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)
1999 Avenue of the Stars, 27th Floor, 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, 2015

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

SEMI-ANNUAL REPORT
SEPTEMBER 30, 2015

Table of Contents

Shareholder Letter		2
Expense Example		3
Seasons Strategies
Multi-Managed Growth Portfolio		6
Multi-Managed Moderate Growth Portfolio		35
Multi-Managed Income/Equity Portfolio		67
Multi-Managed Income Portfolio		94
Asset Allocation: Diversified Growth Portfolio		121
Stock Portfolio		167
Seasons Select
Large Cap Growth Portfolio		173
Large Cap Value Portfolio		181
Mid Cap Growth Portfolio		190
Mid Cap Value Portfolio		206
Small Cap Portfolio		219
International Equity Portfolio		235
Diversified Fixed Income Portfolio		249
Real Return Portfolio		305
Seasons Focused
SA Columbia Focused Growth Portfolio*		309
SA Columbia Focused Value Portfolio*		311
Seasons Managed Allocation
Allocation Growth Portfolio		314
Allocation Moderate Growth Portfolio		316
Allocation Moderate Portfolio		318
Allocation Balanced Portfolio		320
Statements of Assets and Liabilities		322
Statements of Operations		330
Statements of Changes in Net Assets		334
Notes to Financial Statements		341
Financial Highlights		387
Supplement to Prospectus		401
Approval of Subadvisory Contracts		403
	* Effective July 29, 2015, the name of the Seasons Focus Growth Portfolio and Seasons Focus Value Portfolio changed to the SA Columbia Focused Growth Portfolio and SA Columbia Focused Value Portfolio, respectively.

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, 2015.

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
President
Seasons Series Trust

November 16, 2015

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 or Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  September 30, 2015

  (unaudited)

Disclosure of Portfolio Expenses in Shareholder Reports

As a shareholder of a Portfolio in the Seasons Series Trust (the "Trust''), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at April 1, 2015 and held until September 30, 2015. 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, 2015" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 2015" 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, 2015" column would have been higher and the "Ending Account Value" column would have been lower.

Hypothetical Example for Comparison Purposes

The "Hypothetical" section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the Six Months Ended September 30, 2015" 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, 2015" column would have been higher and the "Ending Account Value" column would have been lower.

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

3

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2015

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2015		Ending Account Value Using Actual Return at September 30, 2015		Expenses Paid During the Six Months Ended September 30, 2015*		Beginning Account Value at April 1, 2015		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2015		Expenses Paid During the Six Months Ended September 30, 2015*		Annualized Expense Ratio*
Multi-Managed Growth
Class 1	$	1,000.00	$	938.89	$	5.67	$	1,000.00	$	1,019.15	$	5.91		1.17	%
Class 2	$	1,000.00	$	938.31	$	6.40	$	1,000.00	$	1,018.40	$	6.66		1.32	%
Class 3	$	1,000.00	$	937.63	$	6.88	$	1,000.00	$	1,017.90	$	7.16		1.42	%
Multi-Managed Moderate Growth
Class 1	$	1,000.00	$	946.84	$	4.96	$	1,000.00	$	1,019.90	$	5.15		1.02	%
Class 2	$	1,000.00	$	946.74	$	5.69	$	1,000.00	$	1,019.15	$	5.91		1.17	%
Class 3	$	1,000.00	$	945.89	$	6.18	$	1,000.00	$	1,018.65	$	6.41		1.27	%
Multi-Managed Income/ Equity
Class 1	$	1,000.00	$	968.28	$	4.92	$	1,000.00	$	1,020.00	$	5.05		1.00	%
Class 2	$	1,000.00	$	967.43	$	5.66	$	1,000.00	$	1,019.25	$	5.81		1.15	%
Class 3	$	1,000.00	$	966.53	$	6.15	$	1,000.00	$	1,018.75	$	6.31		1.25	%
Multi-Managed Income
Class 1	$	1,000.00	$	975.21	$	4.89	$	1,000.00	$	1,020.05	$	5.00		0.99	%
Class 2	$	1,000.00	$	974.34	$	5.63	$	1,000.00	$	1,019.30	$	5.76		1.14	%
Class 3	$	1,000.00	$	974.25	$	6.12	$	1,000.00	$	1,018.80	$	6.26		1.24	%
Asset Allocation: Diversified Growth#
Class 1	$	1,000.00	$	924.23	$	4.57	$	1,000.00	$	1,020.25	$	4.80		0.95	%
Class 2	$	1,000.00	$	924.18	$	5.29	$	1,000.00	$	1,019.50	$	5.55		1.10	%
Class 3	$	1,000.00	$	923.35	$	5.77	$	1,000.00	$	1,019.00	$	6.06		1.20	%
Stock
Class 1	$	1,000.00	$	960.84	$	4.26	$	1,000.00	$	1,020.65	$	4.39		0.87	%
Class 2	$	1,000.00	$	959.81	$	5.00	$	1,000.00	$	1,019.90	$	5.15		1.02	%
Class 3	$	1,000.00	$	959.42	$	5.49	$	1,000.00	$	1,019.40	$	5.65		1.12	%
Large Cap Growth
Class 1	$	1,000.00	$	943.48	$	4.03	$	1,000.00	$	1,020.85	$	4.19		0.83	%
Class 2	$	1,000.00	$	942.56	$	4.76	$	1,000.00	$	1,020.10	$	4.95		0.98	%
Class 3	$	1,000.00	$	942.09	$	5.24	$	1,000.00	$	1,019.60	$	5.45		1.08	%
Large Cap Value
Class 1	$	1,000.00	$	906.10	$	3.72	$	1,000.00	$	1,021.10	$	3.94		0.78	%
Class 2	$	1,000.00	$	905.41	$	4.43	$	1,000.00	$	1,020.35	$	4.70		0.93	%
Class 3	$	1,000.00	$	905.24	$	4.91	$	1,000.00	$	1,019.85	$	5.20		1.03	%
Mid Cap Growth
Class 1	$	1,000.00	$	909.29	$	4.44	$	1,000.00	$	1,020.35	$	4.70		0.93	%
Class 2	$	1,000.00	$	908.67	$	5.11	$	1,000.00	$	1,019.65	$	5.40		1.07	%
Class 3	$	1,000.00	$	907.65	$	5.63	$	1,000.00	$	1,019.10	$	5.96		1.18	%
Mid Cap Value
Class 1	$	1,000.00	$	898.14	$	4.32	$	1,000.00	$	1,020.45	$	4.60		0.91	%
Class 2	$	1,000.00	$	897.45	$	4.98	$	1,000.00	$	1,019.75	$	5.30		1.05	%
Class 3	$	1,000.00	$	897.25	$	5.45	$	1,000.00	$	1,019.25	$	5.81		1.15	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2015

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2015		Ending Account Value Using Actual Return at September 30, 2015		Expenses Paid During the Six Months Ended September 30, 2015*		Beginning Account Value at April 1, 2015		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2015		Expenses Paid During the Six Months Ended September 30, 2015*		Annualized Expense Ratio*
Small Cap
Class 1	$	1,000.00	$	892.86	$	4.45	$	1,000.00	$	1,020.30	$	4.75		0.94	%
Class 2	$	1,000.00	$	892.63	$	5.11	$	1,000.00	$	1,019.60	$	5.45		1.08	%
Class 3	$	1,000.00	$	891.87	$	5.58	$	1,000.00	$	1,019.10	$	5.96		1.18	%
International Equity#
Class 1	$	1,000.00	$	896.71	$	4.41	$	1,000.00	$	1,020.35	$	4.70		0.93	%
Class 2	$	1,000.00	$	896.83	$	5.12	$	1,000.00	$	1,019.60	$	5.45		1.08	%
Class 3	$	1,000.00	$	896.47	$	5.59	$	1,000.00	$	1,019.10	$	5.96		1.18	%
Diversified Fixed Income
Class 1	$	1,000.00	$	989.09	$	3.38	$	1,000.00	$	1,021.60	$	3.44		0.68	%
Class 2	$	1,000.00	$	988.24	$	4.13	$	1,000.00	$	1,020.85	$	4.19		0.83	%
Class 3	$	1,000.00	$	987.34	$	4.62	$	1,000.00	$	1,020.35	$	4.70		0.93	%
Real Return
Class 1	$	1,000.00	$	982.90	$	3.12	$	1,000.00	$	1,021.85	$	3.18		0.63	%
Class 3	$	1,000.00	$	982.79	$	4.36	$	1,000.00	$	1,020.60	$	4.45		0.88	%
SA Columbia Focused Growth†
Class 1	$	1,000.00	$	916.28	$	4.60	$	1,000.00	$	1,020.20	$	4.85		0.96	%
Class 2	$	1,000.00	$	915.63	$	5.36	$	1,000.00	$	1,019.40	$	5.65		1.12	%
Class 3	$	1,000.00	$	915.04	$	5.79	$	1,000.00	$	1,018.95	$	6.11		1.21	%
SA Columbia Focused Value†#
Class 1	$	1,000.00	$	896.72	$	4.27	$	1,000.00	$	1,020.50	$	4.55		0.90	%
Class 2	$	1,000.00	$	895.50	$	4.98	$	1,000.00	$	1,019.75	$	5.30		1.05	%
Class 3	$	1,000.00	$	895.26	$	5.45	$	1,000.00	$	1,019.25	$	5.81		1.15	%
Allocation Growth
Class 3	$	1,000.00	$	923.37	$	0.82	$	1,000.00	$	1,024.15	$	0.86		0.17	%
Allocation Moderate Growth
Class 3	$	1,000.00	$	933.96	$	0.58	$	1,000.00	$	1,024.40	$	0.61		0.12	%
Allocation Moderate
Class 3	$	1,000.00	$	942.35	$	0.63	$	1,000.00	$	1,024.35	$	0.66		0.13	%
Allocation Balanced
Class 3	$	1,000.00	$	954.98	$	0.64	$	1,000.00	$	1,024.35	$	0.66		0.13	%

*  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 366 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.

#  During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2015" and "Annualized Expense Ratio" would have been higher. If these fees and expenses had not been recouped, the "Actual/Hypothetical Ending Account Value" would have been higher and the "Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2015" and the "Annualized Expense Ratios" would have been lower.

†  See Note 1

5

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Diversified Financial Services	8.6	%
Federal National Mtg. Assoc.	6.0
Medical-Biomedical/Gene	4.3
Medical-Drugs	4.2
Real Estate Investment Trusts	3.4
Computers	2.8
United States Treasury Notes	2.6
Web Portals/ISP	2.6
Retail-Restaurants	2.2
Banks-Commercial	2.2
Diversified Banking Institutions	2.1
Government National Mtg. Assoc.	1.9
Cable/Satellite TV	1.8
Federal Home Loan Mtg. Corp.	1.6
Enterprise Software/Service	1.6
Internet Content-Entertainment	1.4
Electronic Components-Semiconductors	1.3
Finance-Credit Card	1.3
Computer Services	1.3
Multimedia	1.2
Retail-Building Products	1.2
Cosmetics & Toiletries	1.1
Instruments-Controls	1.1
E-Commerce/Products	1.1
Transport-Rail	1.1
Commercial Services-Finance	1.0
Diversified Manufacturing Operations	1.0
Retail-Auto Parts	0.9
United States Treasury Bonds	0.9
Medical Products	0.9
Wireless Equipment	0.8
Food-Retail	0.8
Chemicals-Diversified	0.8
Airlines	0.8
Medical Instruments	0.8
Electronic Components-Misc.	0.8
Athletic Footwear	0.8
Pharmacy Services	0.7
Food-Confectionery	0.7
Retail-Discount	0.7
Sovereign	0.7
Cellular Telecom	0.7
Tobacco	0.6
Industrial Gases	0.6
E-Commerce/Services	0.6
Finance-Investment Banker/Broker	0.6
Aerospace/Defense-Equipment	0.6
Electronic Connectors	0.6
Repurchase Agreements	0.6
Computer Aided Design	0.6
Medical-Hospitals	0.5
Auto/Truck Parts & Equipment-Original	0.5
Applications Software	0.5
Containers-Metal/Glass	0.5
Machinery-General Industrial	0.5
Retail-Major Department Stores	0.5
Food-Wholesale/Distribution	0.5
Beverages-Non-alcoholic	0.5
Telephone-Integrated	0.5
Oil Companies-Exploration & Production	0.5

Apparel Manufacturers	0.5	%
Savings & Loans/Thrifts	0.5
Cruise Lines	0.4
Medical Information Systems	0.4
Finance-Other Services	0.4
Medical-HMO	0.4
Semiconductor Components-Integrated Circuits	0.4
Electronic Design Automation	0.4
Telecommunication Equipment	0.4
Municipal Bonds & Notes	0.4
Recreational Vehicles	0.4
Banks-Super Regional	0.4
Retail-Gardening Products	0.4
Oil-Field Services	0.4
Entertainment Software	0.4
Electric-Integrated	0.3
Energy-Alternate Sources	0.3
Retail-Catalog Shopping	0.3
Retail-Apparel/Shoe	0.3
Investment Management/Advisor Services	0.3
Pipelines	0.3
Beverages-Wine/Spirits	0.3
Engineering/R&D Services	0.3
Metal Processors & Fabrication	0.3
Internet Content-Information/News	0.3
Electronic Forms	0.3
Insurance Brokers	0.3
Real Estate Management/Services	0.3
Transport-Services	0.3
Rubber-Tires	0.3
Oil Companies-Integrated	0.3
Insurance-Property/Casualty	0.3
Electronic Measurement Instruments	0.3
Financial Guarantee Insurance	0.3
Insurance-Life/Health	0.3
Advertising Services	0.3
Real Estate Operations & Development	0.3
Data Processing/Management	0.3
Food-Misc./Diversified	0.2
Gas-Distribution	0.2
Telecom Services	0.2
Toys	0.2
Medical-Generic Drugs	0.2
Oil Refining & Marketing	0.2
Human Resources	0.2
Schools	0.2
Retail-Drug Store	0.2
Retail-Video Rentals	0.2
Therapeutics	0.2
Gambling (Non-Hotel)	0.2
MRI/Medical Diagnostic Imaging	0.2
Containers-Paper/Plastic	0.2
Networking Products	0.2
Distribution/Wholesale	0.2
Printing-Commercial	0.2
Retail-Hair Salons	0.2
Auto-Cars/Light Trucks	0.2
Retail-Regional Department Stores	0.2
Transport-Truck	0.2
Water	0.2

6

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Office Supplies & Forms	0.2	%
Insurance-Multi-line	0.2
Building & Construction Products-Misc.	0.2
Television	0.1
Time Deposits	0.1
Vitamins & Nutrition Products	0.1
Semiconductor Equipment	0.1
Internet Application Software	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Agricultural Chemicals	0.1
Chemicals-Specialty	0.1
Research & Development	0.1
Steel-Producers	0.1
Poultry	0.1
Diagnostic Kits	0.1
Engines-Internal Combustion	0.1
Medical-Wholesale Drug Distribution	0.1
Finance-Consumer Loans	0.1
Broadcast Services/Program	0.1
Independent Power Producers	0.1
Lasers-System/Components	0.1
Power Converter/Supply Equipment	0.1
Publishing-Books	0.1
Telecom Equipment-Fiber Optics	0.1
Security Services	0.1
Building-Residential/Commercial	0.1
Building Products-Cement	0.1
Computer Software	0.1
Banks-Mortgage	0.1
Trucking/Leasing	0.1
Home Furnishings	0.1
Transactional Software	0.1
Footwear & Related Apparel	0.1
Banks-Fiduciary	0.1
Metal-Copper	0.1
Insurance-Mutual	0.1
	105.0	%

*  Calculated as a percentage of net assets

7

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 72.5%
Advertising Services — 0.3%
Marchex, Inc., Class B		5,450	$	21,964
Nielsen Holdings PLC		3,028		134,655
				156,619
Aerospace/Defense-Equipment — 0.6%
AAR Corp.		4,950		93,901
Moog, Inc., Class A†		650		35,146
United Technologies Corp.		2,635		234,489
				363,536
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		4,500		24,930
Airlines — 0.8%
Alaska Air Group, Inc.		1,400		111,230
United Continental Holdings, Inc.†		7,085		375,859
				487,089
Apparel Manufacturers — 0.4%
Carter's, Inc.		2,521		228,503
Applications Software — 0.5%
NetSuite, Inc.†		1,802		151,188
Progress Software Corp.†		375		9,686
ServiceNow, Inc.†		2,307		160,221
				321,095
Athletic Equipment — 0.0%
Nautilus, Inc.†		1,600		24,000
Athletic Footwear — 0.8%
NIKE, Inc., Class B		3,863		475,033
Audio/Video Products — 0.0%
VOXX International Corp.†		1,325		9,832
Auto/Truck Parts & Equipment-Original — 0.5%
American Axle & Manufacturing Holdings, Inc.†		400		7,976
Dana Holding Corp.		1,225		19,453
Delphi Automotive PLC		3,505		266,520
Tower International, Inc.†		1,450		34,452
				328,401
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		3,875		76,957
Banks-Commercial — 1.8%
1st Source Corp.		600		18,480
BancFirst Corp.		800		50,480
BancorpSouth, Inc.		2,300		54,671
Banner Corp.		550		26,273
BBCN Bancorp, Inc.		750		11,265
Capital Bank Financial Corp., Class A†		2,350		71,040
Cathay General Bancorp Class B		900		26,964
Central Pacific Financial Corp.		4,125		86,501
Chemical Financial Corp.		350		11,323
Citizens & Northern Corp.		225		4,392
City Holding Co.		575		28,347
CoBiz Financial, Inc.		600		7,806
CVB Financial Corp.		3,875		64,712

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
East West Bancorp, Inc.		49	$	1,883
First Commonwealth Financial Corp.		5,175		47,041
First Financial Bancorp		75		1,431
First Interstate BancSystem, Inc.		300		8,352
FNB Corp.		1,425		18,454
Fulton Financial Corp.		975		11,798
Guaranty Bancorp		375		6,176
MainSource Financial Group, Inc.		300		6,108
National Penn Bancshares, Inc.		625		7,344
OFG Bancorp		2,475		21,607
PacWest Bancorp		3,663		156,813
Sierra Bancorp		250		3,990
Simmons First National Corp., Class A		375		17,974
Southside Bancshares, Inc.		175		4,821
Southwest Bancorp, Inc.		500		8,205
Suffolk Bancorp		1,200		32,784
TCF Financial Corp.		2,300		34,868
UMB Financial Corp.		350		17,784
Union Bankshares Corp.		3,116		74,784
Webster Financial Corp.		200		7,126
West Bancorporation, Inc.		875		16,406
Westamerica Bancorporation		3,125		138,875
Wilshire Bancorp, Inc.		1,800		18,918
				1,125,796
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		1,650		43,032
Beverages-Non-alcoholic — 0.5%
Coca-Cola Co.		7,426		297,931
Beverages-Wine/Spirits — 0.3%
Brown-Forman Corp., Class B		2,021		195,835
Broadcast Services/Program — 0.1%
Nexstar Broadcasting Group, Inc., Class A		800		37,880
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		1,825		33,489
Building Products-Cement — 0.1%
Continental Building Products, Inc.†		2,175		44,674
Cable/Satellite TV — 1.3%
Comcast Corp., Class A		11,354		645,815
Time Warner Cable, Inc.		1,040		186,545
				832,360
Casino Hotels — 0.0%
Boyd Gaming Corp.†		400		6,520
Cellular Telecom — 0.6%
T-Mobile US, Inc.†		8,761		348,775
Chemicals-Diversified — 0.8%
LyondellBasell Industries NV, Class A		2,521		210,150
PPG Industries, Inc.		3,169		277,890
				488,040

8

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		725	$	34,916
OM Group, Inc.		1,100		36,179
				71,095
Coal — 0.0%
SunCoke Energy, Inc.		1,325		10,309
Commercial Services — 0.0%
HMS Holdings Corp.†		2,400		21,048
Medifast, Inc.†		150		4,029
				25,077
Commercial Services-Finance — 1.0%
EVERTEC, Inc.		350		6,325
Heartland Payment Systems, Inc.		625		39,381
MasterCard, Inc., Class A		5,951		536,304
MoneyGram International, Inc.†		1,200		9,624
Vantiv, Inc., Class A†		500		22,460
				614,094
Computer Aided Design — 0.6%
ANSYS, Inc.†		1,872		164,998
Aspen Technology, Inc.†		4,950		187,655
				352,653
Computer Services — 1.2%
Amdocs, Ltd.		6,549		372,507
Cognizant Technology Solutions Corp., Class A†		1,617		101,240
Convergys Corp.		5,000		115,550
Insight Enterprises, Inc.†		1,100		28,435
Science Applications International Corp.		1,900		76,399
Unisys Corp.†		4,575		54,443
				748,574
Computer Software — 0.1%
AVG Technologies NV†		2,025		44,044
Computers — 2.7%
Apple, Inc.		15,545		1,714,613
Consulting Services — 0.0%
CRA International, Inc.†		600		12,948
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		550		14,487
Containers-Metal/Glass — 0.5%
Crown Holdings, Inc.†		6,870		314,302
Containers-Paper/Plastic — 0.2%
Graphic Packaging Holding Co.		8,845		113,128
Cosmetics & Toiletries — 1.1%
Colgate-Palmolive Co.		5,061		321,171
Estee Lauder Cos., Inc., Class A		4,832		389,846
				711,017
Cruise Lines — 0.4%
Norwegian Cruise Line Holdings, Ltd.†		4,721		270,513

Security Description	Shares		Value (Note 2)
Data Processing/Management — 0.2%
CSG Systems International, Inc.		1,125	$	34,650
Fair Isaac Corp.		825		69,712
				104,362
Diagnostic Equipment — 0.0%
Affymetrix, Inc.†		650		5,551
Diagnostic Kits — 0.1%
Quidel Corp.†		3,604		68,044
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		175		9,427
Distribution/Wholesale — 0.2%
Essendant, Inc.		3,325		107,830
Diversified Manufacturing Operations — 1.0%
A.O. Smith Corp.		3,033		197,721
Blount International, Inc.†		475		2,646
Colfax Corp.†		6,251		186,967
Dover Corp.		3,921		224,203
				611,537
Drug Delivery Systems — 0.0%
BioDelivery Sciences International, Inc.†		3,275		18,209
Revance Therapeutics, Inc.†		350		10,416
				28,625
E-Commerce/Products — 1.1%
Amazon.com, Inc.†		1,353		692,587
E-Commerce/Services — 0.6%
Priceline Group, Inc.†		315		389,611
Electric-Distribution — 0.0%
EnerNOC, Inc.†		3,000		23,700
Spark Energy, Inc., Class A		400		6,620
				30,320
Electric-Generation — 0.0%
Atlantic Power Corp.		16,825		31,295
Electric-Integrated — 0.2%
El Paso Electric Co.		1,075		39,581
NorthWestern Corp.		300		16,149
PNM Resources, Inc.		800		22,440
Portland General Electric Co.		1,600		59,152
				137,322
Electronic Components-Misc. — 0.8%
Benchmark Electronics, Inc.†		250		5,440
Sanmina Corp.†		2,675		57,165
Stoneridge, Inc.†		3,350		41,339
TE Connectivity, Ltd.		6,107		365,748
Vishay Intertechnology, Inc.		1,000		9,690
				479,382
Electronic Components-Semiconductors — 1.3%
Avago Technologies, Ltd.		1,689		211,142
Fairchild Semiconductor International, Inc.†		7,800		109,512
Freescale Semiconductor, Ltd.†		5,361		196,105
Intersil Corp., Class A		3,075		35,978
PMC-Sierra, Inc.†		3,375		22,849

9

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors (continued)
Rovi Corp.†		7,550	$	79,199
Texas Instruments, Inc.		3,835		189,909
				844,694
Electronic Connectors — 0.6%
Amphenol Corp., Class A		7,186		366,199
Electronic Design Automation — 0.4%
Cadence Design Systems, Inc.†		12,174		251,758
Electronic Forms — 0.3%
Adobe Systems, Inc.†		2,266		186,311
Electronic Measurement Instruments — 0.3%
National Instruments Corp.		5,896		163,850
Energy-Alternate Sources — 0.3%
First Solar, Inc.†		775		33,131
Renewable Energy Group, Inc.†		625		5,175
REX American Resources Corp.†		2,750		139,205
Sunrun, Inc.†		3,775		39,147
				216,658
Engineering/R&D Services — 0.3%
Argan, Inc.		1,800		62,424
EMCOR Group, Inc.		2,300		101,775
VSE Corp.		700		28,049
				192,248
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		3,400		65,654
Enterprise Software/Service — 1.5%
MedAssets, Inc.†		3,700		74,222
Oracle Corp.		13,122		473,967
Tyler Technologies, Inc.†		712		106,309
Ultimate Software Group, Inc.†		1,343		240,410
Xactly Corp†		2,550		19,890
				914,798
Entertainment Software — 0.3%
Take-Two Interactive Software, Inc.†		6,225		178,844
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		100		19,687
Finance-Consumer Loans — 0.1%
Nelnet, Inc., Class A		975		33,745
Finance-Credit Card — 1.3%
American Express Co.		3,040		225,355
Visa, Inc., Class A		8,243		574,208
				799,563
Finance-Investment Banker/Broker — 0.6%
Cowen Group, Inc., Class A†		4,625		21,090
E*TRADE Financial Corp.†		7,160		188,523
INTL. FCStone, Inc.†		125		3,086
Investment Technology Group, Inc.		2,200		29,348
LPL Financial Holdings, Inc.		2,782		110,640
Stifel Financial Corp.†		375		15,788
				368,475

Security Description	Shares		Value (Note 2)
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		550	$	7,728
Finance-Other Services — 0.4%
BGC Partners, Inc., Class A		1,350		11,097
Intercontinental Exchange, Inc.		779		183,057
MarketAxess Holdings, Inc.		650		60,372
				254,526
Financial Guarantee Insurance — 0.3%
MGIC Investment Corp.†		15,505		143,576
NMI Holdings, Inc., Class A†		2,250		17,100
				160,676
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		200		5,270
Food-Confectionery — 0.7%
Amplify Snack Brands, Inc.†		850		9,104
Hershey Co.		4,608		423,383
				432,487
Food-Misc./Diversified — 0.1%
B&G Foods, Inc.		775		28,249
Blue Buffalo Pet Products, Inc.†		450		8,059
Pinnacle Foods, Inc.		1,275		53,397
				89,705
Food-Retail — 0.8%
Ingles Markets, Inc., Class A		950		45,438
Kroger Co.		12,273		442,687
Smart & Final Stores, Inc.†		1,050		16,496
				504,621
Food-Wholesale/Distribution — 0.5%
Sysco Corp.		7,828		305,057
Footwear & Related Apparel — 0.1%
Iconix Brand Group, Inc.†		3,000		40,560
Gambling (Non-Hotel) — 0.2%
Isle of Capri Casinos, Inc.†		6,600		115,104
Gas-Distribution — 0.2%
AGL Resources, Inc.		500		30,520
Laclede Group, Inc.		625		34,081
New Jersey Resources Corp.		1,025		30,781
Piedmont Natural Gas Co., Inc.		625		25,044
Southwest Gas Corp.		550		32,076
				152,502
Home Furnishings — 0.1%
Leggett & Platt, Inc.		900		37,125
Housewares — 0.0%
NACCO Industries, Inc., Class A		650		30,908
Human Resources — 0.2%
Barrett Business Services, Inc.		1,375		59,029
Cross Country Healthcare, Inc.†		5,875		79,958
				138,987
Independent Power Producers — 0.1%
Ormat Technologies, Inc.		1,375		46,791

