		196,753
Centene Corp. Senior Notes 4.75% due 05/15/2022		130,000		130,325
Coventry Health Care, Inc. Senior Notes 5.45% due 06/15/2021		80,000		91,824
Humana, Inc. Senior Notes 3.85% due 10/01/2024		1,525,000		1,523,983
Kaiser Foundation Hospitals Company Guar. Notes 3.50% due 04/01/2022		155,000		156,245
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		95,000		96,663
WellPoint, Inc. Senior Notes 1.25% due 09/10/2015		135,000		135,792
WellPoint, Inc. Senior Notes 4.63% due 05/15/2042		125,000		121,775
WellPoint, Inc. Senior Notes 5.10% due 01/15/2044		325,000		345,316

Security Description	Principal Amount(12)		Value (Note 2)
Medical-HMO (continued)
WellPoint, Inc. Senior Notes 6.38% due 06/15/2037	$	260,000	$	320,185
				3,262,325
Medical-Hospitals — 0.2%
Capella Healthcare, Inc. Company Guar. Notes 9.25% due 07/01/2017		87,000		90,534
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/15/2018		100,000		102,750
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021*		90,000		89,775
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		29,000		28,348
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024		220,000		216,425
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		109,000		114,586
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		125,000		127,813
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		380,000		415,150
Memorial Sloan-Kettering Cancer Center Senior Notes 5.00% due 07/01/2042		211,000		236,474
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		52,000		51,610
Tenet Healthcare Corp. Senior Notes 5.00% due 03/01/2019*		32,000		31,600
Tenet Healthcare Corp. Senior Notes 6.00% due 10/01/2020		149,000		157,567
Tenet Healthcare Corp. Senior Sec. Notes 6.25% due 11/01/2018		380,000		403,750
				2,066,382
Metal Processors & Fabrication — 0.0%
Timken Co. Senior Notes 3.88% due 09/01/2024*		88,000		86,623
Metal-Aluminum — 0.0%
Alcoa, Inc. Senior Notes 5.13% due 10/01/2024		175,000		175,227

283

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Metal-Copper — 0.1%
Freeport-McMoRan, Inc. Senior Notes 3.55% due 03/01/2022	$	430,000	$	420,172
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043		550,000		560,796
				980,968
Multimedia — 0.7%
AOL Time Warner, Inc. Company Guar. Bonds 7.63% due 04/15/2031		840,000		1,133,808
NBCUniversal Media LLC Company Guar. Notes 5.15% due 04/30/2020		125,000		141,922
News America Holdings, Inc. Company Guar. Notes 8.88% due 04/26/2023		70,000		93,107
News America, Inc. Company Guar. Notes 3.00% due 09/15/2022		380,000		369,154
News America, Inc. Company Guar. Notes 6.15% due 02/15/2041		1,115,000		1,322,931
News America, Inc. Company Guar. Notes 6.40% due 12/15/2035		150,000		185,970
News America, Inc. Company Guar. Notes 6.90% due 03/01/2019		150,000		177,817
News America, Inc. Company Guar. Notes 7.28% due 06/30/2028		95,000		117,542
Time Warner Cos., Inc. Company Guar. Notes 6.63% due 05/15/2029		50,000		62,096
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		175,000		232,881
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 07/15/2033		118,000		174,301
Time Warner, Inc. Company Guar. Notes 2.10% due 06/01/2019		360,000		353,820
Time Warner, Inc. Company Guar. Notes 3.40% due 06/15/2022		75,000		75,059
Time Warner, Inc. Company Guar. Notes 4.00% due 01/15/2022		625,000		650,308
Time Warner, Inc. Company Guar. Notes 4.70% due 01/15/2021		275,000		300,956

Security Description	Principal Amount(12)		Value (Note 2)
Multimedia (continued)
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032	$	625,000	$	860,124
Viacom, Inc. Senior Notes 6.13% due 10/05/2017		350,000		395,260
				6,647,056
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		316,000		315,841
Cisco Systems, Inc. Senior Notes 5.50% due 01/15/2040		200,000		232,198
				548,039
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc. Company Guar. Notes 3.55% due 06/01/2022		625,000		635,151
Waste Management, Inc. Company Guar. Notes 6.10% due 03/15/2018		100,000		113,910
Waste Management, Inc. Company Guar. Notes 7.75% due 05/15/2032		450,000		641,491
				1,390,552
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.63% due 03/15/2024		304,000		308,152
Xerox Corp. Senior Notes 6.75% due 02/01/2017		250,000		279,790
				587,942
Office Supplies & Forms — 0.0%
ACCO Brands Corp. Company Guar. Notes 6.75% due 04/30/2020		39,000		40,365
Oil & Gas Drilling — 0.0%
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		29,000		28,420
Oil Companies-Exploration & Production — 0.8%
Alta Mesa Holdings LP/ Alta Mesa Finance Services Corp. Company Guar. Notes 9.63% due 10/15/2018		49,000		50,715
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.13% due 11/01/2020*		22,000		20,130

284

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
American Energy-Permian Basin LLC/AEPB Finance Corp. Senior Notes 7.38% due 11/01/2021*	$	30,000	$	27,450
Anadarko Petroleum Corp. Senior Notes 5.95% due 09/15/2016		300,000		327,243
Anadarko Petroleum Corp. Senior Notes 6.20% due 03/15/2040		200,000		244,625
Anadarko Petroleum Corp. Senior Notes 6.38% due 09/15/2017		125,000		141,690
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		437,000		532,536
Antero Resources Finance Corp. Company Guar. Notes 5.38% due 11/01/2021		200,000		199,000
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp. Company Guar. Notes 7.75% due 01/15/2021		83,000		81,755
Berry Petroleum Co. LLC Senior Notes 6.38% due 09/15/2022		33,000		32,010
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020*		35,000		35,525
California Resources Corp. Company Guar. Notes 5.50% due 09/15/2021*		75,000		76,125
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024*		50,000		51,375
Chaparral Energy, Inc. Company Guar. Notes 7.63% due 11/15/2022		51,000		52,275
Concho Resources, Inc. Company Guar. Notes 6.50% due 01/15/2022		260,000		276,250
ConocoPhillips Company Guar. Notes 5.90% due 10/15/2032		300,000		379,544
ConocoPhillips Company Guar. Notes 6.50% due 02/01/2039		400,000		523,640
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		125,000		123,750
Devon Financing Corp. LLC Company Guar. Bonds 7.88% due 09/30/2031		150,000		209,591

Security Description	Principal Amount(12)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022	$	47,000	$	49,703
EV Energy Partners LP/ EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		115,000		119,025
Halcon Resources Corp. Company Guar. Notes 9.75% due 07/15/2020		127,000		129,222
Hess Corp. Senior Notes 1.30% due 06/15/2017		485,000		483,157
Hess Corp. Senior Notes 5.60% due 02/15/2041		530,000		596,943
Hess Corp. Senior Notes 7.30% due 08/15/2031		150,000		200,238
Hess Corp. Senior Notes 7.88% due 10/01/2029		326,000		442,549
Hilcorp Energy I LP/ Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		135,000		129,937
Legacy Reserves LP/ Legacy Reserves Finance Corp. Company Guar. Notes 6.63% due 12/01/2021*		64,000		62,720
Memorial Production Partners LP/Memorial Production Finance Corp. Company Guar. Notes 7.63% due 05/01/2021		79,000		78,605
Midstates Petroleum Co., Inc. Company Guar. Notes 9.25% due 06/01/2021		31,000		30,535
Newfield Exploration Co. Senior Sub. Notes 6.88% due 02/01/2020		130,000		135,525
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		174,000		176,610
Penn Virginia Corp. Company Guar. Notes 8.50% due 05/01/2020		75,000		78,750
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022*		68,000		65,620
Rex Energy Corp. Company Guar. Notes 8.88% due 12/01/2020		15,000		16,125
Rice Energy, Inc. Company Guar. Notes 6.25% due 05/01/2022*		150,000		146,250

285

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Rosetta Resources, Inc. Company Guar. Notes 5.63% due 05/01/2021	$	45,000	$	43,875
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023*		113,000		111,904
SandRidge Energy, Inc. Company Guar. Notes 7.50% due 02/15/2023		110,000		106,838
Swift Energy Co. Company Guar. Notes 7.88% due 03/01/2022		60,000		60,000
Triangle USA Petroleum Corp. Senior Notes 6.75% due 07/15/2022*		33,000		32,216
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		50,000		48,500
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		15,000		15,465
				6,745,541
Oil Refining & Marketing — 0.1%
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		83,000		86,528
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		200,000		194,000
Valero Energy Corp. Company Guar. Notes 4.50% due 02/01/2015		215,000		217,752
Valero Energy Corp. Company Guar. Notes 6.13% due 02/01/2020		100,000		115,968
				614,248
Oil-Field Services — 0.0%
Plains Exploration & Production Co. Company Guar. Notes 6.63% due 05/01/2021		81,000		88,695
Plains Exploration & Production Co. Company Guar. Notes 6.75% due 02/01/2022		510,000		564,825
				653,520
Paper & Related Products — 0.2%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		89,000		84,995
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		200,000		197,500
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		225,000		245,237

Security Description	Principal Amount(12)		Value (Note 2)
Paper & Related Products (continued)
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*	$	396,000	$	406,325
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		284,000		320,916
International Paper Co. Senior Notes 7.30% due 11/15/2039		200,000		257,358
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		66,000		67,815
				1,580,146
Pharmacy Services — 0.0%
Express Scripts Holding Co. Company Guar. Notes 3.13% due 05/15/2016		20,000		20,715
Express Scripts Holding Co. Company Guar. Notes 7.25% due 06/15/2019		195,000		235,539
				256,254
Pipelines — 0.8%
Access Midstream Partners LP/ ACMP Finance Corp. Company Guar. Notes 4.88% due 05/15/2023		101,000		103,651
Atlas Pipeline Partners LP/ Atlas Pipeline Finance Corp. Company Guar. Notes 5.88% due 08/01/2023		42,000		41,055
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. Company Guar. Notes 6.63% due 10/01/2020		25,000		25,563
CenterPoint Energy Resources Corp. Senior Notes 4.50% due 01/15/2021		210,000		229,635
Duke Energy Field Services LLC Senior Notes 5.38% due 10/15/2015*		200,000		209,016
Duke Energy Field Services LLC Senior Notes 6.45% due 11/03/2036*		220,000		254,130
El Paso Corp. Company Guar. Notes 7.25% due 06/01/2018		185,000		210,206
El Paso Natural Gas Co. LLC Senior Notes 5.95% due 04/15/2017		370,000		408,044
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 4.70% due 11/01/2042		88,000		78,053

286

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
El Paso Pipeline Partners Operating Co. LLC Company Guar. Notes 6.50% due 04/01/2020	$	407,000	$	465,789
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		45,000		50,063
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		260,000		253,084
Energy Transfer Partners LP Senior Notes 4.90% due 02/01/2024		850,000		888,454
Energy Transfer Partners LP Senior Notes 5.15% due 02/01/2043		260,000		251,183
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		175,000		187,634
Energy Transfer Partners LP Senior Notes 6.13% due 02/15/2017		300,000		331,184
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		270,000		312,533
Energy Transfer Partners LP Senior Notes 9.00% due 04/15/2019		47,000		58,894
Enterprise Products Operating LLC Company Guar. Notes 5.95% due 02/01/2041		200,000		238,060
Enterprise Products Operating LLC Company Guar. Notes 6.50% due 01/31/2019		700,000		820,050
Genesis Energy LP Company Guar. Notes 5.63% due 06/15/2024		93,000		89,512
Kinder Morgan Energy Partners LP Senior Notes 5.00% due 08/15/2042		675,000		635,898
Kinder Morgan, Inc. Senior Notes 5.00% due 02/15/2021*		225,000		234,562
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		76,000		73,720
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		110,000		104,966

Security Description	Principal Amount(12)		Value (Note 2)
Pipelines (continued)
Plains All American Pipeline LP/ PAA Finance Corp. Notes 3.60% due 11/01/2024	$	162,000	$	158,992
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 5.75% due 01/15/2020		250,000		287,160
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022*		32,000		31,680
Southern Star Central Corp. Senior Notes 5.13% due 07/15/2022*		30,000		29,850
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		59,000		61,065
Williams Partners LP Senior Notes 3.35% due 08/15/2022		205,000		200,440
Williams Partners LP Senior Notes 4.13% due 11/15/2020		90,000		94,225
Williams Partners LP Senior Notes 4.30% due 03/04/2024		600,000		611,973
Williams Partners LP Senior Notes 6.30% due 04/15/2040		150,000		176,033
				8,206,357
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022*		75,000		72,469
Publishing-Newspapers — 0.1%
Gannett Co., Inc. Company Guar. Notes 5.13% due 10/15/2019		420,000		424,200
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022		60,000		64,800
				489,000
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		89,000		91,670
Time, Inc. Company Guar. Notes 5.75% due 04/15/2022*		60,000		57,450
				149,120

287

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Radio — 0.0%
Sirius XM Radio, Inc. Senior Notes 4.25% due 05/15/2020*	$	250,000	$	239,375
Real Estate Investment Trusts — 1.1%
AMB Property LP Company Guar. Notes 4.50% due 08/15/2017		85,000		91,046
Boston Properties LP Senior Notes 3.70% due 11/15/2018		165,000		174,625
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		335,000		330,990
Brandywine Operating Partnership LP Company Guar. Notes 4.95% due 04/15/2018		200,000		215,571
Brandywine Operating Partnership LP Company Guar. Notes 5.70% due 05/01/2017		315,000		343,273
Duke Realty LP Company Guar. Notes 3.63% due 04/15/2023		450,000		441,477
Duke Realty LP Senior Notes 5.95% due 02/15/2017		15,000		16,462
Duke Realty LP Senior Notes 7.38% due 02/15/2015		250,000		256,132
Duke Realty LP Company Guar. Notes 8.25% due 08/15/2019		200,000		247,840
Equity One, Inc. Company Guar. Notes 6.00% due 09/15/2017		160,000		176,928
Geo Group, Inc. Company Guar. Notes 5.13% due 04/01/2023		80,000		77,000
HCP, Inc. Senior Notes 3.75% due 02/01/2016		72,000		74,761
HCP, Inc. Senior Notes 3.75% due 02/01/2019		615,000		647,781
HCP, Inc. Senior Notes 4.20% due 03/01/2024		60,000		60,556
HCP, Inc. Senior Notes 4.25% due 11/15/2023		570,000		587,518
HCP, Inc. Senior Notes 6.30% due 09/15/2016		300,000		330,021

Security Description	Principal Amount(12)		Value (Note 2)
Real Estate Investment Trusts (continued)
Health Care REIT, Inc. Senior Notes 4.13% due 04/01/2019	$	815,000	$	868,261
Health Care REIT, Inc. Senior Notes 4.50% due 01/15/2024		150,000		154,328
Health Care REIT, Inc. Senior Notes 5.25% due 01/15/2022		300,000		331,899
Kimco Realty Corp. Senior Notes 3.13% due 06/01/2023		825,000		792,597
Kimco Realty Corp. Senior Notes 4.30% due 02/01/2018		150,000		161,285
Liberty Property LP Senior Notes 4.13% due 06/15/2022		300,000		310,849
Liberty Property LP Senior Notes 4.75% due 10/01/2020		80,000		86,153
Liberty Property LP Senior Notes 5.50% due 12/15/2016		110,000		119,296
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024*		174,000		177,045
Omega Healthcare Investors, Inc. Company Guar. Notes 5.88% due 03/15/2024		70,000		72,975
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		200,000		199,576
Prologis LP Company Guar. Notes 4.00% due 01/15/2018		185,000		195,724
Prologis LP Company Guar. Notes 4.25% due 08/15/2023		775,000		799,973
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		530,000		517,958
Realty Income Corp. Senior Notes 6.75% due 08/15/2019		160,000		188,897
Simon Property Group LP Senior Notes 1.50% due 02/01/2018*		375,000		370,935
UDR, Inc. Company Guar. Notes 4.25% due 06/01/2018		70,000		74,967
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.00% due 02/15/2018		1,050,000		1,050,216
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.70% due 04/01/2020		110,000		108,219

288

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 3.13% due 11/30/2015	$	155,000	$	159,164
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 3.25% due 08/15/2022		320,000		311,186
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		230,000		250,407
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		500,000		662,751
				12,036,642
Real Estate Management/Services — 0.0%
American Campus Communities Operating Partnership LP Company Guar. Notes 4.13% due 07/01/2024		128,000		128,369
Real Estate Operations & Development — 0.0%
Regency Centers LP Company Guar. Notes 5.25% due 08/01/2015		305,000		316,291
Recycling — 0.0%
Aleris International, Inc. Escrow Notes 9.00% due 12/15/2014†(5)(8)		70,000		3
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 2.80% due 11/01/2018*		110,000		112,553
ERAC USA Finance LLC Company Guar. Notes 3.30% due 10/15/2022*		10,000		9,911
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		215,000		283,968
United Rentals North America, Inc. Sec. Notes 5.75% due 07/15/2018		260,000		271,050
				677,482
Retail-Appliances — 0.0%
Conn's, Inc. Senior Notes 7.25% due 07/15/2022*		101,000		85,976
Retail-Auto Parts — 0.2%
AutoZone, Inc. Senior Notes 3.70% due 04/15/2022		1,148,000		1,169,500

Security Description	Principal Amount(12)		Value (Note 2)
Retail-Auto Parts (continued)
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020	$	425,000	$	450,496
				1,619,996
Retail-Automobile — 0.1%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		422,000		459,980
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022*		185,000		178,987
				638,967
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 2.70% due 04/01/2023		25,000		24,189
Home Depot, Inc. Senior Notes 5.88% due 12/16/2036		470,000		578,710
				602,899
Retail-Discount — 0.2%
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		168,000		175,458
Wal-Mart Stores, Inc. Senior Notes 4.30% due 04/22/2044		175,000		176,035
Wal-Mart Stores, Inc. Senior Bonds 5.25% due 09/01/2035		500,000		577,580
Wal-Mart Stores, Inc. Senior Notes 5.63% due 04/15/2041		580,000		702,567
Wal-Mart Stores, Inc. Senior Notes 6.20% due 04/15/2038		275,000		351,179
				1,982,819
Retail-Drug Store — 0.2%
CVS Caremark Corp. Senior Notes 2.75% due 12/01/2022		1,725,000		1,645,895
CVS Pass-Through Trust Pass Through Certs. 4.70% due 01/10/2036*		94,313		100,059
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		68,085		76,961
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		123,555		143,294
CVS Pass-Through Trust Pass Through Certs. 6.04% due 12/10/2028		176,141		203,708
				2,169,917

289

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 5.45% due 08/15/2034*	$	174,000	$	170,903
Retail-Music Store — 0.0%
Guitar Center, Inc. Company Guar. Notes 9.63% due 04/15/2020*		98,000		75,215
Retail-Perfume & Cosmetics — 0.0%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		250,000		265,000
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		83,000		74,285
Retail-Restaurants — 0.0%
Landry's, Inc. Senior Notes 9.38% due 05/01/2020*		94,000		99,405
McDonald's Corp. Senior Notes 3.70% due 02/15/2042		130,000		119,003
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		149,000		147,882
				366,290
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		164,000		176,079
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		489,000		557,705
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		332,000		382,895
Santander Holdings USA, Inc. Senior Notes 3.00% due 09/24/2015		120,000		122,183
				1,238,862
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		176,000		180,838
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		76,000		73,290

Security Description	Principal Amount(12)		Value (Note 2)
Schools (continued)
University of Pennsylvania Senior Notes 4.67% due 09/01/2112	$	79,000	$	80,182
				334,310
Security Services — 0.1%
ADT Corp. Senior Notes 3.50% due 07/15/2022		266,000		230,090
ADT Corp. Senior Notes 6.25% due 10/15/2021		400,000		414,000
				644,090
Semiconductor Equipment — 0.0%
Entegris, Inc. Company Guar. Notes 6.00% due 04/01/2022*		60,000		60,900
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		359,000		386,822
Special Purpose Entities — 0.2%
MassMutual Global Funding II Senior Sec. Notes 2.00% due 04/05/2017*		237,000		240,584
MassMutual Global Funding II Senior Sec. Notes 2.10% due 08/02/2018*		280,000		281,316
MassMutual Global Funding II Senior Sec. Notes 3.60% due 04/09/2024*		548,000		560,980
Principal Life Global Funding I Senior Sec. Notes 6.13% due 10/15/2033*		390,000		484,531
				1,567,411
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		120,000		123,900
Steel Pipe & Tube — 0.1%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*		63,000		63,630
Valmont Industries, Inc. Company Guar. Bonds 5.00% due 10/01/2044		167,000		163,835
Valmont Industries, Inc. Company Guar. Bonds 5.25% due 10/01/2054		239,000		233,364
				460,829
Steel-Producers — 0.1%
AK Steel Corp. Company Guar. Notes 8.38% due 04/01/2022		59,000		59,000

290

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers (continued)
Glencore Funding LLC Company Guar. Notes 1.70% due 05/27/2016*	$	740,000	$	745,021
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021*		148,000		150,220
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024*		90,000		90,450
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		120,000		133,200
				1,177,891
Storage/Warehousing — 0.0%
Mobile Mini, Inc. Company Guar. Notes 7.88% due 12/01/2020		110,000		117,700
Telecom Services — 0.0%
Consolidated Communications Finance II Co. Company Guar. Notes 6.50% due 10/01/2022*		69,000		68,655
Qwest Corp. Senior Notes 7.50% due 10/01/2014		30,000		30,000
				98,655
Telephone-Integrated — 1.4%
AT&T, Inc. Senior Notes 2.95% due 05/15/2016		300,000		309,833
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		128,000		117,651
AT&T, Inc. Senior Notes 4.80% due 06/15/2044		950,000		935,998
AT&T, Inc. Senior Notes 5.35% due 09/01/2040		806,000		854,679
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		85,000		87,125
Frontier Communications Corp. Senior Notes 6.88% due 01/15/2025		167,000		164,913
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		151,000		167,610
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		51,000		58,268
Sprint Capital Corp. Company Guar. Notes 8.75% due 03/15/2032		150,000		163,688

Security Description	Principal Amount(12)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020*	$	790,000	$	780,089
Verizon Communications, Inc. Senior Notes 3.45% due 03/15/2021		460,000		466,865
Verizon Communications, Inc. Senior Notes 4.15% due 03/15/2024		621,000		641,212
Verizon Communications, Inc. Senior Notes 4.50% due 09/15/2020		242,000		261,809
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046*		1,575,000		1,579,459
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054*		329,000		330,562
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		3,410,000		3,776,128
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		665,000		810,115
Verizon Communications, Inc. Senior Notes 6.40% due 02/15/2038		590,000		714,707
Verizon Communications, Inc. Senior Notes 6.55% due 09/15/2043		1,291,000		1,612,965
				13,833,676
Television — 0.1%
CBS Corp Company Guar. Notes 3.70% due 08/15/2024		525,000		518,453
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021		124,000		126,790
				645,243
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		675,000		646,539
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		31,000		40,356
Altria Group, Inc. Company Guar. Notes 9.70% due 11/10/2018		87,000		112,074
Altria Group, Inc. Company Guar. Notes 9.95% due 11/10/2038		41,000		67,792
Reynolds American, Inc. Company Guar. Notes 3.25% due 11/01/2022		145,000		139,908

291

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Tobacco (continued)
Reynolds American, Inc. Company Guar. Notes 6.15% due 09/15/2043	$	190,000	$	217,347
Reynolds American, Inc. Company Guar. Notes 7.75% due 06/01/2018		175,000		206,487
				1,430,503
Transport-Equipment & Leasing — 0.0%
Jurassic Holdings III, Inc. Sec. Notes 6.88% due 02/15/2021*		34,000		34,000
Transport-Rail — 0.3%
Burlington Northern Santa Fe LLC Senior Notes 5.15% due 09/01/2043		1,125,000		1,235,006
CSX Corp. Senior Notes 4.25% due 06/01/2021		1,095,000		1,188,221
CSX Corp. Senior Notes 6.22% due 04/30/2040		300,000		375,562
Florida East Coast Holdings Corp. Senior Sec. Notes 6.75% due 05/01/2019*		64,000		65,280
Union Pacific Corp. Senior Notes 2.95% due 01/15/2023		285,000		283,793
				3,147,862
Transport-Services — 0.1%
Ryder System, Inc. Senior Notes 2.45% due 09/03/2019		1,035,000		1,029,198
United Parcel Service, Inc. Senior Notes 2.45% due 10/01/2022		215,000		207,725
				1,236,923
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 8.50% due 05/15/2019*		23,000		24,610
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		180,000		183,660
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.25% due 01/17/2023*		15,000		15,424
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		1,060,000		1,139,121
				1,338,205

Security Description	Principal Amount(12)		Value (Note 2)
Web Hosting/Design — 0.0%
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		399,000		395,010
Wire & Cable Products — 0.0%
Anixter, Inc. Company Guar. Notes 5.13% due 10/01/2021		52,000		51,350
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		87,000		80,910
				132,260
Wireless Equipment — 0.0%
Motorola Solutions, Inc. Senior Notes 5.50% due 09/01/2044		147,000		145,408
Total U.S. Corporate Bonds & Notes (cost $237,802,652)				244,306,388
FOREIGN CORPORATE BONDS & NOTES — 5.3%
Advertising Services — 0.0%
WPP Finance Company Guar. Notes 3.75% due 09/19/2024		186,000		183,444
Agricultural Chemicals — 0.0%
Agrium, Inc. Senior Notes 4.90% due 06/01/2043		200,000		202,954
Agrium, Inc. Senior Notes 7.70% due 02/01/2017		100,000		113,230
				316,184
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		80,000		85,000
Banks-Commercial — 1.3%
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017		215,000		214,954
Abbey National Treasury Services PLC Company Guar. Notes 2.35% due 09/10/2019		1,175,000		1,159,966
Abbey National Treasury Services PLC Bank Guar. Notes 3.88% due 11/10/2014*		200,000		200,713
ANZ New Zealand Int'l, Ltd. Company Guar. Notes 1.13% due 03/24/2016*		487,000		489,123
Bank of Ireland Notes 10.00% due 07/30/2016	EUR	330,000		450,151
Bank of Tokyo-Mitsubishi UFJ, Ltd. Senior Notes 1.55% due 09/09/2016*		247,000		249,428

292

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Barclays Bank PLC Senior Notes 3.75% due 05/15/2024	$	200,000	$	198,752
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		2,240,000		2,489,903
BPCE SA Bank Guar. Notes 2.50% due 12/10/2018		1,240,000		1,243,026
BPCE SA Sub. Notes 4.50% due 03/15/2025*		248,000		240,394
BPCE SA Sub. Notes 5.15% due 07/21/2024*		780,000		803,799
Commerzbank AG Sub. Notes 8.13% due 09/19/2023*		200,000		230,900
Credit Suisse Senior Notes 1.38% due 05/26/2017		1,198,000		1,191,225
Credit Suisse Sub. Notes 5.40% due 01/14/2020		193,000		215,277
Credit Suisse AG FRS Bonds 5.75% due 09/18/2025	EUR	260,000		359,968
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		520,000		514,660
ING Bank NV Senior Notes 4.00% due 03/15/2016*		389,000		405,995
Intesa Sanpaolo SpA Company Guar. Notes 5.02% due 06/26/2024*		370,000		360,504
Kookmin Bank Senior Notes 1.63% due 07/14/2017*		606,000		601,457
Macquarie Bank, Ltd. Senior Notes 2.60% due 06/24/2019*		115,000		114,907
National Bank of Canada Company Guar. Notes 1.45% due 11/07/2017		389,000		386,384
Standard Chartered PLC Sub. Notes 3.95% due 01/11/2023*		390,000		379,577
Sumitomo Mitsui Banking Corp. Bank Guar. Notes 1.45% due 07/19/2016		575,000		579,848
				13,080,911
Banks-Money Center — 0.2%
ABN Amro Bank NV Senior Notes 4.25% due 02/02/2017*		290,000		308,328

Security Description	Principal Amount(12)		Value (Note 2)
Banks-Money Center (continued)
Mizuho Bank, Ltd. Company Guar. Notes 2.45% due 04/16/2019*	$	590,000	$	588,692
Mizuho Bank, Ltd. Company Guar. Notes 3.75% due 04/16/2024*		875,000		897,760
				1,794,780
Beverages-Non-alcoholic — 0.0%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		294,000		295,251
Brewery — 0.1%
Heineken NV Senior Notes 1.40% due 10/01/2017*		585,000		581,188
Cable/Satellite TV — 0.1%
British Sky Broadcasting Group PLC Company Guar. Notes 2.63% due 09/16/2019*		765,000		764,539
British Sky Broadcasting Group PLC Company Guar. Notes 6.10% due 02/15/2018*		200,000		225,318
				989,857
Cellular Telecom — 0.1%
America Movil SAB de CV Company Guar. Notes 2.38% due 09/08/2016		340,000		347,266
Vodafone Group PLC Senior Notes 1.50% due 02/19/2018		350,000		344,914
				692,180
Chemicals-Specialty — 0.0%
Methanex Corp. Senior Notes 6.00% due 08/15/2015		220,000		229,650
Cruise Lines — 0.0%
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		82,000		82,820
Diversified Banking Institutions — 1.0%
Barclays PLC Notes 4.38% due 09/11/2024		268,000		259,735
BNP Paribas SA Senior Notes 2.38% due 09/14/2017		915,000		930,724
BNP Paribas SA Senior Notes 3.25% due 03/03/2023		250,000		246,260

293

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
BNP Paribas SA Company Guar. Notes 5.00% due 01/15/2021	$	125,000	$	138,853
Credit Agricole SA FRS Sub. Notes 8.13% due 09/19/2033*		225,000		249,699
Credit Suisse Group Guernsey I, Ltd. FRS Company Guar. Bonds 7.88% due 02/24/2041		230,000		243,800
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		1,663,000		1,651,620
Deutsche Bank AG VRS Sub. Notes 4.30% due 05/24/2028		800,000		764,072
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		200,000		225,060
HSBC Holdings PLC Sub. Notes 5.25% due 03/14/2044		235,000		249,489
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		1,450,000		1,860,008
Royal Bank of Scotland Group PLC Sub. Notes 5.13% due 05/28/2024		1,000,000		982,561
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		137,000		144,658
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		420,000		444,544
UBS AG Senior Notes 1.38% due 08/14/2017		382,000		378,978
UBS AG Notes 5.13% due 05/15/2024		207,000		201,825
UBS AG Sub. Notes 5.88% due 07/15/2016		535,000		579,159
UBS AG Sub. Notes 7.63% due 08/17/2022		250,000		290,439
				9,841,484
Diversified Financial Services — 0.0%
Hyundai Capital Services, Inc. Senior Notes 6.00% due 05/05/2015*		246,000		253,439

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*	$	64,000	$	64,080
Diversified Minerals — 0.1%
Anglo American Capital PLC Company Guar. Notes 4.13% due 04/15/2021*		218,000		218,779
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		404,000		411,070
Xstrata Finance Canada, Ltd. Company Guar. Notes 3.60% due 01/15/2017*		150,000		155,963
Xstrata Finance Canada, Ltd. Company Guar. Notes 4.25% due 10/25/2022*		200,000		200,432
				986,244
Diversified Operations — 0.1%
Hutchison Whampoa International 09/19, Ltd. Company Guar. Notes 5.75% due 09/11/2019*		230,000		262,461
Hutchison Whampoa International 11, Ltd. Company Guar. Notes 3.50% due 01/13/2017*		955,000		999,731
				1,262,192
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		85,000		96,408
Electronic Components-Misc. — 0.0%
Flextronics International, Ltd. Company Guar. Notes 4.63% due 02/15/2020		300,000		300,000
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 4.63% due 12/15/2018		9,000		9,000
Food-Baking — 0.1%
Grupo Bimbo SAB de CV Senior Notes 4.88% due 06/27/2044*		1,200,000		1,160,856
Gold Mining — 0.1%
AuRico Gold, Inc. Sec. Notes 7.75% due 04/01/2020*		50,000		50,000
Barrick Gold Corp. Senior Notes 4.10% due 05/01/2023		600,000		576,537
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		125,000		129,707

294

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Gold Mining (continued)
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024*	$	65,000	$	66,116
				822,360
Hazardous Waste Disposal — 0.0%
Tervita Corp. Senior Sec. Notes 8.00% due 11/15/2018*		80,000		80,600
Medical-Drugs — 0.1%
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037		315,000		408,558
Takeda Pharmaceutical Co., Ltd. Senior Notes 1.63% due 03/17/2017*		248,000		249,120
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		20,000		19,925
				677,603
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.85% due 06/15/2044*		64,000		60,128
Metal-Diversified — 0.1%
Noranda, Inc. Company Guar. Notes 6.00% due 10/15/2015		225,000		235,979
Rio Tinto Finance USA PLC Company Guar. Notes 1.38% due 06/17/2016		500,000		502,968
				738,947
Metal-Iron — 0.0%
Samarco Mineracao SA Senior Notes 5.38% due 09/26/2024*		290,000		286,433
Vale SA Senior Notes 5.63% due 09/11/2042		86,000		84,144
				370,577
Oil & Gas Drilling — 0.1%
Ensco PLC Senior Notes 4.50% due 10/01/2024		98,000		98,330
Ensco PLC Senior Notes 5.75% due 10/01/2044		101,000		102,389
Transocean, Inc. Company Guar. Notes 3.80% due 10/15/2022		172,000		157,860
Transocean, Inc. Company Guar. Notes 6.38% due 12/15/2021		396,000		421,222

Security Description	Principal Amount(12)		Value (Note 2)
Oil & Gas Drilling (continued)
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031	$	74,000	$	77,372
				857,173
Oil Companies-Exploration & Production — 0.5%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		134,000		181,479
Canadian Natural Resources, Ltd. Senior Notes 3.80% due 04/15/2024		500,000		506,277
Canadian Natural Resources, Ltd. Senior Notes 5.70% due 05/15/2017		400,000		442,249
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		400,000		488,554
CNOOC Finance 2012, Ltd. Company Guar. Notes 3.88% due 05/02/2022*		475,000		475,831
CNPC General Capital, Ltd. Company Guar. Notes 2.75% due 04/19/2017*		450,000		457,648
CNPC HK Overseas Capital, Ltd. Company Guar. Notes 4.50% due 04/28/2021*		255,000		269,413
Encana Corp. Senior Notes 3.90% due 11/15/2021		1,025,000		1,057,925
Encana Corp. Senior Notes 5.15% due 11/15/2041		145,000		152,549
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		130,000		135,525
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		49,000		49,429
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		75,000		76,875
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		47,000		48,645
Nexen, Inc. Senior Notes 6.20% due 07/30/2019		100,000		116,035
Nexen, Inc. Senior Notes 7.50% due 07/30/2039		265,000		365,502
Talisman Energy, Inc. Senior Notes 5.50% due 05/15/2042		139,000		141,493

295

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Teine Energy, Ltd. Senior Notes 6.88% due 09/30/2022*	$	76,000	$	74,575
				5,040,004
Oil Companies-Integrated — 0.6%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017		25,000		24,828
BP Capital Markets PLC Company Guar. Notes 2.24% due 09/26/2018		1,350,000		1,354,255
BP Capital Markets PLC Company Guar. Notes 2.25% due 11/01/2016		229,000		234,891
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		850,000		868,269
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		525,000		561,586
Lukoil International Finance BV Company Guar. Notes 3.42% due 04/24/2018*		1,280,000		1,198,400
Petrobras Global Finance BV Company Guar. Notes 7.25% due 03/17/2044		88,000		95,096
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		186,000		189,757
Petroleos Mexicanos Company Guar. Notes 6.38% due 01/23/2045*		128,000		144,743
Shell International Finance BV Company Guar. Notes 4.55% due 08/12/2043		225,000		237,927
Statoil ASA Company Guar. Notes 1.95% due 11/08/2018		1,030,000		1,033,762
				5,943,514
Petrochemicals — 0.0%
Mexichem SAB de CV Company Guar. Notes 5.88% due 09/17/2044*		207,000		201,307
Pipelines — 0.1%
Enbridge, Inc. Senior Notes 3.50% due 06/10/2024		905,000		890,500
Real Estate Operations & Development — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		108,000		107,730
Satellite Telecom — 0.0%
Inmarsat Finance PLC Company Guar. Notes 4.88% due 05/15/2022*		135,000		131,963

Security Description	Principal Amount(12)		Value (Note 2)
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*	$	46,000	$	45,770
Semiconductor Components-Integrated Circuits — 0.1%
TSMC Global, Ltd Company Guar. Notes 1.63% due 04/03/2018*		450,000		444,355
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 6.50% due 05/15/2019*		150,000		156,375
Steel-Producers — 0.1%
ABJA Investment Co. Pte., Ltd. Company Guar. Notes 5.95% due 07/31/2024		965,000		976,580
ArcelorMittal Senior Notes 6.75% due 02/25/2022		31,000		33,286
ArcelorMittal Senior Notes 7.25% due 03/01/2041		50,000		50,125
				1,059,991
SupraNational Banks — 0.1%
Asian Development Bank Senior Notes 6.35% due 08/17/2016	INR	46,000,000		744,703
Telecom Services — 0.0%
Altice International Sarl Senior Sec. Notes 6.50% due 01/15/2022*		200,000		205,000
UPCB Finance III, Ltd. Senior Sec. Notes 6.63% due 07/01/2020*		150,000		156,765
				361,765
Telephone-Integrated — 0.2%
British Telecommunications PLC Senior Notes 2.00% due 06/22/2015		265,000		267,670
Deutsche Telekom International Finance BV Company Guar. Notes 3.13% due 04/11/2016*		250,000		257,995
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		420,000		610,671
Telecom Italia Capital SA Company Guar. Notes 7.18% due 06/18/2019		147,000		166,110
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		315,000		354,375
Telefonica Emisiones SAU Company Guar. Notes 3.19% due 04/27/2018		400,000		412,547

296

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Telefonos de Mexico SAB de CV Senior Notes 5.50% due 11/15/2019	$	270,000	$	305,661
				2,375,029
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037		285,000		356,667
Canadian Pacific Railway, Ltd. Senior Notes 4.50% due 01/15/2022		425,000		465,313
				821,980
Total Foreign Corporate Bonds & Notes (cost $53,419,080)				54,237,342
U.S. GOVERNMENT AGENCIES — 13.3%
Federal Home Loan Bank — 0.9%
0.38% due 06/24/2016		2,365,000		2,360,156
1.25% due 12/12/2014		660,000		661,521
2.75% due 03/13/2015		5,680,000		5,747,138
				8,768,815
Federal Home Loan Mtg. Corp. — 3.7%
0.88% due 03/07/2018		8,000,000		7,863,768
1.25% due 10/02/2019		1,272,000		1,235,574
1.89% due 02/01/2037 FRS		77,881		82,103
2.00% due 08/25/2016		8,055,000		8,268,595
2.38% due 01/13/2022		1,097,000		1,090,657
2.50% due 01/01/2028		261,611		264,271
2.50% due 04/01/2028		856,098		866,395
3.00% due 08/01/2027		823,082		847,549
3.00% due 10/01/2042		471,671		469,412
3.00% due 11/01/2042		652,844		645,469
3.00% due 02/01/2043		1,363,361		1,350,462
3.00% due 04/01/2043		465,470		460,212
3.00% due 08/01/2043		1,907,411		1,888,053
3.50% due 11/01/2041		554,165		566,312
3.50% due 03/01/2042		232,921		238,026
3.50% due 08/01/2042		1,238,560		1,266,679
3.50% due 09/01/2043		186,574		191,088
3.75% due 03/27/2019		796,000		861,939
4.00% due 10/01/2043		1,192,091		1,256,755
4.00% due October 30 TBA		1,200,000		1,263,374
4.50% due 01/01/2039		31,429		33,913
4.50% due October 30 TBA		2,600,000		2,803,938
5.00% due October 30 TBA		2,000,000		2,202,500
5.50% due 01/01/2036		452,552		507,818
6.00% due 03/01/2040		36,475		41,134
6.25% due 07/15/2032		206,000		286,894
6.75% due 03/15/2031		100,000		144,075
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN2, Class M2 1.80% due 04/25/2024(1)		156,000		151,511
Series 2014-DN1, Class M2 2.35% due 02/25/2024(1)		336,000		334,557

Security Description	Principal Amount(12)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(1)	$	45,694	$	44,290
Federal Home Loan Mtg. Corp., Structured Pass Through Certs. VRS Series K701, Class X1 0.43% due 11/25/2017(3)(4)		2,343,117		18,028
Series K013, Class X1 0.81% due 01/25/2021(3)(4)		2,406,043		73,040
				37,618,391
Federal National Mtg. Assoc. — 6.8%
zero coupon due 10/09/2019		1,747,000		1,549,474
0.63% due 10/30/2014		1,505,000		1,505,667
0.88% due 10/26/2017		1,700,000		1,683,870
1.63% due 10/26/2015		750,000		761,287
2.13% due 05/01/2037 FRS		147,965		157,357
2.38% due 04/11/2016		1,245,000		1,281,609
2.50% due 04/01/2028		552,191		558,641
2.50% due October 15 TBA		2,800,000		2,815,750
3.00% due 10/01/2027		854,453		882,898
3.00% due 11/01/2027		319,689		330,406
3.00% due 03/01/2042		468,658		463,372
3.00% due 12/01/2042		228,282		225,557
3.00% due 05/01/2043		604,844		597,302
3.00% due October 15 TBA		3,000,000		3,090,000
3.00% due October 30 TBA		11,849,000		11,680,521
3.50% due 08/01/2026		388,559		409,210
3.50% due 09/01/2026		460,665		485,523
3.50% due 08/01/2027		125,818		132,557
3.50% due 10/01/2028		136,806		144,455
3.50% due 03/01/2042		589,463		603,653
3.50% due 06/01/2042		391,101		400,509
3.50% due 07/01/2042		87,103		88,306
3.50% due 08/01/2042		744,133		758,311
3.50% due 08/01/2043		941,206		963,329
3.50% due October 15 TBA		1,300,000		1,366,523
3.50% due October 30 TBA		3,885,000		3,970,895
3.52% due 10/01/2040 FRS		178,491		190,808
4.00% due 06/01/2039		269,358		285,991
4.00% due 10/01/2040		372,533		393,126
4.00% due 11/01/2040		511,953		540,253
4.00% due 03/01/2041		646,012		681,722
4.00% due 10/01/2041		851,980		899,075
4.00% due 11/01/2041		496,668		524,123
4.00% due 10/01/2043		157,229		166,165
4.00% due 11/01/2043		604,343		639,253
4.00% due 12/01/2043		478,247		507,191
4.00% due October 15 TBA		1,200,000		1,269,187
4.00% due October 30 TBA		1,636,000		1,724,037
4.50% due 10/01/2024		91,572		97,195
4.50% due 01/01/2039		29,739		32,104
4.50% due 06/01/2039		359,470		389,940
4.50% due 09/01/2039		263,088		284,284
4.50% due 05/01/2041		248,335		268,084
4.50% due 03/01/2042		735,137		795,328