10

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		575	$	15,088
Industrial Gases — 0.6%
Air Products & Chemicals, Inc.		3,178		405,449
Instruments-Controls — 1.1%
Honeywell International, Inc.		3,430		324,787
Sensata Technologies Holding NV†		8,426		373,609
Watts Water Technologies, Inc., Class A		100		5,282
				703,678
Insurance Brokers — 0.3%
Aon PLC		1,813		160,650
Insurance-Life/Health — 0.3%
American Equity Investment Life Holding Co.		2,225		51,865
CNO Financial Group, Inc.		4,375		82,294
Primerica, Inc.		550		24,788
				158,947
Insurance-Multi-line — 0.1%
Kemper Corp.		1,125		39,791
Insurance-Property/Casualty — 0.2%
Ambac Financial Group, Inc.†		175		2,532
First American Financial Corp.		300		11,721
Global Indemnity PLC†		200		5,234
Navigators Group, Inc.†		500		38,990
ProAssurance Corp.		775		38,029
Stewart Information Services Corp.		150		6,137
				102,643
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		250		11,618
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		17,750		80,052
Internet Content-Entertainment — 1.4%
Facebook, Inc., Class A†		9,467		851,083
Internet Content-Information/News — 0.3%
LinkedIn Corp., Class A†		680		129,288
WebMD Health Corp.†		1,450		57,768
				187,056
Internet Incubators — 0.0%
ModusLink Global Solutions, Inc.†		5,761		16,476
Internet Security — 0.0%
Rapid7, Inc.†		725		16,494
Zix Corp.†		2,225		9,367
				25,861
Investment Management/Advisor Services — 0.3%
BlackRock, Inc.		639		190,083
Federated Investors, Inc., Class B		325		9,393
				199,476

Security Description	Shares		Value (Note 2)
Lasers-System/Components — 0.1%
Coherent, Inc.†		1,000	$	54,700
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		225		13,012
Machinery-General Industrial — 0.5%
Applied Industrial Technologies, Inc.		775		29,566
DXP Enterprises, Inc.†		750		20,460
Kadant, Inc.		1,275		49,738
Roper Technologies, Inc.		1,365		213,895
				313,659
Medical Information Systems — 0.4%
athenahealth, Inc.†		1,827		243,630
Merge Healthcare, Inc.†		2,375		16,863
Quality Systems, Inc.		300		3,744
				264,237
Medical Instruments — 0.7%
Boston Scientific Corp.†		19,464		319,404
CONMED Corp.		250		11,935
NuVasive, Inc.†		550		26,521
SurModics, Inc.†		2,975		64,974
				422,834
Medical Labs & Testing Services — 0.0%
Natera, Inc.†		500		5,425
Teladoc, Inc.†		450		10,031
				15,456
Medical Products — 0.8%
Accuray, Inc.†		3,725		18,606
Baxter International, Inc.		7,719		253,569
ConforMIS, Inc.†		650		11,739
Cyberonics, Inc.†		800		48,624
Orthofix International NV†		2,850		96,188
Penumbra, Inc.†		100		4,010
Wright Medical Group, Inc.†		2,775		58,331
				491,067
Medical-Biomedical/Gene — 4.2%
Aduro Biotech, Inc.†		200		3,874
Alder Biopharmaceuticals, Inc.†		5,572		182,539
Amgen, Inc.		4,917		680,119
Applied Genetic Technologies Corp.†		100		1,314
Ardelyx, Inc.†		425		7,344
Atara Biotherapeutics, Inc.†		700		22,008
Avalanche Biotechnologies, Inc.†		575		4,738
Bellicum Pharmaceuticals, Inc.†		1,100		15,983
Biogen, Inc.†		1,654		482,654
Blueprint Medicines Corp.†		550		11,737
Celgene Corp.†		5,876		635,607
ChemoCentryx, Inc.†		950		5,748
Coherus Biosciences, Inc.†		975		19,539
Infinity Pharmaceuticals, Inc.†		2,525		21,336
Karyopharm Therapeutics, Inc.†		650		6,845
Kite Pharma, Inc.†		125		6,960
MacroGenics, Inc.†		825		17,672

11

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Merrimack Pharmaceuticals, Inc.†		1,775	$	15,105
Nivalis Therapeutics, Inc.†		1,775		23,022
Prothena Corp. PLC†		1,000		45,340
PTC Therapeutics, Inc.†		825		22,027
Regeneron Pharmaceuticals, Inc.†		682		317,225
Sage Therapeutics, Inc.†		50		2,116
Spark Therapeutics, Inc.†		475		19,822
Tokai Pharmaceuticals, Inc.†		1,125		11,644
Trius Therapeutics, Inc. CVR†(1)(3)		3,700		0
Ultragenyx Pharmaceutical, Inc.†		125		12,039
Versartis, Inc.†		725		8,359
XOMA Corp.†		5,725		4,303
				2,607,019
Medical-Drugs — 4.1%
AbbVie, Inc.		8,858		481,964
ACADIA Pharmaceuticals, Inc.†		1,575		52,085
Adamas Pharmaceuticals, Inc.†		575		9,626
Anacor Pharmaceuticals, Inc.†		575		67,683
Bristol-Myers Squibb Co.		8,286		490,531
Chiasma, Inc.†		725		14,413
Chimerix, Inc.†		500		19,100
Dicerna Pharmaceuticals, Inc.†		275		2,258
Eli Lilly & Co.		6,481		542,395
Endo International PLC†		3,771		261,255
FibroGen, Inc.†		1,125		24,660
Global Blood Therapeutics, Inc.†		1,125		47,430
Immune Design Corp.†		925		11,285
Ironwood Pharmaceuticals, Inc.†		13,677		142,514
Mallinckrodt PLC†		3,460		221,232
NantKwest, Inc.†		525		6,017
Ophthotech Corp.†		550		22,286
Pacira Pharmaceuticals, Inc.†		675		27,742
Prestige Brands Holdings, Inc.†		1,050		47,418
Relypsa, Inc.†		800		14,808
Synergy Pharmaceuticals, Inc.†		8,550		45,315
ZS Pharma, Inc.†		150		9,849
				2,561,866
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		1,075		12,567
Medical-HMO — 0.2%
Centene Corp.†		1,475		79,989
Molina Healthcare, Inc.†		825		56,801
				136,790
Medical-Hospitals — 0.4%
Select Medical Holdings Corp.		1,525		16,455
Universal Health Services, Inc., Class B		2,124		265,096
				281,551
Medical-Outpatient/Home Medical — 0.0%
Addus HomeCare Corp.†		725		22,584
Metal Processors & Fabrication — 0.3%
Rexnord Corp.†		11,075		188,053

Security Description	Shares		Value (Note 2)
Metal-Aluminum — 0.0%
Century Aluminum Co.†		1,725	$	7,935
MRI/Medical Diagnostic Imaging — 0.2%
Alliance HealthCare Services, Inc.†		1,203		11,742
Surgical Care Affiliates, Inc.†		3,125		102,156
				113,898
Multimedia — 1.0%
Walt Disney Co.		6,069		620,252
Networking Products — 0.2%
NETGEAR, Inc.†		450		13,126
Polycom, Inc.†		9,125		95,630
				108,756
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		13,375		94,561
Oil Companies-Exploration & Production — 0.3%
Anadarko Petroleum Corp.		1,586		95,779
Bill Barrett Corp.†		11,175		36,877
Isramco, Inc.†		50		4,967
Penn Virginia Corp.†		3,125		1,656
Rex Energy Corp.†		4,200		8,694
Stone Energy Corp.†		2,000		9,920
Unit Corp.†		1,275		14,357
				172,250
Oil Refining & Marketing — 0.2%
Adams Resources & Energy, Inc.		175		7,175
Alon USA Energy, Inc.		875		15,811
Phillips 66		1,307		100,430
Western Refining, Inc.		400		17,648
				141,064
Oil-Field Services — 0.4%
Baker Hughes, Inc.		2,060		107,202
Basic Energy Services, Inc.†		1,425		4,703
Exterran Holdings, Inc.		325		5,850
Gulfmark Offshore, Inc., Class A		4,100		25,051
Key Energy Services, Inc.†		9,450		4,442
Pioneer Energy Services Corp.†		2,775		5,827
SEACOR Holdings, Inc.†		1,125		67,286
				220,361
Paper & Related Products — 0.0%
Domtar Corp.		425		15,194
Pharmacy Services — 0.7%
Express Scripts Holding Co.†		5,789		468,677
Poultry — 0.1%
Pilgrim's Pride Corp.		1,750		36,365
Sanderson Farms, Inc.		475		32,571
				68,936
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		2,075		54,572
Printing-Commercial — 0.2%
Deluxe Corp.		1,100		61,314
Ennis, Inc.		2,475		42,966
				104,280

12

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Protection/Safety — 0.0%
Landauer, Inc.		750	$	27,743
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		2,450		49,759
Racetracks — 0.0%
Speedway Motorsports, Inc.		900		16,245
Real Estate Investment Trusts — 2.9%
American Assets Trust, Inc.		1,000		40,860
American Tower Corp.		5,911		520,050
Anworth Mtg. Asset Corp.		2,450		12,103
Armada Hoffler Properties, Inc.		150		1,466
Ashford Hospitality Prime, Inc.		116		1,627
Ashford Hospitality Trust, Inc.		425		2,593
BioMed Realty Trust, Inc.		550		10,989
Capstead Mtg. Corp.		7,875		77,884
CBL & Associates Properties, Inc.		1,075		14,781
Chambers Street Properties		1,325		8,599
CoreSite Realty Corp.		3,225		165,894
Cousins Properties, Inc.		275		2,536
CYS Investments, Inc.		15,150		109,989
DCT Industrial Trust, Inc.		500		16,830
DiamondRock Hospitality Co.		1,050		11,603
EastGroup Properties, Inc.		600		32,508
EPR Properties		625		32,231
Equity LifeStyle Properties, Inc.		375		21,964
FelCor Lodging Trust, Inc.		1,000		7,070
First Industrial Realty Trust, Inc.		525		10,999
Franklin Street Properties Corp.		925		9,944
Gladstone Commercial Corp.		200		2,822
Home Properties, Inc.		600		44,850
Hospitality Properties Trust		1,075		27,498
Lexington Realty Trust		9,719		78,724
LTC Properties, Inc.		1,700		72,539
National Retail Properties, Inc.		400		14,508
Pennsylvania Real Estate Investment Trust		1,050		20,821
Post Properties, Inc.		575		33,517
Potlatch Corp.		1,950		56,140
PS Business Parks, Inc.		200		15,876
RAIT Financial Trust		525		2,604
Ramco-Gershenson Properties Trust		1,950		29,269
Saul Centers, Inc.		525		27,169
Simon Property Group, Inc.		938		172,329
Strategic Hotels & Resorts, Inc.†		5,050		69,639
Summit Hotel Properties, Inc.		350		4,085
Taubman Centers, Inc.		350		24,178
				1,809,088
Real Estate Management/Services — 0.3%
Jones Lang LaSalle, Inc.		1,237		177,843
Real Estate Operations & Development — 0.2%
Alexander & Baldwin, Inc.		1,375		47,204
Forestar Group, Inc.†		3,575		47,011
St. Joe Co.†		200		3,826
				98,041

Security Description	Shares		Value (Note 2)
Recreational Centers — 0.0%
Steiner Leisure, Ltd.†		325	$	20,534
Recreational Vehicles — 0.4%
MCBC Holdings, Inc.†		550		7,128
Polaris Industries, Inc.		1,856		222,479
				229,607
Research & Development — 0.1%
Arrowhead Research Corp.†		4,475		25,776
PAREXEL International Corp.†		725		44,892
				70,668
Respiratory Products — 0.0%
Inogen, Inc.†		425		20,634
Retail-Apparel/Shoe — 0.3%
Abercrombie & Fitch Co., Class A		1,425		30,196
Ascena Retail Group, Inc.†		187		2,601
Children's Place, Inc.		2,775		160,034
Guess?, Inc.		775		16,554
				209,385
Retail-Auto Parts — 0.9%
Advance Auto Parts, Inc.		2,200		416,966
AutoZone, Inc.†		238		172,272
				589,238
Retail-Building Products — 1.1%
Lowe's Cos., Inc.		10,366		714,425
Retail-Catalog Shopping — 0.3%
MSC Industrial Direct Co., Inc., Class A		3,483		212,567
Retail-Discount — 0.7%
Big Lots, Inc.		1,425		68,286
Dollar Tree, Inc.†		5,088		339,166
Ollie's Bargain Outlet Holdings, Inc.†		250		4,043
				411,495
Retail-Gardening Products — 0.4%
Tractor Supply Co.		2,652		223,617
Retail-Hair Salons — 0.2%
Regis Corp.†		7,900		103,490
Retail-Home Furnishings — 0.0%
Kirkland's, Inc.		850		18,309
Retail-Major Department Stores — 0.5%
TJX Cos., Inc.		4,286		306,106
Retail-Pawn Shops — 0.0%
Cash America International, Inc.		575		16,083
Retail-Regional Department Stores — 0.2%
Dillard's, Inc., Class A		1,100		96,129
Retail-Restaurants — 2.2%
Bloomin' Brands, Inc.		900		16,362
Bob Evans Farms, Inc.		775		33,596
Bravo Brio Restaurant Group, Inc.†		550		6,199
Chipotle Mexican Grill, Inc.†		401		288,820
Dave & Buster's Entertainment, Inc.†		600		22,698
DineEquity, Inc.		100		9,166

13

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Restaurants (continued)
Dunkin' Brands Group, Inc.		3,436	$	168,364
Jack in the Box, Inc.		1,350		104,004
Ruby Tuesday, Inc.†		2,925		18,164
Sonic Corp.		4,000		91,800
Starbucks Corp.		10,450		593,978
				1,353,151
Retail-Video Rentals — 0.2%
Outerwall, Inc.		2,300		130,939
Retail-Vitamins & Nutrition Supplements — 0.0%
Flex Pharma, Inc.†		650		7,807
Rubber-Tires — 0.3%
Cooper Tire & Rubber Co.		4,425		174,832
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		325		4,355
Savings & Loans/Thrifts — 0.4%
Astoria Financial Corp.		250		4,025
BankFinancial Corp.		200		2,486
Beneficial Bancorp, Inc.†		942		12,491
Capitol Federal Financial, Inc.		200		2,424
Charter Financial Corp.		875		11,095
Flushing Financial Corp.		725		14,515
Meridian Bancorp, Inc.		2,350		32,124
Northfield Bancorp, Inc.		7,175		109,132
OceanFirst Financial Corp.		700		12,054
Oritani Financial Corp.		1,650		25,773
				226,119
Schools — 0.2%
K12, Inc.†		1,000		12,440
Strayer Education, Inc.†		2,125		116,811
				129,251
Semiconductor Components-Integrated Circuits — 0.4%
Atmel Corp.		19,953		161,021
Integrated Device Technology, Inc.†		3,350		68,005
				229,026
Semiconductor Equipment — 0.1%
Brooks Automation, Inc.		2,500		29,275
Cohu, Inc.		4,955		48,856
				78,131
Steel-Producers — 0.1%
Worthington Industries, Inc.		1,800		47,664
Telecom Equipment-Fiber Optics — 0.1%
Harmonic, Inc.†		8,350		48,430
Telecom Services — 0.2%
EarthLink Holdings Corp.		7,900		61,462
Ooma, Inc.†		3,400		23,630
Premiere Global Services, Inc.†		1,975		27,136
Vonage Holdings Corp.†		900		5,292
West Corp.		1,175		26,320
				143,840

Security Description	Shares		Value (Note 2)
Telecommunication Equipment — 0.4%
CommScope Holding Co., Inc.†		5,969	$	179,249
Plantronics, Inc.		1,200		61,020
				240,269
Telephone-Integrated — 0.1%
Cincinnati Bell, Inc.†		20,650		64,428
Windstream Holdings, Inc.		2,825		17,345
				81,773
Television — 0.1%
ION Media Networks, Inc.†(1)(3)(9)		2		1,294
Sinclair Broadcast Group, Inc., Class A		2,950		74,694
				75,988
Textile-Apparel — 0.0%
Unifi, Inc.†		825		24,593
Therapeutics — 0.2%
aTyr Pharma, Inc.†		1,625		16,672
Cara Therapeutics, Inc.†		525		7,502
Mirati Therapeutics, Inc.†		850		29,257
Neurocrine Biosciences, Inc.†		1,100		43,769
Seres Therapeutics, Inc.†		575		17,043
Xencor, Inc.†		850		10,396
Zafgen, Inc.†		150		4,793
				129,432
Tobacco — 0.6%
Altria Group, Inc.		6,402		348,269
Universal Corp.		550		27,263
				375,532
Toys — 0.2%
Mattel, Inc.		7,002		147,462
Transactional Software — 0.1%
ACI Worldwide, Inc.†		1,950		41,184
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		775		26,784
Transport-Rail — 1.0%
Kansas City Southern		2,202		200,118
Union Pacific Corp.		4,470		395,192
				595,310
Transport-Services — 0.2%
Matson, Inc.		3,300		127,017
Transport-Truck — 0.2%
ArcBest Corp.		1,125		28,991
P.A.M. Transportation Services, Inc.†		255		8,428
Swift Transportation Co.†		1,275		19,151
USA Truck, Inc.†		2,250		38,767
				95,337
Veterinary Diagnostics — 0.0%
Phibro Animal Health Corp., Class A		425		13,443

14

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(15)		Value (Note 2)
COMMON STOCKS (continued)
Vitamins & Nutrition Products — 0.1%
Herbalife, Ltd.†		175	$	9,538
USANA Health Sciences, Inc.†		575		77,067
				86,605
Water — 0.2%
American States Water Co.		2,300		95,220
Web Portals/ISP — 2.6%
Alphabet, Inc., Class C†		2,577		1,567,899
Blucora, Inc.†		3,625		49,916
				1,617,815
Wireless Equipment — 0.8%
InterDigital, Inc.		3,650		184,690
Motorola Solutions, Inc.		3,780		258,477
Ubiquiti Networks, Inc.		2,125		72,016
				515,183
Total Common Stocks (cost $41,439,287)				45,405,102
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.6%
Diversified Banking Institutions — 0.5%
Societe Generale SA FRS 8.25% due 11/29/2018(2)	$	270,000		281,056
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056(3)		6,000		1
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		10,000		11,050
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		35,000		51,713
Total Preferred Securities/Capital Securities (cost $346,136)				343,820
ASSET BACKED SECURITIES — 8.6%
Diversified Financial Services — 8.6%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.36% due 01/25/2037(4)		24,409		23,482
American Credit Acceptance Receivables Trust Series 2013-1, Class A 1.45% due 04/16/2018*		559		559
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		5,000		5,023
Apidos CLO XVII FRS Series 2014-17A, Class A1A 1.79% due 04/17/2026*(5)		250,000		248,550
Apidos CLO XXI FRS Series 2015-21A, Class A1 1.71% due 07/18/2027*(5)		255,000		252,195

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.77% due 10/25/2034	$	3,258	$	3,044
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class A 1.83% due 08/05/2027*(5)		265,000		263,383
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.93% due 02/10/2051(6)		27,835		29,640
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.95% due 05/10/2045(6)		12,003		12,118
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)		100,000		102,066
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.63% due 02/25/2036(4)		50,567		45,006
Bear Stearns Commercial Mtg. Securities Trust Series 2006-PW14, Class A4 5.20% due 12/11/2038(6)		48,375		49,939
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		25,000		26,401
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		3,542		3,585
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		5,277		5,280
CD Mtg. Trust VRS Series 2006-CD2, Class A4 5.49% due 01/15/2046(6)		12,573		12,583
Cent CLO, Ltd. FRS Series 2014-22A, Class A1 1.79% due 11/07/2026*(5)		250,000		248,225
CIFC Funding 2012-II, Ltd. FRS Series 2A, Class A1R 1.68% due 12/05/2024*(5)		270,000		268,488
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(6)		20,000		21,297
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6)		20,000		21,561
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(6)		35,000		37,966
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.35% due 12/10/2049(6)		9,130		9,749

15

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.63% due 03/25/2036(4)	$	34,344	$	32,713
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(6)		40,000		41,301
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		29,869		31,851
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.23% due 12/10/2049(6)		29,507		30,679
Commercial Mtg. Trust Series 2014-CR20, Class A4 3.59% due 11/10/2047(6)		39,000		40,576
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(1)(6)		35,000		36,050
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(6)		25,000		26,209
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(6)		45,000		47,723
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(6)		43,000		45,676
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		20,000		21,455
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(6)		25,000		26,921
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(6)		50,000		53,935
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		100,000		108,988
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.38% due 07/10/2045(6)		15,000		16,585
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		25,373		26,338
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.95% due 06/10/2046(6)		32,504		32,983
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(4)		8,986		9,068
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		17,305		16,180

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(4)	$	1,010	$	963
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		326		325
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(6)		11,933		12,188
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.05% due 06/15/2057(6)(7)		337,801		20,440
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(6)		44,000		46,036
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*		24,156		24,880
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		30,000		29,985
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.31% due 05/25/2035(4)		54,692		52,757
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		35,000		34,939
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		50,000		50,143
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		15,000		15,036
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		7,000		7,014
GMAC Commercial Mtg. Securities, Inc. VRS Series 2006-C1, Class A4 5.24% due 11/10/2045(6)		32,155		32,165
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(6)		30,000		31,912
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		20,000		21,510
GS Mtg. Securities Trust Series 2013-GC14, Class A5 4.24% due 08/10/2046(6)		44,000		48,245
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(6)		17,511		17,512

16

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.29% due 03/25/2037	$	72,845	$	38,479
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.61% due 03/25/2047(4)		10,633		9,160
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.70% due 04/25/2035(4)		16,457		15,644
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(4)		23,572		21,853
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		45,000		45,011
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.73% due 05/25/2035(4)		23,707		21,831
JP Morgan Chase Commercial Mtg. Securities Trust Series 2014-C20, Class A5 3.80% due 07/15/2047(6)		43,000		45,598
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)		25,250		27,533
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)		47,779		49,375
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(6)		24,854		26,066
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(6)		23,531		25,336
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		15,000		15,815
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(6)		60,000		64,536
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(6)		50,000		54,577
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		23,578		24,579
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(6)		27,038		27,526

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.27% due 04/15/2041(6)	$	32,351	$	34,915
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.72% due 07/25/2026*(5)		270,000		267,354
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.62% due 12/25/2034(4)		13,664		13,516
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.87% due 05/12/2039(6)		25,000		25,251
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		22,756		23,602
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		25,000		26,450
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.31% due 12/15/2047(6)(7)		99,551		6,812
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(6)		35,000		36,779
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6)		35,000		37,709
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(6)		35,940		37,014
Morgan Stanley Capital I Trust VRS Series 2007-T25, Class A3 5.51% due 11/12/2049(6)		48,218		50,038
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)		50,000		52,165
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		23,347		24,833
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		15,919		14,408
MortgageIT Trust FRS Series 2005-4, Class A1 0.47% due 10/25/2035(4)		67,096		61,198
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.65% due 06/25/2036(4)		44,590		33,920
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)		9,728		9,654
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		125,000		125,000

17

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.29% due 02/25/2037	$	11,415	$	6,677
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(8)		62,736		34,994
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.86% due 08/25/2035(4)		41,864		32,659
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		1,745		1,792
Santander Drive Auto Receivables Trust Series 2013-5, Class B 1.55% due 10/15/2018		25,000		25,035
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		10,000		10,070
Santander Drive Auto Receivables Trust Series 2015-2, Class B 1.83% due 01/15/2020		45,000		44,941
Santander Drive Auto Receivables Trust Series 2013-5, Class C 2.25% due 06/17/2019		5,000		5,045
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		25,000		25,162
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.32% due 05/25/2037		32,495		22,951
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.48% due 02/20/2047(4)		39,253		34,026
Shackleton 2015-VIII CLO, Ltd. FRS Series 2015-8A, Class A1 1.82% due 10/20/2027*(5)		270,000		267,651
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.44% due 11/25/2036		50,000		34,513
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 1.76% due 04/20/2027*(5)		275,000		272,387
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		20,000		20,511
WaMu Mtg. Pass Through Certs. FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(4)		39,580		35,537

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)	$	15,000	$	15,839
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.62% due 03/25/2035(4)		31,576		32,104
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(4)		44,453		44,658
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.68% due 11/25/2034(4)		1,943		1,951
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.72% due 10/25/2036(4)		21,168		19,661
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		35,000		35,090
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(6)		20,000		20,930
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		35,000		37,536
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6)		35,000		37,688
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		36,000		39,000
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(6)		15,000		16,346
Total Asset Backed Securities (cost $5,328,672)				5,349,712
U.S. CORPORATE BONDS & NOTES — 7.4%
Aerospace/Defense-Equipment — 0.0%
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		5,000		4,600
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		25,000		22,958
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		30,000		28,900
				51,858

18

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021	$	30,000	$	30,900
Auto-Cars/Light Trucks — 0.2%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		6,000		5,979
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		25,000		24,808
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		30,000		30,310
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		40,000		41,520
				102,617
Auto/Truck Parts & Equipment-Original — 0.0%
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		15,000		15,544
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		40,000		41,500
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		35,000		35,515
Banks-Super Regional — 0.4%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		65,000		67,707
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		25,000		26,329
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		30,000		30,736
Wells Fargo & Co. Senior Notes 2.13% due 04/22/2019		25,000		25,179
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		45,000		45,397
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		30,000		33,560
				228,908
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		10,000		9,700

Security Description	Principal Amount(15)		Value (Note 2)
Brewery — 0.0%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042	$	15,000	$	12,878
Broadcast Services/Program — 0.0%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		20,000		20,600
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 5.38% due 11/15/2024*		5,000		4,937
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*		15,000		15,150
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		10,000		10,650
				30,737
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		9,000		9,821
Building-Heavy Construction — 0.0%
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		25,000		25,110
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		15,000		15,150
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		20,000		20,220
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		5,000		5,025
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,394
				45,789
Cable/Satellite TV — 0.5%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		11,000		10,313
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		15,000		14,890
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		30,000		30,016
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		25,000		24,880
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		45,000		45,398

19

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033	$	15,000	$	14,908
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		15,000		15,651
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		5,000		4,750
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		15,000		14,209
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		25,000		27,381
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		25,000		24,921
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		10,000		10,899
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,350
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		12,741
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		6,000		5,779
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		15,000		11,859
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		10,000		9,518
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		15,000		16,691
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		5,000		5,872
				304,026
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		5,000		5,247
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		10,000		7,696
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		10,000		10,175

Security Description	Principal Amount(15)		Value (Note 2)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024	$	9,000	$	8,724
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		20,000		20,325
				52,167
Coal — 0.0%
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		27,000		5,603
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		10,000		9,600
Computer Services — 0.1%
Hewlett Packard Enterprise Co. Company Guar. Notes 2.45% due 10/05/2017*		25,000		24,986
Hewlett Packard Enterprise Co. Company Guar. Notes 2.85% due 10/05/2018*		25,000		24,968
				49,954
Computers — 0.1%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		25,000		21,165
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		25,000		25,393
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		30,000		31,814
				78,372
Data Processing/Management — 0.1%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		25,000		25,050
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		9,900
				34,950
Diagnostic Equipment — 0.0%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		10,000		10,093
Danaher Corp. Senior Notes 3.35% due 09/15/2025		5,000		5,100
				15,193
Diversified Banking Institutions — 1.5%
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		10,000		9,801

20

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 5.00% due 01/21/2044	$	10,000	$	10,531
Bank of America Corp. Senior Notes 5.65% due 05/01/2018		15,000		16,367
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		25,000		26,944
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		25,000		25,143
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		35,000		34,811
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		25,000		24,936
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		90,000		97,891
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		30,000		30,082
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		10,000		10,051
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		20,000		19,631
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		37,000		41,273
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		9,000		10,764
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		15,000		18,088
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		25,000		29,185
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		28,000		33,402
JPMorgan Chase & Co. Senior Notes 2.60% due 01/15/2016		20,000		20,107
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		20,000		20,171
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		34,024
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		85,000		84,652

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021	$	10,000	$	10,777
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		35,000		38,511
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		100,000		115,024
Morgan Stanley Senior Notes 1.88% due 01/05/2018		50,000		50,129
Morgan Stanley Senior Notes 2.65% due 01/27/2020		25,000		25,118
Morgan Stanley Senior Notes 3.70% due 10/23/2024		20,000		20,095
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		20,000		19,262
Morgan Stanley Senior Notes 4.30% due 01/27/2045		30,000		28,511
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		15,000		15,077
Morgan Stanley Senior Notes 4.75% due 03/22/2017		22,000		23,047
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		5,000		5,327
				948,732
Diversified Manufacturing Operations — 0.0%
General Electric Co. Senior Notes 2.70% due 10/09/2022		8,000		8,020
Electric-Integrated — 0.1%
AES Corp. Senior Notes 4.88% due 05/15/2023		4,000		3,510
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		13,298
AES Corp. Senior Notes 8.00% due 06/01/2020		10,000		11,300
Consolidated Edison Co. of New York, Inc. Senior Notes 3.30% due 12/01/2024		10,000		10,085
Duke Energy Corp. Senior Notes 3.05% due 08/15/2022		10,000		9,946
Exelon Corp. Senior Notes 2.85% due 06/15/2020		20,000		20,175

21

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031	$	15,000	$	19,020
				87,334
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 2.50% due 05/15/2022		35,000		34,491
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		35,000		36,837
Finance-Consumer Loans — 0.0%
Navient Corp. Senior Notes 8.45% due 06/15/2018		25,000		25,703
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		10,000		11,195
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016		7,000		718
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(3)		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(3)		10,000		1
				11,915
Finance-Leasing Companies — 0.0%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		25,000		25,125
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		50,000		50,070
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		20,000		20,131
				70,201
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		10,000		10,150
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		20,000		20,200
Home Furnishings — 0.0%
Tempur Sealy International, Inc. Company Guar. Notes 5.63% due 10/15/2023*		5,000		5,019

Security Description	Principal Amount(15)		Value (Note 2)
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*	$	2,000	$	2,060
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		7,000		6,370
				8,430
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		15,000		15,333
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		5,000		4,996
				20,329
Insurance-Multi-line — 0.1%
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		25,000		37,866
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		20,000		29,662
Insurance-Property/Casualty — 0.0%
ACE INA Holdings, Inc. Company Guar. Notes 3.15% due 03/15/2025		10,000		9,753
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		5,000		4,975
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		5,000		5,067
Medtronic, Inc. Company Guar. Notes 3.15% due 03/15/2022		30,000		30,429
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		10,000		10,109
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		15,000		15,466
				61,071
Medical Labs & Testing Services — 0.0%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		12,000		12,057
Medical Products — 0.1%
Zimmer Holdings, Inc. Senior Notes 1.45% due 04/01/2017		40,000		39,920

22

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044	$	25,000	$	23,719
Gilead Sciences, Inc. Senior Notes 1.85% due 09/04/2018		20,000		20,140
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		15,000		15,118
Gilead Sciences, Inc. Senior Notes 3.50% due 02/01/2025		15,000		15,107
Gilead Sciences, Inc. Senior Notes 4.60% due 09/01/2035		5,000		5,004
				79,088
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018		30,000		29,917
AbbVie, Inc. Senior Notes 4.50% due 05/14/2035		10,000		9,653
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		25,000		24,702
				64,272
Medical-HMO — 0.2%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		25,000		25,106
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		25,000		25,984
UnitedHealth Group, Inc. Senior Notes 1.40% due 10/15/2017		25,000		25,140
UnitedHealth Group, Inc. Senior Note 1.90% due 07/16/2018		15,000		15,156
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		15,000		15,482
UnitedHealth Group, Inc. Senior Note 3.75% due 07/15/2025		10,000		10,336
				117,204
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		5,000		5,087
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		10,000		9,975

Security Description	Principal Amount(15)		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023	$	4,000	$	4,150
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		15,000		16,350
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		10,000		10,100
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		35,000		36,925
				82,587
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		10,000		10,011
Cardinal Health, Inc. Senior Notes 3.50% due 11/15/2024		35,000		34,984
McKesson Corp. Senior Notes 1.40% due 03/15/2018		20,000		19,821
				64,816
Metal-Copper — 0.1%
Freeport-McMoRan, Inc. Company Guar. Notes 4.00% due 11/14/2021		20,000		15,600
Southern Copper Corp. Senior Notes 5.25% due 11/08/2042		5,000		3,782
Southern Copper Corp. Senior Notes 5.88% due 04/23/2045		15,000		12,178
				31,560
Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		25,000		28,571
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		60,000		73,348
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		30,000		36,741
				138,660
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,928
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023*		5,000		4,387
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		5,000		4,375

23

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024	$	20,000	$	23,413
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,025
				53,128
Oil Companies-Integrated — 0.1%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		20,000		19,538
ConocoPhillips Co. Company Guar. Notes 3.35% due 05/15/2025		5,000		4,872
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		15,000		14,536
				38,946
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		3,000		2,775
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		10,000		9,500
				12,275
Pipelines — 0.3%
Crestwood Midstream Partners LP/ Crestwood Midstream Finance Corp. Company Guar. Notes 6.25% due 04/01/2023*		5,000		4,250
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		28,000		27,860
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		5,000		4,501
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		25,000		22,095
Kinder Morgan Energy Partners LP Company Guar. Notes 5.50% due 03/01/2044		20,000		16,787
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		20,000		15,869
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		3,000		2,753
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.88% due 12/01/2024		5,000		4,575

Security Description	Principal Amount(15)		Value (Note 2)
Pipelines (continued)
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022	$	25,000	$	25,619
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		10,000		9,096
Tesoro Logistics LP/ Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		10,000		9,800
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		3,880
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		10,000		9,750
Williams Partners LP Senior Notes 3.60% due 03/15/2022		25,000		23,081
Williams Partners LP Senior Notes 3.90% due 01/15/2025		15,000		12,916
Williams Partners LP Senior Notes 4.30% due 03/04/2024		15,000		13,609
				206,441
Real Estate Investment Trusts — 0.5%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		30,000		30,881
American Tower Corp. Senior Notes 3.45% due 09/15/2021		30,000		30,135
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		10,000		9,791
Duke Realty LP Senior Notes 3.75% due 12/01/2024		10,000		9,841
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		25,000		25,438
HCP, Inc. Senior Notes 3.75% due 02/01/2016		10,000		10,085
HCP, Inc. Senior Notes 4.20% due 03/01/2024		25,000		24,976
HCP, Inc. Senior Notes 6.00% due 01/30/2017		10,000		10,539
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		35,000		35,212

24

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Liberty Property LP Senior Notes 3.38% due 06/15/2023	$	10,000	$	9,729
Liberty Property LP Senior Notes 4.13% due 06/15/2022		5,000		5,123
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		50,000		48,831
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		10,000		10,458
Ventas Realty LP Company Guar. Notes 3.50% due 02/01/2025		10,000		9,664
Ventas Realty LP/ Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		5,000		5,394
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		25,000		26,147
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		16,000		17,534
				319,778
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		45,000		45,615
Rental Auto/Equipment — 0.0%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		10,000		12,435
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		5,000		4,844
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		5,000		4,675
				21,954
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		10,000		9,850
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 4.25% due 04/01/2046		20,000		20,144
Lowe's Cos, Inc. Senior Notes 3.38% due 09/15/2025		10,000		10,103
				30,247

Security Description	Principal Amount(15)		Value (Note 2)
Retail-Drug Store — 0.2%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020	$	40,000	$	40,640
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		25,000		25,770
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		20,000		21,499
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		4,396		4,840
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		8,184		9,393
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		28,171		33,409
				135,551
Retail-Perfume & Cosmetics — 0.0%
Sally Holdings LLC/ Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		20,000		20,750
Savings & Loans/Thrifts — 0.1%
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		27,000		30,456
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		5,000		5,224
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		3,000		2,936
				8,160
Security Services — 0.1%
ADT Corp. Senior Notes 3.50% due 07/15/2022		12,000		10,620
ADT Corp. Senior Notes 6.25% due 10/15/2021		35,000		36,094
				46,714
Semiconductor Components-Integrated Circuits — 0.0%
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025		25,000		23,607
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		17,000		17,808

25

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers — 0.0%
United States Steel Corp. Senior Notes 6.88% due 04/01/2021	$	10,000	$	7,600
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		15,000		11,925
				19,525
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		5,000		4,963
Telephone-Integrated — 0.3%
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		15,000		13,722
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		20,000		18,326
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020		16,000		16,047
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		52,000		47,158
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		10,000		9,305
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		15,000		13,182
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		43,000		37,027
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		19,000		17,817
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		7,000		6,371
				178,955
Television — 0.0%
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		20,000		20,300
Tobacco — 0.0%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		25,000		25,713
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.20% due 02/01/2025		5,000		4,851
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		10,000		9,058

Security Description	Principal Amount(15)		Value (Note 2)
Transport-Services (continued)
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019	$	10,000	$	10,024
Ryder System, Inc. Notes 2.65% due 03/02/2020		25,000		24,915
				48,848
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		15,000		15,091
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,976
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		21,000		22,316
				42,383
Total U.S. Corporate Bonds & Notes (cost $4,689,525)				4,663,886
FOREIGN CORPORATE BONDS & NOTES — 1.1%
Banks-Commercial — 0.3%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		100,000		108,145
Credit Suisse New York Sub. Notes 5.40% due 01/14/2020		34,000		37,689
				145,834
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		10,000		9,781
Diversified Banking Institutions — 0.1%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		18,000		17,897
HSBC Holdings PLC Senior Notes 4.00% due 03/30/2022		25,000		26,259
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022		10,000		10,790
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		7,000		7,522
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		5,000		5,411
				67,879

26

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*	$	14,000	$	9,030
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		2,000		2,145
Investment Management/Advisor Services — 0.0%
Intercorp Peru, Ltd. Senior Notes 5.88% due 02/12/2025*		10,000		9,500
Medical-Generic Drugs — 0.2%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		75,000		75,299
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		40,000		40,035
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		15,000		13,619
				128,953
Oil Companies-Exploration & Production — 0.1%
EnCana Corp. Senior Notes 6.50% due 05/15/2019		25,000		27,415
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		10,000		8,600
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,695
Nexen Energy ULC Company Guar. Notes 6.40% due 05/15/2037		15,000		17,642
				58,352
Oil Companies-Integrated — 0.2%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		15,000		15,204
BP Capital Markets PLC Company Guar. Notes 3.06% due 03/17/2022		10,000		10,023
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		15,000		13,087
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		10,000		7,625
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		20,000		13,050
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		23,000		18,458

Security Description	Principal Amount(15)		Value (Note 2)
Oil Companies-Integrated (continued)
Petroleos Mexicanos Company Guar. Notes 7.47% due 11/12/2026	MXN	500,000	$	27,211
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043	$	20,000		18,672
				123,330
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		10,000		9,550
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		5,000		4,694
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 7.00% due 02/25/2022		2,000		1,820
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		20,000		28,593
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		20,000		20,384
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		10,000		13,359
Kansas City Southern de Mexico SA de CV Senior Notes 3.00% due 05/15/2023		50,000		48,376
				61,735
Total Foreign Corporate Bonds & Notes (cost $704,172)				681,580
MUNICIPAL BONDS & NOTES — 0.4%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		20,000		22,406
New Jersey Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		30,000		41,720
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		11,000		11,834

27

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038	$	75,000	$	23,250
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		25,000		7,750
State of California General Obligation Bonds 7.55% due 04/01/2039		45,000		64,818
State of California General Obligation Bonds 7.63% due 03/01/2040		25,000		35,872
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		5,000		4,684
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		15,000		15,951
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		15,000		16,081
Total Municipal Bonds & Notes (cost $254,030)				244,366
U.S. GOVERNMENT AGENCIES — 9.5%
Federal Home Loan Mtg. Corp. — 1.6%
1.89% due 02/01/2037 FRS		2,233		2,351
2.50% due 01/01/2028		5,240		5,394
2.50% due 04/01/2028		15,151		15,598
3.00% due 10/01/2042		12,092		12,291
3.00% due 11/01/2042		6,422		6,513
3.00% due 02/01/2043		21,040		21,332
3.00% due 08/01/2043		99,581		101,003
3.50% due 03/01/2042		4,239		4,430
3.50% due 09/01/2043		48,853		51,136
3.50% due October TBA		400,000		416,188
4.00% due 09/01/2040		8,258		8,820
4.50% due 01/01/2039		1,255		1,359
5.00% due 07/01/2021		28,652		29,946
5.50% due 07/01/2034		4,650		5,150
6.00% due 08/01/2036		8,028		9,085
6.50% due 05/01/2029		946		1,082
6.50% due 05/01/2036		33		37
7.50% due 08/01/2023		88		95
7.50% due 04/01/2028		980		1,168
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2015-DNA1, Class M2 2.04% due 10/25/2027(4)		250,000		248,786

Security Description	Principal Amount(15)		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(4)	$	1,306	$	1,320
Series 1577, Class PK 6.50% due 09/15/2023(4)		2,951		3,240
Series 1226, Class Z 7.75% due 03/15/2022(4)		413		443
Freddie Mac Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.83% due 03/25/2045*(6)		20,000		20,262
Series 2014-K503, Class B 3.08% due 10/25/2047*(6)		20,000		20,343
Series 2012-K706, Class B 4.17% due 11/25/2044 *(6)		20,000		21,023
Series 2010-K8, Class B 5.41% due 09/25/2043*(6)		25,000		27,996
				1,036,391
Federal National Mtg. Assoc. — 6.0%
2.21% due 05/01/2037 FRS		3,791		3,998
2.50% due October TBA		100,000		101,947
2.50% due 02/01/2043		87,932		86,241
2.59% due 10/01/2040 FRS		3,580		3,801
2.64% due 03/01/2027		24,780		24,435
2.78% due 03/01/2027		21,000		20,869
2.97% due 06/01/2027		35,000		35,348
2.97% due 06/01/2030		40,000		39,799
3.00% due 01/01/2028		13,451		14,019
3.00% due October TBA		400,000		408,164
3.13% due 02/01/2027		45,000		46,047
3.50% due 08/01/2026		16,620		17,585
3.50% due 09/01/2026		16,546		17,548
3.50% due 10/01/2028		19,705		20,964
3.50% due October TBA		1,300,000		1,356,103
4.00% due 11/01/2025		2,909		3,098
4.00% due 09/01/2040		7,687		8,215
4.00% due 11/01/2040		2,243		2,397
4.00% due 12/01/2040		29,535		31,566
4.00% due 10/01/2041		9,937		10,620
4.00% due 11/01/2041		11,121		11,876
4.00% due 01/01/2042		12,673		13,562
4.00% due 12/01/2043		25,403		27,495
4.00% due October TBA		300,000		320,004
4.50% due 11/01/2022		10,967		11,462
4.50% due 01/01/2039		3,487		3,786
4.50% due 06/01/2039		36,184		39,604
4.50% due 09/01/2039		6,310		6,855
4.50% due 09/01/2040		13,352		14,473
4.50% due 05/01/2041		7,033		7,645
4.50% due October TBA		400,000		433,606
4.93% due 11/01/2015		12,627		12,601
5.00% due 06/01/2019		566		593
5.00% due 05/01/2035		1,131		1,247
5.00% due 06/01/2040		51,099		56,427
5.00% due 07/01/2040		11,997		13,236
5.00% due October TBA		200,000		220,363
5.50% due 11/01/2020		3,501		3,720
5.50% due 04/01/2021		60,890		65,959

28

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
5.50% due 12/01/2029	$	1,895	$	2,114
5.50% due 06/01/2035		129,077		144,018
5.50% due 08/01/2037		18,393		20,515
5.50% due 06/01/2038		10,654		11,985
6.00% due 06/01/2017		1,070		1,101
6.00% due 12/01/2033		8,222		9,367
6.00% due 05/01/2034		622		709
6.00% due 06/01/2040		259		292
6.50% due 08/01/2017		2,025		2,075
6.50% due 10/01/2037		298		340
7.00% due 06/01/2037		9,439		11,105
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		11,347		11,346
				3,732,245
Government National Mtg. Assoc. — 1.9%
3.00% due October TBA		100,000		102,045
3.50% due October TBA		400,000		419,109
4.00% due 09/15/2041		366,847		393,320
4.50% due 06/15/2041		197,773		214,633
6.00% due 11/15/2031		49,179		55,255
7.00% due 05/15/2033		8,747		10,539
8.50% due 11/15/2017		106		110
9.00% due 11/15/2021		127		145
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(4)		191		224
Series 2005-74, Class HC 7.50% due 09/16/2035(4)		2,463		2,860
				1,198,240
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		6,000		6,117
Total U.S. Government Agencies (cost $5,905,526)				5,972,993
U.S. GOVERNMENT TREASURIES — 3.5%
United States Treasury Bonds — 0.9%
2.50% due 02/15/2045		165,000		151,899
2.88% due 08/15/2045		80,000		79,960
3.00% due 05/15/2045		95,000		97,219
3.38% due 05/15/2044		66,000		72,437
4.38% due 11/15/2039(14)		145,000		186,061
				587,576
United States Treasury Notes — 2.6%
0.25% due 01/15/2025 TIPS(10)		574,332		550,484
0.38% due 07/15/2025 TIPS(10)		543,440		529,366
0.88% due 09/15/2016		160,000		160,746
1.63% due 06/30/2020		380,000		384,794
				1,625,390
Total U.S. Government Treasuries (cost $2,195,212)				2,212,966

Security Description	Principal Amount(15)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 0.7%
Oil Companies-Integrated — 0.0%
Petroleos de Venezuela SA Company Guar. Notes 9.75% due 05/17/2035	$	25,000	$	9,063
Sovereign — 0.7%
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 05/15/2019(10)	BRL	70,180		17,074
Brazil Notas do Tesouro Nacional Serie B Notes 6.00% due 08/15/2016(10)	BRL	86,376		21,827
Federal Republic of Nigeria Bonds 12.15% due 07/18/2034	NGN	900,000		3,677
Government of Romania Bonds 5.85% due 04/26/2023	RON	10,000		2,925
Kingdom of Thailand Senior Notes 3.85% due 12/12/2025	THB	350,000		10,522
Malaysia Government Bond Senior Bonds 3.49% due 03/31/2020	MYR	55,000		12,359
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(10)	UYU	566,930		13,064
Oriental Republic of Uruguay Bonds 4.25% due 04/05/2027(10)	UYU	679,364		19,020
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(10)	UYU	199,649		5,514
Republic of Colombia Bonds 3.00% due 03/25/2033(10)	COP	42,536,307		11,544
Republic of Colombia Bonds 3.50% due 03/10/2021(10)	COP	21,268,154		6,975
Republic of Costa Rica Bonds 9.20% due 03/27/2019*	CRC	4,350,000		8,492
Republic of Hungary Bonds 5.50% due 06/24/2025	HUF	850,000		3,564
Republic of Peru Senior Notes 4.13% due 08/25/2027		10,000		9,800
Republic of Poland Bonds 3.25% due 07/25/2025	PLN	78,000		21,238
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	275,000		19,238
Republic of South Africa Bonds 8.50% due 01/31/2037	ZAR	265,000		18,113

29

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)			Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Turkey Bonds 2.50% due 05/04/2016(10)	TRY	141,022		$	46,007
Russian Federation Senior Bonds 7.50% due 02/27/2019	RUB	380,000			5,251
Russian Federation Bonds 7.85% due 03/10/2018	RUB	5,000,000			71,338
United Mexican States FRS Bonds 3.03% due 05/28/2020	MXN	871,000			51,041
United Mexican States Senior Bonds 4.75% due 03/08/2044		12,000			10,950
United Mexican States Bonds 10.00% due 12/05/2024	MXN	230,000			17,330
					406,863
Total Foreign Government Obligations (cost $466,798)					415,926
OPTIONS — PURCHASED†(3)(13) — 0.0%
Call Options — Purchased (cost $173)	HKD	395,000			228
Total Long-Term Investment Securities (cost $61,329,531)					65,290,579
SHORT-TERM INVESTMENT SECURITIES — 0.1%
Time Deposits — 0.1%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/01/15 (cost $92,000)	$	92,000			92,000
REPURCHASE AGREEMENTS — 0.6%
Bank of America Securities LLC Joint Repurchase Agreement(11)		55,000			55,000
Barclays Capital, Inc. Joint Repurchase Agreement(11)		75,000			75,000
BNP Paribas SA Joint Repurchase Agreement(11)		75,000			75,000
Deutsche Bank AG Joint Repurchase Agreement(11)		55,000			55,000
RBS Securities, Inc. Joint Repurchase Agreement(11)		100,000			100,000
Total Repurchase Agreements (cost $360,000)					360,000
TOTAL INVESTMENTS (cost $61,781,531)(12)		105.0	%		65,742,579
Liabilities in excess of other assets		(5.0	)		(3,134,330	)
NET ASSETS		100.0	%	$	62,608,249

†  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, 2015, the aggregate value of these securities was $3,620,855 representing 5.8% 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, 2015, the aggregate value of these securities was $1,525 representing 0.0% of net assets.

(4)  Collateralized Mortgage Obligation

(5)  Collateralized Loan Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

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

(9)  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, 2015, 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	$	1,294	$	646.94		0.0	%

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

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

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

30

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

(13)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2015		Unrealized Appreciation (Depreciation)
Call option to buy Hong Kong Dollar in exchange for U.S. dollars with Goldman Sachs International	March 2016	$	7.75	HKD	395,000	$	173	$	228	$	55

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

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

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

CRC — Costa Rican Colón

CVR — Contingent Value Rights

HUF — Hungarian Forint

HKD — Hong Kong Dollar

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

PLN — Polish Zloty

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

RUB — Russian Ruble

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

TIPS — Treasury Inflation Protected Securities

THB — Thailand Baht

TRY — Turkish Lira

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, 2015 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	1	Long	Russell 2000 Mini Index	December 2015	$	115,402	$	109,590	$	(5,812	)
	2	Long	U.S. Treasury 2YR Notes	December 2015		437,156		438,062		906
	36	Long	U.S. Treasury 5YR Notes	December 2015		4,306,301		4,338,562		32,261
	30	Short	U.S. Treasury 10YR Notes	December 2015		3,825,753		3,862,031		(36,278	)
	1	Short	U.S. Long Bonds	December 2015		154,539		157,344		(2,805	)
									$	(11,728	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	PLN	80,000	USD	21,099	12/16/2015	$	92	$	—
	TRY	35,000	USD	11,233	12/16/2015		—		(70	)
							92		(70	)
Barclays Bank PLC	IDR	123,000,000	USD	8,521	05/18/2016		796		—
	KES	300,000	USD	2,740	12/16/2015		—		(85	)
	USD	22,512	MYR	95,000	12/16/2015		—		(939	)
							796		(1,024	)
BNP Paribas SA	COP	2,327,000	USD	742	12/16/2015		—		(5	)
	CZK	450,000	USD	18,738	12/16/2015		202		—
	RUB	4,665,000	USD	68,452	12/16/2015		—		(1,057	)
	USD	22,782	NGN	4,135,000	10/08/2015		—		(2,043	)
	ZAR	234,000	USD	16,651	12/17/2015		—		(11	)
							202		(3,116	)

31

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	CRC	4,733,000	USD	8,707	12/16/2015	$	—	$	(66	)
	NGN	4,135,000	USD	18,136	10/08/2015		—		(2,603	)
	NGN	1,091,000	USD	4,871	12/16/2015		—		(445	)
	THB	390,000	USD	10,631	12/16/2015		—		(85	)
	USD	13,693	KES	1,498,000	12/16/2015		413		—
	USD	9,355	RSD	1,000,000	12/16/2015		—		(67	)
	UYU	390,000	USD	13,129	12/16/2015		234		—
	ZAR	342,000	USD	24,488	12/17/2015		136		—
							783		(3,266	)
Deutsche Bank AG	CNY	80,000	USD	12,140	07/28/2016		—		(112	)
	HKD	355,000	USD	45,792	12/16/2015		—		(13	)
	MYR	190,000	USD	43,113	12/16/2015		—		(32	)
	USD	17,610	INR	1,190,000	12/16/2015		317		—
							317		(157	)
Goldman Sachs International	CNY	20,000	USD	3,042	07/28/2016		—		(21	)
	COP	21,800,000	USD	7,044	12/16/2015		45		—
	HKD	200,000	USD	25,792	03/03/2016		—		(9	)
	HUF	2,000,000	USD	7,091	12/16/2015		—		(36	)
	USD	21,789	MYR	95,000	12/16/2015		—		(216	)
	USD	9,180	RSD	983,000	12/16/2015		—		(50	)
	USD	30,689	ZAR	436,000	12/17/2015		357		—
	USD	15,663	IDR	242,000,000	05/18/2016		—		(464	)
	ZAR	228,000	USD	16,022	12/17/2015		—		(213	)
							402		(1,009	)
HSBC Bank USA, N.A.	BRL	30,000	USD	7,468	12/02/2015		63		—
	MYR	240,000	USD	55,383	12/16/2015		884		—
	TRY	45,000	USD	14,377	12/16/2015		—		(156	)
	USD	3,608	HUF	1,000,000	12/16/2015		—		(44	)
	UYU	820,000	USD	27,570	12/02/2015		277		—
							1,224		(200	)
JPMorgan Chase Bank	IDR	119,000,000	USD	8,221	05/18/2016		747		—
	INR	1,190,000	USD	17,737	12/16/2015		—		(190	)
	MXN	300,000	USD	17,670	12/16/2015		29		—
	RON	10,000	USD	2,516	12/16/2015		—		(9	)
	RUB	340,000	USD	5,036	12/16/2015		—		(30	)
	TRY	49,000	USD	15,908	12/16/2015		83		—
	USD	21,348	MYR	95,000	12/16/2015		224		—
	USD	15,952	CNY	100,000	07/28/2016		—		(637	)
	ZAR	338,000	USD	23,985	12/17/2015		—		(83	)
							1,083		(949	)
Morgan Stanley and Co., Inc.	BRL	310,000	USD	75,394	12/02/2015		—		(1,123	)
	COP	11,034,000	USD	3,584	12/16/2015		41		—
	TRY	7,000	USD	2,240	12/16/2015		—		(21	)
							41		(1,144	)
Royal Bank of Canada	MXN	1,503,000	USD	88,599	12/16/2015		216		—
Standard Chartered Bank	KES	1,198,000	USD	10,891	12/16/2015		—		(390	)
	USD	8,844	MXN	150,000	12/16/2015		—		(23	)
							—		(413	)
State Street Bank and Trust Co.	COP	5,839,000	USD	1,856	12/16/2015		—		(21	)
	USD	16,195	BRL	68,000	12/02/2015		591		—
							591		(21	)
Net Unrealized Appreciation(Depreciation)						$	5,747	$	(11,369	)

32

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

BRL — Brazilian Real
CNY — Chinese Yuan
COP — Colombina Peso
CRC — Costa Rican Colon
CZK — Czech Republic Koruna
HKD — Hong Kong Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
KES — Kenyan Shilling
MXN — Mexican Peso
MYR — Myalaysian Ringgit
NGN — Nigerian Naira
PLN — Polish Zloty
RON — Romanian Leu
RSD — Servian Dinar
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Over the Counter Credit Default Swaps on Sovereign Issues — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
Federative Republic of Brazil Senior Notes 4.25% due 01/07/2025		(1.00	)%	09/20/2020	Goldman Sachs International		4.73	%	$	10,000	$	1,588	$	1,204	$	384
United Mexican States Senior Notes 5.95% due 03/19/2019		(1.00	)	09/20/2020	Goldman Sachs International		1.73			20,000		684		595		89
											$	2,272	$	1,799	$	473

(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.