297

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
4.50% due October 30 TBA	$	8,271,000	$	8,923,633
5.00% due 03/15/2016		55,000		58,657
5.00% due 05/01/2040		571,648		630,687
5.00% due 06/01/2040		237,388		262,071
5.00% due 07/01/2040		1,226,490		1,355,514
5.00% due October 30 TBA		800,000		882,675
5.50% due 12/01/2029		97,557		108,958
5.50% due 08/01/2034		127,683		143,160
5.50% due 08/01/2037		382,263		426,728
5.50% due 06/01/2038		248,798		278,974
5.50% due October 30 TBA		1,900,000		2,115,903
6.00% due 11/01/2037		409,924		462,883
6.00% due 11/01/2038		29,248		33,060
6.00% due 06/01/2040		242,469		273,755
6.50% due 10/01/2037		3,133		3,546
6.63% due 11/15/2030		871,000		1,237,647
7.25% due 05/15/2030		2,260,000		3,361,488
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C02, Class 2MI 1.10% due 05/25/2024(1)		246,631		243,006
Series 2014-C01, Class M1 1.75% due 01/25/2024(1)		298,555		299,032
Series 2013-C01, Class M1 2.15% due 10/25/2023(1)		363,303		367,168
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(1)		811,251		806,470
				68,869,863
Government National Mtg. Assoc. — 1.9%
3.00% due October 30 TBA		3,400,000		3,421,516
4.00% due 03/15/2039		248,920		264,542
4.00% due 04/15/2039		24,908		26,472
4.00% due 05/15/2039		76,642		81,451
4.00% due 08/15/2039		27,242		28,951
4.00% due 10/15/2039		86,283		91,699
4.00% due 03/15/2040		89,732		95,388
4.00% due 09/15/2040		96,877		102,980
4.00% due 10/15/2040		58,794		62,503
4.00% due 12/15/2040		31,204		33,163
4.00% due 01/15/2041		36,911		39,243
4.00% due 02/15/2041		26,434		28,093
4.00% due 06/15/2041		256,937		273,634
4.00% due 07/15/2041		98,372		104,546
4.00% due 08/15/2041		812,815		864,398
4.00% due 09/15/2041		175,000		185,982
4.00% due 10/15/2041		287,445		305,484
4.00% due 11/15/2041		351,176		373,214
4.00% due 12/15/2041		360,950		383,602
4.00% due 01/15/2042		88,516		94,071
4.00% due 02/15/2042		27,501		29,236
4.00% due 03/15/2042		171,471		182,233
4.00% due 04/15/2042		12,171		12,935
4.00% due 03/20/2044		471,138		500,340
4.50% due 04/15/2018		28,282		29,619

Security Description	Principal Amount(12)		Value (Note 2)
Government National Mtg. Assoc. (continued)
4.50% due 05/15/2018	$	193,939	$	202,776
4.50% due 08/15/2018		11,839		12,431
4.50% due 09/15/2018		100,792		105,787
4.50% due 10/15/2018		365,019		383,495
4.50% due 09/15/2033		120,609		131,465
4.50% due 03/15/2039		211,654		229,834
4.50% due 05/15/2039		136,460		148,188
4.50% due 07/15/2039		74,749		81,173
4.50% due 10/15/2039		280,383		304,728
4.50% due 11/15/2039		8,777		9,531
4.50% due 01/15/2040		97,033		105,598
4.50% due 02/15/2040		144,688		157,709
4.50% due 03/15/2040		119,858		130,460
4.50% due 04/15/2040		5,693		6,195
4.50% due 05/15/2040		25,870		28,147
4.50% due 07/15/2040		71,008		77,924
4.50% due 09/15/2040		231,720		252,160
4.50% due 04/15/2041		66,687		72,371
4.50% due 05/15/2041		248,505		271,033
4.50% due 06/15/2041		45,578		49,793
4.50% due 07/15/2041		247,386		269,149
4.50% due 08/15/2041		189,941		206,496
5.00% due 06/15/2033		5,280		5,864
5.00% due 08/15/2033		35,824		39,569
5.00% due 09/15/2033		61,169		67,652
5.00% due 10/15/2033		36,243		40,182
5.00% due 11/15/2033		7,050		7,842
5.00% due 06/15/2034		146,543		162,106
5.00% due 05/15/2035		5,466		6,058
5.00% due 09/15/2035		5,586		6,177
5.00% due 11/15/2035		177,916		196,589
5.00% due 02/15/2036		103,688		114,542
5.00% due 02/20/2036		314,238		348,251
5.00% due 03/15/2036		73,792		81,256
5.00% due 05/15/2036		139,437		153,870
5.00% due 06/15/2036		46,300		50,955
5.00% due 08/15/2036		6,578		7,243
5.00% due 07/15/2038		428,435		471,573
5.00% due 08/15/2038		1,392,378		1,532,598
5.50% due 02/15/2032		5,236		5,845
5.50% due 03/15/2032		9,194		10,269
5.50% due 12/15/2032		7,942		8,871
5.50% due 01/15/2033		4,989		5,587
5.50% due 02/15/2033		28,336		31,718
5.50% due 03/15/2033		116,385		130,147
5.50% due 04/15/2033		362,014		405,452
5.50% due 05/15/2033		960		1,013
5.50% due 06/15/2033		561,142		628,170
5.50% due 07/15/2033		586,045		657,205
5.50% due 08/15/2033		88,657		99,510
5.50% due 09/15/2033		14,258		16,080
5.50% due 11/15/2033		75,218		83,650
5.50% due 12/15/2033		3,916		4,376
5.50% due 01/15/2034		171,813		193,054
5.50% due 02/15/2034		81,964		91,196
6.00% due 04/15/2028		196,049		226,639

298

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
6.00% due 01/15/2029	$	31,196	$	35,196
6.00% due 03/15/2029		25,742		29,048
6.00% due 11/15/2031		13,362		15,081
6.00% due 12/15/2031		28,307		32,348
6.00% due 04/15/2032		25,887		30,028
6.00% due 09/15/2032		21,516		24,919
6.00% due 10/15/2032		102,688		118,769
6.00% due 11/15/2032		35,783		41,508
6.00% due 01/15/2033		5,406		6,269
6.00% due 02/15/2033		57,239		65,202
6.00% due 03/15/2033		19,757		22,910
6.00% due 09/15/2033		22,436		25,322
6.00% due 01/15/2034		193,698		218,605
6.00% due 03/15/2034		32,207		36,347
6.00% due 05/15/2034		12,660		14,285
6.00% due 07/15/2034		22,687		26,288
6.00% due 08/15/2034		197,344		228,665
6.00% due 09/15/2034		18,183		20,776
6.00% due 11/15/2034		182,936		210,780
6.00% due 03/15/2035		57,949		65,773
6.00% due 08/15/2035		138,319		156,093
6.00% due 01/15/2036		59,834		69,262
6.00% due 02/15/2036		56,352		63,906
6.00% due 04/15/2036		133,057		151,956
6.00% due 05/15/2036		55,775		64,080
6.00% due 06/15/2036		177,332		202,660
6.00% due 07/15/2036		30,689		34,603
6.00% due 08/15/2036		133,472		153,041
6.00% due 09/15/2036		112,229		126,615
6.00% due 10/15/2036		245,882		280,817
6.00% due 11/15/2036		110,197		127,175
6.00% due 12/15/2036		22,050		25,448
6.50% due 09/15/2028		6,877		7,823
6.50% due 09/15/2031		12,654		14,347
6.50% due 10/15/2031		8,446		9,703
6.50% due 11/15/2031		2,690		3,054
6.50% due 12/15/2031		6,918		7,853
7.50% due 09/15/2030		22,906		23,705
				19,533,107
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		105,000		105,090
Total U.S. Government Agencies (cost $133,154,746)				134,895,266
U.S. GOVERNMENT TREASURIES — 36.9%
United States Treasury Bonds — 5.8%
2.75% due 08/15/2042		4,207,000		3,854,664
2.75% due 11/15/2042		2,634,000		2,409,699
2.88% due 05/15/2043		5,218,000		4,887,800
3.13% due 11/15/2041		548,000		543,547
3.13% due 02/15/2042		547,000		541,615
3.13% due 02/15/2043		1,770,000		1,744,002
3.13% due 08/15/2044		945,000		929,938
3.38% due 05/15/2044		1,263,000		1,304,047
3.50% due 02/15/2039		1,328,000		1,412,867
3.63% due 08/15/2043		3,158,000		3,413,602

Security Description	Principal Amount(12)		Value (Note 2)
United States Treasury Bonds (continued)
3.63% due 02/15/2044	$	3,686,000	$	3,983,184
3.75% due 08/15/2041		427,000		474,037
3.88% due 08/15/2040		1,577,000		1,785,213
4.25% due 05/15/2039		67,000		80,149
4.25% due 11/15/2040		1,100,000		1,321,203
4.38% due 02/15/2038		1,183,000		1,436,051
4.38% due 11/15/2039		1,271,000		1,550,818
4.38% due 05/15/2040		953,000		1,165,340
4.50% due 02/15/2036		1,334,000		1,646,448
4.50% due 05/15/2038		49,000		60,584
4.63% due 02/15/2040		1,187,000		1,503,409
4.75% due 02/15/2041		1,123,000		1,454,635
5.25% due 11/15/2028		252,000		324,214
5.38% due 02/15/2031		500,000		661,797
6.13% due 11/15/2027		544,000		747,490
6.25% due 08/15/2023		1,613,000		2,111,014
6.38% due 08/15/2027		1,217,000		1,702,469
6.75% due 08/15/2026		377,000		535,458
7.88% due 02/15/2021		1,267,000		1,708,471
8.13% due 08/15/2019		39,000		50,676
8.13% due 05/15/2021		13,000		17,851
8.75% due 05/15/2017		1,725,000		2,075,794
8.75% due 05/15/2020		1,035,000		1,413,826
8.75% due 08/15/2020		1,389,000		1,912,263
9.00% due 11/15/2018		3,770,000		4,902,176
9.13% due 05/15/2018		32,000		40,832
United States Treasury Bonds TIPS 1.38% due 02/15/2044(9)		2,801,075		2,996,055
				58,703,238
United States Treasury Notes — 31.1%
0.06% due 01/31/2016 FRS		699,000		699,142
0.25% due 05/31/2015		1,408,000		1,409,760
0.25% due 10/31/2015		143,000		143,156
0.38% due 03/15/2015		5,270,000		5,277,821
0.38% due 04/15/2015		3,979,000		3,985,685
0.38% due 06/15/2015		10,587,000		10,609,741
0.38% due 01/31/2016		5,371,000		5,378,761
0.38% due 03/15/2016		1,813,000		1,813,850
0.63% due 05/31/2017		1,088,000		1,078,565
0.63% due 08/31/2017		12,809,000		12,639,883
0.63% due 11/30/2017		3,955,000		3,883,624
0.63% due 04/30/2018		2,441,000		2,376,733
0.75% due 06/30/2017		10,430,000		10,360,734
0.75% due 12/31/2017		50,000		49,203
0.88% due 11/30/2016		10,404,000		10,442,203
0.88% due 01/31/2017		10,928,000		10,948,490
0.88% due 02/28/2017		4,356,000		4,360,426
0.88% due 07/31/2019		4,664,000		4,468,331
1.00% due 08/31/2016		13,077,000		13,183,251
1.00% due 09/30/2016		10,153,000		10,229,148
1.00% due 10/31/2016		7,870,000		7,925,948
1.00% due 03/31/2017		6,007,000		6,025,303
1.13% due 12/31/2019		1,985,000		1,911,182
1.25% due 08/31/2015		1,641,000		1,658,116
1.25% due 09/30/2015		1,716,000		1,734,837
1.25% due 10/31/2015		7,703,000		7,792,671

299

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
United States Treasury Notes (continued)
1.25% due 11/30/2018	$	5,880,000	$	5,799,150
1.25% due 01/31/2019		13,253,000		13,030,389
1.25% due 02/29/2020		7,778,000		7,515,493
1.38% due 11/30/2015		1,100,000		1,114,911
1.38% due 07/31/2018		1,916,000		1,908,217
1.38% due 09/30/2018		7,787,000		7,738,331
1.38% due 05/31/2020		4,553,000		4,409,298
1.50% due 08/31/2018		4,423,000		4,420,926
1.63% due 08/15/2022		3,314,000		3,146,746
1.63% due 11/15/2022		8,502,000		8,035,053
1.75% due 07/31/2015		2,604,000		2,639,602
1.75% due 10/31/2020		3,843,000		3,770,644
1.75% due 05/15/2022		5,388,000		5,180,056
1.75% due 05/15/2023		8,848,000		8,386,241
1.88% due 08/31/2017		3,079,000		3,150,442
1.88% due 10/31/2017		984,000		1,005,525
2.00% due 01/31/2016		2,932,000		2,999,116
2.00% due 05/31/2021		3,075,000		3,039,447
2.00% due 11/15/2021		4,434,000		4,365,065
2.00% due 02/15/2022		1,160,000		1,139,338
2.00% due 02/15/2023		2,884,000		2,798,608
2.13% due 12/31/2015		409,000		418,570
2.13% due 08/15/2021		7,667,000		7,628,665
2.38% due 02/28/2015		3,299,000		3,330,571
2.38% due 05/31/2018		4,163,000		4,305,778
2.38% due 08/15/2024		1,985,000		1,962,049
2.50% due 04/30/2015		4,599,000		4,664,214
2.50% due 08/15/2023		4,156,000		4,180,678
2.50% due 05/15/2024		1,778,000		1,779,111
2.63% due 04/30/2016		4,372,000		4,524,679
2.63% due 08/15/2020		922,000		953,118
2.63% due 11/15/2020		2,646,000		2,728,688
2.75% due 12/31/2017		318,000		333,204
2.75% due 02/15/2019		1,649,000		1,725,781
3.13% due 05/15/2019		2,092,000		2,222,913
3.13% due 05/15/2021		7,000		7,418
3.38% due 11/15/2019		816,000		878,539
3.50% due 05/15/2020		699,000		757,541
3.63% due 08/15/2019		19,000		20,652
3.63% due 02/15/2020		3,814,000		4,157,557
3.63% due 02/15/2021		3,869,000		4,220,839
3.88% due 05/15/2018		21,000		22,856
4.00% due 08/15/2018		29,000		31,773
4.25% due 08/15/2015		831,000		860,929
4.25% due 11/15/2017		69,000		75,533
4.50% due 05/15/2017		30,000		32,766
United States Treasury Notes TIPS 0.13% due 04/15/2018(9)		462,775		466,463
0.13% due 04/15/2019(9)		6,934,508		6,951,303
0.13% due 01/15/2023(9)		4,717,108		4,563,802
0.13% due 07/15/2024(9)		5,192,595		4,985,296
0.63% due 01/15/2024(9)		11,385,265		11,442,191
				316,212,639
Total U.S. Government Treasuries (cost $371,419,176)				374,915,877

Security Description	Principal Amount(12)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 0.5%
Bay Area Toll Authority Revenue Bonds Series F-2 6.26% due 04/01/2049	$	325,000	$	435,367
California State Public Works Board Revenue Bonds Series G2 8.36% due 10/01/2034		125,000		177,842
Metropolitan Transportation Authority Revenue Bonds Series A2 6.09% due 11/15/2040		130,000		166,100
New Jersey State Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		125,000		179,024
New York State Dormitory Authority Revenue Bonds Series F 5.63% due 03/15/2039		30,000		36,200
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111		258,000		268,000
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		190,000		189,419
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		185,000		203,167
Port Authority of New York & New Jersey Revenue Bonds Series 158 5.86% due 12/01/2024		150,000		181,596
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		750,000		427,522
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		785,000		447,521

300

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058	$	290,000	$	165,883
State of California General Obligation Bonds 4.85% due 10/01/2014		125,000		125,000
State of California General Obligation Bonds 7.55% due 04/01/2039		375,000		546,825
State of California General Obligation Bonds 7.63% due 03/01/2040		275,000		400,988
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		120,000		116,526
University of California Revenue Bonds Series H 6.55% due 05/15/2048		450,000		587,308
Total Municipal Bonds & Notes (cost $4,130,391)				4,654,288
LOANS(15)(16)(17) — 1.9%
Advertising Agencies — 0.0%
Acosta, Inc. FRS BTL 5.00% due 09/26/2021		130,000		129,998
Advertising Sales — 0.1%
Advantage Sales & Marketing, Inc. FRS Delayed Draw 3.75% due 07/25/2021(18)		531,452		521,709
Aerospace/Defense-Equipment — 0.0%
TransDigm, Inc. FRS 3.75% due 06/04/2021		99,750		98,093
Airlines — 0.1%
American Airlines, Inc. FRS BTL-B 3.75% due 06/27/2019		584,085		572,890
Alternative Waste Technology — 0.0%
Darling Ingredients, Inc. FRS BTL 3.25% due 01/08/2021		253,725		251,188
Applications Software — 0.0%
Verint Systems, Inc. FRS BTL-B 3.50% due 09/06/2019		130,729		129,911
Auto-Cars/Light Trucks — 0.0%
Chrysler Group LLC FRS BTL 3.25% due 12/31/2018		223,875		220,167

Security Description	Principal Amount(12)		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 0.0%
Tower Automotive Holdings USA, LLC FRS BTL 4.00% due 04/23/2020	$	119,400	$	117,982
Cable/Satellite TV — 0.0%
Charter Communations Operating LLC FRS BTL-G 4.25% due 09/12/2021		115,000		114,507
Numericable US LLC FRS BTL-B1 4.50% due 04/23/2020		58,977		58,402
Numericable US LLC FRS BTL-B2 4.50% due 04/23/2020		51,023		50,526
				223,435
Casino Hotels — 0.0%
Caesars Entertainment Operating Co., Inc. FRS BTL-B5B 5.95% due 03/01/2017		129,503		117,686
MGM Resorts International FRS BTL-B 3.50% due 12/20/2019		247,481		242,892
				360,578
Casino Services — 0.0%
Aristocrat Leisure, Ltd. FRS BTL-B 4.75% due 09/29/2021		135,000		133,355
Scientific Games International, Inc. FRS BTL-B2 6.00% due 10/01/2021		155,000		151,544
				284,899
Cellular Telecom — 0.0%
LTS Buyer LLC FRS BTL-B 4.00% due 04/13/2020		168,793		165,734
Chemicals-Specialty — 0.0%
Minerals Technology, Inc. FRS BTL-B 4.00% due 05/09/2021		141,849		141,317
Coal — 0.1%
Arch Coal, Inc. FRS BTL 6.25% due 05/16/2018		247,474		225,758
Sandy Creek Energy Associates LP FRS BTL-B 5.00% due 11/08/2020		359,033		357,508
				583,266
Commercial Services — 0.1%
Brand Energy & Infrastructure Services, Inc. FRS BTL-B 4.75% due 11/26/2020		188,575		187,797

301

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
LOANS(15)(16)(17) (continued)
Commercial Services (continued)
Brickman Group, Ltd. LLC FRS BTL-B 4.00% due 12/18/2020	$	198,501	$	194,283
ServiceMaster Co. LLC FRS BTL-B 4.25% due 07/01/2021		447,722		440,867
				822,947
Commercial Services-Finance — 0.0%
Interactive Data Corp. FRS BTL-B 4.75% due 05/02/2021		99,750		99,043
TransUnion LLC FRS BTL-B 4.00% due 04/09/2021		138,942		136,742
				235,785
Containers-Metal/Glass — 0.0%
BWAY Holding Co. FRS BTL-B 5.50% due 08/14/2020		134,663		134,663
Containers-Paper/Plastic — 0.1%
Berry Plastics Group, Inc. FRS BTL-E 3.75% due 01/06/2021		633,800		618,659
Coveris Holdings SA FRS BTL-B 5.25% due 05/08/2019		148,875		149,371
				768,030
Data Processing/Management — 0.0%
First Data Corp. FRS BTL-C1 3.65% due 03/24/2018		250,000		244,896
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc. FRS BTL 3.50% due 06/24/2021		109,725		108,371
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. FRS BTL-B 4.75% due 06/30/2021		139,650		137,904
Diversified Minerals — 0.1%
American Rock Salt Co. LLC FRS BTL-B 4.75% due 05/20/2021		179,550		177,305
FMG Resources August 2006 Pty, Ltd. FRS BTL-B 3.75% due 06/30/2019		693,000		677,985
				855,290
Electric-Integrated — 0.0%
Texas Competitive Electric Holdings Co. LLC FRS 1st Lien DIP 3.75% due 05/05/2016(19)		155,198		155,198

Security Description	Principal Amount(12)		Value (Note 2)
Electronic Components-Semiconductors — 0.0%
Avago Technologies Cayman, Ltd. BTL-B 3.75% due 05/06/2021	$	199,500	$	197,505
Freescale Semiconductor, Inc. FRS BTL-B4 4.25% due 03/01/2020		247,502		243,376
				440,881
Entertainment Software — 0.0%
Activision Blizzard, Inc. FRS BTL-B 3.25% due 10/11/2020		211,875		211,257
Filtration/Separation Products — 0.0%
Filtration Group, Inc. FRS BTL-B 4.50% due 11/21/2020		114,138		113,852
Food-Misc./Diversified — 0.0%
Dole Food Co., Inc. FRS BTL 4.50% due 11/01/2018		210,521		208,767
Food-Retail — 0.0%
Burger King ULLC FRS BTL-B 4.50% due 09/24/2021		100,000		99,139
Albertson's Holdings LLC FRS BTL-B4 4.50% due 08/25/2021		180,000		178,875
				278,014
Hotel/Motels — 0.0%
La Quinta Intermediate Holdings LLC FRS BTL-B 4.00% due 04/14/2021		129,343		127,467
Independent Power Producers — 0.1%
Calpine Corp FRS Delayed Draw 4.00% due 10/31/2020		129,025		127,643
EFS Cogen Holdings I LLC FRS BTL 3.75% due 12/17/2020		96,645		96,282
NRG Energy, Inc. FRS BTL 2.75% due 07/01/2018		247,487		242,754
				466,679
Insurance Brokers — 0.0%
HUB International, Ltd. FRS BTL-B 4.25% due 10/02/2020		348,250		340,741
Insurance-Property/Casualty — 0.1%
Asurion LLC FRS Tranche B2 4.25% due 07/08/2020		321,742		316,313
Asurion LLC FRS 2nd Lien 8.50% due 03/03/2021		125,000		126,302
				442,615

302

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
LOANS(15)(16)(17) (continued)
Internet Connectivity Services — 0.1%
Zayo Group LLC FRS BTL-B 4.00% due 07/02/2019	$	494,942	$	487,002
Investment Management/Advisor Services — 0.1%
Nuveen Investments, Inc. FRS BTL-B 4.16% due 05/13/2017		350,000		348,687
Nuveen Investments, Inc. FRS 2nd Lien 6.50% due 02/28/2019		250,000		250,000
				598,687
Machinery-General Industrial — 0.1%
Gardner Denver, Inc. FRS BTL 4.25% due 07/30/2020		247,500		242,271
Pro Mach, Inc. FRS BTL-B 4.50% due 07/16/2017		121,366		120,456
RBS Global, Inc. FRS BTL-B 4.00% due 08/21/2020		346,500		340,581
				703,308
Medical Labs & Testing Services — 0.0%
American Renal Holdings, Inc. FRS Delayed Draw 4.50% due 08/20/2019		198,489		196,008
Medical-Biomedical/Gene — 0.0%
Medpace Holdings, Inc. FRS BTL-B 4.75% due 04/01/2021		95,283		95,005
Medical-Drugs — 0.1%
PRA Holdings, Inc. FRS BTL 4.50% due 09/24/2020		212,850		210,721
Salix Pharmaceuticals, Ltd. FRS BTL-B 4.25% due 01/02/2020		235,813		235,097
				445,818
Medical-Hospitals — 0.0%
CHS/Community Health Systems, Inc. FRS BTL-D 4.25% due 01/27/2021		104,213		103,835
Metal Processors & Fabrication — 0.1%
AFGlobal Corp. FRS BTL-B 5.00% due 12/19/2019		99,003		98,693
Crosby US Acquisition Corp. FRS BTL 3.75% due 11/22/2020		540,913		516,572
				615,265

Security Description	Principal Amount(12)		Value (Note 2)
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL 4.25% due 07/03/2021	$	180,000	$	176,657
Oil & Gas Drilling — 0.0%
Paragon Offshore Finanace Co. FRS BTL-B 3.75% due 07/18/2021		100,000		94,250
Seadrill Operating LP FRS BTL-B 4.00% due 02/21/2021		218,599		207,278
				301,528
Oil Companies-Exploration & Production — 0.0%
American Energy- Marcellus LLC FRS BTL 5.25% due 08/04/2020		100,000		99,042
Templar Energy LLC FRS BTL-B 8.50% due 11/25/2020		100,000		96,875
				195,917
Oil Refining & Marketing — 0.0%
Western Refining, Inc. FRS BTL-B 4.25% due 11/12/2020		119,100		118,430
Pipelines — 0.0%
Energy Transfer Equity LP FRS Tranche B 3.25% due 12/02/2019		280,500		273,487
Professional Sports — 0.1%
Delta 2 Lux Sarl FRS BTL-B 4.75% due 07/30/2021		400,000		394,000
Delta 2 Lux Sarl FRS BTL-B 7.75% due 07/31/2022		120,000		119,400
				513,400
Publishing-Newspapers — 0.1%
Tribune Media Co. FRS BTL-B 4.00% due 12/27/2020		622,427		614,063
Real Estate Investment Trusts — 0.0%
Crown Castle Operating Co. FRS BTL 3.00% due 01/31/2021		193,538		190,707
Recreational Centers — 0.0%
24 Hour Fitness Worldwide, Inc. FRS BTL-B 4.75% due 05/28/2021		149,625		149,017

303

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
LOANS(15)(16)(17) (continued)
Recreational Centers (continued)
Town Sports International LLC FRS BTL-B 4.50% due 11/15/2020	$	188,575	$	162,175
				311,192
Retail-Apparel/Shoe — 0.0%
Kate Spade & Co. FRS BTL 4.00% due 04/10/2021		185,000		181,069
Retail-Arts & Crafts — 0.0%
Michaels Stores, Inc. BTL-B2 4.00% due 01/28/2020		100,000		98,650
Retail-Bedding — 0.0%
Serta Simmons Holdings LLC FRS BTL-B 4.25% due 10/01/2019		200,158		198,351
Retail-Discount — 0.1%
BJ's Wholesale Club, Inc. FRS BTL-B 4.50% due 09/26/2019		625,275		614,779
Retail-Sporting Goods — 0.0%
Bauer Performance Sports, Ltd. FRS BTL-B 4.00% due 04/15/2021		73,435		72,303
Satellite Telecom — 0.1%
Intelsat Jackson Holdings SA FRS BTL-B2 3.75% due 06/30/2019		532,591		523,714
Semiconductor Components-Integrated Circuits — 0.0%
NXP BV FRS BTL 3.25% due 01/11/2020		188,100		184,573
Special Purpose Entity — 0.1%
SAM Finance Lux Sarl FRS BTL-B 4.25% due 11/26/2020		585,575		582,098
Specified Purpose Acquisitions — 0.1%
Opal Acquisition, Inc. FRS BTL-B 5.00% due 11/27/2020		411,888		410,858
Steel-Specialty — 0.0%
Signode Industrial Group US, Inc. FRS BTL-B 4.00% due 05/01/2021		127,815		126,137
Telecom Services — 0.0%
Ziggo NV FRS BTL-B1 3.25% due 01/15/2022		129,425		125,565
Ziggo NV FRS BTL-B2 2.75% due 01/15/2022		83,404		80,917

Security Description	Principal Amount(12)		Value (Note 2)
Telecom Services (continued)
Ziggo NV FRS BTL-B3 2.47% due 01/15/2022	$	137,171	$	133,081
				339,563
Television — 0.0%
ION Media Networks, Inc. FRS BTL-B 5.00% due 12/18/2020		143,913		143,913
Univision Communications, Inc. FRS BTL-C4 4.00% due 03/01/2020		247,502		242,500
				386,413
Transport-Equipment & Leasing — 0.0%
Fly Funding II Sarl FRS BTL 4.50% due 08/09/2019		125,125		124,812
Workers Comp/Injury Services — 0.0%
Sedgwick Claims Management Services, Inc. FRS BTL 3.75% due 02/28/2021		268,650		260,087
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 6.75% due 02/28/2022		125,000		122,344
				382,431
Total Loans (cost $20,337,123)				20,060,584
FOREIGN GOVERNMENT OBLIGATIONS — 1.1%
Banks-Special Purpose — 0.1%
Export-Import Bank of China Senior Notes 2.50% due 07/31/2019*		390,000		386,087
Regional Authority — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		159,000		159,867
Province of British Columbia Senior Notes 2.85% due 06/15/2015		194,000		197,542
				357,409
Sovereign — 1.0%
Dominican Republic Bonds 11.50% due 05/10/2024*	DOP	40,000,000		963,698
Federative Republic of Brazil Senior Notes 5.00% due 01/27/2045		315,000		296,100
Federative Republic of Brazil Letras Financeiras do Tesouro FRS Bills zero coupon due 09/01/2020	BRL	554,000		1,439,862

304

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Government of Canada Senior Notes 0.88% due 02/14/2017	$	181,000	$	180,712
Government of France Bonds 0.25% due 07/25/2024(9)	EUR	384,564		506,532
Government of Uruguay Bonds 4.25% due 04/05/2027(9)	UYU	21,774,822		966,647
Italy Buoni Poliennali Del Tesoro Notes 2.35% due 09/15/2024*(9)	EUR	390,456		548,358
Kingdom of Spain Senior Notes 1.80% due 11/30/2024*(9)	EUR	379,077		524,581
Republic of Costa Rica Senior Notes 5.63% due 04/30/2043		1,125,000		961,875
Republic of Indonesia Senior Notes 8.38% due 03/15/2024	IDR	8,400,000,000		684,202
Republic of Portugal Notes 5.13% due 10/15/2024*		241,000		249,681
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	10,500,000		909,034
Republic of Turkey Senior Notes 4.35% due 11/12/2021	EUR	350,000		474,339
Russian Federation Bonds 7.50% due 02/27/2019	RUB	28,350,000		671,877
United Mexican States Senior Notes 3.50% due 01/21/2021		310,000		314,156
United Mexican States Senior Notes 4.75% due 03/08/2044		128,000		127,040
United Mexican States Senior Notes 5.75% due 10/12/2110		132,000		136,290
				9,954,984
Total Foreign Government Obligations (cost $11,017,860)				10,698,480
EXCHANGE-TRADED FUNDS — 0.6%
iShares Barclays 1-3 Year Treasury Bond Fund		22,468		1,898,771
iShares Barclays 3-7 Year Treasury Bond Fund		14,904		1,808,153
iShares Barclays 7-10 Year Treasury Bond Fund		8,115		840,876
iShares Barclays 10-20 Year Treasury Bond Fund		4,732		616,485

Security Description	Principal Amount(12)		Value (Note 2)
iShares Barclays 20+ Year Treasury Bond Fund	$	8,683	$	1,009,573
Total Exchange-Traded Funds (cost $6,011,289)				6,173,858
COMMON STOCKS — 0.0%
Insurance-Reinsurance — 0.0%
WMI Holdings Corp.†		1,980		5,287
Television — 0.0%
ION Media Networks, Inc.†(5)(8)(10)		22		10,956
Total Common Stocks (cost $0)				16,243
PREFERRED SECURITIES — 0.1%
Electric-Integrated — 0.0%
Entergy Louisiana LLC 4.70%		7,781		169,782
Telecom Services — 0.1%
Qwest Corp. 6.13%		14,710		341,566
Total Preferred Securities (cost $562,239)				511,348
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6%
Banks-Commercial — 0.5%
Banco Bilbao Vizcaya Argentaria SA VRS 7.00% due 02/19/2019(7)	EUR	800,000		1,065,073
Banco Bilbao Vizcaya Argentaria SA FRS 9.00% due 05/09/2018(7)		600,000		637,500
Banco Santander SA VRS 6.25% due 03/12/2019(7)	EUR	1,300,000		1,590,654
KBC Groep NV FRS 5.63% due 03/19/2019(7)	EUR	170,000		205,861
Nordea Bank AB VRS 5.50% due 09/23/2019*(7)		240,000		235,800
Nordea Bank AB VRS 6.13% due 09/23/2024*(7)		212,000		207,760
Zions Bancorporation FRS Series I 5.80% due 06/15/2023(7)		317,000		302,735
				4,245,383
Banks-Fiduciary — 0.0%
State Street Capital Trust IV FRS 1.23% due 06/01/2077		300,000		255,750
Banks-Super Regional — 0.0%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(7)		208,000		203,549
Wells Fargo Capital X 5.95% due 12/01/2086		84,000		86,310
				289,859
Building Societies — 0.1%
Nationwide Building Society VRS 6.88% due 06/20/19(7)	GBP	670,000		1,048,426

305

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Diversified Banking Institutions — 0.8%
Barclays PLC VRS 8.25% due 12/15/2018(7)	$	570,000	$	584,962
Barclays PLC FRS 8.00% due 12/15/2020(7)	EUR	310,000		407,207
Credit Agricole SA FRS 6.50% due 06/23/2021(7)	EUR	410,000		521,735
Credit Agricole SA VRS 6.63% due 09/23/2019*(7)		408,000		389,039
Credit Suisse Group AG VRS 6.25% due 12/18/2024*(7)		417,000		403,448
Credit Suisse Group AG VRS 7.50% due 12/11/2023*(7)		575,000		603,750
HSBC Holdings PLC FRS 5.63% due 01/17/2020(7)		600,000		595,800
JPMorgan Chase & Co. FRS Series V 5.00% due 07/01/2019(7)		164,000		159,867
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(7)		192,000		189,984
JPMorgan Chase & Co. FRS Series 1 7.90% due 04/30/2018(7)		343,000		371,298
Lloyds Banking Group PLC VRS 6.38% due 06/27/2020(7)	EUR	710,000		921,427
Lloyds Banking Group PLC FRS 7.00% due 06/27/2019(7)	GBP	250,000		400,019
Societe Generale SA VRS 6.00% due 01/27/2020*(7)		625,000		572,437
Societe Generale SA VRS 6.00% due 01/27/2020*(7)		377,000		345,294
Societe Generale SA VRS 6.75% due 04/07/2021(7)	EUR	450,000		565,531
Societe Generale SA VRS 8.25% due 11/29/2018(7)		940,000		966,320
UniCredit SpA FRS 8.00% due 06/03/2024(7)		210,000		208,266
				8,206,384
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		123,000		124,406
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/17/2014†(8)		58,000		6
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		142,000		140,402
Food-Dairy Products — 0.0%
Land O'Lakes Capital Trust I 7.45% due 03/15/2028*		230,000		236,900

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.63% due 06/15/2043	$	167,000	$	174,047
Insurance-Multi-line — 0.0%
MetLife, Inc. 6.40% due 12/15/2066		189,000		210,735
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		250,000		366,875
Sompo Japan Nipponkoa Insurance, Inc. FRS 5.33% due 03/28/2073*		450,000		473,625
				840,500
Tools-Hand Held — 0.1%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		284,000		307,430
Total Preferred Securities/Capital Securities (cost $16,779,123)				16,080,228
OPTIONS — PURCHASED — 0.0%
Call Options — Purchased†(8)(13)	RUB	47,000,000		5,758
Call Options — Purchased†(8)(13)	BRL	3,100,000		18,584
Put Options — Purchased†(8)(13)		6,575,000		28,071
Total Options — Purchased (cost $156,022)				52,413
Total Long-Term Investment Securities (cost $967,794,527)				979,960,662
REPURCHASE AGREEMENTS — 7.9%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $3,779,000 collateralized by $2,730,000 of United States Treasury Notes, bearing interest at 8.00% due 11/15/2021 and having an approximate value of $3,860,392	$	3,779,000		3,779,000
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $18,984,000 collateralized by $20,900,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $19,367,675		18,984,000		18,984,000
Bank of America Securities LLC Joint Repurchase Agreement(11)		13,765,000		13,765,000
Barclays Capital, Inc. Joint Repurchase Agreement(11)		12,035,000		12,035,000
BNP Paribas SA Joint Repurchase Agreement(11)		11,175,000		11,175,000

306

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(12)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Deutsche Bank AG Joint Repurchase Agreement(11)	$	7,385,000		$	7,385,000
Royal Bank of Scotland Group PLC Joint Repurchase Agreement(11)		12,895,000			12,895,000
Total Repurchase Agreements(cost $80,018,000)					80,018,000
TOTAL INVESTMENTS (cost $1,047,812,527)(14)		104.4	%		1,059,978,662
Liabilities in excess of other assets		(4.4	)		(44,203,177	)
NET ASSETS		100.0	%	$	1,015,775,485

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $113,892,045 representing 11.2% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

†  Non-income producing security

(1)  Collateralized Mortgage Obligation

(2)  Collateralized Loan Obligation

(3)  Commercial Mortgage Backed Security

(4)  Interest Only

(5)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(6)  "Step-down" security where the rate decreases ("steps-down") at a predetermined rate. Rate shown reflects the decreased rate.

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

(8)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $63,721 representing 0.0% of net assets.

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

(10)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Diversified Fixed Income Portfolio held the following restricted securities:

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks ION Media Networks, Inc.	03/05/2014		22	$	0	$	10,956	$	498		0.00	%

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

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

(13)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2014		Unrealized Appreciation (Depreciation)
Call option to deliver U.S. dollars in exchange for Russian Rubles with Goldman Sachs International	September 2015	$	36.97	RUB	47,000,000	$	17,000	$	5,758	$	(11,242	)
Call option to deliver U.S. dollars in exchange for Brazilian Reals with Goldman Sachs International	September 2015		2.41	BRL	3,100,000		22,973		18,584		(4,389	)
Put option to enter an interest rate swap with Goldman Sachs International for the obligation to receive a fixed rate of 3.50% versus the three month USD-LIBOR-BBA maturing on 05/01/2025	April 2015		3.50	$	6,575,000		116,049		28,071		(87,978	)
						$	156,022	$	52,413	$	(103,609	)

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

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

(16)  Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities.

(17)  All loans in the portfolio were purchased through assignment agreements unless otherwise indicated.

(18)  All or a portion of this holding is subject to unfunded loan commitments; see Note 13.

(19)  Company has filed Chapter 11 bankruptcy protection.

307

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

(20)  Security in default of interest and principal at maturity.

BBA — British Banking Association

BRL — Brazilian Real

BTL — Bank Term Loan

DOP — Dominican Peso

EUR — Euro Currency

FRS — Floating Rate Security

GBP — Pound Sterling

IDR — Indonesian Rupiah

INR — Indian Rupee

LIBOR — London Interbank Offered Rate

REMIC — Real Estate Mortgage Investment Conduit

RUB — Russian Ruble

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

TIPS — Treasury Inflation Protected Security

UYU — Uruguayan Peso

ZAR — South African Rand

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2014 and unless otherwise, the dates shown are the original maturity dates.

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	EUR	229,000	USD	289,382	12/17/2014	$	—	$	(13	)
Citibank N.A.	EUR	395,000	USD	510,913	09/18/2015		9,975		—
	GBP	940,000	USD	1,538,366	10/31/2014		14,869		—
	USD	473,647	RSD	47,000,000	09/18/2015		—		(7,956	)
							24,844		(7,956	)
Deutsche Bank AG	EUR	1,254,000	USD	1,623,667	12/17/2014		38,942		—
JPmorgan Chase Bank N.A	EUR	4,929,000	USD	6,307,912	10/31/2014		81,175		—
	EUR	162,000	USD	205,675	12/17/2014		950		—
							82,125		—
UBS AG	RUB	15,664,000	USD	409,516	12/17/2014		19,618		—
Net Unrealized Appreciation (Depreciation)						$	165,529	$	(7,969	)

EUR — Euro Dollar

GBP — Pound Sterling

RSD — Serbian Dinar

RUB — Russian Ruble

USD — United States Dollar

308

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2014		Unrealized Appreciation (Depreciation)
	184	Long	U.S. Treasury 2 YR Notes	December 2014	$	40,278,281	$	40,267,250	$	(11,031	)
	378	Long	U.S. Treasury 5 YR Notes	December 2014		44,705,827		44,701,453		(4,374	)
	616	Short	U.S. Treasury 10YR Notes	December 2014		76,539,116		76,778,625		(239,509	)
	90	Long	U.S. Treasury Long Bonds	December 2014		12,519,461		12,411,563		(107,898	)
	118	Long	U.S. Treasury Ultra Long Bonds	December 2014		17,769,375		17,995,000		225,625
									$	(137,187	)

Centrally Cleared Credit Default Swaps on Credit Indicies — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2014(2)			Notional Amount(3)		Value at September 30, 2014(4)			Upfront Premiums Paid/ (Received)			Unrealized Appreciation (Depreciation)
Markit CDX North America High Yield Index		(5.000	)%	06/20/2019	Goldman Sachs & Co.		3.5317	%	$	32,467,050	$	(1,964,522	)	$	(2,375,655	)	$	411,133
Markit CDX North America Investment Grade Index		(1.000	)	06/20/2019	Goldman Sachs & Co.		0.0645			13,210,000		(211,873	)		(200,694	)		(11,179	)
											$	(2,176,395	)	$	(2,576,349	)	$	399,954

(1)  If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.

(3)  The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4)  The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

309

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Asset Backed Securities
Diversified Financial Services	$	—	$	112,053,433	$	1,304,914	$	113,358,347
U.S. Corporate Bonds & Notes
Gambling (Non-Hotel)		—		—		320		320
Recycling		—		—		3		3
Other Industries*		—		244,306,065		—		244,306,065
Foreign Corporate Bonds & Notes		—		54,237,342		—		54,237,342
U.S. Government Agencies
Federal National Mtg. Assoc.		—		68,869,863		—		68,869,863
Other Government Agencies*		—		66,025,403		—		66,025,403
U.S. Government Treasuries
United States Treasury Bonds		—		58,703,238		—		58,703,238
United States Treasury Notes		—		316,212,639		—		316,212,639
Municipal Bonds & Notes		—		4,654,288		—		4,654,288
Loans		—		20,060,584		—		20,060,584
Foreign Government Obligations		—		10,698,480		—		10,698,480
Exchange-Traded Funds		6,173,858		—		—		6,173,858
Common Stock
Insurance-Reinsurance		5,287		—		—		5,287
Television		—		—		10,956		10,956
Preferred Securities		511,348		—		—		511,348
Preferred Securities/Capital Securities		—		16,080,228		—		16,080,228
Options-Purchased		—		52,413		—		52,413
Repurchase Agreements		—		80,018,000		—		80,018,000
Other Financial Instruments:+
Open Forward Currency Contracts-Appreciation		—		165,529		—		165,529
Open Futures Contracts-Appreciation		225,625		—		—		225,625
Credit Default Swaps-Appreciation		—		411,133		—		411,133
Total	$	6,916,118	$	1,052,548,638	$	1,316,193	$	1,060,780,949
Liabilities:
Other Financial Instruments:+
Open Forward Currency Contracts-Depreciation	$	—	$	7,969	$	—	$	7,969
Open Futures Contracts-Depreciation		362,812		—		—		362,812
Credit Default Swaps-Depreciation		—		11,179		—		11,179
Total	$	362,812	$	19,148	$	—	$	381,960

*  Sum of all other industries and/or government agencies each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry and/or government agency classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

310

Seasons Series Trust Real Return Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
United States Treasury Notes	46.4	%
Sovereign	37.3
Repurchase Agreements	15.6
	99.3	%

*  Calculated as a percentage of net assets

Credit Quality†#
Aaa	76.9	%
Aa	23.1
	100.0	%

†  Source: Moody's

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

311

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS(1) — 37.3%
Sovereign — 37.3%
Bundesrepublik Deutschland Bonds 0.10% due 04/15/2023	EUR	8,484,334	$	11,283,562
Bundesrepublik Deutschland Bonds 1.75% due 04/15/2020	EUR	9,986,219		14,389,022
Bundesrepublik Deutschland Bundesobligation Bonds 0.75% due 04/15/2018	EUR	1,905,750		2,529,626
Government of Australia Senior Bonds 1.00% due 11/21/2018	AUD	5,849,805		5,158,540
Government of Australia Senior Bonds 4.00% due 08/20/2020	AUD	9,934,260		10,242,163
Government of Canada Bonds 4.25% due 12/01/2021	CAD	13,466,857		15,592,791
Government of France Bonds 0.25% due 07/25/2024	EUR	7,033,469		9,264,202
Government of France Bonds 1.00% due 07/25/2017	EUR	5,432,352		7,228,965
Government of France Bonds 1.10% due 07/25/2022	EUR	15,723,894		22,308,819
Government of France Bonds 1.30% due 07/25/2019	EUR	6,443,492		8,983,081
Government of France Bonds 2.10% due 07/25/2023	EUR	6,555,352		10,087,472
Government of France Bonds 2.25% due 07/25/2020	EUR	13,007,455		19,324,532
Government of New Zealand Senior Bonds 2.00% due 09/20/2025	NZD	3,083,700		2,322,347
Government of Sweden Notes 0.25% due 06/01/2022	SEK	84,225,905		12,158,101
Kingdom of Denmark Bonds 0.10% due 11/15/2023	DKK	68,803,661		12,075,673
United Kingdom Inflation Linked Gilt Treasury Bonds 0.13% due 03/22/2024	GBP	3,617,005		6,197,061
United Kingdom Inflation Linked Gilt Treasury Bonds 1.25% due 11/22/2017	GBP	3,898,454		6,864,446
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022	GBP	9,367,346		18,450,230

Security Description	Shares/ Principal Amount(7)		Value (Note 2)
Sovereign (continued)
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020	GBP	7,353,393	$	14,128,518
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024	GBP	11,921,466		24,826,041
Total Foreign Government Obligations (cost $237,736,143)				233,415,192
U.S. GOVERNMENT TREASURIES(1) — 46.4%
United States Treasury Notes — 46.4%
0.13% due 04/15/2016 TIPS	$	23,368,793		23,638,983
0.13% due 04/15/2017 TIPS		12,299,173		12,462,519
0.13% due 04/15/2018 TIPS		18,552,240		18,700,083
0.13% due 04/15/2019 TIPS		24,174,182		24,232,732
0.13% due 01/15/2022 TIPS		22,237,443		21,726,671
0.13% due 07/15/2022 TIPS		18,933,814		18,482,659
0.13% due 01/15/2023 TIPS		27,378,840		26,489,027
0.13% due 07/15/2024 TIPS		6,747,865		6,478,477
0.38% due 07/15/2023 TIPS		21,064,274		20,835,537
0.63% due 07/15/2021 TIPS		10,412,435		10,622,308
0.63% due 01/15/2024 TIPS		22,515,255		22,627,831
1.13% due 01/15/2021 TIPS		16,364,329		17,164,642
1.25% due 07/15/2020 TIPS		11,689,536		12,411,002
1.38% due 01/15/2020 TIPS		12,835,621		13,652,890
1.63% due 01/15/2018 TIPS		10,946,224		11,624,375
1.88% due 07/15/2015 TIPS		1,224,890		1,252,068
1.88% due 07/15/2019 TIPS		6,974,000		7,609,833
2.38% due 01/15/2017 TIPS		16,983,056		18,133,387
2.63% due 07/15/2017 TIPS		2,327,859		2,537,911
Total U.S. Government Treasuries (cost $296,681,518)				290,682,935
COMMON STOCKS — 0.0%
Food-Misc./Diversified — 0.0%
Wornick Co.†(2)(3)		765		57,880
Paper & Related Products — 0.0%
Caraustar Industries, Inc.†(2)(3)		25		0
Printing-Commercial — 0.0%
Quad/Graphics, Inc.		196		3,773
Total Common Stocks (cost $98,621)				61,653
WARRANTS† — 0.0%
Television — 0.0%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		117		51,858
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		116		51,415
Total Warrants (cost $0)				103,273
Total Long-Term Investment Securities (cost $534,516,282)				524,263,053

312

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount(7)			Value (Note 2)
REPURCHASE AGREEMENTS — 15.6%
Bank of America Securities LLC Joint Repurchase Agreement(5)	$	23,405,000		$	23,405,000
Barclays Capital, Inc. Joint Repurchase Agreement(5)		20,470,000			20,470,000
BNP Paribas SA Joint Repurchase Agreement(5)		19,010,000			19,010,000
Deutsche Bank AG Joint Repurchase Agreement(5)		12,565,000			12,565,000
Royal Bank of Scotland Group PLC Joint Repurchase Agreement(5)		21,935,000			21,935,000
Total Repurchase Agreements (cost $97,385,000)					97,385,000
TOTAL INVESTMENTS (cost $631,901,282)(6)		99.3	%		621,648,053
Other assets less liabilities		0.7			4,388,020
NET ASSETS		100.0	%	$	626,036,073

†  Non-income producing security

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

(2)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(3)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $161,153 representing 0.0% of net assets.

(4)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2014, the Real Return Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value per Share		% of Net Assets
Warrants
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)	03/01/2011		117	$	—	$	51,858	$	443		0.01	%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)	11/11/2010		116		—		51,415		443		0.01
						$	103,273				0.02	%

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

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

(7)  Denominated in United States dollar unless otherwise indicated.

AUD — Australian Dollar

CAD — Canadian Dollar

DKK — Danish Krone

EUR — Euro Dollar

GBP — Pound Sterling

NZD — New Zealand Dollar

SEK — Swedish Krona

TIPS — Treasury Inflation Protected Security

313

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Open Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized (Depreciation)
Citibank N.A.	GBP	940,000	USD	1,538,366	10/31/14	$	14,869	$	—
Commonwealth Bank of Australia	NZD	2,971,000	USD	2,410,937	12/17/14		108,951		—
Deutsche Bank AG	CAD	17,791,000	USD	16,078,408	12/17/14		221,619		—
	DKK	71,038,000	USD	12,365,112	12/17/14		306,275		—
	EUR	83,304,000	USD	107,861,186	12/17/14		2,586,955		—
							3,114,849		—
JPMorgan Chase Bank N.A.	SEK	86,236,000	USD	12,130,027	12/17/14		182,033		—
Royal Bank of Scotland PLC	AUD	17,484,000	USD	15,826,027	12/17/14		600,519		—
	GBP	43,089,000	USD	69,978,906	12/17/14		171,606		—
							772,125		—
Standard Chartered Bank	EUR	355,000	USD	454,286	12/17/14		5,660		—
Net Unrealized Appreciation (Depreciation)						$	4,198,487	$	—

AUD — Australian Dollar

CAD — Canadian Dollar

DKK — Danish Krone

EUR — Euro Currency

GBP — Pound Sterling

NZD — New Zealand Dollar

SEK — Swedish Krona

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Foreign Government Obligations:
Sovereign	$	—	$	233,415,192	$	—	$	233,415,192
U.S. Government Treasuries:
United States Treasury Notes		—		290,682,935		—		290,682,935
Common Stocks:
Printing - Commercial		3,773		—		—		3,773
Other Industries*		—		—		57,880		57,880
Warrants		—		—		103,273		103,273
Repurchase Agreements		—		97,385,000		—		97,385,000
Other Financial Instruments:+
Open Forward Currency Contracts - Appreciation		—		4,198,487		—		4,198,487
Total	$	3,773	$	625,681,614	$	161,153	$	625,846,540

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

+  Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

314

Seasons Series Trust Cash Management Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Banks-Foreign-US Branches	24.2	%
Banks-Foreign	23.0
U.S. Government Agencies	13.5
Asset Backed Commercial Paper/Auto	8.7
Asset Backed Commercial Paper/Fully Supported	6.8
Banks-Domestic	6.7
Diversified	3.2
Municipal	3.2
Asset Backed Commercial Paper/Diversified	1.8
Automobile	1.7
Collateralized Commercial Paper/Repo Backed	1.7
Brokerage/Investment	1.2
Computer	1.0
Government-Related Entity	1.0
Collateralized Commercial Paper/Loan Backed	0.8
Insurance	0.7
Student Loan	0.4
Asset Backed/Structured Investment	0.0
	99.6	%

Weighted average days to maturity-38

Credit Quality#†
Government-Agency	13.6	%
P-1	62.1
Aaa/VMIG1	1.7
Aa2	1.6
Aa2e	0.5
Aa3	3.4
Aa3e	1.9
Aa3/VMIG1	1.9
A1	3.2
A2	1.3
Not rated@	8.8
	100.0	%

*  Calculated as a percentage of net assets.

#  Calculated as a percentage of total debt issues.

†  Source: Moody's

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

315

Seasons Series Trust Cash Management Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Principal Amount		Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 99.6%
Asset-Backed Commercial Paper — 19.7%
Autobahn Funding Co. LLC 0.05% due 10/01/2014*	$	254,000	$	254,000
Bedford Row Funding Corp. 0.20% due 10/27/2014*		250,000		249,964
Chariot Funding LLC 0.21% due 12/15/2014*		465,000		464,879
Chariot Funding LLC 0.22% due 02/23/2015*		350,000		349,706
Collateralized Commercial Paper Co. LLC 0.25% due 12/01/2014		250,000		249,930
Collateralized Commercial Paper Co. LLC 0.27% due 02/05/2015		170,000		169,867
Collateralized Commercial Paper Co. LLC 0.30% due 03/02/2015		100,000		99,892
Jupiter Securitization Co. LLC 0.21% due 12/03/2014*		335,000		334,893
Kells Funding LLC FRS 0.23% due 12/09/2014*		500,000		500,000
Kells Funding LLC FRS 0.24% due 04/23/2015*		500,000		499,965
Manhattan Asset Funding Co. LLC 0.16% due 11/03/2014*		250,000		249,963
Manhattan Asset Funding Co. LLC 0.19% due 10/14/2014*		300,000		299,979
Matchpoint Master Trust 0.06% due 10/01/2014*		339,000		339,000
Old Line Funding LLC 0.22% due 10/09/2014*		560,000		559,973
Old Line Funding LLC 0.22% due 12/10/2014*		500,000		499,915
Old Line Funding LLC 0.22% due 01/20/2015*		250,000		249,885
Regency Markets No. 1 LLC 0.13% due 10/15/2014*		250,000		249,987
Versailles Commercial Paper LLC 0.22% due 11/03/2014*		300,000		299,940
Versailles Commercial Paper LLC 0.22% due 11/10/2014*		250,000		249,939
Total Asset-Backed Commercial Paper (cost $6,171,330)				6,171,677
Certificates of Deposit — 30.6%
Bank of Montreal Chicago 0.18% due 10/15/2014		105,000		105,000
Bank of Montreal Chicago 0.18% due 12/08/2014		200,000		200,004
Bank of Montreal Chicago 0.20% due 11/17/2014		350,000		350,000
Bank of Nova Scotia Houston 0.21% due 01/14/2015		500,000		500,045
Bank of Nova Scotia Houston 0.22% due 12/23/2014		120,000		120,023
Bank of Nova Scotia Houston 0.22% due 01/23/2015		150,000		150,020

Security Description	Principal Amount		Value (Note 2)
Certificates of Deposit (continued)
Bank of Tokyo-Mitsubishi UFJ, Ltd. NY 0.23% due 02/17/2015	$	400,000	$	400,016
Bank of Tokyo-Mitsubishi UFJ, Ltd. NY 0.24% due 01/02/2015		300,000		300,024
Barclays Bank PLC NY 0.25% due 12/16/2014		300,000		300,077
Canadian Imperial Bank of Commerce NY FRS 0.18% due 01/15/2015		650,000		649,928
Canadian Imperial Bank of Commerce NY FRS 0.18% due 02/06/2015		300,000		299,961
Canadian Imperial Bank of Commerce NY FRS 0.21% due 02/10/2015		300,000		299,979
Citibank NA 0.23% due 12/17/2014		706,000		706,155
Credit Suisse NY 0.28% due 10/31/2014		340,000		340,000
Credit Suisse NY 0.28% due 12/26/2014		400,000		400,040
DNB Bank ASA NY 0.23% due 10/02/2014		675,000		675,000
HSBC Bank USA NA NY 0.21% due 11/05/2014		125,000		125,001
HSBC Bank USA NA NY 0.22% due 10/08/2014		200,000		200,000
Mizuho Corporate Bank NY 0.25% due 12/29/2014		341,000		341,034
Nordea Bank Finland PLC NY 0.21% due 10/10/2014		155,000		154,999
Nordea Bank Finland PLC NY 0.21% due 11/14/2014		190,000		189,999
Rabobank Nederland NV NY 0.22% due 01/06/2015		375,000		375,041
State Street Bank & Trust Co. 0.20% due 10/09/2014		300,000		299,979
State Street Bank & Trust Co. 0.20% due 12/15/2014		315,000		314,981
State Street Bank & Trust Co. 0.21% due 12/17/2014		315,000		315,035
Sumitomo Mitsui Banking Corp. NY 0.25% due 11/13/2014		250,000		250,000
Sumitomo Mitsui Banking Corp. NY FRS 0.25% due 02/02/2015		250,000		249,983
Sumitomo Mitsui Banking Corp. NY 0.36% due 12/17/2014		400,000		400,120
UBS AG Stamford CT 0.24% due 11/26/2014		250,000		250,000
Wells Fargo Bank NA 0.21% due 12/01/2014		125,000		125,018
Westpac Banking Corp. NY 0.29% due 10/29/2014		195,000		195,013
Total Certificates of Deposit (cost $9,582,126)				9,582,475

316

Seasons Series Trust Cash Management Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
Commercial Paper — 11.2%
Caisse Centrale Desjardins 0.20% due 10/30/2014*	$	275,000	$	274,956
Caisse Centrale Desjardins 0.20% due 11/03/2014*		400,000		399,927
Mizuho Funding LLC 0.23% due 12/23/2014*		385,000		384,815
NRW Bank 0.08% due 10/02/2014*		303,000		302,999
Prudential Funding LLC 0.05% due 10/01/2014		236,000		236,000
Toyota Credit Canada, Inc. 0.22% due 01/28/2015		300,000		299,841
Toyota Motor Credit Corp. FRS 0.20% due 03/02/2015		235,000		234,981
UBS Finance Delaware LLC 0.23% due 01/26/2015		270,000		269,825
Westpac Securities NZ, Ltd. 0.20% due 11/13/2014*		1,100,000		1,099,737
Total Commercial Paper (cost $3,502,999)				3,503,081
Corporate Notes — 9.6%
Bank of Nova Scotia Senior Notes 1.85% due 01/12/2015		290,000		291,290
Bank of Nova Scotia Senior Notes 3.40% due 01/22/2015		215,000		217,053
Cheyne Finance LLC FRS Escrow Security 4.83% due 10/25/2007*†(1)(2)(3)(4)(5)		394,530		5,760
Cheyne Finance LLC FRS Escrow Security 4.83% due 01/25/2008*†(1)(2)(3)(4)(5)		592,098		8,645
General Electric Capital Corp. Senior Notes 2.15% due 01/09/2015		490,000		492,470
General Electric Capital Corp. Series A Senior Notes 3.75% due 11/14/2014		495,000		497,084
IBM Corp. FRS Senior Notes 0.22% due 02/04/2015		320,000		320,061
Royal Bank of Canada Senior Notes 1.15% due 03/13/2015		26,000		26,067
Royal Bank of Canada Senior Notes 1.45% due 10/30/2014		725,000		725,712
UBS AG Stamford CT Senior Notes 3.88% due 01/15/2015		400,000		404,176
Total Corporate Notes (cost $2,999,213)				2,988,318

Security Description	Principal Amount			Value (Note 2)
Municipal Bonds & Notes — 3.6%
Iowa Finance Authority Single Family Mtg. VRDN Series C Revenue Bonds 0.12% due 07/01/2037(6)	$	435,000		$	435,000
Metropolitan Transportation Authority VRDN Series D-2 Revenue Bonds (LOC-Landesbank Hessen) 0.04% due 11/01/2035(6)		185,000			185,000
Minnesota Office of Higher Education VRDN Series A Revenue Bonds (LOC-US Bank NA) 0.11% due 12/01/2043(6)		115,000			115,000
State of Texas VRDN Series B General Obligation Bonds 0.07% due 06/01/2045(6)		100,000			100,000
Wisconsin Health & Educational Facilities Authority VRDN Revenue Bonds (LOC-PNC Bank NA) 0.04% due 08/15/2036(6)		280,000			280,000
Total Municipal Bonds & Notes (cost $1,115,000)					1,115,000
Time Deposits — 11.4%
CIBC Grand Cayman 0.01% due 10/01/2014		300,000			300,000
Credit Agricole Grand Cayman 0.06% due 10/01/2014		558,000			558,000
Natexis Paris 0.02% due 10/01/2014		750,000			750,000
Skandinaviska Enskilda Banken AB 0.06% due 10/01/2014		513,000			513,000
Swedbank AB 0.03% due 10/01/2014		1,437,000			1,437,000
Total Time Deposits (cost $3,558,000)					3,558,000
U.S. Government Agencies — 13.5%
Federal Farm Credit Bank Disc. Notes 0.01% due 10/01/2014		4,026,000			4,026,000
Federal Home Loan Bank Disc. Notes 0.00% due 10/01/2014		200,000			200,000
Total U.S. Government Agencies (cost $4,226,000)					4,226,000
Total Short-Term Investment Securities — 99.6% (cost $31,154,668)					31,144,551
TOTAL INVESTMENTS (cost $31,154,668)(7)		99.6	%		31,144,551
Other assets less liabilities		0.4			130,068
NET ASSETS		100.0	%	$	31,274,619

317

Seasons Series Trust Cash Management Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2014, the aggregate value of these securities was $8,128,827 representing 26.0% of net assets. Unless otherwise indicated these securities are not considered to be illiquid.

(1)  Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(2)  Illiquid security. At September 30, 2014, the aggregate value of these securities was $14,405 representing 0.0% of net assets.

(3)  Security in default

(4)  On August 28, 2007, mark to market losses experienced in the investment portfolio of SIV Portfolio, PLC ("SIV Portfolio") (formerly Cheyne Finance PLC), the issuer of the underlying notes held by Cheyne Finance LLC, the issuer of the medium term notes (the "Notes") held by the Portfolio, triggered the appointment of receivers (Deloitte &Touche LLP) (collectively, the "Receiver"). On October 17, 2007, the Receiver determined that SIV Portfolio was about to become unable to pay its debts as they came due and that an insolvency event had occurred. As a result of this determination, the Notes became immediately due and payable and are in default as a result of non payment. These events, which are based on published reports, materially adversely affect the ability of SIV Portfolio to make interest and principal payments due on the Notes. On April 16, 2008, however, the Receiver made a partial payment of principal and interest due on the Notes. On July 23, 2008, the Receiver concluded the sale of SIV Portfolio's investment portfolio and a distribution to senior creditors, including the Portfolio, was made. Furthermore, an additional distribution to senior creditors, including the Portfolio, was made on August 13, 2008. The market value of the Notes, as of September 30, 2014, represents the Notes' residual value that may be distributed to the Portfolio.

(5)  Security issued by a structured investment vehicle ("SIV"). These SIV's may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market's assessment thereof, factors concerning the interest in and structure of the issuer or the originator of the receivables, or the credit worthiness of the entities that provide any credit enhancements.

(6)  The security's effective maturity date is less than one year.

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

FRS — Floating Rate Security

LOC — Letter of Credit

VRDN — Variable Rate Demand Note

The rates shown on FRS and VRDN are the current interest rates at September 30, 2014 and unless noted otherwise, the dates shown are the original maturity dates.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Short-Term Investment Securities:
Asset-Backed Commercial Paper	$	—	$	6,171,677	$	—	$	6,171,677
Certificates of Deposit		—		9,582,475		—		9,582,475
Commercial Paper		—		3,503,081		—		3,503,081
Corporate Notes		—		2,973,913		14,405		2,988,318
Municipal Bonds & Notes		—		1,115,000		—		1,115,000
Time Deposits		—		3,558,000		—		3,558,000
U.S. Government Agencies		—		4,226,000		—		4,226,000
Total	$	—	$	31,130,146	$	14,405	$	31,144,551

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

318

Seasons Series Trust Focus Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	9.8	%
Medical-Drugs	9.5
Web Portals/ISP	8.5
Transport-Rail	8.1
Internet Content-Entertainment	5.2
E-Commerce/Products	4.5
Metal Processors & Fabrication	4.2
Aerospace/Defense	4.2
Cable/Satellite TV	3.7
Finance-Credit Card	3.6
Hotels/Motels	3.4
Agricultural Chemicals	3.3
Finance-Other Services	3.2
Real Estate Investment Trusts	3.0
Banks-Super Regional	2.9
Commercial Services-Finance	2.8
Computers	2.6
Electronic Components-Semiconductors	2.5
Applications Software	2.5
Repurchase Agreements	2.4
Oil-Field Services	2.2
Auto-Cars/Light Trucks	2.0
Casino Hotels	1.9
Medical Information Systems	1.5
	97.5	%

*  Calculated as a percentage of net assets

319

Seasons Series Trust Focus Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 95.1%
Aerospace/Defense — 4.2%
General Dynamics Corp.		58,782	$	7,470,604
Agricultural Chemicals — 3.3%
Monsanto Co.		52,555		5,912,963
Applications Software — 2.5%
salesforce.com, Inc.†		75,787		4,360,026
Auto-Cars/Light Trucks — 2.0%
Tesla Motors, Inc.†		14,798		3,591,179
Banks-Super Regional — 2.9%
US Bancorp		124,175		5,194,240
Cable/Satellite TV — 3.7%
Comcast Corp., Class A		120,305		6,470,003
Casino Hotels — 1.9%
MGM Resorts International†		147,698		3,364,560
Commercial Services-Finance — 2.8%
MasterCard, Inc., Class A		66,409		4,908,953
Computers — 2.6%
Apple, Inc.		45,786		4,612,939
E-Commerce/Products — 4.5%
Alibaba Group Holding, Ltd. ADR†		40,893		3,633,343
Amazon.com, Inc.†		13,424		4,328,435
				7,961,778
Electronic Components-Semiconductors — 2.5%
ARM Holdings PLC ADR		100,727		4,400,763
Finance-Credit Card — 3.6%
Visa, Inc., Class A		30,062		6,414,329
Finance-Other Services — 3.2%
Intercontinental Exchange, Inc.		29,081		5,672,249
Hotel/Motels — 3.4%
Starwood Hotels & Resorts Worldwide, Inc.		72,970		6,071,834
Internet Content-Entertainment — 5.2%
Facebook, Inc., Class A†		117,694		9,302,534
Medical Information Systems — 1.5%
athenahealth, Inc.†		19,725		2,597,585
Medical-Biomedical/Gene — 9.8%
Biogen Idec, Inc.†		22,885		7,570,587
Gilead Sciences, Inc.†		92,678		9,865,573
				17,436,160
Medical-Drugs — 9.5%
Endo International PLC†		103,427		7,068,201
Roche Holding AG		14,719		4,364,669
Zoetis, Inc.		145,355		5,370,867
				16,803,737
Metal Processors & Fabrication — 4.2%
Precision Castparts Corp.		31,595		7,484,224
Oil-Field Services — 2.2%
Schlumberger, Ltd.		37,973		3,861,474
Real Estate Investment Trusts — 3.0%
Crown Castle International Corp.		65,480		5,273,104

Security Description	Shares/ Principal Amount			Value (Note 2)
Transport-Rail — 8.1%
Canadian Pacific Railway, Ltd.		68,931		$	14,301,115
Web Portals/ISP — 8.5%
Google, Inc., Class A†		7,075			4,163,001
Google, Inc., Class C†		19,041			10,993,512
					15,156,513
Total Long-Term Investment Securities (cost $140,164,308)					168,622,866
REPURCHASE AGREEMENTS — 2.4%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $335,000 collateralized by $370,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $342,873	$	335,000			335,000
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount $3,852,000 collateralized by $4,180,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.07% due 11/07/2022 and having an approximate value of $3,929,129		3,852,000			3,852,000
Total Repurchase Agreements (cost $4,187,000)					4,187,000
TOTAL INVESTMENTS (cost $144,351,308)(1)		97.5	%		172,809,866
Other assets less liabilities		2.5			4,514,856
NET ASSETS		100.0	%	$	177,324,722

†  Non-income producing security

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

ADR — American Depository Receipt

320

Seasons Series Trust Focus Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Internet Content-Entertainment	$	9,302,534	$	—	$	—	$	9,302,534
Medical-Biomedical/Gene		17,436,160		—		—		17,436,160
Medical-Drugs		16,803,737		—		—		16,803,737
Transport-Rail		14,301,115		—		—		14,301,115
Web Portals/ISP		15,156,513		—		—		15,156,513
Other Industries*		95,622,807		—		—		95,622,807
Short-Term Investment Securities:
Repurchase Agreements		—		4,187,000		—		4,187,000
Total	$	168,622,866	$	4,187,000	$	—	$	172,809,866

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities held at the beginning of the period currently valued at $4,364,669 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

See Notes to Financial Statements

321

Seasons Series Trust Focus Value Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Banks-Super Regional	8.9	%
Insurance-Multi-line	8.1
Oil Companies-Integrated	8.1
Repurchase Agreements	6.9
Diversified Banking Institutions	6.5
Cruise Lines	4.1
Retail-Regional Department Stores	4.0
Medical-HMO	4.0
Diversified Manufacturing Operations	3.9
Insurance-Reinsurance	3.8
Medical Instruments	3.5
Aerospace/Defense-Equipment	3.1
Networking Products	3.0
Oil-Field Services	3.0
Retail-Consumer Electronics	3.0
Cable/Satellite TV	3.0
Security Services	2.9
Medical-Drugs	2.9
Aerospace/Defense	2.8
Food-Misc./Diversified	2.8
Retail-Discount	2.7
Computers-Memory Devices	2.6
Banks-Fiduciary	2.6
Applications Software	2.5
Investment Management/Advisor Services	1.4
	100.1	%

*  Calculated as a percentage of net assets

322

Seasons Series Trust Focus Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 93.2%
Aerospace/Defense — 2.8%
Northrop Grumman Corp.		61,758	$	8,137,234
Aerospace/Defense-Equipment — 3.1%
United Technologies Corp.		85,000		8,976,000
Applications Software — 2.5%
Microsoft Corp.		160,119		7,423,117
Banks-Fiduciary — 2.6%
Bank of New York Mellon Corp.		193,091		7,478,415
Banks-Super Regional — 8.9%
Capital One Financial Corp.		205,006		16,732,590
Wells Fargo & Co.		180,000		9,336,600
				26,069,190
Cable/Satellite TV — 3.0%
DISH Network Corp., Class A†		135,000		8,718,300
Computers-Memory Devices — 2.6%
EMC Corp.		260,132		7,611,462
Cruise Lines — 4.1%
Carnival Corp.		300,159		12,057,387
Diversified Banking Institutions — 6.5%
Goldman Sachs Group, Inc.		44,647		8,195,850
JPMorgan Chase & Co.		177,356		10,683,925
				18,879,775
Diversified Manufacturing Operations — 3.9%
Siemens AG ADR		95,003		11,312,007
Food-Misc./Diversified — 2.8%
ConAgra Foods, Inc.		246,026		8,128,699
Insurance-Multi-line — 8.1%
Loews Corp.		300,000		12,498,000
MetLife, Inc.		210,681		11,317,783
				23,815,783
Insurance-Reinsurance — 3.8%
PartnerRe, Ltd.		102,497		11,263,395
Investment Management/Advisor Services — 1.4%
T. Rowe Price Group, Inc.		53,800		4,217,920
Medical Instruments — 3.5%
Medtronic, Inc.		163,299		10,116,373
Medical-Drugs — 2.9%
Johnson & Johnson		80,000		8,527,200
Medical-HMO — 4.0%
UnitedHealth Group, Inc.		134,209		11,575,526
Networking Products — 3.0%
Cisco Systems, Inc.		350,086		8,811,665
Oil Companies-Integrated — 8.1%
BP PLC ADR		150,881		6,631,220
Exxon Mobil Corp.		105,000		9,875,250
Murphy Oil Corp.		127,377		7,249,025
				23,755,495
Oil-Field Services — 3.0%
Baker Hughes, Inc.		134,524		8,752,132
Retail-Consumer Electronics — 3.0%
Best Buy Co., Inc.		260,000		8,733,400

Security Description	Shares/ Principal Amount			Value (Note 2)
Retail-Discount — 2.7%
Target Corp.		127,700		$	8,004,236
Retail-Regional Department Stores — 4.0%
Kohl's Corp.		193,200			11,790,996
Security Services — 2.9%
ADT Corp.		242,202			8,588,483
Total Long-Term Investment Securities (cost $235,642,621)					272,744,190
REPURCHASE AGREEMENT — 6.9%
Agreement with State Street Bank & Trust Co., bearing interest at 0.00%, dated 09/30/2014, to be repurchased 10/01/2014 in the amount of $20,076,000 and collateralized by $22,105,000 of Federal Home Loan Mtg. Corp. Notes, bearing interest at 2.00% due 01/30/2023 and having an approximate value of $20,484,328 (cost $20,076,000)	$	20,076,000			20,076,000
TOTAL INVESTMENTS (cost $255,718,621)(1)		100.1	%		292,820,190
Liabilities in excess of other assets		(0.1	)		(342,148	)
NET ASSETS		100.0	%	$	292,478,042

†  Non-income producing security

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

ADR — American Depository Receipt

323

Seasons Series Trust Focus Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Common Stocks:
Banks-Super Regional	$	26,069,190	$	—	$	—	$	26,069,190
Diversified Banking Institutions		18,879,775		—		—		18,879,775
Insurance-Multi-line		23,815,783		—		—		23,815,783
Oil Companies-Integrated		23,755,495		—		—		23,755,495
Other Industries*		180,223,947		—		—		180,223,947
Repurchase Agreements		—		20,076,000		—		20,076,000
Total	$	272,744,190	$	20,076,000	$	—	$	292,820,190

*  Sum of all other industries each of which individually has an aggregate market value of less than 5% of net assets. For a detailed presentation of securities by industry classification, please refer to the Portfolio of Investments.

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

324

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	66.1	%
International Equity Investment Companies	23.2
Domestic Fixed Income Investment Companies	10.7
	100.0	%

325

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.0%
Domestic Equity Investment Companies — 66.1%
Seasons Series Trust Focus Growth Portfolio, Class 3		214,427	$	2,620,203
Seasons Series Trust Focus Value Portfolio, Class 3		118,875		2,036,592
Seasons Series Trust Large Cap Growth Portfolio, Class 3		1,319,867		18,899,747
Seasons Series Trust Large Cap Value Portfolio, Class 3		1,439,482		24,060,943
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		225,072		3,748,043
Seasons Series Trust Mid Cap Value Portfolio, Class 3		600,180		12,359,964
Seasons Series Trust Multi-Managed Growth Portfolio, Class 3		169,109		3,471,799
Seasons Series Trust Small Cap Portfolio, Class 3†		702,291		9,019,111
Total Domestic Equity Investment Companies (cost $51,650,701)				76,216,402

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies — 10.7%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3 (cost $12,496,098)		1,051,881		$	12,288,961
International Equity Investment Companies — 23.2%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $ 21,468,913)		3,046,148			26,827,779
TOTAL INVESTMENTS (cost $85,615,712)(1)		100.0	%		115,333,142
Liabilities in excess of other assets		(0.0	)		(20,806	)
NET ASSETS		100.0	%	$	115,312,336

#  See Note 8

†  Non-income producing security

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

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Affiliated Registered Investment Companies:
Domestic Equity Investment Companies	$	76,216,402	$	—	$	—	$	76,216,402
Domestic Fixed Income Investment Companies		12,288,961		—		—		12,288,961
International Equity Investment Companies		26,827,779		—		—		26,827,779
Total	$	115,333,142	$	—	$	—	$	115,333,142

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

326

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	52.7	%
Domestic Fixed Income Investment Companies	29.6
International Equity Investment Companies	17.7
	100.0	%

*  Calculated as a percentage of net assets

327

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.0%
Domestic Equity Investment Companies — 52.7%
Seasons Series Trust Focus Growth Portfolio, Class 3		886,749	$	10,835,688
Seasons Series Trust Focus Value Portfolio, Class 3		542,467		9,293,669
Seasons Series Trust Large Cap Growth Portfolio, Class 3		5,309,657		76,031,298
Seasons Series Trust Large Cap Value Portfolio, Class 3		6,377,032		106,592,079
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		830,666		13,832,769
Seasons Series Trust Mid Cap Value Portfolio, Class 3		2,379,313		48,999,005
Seasons Series Trust Multi-Managed Moderate Growth Portfolio, Class 3		1,589,039		24,740,542
Seasons Series Trust Small Cap Portfolio, Class 3†		2,675,762		34,363,230
Total Domestic Equity Investment Companies(cost $208,085,384)				324,688,280
Domestic Fixed Income Investment Companies — 29.6%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		14,409,716		168,346,524
Seasons Series Trust Real Return Portfolio, Class 3		1,425,971		14,005,005
Total Domestic Fixed Income Investment Companies(cost $183,403,562)				182,351,529

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 17.7%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $83,586,066)		12,381,257		$	109,043,152
TOTAL INVESTMENTS (cost $475,075,012)(1)		100.0	%		616,082,961
Liabilities in excess of other assets		(0.0	)		(65,036	)
NET ASSETS		100.0	%	$	616,017,925

#  See Note 8

†  Non-income producing security

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

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Affiliated Registered Investment Companies:
Domestic Equity Investment Companies	$	324,688,280	$	—	$	—	$	324,688,280
Domestic Fixed Income Investment Companies		182,351,529		—		—		182,351,529
International Equity Investment Companies		109,043,152		—		—		109,043,152
Total	$	616,082,961	$	—	$	—	$	616,082,961

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

328

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	44.1	%
Domestic Fixed Income Investment Companies	42.3
International Equity Investment Companies	13.7
	100.1	%

*  Calculated as a percentage of net assets

329

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.1%
Domestic Equity Investment Companies — 44.1%
Seasons Series Trust Focus Growth Portfolio, Class 3		461,438	$	5,638,570
Seasons Series Trust Focus Value Portfolio, Class 3		329,500		5,645,074
Seasons Series Trust Large Cap Growth Portfolio, Class 3		3,029,868		43,386,007
Seasons Series Trust Large Cap Value Portfolio, Class 3		3,774,861		63,096,792
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		281,982		4,695,749
Seasons Series Trust Mid Cap Value Portfolio, Class 3		1,173,378		24,164,261
Seasons Series Trust Small Cap Portfolio, Class 3†		1,482,531		19,039,269
Total Domestic Equity Investment Companies (cost $103,869,727)				165,665,722
Domestic Fixed Income Investment Companies — 42.3%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		10,763,611		125,749,635
Seasons Series Trust Multi-Managed Income/Equity, Class 3		1,379,381		18,031,813
Seasons Series Trust Real Return Portfolio, Class 3		1,559,343		15,314,908
Total Domestic Fixed Income Investment Companies (cost $159,501,888)				159,096,356

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 13.7%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $41,367,111)	$	5,864,416		$	51,648,587
TOTAL INVESTMENTS (cost $304,738,726)(1)		100.1	%		376,410,665
Liabilities in excess of other assets		(0.1	)		(543,960	)
NET ASSETS		100.0	%	$	375,866,705

#  See Note 8

†  Non-income producing security

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

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Affiliated Registered Investment Companies:
Domestic Equity Investment Companies	$	165,665,722	$	—	$	—	$	165,665,722
Domestic Fixed Income Investment Companies		159,096,356		—		—		159,096,356
International Equity Investment Companies		51,648,587		—		—		51,648,587
Total	$	376,410,665	$	—	$	—	$	376,410,665

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

330

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO PROFILE — September 30, 2014 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	50.7	%
Domestic Equity Investment Companies	39.2
International Equity Investment Companies	10.3
	100.2	%

*  Calculated as a percentage of net assets

331

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2014 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.2%
Domestic Equity Investment Companies — 39.2%
Seasons Series Trust Focus Growth Portfolio, Class 3		315,115	$	3,850,572
Seasons Series Trust Focus Value Portfolio, Class 3		268,104		4,593,212
Seasons Series Trust Large Cap Growth Portfolio, Class 3		2,350,311		33,655,130
Seasons Series Trust Large Cap Value Portfolio, Class 3		3,007,382		50,268,387
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		182,480		3,038,768
Seasons Series Trust Mid Cap Value Portfolio, Class 3		731,821		15,070,949
Seasons Series Trust Small Cap Portfolio, Class 3†		688,252		8,838,820
Total Domestic Equity Investment Companies (cost $77,817,482)				119,315,838
Domestic Fixed Income Investment Companies — 50.7%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		10,114,315		118,164,001
Seasons Series Trust Multi-Managed Income Portfolio, Class 3		1,121,778		13,790,746
Seasons Series Trust Real Return Portfolio, Class 3		2,274,117		22,334,972
Total Domestic Fixed Income Investment Companies (cost $154,062,140)				154,289,719

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 10.3%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $25,522,487)		3,559,138			31,345,740
TOTAL INVESTMENTS (cost $257,402,109)(1)		100.2	%		304,951,297
Liabilities in excess of other asssets		(0.2	)		(546,943	)
NET ASSETS		100.0	%	$	304,404,354

#  See Note 8

†  Non-income producing security

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

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2014 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Assets:
Long-Term Investment Securities:
Affliated Registered Invesment Companies
Domestic Equity Investment Companies	$	119,315,838	$	—	$	—	$	119,315,838
Domestic Fixed Income Investment Companies		154,289,719		—		—		154,289,719
International Equity Investment Companies		31,345,740		—		—		31,345,740
Total	$	304,951,297	$	—	$	—	$	304,951,297

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Financial Statements

332

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SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

September 30, 2014 (unaudited)

	Multi- Managed Growth Portfolio		Multi- Managed Moderate Growth Portfolio		Multi- Managed Income/ Equity Portfolio		Multi- Managed Income Portfolio		Asset Allocation: Diversified Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	72,191,514	$	142,364,282	$	103,199,777	$	84,196,661	$	145,133,788
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		2,329,000		7,853,000		10,552,000		8,586,000		10,835,000
Total investments		74,520,514		150,217,282		113,751,777		92,782,661		155,968,788
Cash		19,133		302,633		—		354,246		3,286
Foreign cash*		125		2,789		3,048		3,403		60,933
Due from broker		—		—		140,006		5		—
Receivable for:
Fund shares sold		2,387		1,886		23,181		8,045		15,940
Dividends and interest		170,401		407,828		435,468		412,041		508,924
Investments sold		787,302		1,125,185		689,193		253,292		19,044,805
Receipts on swap contracts		—		—		—		—		285
Prepaid expenses and other assets		2,557		2,795		2,525		2,494		2,941
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		12,905
Variation margin on futures contracts		3,500		12,906		13,312		16,563		90,868
Unrealized appreciation on forward foreign currency contracts		1,297		13,683		15,476		19,022		466,179
Unrealized appreciation on swap contracts		—		—		—		—		148,654
Total assets		75,507,216		152,086,987		115,073,986		93,851,772		176,324,508
LIABILITIES:
Payable for:
Fund shares redeemed		139,245		48,889		49,060		88,030		150,267
Investments purchased		3,106,174		11,118,900		11,296,723		10,818,093		21,301,915
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		53,671		99,746		69,548		52,666		109,693
Service fees — Class 2		2,892		6,546		5,514		4,464		8,824
Service fees — Class 3		7,618		15,663		9,807		7,552		12,962
Transfer agent fees and expenses		190		190		190		190		609
Trustees' fees and expenses		834		1,678		1,228		1,008		1,852
Other accrued expenses		47,346		54,112		55,833		54,690		92,489
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		363,531		518,054		—		—		—
Variation margin on futures contracts		12,594		39,332		22,859		23,547		90,069
Due to custodian		—		—		42,264		—		—
Due to broker		20		1		—		—		20,977
Swap premiums received		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Call and put options written, at value@		—		—		—		—		48,119
Unrealized depreciation on forward foreign currency contracts		515		2,117		2,235		2,629		21,523
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		3,734,630		11,905,228		11,555,261		11,052,869		21,859,299
NET ASSETS	$	71,772,586	$	140,181,759	$	103,518,725	$	82,798,903	$	154,465,209
* Cost
Investment securities (unaffiliated)	$	61,882,202	$	127,571,788	$	95,447,957	$	80,202,149	$	126,607,128
Investment securities (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	194	$	3,028	$	3,309	$	3,694	$	61,143
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	33,081