33

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Medical-Biomedical/Gene	$	2,607,019	$	—	$	0	$	2,607,019
Television		74,694		—		1,294		75,988
Other Industries		42,722,095		—		—		42,722,095
Preferred Securities/Capital Securities		—		343,820		—		343,820
Asset Backed Securities:
Diversified Financial Services		—		5,313,662		36,050		5,349,712
U.S. Corporate Bonds & Notes		—		4,663,886		—		4,663,886
Foreign Corporate Bonds & Notes		—		681,580		—		681,580
Municipal Bond & Notes		—		244,366		—		244,366
U.S. Government Agencies		—		5,972,993		—		5,972,993
U.S. Government Treasuries		—		2,212,966		—		2,212,966
Foreign Government Obligations		—		415,926		—		415,926
Options - Purchased		228		—		—		228
Short-Term Investment Securities		—		92,000		—		92,000
Repurchase Agreements		—		360,000		—		360,000
Total Investments at Value	$	45,404,036	$	20,301,199	$	37,344	$	65,742,579
Other Financial Instruments:†
Futures Contracts	$	33,167	$	—	$	—	$	33,167
Forward Foreign Currency Contracts		—		5,747		—		5,747
Over the Counter Credit Default Swaps on
Sovereign Issues-Buy Protection		—		473		—		473
Total Other Financial Instruments	$	33,167	$	6,220	$	—	$	39,387
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	44,895	$	—	$	—	$	44,895
Forward Foreign Currency Contracts		—		11,369		—		11,369
Total Other Financial Instruments	$	44,895	$	11,369	$	—	$	56,264

*  For a detailed presentation of investments, 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 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

34

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Diversified Financial Services	14.0	%
Federal National Mtg. Assoc.	9.0
Government National Mtg. Assoc.	3.6
Medical-Biomedical/Gene	3.4
Medical-Drugs	3.4
Diversified Banking Institutions	3.1
Banks-Commercial	3.1
Real Estate Investment Trusts	3.0
Federal Home Loan Mtg. Corp.	2.8
Repurchase Agreements	2.8
United States Treasury Notes	2.7
Computers	2.2
Web Portals/ISP	2.0
Cable/Satellite TV	1.7
Retail-Restaurants	1.7
Enterprise Software/Service	1.3
Multimedia	1.1
Sovereign	1.1
Electronic Components-Semiconductors	1.1
Computer Services	1.0
Internet Content-Entertainment	1.0
Finance-Credit Card	1.0
Retail-Building Products	1.0
Instruments-Controls	0.9
Cosmetics & Toiletries	0.9
Transport-Rail	0.8
E-Commerce/Products	0.8
Commercial Services-Finance	0.8
United States Treasury Bonds	0.8
Diversified Manufacturing Operations	0.8
Tobacco	0.8
Medical Products	0.8
Retail-Auto Parts	0.7
Wireless Equipment	0.7
Medical Instruments	0.7
Telephone-Integrated	0.6
Airlines	0.6
Chemicals-Diversified	0.6
Cellular Telecom	0.6
Electronic Components-Misc.	0.6
Pharmacy Services	0.6
Athletic Footwear	0.6
Food-Retail	0.6
Pipelines	0.6
Medical-Hospitals	0.6
Semiconductor Components-Integrated Circuits	0.6
Municipal Bonds & Notes	0.5
Food-Confectionery	0.5
Banks-Super Regional	0.5
Retail-Discount	0.5
Finance-Investment Banker/Broker	0.5
Oil Companies-Exploration & Production	0.5
Industrial Gases	0.5
E-Commerce/Services	0.5
Aerospace/Defense-Equipment	0.5
Medical-HMO	0.5
Computer Aided Design	0.5
Auto/Truck Parts & Equipment-Original	0.5
Electronic Connectors	0.4
Auto-Cars/Light Trucks	0.4

Machinery-General Industrial	0.4	%
Applications Software	0.4
Electric-Integrated	0.4
Containers-Metal/Glass	0.4
Oil Companies-Integrated	0.4
Time Deposits	0.4
Retail-Major Department Stores	0.4
Food-Wholesale/Distribution	0.4
Beverages-Non-alcoholic	0.4
Retail-Drug Store	0.4
Entertainment Software	0.4
Apparel Manufacturers	0.4
Savings & Loans/Thrifts	0.3
Cruise Lines	0.3
Telecommunication Equipment	0.3
Medical Information Systems	0.3
Finance-Other Services	0.3
Medical-Generic Drugs	0.3
Energy-Alternate Sources	0.3
Insurance-Property/Casualty	0.3
Electronic Design Automation	0.3
Oil-Field Services	0.3
Retail-Apparel/Shoe	0.3
Recreational Vehicles	0.3
Food-Misc./Diversified	0.3
Retail-Gardening Products	0.3
Engineering/R&D Services	0.3
Investment Management/Advisor Services	0.3
Insurance Brokers	0.3
Retail-Catalog Shopping	0.3
Data Processing/Management	0.3
Rubber-Tires	0.2
Beverages-Wine/Spirits	0.2
Internet Content-Information/News	0.2
Electronic Forms	0.2
Insurance-Life/Health	0.2
Metal Processors & Fabrication	0.2
Real Estate Management/Services	0.2
Gas-Distribution	0.2
Transport-Services	0.2
Real Estate Operations & Development	0.2
Telecom Services	0.2
Electronic Measurement Instruments	0.2
Advertising Services	0.2
Human Resources	0.2
Schools	0.2
Financial Guarantee Insurance	0.2
Oil Refining & Marketing	0.2
Insurance-Multi-line	0.2
Toys	0.2
Retail-Video Rentals	0.2
Therapeutics	0.2
Medical-Wholesale Drug Distribution	0.2
Television	0.2
Gambling (Non-Hotel)	0.2
Non-Ferrous Metals	0.2
MRI/Medical Diagnostic Imaging	0.2
Containers-Paper/Plastic	0.2
Steel-Producers	0.2
Networking Products	0.2

35

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Distribution/Wholesale	0.2	%
Printing-Commercial	0.2
Building & Construction Products-Misc.	0.2
Agricultural Chemicals	0.1
Finance-Consumer Loans	0.1
Retail-Hair Salons	0.1
Building-Heavy Construction	0.1
Trucking/Leasing	0.1
Retail-Regional Department Stores	0.1
Transport-Truck	0.1
Water	0.1
Office Supplies & Forms	0.1
Semiconductor Equipment	0.1
Building Societies	0.1
Building-Residential/Commercial	0.1
Security Services	0.1
Vitamins & Nutrition Products	0.1
Metal-Diversified	0.1
Internet Application Software	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Diagnostic Kits	0.1
Chemicals-Specialty	0.1
Research & Development	0.1
Broadcast Services/Program	0.1
Poultry	0.1
Finance-Leasing Companies	0.1
Engines-Internal Combustion	0.1
Banks-Fiduciary	0.1
Insurance-Mutual	0.1
Power Converter/Supply Equipment	0.1
Lasers-System/Components	0.1
Independent Power Producers	0.1
Metal-Copper	0.1
Publishing-Books	0.1
Telecom Equipment-Fiber Optics	0.1
Building Products-Cement	0.1
Computer Software	0.1
Home Furnishings	0.1
Banks-Mortgage	0.1
Transactional Software	0.1
Footwear & Related Apparel	0.1
Diagnostic Equipment	0.1
Rental Auto/Equipment	0.1
Retail-Perfume & Cosmetics	0.1
Hazardous Waste Disposal	0.1
	111.1	%

*  Calculated as a percentage of net assets

36

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 57.7%
Advertising Services — 0.2%
Marchex, Inc., Class B		8,975	$	36,169
Nielsen Holdings PLC		4,375		194,556
				230,725
Aerospace/Defense-Equipment — 0.5%
AAR Corp.		8,100		153,657
Moog, Inc., Class A†		1,075		58,125
United Technologies Corp.		3,677		327,216
				538,998
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		7,400		40,996
Airlines — 0.6%
Alaska Air Group, Inc.		2,275		180,749
United Continental Holdings, Inc.†		10,150		538,457
				719,206
Apparel Manufacturers — 0.3%
Carter's, Inc.		3,656		331,380
Applications Software — 0.4%
NetSuite, Inc.†		2,528		212,099
Progress Software Corp.†		600		15,498
ServiceNow, Inc.†		3,239		224,949
				452,546
Athletic Equipment — 0.0%
Nautilus, Inc.†		2,650		39,750
Athletic Footwear — 0.6%
NIKE, Inc., Class B		5,510		677,565
Audio/Video Products — 0.0%
VOXX International Corp.†		2,200		16,324
Auto/Truck Parts & Equipment-Original — 0.4%
American Axle & Manufacturing Holdings, Inc.†		675		13,459
Dana Holding Corp.		2,025		32,157
Delphi Automotive PLC		5,019		381,645
Tower International, Inc.†		2,400		57,024
				484,285
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		6,450		128,097
Banks-Commercial — 1.6%
1st Source Corp.		985		30,338
BancFirst Corp.		1,350		85,185
BancorpSouth, Inc.		3,750		89,137
Banner Corp.		900		42,993
BBCN Bancorp, Inc.		1,250		18,775
Capital Bank Financial Corp., Class A†		3,850		116,385
Cathay General Bancorp, Class B		1,475		44,191
Central Pacific Financial Corp.		6,900		144,693
Chemical Financial Corp.		575		18,601
Citizens & Northern Corp.		400		7,808
City Holding Co.		925		45,603
CoBiz Financial, Inc.		1,025		13,335
CVB Financial Corp.		6,325		105,627

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
East West Bancorp, Inc.		93	$	3,573
First Commonwealth Financial Corp.		8,625		78,401
First Financial Bancorp		150		2,862
First Interstate BancSystem, Inc.		525		14,616
FNB Corp.		2,325		30,109
Fulton Financial Corp.		1,600		19,360
Guaranty Bancorp		625		10,294
MainSource Financial Group, Inc.		500		10,180
National Penn Bancshares, Inc.		1,050		12,338
OFG Bancorp		4,075		35,575
PacWest Bancorp		5,243		224,453
Sierra Bancorp		425		6,783
Simmons First National Corp., Class A		575		27,560
Southside Bancshares, Inc.		288		7,934
Southwest Bancorp, Inc.		825		13,538
Suffolk Bancorp		1,972		53,875
TCF Financial Corp.		3,800		57,608
UMB Financial Corp.		575		29,216
Union Bankshares Corp.		5,209		125,016
Webster Financial Corp.		350		12,471
West Bancorporation, Inc.		1,475		27,656
Westamerica Bancorporation		5,225		232,199
Wilshire Bancorp, Inc.		3,025		31,793
				1,830,081
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		2,700		70,416
Beverages-Non-alcoholic — 0.4%
Coca-Cola Co.		10,625		426,275
Beverages-Wine/Spirits — 0.2%
Brown-Forman Corp., Class B		2,931		284,014
Broadcast Services/Program — 0.1%
Nexstar Broadcasting Group, Inc., Class A		1,325		62,739
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		2,975		54,591
Building Products-Cement — 0.1%
Continental Building Products, Inc.†		3,550		72,917
Cable/Satellite TV — 1.0%
Comcast Corp., Class A		15,879		903,198
Time Warner Cable, Inc.		1,492		267,620
				1,170,818
Casino Hotels — 0.0%
Boyd Gaming Corp.†		650		10,595
Cellular Telecom — 0.5%
T-Mobile US, Inc.†		13,300		529,473
Chemicals-Diversified — 0.6%
LyondellBasell Industries NV, Class A		3,703		308,682
PPG Industries, Inc.		4,500		394,605
				703,287

37

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		1,175	$	56,588
OM Group, Inc.		1,825		60,024
				116,612
Coal — 0.0%
SunCoke Energy, Inc.		2,200		17,116
Commercial Services — 0.0%
HMS Holdings Corp.†		4,025		35,299
Medifast, Inc.†		250		6,715
				42,014
Commercial Services-Finance — 0.8%
EVERTEC, Inc.		600		10,842
Heartland Payment Systems, Inc.		1,050		66,161
MasterCard, Inc., Class A		8,518		767,642
MoneyGram International, Inc.†		2,000		16,040
Vantiv, Inc., Class A†		825		37,059
				897,744
Computer Aided Design — 0.5%
ANSYS, Inc.†		2,679		236,127
Aspen Technology, Inc.†		8,100		307,071
				543,198
Computer Services — 0.9%
Amdocs, Ltd.		8,939		508,451
Cognizant Technology Solutions Corp., Class A†		2,289		143,314
Convergys Corp.		8,175		188,924
Insight Enterprises, Inc.†		1,825		47,176
Science Applications International Corp.		3,125		125,656
Unisys Corp.†		7,500		89,250
				1,102,771
Computer Software — 0.1%
AVG Technologies NV†		3,300		71,775
Computers — 2.1%
Apple, Inc.		22,246		2,453,734
Consulting Services — 0.0%
CRA International, Inc.†		1,000		21,580
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		900		23,706
Containers-Metal/Glass — 0.4%
Crown Holdings, Inc.†		9,429		431,377
Containers-Paper/Plastic — 0.2%
Graphic Packaging Holding Co.		14,450		184,815
Cosmetics & Toiletries — 0.9%
Colgate-Palmolive Co.		7,120		451,835
Estee Lauder Cos., Inc., Class A		6,921		558,386
				1,010,221
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		6,836		391,703

Security Description	Shares		Value (Note 2)
Data Processing/Management — 0.2%
CSG Systems International, Inc.		1,875	$	57,750
Fair Isaac Corp.		1,350		114,075
				171,825
Diagnostic Equipment — 0.0%
Affymetrix, Inc.†		1,100		9,394
Diagnostic Kits — 0.1%
Quidel Corp.†		6,319		119,303
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		275		14,814
Distribution/Wholesale — 0.2%
Essendant, Inc.		5,450		176,743
Diversified Manufacturing Operations — 0.8%
A.O. Smith Corp.		4,263		277,905
Blount International, Inc.†		800		4,456
Colfax Corp.†		9,252		276,727
Dover Corp.		5,802		331,759
				890,847
Drug Delivery Systems — 0.0%
BioDelivery Sciences International, Inc.†		5,400		30,024
Revance Therapeutics, Inc.†		575		17,112
				47,136
E-Commerce/Products — 0.8%
Amazon.com, Inc.†		1,893		969,008
E-Commerce/Services — 0.5%
Priceline Group, Inc.†		452		559,061
Electric-Distribution — 0.0%
EnerNOC, Inc.†		4,900		38,710
Spark Energy, Inc., Class A		675		11,171
				49,881
Electric-Generation — 0.0%
Atlantic Power Corp.		28,600		53,196
Electric-Integrated — 0.2%
El Paso Electric Co.		1,775		65,356
NorthWestern Corp.		475		25,569
PNM Resources, Inc.		1,325		37,166
Portland General Electric Co.		2,625		97,046
				225,137
Electronic Components-Misc. — 0.6%
Benchmark Electronics, Inc.†		400		8,704
Sanmina Corp.†		4,375		93,493
Stoneridge, Inc.†		5,600		69,104
TE Connectivity, Ltd.		8,338		499,363
Vishay Intertechnology, Inc.		1,675		16,231
				686,895
Electronic Components-Semiconductors — 1.1%
Avago Technologies, Ltd.		2,343		292,898
Fairchild Semiconductor International, Inc.†		12,750		179,010
Freescale Semiconductor, Ltd.†		7,880		288,250
Intersil Corp., Class A		5,050		59,085
PMC-Sierra, Inc.†		5,550		37,574

38

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors (continued)
Rovi Corp.†		12,350	$	129,552
Texas Instruments, Inc.		5,372		266,021
				1,252,390
Electronic Connectors — 0.4%
Amphenol Corp., Class A		9,810		499,918
Electronic Design Automation — 0.3%
Cadence Design Systems, Inc.†		16,882		349,120
Electronic Forms — 0.2%
Adobe Systems, Inc.†		3,244		266,722
Electronic Measurement Instruments — 0.2%
National Instruments Corp.		8,452		234,881
Energy-Alternate Sources — 0.3%
First Solar, Inc.†		1,275		54,506
Renewable Energy Group, Inc.†		1,075		8,901
REX American Resources Corp.†		4,475		226,524
Sunrun, Inc.†		6,175		64,035
				353,966
Engineering/R&D Services — 0.3%
Argan, Inc.		2,975		103,173
EMCOR Group, Inc.		3,775		167,044
VSE Corp.		1,175		47,082
				317,299
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		5,550		107,171
Enterprise Software/Service — 1.2%
MedAssets, Inc.†		6,075		121,864
Oracle Corp.		18,780		678,334
Tyler Technologies, Inc.†		1,051		156,925
Ultimate Software Group, Inc.†		1,975		353,545
Xactly Corp†		4,200		32,760
				1,343,428
Entertainment Software — 0.3%
Take-Two Interactive Software, Inc.†		10,200		293,046
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		175		34,452
Finance-Consumer Loans — 0.0%
Nelnet, Inc., Class A		1,575		54,511
Finance-Credit Card — 1.0%
American Express Co.		4,263		316,016
Visa, Inc., Class A		12,032		838,149
				1,154,165
Finance-Investment Banker/Broker — 0.5%
Cowen Group, Inc., Class A†		7,600		34,656
E*TRADE Financial Corp.†		10,326		271,884
INTL. FCStone, Inc.†		200		4,938
Investment Technology Group, Inc.		3,700		49,358
LPL Financial Holdings, Inc.		4,089		162,620
Stifel Financial Corp.†		625		26,312
				549,768

Security Description	Shares		Value (Note 2)
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		900	$	12,645
Finance-Other Services — 0.3%
BGC Partners, Inc., Class A		2,250		18,495
Intercontinental Exchange, Inc.		1,094		257,079
MarketAxess Holdings, Inc.		1,050		97,524
				373,098
Financial Guarantee Insurance — 0.2%
MGIC Investment Corp.†		21,132		195,682
NMI Holdings, Inc., Class A†		3,725		28,310
				223,992
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		350		9,223
Food-Confectionery — 0.5%
Amplify Snack Brands, Inc.†		1,425		15,262
Hershey Co.		6,578		604,386
				619,648
Food-Misc./Diversified — 0.1%
B&G Foods, Inc.		1,275		46,473
Blue Buffalo Pet Products, Inc.†		725		12,985
Pinnacle Foods, Inc.		2,075		86,901
				146,359
Food-Retail — 0.6%
Ingles Markets, Inc., Class A		1,575		75,332
Kroger Co.		15,865		572,251
Smart & Final Stores, Inc.†		1,750		27,492
				675,075
Food-Wholesale/Distribution — 0.4%
Sysco Corp.		11,048		430,541
Footwear & Related Apparel — 0.1%
Iconix Brand Group, Inc.†		4,900		66,248
Gambling (Non-Hotel) — 0.2%
Isle of Capri Casinos, Inc.†		11,050		192,712
Gas-Distribution — 0.2%
AGL Resources, Inc.		825		50,358
Laclede Group, Inc.		1,050		57,256
New Jersey Resources Corp.		1,700		51,051
Piedmont Natural Gas Co., Inc.		1,000		40,070
Southwest Gas Corp.		900		52,488
				251,223
Home Furnishings — 0.1%
Leggett & Platt, Inc.		1,475		60,844
Housewares — 0.0%
NACCO Industries, Inc., Class A		1,075		51,116
Human Resources — 0.2%
Barrett Business Services, Inc.		2,250		96,593
Cross Country Healthcare, Inc.†		9,625		130,996
				227,589
Independent Power Producers — 0.1%
Ormat Technologies, Inc.		2,250		76,568

39

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		925	$	24,272
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		4,547		580,106
Instruments-Controls — 0.9%
Honeywell International, Inc.		5,077		480,741
Sensata Technologies Holding NV†		12,313		545,958
Watts Water Technologies, Inc., Class A		175		9,244
				1,035,943
Insurance Brokers — 0.2%
Aon PLC		2,601		230,475
Insurance-Life/Health — 0.2%
American Equity Investment Life Holding Co.		3,650		85,082
CNO Financial Group, Inc.		7,150		134,491
Primerica, Inc.		900		40,563
				260,136
Insurance-Multi-line — 0.1%
Kemper Corp.		1,825		64,550
Insurance-Property/Casualty — 0.1%
Ambac Financial Group, Inc.†		275		3,979
First American Financial Corp.		500		19,535
Global Indemnity PLC†		350		9,160
Navigators Group, Inc.†		825		64,333
ProAssurance Corp.		1,275		62,564
Stewart Information Services Corp.		225		9,205
				168,776
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		425		19,750
Internet Application Software — 0.1%
Bazaarvoice, Inc.†		29,050		131,015
Internet Content-Entertainment — 1.0%
Facebook, Inc., Class A†		13,512		1,214,729
Internet Content-Information/News — 0.2%
LinkedIn Corp., Class A†		993		188,799
WebMD Health Corp.†		2,350		93,624
				282,423
Internet Incubators — 0.0%
ModusLink Global Solutions, Inc.†		9,273		26,521
Internet Security — 0.0%
Rapid7, Inc.†		1,225		27,869
Zix Corp.†		3,675		15,472
				43,341
Investment Management/Advisor Services — 0.3%
BlackRock, Inc.		930		276,647
Federated Investors, Inc., Class B		550		15,895
				292,542

Security Description	Shares		Value (Note 2)
Lasers-System/Components — 0.1%
Coherent, Inc.†		1,625	$	88,888
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		400		23,132
Machinery-General Industrial — 0.4%
Applied Industrial Technologies, Inc.		1,275		48,641
DXP Enterprises, Inc.†		1,250		34,100
Kadant, Inc.		2,075		80,946
Roper Technologies, Inc.		2,007		314,497
				478,184
Medical Information Systems — 0.3%
athenahealth, Inc.†		2,555		340,709
Merge Healthcare, Inc.†		3,900		27,690
Quality Systems, Inc.		475		5,928
				374,327
Medical Instruments — 0.5%
Boston Scientific Corp.†		27,237		446,959
CONMED Corp.		425		20,290
NuVasive, Inc.†		925		44,603
SurModics, Inc.†		4,975		108,654
				620,506
Medical Labs & Testing Services — 0.0%
Natera, Inc.†		850		9,223
Teladoc, Inc.†		750		16,717
				25,940
Medical Products — 0.7%
Accuray, Inc.†		6,125		30,594
Baxter International, Inc.		11,275		370,384
ConforMIS, Inc.†		1,075		19,415
Cyberonics, Inc.†		1,300		79,014
Orthofix International NV†		4,675		157,781
Penumbra, Inc.†		175		7,018
Wright Medical Group, Inc.†		4,525		95,115
				759,321
Medical-Biomedical/Gene — 3.2%
Aduro Biotech, Inc.†		350		6,780
Alder Biopharmaceuticals, Inc.†		7,945		260,278
Amgen, Inc.		6,917		956,759
Applied Genetic Technologies Corp.†		175		2,300
Ardelyx, Inc.†		700		12,096
Atara Biotherapeutics, Inc.†		1,150		36,156
Avalanche Biotechnologies, Inc.†		950		7,828
Bellicum Pharmaceuticals, Inc.†		1,800		26,154
Biogen, Inc.†		2,367		690,714
Blueprint Medicines Corp.†		925		19,739
Celgene Corp.†		8,265		894,025
ChemoCentryx, Inc.†		1,600		9,680
Coherus Biosciences, Inc.†		1,600		32,064
Infinity Pharmaceuticals, Inc.†		4,175		35,279
Karyopharm Therapeutics, Inc.†		1,075		11,320
Kite Pharma, Inc.†		225		12,528
MacroGenics, Inc.†		1,375		29,452

40

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Merrimack Pharmaceuticals, Inc.†		2,925	$	24,892
Nivalis Therapeutics, Inc.†		2,900		37,613
Prothena Corp. PLC†		1,650		74,811
PTC Therapeutics, Inc.†		1,325		35,377
Regeneron Pharmaceuticals, Inc.†		995		462,814
Sage Therapeutics, Inc.†		100		4,232
Spark Therapeutics, Inc.†		775		32,341
Tokai Pharmaceuticals, Inc.†		1,850		19,148
Trius Therapeutics, Inc. CVR†(1)(3)		6,700		0
Ultragenyx Pharmaceutical, Inc.†		200		19,262
Versartis, Inc.†		1,200		13,836
XOMA Corp.†		9,650		7,254
				3,774,732
Medical-Drugs — 3.2%
AbbVie, Inc.		12,678		689,810
ACADIA Pharmaceuticals, Inc.†		2,575		85,155
Adamas Pharmaceuticals, Inc.†		900		15,066
Anacor Pharmaceuticals, Inc.†		950		111,824
Bristol-Myers Squibb Co.		11,859		702,053
Chiasma, Inc.†		1,200		23,856
Chimerix, Inc.†		825		31,515
Dicerna Pharmaceuticals, Inc.†		475		3,900
Eli Lilly & Co.		9,241		773,379
Endo International PLC†		5,397		373,904
FibroGen, Inc.†		1,850		40,552
Global Blood Therapeutics, Inc.†		1,875		79,050
Immune Design Corp.†		1,525		18,605
Ironwood Pharmaceuticals, Inc.†		19,196		200,022
Mallinckrodt PLC†		4,934		315,480
NantKwest, Inc.†		875		10,028
Ophthotech Corp.†		900		36,468
Pacira Pharmaceuticals, Inc.†		1,100		45,210
Prestige Brands Holdings, Inc.†		1,700		76,772
Relypsa, Inc.†		1,325		24,526
Synergy Pharmaceuticals, Inc.†		14,000		74,200
ZS Pharma, Inc.†		225		14,774
				3,746,149
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		1,800		21,042
Medical-HMO — 0.2%
Centene Corp.†		2,425		131,508
Molina Healthcare, Inc.†		1,350		92,947
				224,455
Medical-Hospitals — 0.4%
Select Medical Holdings Corp.		2,525		27,245
Universal Health Services, Inc., Class B		3,103		387,285
				414,530
Medical-Outpatient/Home Medical — 0.0%
Addus HomeCare Corp.†		1,175		36,601