See Notes to Financial Statements

334

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Multi- Managed Growth Portfolio			Multi- Managed Moderate Growth Portfolio			Multi- Managed Income/ Equity Portfolio		Multi- Managed Income Portfolio		Asset Allocation: Diversified Growth Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	47,686,657		$	104,079,549		$	84,155,034	$	72,600,535	$	120,125,137
Accumulated undistributed net investment income (loss)		378,618			1,456,831			2,011,147		1,982,164		3,518,047
Accumulated undistributed net realized gain (loss) on investments, futures contracts, options contracts, written options, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		13,419,519			19,861,937			9,574,857		4,188,167		11,783,115
Unrealized appreciation (depreciation) on investments		10,309,312			14,792,495			7,751,820		3,994,512		18,526,660
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		(22,446	)		(21,079	)		12,119		17,789		71,198
Unrealized foreign exchange gain (loss) on other assets and liabilities		926			12,026			13,748		15,736		441,052
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—		—		—
NET ASSETS	$	71,772,586		$	140,181,759		$	103,518,725	$	82,798,903	$	154,465,209
Class 1 (unlimited shares authorized):
Net assets	$	12,569,350		$	13,260,737		$	11,871,096	$	10,048,064	$	21,926,990
Shares of beneficial interest issued and outstanding		609,510			846,794			902,915		812,551		1,639,133
Net asset value, offering and redemption price per share	$	20.62		$	15.66		$	13.15	$	12.37	$	13.38
Class 2 (unlimited shares authorized):
Net assets	$	22,900,367		$	52,154,838		$	44,552,831	$	36,391,420	$	70,677,529
Shares of beneficial interest issued and outstanding		1,112,355			3,338,105			3,396,960		2,950,337		5,290,205
Net asset value, offering and redemption price per share	$	20.59		$	15.62		$	13.12	$	12.33	$	13.36
Class 3 (unlimited shares authorized):
Net assets	$	36,302,869		$	74,766,184		$	47,094,796	$	36,359,419	$	61,860,690
Shares of beneficial interest issued and outstanding		1,768,261			4,802,031			3,602,591		2,957,847		4,641,161
Net asset value, offering and redemption price per share	$	20.53		$	15.57		$	13.07	$	12.29	$	13.33

See Notes to Financial Statements

335

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Stock Portfolio		Large Cap Growth Portfolio		Large Cap Value Portfolio		Mid Cap Growth Portfolio		Mid Cap Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	412,008,779	$	422,410,474	$	830,397,266	$	177,076,378	$	307,257,606
Investments at value (affiliated)*		—		—		2,563,465		—		125,182
Repurchase agreements (cost approximates value)		—		3,384,000		14,737,000		4,367,000		4,047,000
Total investments		412,008,779		425,794,474		847,697,731		181,443,378		311,429,788
Cash		—		12,512		11,570		1,711		1,576
Foreign cash*		53,794		—		27,040		1		—
Due from broker		—		65,000		55,000		77,000		153,000
Receivable for:
Fund shares sold		642,658		296,111		1,769,217		362,622		485,680
Dividends and interest		122,811		333,976		1,188,678		65,925		491,952
Investments sold		741,862		—		2,561,737		557,912		3,398,947
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		2,367		3,293		3,433		2,596		4,116
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		—
Variation margin on futures contracts		—		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		413,572,271		426,505,366		853,314,406		182,511,145		315,965,059
LIABILITIES:
Payable for:
Fund shares redeemed		126,801		594,299		296,333		174,813		175,077
Investments purchased		2,879,725		554,262		3,678,563		585,349		2,673,513
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		281,066		275,173		520,042		128,826		219,776
Service fees — Class 2		7,085		5,147		4,877		3,552		4,440
Service fees — Class 3		10,835		41,762		56,245		9,877		26,861
Transfer agent fees and expenses		647		380		380		380		380
Trustees' fees and expenses		3,700		3,992		6,612		1,702		3,412
Other accrued expenses		60,508		54,773		82,379		42,941		61,605
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on futures contracts		—		100		2,200		4,920		4,920
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Call and put options written, at value@		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		3,370,367		1,529,888		4,647,631		952,360		3,169,984
NET ASSETS	$	410,201,904	$	424,975,478	$	848,666,775	$	181,558,785	$	312,795,075
* Cost
Investment securities (unaffiliated)	$	313,941,674	$	333,012,141	$	695,663,713	$	140,661,549	$	267,777,518
Investment securities (affiliated)	$	—	$	—	$	1,896,293	$	—	$	98,418
Foreign cash	$	54,172	$	—	$	26,923	$	1	$	—
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	—

See Notes to Financial Statements

336

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Stock Portfolio			Large Cap Growth Portfolio			Large Cap Value Portfolio			Mid Cap Growth Portfolio			Mid Cap Value Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	273,976,398		$	257,571,986		$	691,603,956		$	122,163,203		$	210,676,355
Accumulated undistributed net investment income (loss)		(368,227	)		1,760,768			15,110,731			(246,853	)		3,423,455
Accumulated undistributed net realized gain (loss) on investments, futures contracts, options contracts, written options, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		38,527,927			76,245,910			6,564,934			23,248,886			59,209,660
Unrealized appreciation (depreciation) on investments		98,067,105			89,398,333			135,400,725			36,414,829			39,506,852
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			(1,470	)		(13,020	)		(21,247	)		(21,247	)
Unrealized foreign exchange gain (loss) on other assets and liabilities		(1,299	)		(49	)		(551	)		(33	)		—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
NET ASSETS	$	410,201,904		$	424,975,478		$	848,666,775		$	181,558,785		$	312,795,075
Class 1 (unlimited shares authorized):
Net assets	$	303,037,406		$	184,955,774		$	542,601,873		$	107,217,888		$	151,343,907
Shares of beneficial interest issued and outstanding		12,562,946			12,628,427			32,325,940			6,158,255			7,306,580
Net asset value, offering and redemption price per share	$	24.12		$	14.65		$	16.79		$	17.41		$	20.71
Class 2 (unlimited shares authorized):
Net assets	$	56,045,808		$	40,988,789		$	38,546,273		$	27,841,894		$	34,757,885
Shares of beneficial interest issued and outstanding		2,357,845			2,841,045			2,301,173			1,645,492			1,683,055
Net asset value, offering and redemption price per share	$	23.77		$	14.43		$	16.75		$	16.92		$	20.65
Class 3 (unlimited shares authorized):
Net assets	$	51,118,690		$	199,030,915		$	267,518,629		$	46,499,003		$	126,693,283
Shares of beneficial interest issued and outstanding		2,169,420			13,899,294			16,004,720			2,792,291			6,151,969
Net asset value, offering and redemption price per share	$	23.56		$	14.32		$	16.71		$	16.65		$	20.59

See Notes to Financial Statements

337

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Small Cap Portfolio		International Equity Portfolio		Diversified Fixed Income Portfolio		Real Return Portfolio		Cash Management Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	222,310,553	$	594,322,402	$	979,960,662	$	524,263,053	$	31,144,551
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		2,233,000		18,087,000		80,018,000		97,385,000		—
Total investments		224,543,553		612,409,402		1,059,978,662		621,648,053		31,144,551
Cash		1,900		1,643		722,704		3,016		479
Foreign cash*		—		4,080,026		49,527		—		—
Due from broker		79,999		—		5,035,182		—		—
Receivable for:
Fund shares sold		631,116		1,560,653		1,385,375		870,503		213,237
Dividends and interest		245,876		2,027,220		5,715,955		1,260,510		26,369
Investments sold		491,412		1,888,308		9,734,932		—		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		1,695		1,179		3,542		3,175		5,016
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		8,197
Variation margin on futures contracts		—		—		77,000		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		165,529		4,198,487		—
Unrealized appreciation on swap contracts		—		—		411,133		—		—
Total assets		225,995,551		621,968,431		1,083,279,541		627,983,744		31,397,849
LIABILITIES:
Payable for:
Fund shares redeemed		92,477		9,111		186,138		1,452,749		68,986
Investments purchased		786,726		4,907,092		63,531,179		—		—
Payments on swap contracts		—		—		43,422		—		—
Investment advisory and management fees		162,867		468,226		521,476		303,487		11,711
Service fees — Class 2		3,050		3,609		4,850		—		1,294
Service fees — Class 3		19,076		51,806		93,737		97,134		3,979
Transfer agent fees and expenses		380		380		380		419		152
Trustees' fees and expenses		2,114		6,084		8,987		7,250		439
Other accrued expenses		55,428		88,591		106,695		86,632		36,669
Accrued foreign tax on capital gains		—		16,843		—		—		—
Line of credit		—		—		—		—		—
Variation margin on futures contracts		52,848		107		145,969		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Swap premiums received		—		—		2,576,349		—		—
Commitments (Note 13)		—		—		265,726		—		—
Due to custodian for foreign cash		—		—		—		—		—
Call and put options written, at value@		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		7,969		—		—
Unrealized depreciation on swap contracts		—		—		11,179		—		—
Total liabilities		1,174,966		5,551,849		67,504,056		1,947,671		123,230
NET ASSETS	$	224,820,585	$	616,416,582	$	1,015,775,485	$	626,036,073	$	31,274,619
* Cost
Investment securities (unaffiliated)	$	194,385,463	$	562,154,124	$	967,794,527	$	534,516,282	$	31,154,668
Investment securities (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	—	$	4,165,502	$	49,875	$	—	$	—
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	—

See Notes to Financial Statements

338

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Small Cap Portfolio			International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			Cash Management Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	179,809,441		$	628,758,866		$	983,177,228		$	632,527,979		$	33,645,922
Accumulated undistributed net investment income (loss)		507,854			14,653,176			25,774,760			(8,317,113	)		(127,461	)
Accumulated undistributed net realized gain (loss) on investments, futures contracts, options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		16,760,213			(58,718,795	)		(5,759,016	)		7,912,121			(2,233,725	)
Unrealized appreciation (depreciation) on investments		27,925,090			32,168,278			12,166,135			(10,253,229	)		(10,117	)
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		(182,013	)		(276,759	)		262,767			—			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—			(151,341	)		153,611			4,166,315			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			(16,843	)		—			—			—
NET ASSETS	$	224,820,585		$	616,416,582		$	1,015,775,485		$	626,036,073		$	31,274,619
Class 1 (unlimited shares authorized):
Net assets	$	112,644,310		$	342,864,467		$	522,443,230		$	156,252,310		$	1,241,486
Shares of beneficial interest issued and outstanding		8,466,807			38,790,971			44,373,450			15,842,262			116,619
Net asset value, offering and redemption price per share	$	13.30		$	8.84		$	11.77		$	9.86		$	10.65
Class 2 (unlimited shares authorized):
Net assets	$	23,585,589		$	28,454,299		$	39,893,540		$	—		$	10,218,372
Shares of beneficial interest issued and outstanding		1,812,092			3,218,390			3,396,542			—			968,252
Net asset value, offering and redemption price per share	$	13.02		$	8.84		$	11.75		$	—		$	10.55
Class 3 (unlimited shares authorized):
Net assets	$	88,590,686		$	245,097,816		$	453,438,715		$	469,783,763		$	19,814,761
Shares of beneficial interest issued and outstanding		6,898,317			27,830,206			38,812,434			47,832,745			1,888,693
Net asset value, offering and redemption price per share	$	12.84		$	8.81		$	11.68		$	9.82		$	10.49

See Notes to Financial Statements

339

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Focus Growth Portfolio		Focus Value Portfolio			Allocation Growth Portfolio		Allocation Moderate Growth Portfolio		Allocation Moderate Portfolio		Allocation Balanced Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	168,622,866	$	272,744,190		$	—	$	—	$	—	$	—
Investments at value (affiliated)*		—		—			115,333,142		616,082,961		376,410,665		304,951,297
Repurchase agreements (cost approximates value)		4,187,000		20,076,000			—		—		—		—
Total investments		172,809,866		292,820,190			115,333,142		616,082,961		376,410,665		304,951,297
Cash		1,354		1,176			—		—		184,847		165,541
Foreign cash*		—		—			—		—		—		—
Due from broker		—		—			—		—		—		—
Receivable for:
Fund shares sold		157,584		453,695			88,934		185,536		36,435		200,741
Dividends and interest		158,100		173,975			—		—		—		—
Investments sold		10,556,049		—			27,045		181,128		—		—
Receipts on swap contracts		—		—			—		—		—		—
Prepaid expenses and other assets		1,259		6,966			2,348		2,348		2,348		2,348
Due from investment adviser for expense reimbursements/fee waivers		—		12,023			—		—		—		—
Variation margin on futures contracts		—		—			—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—			—		—		—		—
Unrealized appreciation on swap contracts		—		—			—		—		—		—
Total assets		183,684,212		293,468,025			115,451,469		616,451,973		376,634,295		305,319,927
LIABILITIES:
Payable for:
Fund shares redeemed		437,404		107,101			71,722		131,730		500,752		679,951
Investments purchased		5,716,035		589,733			—		—		184,847		165,541
Payments on swap contracts		—		—			—		—		—		—
Investment advisory and management fees		146,849		238,713			9,677		51,718		31,452		25,349
Service fees — Class 2		4,462		2,281			—		—		—		—
Service fees — Class 3		11,415		7,832			—		—		—		—
Transfer agent fees and expenses		342		380			102		152		152		102
Trustees' fees and expenses		1,919		2,053			1,330		7,457		4,377		3,512
Other accrued expenses		41,064		41,467			29,258		61,863		46,010		41,118
Accrued foreign tax on capital gains		—		—			—		—		—		—
Line of credit		—		—			27,044		181,128		—		—
Variation margin on futures contracts		—		—			—		—		—		—
Due to custodian		—		—			—		—		—		—
Due to broker		—		—			—		—		—		—
Swap premiums received		—		—			—		—		—		—
Commitments (Note 13)		—		—			—		—		—		—
Due to custodian for foreign cash		—		423			—		—		—		—
Call and put options written, at value		—		—			—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—			—		—		—		—
Unrealized depreciation on swap contracts		—		—			—		—		—		—
Total liabilities		6,359,490		989,983			139,133		434,048		767,590		915,573
NET ASSETS	$	177,324,722	$	292,478,042		$	115,312,336	$	616,017,925	$	375,866,705	$	304,404,354
* Cost
Investment securities (unaffiliated)	$	140,164,308	$	235,642,621		$	—	$	—	$	—	$	—
Investment securities (affiliated)	$	—	$	—		$	85,615,712	$	475,075,012	$	304,738,726	$	257,402,109
Foreign cash	$	—	$	(456	)	$	—	$	—	$	—	$	—
@ Premiums received on options written	$	—	$	—		$	—	$	—	$	—	$	—

See Notes to Financial Statements

340

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2014 (unaudited)

	Focus Growth Portfolio			Focus Value Portfolio			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			Allocation Balanced Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	109,157,286		$	258,489,041		$	113,384,933		$	484,426,472		$	303,130,727		$	236,578,566
Accumulated undistributed net investment income (loss)		(393,158	)		2,895,283			622,199			5,653,229			3,809,881			3,341,851
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options, swap contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		40,104,264			(6,007,884	)		(28,412,226	)		(15,069,725	)		(2,745,842	)		16,934,749
Unrealized appreciation (depreciation) on investments		28,458,558			37,101,569			29,717,430			141,007,949			71,671,939			47,549,188
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			—			—			—			—			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		(2,228	)		33			—			—			—			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—			—
NET ASSETS	$	177,324,722		$	292,478,042		$	115,312,336		$	616,017,925		$	375,866,705		$	304,404,354
Class 1 (unlimited shares authorized):
Net assets	$	87,880,957		$	237,194,822		$	—		$	—		$	—		$	—
Shares of beneficial interest issued and outstanding		6,922,548			13,773,685			—			—			—			—
Net asset value, offering and redemption price per share	$	12.69		$	17.22		$	—		$	—		$	—		$	—
Class 2 (unlimited shares authorized):
Net assets	$	35,165,475		$	18,040,588		$	—		$	—		$	—		$	—
Shares of beneficial interest issued and outstanding		2,837,953			1,049,815			—			—			—			—
Net asset value, offering and redemption price per share	$	12.39		$	17.18		$	—		$	—		$	—		$	—
Class 3 (unlimited shares authorized):
Net assets	$	54,278,290		$	37,242,632		$	115,312,336		$	616,017,925		$	375,866,705		$	304,404,354
Shares of beneficial interest issued and outstanding		4,441,878			2,173,845			9,057,187			46,285,710			29,056,206			23,523,190
Net asset value, offering and redemption price per share	$	12.22		$	17.13		$	12.73		$	13.31		$	12.94		$	12.94

See Notes to Financial Statements

341

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

September 30, 2014 (unaudited)

	Multi- Managed Growth Portfolio			Multi- Managed Moderate Growth Portfolio			Multi- Managed Income/ Equity Portfolio			Multi- Managed Income Portfolio			Asset Allocation: Diversified Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	351,838		$	551,348		$	235,042		$	99,601		$	1,314,334
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		318,386			931,230			1,157,805			1,184,620			704,111
Total investment income*		670,224			1,482,578			1,392,847			1,284,221			2,018,445
Expenses:
Investment advisory and management fees		330,246			615,496			430,644			327,580			678,839
Service Fees:
Class 2		17,650			40,571			34,155			27,799			54,672
Class 3		47,049			96,548			60,835			46,970			80,319
Transfer agent fees and expenses		556			556			555			556			1,779
Custodian and accounting fees		45,677			57,237			49,683			48,844			103,843
Reports to shareholders		7,916			15,557			11,467			9,241			21,842
Audit and tax fees		23,438			23,438			23,414			23,414			28,261
Legal fees		2,996			3,700			3,584			2,961			3,637
Trustees' fees and expenses		1,402			2,788			2,042			1,665			3,076
Interest expense		160			253			101			21			—
Other expenses		9,448			10,077			9,011			8,344			14,533
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly		486,538			866,221			625,491			497,395			990,801
Net (fees waived and expenses reimbursed)/recouped by investment adviser (Note 3)		—			—			—			—			(79,863	)
Fees paid indirectly (Note 5)		(480	)		(779	)		(201	)		(71	)		(912	)
Net expenses		486,058			865,442			625,290			497,324			910,026
Net investment income (loss)		184,166			617,136			767,557			786,897			1,108,419
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		3,420,602			5,666,740			2,676,910			1,668,733			10,903,981
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		(55,428	)		(152,000	)		(191,083	)		(287,371	)		197,907
Net realized foreign exchange gain (loss) on other assets and liabilities		(6,378	)		14,878			19,962			24,778			178,743
Net realized gain (loss) on investments and foreign currencies		3,358,796			5,529,618			2,505,789			1,406,140			11,280,631
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(1,863,610	)		(3,333,808	)		(394,377	)		(387,002	)		(8,149,016	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(34,551	)		(48,147	)		(38,360	)		(24,878	)		108,624
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		1,892			15,492			17,569			20,088			440,003
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		(1,896,269	)		(3,366,463	)		(415,168	)		(391,792	)		(7,600,389	)
Net realized and unrealized gain (loss) on investments and foreign currencies		1,462,527			2,163,155			2,090,621			1,014,348			3,680,242
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,646,693		$	2,780,291		$	2,858,178		$	1,801,245		$	4,788,661
* Net of foreign withholding taxes on interest and dividends of	$	487		$	1,493		$	1,286		$	1,290		$	44,857
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	219

See Notes to Financial Statements

342

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

September 30, 2014 (unaudited)

	Stock Portfolio			Large Cap Growth Portfolio			Large Cap Value Portfolio			Mid Cap Growth Portfolio			Mid Cap Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,436,593		$	2,729,297		$	9,344,795		$	755,200		$	2,838,659
Dividends (affiliated)		—			—			11,220			129			1,511
Interest (unaffiliated)		1,522			605			8,278			746			—
Total investment income*		1,438,115			2,729,902			9,364,293			756,075			2,840,170
Expenses:
Investment advisory and management fees		1,582,830			1,629,723			2,940,076			734,320			1,384,748
Service Fees:
Class 2		43,076			30,833			29,605			21,831			27,294
Class 3		65,943			261,017			344,660			60,896			164,930
Transfer agent fees and expenses		1,890			1,111			1,111			1,111			1,111
Custodian and accounting fees		30,752			29,351			50,221			23,898			37,541
Reports to shareholders		36,496			40,822			70,788			17,202			34,805
Audit and tax fees		17,343			17,352			17,394			17,763			17,524
Legal fees		4,656			4,651			5,646			4,777			3,772
Trustees' fees and expenses		6,384			7,111			12,219			2,953			5,981
Interest expense		—			—			—			4			—
Other expenses		18,256			19,115			33,460			11,412			15,524
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly		1,807,626			2,041,086			3,505,180			896,167			1,693,230
Net (fees waived and expenses reimbursed)/recouped by investment adviser (Note 3)		—			—			—			—			—
Fees paid indirectly (Note 5)		(1,255	)		(3,518	)		(546	)		(380	)		(4,135	)
Net expenses		1,806,371			2,037,568			3,504,634			895,787			1,689,095
Net investment income (loss)		(368,256	)		692,334			5,859,659			(139,712	)		1,151,075
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		16,577,726			20,790,294			15,732,969			7,756,971			35,076,024
Net realized gain (loss) on investments (affiliated)**		—			—			15,321			6,169			9,511
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			77,170			69,120			44,521			77,651
Net realized foreign exchange gain (loss) on other assets and liabilities		90			(5	)		(2,114	)		(194	)		—
Net realized gain (loss) on investments and foreign currencies		16,577,816			20,867,459			15,815,296			7,807,467			35,163,186
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		4,017,263			5,250,708			8,874,966			(4,551,367	)		(26,658,258	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			150,347			(4,308	)		(3,093	)
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		—			250			(31,200	)		(25,260	)		(25,260	)
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(1,605	)		(342	)		(463	)		25			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		4,015,658			5,250,616			8,993,650			(4,580,910	)		(26,686,611	)
Net realized and unrealized gain (loss) on investments and foreign currencies		20,593,474			26,118,075			24,808,946			3,226,557			8,476,575
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	20,225,218		$	26,810,409		$	30,668,605		$	3,086,845		$	9,627,650
* Net of foreign withholding taxes on interest and dividends of	$	10,059		$	2,203		$	67,377		$	3,333		$	336
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

343

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

September 30, 2014 (unaudited)

	Small Cap Portfolio			International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			Cash Management Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,457,315		$	9,731,273		$	61,095		$	15		$	—
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		267			2,318			13,017,274			6,913,489			28,373
Total investment income*		1,457,582			9,733,591			13,078,369			6,913,504			28,373
Expenses:
Investment advisory and management fees		957,785			2,753,312			3,056,184			1,816,030			76,658
Service Fees:
Class 2		19,156			22,666			30,502			—			8,321
Class 3		117,722			323,933			579,029			592,161			26,346
Transfer agent fees and expenses		1,111			1,111			1,111			1,223			444
Custodian and accounting fees		42,327			101,460			114,501			40,626			12,534
Reports to shareholders		22,063			59,087			92,038			69,353			4,113
Audit and tax fees		17,620			26,172			24,976			23,307			19,941
Legal fees		3,195			11,080			11,804			8,547			2,434
Trustees' fees and expenses		3,798			10,461			16,120			11,915			712
Interest expense		—			78			—			670			—
Other expenses		13,587			23,444			35,391			17,140			3,380
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly		1,198,364			3,332,804			3,961,656			2,580,972			154,883
Net (fees waived and expenses reimbursed)/recouped by investment adviser (Note 3)		—			—			—			—			(44,928	)
Fees paid indirectly (Note 5)		(2,352	)		(25,397	)		—			—			—
Net expenses		1,196,012			3,307,407			3,961,656			2,580,972			109,955
Net investment income (loss)		261,570			6,426,184			9,116,713			4,332,532			(81,582	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		9,850,698			17,013,696			4,919,545			534,284			9
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		(1,000	)		184,370			(1,709,857	)		—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(17	)		(173,184	)		393,981			9,179,586			—
Net realized gain (loss) on investments and foreign currencies		9,849,681			17,024,882			3,603,669			9,713,870			9
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(23,081,684	)		(36,006,851	)		1,947,569			(11,480,466	)		1,094
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(154,171	)		(342,059	)		(239,326	)		—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—			(262,606	)		168,784			4,138,339			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			(16,843	)		—			—			—
Net unrealized gain (loss) on investments and foreign currencies		(23,235,855	)		(36,628,359	)		1,877,027			(7,342,127	)		1,094
Net realized and unrealized gain (loss) on investments and foreign currencies		(13,386,174	)		(19,603,477	)		5,480,696			2,371,743			1,103
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(13,124,604	)	$	(13,177,293	)	$	14,597,409		$	6,704,275		$	(80,479	)
* Net of foreign withholding taxes on interest and dividends of	$	950		$	804,112		$	4,130		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

344

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

September 30, 2014 (unaudited)

	Focus Growth Portfolio			Focus Value Portfolio			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			Allocation Balanced Portfolio
Investment Income:
Dividends (unaffiliated)	$	617,488		$	2,596,399		$	—		$	—		$	—		$	—
Dividends (affiliated)		—			—			—			—			—			—
Interest (unaffiliated)		1,348			—			—			—			—			—
Total investment income*		618,836			2,596,399			—			—			—			—
Expenses:
Investment advisory and management fees		853,047			1,327,054			59,548			320,404			194,463			155,634
Service Fees:
Class 2		27,362			13,870			—			—			—			—
Class 3		69,924			48,320			—			—			—			—
Transfer agent fees and expenses		1,000			1,111			413			444			444			413
Custodian and accounting fees		13,274			12,684			6,143			6,033			6,039			6,071
Reports to shareholders		17,554			28,141			12,541			69,190			41,422			33,299
Audit and tax fees		16,280			16,291			12,156			12,156			12,156			12,156
Legal fees		3,031			3,278			2,834			5,437			4,146			3,761
Trustees' fees and expenses		3,159			3,950			2,232			12,373			7,352			5,899
Interest expense		7			—			427			2,521			1,361			1,123
Other expenses		8,768			17,205			4,690			5,676			5,158			5,009
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly		1,013,406			1,471,904			100,984			434,234			272,541			223,365
Net (fees waived and expenses reimbursed)/recouped by investment adviser (Note 3)		—			(66,580	)		—			—			—			—
Fees paid indirectly (Note 5)		(1,412	)		(961	)		—			—			—			—
Net expenses		1,011,994			1,404,363			100,984			434,234			272,541			223,365
Net investment income (loss)		(393,158	)		1,192,036			(100,984	)		(434,234	)		(272,541	)		(223,365	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		8,578,576			6,011,100			—			—			—			—
Net realized gain (loss) on investments (affiliated)**		—			—			3,106,020			15,695,295			8,683,565			6,660,960
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(495	)		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		8,578,081			6,011,100			3,106,020			15,695,295			8,683,565			6,660,960
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		3,201,797			5,018,660			—			—			—			—
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			(977,681	)		(4,108,056	)		(1,157,989	)		(127,934	)
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		—			—			—			—			—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(1,755	)		39			—			—			—			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		3,200,042			5,018,699			(977,681	)		(4,108,056	)		(1,157,989	)		(127,934	)
Net realized and unrealized gain (loss) on investments and foreign currencies		11,778,123			11,029,799			2,128,339			11,587,239			7,525,576			6,533,026
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	11,384,965		$	12,221,835		$	2,027,355		$	11,153,005		$	7,253,035		$	6,309,661
* Net of foreign withholding taxes on interest and dividends of	$	7,876		$	—		$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

345

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS

	Multi-Managed Growth Portfolio						Multi-Managed Moderate Growth Portfolio						Multi-Managed Income/ Equity Portfolio
	For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	184,166		$	198,637		$	617,136		$	843,089		$	767,557		$	1,227,815
Net realized gain (loss) on investments and foreign currencies		3,358,796			10,306,499			5,529,618			15,034,967			2,505,789			7,752,767
Net unrealized gain (loss) on investments and foreign currencies		(1,896,269	)		583,493			(3,366,463	)		1,206,846			(415,168	)		(2,137,556	)
Net increase (decrease) in net assets resulting from operations		1,646,693			11,088,629			2,780,291			17,084,902			2,858,178			6,843,026
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(86,974	)		—			(129,766	)		—			(201,539	)
Net investment income — Class 2		—			(121,818	)		—			(440,929	)		—			(723,811	)
Net investment income — Class 3		—			(171,910	)		—			(638,714	)		—			(767,984	)
Net realized gain on investments — Class 1		—			(294,639	)		—			(707,781	)		—			(451,282	)
Net realized gain on investments — Class 2		—			(536,779	)		—			(2,865,581	)		—			(1,794,028	)
Net realized gain on investments — Class 3		—			(852,596	)		—			(4,211,997	)		—			(1,905,555	)
Total distributions to shareholders		—			(2,064,716	)		—			(8,994,768	)		—			(5,844,199	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(5,347,274	)		(1,228,922	)		(9,891,066	)		17,980,090			(6,803,181	)		11,744,678
TOTAL INCREASE (DECREASE) IN NET ASSETS		(3,700,581	)		7,794,991			(7,110,775	)		26,070,224			(3,945,003	)		12,743,505
NET ASSETS:
Beginning of period		75,473,167			67,678,176			147,292,534			121,222,310			107,463,728			94,720,223
End of period†	$	71,772,586		$	75,473,167		$	140,181,759		$	147,292,534		$	103,518,725		$	107,463,728
†Includes accumulated undistributed net investment income (loss)	$	378,618		$	194,452		$	1,456,831		$	839,695		$	2,011,147		$	1,243,590

See Notes to Financial Statements

346

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Multi-Managed Income Portfolio						Asset Allocation: Diversified Growth Portfolio						Stock Portfolio
	For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	786,897		$	1,216,454		$	1,108,419		$	2,414,022		$	(368,256	)	$	(906,921	)
Net realized gain (loss) on investments and foreign currencies		1,406,140			3,498,748			11,280,631			19,637,738			16,577,816			23,494,184
Net unrealized gain (loss) on investments and foreign currencies		(391,792	)		(1,905,021	)		(7,600,389	)		5,632,109			4,015,658			44,260,104
Net increase (decrease) in net assets resulting from operations		1,801,245			2,810,181			4,788,661			27,683,869			20,225,218			66,847,367
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(221,182	)		—			(599,064	)		—			—
Net investment income — Class 2		—			(693,257	)		—			(1,838,654	)		—			—
Net investment income — Class 3		—			(749,387	)		—			(1,581,000	)		—			—
Net realized gain on investments — Class 1		—			(366,116	)		—			—			—			(7,587,924	)
Net realized gain on investments — Class 2		—			(1,257,291	)		—			—			—			(2,268,496	)
Net realized gain on investments — Class 3		—			(1,369,878	)		—			—			—			(2,114,633	)
Total distributions to shareholders		—			(4,657,111	)		—			(4,018,718	)		—			(11,971,053	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(5,736,275	)		4,761,886			(13,054,621	)		(28,422,405	)		40,421,583			70,471,618
TOTAL INCREASE (DECREASE) IN NET ASSETS		(3,935,030	)		2,914,956			(8,265,960	)		(4,757,254	)		60,646,801			125,347,932
NET ASSETS:
Beginning of period		86,733,933			83,818,977			162,731,169			167,488,423			349,555,103			224,207,171
End of period†	$	82,798,903		$	86,733,933		$	154,465,209		$	162,731,169		$	410,201,904		$	349,555,103
†Includes accumulated undistributed net investment income (loss)	$	1,982,164		$	1,195,267		$	3,518,047		$	2,409,628		$	(368,227	)	$	29

See Notes to Financial Statements

347

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Large Cap Growth Portfolio						Large Cap Value Portfolio					Mid Cap Growth Portfolio
	For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)		For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	692,334		$	1,079,128		$	5,859,659	$	9,258,715		$	(139,712	)	$	(420,959	)
Net realized gain (loss) on investments and foreign currencies		20,867,459			57,373,538			15,815,296		26,829,982			7,807,467			16,442,369
Net unrealized gain (loss) on investments and foreign currencies		5,250,616			10,304,228			8,993,650		59,742,287			(4,580,910	)		13,766,467
Net increase (decrease) in net assets resulting from operations		26,810,409			68,756,894			30,668,605		95,830,984			3,086,845			29,787,877
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(757,428	)		—		(2,951,318	)		—			—
Net investment income — Class 2		—			(201,270	)		—		(333,341	)		—			—
Net investment income — Class 3		—			(711,965	)		—		(1,955,499	)		—			—
Net realized gain on investments — Class 1		—			(4,288,175	)		—		—			—			(1,708,693	)
Net realized gain on investments — Class 2		—			(1,496,802	)		—		—			—			(807,179	)
Net realized gain on investments — Class 3		—			(6,904,009	)		—		—			—			(1,418,117	)
Total distributions to shareholders		—			(14,359,649	)		—		(5,240,158	)		—			(3,933,989	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(13,464,042	)		66,190,535			106,338,581		202,289,528			15,130,157			22,295,904
TOTAL INCREASE (DECREASE) IN NET ASSETS		13,346,367			120,587,780			137,007,186		292,880,354			18,217,002			48,149,792
NET ASSETS:
Beginning of period		411,629,111			291,041,331			711,659,589		418,779,235			163,341,783			115,191,991
End of period†	$	424,975,478		$	411,629,111		$	848,666,775	$	711,659,589		$	181,558,785		$	163,341,783
†Includes accumulated undistributed net investment income (loss)	$	1,760,768		$	1,068,434		$	15,110,731	$	9,251,072		$	(246,853	)	$	(107,141	)

See Notes to Financial Statements

348

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Mid Cap Value Portfolio						Small Cap Portfolio					International Equity Portfolio
	For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014		For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,151,075		$	2,272,848		$	261,570		$	293,322	$	6,426,184		$	8,715,300
Net realized gain (loss) on investments and foreign currencies		35,163,186			37,460,801			9,849,681			15,661,828		17,024,882			29,532,280
Net unrealized gain (loss) on investments and foreign currencies		(26,686,611	)		18,265,789			(23,235,855	)		24,228,915		(36,628,359	)		28,890,690
Net increase (decrease) in net assets resulting from operations		9,627,650			57,999,438			(13,124,604	)		40,184,065		(13,177,293	)		67,138,270
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(941,689	)		—			—		—			(2,426,311	)
Net investment income — Class 2		—			(216,624	)		—			—		—			(298,507	)
Net investment income — Class 3		—			(753,161	)		—			—		—			(2,618,047	)
Net realized gain on investments — Class 1		—			—			—			—		—			—
Net realized gain on investments — Class 2		—			—			—			—		—			—
Net realized gain on investments — Class 3		—			—			—			—		—			—
Total distributions to shareholders		—			(1,911,474	)		—			—		—			(5,342,865	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(31,417,641	)		19,941,961			18,532,893			31,885,697		65,133,561			65,294,773
TOTAL INCREASE (DECREASE) IN NET ASSETS		(21,789,991	)		76,029,925			5,408,289			72,069,762		51,956,268			127,090,178
NET ASSETS:
Beginning of period		334,585,066			258,555,141			219,412,296			147,342,534		564,460,314			437,370,136
End of period†	$	312,795,075		$	334,585,066		$	224,820,585		$	219,412,296	$	616,416,582		$	564,460,314
†Includes accumulated undistributed net investment income (loss)	$	3,423,455		$	2,272,380		$	507,854		$	246,284	$	14,653,176		$	8,226,992

See Notes to Financial Statements

349

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Diversified Fixed Income Portfolio					Real Return Portfolio						Cash Management Portfolio
	For the six months ended September 30, 2014 (unaudited)		For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	9,116,713	$	13,095,684		$	4,332,532		$	(497,741	)	$	(81,582	)	$	(197,268	)
Net realized gain (loss) on investments and foreign currencies		3,603,669		(4,067,869	)		9,713,870			(8,837,444	)		9			8
Net unrealized gain (loss) on investments and foreign currencies		1,877,027		(14,638,828	)		(7,342,127	)		(14,984,975	)		1,094			(4,029	)
Net increase (decrease) in net assets resulting from operations		14,597,409		(5,611,013	)		6,704,275			(24,320,160	)		(80,479	)		(201,289	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—		(5,841,275	)		—			(1,377,753	)		—			—
Net investment income — Class 2		—		(675,003	)		—			—			—			—
Net investment income — Class 3		—		(6,709,783	)		—			(3,429,254	)		—			—
Net realized gain on investments — Class 1		—		(3,054,059	)		—			—			—			—
Net realized gain on investments — Class 2		—		(397,206	)		—			—			—			—
Net realized gain on investments — Class 3		—		(4,160,141	)		—			—			—			—
Total distributions to shareholders		—		(20,837,467	)		—			(4,807,007	)		—			—
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		92,030,015		230,992,972			(16,663,424	)		165,558,370			(4,597,740	)		(12,852,487	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		106,627,424		204,544,492			(9,959,149	)		136,431,203			(4,678,219	)		(13,053,776	)
NET ASSETS:
Beginning of period		909,148,061		704,603,569			635,995,222			499,564,019			35,952,838			49,006,614
End of period†	$	1,015,775,485	$	909,148,061		$	626,036,073		$	635,995,222		$	31,274,619		$	35,952,838
†Includes accumulated undistributed net investment income (loss)	$	25,774,760	$	16,658,047		$	(8,317,113	)	$	(12,649,645	)	$	(127,461	)	$	(45,879	)

See Notes to Financial Statements

350

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Focus Growth Portfolio						Focus Value Portfolio					Allocation Growth Portfolio
	For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the Period ended September 30, 2014 (unaudited)		For the year ended March 31, 2014			For the Period ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	(393,158	)	$	(694,851	)	$	1,192,036	$	1,720,538		$	(100,984	)	$	597,085
Net realized gain (loss) on investments and foreign currencies		8,578,081			33,540,821			6,011,100		16,175,841			3,106,020			7,245,714
Net unrealized gain (loss) on investments and foreign currencies		3,200,042			739,280			5,018,699		17,218,596			(977,681	)		10,489,882
Net increase (decrease) in net assets resulting from operations		11,384,965			33,585,250			12,221,835		35,114,975			2,027,355			18,332,681
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			—			—		(953,133	)		—			—
Net investment income — Class 2		—			—			—		(102,643	)		—			—
Net investment income — Class 3		—			—			—		(154,751	)		—			(897,006	)
Net realized gain on investments — Class 1		—			(4,556,661	)		—		—			—			—
Net realized gain on investments — Class 2		—			(2,774,180	)		—		—			—			—
Net realized gain on investments — Class 3		—			(4,516,343	)		—		—			—			—
Total distributions to shareholders		—			(11,847,184	)		—		(1,210,527	)		—			(897,006	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		1,914,294			(21,794,598	)		43,440,644		78,155,010			(5,986,324	)		(17,523,771	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		13,299,259			(56,532	)		55,662,479		112,059,458			(3,958,969	)		(88,096	)
NET ASSETS:
Beginning of period		164,025,463			164,081,995			236,815,563		124,756,105			119,271,305			119,359,401
End of period†	$	177,324,722		$	164,025,463		$	292,478,042	$	236,815,563		$	115,312,336		$	119,271,305
†Includes accumulated undistributed net investment income (loss)	$	(393,158	)	$	—		$	2,895,283	$	1,703,247		$	622,199		$	723,183

See Notes to Financial Statements

351

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Allocation Moderate Growth Portfolio						Allocation Moderate Portfolio						Allocation Balanced Portfolio
	For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014			For the six months ended September 30, 2014 (unaudited)			For the year ended March 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	(434,234	)	$	4,666,690		$	(272,541	)	$	3,071,032		$	(223,365	)	$	2,654,709
Net realized gain (loss) on investments and foreign currencies		15,695,295			42,049,081			8,683,565			26,408,431			6,660,960			23,693,279
Net unrealized gain (loss) on investments and foreign currencies		(4,108,056	)		31,741,356			(1,157,989	)		9,742,564			(127,934	)		(796,123	)
Net increase (decrease) in net assets resulting from operations		11,153,005			78,457,127			7,253,035			39,222,027			6,309,661			25,551,865
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			—			—			—			—			—
Net investment income — Class 2		—			—			—			—			—			—
Net investment income — Class 3		—			(8,702,900	)		—			(5,693,525	)		—			(5,452,829	)
Net realized gain on investments — Class 1		—			—			—			—			—			—
Net realized gain on investments — Class 2		—			—			—			—			—			—
Net realized gain on investments — Class 3		—			—			—			—			—			(1,918,672	)
Total distributions to shareholders		—			(8,702,900	)		—			(5,693,525	)		—			(7,371,501	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(47,402,090	)		(112,973,343	)		(24,182,779	)		(38,550,532	)		(16,183,810	)		(34,590,629	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(36,249,085	)		(43,219,116	)		(16,929,744	)		(5,022,030	)		(9,874,149	)		(16,410,265	)
NET ASSETS:
Beginning of period		652,267,010			695,486,126			392,796,449			397,818,479			314,278,503			330,688,768
End of period†	$	616,017,925		$	652,267,010		$	375,866,705		$	392,796,449		$	304,404,354		$	314,278,503
†Includes accumulated undistributed net investment income (loss)	$	5,653,229		$	6,087,463		$	3,809,881		$	4,082,422		$	3,341,851		$	3,565,216

See Notes to Financial Statements

352

SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited)

Note 1.  Description of Business and Basis of Presentation: Seasons Series Trust (the "Trust"), organized as a Massachusetts business trust on October 10, 1995, is an open-end management investment company. Shares of the Trust are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they participate through Variable Contracts offered by affiliated life insurance companies (the "Life Companies"). SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser"), an affiliate of the Life Companies and an indirect wholly-owned subsidiary of American International Group, Inc., a Delaware Corporation ("AIG"), serves as investment adviser for all the Portfolios of the Trust. Shares of the Trust are held by separate accounts of American General Life Insurance Company ("AGL"), a Texas corporation, and The United States Life Insurance Company in the city of New York, a New York corporation ("USL"). AGL and USL are wholly-owned subsidiaries of AIG. Each of the life insurance companies listed above are collectively referred to as the Life Companies."

The Trust currently consists of 21 separate series or portfolios (each, a "Portfolio" and collectively, the "Portfolios"), each of which represents a separate managed portfolio of securities with its own investment objectives. The Board of Trustees may establish additional portfolios or classes in the future as referenced in the Trust's registration statement. Six of the Portfolios, called the "Seasons Strategies Portfolios," are available only through the selection of one of four variable investment "strategies" described in the Seasons Variable Contract prospectus. The Seasons Strategies Portfolios may also be available indirectly through certain investment options under other Variable Contracts offered by the Life Companies. Fifteen additional Portfolios, called the "Seasons Select Portfolios," the "Seasons Focused Portfolios" and the "Seasons Managed Allocation Portfolios," are available in addition to the Seasons Strategies Portfolios as variable investment options under Variable Contracts offered by the Life Companies. All shares may be purchased or redeemed at net asset value without any sales or redemption charge. Please refer to your Seasons Variable Contracts prospectus for sales and/or redemption changes under your variable contract. Each Seasons Managed Allocation Portfolio is structured as a "fund-of-funds" which means that it pursues its investment goal by investing its assets in a combination of the Seasons Select Portfolios and the Seasons Focused Portfolios (collectively, the "Underlying Portfolios").

Class 1 shares, Class 2 shares and/or Class 3 shares of each Portfolio may be offered only in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses; (ii) except for the Seasons Managed Allocation Portfolios, Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not subject to service fees; and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio, excluding the Seasons Managed Allocation Portfolios, pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class' average daily net assets.

The investment goal for each Portfolio is as follows:

Seasons Portfolios

The Multi-Managed Growth Portfolio seeks long-term growth of capital.

The Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective.

The Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital.

The Multi-Managed Income Portfolio seeks capital preservation.

The Asset Allocation: Diversified Growth Portfolio seeks capital appreciation by investing, under normal circumstances, primarily through a strategic allocation of approximately 80% (with a range of 65-95%) of its assets in equity securities and approximately 20% (with a range of 5-35%) of its assets in fixed income securities.

The Stock Portfolio seeks long-term capital appreciation with a secondary objective of increasing dividend income by investing, under normal circumstances, at least 80% of its net assets in common stocks.

353

Seasons Select Portfolios

The Large Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large companies selected through a growth strategy.

The Large Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large companies selected through a value strategy.

The Mid Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a growth strategy.

The Mid Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a value strategy.

The Small Cap Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of small companies.

The International Equity Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of issuers in at least three countries other than the U.S.

The Diversified Fixed Income Portfolio seeks relatively high current income and, secondarily, capital appreciation by investing, under normal circumstances, at least 80% of its net assets in fixed income securities including U.S. and foreign government securities, asset- and mortgage-backed securities, investment-grade debt securities, and lower-rated fixed income securities, or junk bonds.

The Real Return Portfolio seeks total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management by investing, under normal circumstances, primarily in inflation-adjusted debt securities including inflation-indexed bonds issued by the U.S. Treasury and inflation-indexed securities issued by other entities such as U.S. and foreign corporations and foreign governments.

The Cash Management Portfolio seeks current income while preserving capital by investing in a diversified selection of money market instruments.

Seasons Focused Portfolios

The Focus Growth Portfolio seeks long-term growth of capital by investing in equity securities selected on the basis of growth criteria without regard to market capitalization.

The Focus Value Portfolio seeks long-term growth of capital by investing in equity securities selected on the basis of a value criteria, without regard to market capitalization.

Seasons Managed Allocation Portfolios

The Allocation Growth Portfolio seeks long-term capital appreciation by investing in an allocation of assets among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 80% of its net assets in equity portfolios.

The Allocation Moderate Growth Portfolio seeks long-term capital appreciation by investing in an allocation of assets among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 30% and no more than 90% of its net assets in equity portfolios and at least 10% and no more than 70% of its net assets in fixed income portfolios.

The Allocation Moderate Portfolio seeks long-term capital appreciation and moderate current income by investing in an allocation of assets among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 20% and no more than 80% of its net assets in equity portfolios and at least 20% and no more than 80% of its net assets in fixed income portfolios.

The Allocation Balanced Portfolio seeks long-term capital appreciation and current income by investing in an allocation of assets among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests no more than 70% of its net assets in equity portfolios.

354

Each Portfolio is diversified with the exception of Focus Growth Portfolio and Focused Value Portfolio which are non-diversified (as such term is defined under the Investment Company Act of 1940, as amended), subject, however, to certain tax diversification requirements.

Each of the Seasons Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity and Multi-Managed Income Portfolios ("Multi-Managed Seasons Portfolio(s)") allocates all of its assets among three or four distinct Managed Components, each managed by a separate Manager ("Manager" or collectively "Managers"). The five Managers of the Multi-Managed Seasons Portfolios are J.P.Morgan Investment Management, Inc. ("J.P.Morgan"), Janus Capital Management LLC ("Janus"), Lord Abbett & Company LLC ("Lord Abbett"), PineBridge Investments LLC ("PineBridge") and Wellington Management Company, LLP ("WMC"). Each Multi-Managed Seasons Portfolio will be allocated among the Managed Components of such Portfolio as described in the chart below. Effective October 24, 2014, PineBridge and Lord Abbett were terminated as subadvisers to the Multi-Managed Seasons Portfolios. The assets were reallocated to WMC and Janus, respectively. In connection with the termination of Lord Abbett and PineBridge, the Balanced component of each of the Multi-Managed Seasons Portfolios was eliminated.

Portfolio	Small Cap Growth component J.P.Morgan			Growth component Janus			Balanced component Lord Abbett/ PineBridge	Fixed Income component WMC
Multi-Managed Growth		20	%		40	%	14%/6%		20	%
Multi-Managed Moderate Growth		18			28		12.6/5.4		36
Multi-Managed Income/Equity		0			18		14/14		54
Multi-Managed Income		0			8		8.5/8.5		75

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the targets listed in the chart. Accordingly, the assets of each Multi-Managed Seasons Portfolio will be reallocated or "rebalanced" among the managed components on at least a quarterly basis to restore the target allocations for such Portfolio.

Each Seasons Select Portfolio except the Cash Management and Real Return Portfolios (referred to hereinafter as the "Multi-Managed Seasons Select Portfolio(s)") is managed by several separate managers each of which advises a separate portion of the Portfolio. Each Multi-Managed Seasons Select Portfolio will allocate one portion of its portfolio to a passively-managed strategy that seeks to track a target index, or a subset of an index.

The Seasons Focused Portfolios offer access to several different professional managers each of which advises a separate portion of the Portfolio. Each manager actively selects a limited number of stocks that represent their best ideas. This "focus" approach to investing results in a more concentrated Portfolio, which will be less diversified than other Portfolios, and may be subject to greater market risks.

New share purchase and redemption requests in each Multi-Managed Seasons Select Portfolio and Seasons Focused Portfolio will be allocated equally among the Managers, unless SAAMCo determines, subject to the review of the Board of Trustees, that a different allocation of assets would be in the best interest of the Portfolio and its shareholders. The assets of the Focus Value Portfolio are not divided equally between the two managers, but have a targeted allocation of 67% to one manager, Northern Trust and 33% to J.P. Morgan.

Indemnifications: The Trust's organizational documents provide current and former officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current (and certain former) trustees who is not an "interested person," as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the "1940 Act"), of the Trust (collectively, the "Disinterested Trustees"), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business the Trust enters into contracts that contain the obligation to indemnify others. The Trust's maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.

Note 2. Significant Accounting Policies: The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could

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be significant. The following is a summary of significant accounting policies consistently followed by the Trust/Fund in the preparation of its financial statements:

Security Valuation: In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP established a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 1 — Unadjusted quoted prices in active markets for identical securities

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board 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 inputs used to value the Portfolios' net assets as of September 30, 2014 are reported on a schedule following the 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. 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 review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices and when so adjusted, such securities and futures are generally categorized as Level 2.

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Bonds, debentures, other long-term debt securities, and short term debt securities with maturities in excess of 60 days, are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Short-term securities with 60 days or less to maturity are amortized to maturity based on their cost to the Portfolio if acquired within 60 days of maturity or, if already held by the Portfolio on the 60th day, are amortized to maturity based on the value determined on the 61st day, and are generally categorized as Level 2.

Senior floating rate loans ("Loans") are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded over the counter will be valued based upon the average of quotations received from at least two brokers in such securities or currencies, and are generally categorized as Level 1. Option contracts on swaps ("Swaptions") and other option derivatives (i.e., straddle options) are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized and Level 2. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded over the counter will be valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. eastern time forward rate and are generally categorized as Level 2.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or over-the-counter market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC procedures") for valuing the securities and other assets held by the Portfolio's, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the 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.

Derivative Instruments

Forward Foreign Currency Contracts:  Certain Portfolios may enter into forward contracts for various purposes, including to facilitate settlement of foreign currency denominated portfolio transactions, to attempt to protect securities and related receivables and payables against changes in future foreign exchange rates to hedge portfolio exposure to benchmark currency allocations, to manage and/or gain exposure to certain foreign currencies or to enhance total return. During the six months ended September 30, 2014, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth, International Equity, Diversified Fixed Income and Real Return Portfolios used forward contracts to attempt to protect securities and related receivable and payables against changes in future foreign exchange rates, to manage and/or gain exposure to certain foreign currencies and to enhance total return. As of

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September 30, 2014, each of the preceding Portfolios, except International Equity Portfolio, have open forward contracts, which are reported on a schedule following each Portfolio's Portfolio of Investments.

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 the Portfolio as unrealized appreciation or depreciation. On the settlement date, the Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will generally consist of the net amount of contractual payments that a Portfolio has not yet received though the Portfolio's maximum risk due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other Portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Futures: Certain Portfolios may enter into futures contracts for various purposes, including to increase or decrease exposure to equity or bond markets, or to hedge against changes in interest rates, prices of stocks, bonds or other instruments, or currency rates, to manage duration and yield curve positioning or to enhance income or total return. During the six months ended September 30, 2014, the Large Cap Growth, Large Cap Value, Mid Cap Growth, Mid Cap Value, Small Cap and International Equity Portfolios, used futures contracts to increase exposure to equity or bond markets. The Multi-Managed Growth, Multi- Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolios used futures contracts to manage duration and yield curve positioning and to increase exposure to equity or bond markets. The Asset Allocation: Diversified Growth Portfolio used futures contracts to hedge against changes in interest rates, increase exposure to equity or bond markets and enhance total return. As of September 30, 2014, the following Portfolios had open futures contracts: Multi-Managed Growth Portfolio, Multi-Managed Moderate Growth Portfolio, Multi-Managed Income/Equity Portfolio, Multi-Managed Income Portfolio, Asset Allocation: Diversified Growth Portfolio, Large Cap Growth Portfolio, Large Cap Value Portfolio, Mid Cap Growth Portfolio, Mid Cap Value Portfolio, Small Cap Portfolio, International Equity Portfolio, and Diversified Fixed Income Portfolio, which are reported on a schedule following each Portfolio's Portfolio of Investments.

Common futures contracts include interest rate futures, single stock futures, stock index futures and currency futures. An interest rate futures contract is a contract to buy or sell specified debt securities at a future time for a fixed price. A single stock futures contract is a contract to buy a single stock at a future time for a fixed price. A stock index futures contract is similar in economic effect to a single stock futures contract, except that rather than being based on a specific security it is based on a specified index of stocks and not the stocks themselves. A currency futures contract is a contract to buy or sell a specific foreign currency at a future time for a fixed price.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the "broker"). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statement of Assets and Liabilities as variation margin for changes in the value of the contracts and as due to/from broker for the changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to the Portfolios of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Portfolios will generally only purchase exchange-traded futures, due to market conditions, there may not

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always be a liquid secondary market for a futures contract and, as a result, a Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Portfolios since exchange-traded futures contracts are centrally cleared.

At September 30, 2014, the amount shown in the Statements of Assets and Liabilities as due from broker for the Multi-Managed Income/Equity, Large Cap Growth, Large Cap Value, Mid Cap Growth, Mid Cap Value, Small Cap and Diversified Fixed Income Portfolios includes amounts set aside for margin requirements for open futures contracts.

Options: Certain Portfolios may enter into option contracts for various purposes, including to facilitate trading, increase or decrease a Portfolio's market exposure, to seek higher investment returns, to seek protection against a decline in the value of a Portfolio's securities or an increase in prices of securities that may be purchased to manage and/or gain exposure to certain foreign currencies, or to generate income. During the six month period ended September 30, 2014, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolios used option contracts to seek protection against a decline in the value of a Portfolio's securities or an increase in prices of securities that may be purchased or to generate income. During the six month period ended September 30, 2014, the Asset Allocation: Diversified Growth Portfolio used options contracts to seek protection against a decline in value of a Portfolio's securities or an increase in prices of securities that may be purchased or to generate income. As of September 30, 2014, each of the preceding Portfolios had open options contracts, which are reported on a schedule following the Portfolio's Portfolio of Investments.

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 the 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 the 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 the 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 over-the-counter (OTC) market.

Risks to the Portfolios 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, the Portfolio's loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk the 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.

Transactions in options written during the six months ended September 30, 2014 are summarized as follows:

	Written Options
	Asset Allocation: Diversified Growth Portfolio
	Notional Amounts		Premiums Received
Options outstanding as of March 31, 2014	$	7,355	$	5,884
Options written		158,614		58,799
Options terminated in closing purchase transactions		—		—
Options exercised		—		—
Options expired (written)		86,759		31,602
Options outstanding as of September 30, 2014	$	79,210	$	33,081

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Swap Contracts:  Certain Portfolios may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared ("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 the Portfolios faces the CCP through a broker. Upon entering into a centrally cleared swap, the Portfolios 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 Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash pledged for centrally cleared swaps. Unlike a bilateral swap contract, for centrally cleared swaps, the Portfolios have no credit exposure to the counterparty as the CCP stands between the portfolios and the counterparty. Swaps are marked-to-market daily based upon quotations from market makers or are calculated using standard models and current market data. 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 Portfolios will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolios' basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. The Portfolios amortize upfront payments and receipts on the swap contracts on a daily basis. Net periodic payments made or received by the Portfolios are included as part of realized gain (loss).

Credit Default Swap Agreements:  Certain Portfolio may enter into credit default swap agreements ("credit default swaps") for various purposes, including managing credit risk (i.e., hedging), enhancing returns, a substitute for physical securities or speculation. During the six months ended September 30, 2014, the Diversified Fixed Income Portfolio used credit default swaps to manage credit risk (i.e., hedging) and enhance returns. Credit default swaps are reported on a schedule following the Portfolios of Investments. As of September 30, 2014, each of the preceding Portfolios had open credit default swaps, which are reported on a schedule following each Portfolio's Portfolio of Investments.

Credit default swaps are generally bilateral 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, a 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, a 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. The 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, a 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 bilateral 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.,

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to reduce credit risk where a 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 bilateral 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 bilateral contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a Portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are disclosed in the footnotes to the Schedules 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 as of September 30, 2014 for which a Portfolio is the seller of protection, if any, are disclosed on a schedule following the Portfolio's Schedule 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.

Equity Swap Agreements:  Certain Portfolios may enter into equity swap agreements ("equity swaps"), a type of total return swap, for various purposes, including to hedge exposure to market risk, to gain exposure to a security or market index, or to enhance total return. Equity swaps are reported on a schedule following the Portfolio of Investments. During the six months ended September 30, 2014, the Asset Allocation: Diversified Growth Portfolio used total return swap contracts to hedge the portfolio's sector exposure, to gain exposure to certain sectors and to enhance total return. As of September 30, 2014, the Asset Allocation: Diversified Growth Portfolio had open equity swap contracts, which are reported on a schedule following the Portfolio of Investments.

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

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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 the 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, the 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 the 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 the Portfolio may agree to pay 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, the 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.

Risks of Entering into Swap Agreements:  Risks to the Portfolios of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk or documentation risk. By entering into swap agreements, the Portfolios 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 the subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, the 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 such instruments. Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio's net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a Portfolio's net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in the Portfolio's net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty's long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty's credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio's counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to the Portfolio's financial statements. See additional information on specific types of derivative instruments and

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other financial instruments as disclosed in the Notes to Financial Statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables represent the value of derivatives held as of September 30, 2014, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the six month period ended September 30, 2014. For a detailed presentation of derivatives held as of September 30, 2014, please refer to the Portfolio of Investments.

	Multi-Managed Growth Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(4)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	9,360
Interest rate contracts(2)(4)	Variation margin on futures contracts		3,500	Variation margin on futures contracts		3,234
Foreign exchange contracts(3)(5)(7)	Unrealized appreciation on forward foreign currency contracts Call options purchased, at value		1,297 662	Unrealized depreciation on forward foreign currency contracts Call options purchased, at value		515 —
		$	5,459		$	13,109

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	3,867		$	(20,436	)
Interest rate contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(59,295	)		(14,115	)
Foreign exchange contracts(3)(5)(6)(8)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(6,296	)		2,052
	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options		—			(366	)
		$	(61,724	)	$	(32,865	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures and interest rate futures contracts was $116,389 and $4,201,557, respectively.

(3)  The average notional amount outstanding for forward foreign currency contracts was $337,091.

(4)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(22,446) as reported in the Portfolio of Investments.

(5)  The average notional amount outstanding for purchased options contracts on currency contracts was $110.

(6)  The realized gain (loss) for purchased options contracts is included in Net realized gain(loss) on investments (unaffiliated).

(7)  Purchased options contracts are included in Investments at value (unaffiliated).

(8)  The change in unrealized appreciation (depreciation) on purchased options contracts is included in change in unrealized appreciation (depreciation) on investments (unaffiliated).

363

	Multi-Managed Moderate Growth Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(4)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	17,160
Interest rate contracts(2)(4)	Variation margin on futures contracts		12,906	Variation margin on futures contracts		22,172
Foreign exchange contracts(3)(5)(7)	Unrealized appreciation on forward			Unrealized depreciation on forward
	foreign currency contracts		13,683	foreign currency contracts		2,117
	Call options purchased, at value		2,471	Call options purchased, at value		—
		$	29,060		$	41,449

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	(1,083	)	$	(22,267	)
Interest rate contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(150,917	)		(25,880	)
Foreign exchange contracts(3)(5)(6)(8)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		15,230			16,114
	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options		—			(1,635	)
		$	(136,770	)	$	(33,668	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures and interest rate futures contracts was $250,542 and $12,689,758, respectively.

(3)  The average notional amount outstanding for forward foreign currency contracts was $1,611,420.

(4)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(21,079) as reported in the Portfolio of Investments.

(5)  The average notional amount outstanding for purchased options contracts on currency contracts was $412.

(6)  The realized gain/(loss) for purchased options contracts is included in Net realized gain(loss) on investments (unaffiliated).

(7)  Purchased options contracts are included in Investments at value (unaffiliated).

(8)  The change in unrealized appreciation (depreciation) on purchased options contracts is included in change in unrealized appreciation (depreciation) on investments (unaffiliated).

364

	Multi-Managed Income/Equity Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Interest rate contracts(2)(4)	Variation margin on futures contracts	$	13,312	Variation margin on futures contracts	$	22,859
Foreign exchange contracts(3)(5)(7)	Unrealized appreciation on forward foreign currency contracts Call options purchased, at value		15,476 2,711	Unrealized depreciation on forward foreign currency contracts Call options purchased, at value		2,235 —
		$	31,499		$	25,094

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Interest rate contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	(191,083	)	$	(38,360	)
Foreign exchange contracts(3)(5)(6)(8)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		20,362			18,251
	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options		—			(1,692	)
		$	(170,721	)	$	(21,801	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for interest rate futures contracts was $15,782,870.

(3)  The average notional amount outstanding for forward foreign currency contracts was $1,805,967.

(4)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $12,119 as reported in the Portfolio of Investments.

(5)  The average notional amount outstanding for purchased options contracts on currency contracts was $452.

(6)  The realized gain/(loss) for purchased options contracts is included in Net realized gain(loss) on investments (unaffiliated).

(7)  Purchased options contracts are included in Investments at value (unaffiliated).

(8)  The change in unrealized appreciation (depreciation) on purchased options contracts is included in change in unrealized appreciation (depreciation) on investments (unaffiliated).

365

	Multi-Managed Income Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Interest rate contracts(2)(4)	Variation margin on futures contracts	$	16,563	Variation margin on futures contracts	$	23,547
Foreign exchange contracts(3)(5)(7)	Unrealized appreciation on forward			Unrealized depreciation on forward
	foreign currency contracts		19,022	foreign currency contracts		2,629
	Call options purchased, at value		3,013	Call options purchased, at value		—
		$	38,598		$	26,176

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Interest rate contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	(287,371	)	$	(24,878	)
Foreign exchange contracts(3)(5)(6)(8)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		25,241			22,088
	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options		—			(1,973	)
		$	(262,130	)	$	(4,763	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for interest rate futures contracts was $17,133,991.

(3)  The average notional amount outstanding for forward foreign currency contracts was $2,081,445.

(4)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $17,789 as reported in the Portfolio of Investments.

(5)  The average notional amount outstanding for purchased options contracts on currency contracts was $502.

(6)  The realized gain/(loss) for purchased options contracts is included in Net realized gain(loss) on investments (unaffiliated).

(7)  Purchased options contracts are included in Investments at value (unaffiliated).

(8)  The change in unrealized appreciation (depreciation) on purchased options contracts is included in change in unrealized appreciation (depreciation) on investments (unaffiliated).

366

	Asset Allocation: Diversified Growth Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(5)(6)(7)(9)	Unrealized appreciation on swap			Unrealized depreciation on swap
	contracts	$	148,654	contracts	$	—
	Variation margin on futures contracts		87,165	Variation margin on futures contracts		79,490
	Put options purchased, at value		85,263	Put options purchased, at value		—
	Put options contracts written,			Put options contracts written,
	at value		—	at value		48,119
Interest rate contracts(3)(5)	Variation margin on futures contracts		3,703	Variation margin on futures contracts		10,579
Foreign exchange contracts(4)	Unrealized appreciation on forward			Unrealized depreciation on forward
	foreign currency contracts		466,179	foreign currency contracts		21,523
		$	790,964		$	159,711

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)(6)(7)(8)(10)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciations (depreciation) on futures contracts, written options contracts and swap contracts	$	32,392		$	154,538
	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options		(48,489	)		27,554
Interest rate contracts(3)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		165,515			(45,914	)
Foreign exchange contracts(4)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		199,074			444,583
		$	348,492		$	580,761

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures and swap contracts were $15,947,375 and $15,747,833, respectively.

(3)  The average value outstanding for interest rate futures was $28,106,227.

(4)  The average notional amount outstanding for forward currency contracts was $16,459,921.

(5)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(62,418) as reported in the Portfolio of Investments.

(6)  The average notional amount outstanding for written options contracts on equity contracts was $64,315.

(7)  The average notional amount outstanding for purchased options contracts on equity contracts was $100,752.

(8)  The realized gain/(loss) for purchased options contracts is included in Net realized gain(loss) on investments (unaffiliated).

(9)  Purchased options contracts are included in Investments at value (unaffiliated).

(10)  The change in unrealized appreciation (depreciation) on purchased options contracts is included in change in unrealized appreciation (depreciation) on investments (unaffiliated).

367

	Large Cap Growth Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(3)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	100

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	77,170	$	250

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures contracts was $520,258.

(3)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(1,470) as reported in the Portfolio of Investments.

	Large Cap Value Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(3)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	2,200

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	69,120	$	(31,200	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures contracts was $443,350.

(3)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(13,020) as reported in the Portfolio of Investments.

368

	Mid Cap Growth Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(3)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	4,920

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	44,521	$	(25,260	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures contracts was $416,555.

(3)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(21,247) as reported in the Portfolio of Investments.

	Mid Cap Value Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(3)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	4,920

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	77,651	$	(25,260	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures contracts was $583,307.

(3)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(21,247) as reported in the Portfolio of Investments.

369

	Small Cap Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(3)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	52,848

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	(1,000	)	$	(154,171	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures contracts was $1,763,642.

(3)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(182,013) as reported in the Portfolio of Investments.

	International Equity Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Equity contracts(2)(3)	Variation margin on futures contracts	$	—	Variation margin on futures contracts	$	107
Foreign exchange contracts	Unrealized appreciation on forward			Unrealized depreciation on forward
	foreign currency contracts		—	foreign currency contracts		—
		$	—		$	107

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Equity contracts(2)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts	$	184,370	$	(342,059	)
Foreign exchange contracts	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		111,157		(111,157	)
		$	295,527	$	(453,216	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for equity futures contracts was $3,763,253.

(3)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(276,759) as reported in the Portfolio of Investments.

(4)  The average notional amount outstanding for forward foreign currency contracts was $0.

370

	Diversified Fixed Income Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Interest rate contracts(2)(5)(6)(8)	Variation margin on futures contracts		$77,000	Variation margin on futures contracts		$145,969
	Call and put options purchased,			Call and put options purchased,
	at value		28,071	at value		—
Credit contracts(3)	Unrealized appreciation on swap contracts		411,133	Unrealized depreciation on swap contracts		11,179
Foreign exchange contracts(4)(6)(8)	Unrealized appreciation on forward			Unrealized depreciation on forward
	foreign currency contracts		165,529	foreign currency contracts		7,969
	Call and put options purchased,			Call and put options purchased,
	at value		24,342	at value		—
		$	706,075		$	165,117

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Interest rate contracts(2)(5)(6)(7)(9)	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options	$	(201,058	)	$	(713	)
	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/ Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(1,319,966	)		(742,486	)
Credit contracts(3)	Net realized gain (loss) on futures contracts, written options contracts and swap contracts/Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(389,891	)		503,160
Foreign exchange contracts(4)(6)(7)(9)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities		405,486			175,661
	Net realized gain (loss) on purchased options/Change in unrealized appreciation (depreciation) on purchased options		—			(15,631	)
		$	(1,118,800	)	$	(80,008	)

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average value outstanding for interest rate futures contracts was $174,106,567.

(3)  The average notional amount outstanding for credit default swap contracts was $36,704,771.

(4)  The average notional amount outstanding for forward foreign currency contracts was $4,785,784.

(5)  The variation margin on futures contracts is included in the cumulative unrealized appreciation (depreciation) of $(137,187) as reported in the Portfolio of Investments.

(6)  The average notional amount outstanding for purchased options contracts on interest rate swaps and currency contracts was $118,726 and $4,057, respectively.

(7)  The realized gain/(loss) for purchased options contracts is included in Net realized gain(loss) on investments (unaffiliated).

(8)  Purchased options contracts are included in Investments at value (unaffiliated).

(9)  The change in unrealized appreciation (depreciation) on purchased options contracts is included in change in unrealized appreciation (depreciation) on investments (unaffiliated).

371

	Real Return Portfolio
	Asset Derivatives			Liability Derivatives
Derivative Contracts(1)	Statement of Assets and Liabilities Location	Value		Statement of Assets and Liabilities Location	Value
Foreign exchange contracts(2)	Unrealized appreciation on forward			Unrealized depreciation on forward
	foreign currency contracts	$	4,198,487	foreign currency contracts	$	—

Derivative Contracts(1)	Location of Gain (Loss) on Derivatives Recognized in Statement of Operations	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized In Statement of Operations
Foreign exchange contracts(2)	Net realized foreign exchange gain (loss) on other assets and liabilities/Change in unrealized foreign exchange gain (loss) on other assets and liabilities	$	9,175,293	$	4,195,872

(1)  The Portfolio's derivative contracts held during the period ended September 30, 2014, are not accounted for as hedging instruments under accounting principles generally accepted in the United States of America.

(2)  The average notional amount outstanding for forward foreign currency contracts was $252,281,519.

372

As of September 30, 2014, the following tables represent derivative and financial assets and liabilities (by type) on a gross basis and related collateral pledged for derivatives and financial instruments subject to master netting arrangements. If a Portfolio does not have a derivative or financial asset or liability a table will not be presented. Futures contracts are presented at the variation margin receivable or payable. The repurchase agreements held by a Portfolio as of September 30, 2014, are also subject to master netting agreements but are not included in the following tables. See the Portfolio of Investments and Notes to the Financial Statements for more information about a Portfolio's holdings in repurchase agreements.

	Multi-Managed Growth Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	3,500	$	—	$	3,500
Foreign exchange contracts		1,959		—		1,959
Total derivatives, subject to a master netting arrangement or similar arrangement	$	5,459	$	—	$	5,459

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Assets in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Received@		Net Amount#
Citibank N.A.	$	252	$	(169	)	$	—	$	83
Deutsche Bank AG		1,025		—			—		1,025
Goldman Sachs & Co.*		3,500		(3,500	)		—		—
Goldman Sachs International		682		—			—		682
	$	5,459	$	(3,669	)	$	—	$	1,790

Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	9,360	$	—	$	9,360
Interest rate contracts
Exchange traded		3,234		—		3,234
Foreign exchange contracts		515		—		515
Total derivatives, subject to a master netting arrangement or similar arrangement	$	13,109	$	—	$	13,109

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Pledged@			Net Amount#
Citibank N.A.	$	169	$	(169	)	$	—		$	—
Goldman Sachs & Co.*		12,594		(3,500	)		(9,094	)		—
JP Morgan Chase Bank		346		—			—			346
	$	13,109	$	(3,669	)	$	(9,094	)	$	346

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

373

	Multi-Managed Moderate Growth Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	12,906	$	—	$	12,906
Foreign exchange contracts		16,154		—		16,154
Total derivatives, subject to a master netting arrangement or similar arrangement	$	29,060	$	—	$	29,060

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Assets in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Received@		Net Amount#
Citibank N.A.	$	1,010	$	(846	)	$	—	$	164
Deutsche Bank AG		4,068		—			—		4,068
Goldman Sachs & Co.*		12,906		(12,906	)		—		—
Goldman Sachs International		2,545		—			—		2,545
JPMorgan Chase Bank		8,531		(1,271	)		—		7,260
	$	29,060	$	(15,023	)	$	—	$	14,037

Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	17,160	$	—	$	17,160
Interest rate contracts
Exchange traded		22,172		—		22,172
Foreign exchange contracts		2,117		—		2,117
Total derivatives, subject to a master netting arrangement or similar arrangement	$	41,449	$	—	$	41,449

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Pledged@			Net Amount#
Citibank N.A.	$	846	$	(846	)	$	—		$	—
Goldman Sachs & Co.*		39,332		(12,906	)		(26,426	)		—
JPMorgan Chase Bank		1,271		(1,271	)		—			—
	$	41,449	$	(15,023	)	$	(26,426	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

374

	Multi-Managed Income/Equity Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	13,312	$	—	$	13,312
Foreign exchange contracts		18,187		—		18,187
Total derivatives, subject to a master netting arrangement or similar arrangement	$	31,499	$	—	$	31,499

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Assets in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Received@		Net Amount#
Citibank N.A.	$	1,010	$	(846	)	$	—	$	164
Deutsche Bank AG		4,224		—			—		4,224
Goldman Sachs & Co.*		13,312		(13,312	)		—		—
Goldman Sachs International		2,792		—			—		2,792
JPMorgan Chase Bank		10,161		(1,389	)		—		8,772
	$	31,499	$	(15,547	)	$	—	$	15,952

Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	22,859	$	—	$	22,859
Foreign exchange contracts		2,235		—		2,235
Total derivatives, subject to a master netting arrangement or similar arrangement	$	25,094	$	—	$	25,094

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Pledged@			Net Amount#
Citibank N.A.	$	846	$	(846	)	$	—		$	—
Goldman Sachs & Co.*		22,859		(13,312	)		(9,547	)		—
JPMorgan Chase Bank		1,389		(1,389	)		—			—
	$	25,094	$	(15,547	)	$	(9,547	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

375

	Multi-Managed Income Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	16,563	$	—	$	16,563
Foreign exchange contracts		22,035		—		22,035
Total derivatives, subject to a master netting arrangement or similar arrangement	$	38,598	$	—	$	38,598

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Assets in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Received@		Net Amount#
Citibank N.A.	$	4,015	$	(1,016	)	$	—	$	2,999
Deutsche Bank AG		4,751		—			—		4,751
Goldman Sachs & Co.*		16,563		(16,563	)		—		—
Goldman Sachs International		3,107		—			—		3,107
JPMorgan Chase Bank		10,162		(1,613	)		—		8,549
	$	38,598	$	(19,192	)	$	—	$	19,406

Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	23,547	$	—	$	23,547
Foreign exchange contracts		2,629		—		2,629
Total derivatives, subject to a master netting arrangement or similar arrangement	$	26,176	$	—	$	26,176

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Pledged@			Net Amount#
Citibank N.A.	$	1,016	$	(1,016	)	$	—		$	—
Goldman Sachs & Co.*		23,547		(16,563	)		(6,984	)		—
JPMorgan Chase Bank		1,613		(1,613	)		—			—
	$	26,176	$	(19,192	)	$	(6,984	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

376

	Asset Allocation: Diversified Growth Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Over the counter	$	233,917	$	—	$	233,917
Exchange traded		87,165		—		87,165
Interest rate contracts
Exchange traded		3,703		—		3,703
Foreign exchange contracts		466,179		—		466,179
Total derivatives, subject to a master netting arrangement or similar arrangement	$	790,964	$	—	$	790,964

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Assets in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Received@		Net Amount#
Bank of America N.A.	$	146,429	$	—		$	—	$	146,429
Barclays Bank PLC		59,166		(489	)		—		58,677
Citibank N.A.		246,137		(48,119	)		—		198,018
Goldman Sachs International		43,068		—			—		43,068
HSBC Bank USA, N.A.		4,272		—			—		4,272
JPMorgan Chase Bank		72,727		(2,116	)		—		70,611
Merrill Lynch, Pierce, Fenner & Smith Inc.*		90,868		(90,069	)		—		799
State Street Bank & Trust Co.		58,751		(890	)		—		57,861
UBS AG		11,109		—			—		11,109
Westpac Banking Corp.		58,437		—			—		58,437
	$	790,964	$	(141,683	)	$	—	$	649,281

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Merrill Lynch, Pierce, Fenner & Smith, Inc. as Futures Commission Merchant

377

Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Over the counter	$	48,119	$	—	$	48,119
Exchange traded		79,490		—		79,490
Interest rate contracts
Exchange traded		10,579		—		10,579
Foreign exchange contracts		21,523		—		21,523
Total derivatives, subject to a master netting arrangement or similar arrangement	$	159,711	$	—	$	159,711

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Pledged@		Net Amount#
Barclays Bank PLC	$	489	$	(489	)	$	—	$	—
Citibank N.A.		48,119		(48,119	)		—		—
Credit Suisse AG		18,028		—			—		18,028
JPMorgan Chase Bank		2,116		(2,116	)		—		—
Merrill Lynch, Pierce, Fenner & Smith Inc.*		90,069		(90,069	)		—		—
State Street Bank & Trust Co.		890		(890	)		—		—
	$	159,711	$	(141,683	)	$	—	$	18,028

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Merrill Lynch, Pierce, Fenner & Smith, Inc. as Futures Commission Merchant

378

	Large Cap Growth Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	100	$	—	$	100
Total derivatives, subject to a master netting arrangement or similar arrangement	$	100	$	—	$	100

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@			Net Amount#
Goldman Sachs & Co.*	$	100	$	—	$	(100	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

	Large Cap Value Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	2,200	$	—	$	2,200
Total derivatives, subject to a master netting arrangement or similar arrangement	$	2,200	$	—	$	2,200

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@			Net Amount#
Goldman Sachs & Co.*	$	2,200	$	—	$	(2,200	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

379

	Mid Cap Growth Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	4,920	$	—	$	4,920
Total derivatives, subject to a master netting arrangement or similar arrangement	$	4,920	$	—	$	4,920

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@			Net Amount#
Goldman Sachs & Co.*	$	4,920	$	—	$	(4,920	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

	Mid Cap Value Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	4,920	$	—	$	4,920
Total derivatives, subject to a master netting arrangement or similar arrangement	$	4,920	$	—	$	4,920

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@			Net Amount#
Goldman Sachs & Co.*	$	4,920	$	—	$	(4,920	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

380

	Small Cap Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	52,848	$	—	$	52,848
Total derivatives, subject to a master netting arrangement or similar arrangement	$	52,848	$	—	$	52,848

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@			Net Amount#
Goldman Sachs & Co.*	$	52,848	$	—	$	(52,848	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

	International Equity Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Equity contracts
Exchange traded	$	107	$	—	$	107
Total derivatives, subject to a master netting arrangement or similar arrangement	$	107	$	—	$	107

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@			Net Amount#
Goldman Sachs & Co.*	$	107	$	—	$	(107	)	$	—

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

381

	Diversified Fixed Income Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Over the counter	$	28,071	$	—	$	28,071
Exchange traded		77,000		—		77,000
Credit contracts
Centrally cleared		411,133		—		411,133
Foreign exchange contracts		189,871		—		189,871
Total derivatives, subject to a master netting arrangement or similar arrangement	$	706,075	$	—	$	706,075

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Assets in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Received@		Net Amount#
Citibank N.A.	$	24,844	$	(7,956	)	$	—	$	16,888
Deutsche Bank AG		38,942		—			—		38,942
JPMorgan Chase Bank N.A.		82,125		—			—		82,125
UBS AG		19,618		—			—		19,618
Goldman Sachs International		52,413		—			—		52,413
Centrally Cleared		411,133		(11,179	)		—		399,954
Goldman Sachs & Co.*		77,000		(77,000	)		—		—
	$	706,075	$	(96,135	)	$	—	$	609,940

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

382

	Diversified Fixed Income Portfolio
Liabilities:	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Interest rate contracts
Exchange traded	$	145,969	$	—	$	145,969
Credit contracts
Centrally cleared		11,179		—		11,179
Foreign exchange contracts		7,969		—		7,969
Total derivatives, subject to a master netting arrangement or similar arrangement	$	165,117	$	—	$	165,117

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@			Collateral Pledged@			Net Amount#
Citibank N.A.	$	7,956	$	(7,956	)	$	—		$	—
Barclays Bank PLC		13		—			—			13
Centrally Cleared		11,179		(11,179	)		—			—
Goldman Sachs & Co.*		145,969		(77,000	)		(68,969	)		—
	$	165,117	$	(96,135	)	$	(68,969	)	$	13

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

*  Exchange Traded Futures — Goldman Sachs & Co. as Futures Commission Merchant

383

	Real Return Portfolio
Assets:	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Description
Derivatives:
Foreign exchange contracts	$	4,198,487	$	—	$	4,198,487
Total derivatives, subject to a master netting arrangement or similar arrangement	$	4,198,487	$	—	$	4,198,487

			Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amount of Liabilities in the Statement of Assets and Liabilities		Financial Instruments@		Collateral Pledged@		Net Amount#
Citibank N.A.	$	14,869	$	—	$	—	$	14,869
Commonwealth Bank of Australia		108,951		—		—		108,951
Deutsche Bank AG		3,114,849		—		—		3,114,849
JPMorgan Chase Bank N.A.		182,033		—		—		182,033
Royal Bank of Scotland PLC		772,125		—		—		772,125
Standard Chartered Bank		5,660		—		—		5,660
	$	4,198,487	$	—	$	—	$	4,198,487

@  For each respective counterparty, collateral received or (pledged) is limited to an amount not to exceed 100% of the net amount of the derivative or financial asset/liability in the table above.

#  Net amount represents the net amount due from (due to) the counterparty in the event of a default based on the contractual set-off rights under the master netting arrangement.

384

Inflation-Indexed Bonds:  Certain Portfolios may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statement of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statement of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

Repurchase Agreements:  The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations. In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trusts' custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, the Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Trust may be delayed or limited.

As of September 30, 2014, the following portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.59	%	$	475,000
Multi-Managed Moderate Growth		2.12			1,700,000
Multi-Managed Income/Equity		2.66			2,130,000
Multi-Managed Income		2.36			1,895,000
Large Cap Value		3.94			3,160,000
Mid Cap Growth		1.14			915,000
Diversified Fixed Income		17.17			13,765,000
Real Return		29.19			23,405,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

Bank of America Securities LLC, dated September 30, 2014, bearing interest at a rate of 0.00% per annum, with a principal amount of $80,190,000, a repurchase price of $80,190,002, and a maturity date of October 1, 2014. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		0.75	%	10/31/2017	$	82,600,000	$	81,845,862

385

As of September 30, 2014, the following portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.59	%	$	410,000
Multi-Managed Moderate Growth		2.11			1,475,000
Multi-Managed Income/Equity		2.65			1,855,000
Multi-Managed Income		2.35			1,645,000
Large Cap Value		3.94			2,755,000
Mid Cap Growth		1.13			790,000
Diversified Fixed Income		17.21			12,035,000
Real Return		29.26			20,470,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

Barclays Capital, Inc, dated September 30, 2014, bearing interest at a rate of 0.00% per annum, with a principal amount of $69,950,000, a repurchase price of $69,950,000, and a maturity date of October 1, 2014. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.75	%	10/31/2020	$	10,304,000	$	10,190,244
U.S. Treasury Notes		3.13		05/15/2019		5,884,000		6,323,476
U.S. Treasury Notes		3.50		05/15/2020		50,000,000		54,880,000

As of September 30, 2014, the following portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.59	%	$	380,000
Multi-Managed Moderate Growth		2.11			1,370,000
Multi-Managed Income/Equity		2.65			1,720,000
Multi-Managed Income		2.35			1,525,000
Large Cap Value		3.94			2,560,000
Mid Cap Growth		1.12			730,000
Diversified Fixed Income		17.20			11,175,000
Real Return		29.27			19,010,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

BNP Paribas SA, dated September 30, 2014, bearing interest at a rate of 0.00% per annum, with a principal amount of $64,955,000, a repurchase price of $64,955,002, and a maturity date of October 1, 2014. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		3.00	%	08/31/2016	$	63,218,200	$	66,319,053

386

As of September 30, 2014, the following portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.58	%	$	250,000
Multi-Managed Moderate Growth		2.11			905,000
Multi-Managed Income/Equity		2.64			1,135,000
Multi-Managed Income		2.35			1,010,000
Large Cap Value		3.94			1,690,000
Mid Cap Growth		1.13			485,000
Diversified Fixed Income		17.21			7,385,000
Real Return		29.28			12,565,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

Deutsche Bank AG, dated September 30, 2014, bearing interest at a rate of 0.01% per annum, with a principal amount of $42,920,000, a repurchase price of $42,920,006, and a maturity date of October 1, 2014. The repurchase agreement collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		0.75	%	03/31/2018	$	44,751,000	$	43,843,002

As of September 30, 2014, the following portfolios held an undivided interest in the joint repurchase agreement with Royal Bank of Scotland Group PLC:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.59	%	$	440,000
Multi-Managed Moderate Growth		2.11			1,580,000
Multi-Managed Income/Equity		2.65			1,985,000
Multi-Managed Income		2.35			1,760,000
Large Cap Value		3.94			2,950,000
Mid Cap Growth		1.13			845,000
Diversified Fixed Income		17.21			12,895,000
Real Return		29.27			21,935,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

Royal Bank of Scotland Group PLC, dated September 30, 2014, bearing interest at a rate of 0.01% per annum, with a principal amount of $74,945,000, a repurchase price of $74,945,010, and a maturity date of October 1, 2014. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.38	%	02/28/2015	$	50,000,000	$	50,588,000
U.S. Treasury Notes		8.50		02/15/2020		19,201,000		25,967,816

As of September 30, 2014, the following portfolios held an undivided interest in the joint repurchase agreement with

State Street Bank & Trust Co.:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Growth		0.54	%	$	1,064,000
Large Cap Value		0.82			1,622,000
Mid Cap Growth		0.30			602,000
Mid Cap Value		0.28			553,000
Small Cap		0.42			843,000

387

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

State Street Bank & Trust Co., dated September 30, 2014, bearing interest at a rate of 0.00% per annum, with a principal amount of $198,835,000, a repurchase price of $198,835,000, and a maturity date of October 1, 2014. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Bonds		8.13	%	08/15/2021	$	1,355,000	$	1,889,167
U.S. Treasury Bonds		8.00		11/15/2021		430,000		608,047
U.S. Treasury Notes		2.13		01/31/2021		100,000,000		100,321,000
U.S. Treasury Notes		3.75		11/15/2018		25,000,000		27,533,200
U.S. Treasury Notes		2.13		08/15/2021		33,160,000		33,077,100
U.S. Treasury Notes		0.88		05/15/2017		39,310,000		39,383,706

Stripped Mortgage-Backed Securities:  Stripped Mortgage-Backed Securities ("SMBS") are derivative multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBSs have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the "principal only" class) from the mortgage pool, while the other class will receive all or most of the interest (the "interest only" class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio's yield

Mortgage-Backed Dollar Rolls:  During the six months ended September 30, 2014, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income, Multi-Managed Income/Equity, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios entered into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. The Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income, Multi-Managed Income/Equity, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios had TBA Rolls outstanding at period end, which are included in receivable for investments sold and payable for investments purchased in the Statements of Assets and Liabilities. Dollar roll transactions involve the risk that the market value of the securities held by the Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a dollar roll transaction files bankruptcy or becomes insolvent, the Portfolio's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio's obligation to repurchase the securities. The return earned by the Portfolio with the proceeds of the dollar roll transaction may not exceed the transaction costs. For the six months ended September 30, 2014, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income, Multi-Managed Income/Equity, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios had realized gains (losses) from mortgage-backed dollar rolls of $103,459, $370,641, $399,612, $430,710, $10,938 and $1,456,660 respectively.