Security Description	Shares		Value (Note 2)
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		15,255	$	259,030
Metal-Aluminum — 0.0%
Century Aluminum Co.†		2,850		13,110
MRI/Medical Diagnostic Imaging — 0.2%
Alliance HealthCare Services, Inc.†		2,075		20,252
Surgical Care Affiliates, Inc.†		5,100		166,719
				186,971
Multimedia — 0.7%
Walt Disney Co.		8,487		867,371
Networking Products — 0.2%
NETGEAR, Inc.†		750		21,877
Polycom, Inc.†		14,925		156,414
				178,291
Office Supplies & Forms — 0.1%
ACCO Brands Corp.†		21,900		154,833
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp.		2,333		140,890
Bill Barrett Corp.†		18,325		60,472
Isramco, Inc.†		75		7,451
Penn Virginia Corp.†		5,225		2,769
Rex Energy Corp.†		6,975		14,438
Stone Energy Corp.†		3,325		16,492
Unit Corp.†		2,100		23,646
				266,158
Oil Refining & Marketing — 0.2%
Adams Resources & Energy, Inc.		300		12,300
Alon USA Energy, Inc.		1,450		26,202
Phillips 66		1,922		147,686
Western Refining, Inc.		675		29,781
				215,969
Oil-Field Services — 0.3%
Baker Hughes, Inc.		3,029		157,629
Basic Energy Services, Inc.†		2,400		7,920
Exterran Holdings, Inc.		525		9,450
Gulfmark Offshore, Inc., Class A		6,750		41,243
Key Energy Services, Inc.†		15,900		7,473
Pioneer Energy Services Corp.†		4,650		9,765
SEACOR Holdings, Inc.†		1,850		110,648
				344,128
Paper & Related Products — 0.0%
Domtar Corp.		700		25,025
Pharmacy Services — 0.6%
Express Scripts Holding Co.†		8,406		680,550
Poultry — 0.1%
Pilgrim's Pride Corp.		2,875		59,742
Sanderson Farms, Inc.		775		53,142
				112,884
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		3,500		92,050

41

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Printing-Commercial — 0.2%
Deluxe Corp.		1,825	$	101,725
Ennis, Inc.		4,050		70,308
				172,033
Protection/Safety — 0.0%
Landauer, Inc.		1,225		45,313
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		4,025		81,748
Racetracks — 0.0%
Speedway Motorsports, Inc.		1,500		27,075
Real Estate Investment Trusts — 2.4%
American Assets Trust, Inc.		1,625		66,397
American Tower Corp.		8,266		727,243
Anworth Mtg. Asset Corp.		4,100		20,254
Armada Hoffler Properties, Inc.		225		2,198
Ashford Hospitality Prime, Inc.		208		2,918
Ashford Hospitality Trust, Inc.		725		4,423
BioMed Realty Trust, Inc.		900		17,982
Capstead Mtg. Corp.		12,875		127,334
CBL & Associates Properties, Inc.		1,800		24,750
Chambers Street Properties		2,200		14,278
CoreSite Realty Corp.		5,275		271,346
Cousins Properties, Inc.		475		4,380
CYS Investments, Inc.		24,775		179,866
DCT Industrial Trust, Inc.		843		28,375
DiamondRock Hospitality Co.		1,750		19,338
EastGroup Properties, Inc.		975		52,825
EPR Properties		1,050		54,148
Equity LifeStyle Properties, Inc.		625		36,606
FelCor Lodging Trust, Inc.		1,675		11,842
First Industrial Realty Trust, Inc.		875		18,331
Franklin Street Properties Corp.		1,525		16,394
Gladstone Commercial Corp.		350		4,939
Home Properties, Inc.		975		72,881
Hospitality Properties Trust		1,775		45,405
Lexington Realty Trust		13,940		112,914
LTC Properties, Inc.		2,775		118,409
National Retail Properties, Inc.		650		23,576
Pennsylvania Real Estate Investment Trust		1,750		34,703
Post Properties, Inc.		925		53,918
Potlatch Corp.		3,200		92,128
PS Business Parks, Inc.		300		23,814
RAIT Financial Trust		875		4,340
Ramco-Gershenson Properties Trust		3,200		48,032
Saul Centers, Inc.		850		43,988
Simon Property Group, Inc.		1,316		241,776
Strategic Hotels & Resorts, Inc.†		8,250		113,767
Summit Hotel Properties, Inc.		575		6,710
Taubman Centers, Inc.		575		39,721
				2,782,249

Security Description	Shares		Value (Note 2)
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		1,775	$	255,192
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		2,250		77,242
Forestar Group, Inc.†		5,975		78,571
St. Joe Co.†		350		6,696
				162,509
Recreational Centers — 0.0%
Steiner Leisure, Ltd.†		525		33,170
Recreational Vehicles — 0.3%
MCBC Holdings, Inc.†		900		11,664
Polaris Industries, Inc.		2,749		329,523
				341,187
Research & Development — 0.1%
Arrowhead Research Corp.†		7,350		42,336
PAREXEL International Corp.†		1,175		72,756
				115,092
Respiratory Products — 0.0%
Inogen, Inc.†		700		33,985
Retail-Apparel/Shoe — 0.3%
Abercrombie & Fitch Co., Class A		2,350		49,797
Ascena Retail Group, Inc.†		331		4,604
Children's Place, Inc.		4,550		262,398
Guess?, Inc.		1,275		27,234
				344,033
Retail-Auto Parts — 0.7%
Advance Auto Parts, Inc.		3,163		599,483
AutoZone, Inc.†		344		248,998
				848,481
Retail-Building Products — 0.9%
Lowe's Cos., Inc.		14,491		998,720
Retail-Catalog Shopping — 0.3%
MSC Industrial Direct Co., Inc., Class A		4,814		293,798
Retail-Discount — 0.5%
Big Lots, Inc.		2,325		111,414
Dollar Tree, Inc.†		7,269		484,552
Ollie's Bargain Outlet Holdings, Inc.†		400		6,468
				602,434
Retail-Gardening Products — 0.3%
Tractor Supply Co.		3,825		322,524
Retail-Hair Salons — 0.1%
Regis Corp.†		12,925		169,317
Retail-Home Furnishings — 0.0%
Kirkland's, Inc.		1,425		30,695
Retail-Major Department Stores — 0.4%
TJX Cos., Inc.		6,133		438,019
Retail-Pawn Shops — 0.0%
Cash America International, Inc.		950		26,572

42

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		1,825	$	159,487
Retail-Restaurants — 1.7%
Bloomin' Brands, Inc.		1,500		27,270
Bob Evans Farms, Inc.		1,275		55,271
Bravo Brio Restaurant Group, Inc.†		1,305		14,707
Chipotle Mexican Grill, Inc.†		582		419,186
Dave & Buster's Entertainment, Inc.†		975		36,884
DineEquity, Inc.		150		13,749
Dunkin' Brands Group, Inc.		4,983		244,167
Jack in the Box, Inc.		2,200		169,488
Ruby Tuesday, Inc.†		4,825		29,963
Sonic Corp.		6,550		150,323
Starbucks Corp.		13,743		781,152
				1,942,160
Retail-Video Rentals — 0.2%
Outerwall, Inc.		3,750		213,487
Retail-Vitamins & Nutrition Supplements — 0.0%
Flex Pharma, Inc.†		1,075		12,911
Rubber-Tires — 0.2%
Cooper Tire & Rubber Co.		7,225		285,460
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		550		7,370
Savings & Loans/Thrifts — 0.3%
Astoria Financial Corp.		425		6,843
BankFinancial Corp.		325		4,040
Beneficial Bancorp, Inc.†		1,542		20,447
Capitol Federal Financial, Inc.		350		4,242
Charter Financial Corp.		1,475		18,703
Flushing Financial Corp.		1,225		24,524
Meridian Bancorp, Inc.		4,000		54,680
Northfield Bancorp, Inc.		12,000		182,520
OceanFirst Financial Corp.		1,175		20,234
Oritani Financial Corp.		2,775		43,345
				379,578
Schools — 0.2%
K12, Inc.†		1,625		20,215
Strayer Education, Inc.†		3,475		191,021
				211,236
Semiconductor Components-Integrated Circuits — 0.3%
Atmel Corp.		29,250		236,047
Integrated Device Technology, Inc.†		5,475		111,143
				347,190
Semiconductor Equipment — 0.1%
Brooks Automation, Inc.		4,100		48,011
Cohu, Inc.		9,283		91,530
				139,541
Steel-Producers — 0.1%
Worthington Industries, Inc.		2,950		78,116

Security Description	Shares		Value (Note 2)
Telecom Equipment-Fiber Optics — 0.1%
Harmonic, Inc.†		13,650	$	79,170
Telecom Services — 0.2%
EarthLink Holdings Corp.		12,950		100,751
Ooma, Inc.†		5,600		38,920
Premiere Global Services, Inc.†		3,225		44,311
Vonage Holdings Corp.†		1,500		8,820
West Corp.		1,925		43,120
				235,922
Telecommunication Equipment — 0.3%
CommScope Holding Co., Inc.†		8,772		263,423
Plantronics, Inc.		1,975		100,429
				363,852
Telephone-Integrated — 0.1%
Cincinnati Bell, Inc.†		33,775		105,378
Windstream Holdings, Inc.		4,675		28,704
				134,082
Television — 0.1%
ION Media Networks, Inc.†(1)(2)(3)		4		2,588
Sinclair Broadcast Group, Inc., Class A		4,825		122,169
				124,757
Textile-Apparel — 0.0%
Unifi, Inc.†		1,350		40,244
Therapeutics — 0.2%
aTyr Pharma, Inc.†		2,650		27,189
Cara Therapeutics, Inc.†		850		12,146
Mirati Therapeutics, Inc.†		1,400		48,188
Neurocrine Biosciences, Inc.†		1,775		70,627
Seres Therapeutics, Inc.†		950		28,158
Xencor, Inc.†		1,425		17,428
Zafgen, Inc.†		250		7,988
				211,724
Tobacco — 0.5%
Altria Group, Inc.		9,254		503,418
Universal Corp.		900		44,613
				548,031
Toys — 0.2%
Mattel, Inc.		10,160		213,970
Transactional Software — 0.1%
ACI Worldwide, Inc.†		3,200		67,584
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		1,275		44,064
Transport-Rail — 0.7%
Kansas City Southern		3,138		285,181
Union Pacific Corp.		6,233		551,060
				836,241
Transport-Services — 0.2%
Matson, Inc.		5,400		207,846

43

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(15)		Value (Note 2)
COMMON STOCKS (continued)
Transport-Truck — 0.1%
ArcBest Corp.		1,875	$	48,319
P.A.M. Transportation Services, Inc.†		409		13,517
Swift Transportation Co.†		2,100		31,542
USA Truck, Inc.†		3,700		63,751
				157,129
Veterinary Diagnostics — 0.0%
Phibro Animal Health Corp., Class A		700		22,141
Vitamins & Nutrition Products — 0.1%
Herbalife, Ltd.†		300		16,350
USANA Health Sciences, Inc.†		925		123,978
				140,328
Water — 0.1%
American States Water Co.		3,750		155,250
Web Portals/ISP — 2.0%
Alphabet, Inc., Class C†		3,688		2,243,853
Blucora, Inc.†		5,950		81,931
				2,325,784
Wireless Equipment — 0.7%
InterDigital, Inc.		5,950		301,070
Motorola Solutions, Inc.		5,587		382,039
Ubiquiti Networks, Inc.		3,475		117,768
				800,877
Total Common Stocks (cost $62,673,757)				67,352,836
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.2%
Banks-Commercial — 0.4%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(4)	EUR	200,000		217,334
Banco do Brasil SA FRS 6.25% due 04/15/2024(4)		200,000		94,000
Banco Santander SA FRS 6.25% due 03/12/2019(4)	EUR	100,000		105,315
				416,649
Building Societies — 0.1%
Nationwide Building Society FRS 6.88% due 06/20/2019(4)	GBP	100,000		148,045
Diversified Banking Institutions — 0.5%
Barclays PLC FRS 8.25% due 02/15/2018(4)		200,000		208,309
Lloyds Banking Group PLC FRS 6.38% due 06/27/2020(4)	EUR	200,000		228,828
Societe Generale SA FRS 8.25% due 11/29/2018(4)		200,000		208,190
				645,327

Security Description	Principal Amount(15)		Value (Note 2)
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)	$	8,000	$	1
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		30,000		33,150
Insurance-Property/Casualty — 0.2%
ACE Capital Trust II 9.70% due 04/01/2030		125,000		184,688
Total Preferred Securities/Capital Securities (cost $1,636,163)				1,427,860
ASSET BACKED SECURITIES — 14.0%
Diversified Financial Services — 14.0%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.36% due 01/25/2037(5)		85,432		82,187
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		8,000		8,036
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 1.75% due 07/27/2026*(6)		250,000		248,000
Apidos CLO XX FRS Series 2015-20A, Class A1 1.84% due 01/16/2027*(6)		250,000		249,075
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.14% due 04/20/2023*(6)		204,394		203,290
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.77% due 10/25/2034		13,030		12,175
Atrium XI FRS Series 11-A, Class B 2.44% due 10/23/2025*(6)		250,000		246,375
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.93% due 02/10/2051(7)		94,118		100,220
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.95% due 05/10/2045(7)		56,016		56,550
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(7)		200,000		204,131
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.63% due 02/25/2036(5)		171,928		153,019
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(7)		70,000		73,923

44

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.90% due 06/11/2040(7)	$	45,000	$	47,524
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		14,875		15,058
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		8,293		8,298
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.41% due 07/15/2025*(6)		250,000		245,125
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 1.74% due 04/27/2027*(6)		250,000		248,075
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 2.62% due 10/15/2026*(6)		250,000		249,900
CD Mtg. Trust VRS Series 2006-CD2, Class A4 5.49% due 01/15/2046(7)		44,006		44,040
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 1.77% due 04/17/2026*(6)		250,000		247,225
Cent CLO, Ltd. FRS Series 2013-20A, Class A 1.78% due 01/25/2026*(6)		250,000		248,625
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.81% due 05/24/2026*(6)		250,000		247,825
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7)		65,000		70,073
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(7)		125,000		135,593
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.35% due 12/10/2049(7)		31,957		34,121
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.63% due 03/25/2036(5)		94,446		89,960
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(7)		135,000		139,391
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(7)		100,809		107,496

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7)	$	105,000	$	107,939
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(3)(7)		105,000		108,149
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(7)		85,000		89,112
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(7)		140,000		148,473
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7)		65,000		69,730
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7)		60,000		64,485
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(7)		50,000		53,843
Commercial Mtg. Trust Series 2013-CR12, Class A4 4.05% due 10/10/2046(7)		65,000		70,399
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(7)		165,000		177,986
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.38% due 07/10/2045(7)		45,000		49,754
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(7)		88,804		92,183
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.95% due 06/10/2046(7)		29,254		29,685
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.23% due 12/10/2049(7)		92,736		96,420
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(5)		8,986		9,068
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		71,174		66,545
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(5)		3,349		3,192
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(7)		1,302		1,302
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(7)		39,776		40,627

45

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.05% due 06/15/2057(7)(8)	$	1,043,295	$	63,128
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(7)		132,000		138,108
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*		74,401		76,631
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		85,000		84,957
Dryden 33 Senior Loan Fund FRS Series 2014-33A, Class A 1.77% due 07/15/2026*(6)		250,000		248,800
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.64% due 04/18/2026*(6)		250,000		247,200
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.31% due 05/25/2035(5)		153,139		147,720
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		35,000		34,988
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		115,000		114,800
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		20,000		20,035
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		155,000		155,444
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,025
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		40,000		40,095
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		12,000		12,023
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 1.84% due 01/24/2027*(6)		250,000		249,075
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7)		110,000		111,102
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7)		30,000		35,337

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(7)	$	90,000	$	94,467
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(7)		100,000		106,372
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7)		60,000		64,530
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(7)		49,615		49,616
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.29% due 03/25/2037		223,930		118,289
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.48% due 04/25/2036(5)		13,479		11,384
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.61% due 03/25/2047(5)		41,015		35,331
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.70% due 04/25/2035(5)		54,858		52,146
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(5)		64,231		59,547
GTP Acquisition Partners I LLC Series 2015-2, CLASS A 3.48% due 06/15/2050*		135,000		135,032
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(7)		160,000		160,377
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.73% due 05/25/2035(5)		84,289		77,618
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(7)		99,386		104,885
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7)		95,000		103,588
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(7)		157,672		162,937
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(7)		94,444		99,051
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(7)		80,005		86,144

46

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		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(7)	$	55,000	$	57,989
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(7)		30,000		32,746
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(7)		44,767		46,644
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(7)		78,595		81,929
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(7)		94,632		96,343
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.27% due 04/15/2041(7)		115,541		124,696
Limerock CLO II, Ltd. FRS Series 2014-2A, Class A 1.79% due 04/18/2026*(6)		250,000		248,275
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.79% due 07/20/2026*(6)		250,000		248,100
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.72% due 07/25/2026*(6)		250,000		247,550
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.46% due 02/25/2035(5)		70,139		70,438
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.62% due 12/25/2034(5)		44,409		43,928
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.87% due 05/12/2039(7)		95,000		95,952
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(7)		113,780		118,009
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(7)		50,092		52,998
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(7)		65,761		69,427
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.31% due 12/15/2047(7)(8)		293,677		20,095

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(7)	$	110,000	$	115,590
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7)		20,000		21,548
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(7)		100,000		104,186
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(7)		130,281		134,175
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(7)		95,000		99,113
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(7)		60,703		64,565
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.46% due 01/11/2043(7)		48,859		53,005
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		52,654		47,656
MortgageIT Trust FRS Series 2005-4, Class A1 0.47% due 10/25/2035(5)		211,725		193,114
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 1.78% due 08/04/2025*(6)		250,000		248,100
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.65% due 06/25/2036(5)		138,783		105,574
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)		17,687		17,554
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		370,000		370,000
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 1.87% due 02/15/2026*(6)		250,000		248,550
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 1.80% due 04/17/2027*(6)		215,000		213,301
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*(3)		115,000		115,000
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 1.75% due 11/20/2023*(6)		200,000		199,700

47

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.29% due 02/25/2037	$	43,759	$	25,594
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.84% due 04/17/2026*(6)		250,000		248,850
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 1.74% due 04/30/2027*(6)		250,000		246,925
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 1.77% due 04/15/2027*(6)		250,000		247,675
Renaissance Home Equity Loan Trust(9) Series 2007-1, Class AF5 5.91% due 04/25/2037		197,861		110,366
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.86% due 08/25/2035(5)		145,065		113,168
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		3,489		3,585
Santander Drive Auto Receivables Trust Series 2013-5, Class B 1.55% due 10/15/2018		85,000		85,120
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		30,000		30,211
Santander Drive Auto Receivables Trust Series 2015-2, Class B 1.83% due 01/15/2020		135,000		134,822
Santander Drive Auto Receivables Trust Series 2013-5, Class C 2.25% due 06/17/2019		20,000		20,180
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		85,000		85,550
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.32% due 05/25/2037		107,147		75,677
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.48% due 02/20/2047(5)		104,266		90,381
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 1.82% due 04/15/2027*(6)		250,000		248,200
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.44% due 11/25/2036		160,000		110,441

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Financial Services (continued)
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*	$	86,968	$	87,087
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 1.76% due 04/20/2027*(6)		250,000		247,625
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(7)		70,000		71,787
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 1.76% due 04/18/2027*(6)		250,000		247,625
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 2.69% due 10/14/2026*(6)		250,000		249,775
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C23, Class A4 5.42% due 01/15/2045(7)		19,739		19,750
WaMu Mtg. Pass Through Certs. FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(5)		124,044		111,373
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.35% due 09/15/2057(3)(7)(8)		1,000,000		74,028
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7)		50,000		52,796
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.62% due 03/25/2035(5)		100,221		101,895
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(5)		142,884		143,544
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.68% due 11/25/2034(5)		3,400		3,414
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.72% due 10/25/2036(5)		65,519		60,855
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		125,000		125,321
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(7)		75,000		78,489
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7)		110,000		117,969

48

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7)	$	110,000	$	118,449
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7)		50,111		54,286
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(7)		35,000		38,141
Total Asset Backed Securities (cost $16,281,016)				16,287,788
U.S. CORPORATE BONDS & NOTES — 11.9%
Aerospace/Defense-Equipment — 0.0%
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		20,000		18,400
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		45,000		41,325
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		105,000		101,149
				142,474
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		55,000		56,650
Auto-Cars/Light Trucks — 0.4%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		10,962
Ford Motor Credit Co. LLC Senior Notes 3.16% due 08/04/2020		200,000		199,771
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		50,000		49,615
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		105,000		106,086
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		115,000		119,369
				485,803
Auto/Truck Parts & Equipment-Original — 0.1%
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020		55,000		56,994

Security Description	Principal Amount(15)		Value (Note 2)
Banks-Commercial — 0.4%
Capital One NA/Mclean VA Senior Notes 1.65% due 02/05/2018	$	250,000	$	247,523
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		90,000		93,375
HSBC USA, Inc. Senior Notes 2.75% due 08/07/2020		100,000		100,363
				441,261
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		105,000		106,546
Banks-Super Regional — 0.5%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		125,000		130,205
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		100,000		105,314
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		90,000		92,210
Wells Fargo & Co. Senior Note 2.60% due 07/22/2020		50,000		50,504
Wells Fargo & Co. Senior Notes 3.30% due 09/09/2024		50,000		49,621
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		95,000		95,839
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		85,000		95,087
				618,780
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		30,000		29,100
Brewery — 0.0%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		40,000		34,341
Broadcast Services/Program — 0.0%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		50,000		51,500
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*		60,000		60,600

49

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building & Construction Products-Misc. (continued)
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*	$	40,000	$	42,600
				103,200
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		15,000		16,369
Building-Heavy Construction — 0.1%
SBA Tower Trust Senior Sec. Notes 2.90% due 10/15/2044*		80,000		80,255
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		85,000		85,373
				165,628
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		60,000		60,600
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		55,000		55,605
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		25,000		25,125
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,394
				146,724
Cable/Satellite TV — 0.7%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		46,000		43,125
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023		5,000		4,794
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		65,000		64,521
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		40,000		40,021
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		110,000		109,472
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		120,000		121,062
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		55,000		54,662

Security Description	Principal Amount(15)		Value (Note 2)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044	$	30,000	$	31,302
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		35,000		33,252
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		75,000		71,045
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		50,000		49,841
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		25,000		25,330
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		25,000		27,249
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,350
DISH DBS Corp. Company Guar. Notes 5.88% due 07/15/2022		20,000		17,700
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		60,000		57,787
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		35,000		27,672
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		25,000		23,796
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		45,000		50,074
				856,055
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Senior Notes 5.38% due 03/15/2022		10,000		9,212
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		20,000		20,986
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		40,000		30,784
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		30,000		30,525
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		8,724

50

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020	$	70,000	$	71,138
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		10,000		10,025
				172,182
Coal — 0.0%
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		99,000		20,542
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		25,000		24,000
Computer Services — 0.1%
Hewlett Packard Enterprise Co. Company Guar. Notes 2.45% due 10/05/2017*		75,000		74,958
Hewlett Packard Enterprise Co. Company Guar. Notes 2.85% due 10/05/2018*		75,000		74,904
				149,862
Computers — 0.1%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		50,000		42,329
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		80,000		84,838
				127,167
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*		15,000		15,094
Data Processing/Management — 0.1%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		45,000		45,090
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		30,000		29,700
				74,790
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,100
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		5,000		5,037
				15,137

Security Description	Principal Amount(15)		Value (Note 2)
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020	$	35,000	$	35,326
Danaher Corp. Senior Notes 3.35% due 09/15/2025		20,000		20,401
				55,727
Diversified Banking Institutions — 2.4%
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		50,000		48,642
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		75,000		73,505
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		40,000		41,560
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		50,000		49,964
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		30,000		31,592
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		150,000		172,536
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		55,000		61,470
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		150,000		148,544
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		50,000		50,287
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		90,000		89,515
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		75,000		74,808
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		135,000		146,837
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		30,000		36,221
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		125,000		126,633
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		105,000		105,286
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		45,000		45,229

51

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025	$	20,000	$	19,683
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		65,000		63,801
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		27,000		30,118
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		17,000		20,331
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		45,000		54,263
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		50,000		58,371
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		46,000		54,874
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		170,000		171,455
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		16,012
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		40,000		42,876
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		225,000		224,079
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		30,000		32,330
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		17,166
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		130,000		143,041
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		30,000		34,111
Morgan Stanley Senior Notes 1.88% due 01/05/2018		200,000		200,516
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		60,000		57,785
Morgan Stanley Senior Notes 4.00% due 07/23/2025		15,000		15,330
Morgan Stanley Senior Notes 4.30% due 01/27/2045		80,000		76,030

Security Description	Principal Amount(15)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Sub. Notes 4.35% due 09/08/2026	$	63,000	$	63,324
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		5,000		5,327
Morgan Stanley Senior Notes 6.63% due 04/01/2018		125,000		139,192
				2,842,644
Diversified Manufacturing Operations — 0.0%
General Electric Co. Senior Notes 2.70% due 10/09/2022		15,000		15,038
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		8,000		8,300
Electric-Integrated — 0.2%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		2,632
AES Corp. Senior Notes 5.50% due 03/15/2024		30,000		26,595
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		56,500
Duke Energy Corp. Senior Notes 3.05% due 08/15/2022		25,000		24,865
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		50,438
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		63,401
				224,431
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 2.50% due 05/15/2022		105,000		103,473
Entertainment Software — 0.1%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		115,000		121,037
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 5.50% due 01/15/2019		15,000		13,941
Navient Corp. Senior Notes 7.25% due 01/25/2022		10,000		8,750
Navient Corp. Senior Notes 8.45% due 06/15/2018		95,000		97,671
				120,362