When-Issued Securities and Forward Commitments:  The Portfolios may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when-issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the six months ended September 30, 2014, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income, Multi-Managed Income/Equity, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios purchased and/or sold when-issued securities.

388

Foreign Currency Translation:  The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the Period.

Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios' books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates and realized gains and losses on forward foreign currency contracts.

Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders:  Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.

Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates.

India, Thailand, and certain other countries' tax regulations require that taxes be paid on capital gains realized by the Portfolio.

Expenses common to all Portfolios, not directly related to individual Portfolios are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.

For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each underlying Portfolio in connection with its investment in the underlying Portfolio.

Distributions received from Real Estate Investment Trusts ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.

For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.

389

Net investment income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital shares activity of the respective class).

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, so that each Portfolio will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

Each Portfolio recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2010 — 2012 or expected to be taken in each Portfolio's 2013 tax return. The Portfolios are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Portfolios file U.S. federal and certain state income tax returns. With few exceptions, the Portfolios are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2010.

Note 3. Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:

Portfolio	Assets	Management Fees
Multi-Managed Growth	0-$250 million		0.89	%
	>$250 million		0.84	%
	>$500 million		0.79	%
Multi-Managed Moderate Growth	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
Multi-Managed Income/Equity	0-$250 million		0.81	%
	>$250 million		0.76	%
	>$500 million		0.71	%
Multi-Managed Income	0-$250 million		0.77	%
	>$250 million		0.72	%
	>$500 million		0.67	%
Asset Allocation: Diversified Growth(1)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
Stock	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
Large Cap Growth, Large Cap Value	0-$250 million		0.80	%
	>$250 million		0.75	%
	>$500 million		0.70	%

390

Portfolio	Assets	Management Fees
Mid Cap Growth, Mid Cap Value, Small Cap	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
International Equity(4)	0-$250 million		0.95	%
	>$250 million		0.90	%
	>$500 million		0.85	%
Diversified Fixed Income	0-$200 million		0.70	%
	>$200 million		0.65	%
	>$400 million		0.60	%
Real Return	0-$500 million		0.60	%
	>$500 million		0.55	%
Cash Management(2)	0-$100 million		0.475	%
	>$100 million		0.45	%
	>$500 million		0.425	%
	>$1 billion		0.40	%
Focus Growth	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
Focus Value(3)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
Allocation Growth,Allocation Moderate Growth, Allocation Moderate,Allocation Balanced	>0		0.10	%

(1)  The Adviser voluntarily agreed, until further notice, to waive 0.10% of investment advisory fees for the Asset Allocation: Diversified Growth Portfolio. For the six months ended September 30, 2014, the amount of advisory fees waived was $79,863.

(2)  The Adviser shall be paid a composite fee based on the aggregate assets it manages for both Seasons Series Trust and SunAmerica Series Trust Cash Management Portfolios.

(3)  The Adviser voluntarily agreed, until further notice, to waive 0.05% of investment advisory fees for the Focus Value Portfolio. For the six months ended September 30, 2014, the amount of advisory fees waived was $66,580.

(4)  Effective December 1, 2014, the Advisor contractually agreed to waive 0.04% of investment advisory fees.

The Agreement authorizes SAAMCo to retain one or more subadvisers to make the investment decisions for the Portfolios, and to place the purchase and sale orders for portfolio transactions. The organizations described below act as Subadvisers (with the exception of SAAMCo, which acts as Adviser,) to the Trust and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Each of the Subadvisers is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trustees and the oversight and supervision of SAAMCo, which pays the Subadvisers' fees. All subadvisory fees are payable by the Adviser to the respective Subadviser and do not increase Portfolio expenses. Portfolio management is allocated among the following Managers:

Portfolio	Subadviser
Multi-Managed Growth	Janus J.P. Morgan Lord Abbett(2) PineBridge(1) WMC
Multi-Managed Moderate Growth	Janus J.P. Morgan Lord Abbett(2) PineBridge(1) WMC
Multi-Managed Income/Equity	Janus Lord Abbett(2) PineBridge(1) WMC

391

Portfolio	Subadviser
Multi-Managed Income	Janus Lord Abbett(2) PineBridge(1) WMC
Asset Allocation: Diversified Growth	Putnam Investment Management, LLC
Stock	T. Rowe Price Associates, Inc. ("T. Rowe Price")
Large Cap Growth	Goldman Sachs Asset Management, L.P. Janus SAAMCo
Large Cap Value	SAAMCo T. Rowe Price WMC
Mid Cap Growth	SAAMCo T. Rowe Price WMC
Mid Cap Value	Goldman Sachs Asset Management, L.P. Lord Abbett(2) SAAMCo
Small Cap	ClearBridge Investments, LLC ("ClearBridge") J.P. Morgan SAAMCo
International Equity	Janus Lord Abbett(3) PineBridge(4)
Diversified Fixed Income	PineBridge WMC
Real Return	WMC
Cash Management	BofA Advisors, LLC
Focus Growth	Janus Marsico Capital Management, LLC ("Marsico")
Focus Value	Northern Trust Investments, N.A. J.P. Morgan
Allocation Growth	Ibbotson Associates, Inc.
Allocation Moderate Growth	Ibbotson Associates, Inc.
Allocation Moderate	Ibbotson Associates, Inc.
Allocation Balanced	Ibbotson Associates, Inc.

(1)  Effective October 24, 2014, PineBridge ceased to be a subadvisor for the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity and Multi-Managed Income Portfolios. The assets were reallocated to WMC.

(2)  Effective October 24, 2014, Lord Abbett ceased to be a subadvisor for the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Mid Cap Value Portfolios. The assets for the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity and Multi-Managed Income Portfolios were reallocated to Janus. The assets for the Mid Cap Value Portfolio were reallocated to Massachusetts Financial Services Company.

(3)  Effective October 17, 2014, Lord Abbett ceased to be a subadvisor for the International Equity Portfolio. The assets were reallocated to T. Rowe Price.

(4)  Effective October 17, 2014, PineBridge ceased to be a subadvisor for the International Equity Portfolio. The assets were reallocated to SAAMCo.

The Adviser has voluntarily agreed to waive fees or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each of the Portfolios' average net assets. Annual operating expenses shall not include extraordinary expenses, as determined under generally accepted accounting principles, such as litigation, or acquired fund fees

392

and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Portfolio's business.

Portfolio	Class 1			Class 2			Class 3
Cash Management.		0.45	%		0.60	%		0.70	%
Focus Growth . .		1.30			1.45			1.55
Focus Value .		1.30			1.45			1.55

The Adviser also may voluntarily reimburse additional amounts to increase the investment return to a Portfolio's investors. The Adviser may terminate all such waivers and/or reimbursements at any time. Any voluntary waivers or reimbursements, with the exception of advisory fee waivers, made by the Adviser are subject to recoupment from that Portfolio within two years after the occurrence of the waivers and/or reimbursements provided that the Portfolio is able to effect such payments to the Adviser and remain in compliance with the expense limitations in effect at the time the waivers and/or reimbursements were made.

For the six months ended September 30, 2014, SAAMCo has agreed to reimburse expenses as follows:

Portfolio	Amount
Cash Management.	$	44,928

For the six months ended September 30, 2014, the amounts repaid to the Adviser which are included in the Statement of Operations along with the remaining balance subject to recoupment are as follows:

	Amount Recouped		Balance Subject to Recoupment
Portfolio	September 30, 2014		March 31, 2015		March 31, 2016		September 30, 2016
Cash Management.	$	—	$	20,542	$	91,029	$	44,928

The Trust has entered into the Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a wholly-owned subsidiary of The Variable Annuity Life Insurance Comany ("VALIC"), which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their "institutional" sharehodlers and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust, Anchor Series Trust and SunAmerica Series Trust pay VRSCO on an annual basis, a fee in the aggregate amount of $150,000 for Transfer Agency Serivces provided pursuant to the agreement. Accordingly, For the six months ended September 30, 2014, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.

Class 2 and Class 3 shares of each Portfolio, excluding the Seasons Managed Allocation Portfolios, are subject to Rule 12b-1 plans that provides for service fees payable at the annual rate of 0.15% and 0.25%, respectively of the average daily net assets of Class 2 and Class 3 shares. The service fees were used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. Accordingly, for the six months ended September 30, 2014, service fees were paid (see Statement of Operations) based on the aforementioned rates.

Note 4. Federal Income Taxes: The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October capital losses, investments in passive foreign investment companies, straddle loss deferrals, foreign taxes payable, contingent payment debt securities, inflation securities, late year ordinary losses, investments in partnerships, treatment of defaulted securities and derivative transactions.

	Distributable Earnings						Tax Distributions
	For the year ended March 31, 2014
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses		Unrealized Appreciation (Depreciation)*		Ordinary Income		Long-Term Capital Gains
Multi-Managed Growth	$	2,200,302	$	8,318,212	$	11,982,244	$	380,702	$	1,684,014
Multi-Managed Moderate Growth		4,011,124		11,833,362		17,610,011		2,193,671		6,801,097
Multi-Managed Income/Equity		2,215,600		6,831,781		7,629,617		2,786,503		3,057,696

393

	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2014
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-Term Capital Gains
Multi-Managed Income	$	1,699,351	$	3,021,044		$	3,885,649		$	2,690,834	$	1,966,277
Asset Allocation: Diversified Growth		2,468,277		1,810,798			26,126,945			4,018,718		—
Stock		2,852,637		19,462,432			93,685,220			—		11,971,053
Large Cap Growth		12,221,630		45,366,540			83,004,909			2,147,729		12,211,920
Large Cap Value		10,341,440		—			116,052,773			5,240,158		—
Mid Cap Growth		4,575,698		11,283,886			40,449,146			750,379		3,183,610
Mid Cap Value		2,285,361		26,365,195			63,840,513			1,911,474		—
Small Cap		283,098		9,622,230			48,230,419			—		—
International Equity		9,648,021		(72,596,652	)		63,912,608			5,342,865		—
Diversified Fixed Income		16,612,708		(4,588,732	)		9,097,478			18,168,618		2,668,849
Real Return		—		—			(227,813	)		4,807,007		—
Cash Management		—		(2,233,734	)		(11,211	)		—		—
Focus Growth		8,741,724		23,410,320			24,630,427			409,888		11,437,296
Focus Value		1,703,245		(11,953,090	)		32,017,007			1,210,527		—
Allocation Growth		723,184		(20,669,557	)		19,846,421			897,006		—
Allocation Moderate Growth		6,087,464		(4,996,512	)		119,347,495			8,702,900		—
Allocation Moderate		4,082,427		8,872,176			52,528,340			5,693,525		—
Allocation Balanced		3,565,216		18,605,664			39,345,244			5,452,829		1,918,672

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

As of March, 2014, for Federal income tax purposes, the Portfolios indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:

Portfolio	Capital Loss Carryforward †								Unlimited †
	2016		2017		2018		2019		ST		LT
Multi-Managed Growth	$	—	$	—	$	—	$	—	$	—	$	—
Multi-Managed Moderate Growth		—		—		—		—		—		—
Multi-Managed Income/Equity		—		—		—		—		—		—
Multi-Managed Income		—		—		—		—		—		—
Asset Allocation: Diversified Growth		—		—		—		—		—		—
Stock		—		—		—		—		—		—
Large Cap Growth		—		—		—		—		—		—
Large Cap Value		—		—		—		—		—		—
Mid Cap Growth		—		—		—		—		—		—
Mid Cap Value		—		—		—		—		—		—
Small Cap		—		—		—		—		—		—
International Equity		—		12,326,146		60,270,506		—		—		—
Diversified Fixed Income		—		—		—		—		4,588,732		—
Real Return		—		—		—		—		—		—
Cash Management		160,999		960,064		10,607		20		—		1,102,044
Focus Growth		—		—		—		—		—		—
Focus Value		—		—		11,953,090		—		—		—
Allocation Growth		—		—		9,437,936		11,231,621		—		—
Allocation Moderate Growth		—		—		—		4,996,512		—		—
Allocation Moderate		—		—		—		—		—		—
Allocation Balanced		—		—		—		—		—		—

†  On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted which changes various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective taxable years beginning after the date of enactment. Under the Act, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.

394

Under the current law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring the first day of the following year. For the fiscal year ended March 31, 2014, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:

Portfolio	Deferred Late Year Ordinary Loss		Deferred Post-October Short-Term Capital Loss		Deferred Post-October Long-Term Capital Loss
Multi-Managed Growth	$	—	$	—	$	—
Multi-Managed Moderate Growth		—		—		—
Multi-Managed Income/Equity		—		—		—
Multi-Managed Income		—		—		—
Asset Allocation: Diversified Growth		—		—		—
Stock		—		—		—
Large Cap Growth		—		—		—
Large Cap Value		—		—		—
Mid Cap Growth		—		—		—
Mid Cap Value		—		—		—
Small Cap		—		—		—
International Equity		—		—		—
Diversified Fixed Income		—		—		—
Real Return		—		330,363		166,800
Cash Management		45,879		—		—
Focus Growth		—		—		—
Focus Value		—		—		—
Allocation Growth		—		—		—
Allocation Moderate Growth		—		—		—
Allocation Moderate		—		—		—
Allocation Balanced		—		—		—

The amounts of aggregate unrealized gain (loss) and the cost of investment securities for Federal tax purposes, including short-term securities and repurchase agreements, were as follows:

Portfolio	Aggregate Unrealized Gain		Aggregate Unrealized Loss			Net Unrealized Gain/(Loss)			Cost of Investments
Multi-Managed Growth	$	11,518,498	$	(1,400,139	)	$	10,118,359		$	64,402,155
Multi-Managed Moderate Growth		16,786,354		(2,511,091	)		14,275,263			135,942,019
Multi-Managed Income/Equity		8,280,690		(1,046,467	)		7,234,223			106,517,554
Multi-Managed Income		4,246,481		(749,004	)		3,497,477			89,285,184
Asset Allocation: Diversified Growth		22,250,875		(4,296,965	)		17,953,910			138,014,878
Stock		100,544,469		(2,842,323	)		97,702,146			314,306,633
Large Cap Growth		91,461,776		(3,206,452	)		88,255,324			337,539,150
Large Cap Value		145,972,255		(20,894,081	)		125,078,174			722,619,557
Mid Cap Growth		40,990,690		(5,097,096	)		35,893,594			145,549,784
Mid Cap Value		41,767,557		(4,588,396	)		37,179,161			274,250,627
Small Cap		35,325,834		(10,177,099	)		25,148,735			199,394,818
International Equity		61,212,677		(33,312,870	)		27,899,807			584,509,594
Diversified Fixed Income		17,128,134		(6,086,018	)		11,042,116			1,048,936,543
Real Return		2,227,216		(13,960,855	)		(11,733,639	)		633,381,692
Cash Management		1,115		(11,232	)		(10,117	)		31,154,668
Focus Growth		30,396,453		(2,563,756	)		27,832,697			144,977,169
Focus Value		40,295,022		(3,259,349	)		37,035,673			255,784,517
Allocation Growth		29,924,567		(11,055,827	)		18,868,740			96,464,402
Allocation Moderate Growth		142,428,398		(27,188,959	)		115,239,439			500,843,522
Allocation Moderate		72,589,634		(21,219,283	)		51,370,351			325,040,314
Allocation Balanced		47,692,429		(8,475,119	)		39,217,310			265,733,987

395

Note 5. Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of the Portfolios set forth below have been reduced. For the six months ended September 30, 2014, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses were as follows:

Portfolio	Total Expense Reductions
Multi-Managed Growth	$	480
Multi-Managed Moderate Growth		779
Multi-Managed Income/Equity		201
Multi-Managed Income		71
Asset Allocation: Diversified Growth		912
Stock		1,255
Large Cap Growth		3,518
Large Cap Value		546
Mid Cap Growth		380
Mid Cap Value		4,135
Small Cap		2,352
International Equity		25,397
Focus Growth		1,412
Focus Value		961

Note 6. Purchases and Sales of Investment Securities: The cost of purchases and proceeds from sales and maturities of long-term investments during the six months ended September 30, 2014 were as follows:

Portfolio	Purchases of portfolio securities (excluding U.S. government securities)		Sales of portfolio securities (excluding U.S. government securities)		Purchases of U.S. government securities		Sales of U.S. government securities
Multi-Managed Growth	$	15,330,005	$	19,368,580	$	2,701,808	$	4,159,446
Multi-Managed Moderate Growth		31,382,843		37,496,359		7,219,462		12,327,548
Multi-Managed Income/Equity		23,731,667		26,285,426		8,617,175		17,581,363
Multi-Managed Income		19,211,752		20,466,192		10,336,182		19,142,361
Asset Allocation: Diversified Growth		49,854,251		60,655,696		13,082,516		12,283,650
Stock		101,683,949		60,757,391		—		—
Large Cap Growth		76,384,214		86,948,839		—		—
Large Cap Value		185,635,020		88,710,471		—		—
Mid Cap Growth		62,184,689		46,359,785		—		—
Mid Cap Value		129,801,915		162,656,379		—		—
Small Cap		62,738,760		42,755,012		195,182		—
International Equity		186,498,417		130,808,267		—		—
Diversified Fixed Income		221,885,390		145,792,880		125,894,448		126,845,710
Real Return		89,135,904		75,854,785		107,230,622		157,526,993
Cash Management		—		—		—		—
Focus Growth		59,750,880		54,925,176		—		—
Focus Value		77,130,014		37,081,397		—		—
Allocation Growth		3,415,584		9,498,475		—		—
Allocation Moderate Growth		3,200,372		51,449,765		—		—
Allocation Moderate		5,758,236		29,966,775		—		—
Allocation Balanced		7,141,903		23,042,804		—		—

396

Note 7. Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:

	Multi-Managed Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,811		$	120,085			28,158		$	531,144			39,692		$	808,147			87,604		$	1,668,630
Reinvested dividends		—			—			19,673			381,613			—			—			33,968			658,597
Shares redeemed		(51,045	)		(1,055,082	)		(75,613	)		(1,441,827	)		(120,418	)		(2,467,338	)		(241,319	)		(4,572,993	)
Net increase (decrease)		(45,234	)	$	(934,997	)		(27,782	)	$	(529,070	)		(80,726	)	$	(1,659,191	)		(119,747	)	$	(2,245,766	)
	Multi-Managed Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		38,406		$	780,832			373,939		$	7,105,445
Reinvested dividends		—			—			52,945			1,024,506
Shares redeemed		(172,501	)		(3,533,918	)		(345,286	)		(6,584,037	)
Net increase (decrease)		(134,095	)	$	(2,753,086	)		81,598		$	1,545,914
	Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		8,339		$	131,250			39,973		$	594,738			46,056		$	722,427			269,160		$	4,016,626
Reinvested dividends		—			—			56,509			837,547			—			—			223,330			3,306,510
Shares redeemed		(48,915	)		(761,269	)		(147,422	)		(2,219,505	)		(302,890	)		(4,720,787	)		(663,212	)		(9,950,707	)
Net increase (decrease)		(40,576	)	$	(630,019	)		(50,940	)	$	(787,220	)		(256,834	)	$	(3,998,360	)		(170,722	)	$	(2,627,571	)
	Multi-Managed Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		57,829		$	903,570			1,988,405		$	29,840,010
Reinvested dividends		—			—			328,519			4,850,711
Shares redeemed		(396,965	)		(6,166,257	)		(886,889	)		(13,295,840	)
Net increase (decrease)		(339,136	)	$	(5,262,687	)		1,430,035		$	21,394,881

397

	Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,337		$	96,469			70,844		$	893,535			101,091		$	1,326,183			429,867		$	5,430,286
Reinvested dividends		—			—			52,549			652,821			—			—			202,921			2,517,839
Shares redeemed		(55,558	)		(725,633	)		(145,490	)		(1,864,907	)		(309,108	)		(4,033,245	)		(993,280	)		(12,704,034	)
Net increase (decrease)		(48,221	)	$	(629,164	)		(22,097	)	$	(318,551	)		(208,017	)	$	(2,707,062	)		(360,492	)	$	(4,755,909	)
	Multi-Managed Income/Equity Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		47,825		$	619,353			1,789,061		$	22,743,209
Reinvested dividends		—			—			216,016			2,673,539
Shares redeemed		(314,644	)		(4,086,308	)		(676,068	)		(8,597,610	)
Net increase (decrease)		(266,819	)	$	(3,466,955	)		1,329,009		$	16,819,138
	Multi-Managed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		8,974		$	111,289			85,315		$	1,035,345			93,778		$	1,158,212			342,737		$	4,150,755
Reinvested dividends		—			—			49,752			587,298			—			—			165,455			1,950,548
Shares redeemed		(74,357	)		(914,661	)		(183,343	)		(2,235,048	)		(240,527	)		(2,961,086	)		(870,551	)		(10,666,627	)
Net increase (decrease)		(65,383	)	$	(803,372	)		(48,276	)	$	(612,405	)		(146,749	)	$	(1,802,874	)		(362,359	)	$	(4,565,324	)
	Multi-Managed Income Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		79,215		$	973,446			1,537,572		$	18,721,422
Reinvested dividends		—			—			180,246			2,119,265
Shares redeemed		(335,417	)		(4,103,475	)		(897,211	)		(10,901,072	)
Net increase (decrease)		(256,202	)	$	(3,130,029	)		820,607		$	9,939,615

398

	Asset Allocation: Diversified Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,803		$	104,330			22,809		$	270,917			111,073		$	1,480,358			249,814		$	2,975,970
Reinvested dividends		—			—			48,371			599,064			—			—			148,469			1,838,654
Shares redeemed		(133,086	)		(1,771,509	)		(323,948	)		(3,925,040	)		(533,545	)		(7,091,703	)		(1,558,200	)		(18,823,795	)
Net increase (decrease)		(125,283	)	$	(1,667,179	)		(252,768	)	$	(3,055,059	)		(422,472	)	$	(5,611,345	)		(1,159,917	)	$	(14,009,171	)
	Asset Allocation: Diversified Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		83,844		$	1,106,076			302,400		$	3,635,313
Reinvested dividends		—			—			127,861			1,581,000
Shares redeemed		(519,862	)		(6,882,173	)		(1,370,326	)		(16,574,488	)
Net increase (decrease)		(436,018	)	$	(5,776,097	)		(940,065	)	$	(11,358,175	)
	Stock Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,243,226		$	52,700,869			4,505,300		$	95,310,314			40,576		$	942,711			164,865		$	3,474,907
Reinvested dividends		—			—			338,812			7,587,924			—			—			102,665			2,268,496
Shares redeemed		(68,981	)		(1,624,104	)		(234,483	)		(4,972,314	)		(267,606	)		(6,208,010	)		(989,748	)		(20,692,862	)
Net increase (decrease)		2,174,245		$	51,076,765			4,609,629		$	97,925,924			(227,030	)	$	(5,265,299	)		(722,218	)	$	(14,949,459	)
	Stock Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		30,510		$	688,267			191,957		$	4,054,218
Reinvested dividends		—			—			96,463			2,114,633
Shares redeemed		(265,189	)		(6,078,150	)		(896,586	)		(18,673,698	)
Net increase (decrease)		(234,679	)	$	(5,389,883	)		(608,166	)	$	(12,504,847	)

399

	Large Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,995,338		$	28,341,514			7,824,591		$	99,646,259			61,331		$	863,331			121,732		$	1,508,031
Reinvested dividends		—			—			381,553			5,045,603			—			—			130,197			1,698,072
Shares redeemed		(923,979	)		(12,383,713	)		(74,945	)		(951,470	)		(296,556	)		(4,101,107	)		(745,206	)		(9,406,791	)
Net increase (decrease)		1,071,359		$	15,957,801			8,131,199		$	103,740,392			(235,225	)	$	(3,237,776	)		(493,277	)	$	(6,200,688	)
	Large Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		103,743		$	1,414,391			1,590,472		$	21,100,849
Reinvested dividends		—			—			587,866			7,615,974
Shares redeemed		(1,957,687	)		(27,598,458	)		(4,819,778	)		(60,065,992	)
Net increase (decrease)		(1,853,944	)	$	(26,184,067	)		(2,641,440	)	$	(31,349,169	)
	Large Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,981,821		$	132,758,152			15,608,820		$	232,915,826			61,293		$	1,013,371			132,136		$	1,933,634
Reinvested dividends		—			—			191,177			2,951,318			—			—			21,611			333,341
Shares redeemed		(10,266	)		(171,245	)		(92,335	)		(1,348,996	)		(209,825	)		(3,476,005	)		(597,402	)		(8,821,199	)
Net increase (decrease)		7,971,555		$	132,586,907			15,707,662		$	234,518,148			(148,532	)	$	(2,462,634	)		(443,655	)	$	(6,554,224	)
	Large Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		218,932		$	3,660,091			1,027,482		$	15,634,210
Reinvested dividends		—			—			126,946			1,955,499
Shares redeemed		(1,661,762	)		(27,445,783	)		(2,943,443	)		(43,264,105	)
Net increase (decrease)		(1,442,830	)	$	(23,785,692	)		(1,789,015	)	$	(25,674,396	)

400

	Mid Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,345,879		$	23,243,244			2,647,893		$	41,708,351			10,778		$	179,824			81,447		$	1,237,406
Reinvested dividends		—			—			105,477			1,708,693			—			—			51,209			807,179
Shares redeemed		(15,462	)		(269,921	)		(65,015	)		(1,011,986	)		(215,327	)		(3,560,979	)		(326,957	)		(4,987,218	)
Net increase (decrease)		1,330,417		$	22,973,323			2,688,355		$	42,405,058			(204,549	)	$	(3,381,155	)		(194,301	)	$	(2,942,633	)
	Mid Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		39,067		$	646,685			266,214		$	3,698,028
Reinvested dividends		—			—			91,339			1,418,117
Shares redeemed		(307,242	)		(5,108,696	)		(1,460,789	)		(22,282,666	)
Net increase (decrease)		(268,175	)	$	(4,462,011	)		(1,103,236	)	$	(17,166,521	)
	Mid Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,024,870		$	41,976,295			4,563,643		$	83,336,740			31,678		$	645,763			100,274		$	1,763,653
Reinvested dividends		—			—			49,759			941,689			—			—			11,467			216,624
Shares redeemed		(2,842,592	)		(60,281,720	)		(44,563	)		(803,851	)		(171,269	)		(3,539,018	)		(417,588	)		(7,608,498	)
Net increase (decrease)		(817,722	)	$	(18,305,425	)		4,568,839		$	83,474,578			(139,590	)	$	(2,893,255	)		(305,847	)	$	(5,628,221	)
	Mid Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		183,331		$	3,802,118			238,186		$	4,031,005
Reinvested dividends		—			—			39,947			753,161
Shares redeemed		(678,481	)		(14,021,079	)		(3,374,874	)		(62,688,562	)
Net increase (decrease)		(495,150	)	$	(10,218,961	)		(3,096,741	)	$	(57,904,396	)

401

	Small Cap Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,715,530		$	23,767,937			4,345,536		$	55,344,436			45,684		$	615,472			135,111		$	1,644,573
Reinvested dividends		—			—			—			—			—			—			—			—
Shares redeemed		(7,217	)		(99,660	)		(34,553	)		(432,758	)		(224,722	)		(3,037,625	)		(508,389	)		(6,267,399	)
Net increase (decrease)		1,708,313		$	23,668,277			4,310,983		$	54,911,678			(179,038	)	$	(2,422,153	)		(373,278	)	$	(4,622,826	)
	Small Cap Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		161,927		$	2,148,246			417,337		$	5,079,544
Reinvested dividends		—			—			—			—
Shares redeemed		(359,658	)		(4,861,477	)		(1,966,047	)		(23,482,699	)
Net increase (decrease)		(197,731	)	$	(2,713,231	)		(1,548,710	)	$	(18,403,155	)
	International Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,039,709		$	82,995,193			16,323,493		$	139,739,575			95,036		$	864,453			185,778		$	1,604,961
Reinvested dividends		—			—			274,879			2,426,311			—			—			33,768			298,507
Shares redeemed		(12,966	)		(119,059	)		(76,998	)		(655,441	)		(247,538	)		(2,270,341	)		(715,551	)		(6,126,549	)
Net increase (decrease)		9,026,743		$	82,876,134			16,521,374		$	141,510,445			(152,502	)	$	(1,405,888	)		(496,005	)	$	(4,223,081	)
	International Equity Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		316,192		$	2,881,500			719,810		$	5,818,156
Reinvested dividends		—			—			297,073			2,618,047
Shares redeemed		(2,099,211	)		(19,218,185	)		(9,248,969	)		(80,428,794	)
Net increase (decrease)		(1,783,019	)	$	(16,336,685	)		(8,232,086	)	$	(71,992,591	)

402

	Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,666,370		$	113,624,721			21,403,727		$	249,655,971			196,813		$	2,307,404			358,058		$	4,151,760
Reinvested dividends		—			—			782,316			8,895,334			—			—			94,411			1,072,209
Shares redeemed		(26,668	)		(313,335	)		(155,463	)		(1,826,891	)		(413,373	)		(4,847,136	)		(1,220,989	)		(14,231,552	)
Net increase (decrease)		9,639,702		$	113,311,386			22,030,580		$	256,724,414			(216,560	)	$	(2,539,732	)		(768,520	)	$	(9,007,583	)
	Diversified Fixed Income Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		715,708		$	8,372,843			4,503,652		$	52,728,124
Reinvested dividends		—			—			961,466			10,869,924
Shares redeemed		(2,323,210	)		(27,114,482	)		(6,965,930	)		(80,321,907	)
Net increase (decrease)		(1,607,502	)	$	(18,741,639	)		(1,500,812	)	$	(16,723,859	)
	Real Return Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		3,599,370		$	35,619,006			10,272,397		$	101,558,388			2,430,605		$	23,988,898			13,814,673		$	135,404,896
Reinvested dividends		—			—			142,266			1,377,753			—			—			354,883			3,429,254
Shares redeemed		(5,108,234	)		(50,000,000	)		(31,358	)		(307,745	)		(2,665,485	)		(26,271,328	)		(7,706,927	)		(75,904,176	)
Net increase (decrease)		(1,508,864	)	$	(14,380,994	)		10,383,305		$	102,628,396			(234,880	)	$	(2,282,430	)		6,462,629		$	62,929,974
	Cash Management Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		—		$	—			102,882		$	1,098,997			353,309		$	3,733,224			1,123,189		$	11,904,482
Reinvested dividends		—			—			—			—			—			—			—			—
Shares redeemed		(13,989	)		(149,062	)		(71,501	)		(763,346	)		(538,886	)		(5,694,028	)		(1,241,020	)		(13,154,486	)
Net increase (decrease)		(13,989	)	$	(149,062	)		31,381		$	335,651			(185,577	)	$	(1,960,804	)		(117,831	)	$	(1,250,004	)

403

	Cash Management Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		517,292		$	5,435,097			2,078,174		$	21,912,037
Reinvested dividends		—			—			—			—
Shares redeemed		(754,116	)		(7,922,971	)		(3,209,011	)		(33,850,171	)
Net increase (decrease)		(236,824	)	$	(2,487,874	)		(1,130,837	)	$	(11,938,134	)
	Focus Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,049,092		$	12,838,851			2,604,257		$	29,219,013			4,570		$	53,819			75,712		$	886,406
Reinvested dividends		—			—			393,181			4,556,661			—			—			244,946			2,774,180
Shares redeemed		(14,587	)		(177,794	)		(1,407,594	)		(15,314,663	)		(391,535	)		(4,675,934	)		(773,794	)		(8,602,655	)
Net increase (decrease)		1,034,505		$	12,661,057			1,589,844		$	18,461,011			(386,965	)	$	(4,622,115	)		(453,136	)	$	(4,942,069	)
	Focus Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		116,679		$	1,357,561			49,809		$	559,341
Reinvested dividends		—			—			404,038			4,516,343
Shares redeemed		(634,001	)		(7,482,209	)		(3,836,171	)		(40,389,224	)
Net increase (decrease)		(517,322	)	$	(6,124,648	)		(3,382,324	)	$	(35,313,540	)
	Focus Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014						For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,962,598		$	49,729,512			6,719,671		$	100,707,966			20,643		$	343,250			37,541		$	555,191
Reinvested dividends		—			—			60,995			953,133			—			—			6,575			102,643
Shares redeemed		—			—			—			—			(126,361	)		(2,113,015	)		(274,406	)		(4,088,230	)
Net increase (decrease)		2,962,598		$	49,729,512			6,780,666		$	101,661,099			(105,718	)	$	(1,769,765	)		(230,290	)	$	(3,430,396	)

404

	Focus Value Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		19,805		$	330,852			79,306		$	1,158,792
Reinvested dividends		—			—			9,934			154,751
Shares redeemed		(289,048	)		(4,849,955	)		(1,515,773	)		(21,389,236	)
Net increase (decrease)		(269,243	)	$	(4,519,103	)		(1,426,533	)	$	(20,075,693	)
	Allocation Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		420,183		$	5,373,357			858,553		$	9,941,970
Reinvested dividends		—			—			74,207			897,006
Shares redeemed		(888,457	)		(11,359,681	)		(2,435,162	)		(28,362,747	)
Net increase (decrease)		(468,274	)	$	(5,986,324	)		(1,502,402	)	$	(17,523,771	)
	Allocation Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		484,183		$	6,468,306			2,338,762		$	28,953,080
Reinvested dividends		—			—			686,143			8,702,900
Shares redeemed		(4,042,394	)		(53,870,396	)		(12,116,785	)		(150,629,323	)
Net increase (decrease)		(3,558,211	)	$	(47,402,090	)		(9,091,880	)	$	(112,973,343	)
	Allocation Moderate Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		697,071		$	9,036,018			2,234,294		$	26,939,618
Reinvested dividends		—			—			461,480			5,693,525
Shares redeemed		(2,565,052	)		(33,218,797	)		(5,854,545	)		(71,183,675	)
Net increase (decrease)		(1,867,981	)	$	(24,182,779	)		(3,158,771	)	$	(38,550,532	)

405

	Allocation Balanced Portfolio
	Class 3
	For the six months ended September 30, 2014 (unaudited)						For the year ended March 31, 2014
	Shares			Amount			Shares			Amount
Shares sold		1,029,038		$	13,346,313			1,990,418		$	24,426,619
Reinvested dividends		—			—			596,891			7,371,501
Shares redeemed		(2,286,587	)		(29,530,123	)		(5,407,589	)		(66,388,749	)
Net increase (decrease)		(1,257,549	)	$	(16,183,810	)		(2,820,280	)	$	(34,590,629	)

Note 8. Transactions with Affiliates: The following Portfolio incurred brokerage commissions with affiliated brokers For the six months ended September 30, 2014:

Portfolio	Goldman Sachs & Co.		J.P.Morgan Clearing Corp.		J.P. Morgan Securities, Inc.
Multi-Managed Growth	$	—	$	257	$	—
Multi-Managed Moderate Growth		—		357		—
Mid Cap Value		7,414		—		—
Focus Value		—		—		34

As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various SunAmerica Mutual Funds/Seasons Series Trust Portfolios and securities issued by American International Group, Inc. ("AIG") or an affiliate thereof. For the six months ended September 30, 2014, transactions in these securities were as follows:

Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)		Value at September 30, 2014
AIG Common Stock	$	11,220	$	—	$	2,097,469	$	336,779	$	36,451	$	15,321	$	150,347	$	2,563,465

Mid Cap Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2014
Allied World Assurance Co. Holdings AG	$	129	$	—	$	19,090	$	616	$	21,567	$	6,169	$	(4,308	)	$	—

Mid Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2014
Allied World Assurance Co. Holdings AG	$	1,511	$	—	$	91,736	$	42,632	$	15,604	$	9,511	$	(3,093	)	$	125,182

406

Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2014
Seasons Series Trust
Focus Growth Portfolio, Class 3	$	—	$	—	$	2,589,359	$	77,429	$	224,024	$	76,957		$	100,482		$	2,620,203
Focus Value Portfolio, Class 3		—		—		2,137,535		1,455		196,003		98,637			(5,032	)		2,036,592
Large Cap Growth Portfolio, Class 3		—		—		19,443,686		505,298		2,337,241		1,326,436			(38,432	)		18,899,747
Large Cap Value Portfolio, Class 3		—		—		24,264,303		876,936		2,052,724		1,108,174			(135,746	)		24,060,943
Mid Cap Growth Portfolio, Class 3		—		—		3,823,431		118,076		265,264		99,255			(27,455	)		3,748,043
Mid Cap Value Portfolio, Class 3		—		—		13,015,118		81,431		1,051,165		377,052			(62,472	)		12,359,964
Multi-Managed Growth Portfolio, Class 3		—		—		3,576,061		28,589		210,353		17,859			59,643			3,471,799
Small Cap Portfolio, Class 3		—		—		9,626,119		452,076		520,047		280,935			(819,972	)		9,019,111
Diversified Fixed Income Portfolio, Class 3		—		—		12,411,849		634,576		947,497		(20,424	)		210,457			12,288,961
International Equity Portfolio, Class 3		—		—		28,400,233		639,718		1,694,157		(258,861	)		(259,154	)		26,827,779
	$	—	$	—	$	119,287,694	$	3,415,584	$	9,498,475	$	3,106,020		$	(977,681	)	$	115,333,142

Allocation Moderate Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2014
Seasons Series Trust
Focus Growth Portfolio, Class 3	$	—	$	—	$	10,960,565	$	11,019	$	878,067	$	187,442	$	554,729		$	10,835,688
Focus Value Portfolio, Class 3		—		—		10,013,038		1,626		1,157,066		583,600		(147,529	)		9,293,669
Large Cap Growth Portfolio, Class 3		—		—		81,115,934		45,901		10,383,885		5,483,136		(229,788	)		76,031,298
Large Cap Value Portfolio, Class 3		—		—		111,193,013		1,998,223		11,023,835		4,256,069		168,609			106,592,079
Mid Cap Growth Portfolio, Class 3		—		—		14,366,634		8,614		809,851		320,959		(53,587	)		13,832,769
Mid Cap Value Portfolio, Class 3		—		—		52,838,915		24,522		5,151,797		1,821,928		(534,563	)		48,999,005
Multi-Managed Moderate Growth Portfolio, Class 3		—		—		26,026,130		2,082		1,778,604		58,067		432,867			24,740,542
Small Cap Portfolio, Class 3		—		—		37,444,117		121,355		1,122,776		655,612		(2,735,078	)		34,363,230
Diversified Fixed Income Portfolio, Class 3		—		—		174,460,016		781,953		9,553,645		417,596		2,240,604			168,346,524
Real Return Portfolio, Class 3		—		—		15,442,782		7,673		1,611,218		319,256		(153,488	)		14,005,005
International Equity Portfolio, Class 3		—		—		118,883,971		197,404		7,979,021		1,591,630		(3,650,832	)		109,043,152
	$	—	$	—	$	652,745,115	$	3,200,372	$	51,449,765	$	15,695,295	$	(4,108,056	)	$	616,082,961

407

Allocation Moderate Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2014
Seasons Series Trust
Focus Growth Portfolio, Class 3	$	—	$	—	$	5,679,795	$	77,911	$	507,671	$	106,721	$	281,814		$	5,638,570
Focus Value Portfolio, Class 3		—		—		6,064,342		—		683,623		344,787		(80,432	)		5,645,074
Large Cap Growth Portfolio, Class 3		—		—		46,110,798		264,189		6,001,636		3,359,620		(346,964	)		43,386,007
Large Cap Value Portfolio, Class 3		—		—		66,144,104		26,454		5,718,611		1,775,386		869,459			63,096,792
Mid Cap Growth Portfolio, Class 3		—		—		4,825,072		83,218		304,789		115,735		(23,487	)		4,695,749
Mid Cap Value Portfolio, Class 3		—		—		24,999,508		709,612		2,139,486		747,220		(152,593	)		24,164,261
Small Cap Portfolio, Class 3		—		—		20,033,220		445,546		299,508		188,971		(1,328,960	)		19,039,269
Diversified Fixed Income Portfolio, Class 3		—		—		126,559,756		3,473,016		6,214,097		346,571		1,584,389			125,749,635
Multi-Managed Income/Equity, Class 3		—		—		18,688,495		22,781		1,170,143		21,177		469,503			18,031,813
Real Return Portfolio, Class 3		—		—		17,846,785		227,611		2,973,991		85,911		128,592			15,314,908
International Equity Portfolio, Class 3		—		—		56,141,753		427,898		3,953,220		1,591,466		(2,559,310	)		51,648,587
	$	—	$	—	$	393,093,628	$	5,758,236	$	29,966,775	$	8,683,565	$	(1,157,989	)	$	376,410,665

Allocation Balanced Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2014		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2014
Seasons Series Trust
Focus Growth Portfolio, Class 3	$	—	$	—	$	3,789,712	$	74,565	$	272,490	$	55,144	$	203,641		$	3,850,572
Focus Value Portfolio, Class 3		—		—		4,847,472		35,269		500,565		172,605		38,431			4,593,212
Large Cap Growth Portfolio, Class 3		—		—		35,333,960		272,715		4,247,202		2,046,476		249,181			33,655,130
Large Cap Value Portfolio, Class 3		—		—		52,830,660		254,446		4,927,002		2,649,991		(539,708	)		50,268,387
Mid Cap Growth Portfolio, Class 3		—		—		3,100,046		65,110		184,543		70,977		(12,822	)		3,038,768
Mid Cap Value Portfolio, Class 3		—		—		14,415,276		1,587,023		1,250,484		412,575		(93,441	)		15,070,949
Small Cap Portfolio, Class 3		—		—		8,905,436		719,995		270,236		89,888		(606,263	)		8,838,820
Diversified Fixed Income Portfolio, Class 3		—		—		118,743,982		2,683,626		5,073,030		473,758		1,335,665			118,164,001
Multi-Managed Income Portfolio, Class 3		—		—		14,194,509		88,445		782,179		621		289,350			13,790,746
Real Return Portfolio, Class 3		—		—		24,413,258		475,992		2,839,497		79,609		205,610			22,334,972
International Equity Portfolio, Class 3		—		—		33,744,861		884,717		2,695,576		609,316		(1,197,578	)		31,345,740
	$	—	$	—	$	314,319,172	$	7,141,903	$	23,042,804	$	6,660,960	$	(127,934	)	$	304,951,297

†  Includes reinvestment of distributions paid.

The Managed Allocation Portfolios do not invest in underlying Seasons Series Trust Portfolios for the purpose of exercising management or control; however, investments by the Managed Allocation Portfolios within the set limits may represent a significant portion of an underlying Seasons Series Trust Portfolio's net assets. At September 30, 2014, each Managed Allocation

408

Portfolio held less than 19% of the outstanding Class 3 shares of any underlying Seasons Series Trust Portfolio. In addition, the Managed Allocation Portfolios, in the aggregate, held less than 42% of the outstanding Class 3 shares of any underlying Seasons Series Trust Portfolio.

At September 30, 2014, the following affiliates owned outstanding shares of the following Portfolios:

Portfolio	Holder	Percentage
Diversified Fixed Income	Allocation Moderate Growth Portfolio		17	%
Focus Growth	Allocation Moderate Growth Portfolio		6	%
International Equity	Allocation Moderate Growth Portfolio		18	%
Large Cap Growth	Allocation Moderate Growth Portfolio		18	%
Large Cap Value	Allocation Moderate Growth Portfolio		13	%
Mid Cap Growth	Allocation Moderate Growth Portfolio		8	%
Mid Cap Value	Allocation Moderate Growth Portfolio		16	%
Multi-Managed Moderate Growth	Allocation Moderate Growth Portfolio		18	%
Small Cap	Allocation Moderate Growth Portfolio		16	%
Diversified Fixed Income	Allocation Moderate Portfolio		12	%
International Equity	Allocation Moderate Portfolio		9	%
Large Cap Growth	Allocation Moderate Portfolio		10	%
Large Cap Value	Allocation Moderate Portfolio		7	%
Mid Cap Value	Allocation Moderate Portfolio		8	%
Multi-Managed Income/Equity Growth	Allocation Moderate Portfolio		17	%
Small Cap	Allocation Moderate Portfolio		9	%
Diversified Fixed Income	Allocation Balanced Portfolio		12	%
International Equity	Allocation Balanced Portfolio		5	%
Large Cap Growth	Allocation Balanced Portfolio		8	%
Large Cap Value	Allocation Balanced Portfolio		6	%
Mid Cap Value	Allocation Balanced Portfolio		5	%
Multi-Managed Income/Equity Growth	Allocation Balanced Portfolio		17	%
Diversified Fixed Income	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		45	%
Focus Growth	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		48	%
Focus Value	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		47	%
International Equity	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		44	%
Large Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		20	%
Large Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		32	%
Mid Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		37	%
Mid Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		25	%
Real Return	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		19	%
Small Cap	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		34	%
Stock	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		69	%
Diversified Fixed Income	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		6	%
Focus Value	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		34	%
International Equity	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		16	%
Large Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		22	%
Large Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		31	%
Mid Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		19	%
Mid Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		22	%
Real Return	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		5	%
Small Cap	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		14	%

Note 9. Investment Concentration: Some of the Portfolios may invest internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility. These risks are primary risks of the International Equity Portfolio. At September 30, 2014, the International Equity Portfolio had 18.7% and 16.7% of its net assets invested in equity securities domiciled in Japan and the United Kingdom, respectively.

The Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaulted, the fund holding

409

securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolio's concentration in such investments, it may be subject to risks associated with the U.S. Government agencies or instrumentalities. At September 30, 2014, the Portfolios had 18.7%, 21.7% and 13.3%, respectively, of their net assets invested in such securities.

Note 10. Line of Credit: The SunAmerica family of mutual funds have established a $75 million committed and a $50 million uncommitted line of credit with State Street Bank and Trust Company, the Portfolios' custodian. Interest is currently payable at the higher of the Federal Funds Rate plus 125 basis points or the overnight London Interbank Offered Rate plus 125 basis points on the committed line and State Street Bank and Trust Company's discretionary bid rate on the uncommitted line of credit. There is also a commitment fee of 15 basis points per annum on the daily unused portion of the committed line of credit and a one time closing fee at 5 basis points on the uncommitted line of credit both of which are included in other expenses on the Statements of Operations. Prior to September 12, 2014, the commitment fee was 10 basis points per annum on the daily unused portion of the committed line of credit and there was no closing fee on the uncommitted line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000. For the six months ended September 30, 2014, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
Multi-Managed Growth		31	$	160	$	137,635		1.35	%
Multi-Managed Moderate Growth		48		253		141,257		1.34
Multi-Managed Income/Equity		15		101		180,296		1.35
Multi-Managed Income		5		21		110,025		1.35
Mid Cap Growth		1		4		113,402		1.34
International Equity		2		78		1,048,355		1.34
Focus Growth		1		7		184,856		1.35
Allocation Growth		95		427		120,268		1.35
Allocation Moderate Growth		175		2,521		385,604		1.35
Allocation Moderate		156		1,361		233,425		1.35
Allocation Balanced		136		1,123		220,995		1.34

As of September 30, 2014, the following Portfolios had an outstanding borrowing:

Portfolio	Amount
Multi-Managed Growth		363,531
Multi-Managed Moderate Growth		518,054
Allocation Growth		27,045
Allocation Moderate Growth		181,128

Note 11. Security Transactions with Affiliated Portfolios: The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board of Trustees. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions. For the six months ended September 30, 2014, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain\(Loss)
Stock	$	—	$	203,249	$	(86,900	)
Large Cap Value		—		62,730		27,390
Mid Cap Growth		33,210		—		—
Mid Cap Value		116,316		188,885		27,846

Note 12. Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction.

410

For the six months ended September 30, 2014, none of the Portfolios participated in this program.

Note 13. Unfunded Loan Commitments: At September 30, 2014, the Portfolio had the following unfunded loan commitments which could be extended at the option of the Borrower:

Borrower	Type	Maturity Date	Principal Amount		Value
Advantage Sales & Marketing, Inc. FRS	Delayed Draw	07/25/2021	$	265,726	$	260,854

411

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Growth Portfolio Class 1
03/31/10	$	10.18	$	0.11	$	4.46	$	4.57	$	(0.25	)	$	—		$	—	$	(0.25	)	$	14.50		45.00	%	$	16,109		1.20	%		0.87	%		101	%
03/31/11		14.50		0.11		1.61		1.72		(0.12	)		—			—		(0.12	)		16.10		11.89			14,861		1.24			0.72			90
03/31/12		16.10		0.09		0.76		0.85		(0.15	)		—			—		(0.15	)		16.80		5.36			12,830		1.29			0.55			67
03/31/13		16.80		0.09		0.97		1.06		(0.10	)		—			—		(0.10	)		17.76		6.37			12,124		1.31			0.56			85
03/31/14		17.76		0.09		2.89		2.98		(0.13	)		(0.45	)		—		(0.58	)		20.16		16.90			13,202		1.28			0.43			80
09/30/14@		20.16		0.05		0.41		0.46		—			—			—		—			20.62		2.28			12,569		1.13	#		0.67	#		24
Multi-Managed Growth Portfolio Class 2
03/31/10		10.16		0.09		4.46		4.55		(0.23	)		—			—		(0.23	)		14.48		44.89			38,021		1.35			0.71			101
03/31/11		14.48		0.09		1.59		1.68		(0.09	)		—			—		(0.09	)		16.07		11.64			32,548		1.39			0.57			90
03/31/12		16.07		0.06		0.77		0.83		(0.12	)		—			—		(0.12	)		16.78		5.23			27,093		1.44			0.40			67
03/31/13		16.78		0.07		0.97		1.04		(0.07	)		—			—		(0.07	)		17.75		6.24			23,299		1.46			0.41			85
03/31/14		17.75		0.06		2.89		2.95		(0.10	)		(0.45	)		—		(0.55	)		20.15		16.73			24,035		1.43			0.28			80
09/30/14@		20.15		0.02		0.42		0.44		—			—			—		—			20.59		2.18			22,900		1.29	#		0.52	#		24
Multi-Managed Growth Portfolio Class 3
03/31/10		10.15		0.08		4.45		4.53		(0.22	)		—			—		(0.22	)		14.46		44.71			39,937		1.45			0.61			101
03/31/11		14.46		0.07		1.59		1.66		(0.08	)		—			—		(0.08	)		16.04		11.51			39,232		1.49			0.47			90
03/31/12		16.04		0.05		0.76		0.81		(0.10	)		—			—		(0.10	)		16.75		5.14			34,327		1.54			0.30			67
03/31/13		16.75		0.05		0.98		1.03		(0.06	)		—			—		(0.06	)		17.72		6.15			32,255		1.56			0.31			85
03/31/14		17.72		0.04		2.88		2.92		(0.09	)		(0.45	)		—		(0.54	)		20.10		16.58			38,236		1.52			0.19			80
09/30/14@		20.10		0.02		0.41		0.43		—			—			—		—			20.53		2.14			36,303		1.39	#		0.42	#		24

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Multi-Managed Growth Portfolio Class 1		0.00	%		0.01	%		0.00	%		0.00	%		0.01	%		0.00	%
Multi-Managed Growth Portfolio Class 2		0.00			0.01			0.00			0.00			0.01			0.00
Multi-Managed Growth Portfolio Class 3		0.00			0.01			0.00			0.00			0.01			0.00

See Notes to Financial Statements

412

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Moderate Growth Portfolio Class 1
03/31/10	$	9.90	$	0.21	$	3.65	$	3.86	$	(0.41	)	$	—		$	—	$	(0.41	)	$	13.35		39.22	%	$	20,298		1.04	%		1.69	%		97	%
03/31/11		13.35		0.19		1.16		1.35		(0.25	)		—			—		(0.25	)		14.45		10.19			18,213		1.06			1.37			90
03/31/12		14.45		0.16		0.59		0.75		(0.27	)		(0.55	)		—		(0.82	)		14.38		5.69			15,621		1.09			1.12			61
03/31/13		14.38		0.14		0.72		0.86		(0.18	)		(0.62	)		—		(0.80	)		14.44		6.28			13,546		1.11			0.97			90
03/31/14		14.44		0.12		1.76		1.88		(0.15	)		(0.82	)		—		(0.97	)		15.35		13.24			13,622		1.09			0.78			74
09/30/14@		15.35		0.08		0.23		0.31		—			—			—		—			15.66		2.02			13,261		1.01	#		1.04	#		41
Multi-Managed Moderate Growth Portfolio Class 2
03/31/10		9.87		0.19		3.64		3.83		(0.39	)		—			—		(0.39	)		13.31		39.04			93,527		1.19			1.54			97
03/31/11		13.31		0.17		1.17		1.34		(0.23	)		—			—		(0.23	)		14.42		10.10			75,501		1.21			1.22			90
03/31/12		14.42		0.14		0.58		0.72		(0.24	)		(0.55	)		—		(0.79	)		14.35		5.48			62,180		1.24			0.97			61
03/31/13		14.35		0.12		0.73		0.85		(0.16	)		(0.62	)		—		(0.78	)		14.42		6.17			54,283		1.26			0.82			90
03/31/14		14.42		0.10		1.76		1.86		(0.13	)		(0.82	)		—		(0.95	)		15.33		13.08			55,102		1.24			0.63			74
09/30/14@		15.33		0.07		0.22		0.29		—			—			—		—			15.62		1.89			52,155		1.16	#		0.89	#		41
Multi-Managed Moderate Growth Portfolio Class 3
03/31/10		9.86		0.18		3.64		3.82		(0.38	)		—			—		(0.38	)		13.30		38.96			66,236		1.29			1.43			97
03/31/11		13.30		0.15		1.16		1.31		(0.22	)		—			—		(0.22	)		14.39		9.88			65,288		1.31			1.11			90
03/31/12		14.39		0.12		0.60		0.72		(0.23	)		(0.55	)		—		(0.78	)		14.33		5.46			56,421		1.34			0.87			61
03/31/13		14.33		0.10		0.72		0.82		(0.14	)		(0.62	)		—		(0.76	)		14.39		6.01			53,393		1.36			0.72			90
03/31/14		14.39		0.08		1.75		1.83		(0.12	)		(0.82	)		—		(0.94	)		15.28		12.95			78,568		1.33			0.54			74
09/30/14@		15.28		0.06		0.23		0.29		—			—			—		—			15.57		1.90			74,766		1.26	#		0.79	#		41

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%
Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.01			0.00
Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.01			0.00

See Notes to Financial Statements

413

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Income/Equity Portfolio Class 1
03/31/10	$	9.90	$	0.38	$	2.53	$	2.91	$	(0.67	)	$	(0.07	)	$	—	$	(0.74	)	$	12.07		29.76	%	$	16,530		1.02	%		3.25	%		54	%
03/31/11		12.07		0.31		0.55		0.86		(0.41	)		—			—		(0.41	)		12.52		7.19			14,049		1.04			2.47			70
03/31/12		12.52		0.27		0.53		0.80		(0.43	)		(0.17	)		—		(0.60	)		12.72		6.67			12,468		1.09			2.18			51
03/31/13		12.72		0.22		0.64		0.86		(0.33	)		(0.56	)		—		(0.89	)		12.69		6.95			12,352		1.09			1.70			60
03/31/14		12.69		0.17		0.65		0.82		(0.22	)		(0.50	)		—		(0.72	)		12.79		6.65			12,165		1.05			1.35			77
09/30/14@		12.79		0.11		0.25		0.36		—			—			—		—			13.15		2.81			11,871		1.00	#		1.62	#		22
Multi-Managed Income/Equity Portfolio Class 2
03/31/10		9.88		0.36		2.53		2.89		(0.66	)		(0.07	)		—		(0.73	)		12.04		29.53			74,536		1.17			3.10			54
03/31/11		12.04		0.29		0.55		0.84		(0.39	)		—			—		(0.39	)		12.49		7.02			64,537		1.20			2.32			70
03/31/12		12.49		0.26		0.51		0.77		(0.40	)		(0.17	)		—		(0.57	)		12.69		6.48			55,328		1.24			2.04			51
03/31/13		12.69		0.20		0.64		0.84		(0.30	)		(0.56	)		—		(0.86	)		12.67		6.86			50,239		1.24			1.55			60
03/31/14		12.67		0.15		0.65		0.80		(0.20	)		(0.50	)		—		(0.70	)		12.77		6.48			46,030		1.20			1.20			77
09/30/14@		12.77		0.10		0.25		0.35		—			—			—		—			13.12		2.74			44,553		1.15	#		1.47	#		22
Multi-Managed Income/Equity Portfolio Class 3
03/31/10		9.86		0.35		2.52		2.87		(0.64	)		(0.07	)		—		(0.71	)		12.02		29.46			43,187		1.27			2.99			54
03/31/11		12.02		0.27		0.56		0.83		(0.38	)		—			—		(0.38	)		12.47		6.95			40,736		1.30			2.21			70
03/31/12		12.47		0.24		0.52		0.76		(0.39	)		(0.17	)		—		(0.56	)		12.67		6.37			35,247		1.34			1.94			51
03/31/13		12.67		0.19		0.64		0.83		(0.29	)		(0.56	)		—		(0.85	)		12.65		6.76			32,130		1.34			1.45			60
03/31/14		12.65		0.14		0.64		0.78		(0.20	)		(0.50	)		—		(0.70	)		12.73		6.33			49,269		1.29			1.09			77
09/30/14@		12.73		0.09		0.25		0.34		—			—			—		—			13.07		2.67			47,095		1.25	#		1.37	#		22

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Multi-Managed Income/Equity Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%
Multi-Managed Income/Equity Portfolio Class 2		0.00			0.00			0.00			0.00			0.01			0.00
Multi-Managed Income/Equity Portfolio Class 3		0.00			0.00			0.00			0.00			0.01			0.00

See Notes to Financial Statements

414

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Income Portfolio Class 1
03/31/10	$	10.30	$	0.45	$	2.07	$	2.52	$	(0.64	)	$	(0.02	)	$	—	$	(0.66	)	$	12.16		24.67	%	$	15,061		1.03	%		3.86	%		45	%
03/31/11		12.16		0.35		0.36		0.71		(0.37	)		—			—		(0.37	)		12.50		5.87			13,524		1.05			2.81			74
03/31/12		12.50		0.30		0.52		0.82		(0.47	)		(0.32	)		—		(0.79	)		12.53		6.90			11,911		1.08			2.38			53
03/31/13		12.53		0.23		0.52		0.75		(0.32	)		(0.57	)		—		(0.89	)		12.39		6.09			11,480		1.08			1.81			56
03/31/14		12.39		0.20		0.18		0.38		(0.25	)		(0.42	)		—		(0.67	)		12.10		3.20			10,622		1.05			1.59			63
09/30/14@		12.10		0.13		0.14		0.27		—			—			—		—			12.37		2.23			10,048		0.99	#		2.02	#		26
Multi-Managed Income Portfolio Class 2
03/31/10		10.28		0.43		2.07		2.50		(0.63	)		(0.02	)		—		(0.65	)		12.13		24.45			59,005		1.18			3.70			45
03/31/11		12.13		0.33		0.36		0.69		(0.35	)		—			—		(0.35	)		12.47		5.72			51,560		1.20			2.65			74
03/31/12		12.47		0.28		0.53		0.81		(0.45	)		(0.32	)		—		(0.77	)		12.51		6.79			47,469		1.23			2.23			53
03/31/13		12.51		0.21		0.52		0.73		(0.30	)		(0.57	)		—		(0.87	)		12.37		5.93			42,792		1.23			1.66			56
03/31/14		12.37		0.18		0.18		0.36		(0.23	)		(0.42	)		—		(0.65	)		12.08		3.02			37,405		1.21			1.44			63
09/30/14@		12.08		0.12		0.13		0.25		—			—			—		—			12.33		2.07			36,391		1.14	#		1.88	#		26
Multi-Managed Income Portfolio Class 3
03/31/10		10.27		0.42		2.07		2.49		(0.62	)		(0.02	)		—		(0.64	)		12.12		24.36			33,118		1.28			3.60			45
03/31/11		12.12		0.31		0.36		0.67		(0.34	)		—			—		(0.34	)		12.45		5.56			33,572		1.30			2.55			74
03/31/12		12.45		0.27		0.53		0.80		(0.44	)		(0.32	)		—		(0.76	)		12.49		6.71			32,770		1.33			2.12			53
03/31/13		12.49		0.20		0.52		0.72		(0.29	)		(0.57	)		—		(0.86	)		12.35		5.83			29,548		1.33			1.56			56
03/31/14		12.35		0.16		0.18		0.34		(0.23	)		(0.42	)		—		(0.65	)		12.04		2.84			38,707		1.29			1.32			63
09/30/14@		12.04		0.11		0.14		0.25		—			—			—		—			12.29		2.08			36,359		1.24	#		1.78	#		26

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Multi-Managed Income Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Multi-Managed Income Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
Multi-Managed Income Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

415

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments		Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
Asset Allocation: Diversified Growth Portfolio Class 1
03/31/10	$	6.32	$	0.14	$	2.79	$	2.93	$	(0.07	)	$	—	$	—	$	(0.07	)	$	9.18		46.38	%	$	31,180		1.06	%		1.72	%		123	%
03/31/11		9.18		0.16		1.10		1.26		(0.30	)		—		—		(0.30	)		10.14		13.94			27,916		1.03			1.70			94
03/31/12		10.14		0.18		0.19		0.37		(0.21	)		—		—		(0.21	)		10.30		3.93	(3)		24,385		1.04			1.88			89
03/31/13		10.30		0.20		0.99		1.19		(0.24	)		—		—		(0.24	)		11.25		11.77			22,692		1.05			1.90			67
03/31/14		11.25		0.20		1.86		2.06		(0.33	)		—		—		(0.33	)		12.98		18.43			22,898		1.01			1.63			61
09/30/14@		12.98		0.10		0.30		0.40		—			—		—		—			13.38		3.08			21,927		0.97	#		1.56	#		42
Asset Allocation: Diversified Growth Portfolio Class 2
03/31/10		6.31		0.13		2.78		2.91		(0.05	)		—		—		(0.05	)		9.17		46.21			120,406		1.21			1.55			123
03/31/11		9.17		0.15		1.08		1.23		(0.28	)		—		—		(0.28	)		10.12		13.65			102,159		1.18			1.55			94
03/31/12		10.12		0.17		0.20		0.37		(0.20	)		—		—		(0.20	)		10.29		3.84	(3)		87,601		1.19			1.73			89
03/31/13		10.29		0.18		0.99		1.17		(0.22	)		—		—		(0.22	)		11.24		11.58			77,266		1.20			1.75			67
03/31/14		11.24		0.18		1.86		2.04		(0.31	)		—		—		(0.31	)		12.97		18.26			74,099		1.16			1.48			61
09/30/14@		12.97		0.09		0.30		0.39		—			—		—		—			13.36		3.01			70,678		1.12	#		1.41	#		42
Asset Allocation: Diversified Growth Portfolio Class 3
03/31/10		6.31		0.11		2.77		2.88		(0.04	)		—		—		(0.04	)		9.15		45.74			83,804		1.31			1.39			123
03/31/11		9.15		0.13		1.11		1.24		(0.28	)		—		—		(0.28	)		10.11		13.71			82,330		1.28			1.44			94
03/31/12		10.11		0.16		0.19		0.35		(0.19	)		—		—		(0.19	)		10.27		3.64	(3)		73,205		1.28			1.63			89
03/31/13		10.27		0.17		0.99		1.16		(0.21	)		—		—		(0.21	)		11.22		11.50			67,530		1.30			1.65			67
03/31/14		11.22		0.17		1.86		2.03		(0.30	)		—		—		(0.30	)		12.95		18.18			65,734		1.26			1.38			61
09/30/14@		12.95		0.09		0.29		0.38		—			—		—		—			13.33		2.93			61,861		1.22	#		1.31	#		42

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Asset Allocation: Diversified Growth Portfolio Class 1		0.01	%		0.01	%		0.01	%		0.01	%		0.00	%		0.00	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.01			0.01			0.01			0.01			0.00			0.00
Asset Allocation: Diversified Growth Portfolio Class 3		0.01			0.01			0.01			0.01			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Asset Allocation: Diversified Growth Portfolio Class 1		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%		0.10	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.10			0.10			0.10			0.10			0.10			0.10
Asset Allocation: Diversified Growth Portfolio Class 3		0.10			0.10			0.10			0.10			0.10			0.10

  (3)  The Portfolio's performance figure was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

416

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Stock Portfolio Class 1
03/31/10	$	9.01	$	(0.01	)	$	4.35	$	4.34	$	(0.03	)	$	—		$	—	$	(0.03	)	$	13.32		48.21	%	$	25,427		0.96	%		(0.07	)%		52	%
03/31/11		13.32		(0.03	)		2.37		2.34		—			—			—		—			15.66		17.57			22,716		0.96			(0.20	)		37
03/31/12		15.66		(0.04	)		1.83		1.79		—			—			—		—			17.45		11.43			19,750		0.96			(0.25	)		24
03/31/13		17.45		0.02			1.21		1.23		—			—			—		—			18.68		7.05			107,950		0.94			0.11			35
03/31/14		18.68		(0.05	)		5.08		5.03		—			(0.85	)		—		(0.85	)		22.86		27.01			237,515		0.91			(0.23	)		36
09/30/14@		22.86		(0.02	)		1.28		1.26		—			—			—		—			24.12		5.51			303,037		0.89	#		(0.14	)#		16
Stock Portfolio Class 2
03/31/10		8.94		(0.02	)		4.31		4.29		(0.01	)		—			—		(0.01	)		13.22		48.02			95,679		1.11			(0.22	)		52
03/31/11		13.22		(0.05	)		2.35		2.30		—			—			—		—			15.52		17.40			80,763		1.11			(0.35	)		37
03/31/12		15.52		(0.06	)		1.80		1.74		—			—			—		—			17.26		11.21			68,643		1.11			(0.40	)		24
03/31/13		17.26		(0.03	)		1.23		1.20		—			—			—		—			18.46		6.95			61,041		1.11			(0.15	)		35
03/31/14		18.46		(0.08	)		5.02		4.94		—			(0.85	)		—		(0.85	)		22.55		26.84			58,280		1.06			(0.38	)		36
09/30/14@		22.55		(0.03	)		1.25		1.22		—			—			—		—			23.77		5.41			56,046		1.04	#		(0.29	)#		16
Stock Portfolio Class 3
03/31/10		8.91		(0.04	)		4.30		4.26		(0.00	)		—			—		(0.00	)		13.17		47.82			68,615		1.21			(0.32	)		52
03/31/11		13.17		(0.06	)		2.33		2.27		—			—			—		—			15.44		17.24			67,066		1.21			(0.45	)		37
03/31/12		15.44		(0.08	)		1.80		1.72		—			—			—		—			17.16		11.14			59,118		1.21			(0.50	)		24
03/31/13		17.16		(0.04	)		1.21		1.17		—			—			—		—			18.33		6.82			55,215		1.21			(0.25	)		35
03/31/14		18.33		(0.10	)		4.98		4.88		—			(0.85	)		—		(0.85	)		22.36		26.70			53,760		1.16			(0.48	)		36
09/30/14@		22.36		(0.04	)		1.24		1.20		—			—			—		—			23.56		5.37			51,119		1.14	#		(0.39	)#		16

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Stock Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Stock Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
Stock Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

417

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Large Cap Growth Portfolio Class 1
03/31/10	$	6.06	$	0.03	$	2.97		$	3.00	$	—		$	—		$	—	$	—		$	9.06		49.50	%	$	4,730		0.91	%		0.33	%		45	%
03/31/11		9.06		0.05		0.99	(2)		1.04		(0.03	)		—			—		(0.03	)		10.07		11.45			5,452		0.90			0.52			29
03/31/12		10.07		0.05		0.97			1.02		(0.05	)		—			—		(0.05	)		11.04		10.17			8,552		0.90			0.54			52
03/31/13		11.04		0.09		0.98			1.07		(0.06	)		(0.39	)		—		(0.45	)		11.66		10.06			39,935		0.89			0.90			31
03/31/14		11.66		0.06		2.55			2.61		(0.08	)		(0.47	)		—		(0.55	)		13.72		22.60			158,516		0.85			0.47			69
09/30/14@		13.72		0.03		0.90			0.93		—			—			—		—			14.65		6.78			184,956		0.84	#		0.47	#		19
Large Cap Growth Portfolio Class 2
03/31/10		5.99		0.01		2.95			2.96		—			—			—		—			8.95		49.42			50,226		1.06			0.18			45
03/31/11		8.95		0.03		0.96	(2)		0.99		(0.01	)		—			—		(0.01	)		9.93		11.12			56,822		1.05			0.38			29
03/31/12		9.93		0.04		0.95			0.99		(0.03	)		—			—		(0.03	)		10.89		10.01			46,185		1.05			0.36			52
03/31/13		10.89		0.07		0.97			1.04		(0.04	)		(0.39	)		—		(0.43	)		11.50		9.90			41,043		1.04			0.66			31
03/31/14		11.50		0.04		2.51			2.55		(0.06	)		(0.47	)		—		(0.53	)		13.52		22.38			41,595		1.01			0.32			69
09/30/14@		13.52		0.02		0.89			0.91		—			—			—		—			14.43		6.73			40,989		0.99	#		0.32	#		19
Large Cap Growth Portfolio Class 3
03/31/10		5.96		0.01		2.92			2.93		—			—			—		—			8.89		49.16			218,545		1.16			0.08			45
03/31/11		8.89		0.02		0.96	(2)		0.98		(0.01	)		—			—		(0.01	)		9.86		10.99			243,321		1.15			0.18			29
03/31/12		9.86		0.03		0.95			0.98		(0.02	)		—			—		(0.02	)		10.82		9.99			225,751		1.15			0.28			52
03/31/13		10.82		0.06		0.96			1.02		(0.03	)		(0.39	)		—		(0.42	)		11.42		9.76			210,063		1.14			0.57			31
03/31/14		11.42		0.03		2.50			2.53		(0.05	)		(0.47	)		—		(0.52	)		13.43		22.31			211,518		1.11			0.22			69
09/30/14@		13.43		0.02		0.87			0.89		—			—			—		—			14.32		6.63			199,031		1.09	#		0.22	#		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Large Cap Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%
Large Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.01			0.00
Large Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.01			0.00

  (2)  Includes the effect of a merger.

See Notes to Financial Statements

418

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments		Total from investment operations		Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Large Cap Value Portfolio Class 1
03/31/10	$	6.81	$	0.15		$	3.71	$	3.86	$	(0.25	)	$	—		$	—	$	(0.25	)	$	10.42		57.01	%	$	5,999		0.89	%		1.63	%		47	%
03/31/11		10.42		0.16			1.37		1.53		(0.19	)		—			—		(0.19	)		11.76		14.89			5,894		0.89			1.47			43
03/31/12		11.76		0.17			0.24		0.41		(0.17	)		—			—		(0.17	)		12.00		3.70			12,598		0.89			1.59			32
03/31/13		12.00		0.20			1.60		1.80		(0.17	)		—			—		(0.17	)		13.63		15.18			117,872		0.88			1.70			31
03/31/14		13.63		0.27			2.35		2.62		(0.15	)		—			—		(0.15	)		16.10		19.27			392,153		0.82			1.87			31
09/30/14@		16.10		0.13			0.56		0.69		—			—			—		—			16.79		4.29			542,602		0.80	#		1.58	#		12
Large Cap Value Portfolio Class 2
03/31/10		6.80		0.14			3.70		3.84		(0.24	)		—			—		(0.24	)		10.40		56.69			54,278		1.04			1.47			47
03/31/11		10.40		0.14			1.38		1.52		(0.18	)		—			—		(0.18	)		11.74		14.74			50,646		1.04			1.32			43
03/31/12		11.74		0.16			0.23		0.39		(0.15	)		—			—		(0.15	)		11.98		3.52			41,809		1.04			1.48			32
03/31/13		11.98		0.20			1.59		1.79		(0.15	)		—			—		(0.15	)		13.62		15.09			39,393		1.03			1.60			31
03/31/14		13.62		0.24			2.35		2.59		(0.13	)		—			—		(0.13	)		16.08		19.04			39,393		0.98			1.59			31
09/30/14@		16.08		0.12			0.55		0.67		—			—			—		—			16.75		4.17			38,546		0.95	#		1.44	#		12
Large Cap Value Portfolio Class 3
03/31/10		6.79		0.13			3.70		3.83		(0.23	)		—			—		(0.23	)		10.39		56.63			257,747		1.14			1.37			47
03/31/11		10.39		0.13			1.37		1.50		(0.17	)		—			—		(0.17	)		11.72		14.57			271,347		1.14			1.21			43
03/31/12		11.72		0.15			0.24		0.39		(0.14	)		—			—		(0.14	)		11.97		3.53			257,027		1.14			1.38			32
03/31/13		11.97		0.18			1.58		1.76		(0.14	)		—			—		(0.14	)		13.59		14.84			261,514		1.13			1.50			31
03/31/14		13.59		0.22			2.35		2.57		(0.11	)		—			—		(0.11	)		16.05		18.98			280,113		1.08			1.51			31
09/30/14@		16.05		0.11			0.55		0.66		—			—			—		—			16.71		4.11			267,519		1.05	#		1.34	#		12
Mid Cap Growth Portfolio Class 1
03/31/10		6.44		(0.01	)		3.82		3.81		—			—			—		—			10.25		59.16			5,485		1.10			(0.14	)		86
03/31/11		10.25		(0.03	)		2.81		2.78		—			—			—		—			13.03		27.12			6,342		1.12			(0.23	)		64
03/31/12		13.03		(0.04	)		0.18		0.14		—			—			—		—			13.17		1.07			7,441		1.12			(0.36	)		75
03/31/13		13.17		0.01			1.46		1.47		—			(0.48	)		—		(0.48	)		14.16		11.66			30,299		1.07			0.08			61
03/31/14		14.16		(0.02	)		3.38		3.36		—			(0.43	)		—		(0.43	)		17.09		23.88			82,505		0.99			(0.15	)		55
09/30/14@		17.09		(0.01	)		0.33		0.32		—			—			—		—			17.41		1.87			107,218		0.94	#		(0.07	)#		28
Mid Cap Growth Portfolio Class 2
03/31/10		6.32		(0.02	)		3.74		3.72		—			—			—		—			10.04		58.86			41,985		1.25			(0.29	)		86
03/31/11		10.04		(0.04	)		2.75		2.71		—			—			—		—			12.75		26.99			41,667		1.27			(0.38	)		64
03/31/12		12.75		(0.06	)		0.17		0.11		—			—			—		—			12.86		0.86			32,440		1.27			(0.52	)		75
03/31/13		12.86		(0.02	)		1.44		1.42		—			(0.48	)		—		(0.48	)		13.80		11.55			28,219		1.24			(0.14	)		61
03/31/14		13.80		(0.05	)		3.30		3.25		—			(0.43	)		—		(0.43	)		16.62		23.70			30,749		1.15			(0.33	)		55
09/30/14@		16.62		(0.02	)		0.32		0.30		—			—			—		—			16.92		1.81			27,842		1.09	#		(0.22	)#		28
Mid Cap Growth Portfolio Class 3
03/31/10		6.26		(0.03	)		3.71		3.68		—			—			—		—			9.94		58.79			52,817		1.35			(0.38	)		86
03/31/11		9.94		(0.05	)		2.71		2.66		—			—			—		—			12.60		26.76			54,902		1.37			(0.48	)		64
03/31/12		12.60		(0.07	)		0.17		0.10		—			—			—		—			12.70		0.79			65,265		1.37			(0.61	)		75
03/31/13		12.70		(0.03	)		1.42		1.39		—			(0.48	)		—		(0.48	)		13.61		11.46			56,673		1.34			(0.24	)		61
03/31/14		13.61		(0.07	)		3.26		3.19		—			(0.43	)		—		(0.43	)		16.37		23.59			50,088		1.25			(0.43	)		55
09/30/14@		16.37		(0.03	)		0.31		0.28		—			—			—		—			16.65		1.71			46,499		1.19	#		(0.32	)#		28

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14@#
Large Cap Value Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Large Cap Value Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
Large Cap Value Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00
Mid Cap Growth Portfolio Class 1		0.00			0.00			0.00			0.00			0.00			0.00
Mid Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
Mid Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

See Notes to Financial Statements

419

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends declared from net invest- ment income			Dividends from net realized gain on investments		Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Mid Cap Value Portfolio Class 1
03/31/10	$	7.49	$	0.09		$	4.46		$	4.55		$	(0.17	)	$	—	$	—	$	(0.17	)	$	11.87		61.00	%	$	5,063		1.07	%		0.81	%		85	%
03/31/11		11.87		0.09			2.61			2.70			(0.10	)		—		—		(0.10	)		14.47		22.82			5,208		1.05			0.75			76
03/31/12		14.47		0.10			(0.14	)		(0.04	)		(0.08	)		—		—		(0.08	)		14.35		(0.19	)		9,565		1.01			0.79			54
03/31/13		14.35		0.16			2.39			2.55			(0.09	)		—		—		(0.09	)		16.81		17.86			59,774		0.99			1.13			62
03/31/14		16.81		0.18			3.35			3.53			(0.14	)		—		—		(0.14	)		20.20		21.05			164,147		0.93			0.98			68
09/30/14@		20.20		0.09			0.42			0.51			—			—		—		—			20.71		2.52			151,344		0.91	#		0.83	#		40
Mid Cap Value Portfolio Class 2
03/31/10		7.47		0.08			4.44			4.52			(0.15	)		—		—		(0.15	)		11.84		60.74			47,120		1.22			0.66			85
03/31/11		11.84		0.08			2.59			2.67			(0.08	)		—		—		(0.08	)		14.43		22.62			47,947		1.20			0.60			76
03/31/12		14.43		0.08			(0.14	)		(0.06	)		(0.06	)		—		—		(0.06	)		14.31		(0.33	)		37,208		1.16			0.57			54
03/31/13		14.31		0.13			2.40			2.53			(0.06	)		—		—		(0.06	)		16.78		17.77			35,708		1.14			0.89			62
03/31/14		16.78		0.13			3.36			3.49			(0.11	)		—		—		(0.11	)		20.16		20.86			36,743		1.08			0.72			68
09/30/14@		20.16		0.07			0.42			0.49			—			—		—		—			20.65		2.43			34,758		1.06	#		0.65	#		40
Mid Cap Value Portfolio Class 3
03/31/10		7.46		0.07			4.43			4.50			(0.14	)		—		—		(0.14	)		11.82		60.53			91,984		1.32			0.56			85
03/31/11		11.82		0.06			2.60			2.66			(0.07	)		—		—		(0.07	)		14.41		22.56			123,827		1.30			0.50			76
03/31/12		14.41		0.07			(0.14	)		(0.07	)		(0.05	)		—		—		(0.05	)		14.29		(0.43	)		162,469		1.27			0.52			54
03/31/13		14.29		0.12			2.39			2.51			(0.06	)		—		—		(0.06	)		16.74		17.61			163,073		1.24			0.80			62
03/31/14		16.74		0.11			3.35			3.46			(0.09	)		—		—		(0.09	)		20.11		20.71			133,694		1.18			0.60			68
09/30/14@		20.11		0.06			0.42			0.48			—			—		—		—			20.59		2.39			126,693		1.16	#		0.54	#		40
Small Cap Portfolio Class 1
03/31/10		5.02		(0.00	)		3.15			3.15			(0.01	)		—		—		(0.01	)		8.16		62.77			3,201		1.02			(0.19	)		143
03/31/11		8.16		(0.00	)		2.09			2.09			—			—		—		—			10.25		25.61			3,055		1.03			0.00			100
03/31/12		10.25		(0.01	)		(0.06	)		(0.07	)		—			—		—		—			10.18		(0.68	)(2)		6,125		1.05			(0.08	)		75
03/31/13		10.18		0.02			1.01			1.03			—			—		—		—			11.21		10.12			27,441		1.05			0.24			115
03/31/14		11.21		0.05			2.84			2.89			—			—		—		—			14.10		25.78			95,264		0.99			0.37			41
09/30/14@		14.10		0.02			(0.82	)		(0.80	)		—			—		—		—			13.30		(5.67	)		112,644		0.94	#		0.36	#		19
Small Cap Portfolio Class 2
03/31/10		4.95		(0.01	)		3.09			3.08			—			—		—		—			8.03		62.22			36,964		1.17			(0.34	)		143
03/31/11		8.03		(0.01	)		2.06			2.05			—			—		—		—			10.08		25.53			36,628		1.18			(0.15	)		100
03/31/12		10.08		(0.03	)		(0.06	)		(0.09	)		—			—		—		—			9.99		(0.89	)(2)		29,194		1.20			(0.31	)		75
03/31/13		9.99		(0.00	)		1.00			1.00			—			—		—		—			10.99		10.01			25,992		1.20			(0.02	)		115
03/31/14		10.99		0.02			2.79			2.81			—			—		—		—			13.80		25.57			27,478		1.15			0.14			41
09/30/14@		13.80		0.01			(0.79	)		(0.78	)		—			—		—		—			13.02		(5.65	)		23,586		1.09	#		0.19	#		19
Small Cap Portfolio Class 3
03/31/10		4.91		(0.02	)		3.07			3.05			—			—		—		—			7.96		62.12			147,596		1.27			(0.44	)		143
03/31/11		7.96		(0.02	)		2.04			2.02			—			—		—		—			9.98		25.38			165,340		1.28			(0.25	)		100
03/31/12		9.98		(0.04	)		(0.06	)		(0.10	)		—			—		—		—			9.88		(1.00	)(2)		95,460		1.29			(0.43	)		75
03/31/13		9.88		(0.01	)		0.99			0.98			—			—		—		—			10.86		9.92			93,909		1.30			(0.10	)		115
03/31/14		10.86		0.01			2.75			2.76			—			—		—		—			13.62		25.41			96,671		1.25			0.04			41
09/30/14@		13.62		0.01			(0.79	)		(0.78	)		—			—		—		—			12.84		(5.73	)		88,591		1.19	#		0.10	#		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Mid Cap Value Class 1		0.02	%		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%
Mid Cap Value Class 2		0.02			0.01			0.01			0.00			0.00			0.00
Mid Cap Value Class 3		0.02			0.01			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 1		0.00			0.01			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 2		0.00			0.01			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 3		0.00			0.01			0.00			0.00			0.00			0.00

  (2)  The Portfolio's performance was increased by less than 0.01% from reimbursements for losses realized on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