52

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018	$	40,000	$	44,782
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		1,025
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)		11,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)		15,000		1
				45,809
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		100,000		100,500
Food-Misc./Diversified — 0.2%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		125,000		125,174
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		65,000		65,426
				190,600
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		40,600
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		60,000		60,600
Home Furnishings — 0.0%
Tempur Sealy International, Inc. Company Guar. Notes 5.63% due 10/15/2023*		10,000		10,037
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,060
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		4,000		4,145
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		6,000		5,460
				11,665
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		40,000		40,889

Security Description	Principal Amount(15)		Value (Note 2)
Insurance Brokers (continued)
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025	$	30,000	$	29,975
				70,864
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		5,000		5,075
Insurance-Multi-line — 0.1%
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		80,000		121,171
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		65,000		96,402
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		14,925
Medical Instruments — 0.2%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		55,000		55,741
Medtronic, Inc. Company Guar. Notes 3.15% due 03/15/2022		25,000		25,357
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		50,000		50,545
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		40,000		41,244
				172,887
Medical Labs & Testing Services — 0.0%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		23,000		23,110
Medical Products — 0.1%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		100,000		99,799
Medical-Biomedical/Gene — 0.2%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		75,000		71,158
Gilead Sciences, Inc. Senior Notes 1.85% due 09/04/2018		65,000		65,454
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		50,000		50,392

53

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Gilead Sciences, Inc. Senior Notes 4.60% due 09/01/2035	$	25,000	$	25,022
				212,026
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018		75,000		74,792
AbbVie, Inc. Senior Notes 4.50% due 05/14/2035		40,000		38,612
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		65,000		64,226
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		10,000		9,900
				187,530
Medical-HMO — 0.3%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,064
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		24,747
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		24,633
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		50,000		51,968
UnitedHealth Group, Inc. Senior Note 1.90% due 07/16/2018		75,000		75,778
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		35,000		36,123
UnitedHealth Group, Inc. Senior Note 3.75% due 07/15/2025		55,000		56,850
UnitedHealth Group, Inc. Senior Note 4.75% due 07/15/2045		20,000		21,112
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		15,000		15,600
				321,875
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		20,000		20,350
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		35,000		34,912

Security Description	Principal Amount(15)		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022	$	5,000	$	5,363
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,375
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		35,000		38,150
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		9,000		9,090
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		110,000		116,050
				234,290
Medical-Wholesale Drug Distribution — 0.2%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		25,000		25,027
Cardinal Health, Inc. Senior Notes 3.50% due 11/15/2024		115,000		114,946
McKesson Corp. Senior Notes 1.40% due 03/15/2018		60,000		59,464
				199,437
Metal-Copper — 0.1%
Freeport-McMoRan, Inc Company Guar. Notes 4.00% due 11/14/2021		55,000		42,900
Southern Copper Corp. Senior Notes 5.25% due 11/08/2042		20,000		15,130
Southern Copper Corp. Senior Notes 5.88% due 04/23/2045		35,000		28,415
				86,445
Multimedia — 0.4%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		75,000		85,712
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		105,000		128,359
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		100,000		122,472
Time Warner, Inc. Company Guar. Bonds 7.63% due 04/15/2031		75,000		95,772
				432,315

54

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production — 0.1%
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023*	$	15,000	$	13,163
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		25,000		21,875
Hess Corp. Senior Notes 5.60% due 02/15/2041		20,000		18,638
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		60,000		70,238
SM Energy Co Senior Notes 6.13% due 11/15/2022		10,000		9,260
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,025
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		8,600
				145,799
Oil Companies-Integrated — 0.1%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		55,000		53,731
ConocoPhillips Co. Company Guar. Notes 3.35% due 05/15/2025		20,000		19,489
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		45,000		43,607
				116,827
Oil Refining & Marketing — 0.0%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		5,000		4,900
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		3,700
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		25,000		23,750
				27,450
Pipelines — 0.6%
Crestwood Midstream Partners LP/ Crestwood Midstream Finance Corp. Company Guar. Notes 6.25% due 04/01/2023*		15,000		12,750
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		5,601

Security Description	Principal Amount(15)		Value (Note 2)
Pipelines (continued)
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020	$	100,000	$	99,500
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		85,000		76,522
Energy Transfer Partners LP Senior Notes 4.75% due 01/15/2026		10,000		9,201
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		125,000		110,476
Kinder Morgan Energy Partners LP Company Guar. Notes 5.50% due 03/01/2044		50,000		41,966
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		60,000		47,607
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		6,000		5,506
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.88% due 12/01/2024		10,000		9,150
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.88% due 06/01/2025		10,000		9,198
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		35,000		31,835
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		15,000		14,700
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		25,000		24,375
Williams Partners LP Senior Notes 3.60% due 03/15/2022		110,000		101,557
Williams Partners LP Senior Notes 4.30% due 03/04/2024		60,000		54,437
				654,381
Real Estate Investment Trusts — 0.6%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		105,000		108,084

55

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
American Tower Corp. Senior Notes 3.45% due 09/15/2021	$	45,000	$	45,203
Duke Realty LP Senior Notes 3.75% due 12/01/2024		25,000		24,602
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		60,000		61,050
Equinix, Inc. Senior Notes 5.38% due 04/01/2023		5,000		4,890
HCP, Inc. Senior Notes 3.75% due 02/01/2016		10,000		10,085
HCP, Inc. Senior Notes 5.38% due 02/01/2021		25,000		27,690
HCP, Inc. Senior Notes 6.00% due 01/30/2017		65,000		68,501
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		95,000		95,575
Liberty Property LP Senior Notes 3.38% due 06/15/2023		25,000		24,322
Liberty Property LP Senior Notes 4.13% due 06/15/2022		20,000		20,491
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		25,000		26,145
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		61,000		65,812
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		50,000		52,294
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		100,000		109,589
				744,333
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		75,000		76,024
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		25,000		31,089
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		15,000		14,531

Security Description	Principal Amount(15)		Value (Note 2)
Rental Auto/Equipment (continued)
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025	$	20,000	$	18,700
				64,320
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		25,000		24,625
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 4.25% due 04/01/2046		55,000		55,396
Lowe's Cos, Inc. Senior Notes 3.38% due 09/15/2025		35,000		35,362
Lowe's Cos., Inc. Senior Notes 4.38% due 09/15/2045		15,000		15,173
				105,931
Retail-Discount — 0.0%
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023*		10,000		10,375
Retail-Drug Store — 0.4%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		140,000		142,241
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		35,000		36,078
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		75,000		80,622
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		8,791		9,679
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		11,821		13,568
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		112,684		133,634
				415,822
Retail-Perfume & Cosmetics — 0.1%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		60,000		62,250
Savings & Loans/Thrifts — 0.0%
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		43,000		48,504

56

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047	$	8,000	$	8,359
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		6,000		5,872
				14,231
Security Services — 0.1%
ADT Corp. Senior Notes 3.50% due 07/15/2022		13,000		11,505
ADT Corp. Senior Notes 6.25% due 10/15/2021		130,000		134,062
				145,567
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025		75,000		70,821
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		48,000		50,280
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		9,475
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		10,000		9,169
United States Steel Corp. Senior Notes 6.88% due 04/01/2021		35,000		26,600
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		60,000		47,700
				92,944
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		19,850
Telephone-Integrated — 0.4%
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		25,000		22,870
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		55,000		50,396
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		10,000		9,750
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020		66,000		66,196

Security Description	Principal Amount(15)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036	$	109,000	$	98,851
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		45,000		41,871
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		33,000		29,000
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		155,000		133,471
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		59,000		55,325
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		9,000		8,191
				515,921
Television — 0.1%
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		70,000		71,050
Tobacco — 0.1%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		80,000		82,283
Transport-Services — 0.0%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		35,000		35,084
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		50,000		50,305
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,976
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		5,000		5,068
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		95,000		100,952
				161,301
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,100
Total U.S. Corporate Bonds & Notes (cost $14,006,316)				13,937,758

57

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES — 2.6%
Banks-Commercial — 0.7%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*	$	200,000	$	216,290
BPCE SA Sub. Notes 5.15% due 07/21/2024*		220,000		223,604
Credit Suisse New York Sub. Notes 5.40% due 01/14/2020		97,000		107,526
Sumitomo Mitsui Financial Group, Inc. Sub. Notes 4.44% due 04/02/2024*		200,000		206,059
				753,479
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		30,000		29,344
Diversified Banking Institutions — 0.2%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		33,000		32,812
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		122,343
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		13,000		13,969
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		30,000		32,466
				201,590
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		46,000		29,670
Enterprise Software/Service — 0.0%
Open Text Corp. Company Guar. Notes 5.63% due 01/15/2023*		10,000		9,919
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,050
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,217
				8,267
Investment Management/Advisor Services — 0.0%
Intercorp Peru, Ltd. Senior Notes 5.88% due 02/12/2025*		19,000		18,050

Security Description	Principal Amount(15)		Value (Note 2)
Medical-Generic Drugs — 0.3%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018	$	175,000	$	175,696
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		140,000		140,123
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		30,000		27,239
				343,058
Metal-Diversified — 0.1%
Vedanta Resources PLC Senior Notes 8.25% due 06/07/2021		200,000		140,084
Non-Ferrous Metals — 0.2%
Corp Nacional del Cobre de Chile Senior Notes 4.50% due 09/16/2025*		200,000		192,125
Oil Companies-Exploration & Production — 0.2%
Encana Corp. Senior Notes 6.50% due 05/15/2019		85,000		93,210
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		30,000		25,800
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,695
Nexen Energy ULC Company Guar. Notes 6.40% due 05/15/2037		40,000		47,046
				170,751
Oil Companies-Integrated — 0.3%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		40,000		40,543
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		45,000		39,261
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		35,000		26,688
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		60,000		39,150
Petroleos de Venezuela SA Company Guar. Notes 9.75% due 05/17/2035		70,000		25,375
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		65,000		52,162
Petroleos Mexicanos Company Guar. Notes 7.47% due 11/12/2026	MXN	1,000,000		54,422

58

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024	$	5,000	$	5,138
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		50,000		46,681
				329,420
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		25,000		23,875
Semiconductor Components-Integrated Circuits — 0.2%
TSMC Global, Ltd. Company Guar. Notes 1.63% due 04/03/2018*		200,000		198,187
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		15,000		14,081
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		8,100
ArcelorMittal Senior Notes 7.00% due 02/25/2022		2,000		1,820
				9,920
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		75,000		107,226
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		55,000		56,057
Imperial Tobacco Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		200,000		201,894
				257,951
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		25,000		33,397
Kansas City Southern de Mexico SA de CV Senior Notes 3.00% due 05/15/2023		125,000		120,940
				154,337
Total Foreign Corporate Bonds & Notes (cost $3,087,130)				2,991,334

Security Description	Principal Amount(15)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 0.5%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040	$	70,000	$	78,422
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		5,000		5,601
New Jersey Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		50,000		69,534
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		14,000		15,062
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		175,000		54,250
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		85,000		26,350
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		25,000		7,750
State of California General Obligation Bonds 7.35% due 11/01/2039		10,000		13,929
State of California General Obligation Bonds 7.55% due 04/01/2039		60,000		86,424
State of California General Obligation Bonds 7.63% due 03/01/2040		75,000		107,616
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		20,000		18,736
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		55,000		58,486
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		75,000		80,404
Total Municipal Bonds & Notes (cost $657,648)				622,564

59

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. GOVERNMENT AGENCIES — 15.4%
Federal Home Loan Mtg. Corp. — 2.8%
1.89% due 02/01/2037 FRS	$	4,094	$	4,309
2.50% due 01/01/2028		7,860		8,092
2.50% due 04/01/2028		26,514		27,297
3.00% due 08/01/2027		12,755		13,294
3.00% due 10/01/2042		19,649		19,974
3.00% due 11/01/2042		15,256		15,474
3.00% due 02/01/2043		42,081		42,664
3.00% due 08/01/2043		186,823		189,508
3.00% due October TBA		300,000		303,077
3.50% due 03/01/2042		9,690		10,126
3.50% due 08/01/2042		56,977		59,537
3.50% due 09/01/2043		44,412		46,487
3.50% due October TBA		1,400,000		1,456,656
4.00% due 03/01/2023		10,872		11,364
4.00% due 10/01/2043		49,441		52,701
4.50% due 01/01/2039		2,151		2,330
5.00% due 05/01/2020		131,983		138,367
5.00% due 05/01/2034		30,086		33,380
5.50% due 07/01/2034		6,975		7,725
5.50% due 05/01/2037		4,164		4,608
6.00% due 08/01/2026		26,787		30,091
6.50% due 05/01/2029		1,892		2,163
6.50% due 05/01/2036		261		298
7.50% due 08/01/2023		88		95
7.50% due 08/01/2025		1,424		1,432
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN1, Class M2
2.39% due 02/25/2024		250,000		251,797
Series 2014-DN4, Class M2
2.59% due 10/25/2024		250,000		251,905
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5)		6,531		6,598
Series 1577, Class PK 6.50% due 09/15/2023(5)		5,902		6,479
Series 1226, Class Z 7.75% due 03/15/2022(5)		556		596
Freddie Mac Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.83% due 03/25/2045*(7)		100,000		101,309
Series 2014-K503, Class B 3.08% due 10/25/2047*(7)		70,000		71,201
Series 2012-K706, Class B 4.17% due 11/25/2044*(7)		60,000		63,070
Series 2010-K8, Class B 5.41% due 09/25/2043*(7)		80,000		89,587
				3,323,591
Federal National Mtg. Assoc. — 9.0%
2.23% due 05/01/2037 FRS		6,914		7,291
2.50% due October TBA		100,000		101,947
2.50% due 02/01/2043		87,932		86,241
2.50% due 03/01/2043		177,263		173,863

Security Description	Principal Amount(15)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
2.59% due 10/01/2040 FRS	$	6,563	$	6,969
2.64% due 03/01/2027		29,736		29,322
2.66% due 03/01/2027		205,000		200,954
2.78% due 03/01/2027		63,000		62,607
2.97% due 06/01/2027		110,000		111,094
2.97% due 06/01/2030		124,000		123,378
3.00% due 12/01/2027		14,521		15,168
3.00% due 01/01/2028		20,176		21,029
3.00% due October TBA		1,300,000		1,334,203
3.50% due 08/01/2026		27,700		29,308
3.50% due 09/01/2026		16,546		17,548
3.50% due 10/01/2028		93,436		98,970
3.50% due October TBA		3,800,000		3,963,994
4.00% due 11/01/2040		22,426		23,966
4.00% due 12/01/2040		59,070		63,132
4.00% due 11/01/2041		7,913		8,457
4.00% due 01/01/2042		21,122		22,604
4.00% due 11/01/2043		36,408		38,862
4.00% due 12/01/2043		16,935		18,330
4.00% due October TBA		1,000,000		1,066,680
4.50% due 01/01/2039		5,812		6,309
4.50% due 06/01/2039		59,704		65,346
4.50% due 09/01/2039		13,462		14,625
4.50% due 05/01/2041		14,893		16,190
4.50% due October TBA		1,100,000		1,192,417
4.93% due 11/01/2015		36,479		36,402
5.00% due 03/01/2018		2,349		2,440
5.00% due 06/01/2019		1,449		1,517
5.00% due 03/01/2020		5,537		5,896
5.00% due 05/01/2035		3,981		4,389
5.00% due 07/01/2040		80,859		89,227
5.00% due October TBA		700,000		771,271
5.50% due 05/01/2020		25,205		26,544
5.50% due 06/01/2020		20,405		21,354
5.50% due 12/01/2029		3,789		4,227
5.50% due 06/01/2035		248,672		277,457
5.50% due 06/01/2036		105,473		118,681
5.50% due 08/01/2037		19,706		21,980
5.50% due 06/01/2038		18,264		20,545
6.00% due 06/01/2017		1,528		1,573
6.00% due 06/01/2021		62,098		66,084
6.00% due 12/01/2033		12,920		14,719
6.00% due 05/01/2034		10,729		12,218
6.00% due 08/01/2034		2,319		2,634
6.00% due 11/01/2038		3,459		3,905
7.00% due 06/01/2037		27,201		32,003
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		11,347		11,346
				10,467,216
Government National Mtg. Assoc. — 3.6%
3.00% due October TBA		200,000		204,090
3.50% due October TBA		1,300,000		1,362,105
4.00% due 07/15/2041		50,252		53,715
4.00% due 08/15/2041		17,332		18,487

60

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(15)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
4.00% due 10/15/2041	$	39,335	$	42,044
4.00% due October TBA		1,300,000		1,385,682
4.50% due 06/15/2041		988,864		1,073,165
6.00% due 11/15/2028		31,096		35,135
7.00% due 07/15/2033		13,516		16,017
8.50% due 11/15/2017		195		202
9.00% due 11/15/2021		187		214
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(5)		1,179		1,379
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		7,540		8,756
				4,200,991
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		10,000		10,195
Total U.S. Government Agencies (cost $17,829,274)				18,001,993
U.S. GOVERNMENT TREASURIES — 3.5%
United States Treasury Bonds — 0.8%
2.50% due 02/15/2045		530,000		487,918
3.00% due 05/15/2045		285,000		291,657
4.38% due 11/15/2039(10)		99,200		127,291
				906,866
United States Treasury Notes — 2.7%
0.25% due 01/15/2025(11) TIPS		1,853,984		1,777,001
0.38% due 07/15/2025(11) TIPS		1,494,459		1,455,756
				3,232,757
Total U.S. Government Treasuries (cost $4,219,627)				4,139,623
FOREIGN GOVERNMENT OBLIGATIONS — 1.1%
Sovereign — 1.1%
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(11)	BRL	267,225		67,527
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 05/15/2019(11)	BRL	207,842		50,566
Dominican Republic Senior Bonds 5.50% due 01/27/2025*		100,000		96,500
Federal Republic of Nigeria Bonds 12.15% due 07/18/2034	NGN	2,675,000		10,928
Government of Romania Bonds 5.85% due 04/26/2023	RON	40,000		11,700
Kingdom of Thailand Senior Notes 3.85% due 12/12/2025	THB	1,041,000		31,294

Security Description	Principal Amount(15)		Value (Note 2)
Sovereign (continued)
Malaysia Government Bond Senior Bonds 3.49% due 03/31/2020	MYR	160,000	$	35,954
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(11)	UYU	1,738,585		40,064
Oriental Republic of Uruguay Bonds 4.25% due 04/05/2027(11)	UYU	2,377,774		66,569
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(11)	UYU	612,715		16,922
Republic of Colombia Bonds 3.00% due 03/25/2033(11)	COP	130,967,051		35,544
Republic of Colombia Bonds 3.50% due 03/10/2021(11)	COP	63,132,835		20,704
Republic of Costa Rica Bonds 9.20% due 03/27/2019*	CRC	13,300,000		25,963
Republic of Hungary Bonds 5.50% due 06/24/2025	HUF	2,520,000		10,566
Republic of Peru Senior Notes 4.13% due 08/25/2027		30,000		29,400
Republic of Poland Bonds 3.25% due 07/25/2025	PLN	236,000		64,260
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	820,000		57,365
Republic of South Africa Bonds 8.50% due 01/31/2037	ZAR	805,000		55,022
Republic of Turkey Bonds 2.50% due 05/04/2016(11)	TRY	437,169		142,623
Russian Federation Bonds 7.50% due 02/27/2019	RUB	1,130,000		15,615
Russian Federation Senior Bonds 7.85% due 03/10/2018	RUB	10,000,000		142,676
United Mexican States FRS Bonds 3.03% due 05/28/2020	MXN	2,626,400		153,908
United Mexican States Senior Bonds 4.75% due 03/08/2044		28,000		25,550
United Mexican States Bonds 10.00% due 12/05/2024	MXN	683,200		51,482
Total Foreign Government Obligations (cost $1,425,471)				1,258,702

61

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(15)			Value (Note 2)
OPTIONS — PURCHASED — 0.0%
Call Options-Purchased†(1)(12) (cost $533)	HKD	1,220,000		$	704
Total Long-Term Investment Securities (cost $121,816,935)					126,021,162
SHORT-TERM INVESTMENT SECURITIES — 0.4%
Time Deposits — 0.4%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/01/15 (cost $440,000)	$	440,000			440,000
REPURCHASE AGREEMENTS — 2.8%
Bank of America Securities LLC Joint Repurchase Agreement(13)		510,000			510,000
Barclays Capital, Inc. Joint Repurchase Agreement(13)		710,000			710,000
BNP Paribas SA Joint Repurchase Agreement(13)		710,000			710,000
Deutsche Bank AG Joint Repurchase Agreement(13)		505,000			505,000
RBS Securities, Inc. Joint Repurchase Agreement(13)		805,000			805,000
Total Repurchase Agreements (cost $3,240,000)					3,240,000
TOTAL INVESTMENTS (cost $125,496,935)(14)		111.1	%		129,701,162
Liabilities in excess of other assets		(11.1	)		(12,964,141	)
NET ASSETS		100.0	%	$	116,737,021

†  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, 2015, the aggregate value of these securities was $12,729,469 representing 10.9% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Illiquid security. At September 30, 2015, the aggregate value of these securities was $3,295 representing 0.0% of net assets.

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2015, 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.	04/09/2014		4	$	0	$	2,588	$	646.94		0.00	%

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

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

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  Commercial Mortgage Backed Security

(8)  Interest Only

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

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

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

(12)  Options Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2015		Unrealized Appreciation (Depreciation)
Call option to buy Hong Kong Dollar in exchange for U.S. dollars with Goldman Sachs International	March 2016	$	7.75	HKD	1,220,000	$	533	$	704	$	171

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

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

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

BRL — Brazilian Real

COP — Colombian Peso

CLO — Collateralized Loan Obligation

CRC — Costa Rican Colón

CVR — Contingent Value Rights

EUR — Euro Dollar

GBP — Pound Sterling

HKD — Hong Kong Dollar

HUF — Hungarian Forint

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

PLN — Polish Zloty

62

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

RUB — Russian Ruble

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.

THB — Thailand Baht

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

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, 2015 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	5	Long	Russell 2000 Mini Index	December 2015	$	581,910	$	547,950	$	(33,960	)
	9	Short	U.S. Long Bonds	December 2015		1,390,851		1,416,094		(25,243	)
	9	Long	U.S. Treasury 2YR Notes	December 2015		1,967,906		1,971,281		3,375
	68	Long	U.S. Treasury 5YR Notes	December 2015		8,134,213		8,195,063		60,850
	71	Short	U.S. Treasury 10YR Notes	December 2015		9,064,739		9,140,141		(75,402	)
	13	Long	U.S. Ultra Bonds	December 2015		2,058,771		2,085,281		26,510
									$	(43,870	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	120,000	USD	129,009	03/15/2017	$	—	$	(7,072	)
	PLN	245,000	USD	64,614	12/16/2015		282		—
	TRY	110,000	USD	35,304	12/16/2015		—		(221	)
	USD	96,131	EUR	85,000	03/15/2017		260		—
							542		(7,293	)
Barclays Bank PLC	IDR	379,000,000	USD	26,256	05/18/2016		2,452		—
	KES	890,000	USD	8,128	12/16/2015		—		(253	)
	USD	66,351	MYR	280,000	12/16/2015		—		(2,768	)
							2,452		(3,021	)
BNP Paribas SA	COP	7,174,000	USD	2,288	12/16/2015		—		(15	)
	CZK	1,380,000	USD	57,462	12/16/2015		618		—
	RUB	9,331,000	USD	136,919	12/16/2015		—		(2,115	)
	USD	80,132	NGN	14,544,000	10/08/2015		—		(7,186	)
	ZAR	700,000	USD	49,810	12/17/2015		—		(34	)
							618		(9,350	)
Citibank N.A.	CRC	14,358,000	USD	26,413	12/16/2015		—		(201	)
	EUR	518,000	USD	582,510	10/30/2015		3,454		—
	GBP	100,000	USD	151,882	10/30/2015		627		—
	NGN	14,544,000	USD	63,789	10/08/2015		—		(9,157	)
	NGN	3,243,000	USD	14,478	12/16/2015		—		(1,323	)
	THB	1,150,000	USD	31,348	12/16/2015		—		(251	)
	USD	40,686	KES	4,451,000	12/16/2015		1,227		—
	USD	46,773	RSD	5,000,000	12/16/2015		—		(333	)
	UYU	1,335,000	USD	44,942	12/16/2015		802		—
	ZAR	1,055,000	USD	75,541	12/17/2015		420		—
							6,530		(11,265	)
Commonwealth Bank of Australia Sydney	USD	40,047	EUR	35,000	03/15/2017		—		(357	)
Deutsche Bank AG	CNY	240,000	USD	36,419	07/28/2016		—		(337	)
	HKD	1,055,000	USD	136,086	12/16/2015		—		(37	)
	MYR	560,000	USD	127,071	12/16/2015		—		(94	)
	USD	52,386	INR	3,540,000	12/16/2015		944		—
							944		(468	)

63

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Goldman Sachs International	CNY	65,000	USD	9,886	07/28/2016	$	—	$	(69	)
	COP	64,800,000	USD	20,937	12/16/2015		134		—
	HKD	610,000	USD	78,667	03/03/2016		—		(27	)
	HUF	5,700,000	USD	20,211	12/16/2015		—		(103	)
	USD	64,220	MYR	280,000	12/16/2015		—		(638	)
	USD	9,283	RSD	994,000	12/16/2015		—		(51	)
	USD	92,067	ZAR	1,308,000	12/17/2015		1,070		—
	USD	48,220	IDR	745,000,000	05/18/2016		—		(1,428	)
	ZAR	680,000	USD	47,784	12/17/2015		—		(635	)
							1,204		(2,951	)
HSBC Bank USA, N.A.	BRL	85,000	USD	21,160	12/02/2015		179		—
	MYR	720,000	USD	166,060	12/16/2015		2,563		—
	TRY	145,000	USD	46,324	12/16/2015		—		(504	)
	USD	10,463	HUF	2,900,000	12/16/2015		—		(128	)
	UYU	2,650,000	USD	89,097	12/02/2015		896		—
							3,638		(632	)
JPMorgan Chase Bank	IDR	366,000,000	USD	25,285	05/18/2016		2,297		—
	INR	3,540,000	USD	52,765	12/16/2015		—		(565	)
	MXN	900,000	USD	53,010	12/16/2015		86		—
	RON	45,000	USD	11,324	12/16/2015		—		(41	)
	RUB	1,020,000	USD	15,107	12/16/2015		—		(91	)
	TRY	162,000	USD	52,594	12/16/2015		276		—
	USD	62,921	MYR	280,000	12/16/2015		661		—
	USD	48,652	CNY	305,000	07/28/2016		—		(1,942	)
	ZAR	980,000	USD	69,545	12/17/2015		—		(236	)
							3,320		(2,875	)
Morgan Stanley and Co., Inc.	BRL	935,000	USD	227,887	12/02/2015		—		(2,900	)
	COP	34,022,000	USD	11,050	12/16/2015		128		—
	TRY	21,000	USD	6,720	12/16/2015		—		(62	)
							128		(2,962	)
Royal Bank of Canada	MXN	4,019,000	USD	236,912	12/16/2015		579		—
Standard Chartered Bank	KES	3,561,000	USD	32,373	12/16/2015		—		(1,159	)
	USD	26,178	MXN	444,000	12/16/2015		—		(69	)
							—		(1,228	)
State Street Bank and Trust Co.	COP	18,004,000	USD	5,724	12/16/2015		—		(56	)
	USD	48,585	BRL	204,000	12/02/2015		1,768		—
							1,768		(56	)
Net Unrealized Appreciation(Depreciation)						$	21,723	$	(42,458	)

BRL — Brazilian Real
CNY — Yuan Renminbi
COP — Colombina Peso
CRC — Costa Rican Colón
CZK — Czech Republic Koruna
EUR — Euro Dollar
GBP — Pound Sterling
HKD — Hong Kong Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
KES — Kenyan Shilling
MXN — Mexican Peso
MYR — Myalaysian Ringgit
NGN — Nigerian Naira
PLN — Polish Zloty
RON — Romanian Lue
RSD — Serbian Dinar
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

64

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Over the Counter Credit Default Swaps on Sovereign Issues — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation (Depreciation)
Federative Republic of Brazil Senior Notes 4.25% due 01/07/2025		(1.00	)%	09/20/2020	Goldman Sachs International		4.73	%	$	95,000	$	15,081	$	11,450	$	3,631
United Mexican States Senior Notes 5.95% due 03/19/2019		(1.00	)	09/20/2020	Goldman Sachs International		1.73			55,000		1,881		1,637		244
											$	16,962	$	13,087	$	3,875

(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.