420

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
International Equity Portfolio Class 1
03/31/10	$	4.97	$	0.10	$	2.46		$	2.56		$	(0.13	)	$	—		$	—	$	(0.13	)	$	7.40		51.49	%	$	5,745		1.18	%(1)		1.52	%(1)		110	%
03/31/11		7.40		0.11		0.70			0.81			(0.12	)		—			—		(0.12	)		8.09		11.10			4,734		1.11	(1)		1.43	(1)		81
03/31/12		8.09		0.16		(0.70	)		(0.54	)		(0.11	)		—			—		(0.11	)		7.44		(6.54	)		12,881		1.12	(1)		2.39	(1)		59
03/31/13		7.44		0.08		0.56			0.64			(0.11	)		—			—		(0.11	)		7.97		8.76			105,553		1.10	(1)		1.21	(1)		50
03/31/14		7.97		0.15		0.99			1.14			(0.10	)		—			—		(0.10	)		9.01		14.32			268,032		1.03	(1)		1.84	(1)		52
09/30/14@		9.01		0.10		(0.27	)		(0.17	)		—			—			—		—			8.84		(1.89	)		342,864		0.99	(1)#		2.23	(1)#		22
International Equity Portfolio Class 2
03/31/10		4.97		0.09		2.44			2.53			(0.11	)		—			—		(0.11	)		7.39		51.03			53,810		1.33	(1)		1.33	(1)		110
03/31/11		7.39		0.09		0.72			0.81			(0.11	)		—			—		(0.11	)		8.09		11.06			47,180		1.26	(1)		1.26	(1)		81
03/31/12		8.09		0.15		(0.69	)		(0.54	)		(0.10	)		—			—		(0.10	)		7.45		(6.62	)		35,187		1.28	(1)		1.94	(1)		59
03/31/13		7.45		0.10		0.53			0.63			(0.10	)		—			—		(0.10	)		7.98		8.55			30,852		1.26	(1)		1.38	(1)		50
03/31/14		7.98		0.14		0.98			1.12			(0.09	)		—			—		(0.09	)		9.01		14.00			30,386		1.18	(1)		1.65	(1)		52
09/30/14@		9.01		0.09		(0.26	)		(0.17	)		—			—			—		—			8.84		(1.89	)		28,454		1.14	(1)#		2.04	(1)#		22
International Equity Portfolio Class 3
03/31/10		4.96		0.08		2.45			2.53			(0.11	)		—			—		(0.11	)		7.38		50.99			245,374		1.42	(1)		1.22	(1)		110
03/31/11		7.38		0.08		0.73			0.81			(0.11	)		—			—		(0.11	)		8.08		11.02			284,279		1.36	(1)		1.12	(1)		81
03/31/12		8.08		0.13		(0.69	)		(0.56	)		(0.09	)		—			—		(0.09	)		7.43		(6.79	)		268,933		1.38	(1)		1.82	(1)		59
03/31/13		7.43		0.09		0.53			0.62			(0.10	)		—			—		(0.10	)		7.95		8.40			300,965		1.36	(1)		1.22	(1)		50
03/31/14		7.95		0.14		0.97			1.11			(0.08	)		—			—		(0.08	)		8.98		13.95			266,042		1.29	(1)		1.56	(1)		52
09/30/14@		8.98		0.09		(0.26	)		(0.17	)		—			—			—		—			8.81		(1.89	)		245,098		1.24	(1)#		2.00	(1)#		22
Diversified Fixed Income Portfolio Class 1
03/31/10		10.58		0.39		0.56			0.95			(0.40	)		—			—		(0.40	)		11.13		9.02			6,209		0.79			3.53			121
03/31/11		11.13		0.37		0.33			0.70			(0.33	)		—			—		(0.33	)		11.50		6.29			5,637		0.78			3.20			129
03/31/12		11.50		0.30		0.58			0.88			(0.32)			(0.13	)		—		(0.45	)		11.93		7.65			20,427		0.75			2.80			104
03/31/13		11.93		0.22		0.29			0.51			(0.26	)		(0.18	)		—		(0.44	)		12.00		4.32			152,429		0.73			1.94			87
03/31/14		12.00		0.20		(0.31	)		(0.11	)		(0.20	)		(0.11	)		—		(0.31	)		11.58		(0.87	)		402,275		0.70			1.77			88
09/30/14@		11.58		0.12		0.07			0.19			—			—			—		—			11.77		1.64			522,443		0.69	#		2.00	#		28
Diversified Fixed Income Portfolio Class 2
03/31/10		10.56		0.37		0.56			0.93			(0.38	)		—			—		(0.38	)		11.11		8.88			78,449		0.94			3.38			121
03/31/11		11.11		0.36		0.32			0.68			(0.31	)		—			—		(0.31	)		11.48		6.13			66,320		0.93			3.05			129
03/31/12		11.48		0.32		0.53			0.85			(0.30	)		(0.13	)		—		(0.43	)		11.90		7.42			59,131		0.91			2.69			104
03/31/13		11.90		0.22		0.27			0.49			(0.24	)		(0.18	)		—		(0.42	)		11.97		4.15			52,467		0.88			1.83			87
03/31/14		11.97		0.19		(0.31	)		(0.12	)		(0.18	)		(0.11	)		—		(0.29	)		11.56		(0.98	)		41,776		0.85			1.66			88
09/30/14@		11.56		0.11		0.08			0.19			—			—			—		—			11.75		1.64			39,894		0.84	#		1.87	#		28
Diversified Fixed Income Portfolio Class 3
03/31/10		10.53		0.35		0.57			0.92			(0.37	)		—			—		(0.37	)		11.08		8.80			278,496		1.04			3.26			121
03/31/11		11.08		0.34		0.33			0.67			(0.31	)		—			—		(0.31	)		11.44		6.05			352,266		1.03			2.95			129
03/31/12		11.44		0.30		0.54			0.84			(0.29	)		(0.13	)		—		(0.42	)		11.86		7.35			486,707		1.01			2.57			104
03/31/13		11.86		0.21		0.27			0.48			(0.24	)		(0.18	)		—		(0.42	)		11.92		4.04			499,708		0.99			1.73			87
03/31/14		11.92		0.18		(0.31	)		(0.13	)		(0.17	)		(0.11	)		—		(0.28	)		11.51		(1.07	)		465,097		0.95			1.55			88
09/30/14@		11.51		0.10		0.07			0.17			—			—			—		—			11.68		1.48			453,439		0.94	#		1.76	#		28

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
International Equity Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.01	%		0.01	%		0.01	%
International Equity Portfolio Class 2		0.00			0.00			0.00			0.01			0.01			0.01
International Equity Portfolio Class 3		0.00			0.00			0.00			0.01			0.01			0.01

See Notes to Financial Statements

421

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends declared from net invest- ment income			Dividends from net realized gain on investments		Distributions from net return of capital			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
Real Return Portfolio Class 1
01/23/12@- 03/31/12	$	10.16	$	0.02		$	0.07		$	0.09		$	—		$	—	$	—		$	—		$	10.25		0.89	%	$	7,698		0.69	%(3)		0.38	%(3)		38	%
03/31/13		10.25		(0.02	)		0.36			0.34			(0.28	)		—		—			(0.28	)		10.31		3.28			71,823		0.68			(0.25	)		89
03/31/14		10.31		(0.01	)		(0.46	)		(0.47	)		(0.10	)		—		—			(0.10	)		9.74		(4.60	)		169,055		0.64			(0.08	)		39
09/30/14#		9.74		0.07			0.05			0.12			—			—		—			—			9.86		1.23			156,252		0.65	(3)		1.51	(3)		36
Real Return Portfolio Class 3
03/31/10		8.04		0.44			1.46			1.90			(0.53	)		—		—			(0.53	)		9.41		23.78			149,501		1.22	(1)		4.83	(1)		204
03/31/11		9.41		0.13			0.26			0.39			(0.11	)		—		—			(0.11	)		9.69		4.13			246,938		0.97			1.41			44
03/31/12		9.69		0.16			0.40			0.56			—			—		—			—			10.25		5.78			371,531		0.93			1.66			38
03/31/13		10.25		(0.00	)		0.30			0.30			(0.27	)		—		—			(0.27	)		10.28		2.95			427,741		0.93			(0.02	)		89
03/31/14		10.28		(0.01	)		(0.49	)		(0.50	)		(0.07	)		—		—			(0.07	)		9.71		(4.82	)		466,940		0.90			(0.09	)		39
09/30/14#		9.71		0.07			0.04			0.11			—			—		—			—			9.82		1.13			469,784		0.90	(3)		1.38	(3)		36
Cash Management Portfolio Class 1
03/31/10		11.02		(0.02	)		0.01			(0.01	)		(0.22	)		—		(0.00	)		(0.22	)		10.79		(0.13	)		2,688		0.54			(0.21	)		—
03/31/11		10.79		(0.03	)		0.01			(0.02	)		—			—		—			—			10.77		(0.19	)		1,806		0.58			(0.27	)		—
03/31/12		10.77		(0.04	)		(0.00	)		(0.04	)		—			—		—			—			10.73		(0.37	)		2,003		0.60			(0.35	)		—
03/31/13		10.73		(0.04	)		0.00			(0.04	)		—			—		—			—			10.69		(0.37	)		1,061		0.60	(2)		(0.35	)(2)		—
03/31/14		10.69		(0.03	)		0.00			(0.03	)		—			—		—			—			10.66		(0.28	)		1,392		0.45	(2)		(0.28	)(2)		—
09/30/14#		10.66		(0.02	)		0.01			(0.01	)		—			—		—			—			10.65		(0.09	)		1,241		0.45	(2)(3)		(0.28	)(2)(3)		—
Cash Management Portfolio Class 2
03/31/10		11.00		(0.04	)		0.01			(0.03	)		(0.20	)		—		(0.00	)		(0.20	)		10.77		(0.28	)		43,710		0.69			(0.36	)		—
03/31/11		10.77		(0.05	)		0.01			(0.04	)		—			—		—			—			10.73		(0.37	)		28,333		0.73			(0.42	)		—
03/31/12		10.73		(0.05	)		(0.01	)		(0.06	)		—			—		—			—			10.67		(0.56	)		21,182		0.75			(0.50	)		—
03/31/13		10.67		(0.05	)		0.00			(0.05	)		—			—		—			—			10.62		(0.47	)		13,508		0.75	(2)		(0.50	)(2)		—
03/31/14		10.62		(0.04	)		0.00			(0.04	)		—			—		—			—			10.58		(0.38	)		12,203		0.60	(2)		(0.43	)(2)		—
09/30/14#		10.58		(0.02	)		(0.01	)		(0.03	)		—			—		—			—			10.55		(0.28	)		10,218		0.60	(2)(3)		(0.43	)(2)(3)		—
Cash Management Portfolio Class 3
03/31/10		10.99		(0.05	)		0.01			(0.04	)		(0.19	)		—		(0.00	)		(0.19	)		10.76		(0.38	)		60,538		0.79			(0.47	)		—
03/31/11		10.76		(0.06	)		0.00			(0.06	)		—			—		—			—			10.70		(0.56	)		45,377		0.83			(0.52	)		—
03/31/12		10.70		(0.06	)		(0.00	)		(0.06	)		—			—		—			—			10.64		(0.56	)		44,110		0.85			(0.60	)		—
03/31/13		10.64		(0.06	)		0.00			(0.06	)		—			—		—			—			10.58		(0.56	)		34,438		0.84	(2)		(0.59	)(2)		—
03/31/14		10.58		(0.06	)		0.00			(0.06	)		—			—		—			—			10.52		(0.57	)		22,358		0.70	(2)		(0.53	)(2)		—
09/30/14#		10.52		(0.03	)		0.00			(0.03	)		—			—		—			—			10.49		(0.29	)		19,815		0.70	(2)(3)		(0.53	)(2)(3)		—

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Unaudited

  @  Commencement of operations.

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10
Real Return Portfolio Class 3		0.00	%

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/13			03/31/14			09/30/14#(3)
Cash Management Portfolio Class 1		0.03	%		0.22	%		0.27	%
Cash Management Portfolio Class 2		0.03			0.23			0.27
Cash Management Portfolio Class 3		0.04			0.22			0.27

  (3)  Annualized

See Notes to Financial Statements

422

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(2)			Ratio of net investment income to average net assets(2)			Portfolio turnover
Focus Growth Portfolio Class 1
03/31/10	$	5.46	$	(0.02	)	$	2.80		$	2.78		$	—		$	—		$	—	$	—		$	8.24		50.92	%	$	2,156		1.18	%		(0.31	)%		104	%
03/31/11		8.24		(0.01	)		2.39	(1)		2.38			—			—			—		—			10.62		28.88			3,028		1.14			(0.06	)		210
03/31/12		10.62		(0.02	)		(0.15	)		(0.17	)		(0.01	)		(0.44	)		—		(0.45	)		10.00		(1.06	)		6,514		1.12			(0.19	)		143
03/31/13		10.00		0.01			0.31			0.32			—			(0.05	)		—		(0.05	)		10.27		3.19			44,125		1.11			0.13			157
03/31/14		10.27		(0.03	)		2.53			2.50			—			(0.90	)		—		(0.90	)		11.87		24.53			69,895		1.08			(0.31	)		88
09/30/14@		11.87		(0.02	)		0.84			0.82			—			—			—		—			12.69		6.91			87,881		1.07	#		(0.34	)#		34
Focus Growth Portfolio Class 2
03/31/10		5.38		(0.03	)		2.77			2.74			—			—			—		—			8.12		50.93			31,689		1.33			(0.47	)		104
03/31/11		8.12		(0.01	)		2.33	(1)		2.32			—			—			—		—			10.44		28.57			63,685		1.28			(0.12	)		210
03/31/12		10.44		(0.03	)		(0.15	)		(0.18	)		(0.01	)		(0.44	)		—		(0.45	)		9.81		(1.21	)		47,737		1.26			(0.32	)		143
03/31/13		9.81		(0.00	)		0.30			0.30			—			(0.05	)		—		(0.05	)		10.06		3.05			37,000		1.27			(0.05	)		157
03/31/14		10.06		(0.05	)		2.49			2.44			—			(0.90	)		—		(0.90	)		11.60		24.44			37,394		1.23			(0.46	)		88
09/30/14@		11.60		(0.03	)		0.82			0.79			—			—			—		—			12.39		6.81			35,165		1.22	#		(0.51	)#		34
Focus Growth Portfolio Class 3
03/31/10		5.34		(0.04	)		2.75			2.71			—			—			—		—			8.05		50.75			41,988		1.43			(0.58	)		104
03/31/11		8.05		(0.02	)		2.32	(1)		2.30			—			—			—		—			10.35		28.57			101,121		1.38			(0.22	)		210
03/31/12		10.35		(0.04	)		(0.15	)		(0.19	)		(0.01	)		(0.44	)		—		(0.45	)		9.71		(1.34	)		98,806		1.37			(0.41	)		143
03/31/13		9.71		(0.01	)		0.30			0.29			—			(0.05	)		—		(0.05	)		9.95		2.98			82,957		1.37			(0.14	)		157
03/31/14		9.95		(0.06	)		2.45			2.39			—			(0.90	)		—		(0.90	)		11.44		24.20			56,736		1.33			(0.56	)		88
09/30/14@		11.44		(0.04	)		0.82			0.78			—			—			—		—			12.22		6.82			54,278		1.32	#		(0.61	)#		34

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Annualized

  @  Unaudited

  (1)  Includes the effect of a merger.

  (2)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#@
Focus Growth Portfolio Class 1		0.01	%		0.01	%		0.01	%		0.01	%		0.00	%		0.00	%
Focus Growth Portfolio Class 2		0.01			0.01			0.01			0.01			0.00			0.00
Focus Growth Portfolio Class 3		0.01			0.01			0.01			0.01			0.00			0.00

See Notes to Financial Statements

423

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends declared from net invest- ment income			Dividends from net realized gain on investments		Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(2)			Ratio of net investment income to average net assets(2)			Portfolio turnover
Focus Value Portfolio Class 1
01/23/12@- 03/31/12	$	11.55	$	0.02	$	0.49		$	0.51		$	—		$	—	$	—	$	—		$	12.06		4.42	%	$	7,738		1.19	%(1)		0.26	%(1)		50	%
03/31/13		12.06		0.16		1.29			1.45			(0.05	)		—		—		(0.05	)		13.46		12.05			54,263		1.15			1.40			56
03/31/14		13.46		0.16		2.94			3.10			(0.11	)		—		—		(0.11	)		16.45		23.06			177,811		1.05	(3)		1.05	(3)		73
09/30/14#		16.45		0.08		0.69			0.77			—			—		—		—			17.22		4.68			237,195		1.01	(1)(3)		0.94	(1)(3)		15
Focus Value Portfolio Class 2
03/31/10		7.81		0.21		3.90			4.11			(0.22	)		—		—		(0.22	)		11.70		52.88			34,754		1.30			1.91			53
03/31/11		11.70		0.15		1.59			1.74			(0.23	)		—		—		(0.23	)		13.21		15.03			30,439		1.31			1.20			47
03/31/12		13.21		0.06		(1.07	)		(1.01	)		(0.15	)		—		—		(0.15	)		12.05		(7.49	)		21,636		1.33			0.50			50
03/31/13		12.05		0.15		1.28			1.43			(0.04	)		—		—		(0.04	)		13.44		11.94			18,632		1.29			1.24			56
03/31/14		13.44		0.14		2.92			3.06			(0.08	)		—		—		(0.08	)		16.42		22.83			18,979		1.21	(3)		0.90	(3)		73
09/30/14#		16.42		0.07		0.69			0.76			—			—		—		—			17.18		4.63			18,041		1.16	(1)(3)		0.80	(1)(3)		15
Focus Value Portfolio Class 3
03/31/10		7.80		0.20		3.89			4.09			(0.21	)		—		—		(0.21	)		11.68		52.64			54,244		1.40			1.81			53
03/31/11		11.68		0.14		1.59			1.73			(0.23	)		—		—		(0.23	)		13.18		14.91			59,715		1.41			1.13			47
03/31/12		13.18		0.05		(1.06	)		(1.01	)		(0.15	)		—		—		(0.15	)		12.02		(7.55	)		55,360		1.43			0.39			50
03/31/13		12.02		0.14		1.27			1.41			(0.03	)		—		—		(0.03	)		13.40		11.80			51,862		1.40			1.15			56
03/31/14		13.40		0.12		2.92			3.04			(0.06	)		—		—		(0.06	)		16.38		22.70			40,025		1.31	(3)		0.80	(3)		73
09/30/14#		16.38		0.06		0.69			0.75			—			—		—		—			17.13		4.58			37,243		1.26	(1)(3)		0.70	(1)(3)		15

  @  Commencement of operations.

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and reductions.

  #  Unaudited

  (1)  Annualized

  (2)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/10			03/31/11		03/31/12			03/31/13			03/31/14			09/30/14#(1)
Focus Value Portfolio Class 1		—	%		—%		0.00	%		0.01	%		0.01	%		0.00	%
Focus Value Portfolio Class 2		0.01			0.01		0.01			0.01			0.01			0.00
Focus Value Portfolio Class 3		0.01			0.01		0.01			0.01			0.01			0.00

  (3)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/10			03/31/11			03/31/12			03/31/13			03/31/14			09/30/14#(1)
Focus Value Portfolio Class 1		—	%		—	%		—	%		—	%		0.03	%		0.05	%
Focus Value Portfolio Class 2		—			—			—			—			0.02			0.05
Focus Value Portfolio Class 3		—			—			—			—			0.02			0.05

See Notes to Financial Statements

424

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends declared from net invest- ment income			Dividends from net realized gain on investments			Distributions from net return of capital		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Allocation Growth Portfolio Class 3
03/31/10	$	5.98	$	0.08		$	3.09		$	3.17		$	(0.29	)	$	—		$	—	$	(0.29	)	$	8.86		53.32	%	$	135,514		0.17	%		1.03	%		6	%
03/31/11		8.86		0.07			1.25			1.32			(0.10	)		—			—		(0.10	)		10.08		14.94			137,529		0.17			0.77			23
03/31/12		10.08		0.07			(0.19	)		(0.12	)		(0.08	)		—			—		(0.08	)		9.88		(1.13	)		122,826		0.17			0.73			23
03/31/13		9.88		0.06			0.96			1.02			(0.08	)		—			—		(0.08	)		10.82		10.45			119,359		0.18			0.65			7
03/31/14		10.82		0.06			1.73			1.79			(0.09	)		—			—		(0.09	)		12.52		16.57			119,271		0.16			0.50			12
09/30/14@		12.52		(0.01	)		0.22			0.21			—			—			—		—			12.73		1.68			115,312		0.17	#		(0.17	)#		3
Allocation Moderate Growth Portfolio Class 3
03/31/10		7.04		0.16			2.92			3.08			(0.28	)		(0.01	)		—		(0.29	)		9.83		44.03			572,697		0.14			1.75			12
03/31/11		9.83		0.11			1.15			1.26			(0.15	)		—			—		(0.15	)		10.94		12.93			667,862		0.14			1.13			17
03/31/12		10.94		0.11			(0.02	)		0.09			(0.11	)		—			—		(0.11	)		10.92		0.88			692,049		0.13			1.03			22
03/31/13		10.92		0.11			0.89			1.00			(0.12	)		—			—		(0.12	)		11.80		9.26			695,486		0.13			0.97			5
03/31/14		11.80		0.09			1.37			1.46			(0.17	)		—			—		(0.17	)		13.09		12.39			652,267		0.13			0.69			9
09/30/14@		13.09		(0.01	)		0.23			0.22			—			—			—		—			13.31		1.68			616,018		0.14	#		(0.14	)#		1
Allocation Moderate Portfolio Class 3
03/31/10		7.26		0.19			2.68			2.87			(0.32	)		(0.02	)		—		(0.34	)		9.79		39.77			263,528		0.15			2.10			17
03/31/11		9.79		0.13			1.02			1.15			(0.18	)		—			—		(0.18	)		10.76		11.81			328,627		0.15			1.27			13
03/31/12		10.76		0.11			0.11			0.22			(0.11	)		—			—		(0.11	)		10.87		2.09			387,252		0.14			1.09			19
03/31/13		10.87		0.12			0.80			0.92			(0.12	)		—			—		(0.12	)		11.67		8.54			397,818		0.14			1.10			7
03/31/14		11.67		0.09			1.12			1.21			(0.18	)		—			—		(0.18	)		12.70		10.41			392,796		0.13			0.78			13
09/30/14@		12.70		(0.01	)		0.25			0.24			—			—			—		—			12.94		1.89			375,867		0.14	#		(0.14	)#		1
Allocation Balanced Portfolio Class 3
03/31/10		7.89		0.24			2.34			2.58			(0.32	)		(0.09	)		—		(0.41	)		10.06		32.92			180,472		0.16			2.60			13
03/31/11		10.06		0.15			0.89			1.04			(0.20	)		—			—		(0.20	)		10.90		10.37			243,028		0.16			1.49			10
03/31/12		10.90		0.12			0.32			0.44			(0.12	)		—			—		(0.12	)		11.22		4.15			302,034		0.15			1.16			13
03/31/13		11.22		0.14			0.74			0.88			(0.12	)		—			—		(0.12	)		11.98		7.91			330,689		0.14			1.27			10
03/31/14		11.98		0.10			0.90			1.00			(0.22	)		(0.08	)		—		(0.30	)		12.68		8.37			314,279		0.13			0.83			14
09/30/14@		12.68		(0.01	)		0.27			0.26			—			—			—		—			12.94		2.05			304,404		0.14	#		(0.14	)#		2

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and reductions.

  #  Annualized

  @  Unaudited

  (1)  Does not include underlying fund expenses that the Portfolios bear indirectly.

See Notes to Financial Statements

425

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Supplement to the Statutory Prospectus Dated July 29, 2014

International Equity Portfolio
Mid Cap Value Portfolio
Multi-Managed Growth Portfolio
Multi-Managed Income Portfolio
Multi-Managed Income/Equity Portfolio
Multi-Managed Moderate Growth Portfolio
(each a "Portfolio," and collectively, the "Portfolios")

At a meeting held on October 8, 2014, the Board of Trustees (the "Board") of Seasons Series Trust (the "Trust"), including a majority of the trustees who are not interested persons of the Trust (the "Independent Trustees"), as defined in the Investment Company Act of 1940, as amended, approved (1) an amendment to the Subadvisory Agreement (as amended, the "Subadvisory Agreement") between SunAmerica Asset Management, LLC ("SAAMCo") and T. Rowe Price Associates, Inc. ("T. Rowe Price") with respect to the International Equity Portfolio; (2) a new Subadvisory Agreement between SAAMCo and Massachusetts Financial Services Company ("MFS") with respect to the Mid Cap Value Portfolio; (3) the termination of the Subadvisory Agreement between SAAMCo and Lord, Abbett & Co. LLC ("Lord Abbett") and the termination of the Subadvisory Agreement between SAAMCo and PineBridge Investments, LLC ("PineBridge") with respect to the International Equity Portfolio and each of the Multi-Managed Growth Portfolio, Multi-Managed Income Portfolio, Multi-Managed Income/Equity Portfolio and Multi-Managed Moderate Growth Portfolio (collectively, the "Multi-Managed Portfolios").

The following changes will become effective on or about October 17, 2014:

International Equity Portfolio

In the Portfolio Summary, in the Principal Investment Strategies of the Portfolio, the third paragraph is deleted in its entirety and replaced with the following:

The Portfolio is actively-managed by two subadvisers. To balance the risks of the Portfolio, a third portion of the Portfolio is passively-managed by the adviser who seeks to track an index or a subset of an index.

In the Portfolio Summary, under Investment Adviser, the first paragraph and table are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SunAmerica Asset Management, LLC ("SAAMCo"). The Portfolio is subadvised by Janus Capital Management, LLC ("Janus") and T. Rowe Price Associates, Inc. ("T. Rowe Price").

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
SAAMCo
Timothy Campion		2014	Lead Portfolio Manager
Kara Murphy		2014	Co-Portfolio Manager
Andrew Sheridan		2014	Co-Portfolio Manager
Janus
Julian McManus		2010	Co-Portfolio Manager
Guy Scott, CFA		2010	Co-Portfolio Manager
Carmel Wellso		2010	Co-Portfolio Manager

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Name	Portfolio Manager of the Portfolio Since		Title
T. Rowe Price
Raymond A. Mills, Ph.D		2014	Chairman of Investment Advisory Committee

In the section Additional Information About the Portfolios' Investment Strategies and Risks, the paragraph with respect to the International Equity Portfolio is deleted in its entirety and replaced with the following:

International Equity Portfolio. The Portfolio may also invest in investment grade fixed income securities, U.S. Government securities, asset-backed and mortgage-backed securities, REITs, currency baskets, custodial receipts and trust certificates, options and futures, options on foreign currencies, options on securities and securities indices, hybrid instruments (up to 10%), interest rate caps, floors and collars, special situations, convertible securities, closed-end investment companies, ETFs, and unseasoned issuers. The Portfolio may also invest in junk bonds (up to 20%), short-term investments (up to 20%), depositary receipts and passive foreign investment companies (PFICs), participatory notes (p-notes), and illiquid securities (up to 15%). Additional risks that the Portfolio may be subject to are as follows:

•  Convertible securities risk

•  Credit risk

•  Depositary receipts risk

•  Derivatives risk

•  Interest rate fluctuations risk

•  Investment company risk

•  Mortgage- and asset-backed securities risk

•  Real estate industry risks

•  Risk of investing in bonds

•  Risk of investing in junk bonds

•  Risk of investing in money market securities

•  Unseasoned companies risk

•  U.S. Government obligations risk

•  Illiquidity risk

•  Investment style risk

•  Participatory notes risk

In the Glossary, the section Investment Terminology is supplemented by adding the following:

Participatory Notes (P-notes). P-notes are participation interest notes that are issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying equity, debt, currency or market. If the P-note were held to maturity, the issuer would pay to, or receive from, the purchaser the difference between the nominal value of the underlying instrument at the time of purchase and that instrument's value at maturity. The holder of a P-note that is linked to a particular underlying security or instrument may be entitled to receive any dividends paid in connection with that underlying security or instrument, but typically does not receive voting rights as it would if it directly owned the underlying security or instrument.

In the Glossary, the section Risk Terminology is supplemented by adding the following:

Participatory Notes Risk. Participatory notes are issued by banks or broker-dealers and are designed to replicate the performance of certain securities or markets. Participatory notes are a type of equity-linked derivative which generally are traded over-the-counter. The performance results of participatory notes will not replicate exactly the performance of the securities or markets that the notes seek to replicate due to transaction costs and other expenses. Investments in participatory notes involve the same risks associated with a direct investment in the shares of the

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companies the notes seek to replicate. Participatory notes constitute general unsecured contractual obligations of the banks or broker-dealers that issue them, and a fund is relying on the creditworthiness of such banks or broker-dealers and has no rights under a participatory note against the issuers of the securities underlying such participatory notes.

Investment Style Risk. Different investment styles tend to shift in and out of favor, depending on market conditions and investor sentiment. Because a Portfolio may hold stocks with both growth and value characteristics, it could underperform other stock Portfolios that take a strictly growth or value approach to investing when one style is currently in favor. Growth stocks tend to be more volatile than the overall stock market and can have sharp price declines as a result of earnings disappointments. Value stocks carry the risk that the market will not recognize their intrinsic value or that they are actually appropriately priced at a low level.

Under Management, the section Information about the Investment Adviser and Manager is supplemented as follows:

The passively-managed index portion of the International Equity Portfolio is managed by a team consisting of Timothy Campion, Kara Murphy and Andrew Sheridan, with Mr. Campion serving as team leader. Mr. Campion is a Vice President, Portfolio Manager and Quantitative Analyst at SAAMCo. He is responsible for the management and trading of a wide variety of domestic equity index funds. Mr. Campion joined SAAMCo in 2012. Prior to joining SAAMCo, he was Vice President and Portfolio Manager at PineBridge Investments, LLC since 1999. Ms. Murphy is the Chief Investment Officer of SAAMCo. Previously, Ms. Murphy was the Director of Research and a senior research analyst covering the financial sector. Before joining SAAMCo, Ms. Murphy held research positions at Chilton Investment Company and Morgan Stanley Investment Management. Her investment experience dates from 2000. Mr. Sheridan, Vice President, Portfolio Manager and Senior Research Analyst, joined SAAMCo in 2003. In addition to his portfolio management responsibilities, Mr. Sheridan is a member of the SAAMCo research team, covering the technology industry.

In addition, under Management, in the section Information about the Subadvisers, the information with respect to PineBridge and Lord Abbett is deleted in its entirety with respect to the International Equity Portfolio and the information with respect to T. Rowe Price is supplemented as follows:

A portion of the International Equity Portfolio is managed by Raymond A. Mills, Ph.D. Mr. Mills serves as Portfolio Manager and Investment Advisory Committee Chairman and Vice President. He jointed T. Rowe Price in 1997 as an analyst and became portfolio manager of the International Core Equity Strategy in 2000.

The following changes will become effective on or about October 24, 2014:

Mid Cap Value Portfolio

In the Portfolio Summary, under Investment Adviser, the first paragraph and the table are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SAAMCo. The Portfolio is subadvised by Goldman Sachs Asset Management, LP ("GSAM") and Massachusetts Financial Services Company ("MFS"). SAAMCo passively manages a portion of the portfolio.

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
SAAMCo
Timothy Campion		2012	Lead Portfolio Manager
Kara Murphy		2013	Co-Portfolio Manager
Andrew Sheridan		2013	Co-Portfolio Manager

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Name	Portfolio Manager of the Portfolio Since		Title
GSAM
Andrew Braun		2002	Managing Director, Portfolio Manager and Co-Chief Investment Officer-Value Equity
Sean Gallagher		2002	Managing Director, Portfolio Manager and Co-Chief Investment Officer-Value Equity
Dolores Bamford, CFA		2002	Managing Director and Portfolio Manager
MFS
Kevin J. Schmitz		2014	Investment Officer
Brooks A. Taylor		2014	Investment Officer

Multi-Managed Growth Portfolio

In the Portfolio Summary, the Principal Investment Strategies of the Portfolio will be deleted in its entirety and replaced with the following:

The Portfolio attempts to achieve its investment goal by allocating its assets among three distinct, actively-managed investment components (the "Managed Components"), each with a different investment strategy. The Managed Components include a small-cap growth component, a fixed income component and a growth component.

The Managed Components each invest to varying degrees, according to its investment strategy, in a diverse portfolio of securities including, but not limited to, common stocks, securities with equity characteristics (such as preferred stocks, warrants or fixed income securities convertible into common stock), corporate and U.S. Government fixed income securities, money market instruments and/or cash or cash equivalents.

The allocation of the Portfolio's assets among the three components is as follows:

• Small-Cap Growth Component	20	%
• Fixed Income Component	26	%
• Growth Component	54	%

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the target allocations referenced above. Accordingly, the Portfolio's assets will be reallocated or "rebalanced" among the Managed Components on at least a quarterly basis to restore the target allocations for the Portfolio.

The Small-Cap Growth Component invests principally in equity securities, including those of lesser known or high growth companies or industries, such as technology, telecommunications, media, healthcare, energy and consumer cyclicals. Although the component's investments will primarily be in small-capitalization companies, the component may invest substantially in mid-capitalization companies and to a smaller degree, large-capitalization companies.

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As noted above, approximately 26% of the Portfolio's assets will be allocated to the Fixed Income Component, which, under normal circumstances, invests primarily in investment grade fixed income securities (U.S. or foreign). The component may also invest substantially in short-term investments, foreign securities (including securities denominated in foreign currencies), asset-backed and mortgage-backed securities and when-issued and delayed-delivery securities.

The Growth Component invests principally in equity securities selected for their growth potential. Although the component's investments in equity securities may be primarily in large-capitalization companies, it may invest substantially in small- and mid-capitalization companies.

In the Portfolio Summary, under Investment Adviser, the first paragraph and the table are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SunAmerica Asset Management, LLC. The Portfolio is subadvised by J.P.Morgan Investment Management, Inc. ("JPMorgan"), Janus Capital Management, LLC ("Janus"), and Wellington Management Company, LLP ("Wellington Management"). The managers are noted below.

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
Small-Cap Growth Component — JPMorgan
Dennis S. Ruhl, CFA		2013	Managing Director and Portfolio Manager
Phillip D. Hart, CFA		2013	Managing Director and Portfolio Manager
Fixed Income Component — Wellington Management
Lucius T. Hill, III		1999	Senior Vice President and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Senior Vice President and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Vice President and Fixed Income Portfolio Manager
Growth Component — Janus
James P. Goff, CFA		2013	Portfolio Manager

Multi-Managed Income Portfolio

In the Portfolio Summary, the Principal Investment Strategies of the Portfolio will be deleted in its entirety and replaced with the following:

The Portfolio attempts to achieve its investment goal by allocating its assets among two distinct, actively-managed investment components (the "Managed Components"), each with a different investment strategy. The Managed Components include a fixed income component and a growth component.

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The Managed Components each invest to varying degrees, according to its investment strategy, in a diverse portfolio of securities including, but not limited to, common stocks, securities with equity characteristics (such as preferred stocks, warrants or fixed income securities convertible into common stock), corporate and U.S. Government fixed income securities, money market instruments and/or cash or cash equivalents.

The allocation of the Portfolio's assets among the components is as follows:

• Fixed Income Component	83.5	%
• Growth Component	16.5	%

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the target allocations referenced above. Accordingly, the Portfolio's assets will be reallocated or "rebalanced" among the Managed Components on at least a quarterly basis to restore the target allocations for the Portfolio.

As noted above, approximately 83.5% of the Portfolio's assets will be allocated to the Fixed Income Component, which, under normal circumstances, invests primarily in investment grade fixed income securities (U.S. or foreign). The component may also invest substantially in short-term investments, foreign securities (including securities denominated in foreign currencies), asset-backed and mortgage-backed securities and when-issued and delayed-delivery securities.

The Growth Component invests principally in equity securities selected for their growth potential. Although the component's investments in equity securities may be primarily in large-capitalization companies, it may invest substantially in small- and mid-capitalization companies.

In the Portfolio Summary, under Investment Adviser, the first paragraph and the table are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SunAmerica Asset Management, LLC. The Portfolio is subadvised by Janus Capital Management, LLC ("Janus") and Wellington Management Company, LLP ("Wellington Management"). The managers are noted below.

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
Fixed Income Component — Wellington Management
Lucius T. Hill, III		1999	Senior Vice President and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Vice President and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Vice President and Fixed Income Portfolio Manager
Growth Component — Janus
James P. Goff, CFA		2013	Portfolio Manager

431

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2014

Multi-Managed Income/Equity Portfolio

In the Portfolio Summary, the Principal Investment Strategies of the Portfolio will be deleted in its entirety and replaced with the following:

The Portfolio attempts to achieve its investment goal by allocating its assets among two distinct, actively-managed investment components (the "Managed Components"), each with a different investment strategy. The Managed Components include a fixed income component and a growth component.

The Managed Components each invest to varying degrees, according to its investment strategy, in a diverse portfolio of securities including, but not limited to, common stocks, securities with equity characteristics (such as preferred stocks, warrants or fixed income securities convertible into common stock), corporate and U.S. Government fixed income securities, money market instruments and/or cash or cash equivalents.

The allocation of the Portfolio's assets among the components is as follows:

• Fixed Income Component	68	%
• Growth Component	32	%

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the target allocations referenced above. Accordingly, the Portfolio's assets will be reallocated or "rebalanced" among the Managed Components on at least a quarterly basis to restore the target allocations for the Portfolio.

As noted above, approximately 68% of the Portfolio's assets will be allocated to the Fixed Income Component, which, under normal circumstances, invests primarily in investment grade fixed income securities (U.S. or foreign). The component may also invest substantially in short-term investments, foreign securities (including securities denominated in foreign currencies), asset-backed and mortgage-backed securities and when-issued and delayed-delivery securities.

The Growth Component invests principally in equity securities selected for their growth potential. Although the component's investments in equity securities may be primarily in large-capitalization companies, it may invest substantially in small- and mid-capitalization companies.

In the Portfolio Summary, under Investment Adviser, the first paragraph and the table are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SunAmerica Asset Management, LLC. The Portfolio is subadvised by Janus Capital Management, LLC ("Janus") and Wellington Management Company, LLP ("Wellington Management"). The managers are noted below.

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
Fixed Income Component — Wellington Management
Lucius T. Hill, III		1999	Senior Vice President and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Vice President and Fixed Income Portfolio Manager

432

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2014

Name	Portfolio Manager of the Portfolio Since		Title
Joseph F. Marvan, CFA		2010	Senior Vice President and Fixed Income Portfolio Manager
Growth Component — Janus
James P. Goff, CFA		2013	Portfolio Manager

Multi-Managed Moderate Growth

In the Portfolio Summary, the Principal Investment Strategies of the Portfolio will be deleted in its entirety and replaced with the following:

The Portfolio attempts to achieve its investment goal by allocating its assets among three distinct, actively-managed investment components (the "Managed Components"), each with a different investment strategy. The Managed Components include a small-cap growth component, a fixed income component and a growth component.

The Managed Components each invest to varying degrees, according to its investment strategy, in a diverse portfolio of securities including, but not limited to, common stocks, securities with equity characteristics (such as preferred stocks, warrants or fixed income securities convertible into common stock), corporate and U.S. Government fixed income securities, money market instruments and/or cash or cash equivalents.

The allocation of the Portfolio's assets among the components is as follows:

• Small-Cap Growth Component	18	%
• Fixed Income Component	41.4	%
• Growth Component	40.6	%

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the target allocations referenced above. Accordingly, the Portfolio's assets will be reallocated or "rebalanced" among the Managed Components on at least a quarterly basis to restore the target allocations for the Portfolio.

The Small-Cap Growth Component invests principally in equity securities, including those of lesser known or high growth companies or industries, such as technology, telecommunications, media, healthcare, energy and consumer cyclicals. Although the component's investments will primarily be in small-capitalization companies, the component may invest substantially in mid-capitalization companies and to a smaller degree, large-capitalization companies.

As noted above, approximately 41.4% of the Portfolio's assets will be allocated to the Fixed Income Component, which, under normal circumstances, invests primarily in investment grade fixed income securities (U.S. or foreign). The component may also invest substantially in short-term investments, foreign securities (including securities denominated in foreign currencies), asset-backed and mortgage-backed securities and when-issued and delayed-delivery securities.

The Growth Component invests principally in equity securities selected for their growth potential. Although the component's investments in equity securities may be primarily in large-capitalization companies, it may invest substantially in small- and mid-capitalization companies.

433

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2014

In the Portfolio Summary, under Investment Adviser, the first paragraph and the table are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SunAmerica Asset Management, LLC. The Portfolio is subadvised by J.P.Morgan Investment Management, Inc. ("JPMorgan"), Janus Capital Management, LLC ("Janus") and Wellington Management Company, LLP ("Wellington Management"). The managers are noted below.

Portfolio Managers

Name	Portfolio Manager of the Portfolio Since		Title
Small-Cap Growth Component — JPMorgan
Dennis S. Ruhl, CFA		2013	Managing Director and Portfolio Manager
Phillip D. Hart, CFA		2013	Managing Director and Portfolio Manager
Fixed Income Component — Wellington Management
Lucius T. Hill, III		1999	Senior Vice President and Fixed Income Portfolio Manager
Campe Goodman, CFA		2004	Vice President and Fixed Income Portfolio Manager
Joseph F. Marvan, CFA		2010	Senior Vice President and Fixed Income Portfolio Manager
Growth Component — Janus
James P. Goff, CFA		2013	Portfolio Manager

Under Additional Information about the Portfolios' Investment Strategies and Investment Risks, the information with respect to the Balanced Component under the heading Multi-Managed Growth Portfolio, Multi-Managed Income Portfolio, Multi-Managed Income/Equity Portfolio and Multi-Managed Moderate Growth Portfolio is hereby deleted in its entirety.

Under Management, in the section Information about the Subadvisers, all reference to Lord Abbett is deleted in its entirety, and all reference to PineBridge with respect to the Multi-Managed Portfolios is deleted in its entirety. In addition, the section is supplemented as follows:

Massachusetts Financial Services Company (MFS^®) is America's oldest mutual fund organization and, with its predecessor organizations, has a history of money management dating from 1924 and the founding of the first mutual fund in the United States. MFS is located at 111 Huntington Avenue, Boston, MA 02199. MFS is a subsidiary of Sun Life of Canada (U.S.) Financial Services Holdings, Inc., which in turn is an indirect majority-owned subsidiary of Sun Life Financial Inc., (a diversified financial services company). Net assets under the management of the MFS organization were approximately $399 billion as of January 31, 2014. MFS^® is a registered trademark of Massachusetts Financial Services Company.

434

SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 29, 2014

A portion of the Mid Cap Value Portfolio is managed by Kevin J. Schmitz and Brooks A. Taylor. Mr. Schmitz has been employed in the investment area of MFS since 2002. Mr. Taylor has been employed in the investment area of MFS since 1996.

Please retain this supplement for future reference.

Date: October 17, 2014
Versions: Combined Master

435

SEASONS SERIES TRUST

VOTING PROXIES ON TRUST PORTFOLIO SECURITIES

A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trust's Portfolios which is available in the Trust's Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES

Information regarding how Seasons Series Trust Portfolios voted proxies related to securities held in Seasons Series Trust Portfolios during the most recent twelve month period ended June 30 is available, once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.

DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS

The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for its first and third fiscal quarters on Form N-Q. The Trust's Forms N-Q are available on the U.S. Securities and Exchange Commission's website at www.sec.gov. You can also review and obtain copies of the Forms N-Q at the U.S. Securities and Exchange Commission's Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330).

This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.

The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.

436

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P.O. Box 15570
Amarillo, TX 79105-5570

CHANGE SERVICE REQUESTED

PRSRT STD
U.S. POSTAGE
PAID
MERRILL
CORPORATION
ZIP CODE 10014

J-1906-SAR.11 (11/14)

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Included in Item 1 to the Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item 10.

Item 11. Controls and Procedures.

(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1) Not applicable.

(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

(3) Not applicable.

(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Seasons Series Trust
By:	/s/ John T. Genoy
John T. Genoy
President
Date: December 8, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ John T. Genoy
John T. Genoy
President
Date: December 8, 2014
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: December 8, 2014