65

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Medical-Biomedical/Gene	$	3,774,732	$	—	$	0	$	3,774,732
Television		122,169		—		2,588		124,757
Other Industries		63,453,347		—		—		63,453,347
Preferred Securities/Capital Securities		—		1,427,860		—		1,427,860
Asset Backed Securities:
Diversified Financial Services		—		15,990,611		297,177		16,287,788
U.S. Corporate Bonds & Notes		—		13,937,758		—		13,937,758
Foreign Corporate Bonds & Notes		—		2,991,334		—		2,991,334
Municipal Bond & Notes		—		622,564		—		622,564
U.S. Government Agencies		—		18,001,993		—		18,001,993
U.S. Government Treasuries		—		4,139,623		—		4,139,623
Foreign Government Obligations		—		1,258,702		—		1,258,702
Options - Purchased		704		—		—		704
Short-Term Investment Securities		—		440,000		—		440,000
Repurchase Agreements		—		3,240,000		—		3,240,000
Total Investments at Value	$	67,350,952	$	62,050,445	$	299,765	$	129,701,162
Other Financial Instruments:†
Futures Contracts	$	90,735	$	—	$	—	$	90,735
Forward Foreign Currency Contracts		—		21,723		—		21,723
Over the Counter Credit Default Swaps on
Sovereign Issues-Buy Protection		—		3,875		—		3,875
Total Other Financial Instruments	$	90,735	$	25,598	$	—	$	116,333
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	134,605	$	—	$	—	$	134,605
Forward Foreign Currency Contracts		—		42,458		—		42,458
Total Other Financial Instruments	$	134,605	$	42,458	$	—	$	177,063

*  For a detailed presentation of investments, 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

66

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Diversified Financial Services	22.3	%
Federal National Mtg. Assoc.	15.0
Diversified Banking Institutions	4.9
Federal Home Loan Mtg. Corp.	4.7
Government National Mtg. Assoc.	4.7
United States Treasury Notes	4.5
Repurchase Agreements	4.0
Banks-Commercial	2.5
Medical-Biomedical/Gene	2.5
Medical-Drugs	2.2
Cable/Satellite TV	2.0
Computers	1.8
Real Estate Investment Trusts	1.7
Sovereign	1.7
Web Portals/ISP	1.5
United States Treasury Bonds	1.2
Multimedia	1.2
Retail-Restaurants	1.0
Enterprise Software/Service	0.9
Municipal Bonds & Notes	0.9
Pipelines	0.9
Telephone-Integrated	0.8
Retail-Building Products	0.8
Internet Content-Entertainment	0.8
Banks-Super Regional	0.8
Auto-Cars/Light Trucks	0.8
Finance-Credit Card	0.8
Transport-Rail	0.7
Tobacco	0.7
Cosmetics & Toiletries	0.7
Instruments-Controls	0.7
E-Commerce/Products	0.7
Oil Companies-Integrated	0.7
Computer Services	0.6
Diversified Manufacturing Operations	0.6
Electronic Components-Semiconductors	0.6
Retail-Drug Store	0.6
Retail-Auto Parts	0.6
Medical Instruments	0.6
Medical-Hospitals	0.6
Oil Companies-Exploration & Production	0.6
Cellular Telecom	0.5
Commercial Services-Finance	0.5
Semiconductor Components-Integrated Circuits	0.5
Medical-Generic Drugs	0.5
Athletic Footwear	0.5
Chemicals-Diversified	0.4
Pharmacy Services	0.4
Medical-HMO	0.4
Food-Confectionery	0.4
Medical Products	0.4
Food-Retail	0.4
Industrial Gases	0.4
E-Commerce/Services	0.4
Finance-Investment Banker/Broker	0.4
Airlines	0.4
Retail-Discount	0.3
Electronic Connectors	0.3
Electronic Components-Misc.	0.3
Auto/Truck Parts & Equipment-Original	0.3

Containers-Metal/Glass	0.3	%
Apparel Manufacturers	0.3
Retail-Major Department Stores	0.3
Applications Software	0.3
Food-Wholesale/Distribution	0.3
Beverages-Non-alcoholic	0.3
Medical-Wholesale Drug Distribution	0.3
Electric-Integrated	0.3
Cruise Lines	0.3
Food-Misc./Diversified	0.3
Insurance-Property/Casualty	0.3
Insurance Brokers	0.2
Wireless Equipment	0.2
Aerospace/Defense-Equipment	0.2
Electronic Design Automation	0.2
Medical Information Systems	0.2
Recreational Vehicles	0.2
Trucking/Leasing	0.2
Retail-Gardening Products	0.2
Non-Ferrous Metals	0.2
Building-Heavy Construction	0.2
Investment Management/Advisor Services	0.2
Machinery-General Industrial	0.2
Telecommunication Equipment	0.2
Insurance-Multi-line	0.2
Security Services	0.2
Agricultural Chemicals	0.2
Beverages-Wine/Spirits	0.2
Retail-Catalog Shopping	0.2
Building-Residential/Commercial	0.2
Telecom Services	0.2
Electronic Forms	0.2
Real Estate Management/Services	0.2
Building Societies	0.2
Finance-Other Services	0.2
Metal Processors & Fabrication	0.2
Metal-Diversified	0.2
Electronic Measurement Instruments	0.2
Computer Aided Design	0.2
Banks-Fiduciary	0.2
Entertainment Software	0.2
Finance-Leasing Companies	0.1
Toys	0.1
Building & Construction Products-Misc.	0.1
Finance-Consumer Loans	0.1
Metal-Copper	0.1
Steel-Producers	0.1
Advertising Services	0.1
Internet Content-Information/News	0.1
Insurance-Mutual	0.1
Real Estate Operations & Development	0.1
Financial Guarantee Insurance	0.1
Savings & Loans/Thrifts	0.1
Oil Refining & Marketing	0.1
Oil-Field Services	0.1
Data Processing/Management	0.1
Television	0.1
Broadcast Services/Program	0.1
Rental Auto/Equipment	0.1
Retail-Perfume & Cosmetics	0.1

67

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Building Products-Wood	0.1	%
Diagnostic Equipment	0.1
Hazardous Waste Disposal	0.1
Shipbuilding	0.1
Medical Labs & Testing Services	0.1
Brewery	0.1
Funeral Services & Related Items	0.1
	115.5	%
Credit Quality†#
Aaa	50.9	%
Aa	3.0
A	8.0
Baa	17.4
Ba	6.5
B	2.0
Caa	1.6
Ca	0.6
Not Rated@	10.0
	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.

68

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.4%
Advertising Services — 0.1%
Nielsen Holdings PLC		2,497	$	111,042
Aerospace/Defense-Equipment — 0.2%
United Technologies Corp.		2,134		189,905
Airlines — 0.4%
United Continental Holdings, Inc.†		5,913		313,685
Apparel Manufacturers — 0.2%
Carter's, Inc.		2,152		195,057
Applications Software — 0.3%
NetSuite, Inc.†		1,465		122,913
ServiceNow, Inc.†		1,882		130,705
				253,618
Athletic Footwear — 0.5%
NIKE, Inc., Class B		3,298		405,555
Auto/Truck Parts & Equipment-Original — 0.2%
Delphi Automotive PLC		2,941		223,634
Banks-Commercial — 0.1%
PacWest Bancorp		2,457		105,184
Beverages-Non-alcoholic — 0.3%
Coca-Cola Co.		6,224		249,707
Beverages-Wine/Spirits — 0.2%
Brown-Forman Corp., Class B		1,725		167,152
Cable/Satellite TV — 0.8%
Comcast Corp., Class A		9,313		529,723
Time Warner Cable, Inc.		875		156,949
				686,672
Cellular Telecom — 0.3%
T-Mobile US, Inc.†		7,345		292,404
Chemicals-Diversified — 0.4%
LyondellBasell Industries NV, Class A		2,122		176,890
PPG Industries, Inc.		2,559		224,399
				401,289
Commercial Services-Finance — 0.5%
MasterCard, Inc., Class A		5,094		459,071
Computer Aided Design — 0.2%
ANSYS, Inc.†		1,569		138,292
Computer Services — 0.4%
Amdocs, Ltd.		5,259		299,132
Cognizant Technology Solutions Corp., Class A†		1,348		84,398
				383,530
Computers — 1.6%
Apple, Inc.		13,037		1,437,981
Containers-Metal/Glass — 0.3%
Crown Holdings, Inc.†		5,435		248,651

Security Description	Shares		Value (Note 2)
Cosmetics & Toiletries — 0.7%
Colgate-Palmolive Co.		4,310	$	273,513
Estee Lauder Cos., Inc., Class A		4,097		330,546
				604,059
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		4,027		230,747
Diversified Manufacturing Operations — 0.6%
A.O. Smith Corp.		2,468		160,889
Colfax Corp.†		5,224		156,250
Dover Corp.		3,463		198,014
				515,153
E-Commerce/Products — 0.7%
Amazon.com, Inc.†		1,145		586,114
E-Commerce/Services — 0.4%
Priceline Group, Inc.†		260		321,584
Electronic Components-Misc. — 0.3%
TE Connectivity, Ltd.		4,905		293,760
Electronic Components-Semiconductors — 0.6%
Avago Technologies, Ltd.		1,403		175,389
Freescale Semiconductor, Ltd.†		4,658		170,390
Texas Instruments, Inc.		3,203		158,612
				504,391
Electronic Connectors — 0.3%
Amphenol Corp., Class A		5,771		294,090
Electronic Design Automation — 0.2%
Cadence Design Systems, Inc.†		10,120		209,282
Electronic Forms — 0.2%
Adobe Systems, Inc.†		1,901		156,300
Electronic Measurement Instruments — 0.2%
National Instruments Corp.		4,997		138,867
Enterprise Software/Service — 0.8%
Oracle Corp.		10,999		397,284
Tyler Technologies, Inc.†		622		92,871
Ultimate Software Group, Inc.†		1,170		209,441
				699,596
Finance-Credit Card — 0.8%
American Express Co.		2,543		188,513
Visa, Inc., Class A		6,878		479,121
				667,634
Finance-Investment Banker/Broker — 0.3%
E*TRADE Financial Corp.†		6,294		165,721
LPL Financial Holdings, Inc.		2,404		95,607
				261,328
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		623		146,399
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		10,368		96,008

69

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Confectionery — 0.4%
Hershey Co.		3,903	$	358,608
Food-Retail — 0.4%
Kroger Co.		9,618		346,921
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		6,505		253,500
Industrial Gases — 0.4%
Air Products & Chemicals, Inc.		2,699		344,338
Instruments-Controls — 0.7%
Honeywell International, Inc.		3,015		285,490
Sensata Technologies Holding NV†		7,004		310,558
				596,048
Insurance Brokers — 0.1%
Aon PLC		1,535		136,016
Internet Content-Entertainment — 0.8%
Facebook, Inc., Class A†		7,916		711,648
Internet Content-Information/News — 0.1%
LinkedIn Corp., Class A†		579		110,085
Investment Management/Advisor Services — 0.2%
BlackRock, Inc.		558		165,988
Machinery-General Industrial — 0.2%
Roper Technologies, Inc.		1,149		180,048
Medical Information Systems — 0.2%
athenahealth, Inc.†		1,499		199,892
Medical Instruments — 0.3%
Boston Scientific Corp.†		15,978		262,199
Medical Products — 0.2%
Baxter International, Inc.		6,615		217,303
Medical-Biomedical/Gene — 2.2%
Alder Biopharmaceuticals, Inc.†		4,662		152,727
Amgen, Inc.		4,057		561,164
Biogen, Inc.†		1,387		404,741
Celgene Corp.†		4,849		524,516
Regeneron Pharmaceuticals, Inc.†		586		272,572
				1,915,720
Medical-Drugs — 2.0%
AbbVie, Inc.		7,427		404,103
Bristol-Myers Squibb Co.		6,947		411,262
Eli Lilly & Co.		5,421		453,684
Endo International PLC†		3,161		218,994
Ironwood Pharmaceuticals, Inc.†		11,262		117,350
Mallinckrodt PLC†		2,895		185,106
				1,790,499
Medical-Hospitals — 0.3%
Universal Health Services, Inc., Class B		1,818		226,905
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		8,614		146,266

Security Description	Shares		Value (Note 2)
Multimedia — 0.6%
Walt Disney Co.		4,978	$	508,752
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp.		1,359		82,070
Oil Refining & Marketing — 0.1%
Phillips 66		1,120		86,061
Oil-Field Services — 0.1%
Baker Hughes, Inc.		1,764		91,799
Pharmacy Services — 0.4%
Express Scripts Holding Co.†		4,932		399,295
Real Estate Investment Trusts — 0.7%
American Tower Corp.		4,848		426,527
Lexington Realty Trust		8,230		66,663
Simon Property Group, Inc.		696		127,869
				621,059
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		1,048		150,671
Recreational Vehicles — 0.2%
Polaris Industries, Inc.		1,665		199,584
Retail-Auto Parts — 0.6%
Advance Auto Parts, Inc.		1,876		355,558
AutoZone, Inc.†		202		146,214
				501,772
Retail-Building Products — 0.7%
Lowe's Cos., Inc.		8,690		598,915
Retail-Catalog Shopping — 0.2%
MSC Industrial Direct Co., Inc., Class A		2,708		165,269
Retail-Discount — 0.3%
Dollar Tree, Inc.†		4,344		289,571
Retail-Gardening Products — 0.2%
Tractor Supply Co.		2,295		193,514
Retail-Major Department Stores — 0.3%
TJX Cos., Inc.		3,594		256,683
Retail-Restaurants — 1.0%
Chipotle Mexican Grill, Inc.†		342		246,326
Dunkin' Brands Group, Inc.		2,931		143,619
Starbucks Corp.		8,279		470,578
				860,523
Semiconductor Components-Integrated Circuits — 0.2%
Atmel Corp.		17,274		139,401
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		5,186		155,736
Television — 0.0%
ION Media Networks, Inc.†(1)(2)(3)		10		6,469
Tobacco — 0.3%
Altria Group, Inc.		5,460		297,024
Toys — 0.1%
Mattel, Inc.		5,979		125,918

70

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(11)		Value (Note 2)
COMMON STOCKS (continued)
Transport-Rail — 0.5%
Kansas City Southern		1,752	$	159,222
Union Pacific Corp.		3,687		325,967
				485,189
Web Portals/ISP — 1.5%
Alphabet, Inc., Class C†		2,161		1,314,796
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		3,237		221,346
Total Common Stocks (cost $25,880,468)				27,701,142
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.8%
Banks-Commercial — 0.6%
Banco Bilbao Vizcaya Argentaria SA VRS 7.00% due 02/19/2019(4)	EUR	200,000		217,334
Banco do Brasil SA VRS 6.25% due 04/15/2024(4)		200,000		94,000
Banco Santander SA VRS 6.25% due 03/12/2019(4)	EUR	200,000		210,630
				521,964
Building Societies — 0.2%
Nationwide Building Society VRS 6.88% due 06/20/2019(4)	GBP	100,000		148,045
Diversified Banking Institutions — 0.7%
Lloyds Banking Group PLC VRS 6.38% due 06/27/2020(4)	EUR	200,000		228,828
Societe Generale SA VRS 8.25% due 11/29/2018(4)		200,000		208,190
UBS Group AG VRS 5.75% due 02/19/2022(4)	EUR	200,000		223,569
				660,587
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due 11/30/2056†(1)		16,000		2
Insurance-Multi-line — 0.0%
Hartford Financial Services Group, Inc. VRS 8.13% due 06/15/2068		35,000		38,675
Insurance-Property/Casualty — 0.3%
ACE Capital Trust II 9.70% due 04/01/2030		150,000		221,625
Total Preferred Securities/Capital Securities (cost $1,831,685)				1,590,898
ASSET BACKED SECURITIES — 22.0%
Diversified Financial Services — 22.0%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.36% due 01/25/2037(5)		97,636		93,927

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020	$	15,000	$	15,068
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 1.75% due 07/27/2026*(6)		250,000		248,000
Apidos CLO XVII FRS Series 2014-17A, Class A1A 1.79% due 04/17/2026*(6)		250,000		248,550
Apidos CLO XX FRS Series 2015-20A, Class A1 1.84% due 01/16/2027*(6)		250,000		249,075
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.14% due 04/20/2023*(6)		204,394		203,290
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.77% due 10/25/2034		26,060		24,350
Atrium XI FRS Series 11-A, Class B 2.44% due 10/23/2025*(6)		250,000		246,375
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.93% due 02/10/2051(7)		104,556		111,334
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.95% due 05/10/2045(7)		72,020		72,707
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(7)		210,000		214,338
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.63% due 02/25/2036(5)		199,379		177,451
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(7)		80,000		84,483
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.90% due 06/11/2040(7)		50,000		52,805
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		17,708		17,926
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		17,340		17,350
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.41% due 07/15/2025*(6)		250,000		245,125

71

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2012-2AR, Class A1R 1.58% due 07/20/2023*(6)	$	250,000	$	249,075
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 1.74% due 04/27/2027*(6)		250,000		248,075
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 2.62% due 10/15/2026*(6)		250,000		249,900
CD Mtg. Trust VRS Series 2006-CD2, Class A4 5.49% due 01/15/2046(7)		47,149		47,186
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 1.77% due 04/17/2026*(6)		250,000		247,225
Cent CLO, Ltd. FRS Series 2013-20A, Class A 1.78% due 01/25/2026*(6)		250,000		248,625
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 1.79% due 04/18/2025*(6)		250,000		248,000
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.81% due 05/24/2026*(6)		250,000		247,825
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7)		70,000		75,463
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(7)		135,000		146,441
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.35% due 12/10/2049(7)		36,522		38,995
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.63% due 03/25/2036(5)		117,751		112,158
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(7)		145,000		149,716
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(7)		119,478		127,402
Commercial Mtg. Loan Trust VRS Series 2008-LS1, Class A4B 6.23% due 12/10/2049(7)		101,167		105,186
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7)		140,000		143,919
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(7)		45,000		47,356

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(3)(7)	$	130,000	$	133,898
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(7)		100,000		104,837
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(7)		170,000		180,288
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7)		70,000		75,094
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7)		65,000		69,859
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(7)		55,000		59,227
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(7)		200,000		215,741
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(7)		195,000		212,526
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.38% due 07/10/2045(7)		50,110		55,404
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(7)		105,719		109,741
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.95% due 06/10/2046(7)		35,755		36,282
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(5)		8,986		9,068
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		90,713		84,813
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(5)		4,430		4,222
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(7)		1,465		1,464
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(7)		43,754		44,690
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.05% due 06/15/2057(7)(8)		1,266,503		76,634
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(7)		161,000		168,450

72

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*	$	79,233	$	81,607
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		105,000		104,947
Dryden 33 Senior Loan Fund FRS Series 2014-33A, Class A 1.77% due 07/15/2026*(6)		250,000		248,800
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.64% due 04/18/2026*(6)		250,000		247,200
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.31% due 05/25/2035(5)		191,423		184,650
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		35,000		34,988
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		140,000		139,756
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		25,000		25,043
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		190,545
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		12,000		12,050
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		45,000		45,107
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		23,000		23,045
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 1.84% due 01/24/2027*(6)		250,000		249,075
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7)		125,000		126,252
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7)		30,445		35,861
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(7)		100,000		104,963
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(7)		110,000		117,009

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7)	$	70,000	$	75,285
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(7)		70,044		70,047
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.29% due 03/25/2037		272,567		143,981
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.48% due 04/25/2036(5)		14,977		12,649
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.61% due 03/25/2047(5)		48,610		41,874
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.70% due 04/25/2035(5)		71,315		67,789
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(5)		78,650		72,915
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(7)		175,000		175,412
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.73% due 05/25/2035(5)		110,630		101,874
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(7)		119,263		125,862
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7)		105,000		114,493
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(7)		191,118		197,500
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(7)		104,385		109,477
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(7)		94,124		101,345
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7)		65,000		68,533
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(7)		195,000		212,850
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(7)		52,906		55,125

73

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(7)	$	86,454	$	90,122
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.27% due 04/15/2041(7)		134,027		144,647
Limerock CLO II, Ltd. FRS Series 2014-2A, Class A 1.79% due 04/18/2026*(6)		250,000		248,275
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.79% due 07/20/2026*(6)		250,000		248,100
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.72% due 07/25/2026*(6)		250,000		247,550
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.46% due 02/25/2035(5)		35,492		35,643
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.62% due 12/25/2034(5)		56,365		55,755
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.87% due 05/12/2039(7)		110,000		111,103
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(7)		122,882		127,450
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(7)		55,000		58,191
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(7)		97,942		103,402
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.31% due 12/15/2047(7)(8)		358,385		24,523
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(7)		135,000		141,861
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7)		25,000		26,935
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(7)		105,000		109,395
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(7)		143,758		148,056

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(7)	$	105,000	$	109,546
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(7)		70,042		74,498
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.46% due 01/11/2043(7)		53,301		57,824
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		61,225		55,414
MortgageIT Trust FRS Series 2005-4, Class A1 0.47% due 10/25/2035(5)		278,820		254,312
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 1.78% due 08/04/2025*(6)		250,000		248,100
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.65% due 06/25/2036(5)		169,332		128,812
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)		34,490		34,229
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		450,000		450,000
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 1.87% due 02/15/2026*(6)		250,000		248,550
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 1.80% due 04/17/2027*(6)		215,000		213,301
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*(3)		135,000		135,000
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 1.75% due 11/20/2023*(6)		200,000		199,700
OHA Loan Funding 2015-1, Ltd. FRS Series 2015-1A, Class A 1.82% due 02/15/2027*(6)		250,000		247,450
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.29% due 02/25/2037		45,662		26,706
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.84% due 04/17/2026*(6)		250,000		248,850
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 1.74% due 04/30/2027*(6)		250,000		246,925

74

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 1.77% due 04/15/2027*(6)	$	250,000	$	247,675
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037		241,294		134,593
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.86% due 08/25/2035(5)		165,511		129,118
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		6,978		7,169
Santander Drive Auto Receivables Trust Series 2013-5, Class B 1.55% due 10/15/2018		105,000		105,148
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		30,000		30,211
Santander Drive Auto Receivables Trust Series 2015-2, Class B 1.83% due 01/15/2020		165,000		164,783
Santander Drive Auto Receivables Trust Series 2013-5, Class C 2.25% due 06/17/2019		20,000		20,180
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		105,000		105,680
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.32% due 05/25/2037		120,321		84,981
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.48% due 02/20/2047(5)		130,025		112,710
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 1.82% due 04/15/2027*(6)		250,000		248,200
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.44% due 11/25/2036		200,000		138,051
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*		97,003		97,136
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		100,000		100,043
Symphony CLO, Ltd. FRS Series 2012-10, Class AR 1.56% due 07/23/2023*(6)		250,000		248,700

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 1.76% due 04/20/2027*(6)	$	250,000	$	247,625
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(7)		80,000		82,043
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 1.76% due 04/18/2027*(6)		250,000		247,625
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 2.69% due 10/14/2026*(6)		250,000		249,775
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-C23, Class A4 5.42% due 01/15/2045(7)		22,776		22,788
WaMu Mtg. Pass Through Certs. FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(5)		151,010		135,585
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.35% due 09/15/2057(3)(7)(8)		1,000,000		74,028
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7)		55,000		58,076
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(7)		10,000		8,418
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.62% due 03/25/2035(5)		131,111		133,301
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(5)		190,511		191,392
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.68% due 11/25/2034(5)		6,719		6,747
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.72% due 10/25/2036(5)		80,638		74,899
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		140,000		140,359
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 1.22% due 02/15/2044*(7)(8)		864,911		21,345

75

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(7)	$	85,000	$	88,955
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7)		135,000		144,780
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7)		125,000		134,601
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7)		55,111		59,703
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(7)		45,000		49,038
Total Asset Backed Securities (cost $19,444,054)				19,460,534
U.S. CORPORATE BONDS & NOTES — 19.5%
Aerospace/Defense-Equipment — 0.0%
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		25,000		23,000
Agricultural Chemicals — 0.2%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		65,000		59,692
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		115,000		110,782
				170,474
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		65,000		66,950
Auto-Cars/Light Trucks — 0.8%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		22,000		21,924
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025		200,000		199,094
Ford Motor Credit Co. LLC Senior Notes 4.21% due 04/15/2016		100,000		101,575
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		100,000		99,231
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		115,000		116,189
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		140,000		145,319
				683,332

Security Description	Principal Amount(11)		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 0.1%
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020	$	60,000	$	62,175
Banks-Commercial — 0.6%
Capital One NA/Mclean VA Senior Notes 1.65% due 02/05/2018		250,000		247,523
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		110,000		114,125
HSBC USA, Inc. Senior Notes 2.75% due 08/07/2020		150,000		150,544
				512,192
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		130,000		131,914
Banks-Super Regional — 0.8%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		154,000		160,413
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		100,000		105,314
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		115,000		117,823
Wells Fargo & Co. Senior Notes 2.60% due 07/22/2020		75,000		75,757
Wells Fargo & Co. Senior Notes 3.00% due 02/19/2025		20,000		19,244
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		30,000		30,265
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		70,000		77,093
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		95,000		106,273
				692,182
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		35,000		33,950
Brewery — 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		42,926

76

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030	$	70,000	$	72,100
Building & Construction Products-Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*		70,000		70,700
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		50,000		53,250
				123,950
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		29,000		31,646
Building-Heavy Construction — 0.2%
SBA Tower Trust Sec. Notes 2.90% due 10/15/2044*		90,000		90,287
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		100,000		100,439
				190,726
Building-Residential/Commercial — 0.2%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		70,000		70,700
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		55,000		55,605
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		30,150
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,394
				161,849
Cable/Satellite TV — 1.2%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		50,000		46,875
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023		5,000		4,794
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		80,000		79,411
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		50,000		50,026

Security Description	Principal Amount(11)		Value (Note 2)
Cable/Satellite TV (continued)
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*	$	110,000	$	109,472
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		145,000		146,283
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		60,000		59,632
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		70,000		73,039
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		35,000		33,252
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		75,000		71,045
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		50,000		49,841
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		50,000		50,661
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		25,000		27,249
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		8,375
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		66,000		63,566
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		45,000		35,578
Time Warner Cable, Inc. Company Guar. Notes 5.00% due 02/01/2020		10,000		10,729
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		20,000		19,036
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		50,000		55,637
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		15,000		17,615
				1,012,116
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 1st. Mtg. Notes 5.38% due 03/15/2022		10,000		9,213

77

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom — 0.2%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*	$	20,000	$	20,986
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		45,000		34,632
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		40,000		40,700
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		8,724
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		80,000		81,300
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		15,000		15,038
				201,380
Coal — 0.0%
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		109,000		22,618
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		30,000		28,800
Computer Services — 0.2%
Hewlett Packard Enterprise Co. Company Guar. Notes 2.45% due 10/05/2017*		90,000		89,949
Hewlett Packard Enterprise Co. Company Guar. Notes 2.85% due 10/05/2018*		90,000		89,885
				179,834
Computers — 0.2%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		75,000		63,493
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		95,000		100,745
				164,238
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*		15,000		15,094
Data Processing/Management — 0.1%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		55,000		55,109
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		35,000		34,650
				89,759

Security Description	Principal Amount(11)		Value (Note 2)
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*	$	10,000	$	10,100
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		10,000		10,075
				20,175
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		40,000		40,372
Danaher Corp. Senior Notes 3.35% due 09/15/2025		25,000		25,502
				65,874
Diversified Banking Institutions — 3.9%
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		100,000		97,283
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		25,000		24,502
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		75,000		74,946
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		35,000		36,858
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		100,000		107,774
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		200,000		198,058
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		75,000		75,430
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		135,000		134,272
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		100,000		99,745
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		115,000		125,084
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		125,000		126,633
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		95,000		95,258
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		45,000		45,229

78

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045	$	75,000	$	73,617
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		49,000		54,659
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		32,000		38,271
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		66,321
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		75,000		87,556
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		79,000		94,240
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		205,000		206,754
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		33,024
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		50,000		53,595
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		265,000		263,916
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		35,000		37,719
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		17,166
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		150,000		165,048
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		35,000		39,796
Merrill Lynch & Co., Inc. Sub. Notes 6.11% due 01/29/2037		182,000		209,344
Merrill Lynch & Co., Inc. Senior Notes 6.88% due 04/25/2018		115,000		128,528
Morgan Stanley Senior Notes 1.88% due 01/05/2018		175,000		175,452
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		80,000		77,046
Morgan Stanley Senior Notes 4.00% due 07/23/2025		20,000		20,440

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 4.30% due 01/27/2045	$	100,000	$	95,038
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		61,000		61,314
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		10,000		10,654
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,265
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		111,353
				3,474,188
Diversified Financial Services — 0.3%
General Electric Capital Corp. Company Guar. Notes 5.88% due 01/14/2038		216,000		269,369
Diversified Manufacturing Operations — 0.0%
General Electric Co. Senior Notes 2.70% due 10/09/2022		28,000		28,071
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		13,000		13,488
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		8,000		7,020
AES Corp. Senior Notes 5.50% due 03/15/2024		30,000		26,595
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		56,500
Exelon Corp. Senior Notes 2.85% due 06/15/2020		70,000		70,613
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		60,000		76,081
				236,809
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 2.50% due 05/15/2022		125,000		123,182
Entertainment Software — 0.2%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		125,000		131,562

79

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 5.50% due 01/15/2019	$	10,000	$	9,294
Navient Corp. Senior Notes 7.25% due 01/25/2022		10,000		8,750
Navient Corp. Senior Notes 8.45% due 06/15/2018		100,000		102,812
				120,856
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		50,000		55,977
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		19,000		1,947
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)		26,000		3
				57,929
Finance-Leasing Companies — 0.1%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		125,000		125,625
Food-Misc./Diversified — 0.3%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		150,000		150,209
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		75,000		75,491
				225,700
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		40,600
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		60,000		60,600
Home Furnishings — 0.0%
Tempur Sealy International, Inc. Company Guar. Notes 5.63% due 10/15/2023*		10,000		10,038
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,090
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		14,000		14,508

Security Description	Principal Amount(11)		Value (Note 2)
Independent Power Producers (continued)
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022	$	7,000	$	6,370
				23,968
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018		45,000		46,000
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		50,000		49,959
				95,959
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		5,000		5,075
Insurance-Multi-line — 0.2%
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		90,000		136,317
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		70,000		103,818
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		19,900
Medical Instruments — 0.3%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		100,000		101,347
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		65,000		65,708
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		50,000		51,555
				218,610
Medical Labs & Testing Services — 0.1%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		46,000		46,219
Medical Products — 0.2%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		135,000		134,729
Medical-Biomedical/Gene — 0.3%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		95,000		90,134
Gilead Sciences, Inc. Senior Notes 1.85% due 09/04/2018		80,000		80,559

80

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022	$	60,000	$	60,470
Gilead Sciences, Inc. Senior Notes 4.60% due 09/01/2035		25,000		25,022
				256,185
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018		75,000		74,792
AbbVie, Inc. Senior Notes 4.50% due 05/14/2035		40,000		38,612
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		75,000		74,107
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		15,000		14,850
				202,361
Medical-HMO — 0.4%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		30,000		30,127
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		24,748
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		49,266
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		50,000		51,968
UnitedHealth Group, Inc. Senior Note 1.90% due 07/16/2018		75,000		75,778
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		65,000		67,086
UnitedHealth Group, Inc. Senior Note 3.75% due 07/15/2025		55,000		56,850
UnitedHealth Group, Inc. Senior Note 4.75% due 07/15/2045		20,000		21,112
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		15,000		15,600
				392,535
Medical-Hospitals — 0.3%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		25,000		25,437
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		50,000		49,875

Security Description	Principal Amount(11)		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022	$	10,000	$	10,725
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,375
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		10,000		10,900
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		10,000		10,100
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		120,000		126,600
				244,012
Medical-Wholesale Drug Distribution — 0.3%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,032
Cardinal Health, Inc. Senior Notes 3.50% due 11/15/2024		140,000		139,935
McKesson Corp. Senior Notes 1.40% due 03/15/2018		70,000		69,374
				239,341
Metal-Copper — 0.1%
Freeport-McMoRan, Inc Company Guar. Notes 4.00% due 11/14/2021		75,000		58,500
Southern Copper Corp. Senior Notes 5.25% due 11/08/2042		25,000		18,912
Southern Copper Corp. Senior Notes 5.88% due 04/23/2045		45,000		36,534
				113,946
Multimedia — 0.6%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		95,000		108,569
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		135,000		165,033
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		115,000		140,843
Time Warner, Inc. Company Guar. Bonds 7.63% due 04/15/2031		75,000		95,772
				510,217

81

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production — 0.2%
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023*	$	15,000	$	13,163
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		35,000		30,625
Hess Corp. Senior Notes 5.60% due 02/15/2041		25,000		23,297
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		75,000		87,798
SM Energy Co Senior Notes 6.13% due 11/15/2022		10,000		9,260
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,025
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		8,600
				176,768
Oil Companies-Integrated — 0.2%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		70,000		68,384
ConocoPhillips Co. Company Guar. Notes 3.35% due 05/15/2025		25,000		24,362
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		55,000		53,297
				146,043
Oil Refining & Marketing — 0.0%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		9,800
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		11,000		10,175
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		30,000		28,500
				38,675
Pipelines — 0.9%
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. Company Guar. Notes 6.25% due 04/01/2023*		15,000		12,750
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		5,601

Security Description	Principal Amount(11)		Value (Note 2)
Pipelines (continued)
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022	$	5,000	$	4,500
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		116,000		115,420
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		75,000		67,520
Energy Transfer Partners LP Senior Notes 4.75% due 01/15/2026		20,000		18,402
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		150,000		132,572
Kinder Morgan Energy Partners LP Company Guar. Notes 5.50% due 03/01/2044		75,000		62,949
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		75,000		59,508
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		15,000		13,765
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. Company Guar. Notes 4.88% due 12/01/2024		15,000		13,725
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		45,000		40,931
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		15,000		14,700
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		3,880
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		25,000		24,375
Williams Partners LP Senior Notes 3.60% due 03/15/2022		125,000		115,405
Williams Partners LP Senior Notes 4.30% due 03/04/2024		75,000		68,046
				774,049

82

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts — 1.0%
American Tower Corp. Senior Notes 3.40% due 02/15/2019	$	135,000	$	138,966
American Tower Corp. Senior Notes 3.45% due 09/15/2021		75,000		75,339
Duke Realty LP Senior Notes 3.75% due 12/01/2024		30,000		29,522
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		55,000		55,962
Equinix, Inc. Senior Notes 5.38% due 04/01/2023		25,000		24,453
HCP, Inc. Senior Notes 3.75% due 02/01/2016		20,000		20,170
HCP, Inc. Senior Notes 5.38% due 02/01/2021		25,000		27,690
HCP, Inc. Senior Notes 6.00% due 01/30/2017		80,000		84,308
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		120,000		120,726
Liberty Property LP Senior Notes 3.38% due 06/15/2023		25,000		24,322
Liberty Property LP Senior Notes 4.13% due 06/15/2022		25,000		25,614
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		25,000		26,145
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		61,000		65,812
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		50,000		52,294
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		125,000		136,986
				908,309
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		101,366
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		30,000		37,306

Security Description	Principal Amount(11)		Value (Note 2)
Rental Auto/Equipment (continued)
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023	$	15,000	$	14,531
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		18,700
				70,537
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		25,000		24,625
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 4.25% due 04/01/2046		70,000		70,504
Lowe's Cos, Inc. Senior Notes 3.38% due 09/15/2025		40,000		40,414
Lowe's Cos., Inc. Senior Notes 4.38% due 09/15/2045		15,000		15,173
				126,091
Retail-Discount — 0.0%
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023*		10,000		10,375
Retail-Drug Store — 0.6%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		160,000		162,561
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		50,000		51,540
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		85,000		91,371
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		13,186		14,519
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		21,823		25,048
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		132,806		157,498
				502,537
Retail-Perfume & Cosmetics — 0.1%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		65,000		67,438

83

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Savings & Loans/Thrifts — 0.1%
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020	$	85,000	$	95,880
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		17,000		17,762
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		11,000		10,766
				28,528
Security Services — 0.2%
ADT Corp. Senior Notes 3.50% due 07/15/2022		24,000		21,240
ADT Corp. Senior Notes 6.25% due 10/15/2021		145,000		149,531
				170,771
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025		100,000		94,428
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		57,000		59,708
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		9,475
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		13,753
United States Steel Corp. Senior Notes 6.88% due 04/01/2021		30,000		22,800
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		70,000		55,650
				101,678
Telecom Services — 0.2%
GTP Acquisition Partners I LLC Sec. Revenue Notes 3.48% due 06/15/2050*		160,000		160,038
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		19,850
Telephone-Integrated — 0.7%
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		30,000		27,445

Security Description	Principal Amount(11)		Value (Note 2)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 4.75% due 05/15/2046	$	70,000	$	64,141
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		10,000		9,750
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020		57,000		57,169
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		121,000		109,733
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		50,000		46,523
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		156,000		137,091
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		124,000		106,776
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		23,000		21,567
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		42,000		38,226
				618,421
Television — 0.1%
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		75,000		76,125
Tobacco — 0.1%
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		100,000		102,853
Transport-Services — 0.0%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		40,000		40,096
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		55,000		55,336
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		4,976
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		138,144
				198,456

84

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*	$	10,000	$	10,100
Total U.S. Corporate Bonds & Notes (cost $17,291,007)				17,203,221
FOREIGN CORPORATE BONDS & NOTES — 4.1%
Banks-Commercial — 1.2%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		305,000		329,841
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		214,250
BPCE SA Sub. Notes 5.15% due 07/21/2024*		200,000		203,277
Credit Suisse New York Sub. Notes 5.40% due 01/14/2020		112,000		124,154
Sumitomo Mitsui Financial Group, Inc. Sub. Notes 4.44% due 04/02/2024*		200,000		206,059
				1,077,581
Building Products-Wood — 0.1%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		35,000		34,234
Diversified Banking Institutions — 0.3%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		39,000		38,778
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		122,343
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		26,000		27,938
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		40,000		43,288
				232,347
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		53,000		34,185
Enterprise Software/Service — 0.0%
Open Text Corp. Company Guar. Notes 5.63% due 01/15/2023*		10,000		9,919

Security Description	Principal Amount(11)		Value (Note 2)
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022	$	5,000	$	5,050
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		6,000		6,435
				11,485
Investment Management/Advisor Services — 0.0%
Intercorp Peru, Ltd. Senior Notes 5.88% due 02/12/2025*		20,000		19,000
Medical-Generic Drugs — 0.5%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		225,000		225,895
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		155,000		155,136
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		35,000		31,778
				412,809
Metal-Diversified — 0.2%
Vedanta Resources PLC Senior Notes 8.25% due 06/07/2021		205,000		143,586
Non-Ferrous Metals — 0.2%
Corp Nacional del Cobre de Chile Senior Notes 4.50% due 09/16/2025*		200,000		192,125
Oil Companies-Exploration & Production — 0.3%
EnCana Corp. Senior Notes 6.50% due 05/15/2019		105,000		115,142
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		35,000		30,100
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,695
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		5,000		4,100
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		5,000		3,975
Nexen Energy ULC Company Guar. Notes 6.40% due 05/15/2037		45,000		52,926
				210,938
Oil Companies-Integrated — 0.5%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		55,000		55,747

85

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043	$	55,000	$	47,986
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		40,000		30,500
Petrobras Global Finance BV Senior Notes 5.38% due 10/01/2029	GBP	100,000		92,029
Petroleos de Venezuela Company Guar. Notes 9.75% due 05/17/2035		85,000		30,812
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		75,000		60,187
Petroleos Mexicanos Company Guar. Notes 7.47% due 11/12/2026	MXN	1,000,000		54,422
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		10,000		10,277
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		55,000		51,349
				433,309
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.50% due 07/15/2022*		5,000		4,750
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		25,000		23,875
				28,625
Semiconductor Components-Integrated Circuits — 0.2%
TSMC Global, Ltd. Company Guar. Notes 1.63% due 04/03/2018*		200,000		198,187
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		20,000		18,775
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		8,100
ArcelorMittal Senior Notes 7.00% due 02/25/2022		4,000		3,640
				11,740
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Bonds 8.75% due 06/15/2030		85,000		121,523

Security Description	Principal Amount(11)		Value (Note 2)
Tobacco — 0.3%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*	$	55,000	$	56,057
Imperial Tobacco Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		200,000		201,894
				257,951
Transport-Rail — 0.2%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		40,077
Kansas City Southern de Mexico SA de CV Senior Notes 3.00% due 05/15/2023		150,000		145,128
				185,205
Total Foreign Corporate Bonds & Notes (cost $3,763,460)				3,633,524
MUNICIPAL BONDS & NOTES — 0.9%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		90,000		100,828
New Jersey Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		50,000		69,534
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		27,000		29,047
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		25,000		7,750
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		300,000		93,000
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		90,000		27,900
State of California General Obligation Bonds 7.30% due 10/01/2039		5,000		6,928
State of California General Obligation Bonds 7.55% due 04/01/2039		70,000		100,828

86

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Municipal Bonds & Notes (continued)
State of California General Obligation Bonds 7.63% due 03/01/2040	$	120,000	$	172,186
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		25,000		23,420
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		65,000		69,120
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		90,000		96,484
Total Municipal Bonds & Notes (cost $843,268)				797,025
U.S. GOVERNMENT AGENCIES — 24.4%
Federal Home Loan Mtg. Corp. — 4.7%
1.89% due 02/01/2037 FRS		7,444		7,835
2.50% due 01/01/2028		18,339		18,881
2.50% due 04/01/2028		45,452		46,795
3.00% due 08/01/2027		76,420		79,647
3.00% due 10/01/2042		44,589		45,325
3.00% due 11/01/2042		20,870		21,168
3.00% due 08/01/2043		363,070		368,302
3.00% due October TBA		200,000		202,052
3.50% due 03/01/2042		15,140		15,822
3.50% due 08/01/2042		99,709		104,191
3.50% due 09/01/2043		79,941		83,676
3.50% due October TBA		1,600,000		1,664,750
4.00% due 03/01/2023		21,745		22,727
4.00% due 09/01/2040		8,258		8,820
4.00% due 10/01/2043		98,882		105,401
4.50% due 01/01/2039		4,194		4,543
5.00% due 12/01/2020		7,911		8,359
5.00% due 05/01/2021		102,438		108,866
5.00% due 07/01/2021		30,274		31,641
5.00% due 05/01/2034		55,907		62,065
5.50% due 05/01/2037		13,056		14,449
5.50% due 06/01/2037		6,405		7,222
6.00% due 08/01/2036		15,052		17,035
6.50% due 05/01/2029		2,838		3,245
6.50% due 07/01/2035		3,321		3,972
6.50% due 05/01/2036		109		124
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Series 2014-DN1, Class M2
2.39% due 02/25/2024 FRS(5)		250,000		251,797
Series 2014-HQ1, Class M2
2.69% due 08/25/2024 FRS(5)		250,000		253,391
Series 2014-HQ3, Class M2
2.84% due 10/25/2024 FRS(5)		250,000		254,942
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5)		12,626		12,755
Series 1577, Class PK 6.50% due 09/15/2023(5)		8,853		9,719

Security Description	Principal Amount(11)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Series 1226, Class Z 7.75% due 03/15/2022(5)	$	795	$	851
Freddie Mac Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.83% due 03/25/2045*(7)		100,000		101,309
Series 2014-K503, Class B 3.08% due 10/25/2047*(7)		80,000		81,373
Series 2012-K706, Class B 4.17% due 11/25/2044*(7)		70,000		73,582
Series 2010-K8, Class B 5.41% due 09/25/2043*(7)		90,000		100,785
				4,197,417
Federal National Mtg. Assoc. — 15.0%
2.21% due 05/01/2037 FRS		12,267		12,935
2.50% due 04/01/2028		76,045		78,248
2.50% due 02/01/2043		87,932		86,241
2.50% due 03/01/2043		175,975		172,594
2.50% due October TBA		100,000		101,947
2.64% due 03/01/2027		39,648		39,096
2.66% due 03/01/2027		410,000		401,908
2.78% due 03/01/2027		78,000		77,514
2.94% due 10/01/2040 FRS		12,530		13,304
2.97% due 06/01/2027		135,000		136,342
3.00% due 10/01/2027		33,206		34,737
3.00% due 12/01/2027		17,425		18,201
3.00% due 01/01/2028		53,803		56,078
3.00% due October TBA		1,500,000		1,536,891
3.50% due 08/01/2026		34,625		36,636
3.50% due 10/01/2028		127,887		135,535
3.50% due October TBA		4,600,000		4,798,519
4.00% due 11/01/2025		10,910		11,618
4.00% due 09/01/2040		7,687		8,215
4.00% due 12/01/2040		132,907		142,046
4.00% due 11/01/2041		13,033		13,929
4.00% due 01/01/2042		42,245		45,208
4.00% due 12/01/2043		34,718		37,576
4.00% due October TBA		1,200,000		1,280,016
4.50% due 01/01/2039		11,623		12,619
4.50% due 09/01/2039		25,241		27,421
4.50% due 09/01/2040		52,725		57,150
4.50% due 05/01/2041		27,717		30,132
4.50% due October TBA		1,300,000		1,409,220
4.95% due 11/01/2015		47,704		47,603
5.00% due 03/01/2018		13,305		13,821
5.00% due 06/01/2019		4,412		4,619
5.00% due 05/01/2035		538		593
5.00% due 07/01/2040		41,562		45,854
5.00% due October TBA		900,000		991,635
5.50% due 10/01/2021		13,911		15,006
5.50% due 06/01/2022		4,731		5,065
5.50% due 12/01/2029		7,831		8,736
5.50% due 05/01/2034		26,573		29,927
5.50% due 09/01/2035		691,485		780,924
5.50% due 08/01/2037		39,413		43,960
5.50% due 06/01/2038		11,415		12,841
6.00% due 06/01/2017		3,057		3,147

87

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
6.00% due 06/01/2026	$	24,711	$	27,846
6.00% due 04/01/2027		125,976		141,947
6.00% due 12/01/2033		35,237		40,142
6.00% due 05/01/2034		22,639		25,780
6.50% due 06/01/2035		79,557		90,884
6.50% due 10/01/2037		5,314		6,070
7.00% due 06/01/2037		28,274		33,265
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		16,453		16,452
				13,197,993
Government National Mtg. Assoc. — 4.7%
3.00% due October TBA		200,000		204,090
3.50% due October TBA		1,600,000		1,676,437
4.00% due 09/15/2040		789,601		844,071
4.00% due 11/15/2040		120,167		128,440
4.00% due 09/15/2041		71,519		76,686
4.50% due 02/15/2039		10,894		11,811
4.50% due 06/15/2041		692,205		751,216
4.50% due 08/15/2041		281,674		305,382
5.50% due 05/15/2036		13,392		15,047
6.00% due 09/15/2032		14,263		16,620
6.00% due 12/15/2033		53,775		62,144
7.00% due 07/15/2033		14,015		16,609
7.00% due 11/15/2033		14,875		17,723
8.00% due 11/15/2031		4,848		5,008
8.50% due 11/15/2017		230		238
9.00% due 11/15/2021		202		231
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(5)		210		237
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		11,771		13,775
				4,145,765
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		25,000		25,488
Total U.S. Government Agencies (cost $21,295,905)				21,566,663
U.S. GOVERNMENT TREASURIES — 5.7%
United States Treasury Bonds — 1.2%
2.50% due 02/15/2045(12)		625,000		575,374
2.88% due 05/15/2043		8,000		7,974
3.00% due 05/15/2045		225,000		230,256
4.38% due 11/15/2039		179,300		230,074
				1,043,678
United States Treasury Notes — 4.5%
0.25% due 01/15/2025 TIPS(9)		2,297,328		2,201,936
0.38% due 07/15/2025 TIPS(9)		1,801,402		1,754,750
				3,956,686
Total U.S. Government Treasuries (cost $5,100,398)				5,000,364

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 1.7%
Sovereign — 1.7%
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 05/15/2019(9)	BRL	256,428	$	62,386
Brazil Notas do Tesouro Nacional Serie B Notes 6.00% due 08/15/2016(9)	BRL	323,909		81,851
Dominican Republic Senior Bonds 5.50% due 01/27/2025*		100,000		96,500
Federal Republic of Nigeria Bonds 12.15% due 07/18/2034	NGN	3,245,000		13,256
Government of Romania Bonds 5.85% due 04/26/2023	RON	50,000		14,626
Kingdom of Thailand Senior Notes 3.85% due 12/12/2025	THB	1,262,000		37,938
Malaysia Government Bond Senior Bonds 3.49% due 03/31/2020	MYR	190,000		42,696
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(9)	UYU	2,125,987		48,991
Oriental Republic of Uruguay Bonds 4.25% due 04/05/2027(9)	UYU	2,620,404		73,362
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(9)	UYU	743,519		20,535
Republic of Colombia Bonds 3.00% due 03/25/2033(9)	COP	159,623,089		43,321
Republic of Colombia Bonds 3.50% due 03/10/2021(9)	COP	77,013,103		25,256
Republic of Costa Rica Bonds 9.20% due 03/27/2019*	CRC	16,200,000		31,625
Republic of Hungary Bonds 5.50% due 06/24/2025	HUF	2,900,000		12,159
Republic of Peru Senior Notes 4.13% due 08/25/2027		35,000		34,300
Republic of Poland Bonds 3.25% due 07/25/2025	PLN	286,000		77,875
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	995,000		69,607
Republic of South Africa Bonds 8.50% due 01/31/2037	ZAR	970,000		66,300
Republic of Turkey Bonds 2.50% due 05/04/2016(9)	TRY	521,782		170,228

88

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(11)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Russian Federation Bonds 7.50% due 02/27/2019	RUB	1,375,000	$	19,000
Russian Federation Bonds 7.85% due 03/10/2018	RUB	10,000,000		142,676
United Mexican States FRS Bonds 3.07% due 05/28/2020	MXN	3,176,200		186,126
United Mexican States Senior Bonds 4.75% due 03/08/2044		25,000		22,812
United Mexican States Bonds 10.00% due 12/05/2024	MXN	828,800		62,453
Total Foreign Government Obligations (cost $1,642,741)				1,455,879
OPTIONS — PURCHASED†(1)(10) — 0.0%
Call Options-Purchased (cost $649)	HKD	1,485,000		857
Total Long-Term Investment Securities (cost $97,093,635)				98,410,107
REPURCHASE AGREEMENTS(13) — 4.0%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $260,000 and collateralized by $260,000 of United States Treasury Notes, bearing interest at 2.00% due 02/15/2022 and having an approximate value of $265,200	$	260,000		260,000
Bank of America Securities LLC Joint Repurchase Agreement		520,000		520,000
Barclays Capital, Inc. Joint Repurchase Agreement		720,000		720,000
BNP Paribas SA Joint Repurchase Agreement		720,000		720,000
Deutsche Bank AG Joint Repurchase Agreement		510,000		510,000
RBS Securities, Inc. Joint Repurchase Agreement		805,000		805,000
Total Repurchase Agreements (cost $3,535,000)				3,535,000

Security Description	Principal Amount(11)			Value (Note 2)
TOTAL INVESTMENTS (cost $100,628,635)(14)		115.5	%	$	101,945,107
Liabilities in excess of other assets		(15.5	)		(13,716,268	)
NET ASSETS		100.0	%	$	88,228,839

†  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, 2015, the aggregate value of these securities was $15,285,018 representing 17.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Illiquid security. At September 30, 2015, the aggregate value of these securities was $6,476 representing 0.0% of net assets.

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2015, 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.	04/09/2014		10	$	0	$	6,469	$	646.94		0.00	%

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

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

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  Commercial Mortgage Backed Security

(8)  Interest Only

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

(10)  Options Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2015		Unrealized Appreciation (Depreciation)
Call option to buy Hong Kong Dollar in exchange for U.S. dollars with Goldman Sachs International	March 2016	$	7.75	HKD	1,485,000	$	649	$	857	$	208

89

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

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

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

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

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

BRL — Brazilian Real

COP — Colombian Peso

CRC — Costa Rican Colón

EUR — Euro Dollar

GBP — Pound Sterling

HKD — Hong Kong Dollar

HUF — Hungarian Forint

MXN — Mexican Peso

MYR — Myalaysian Ringgit

NGN — Nigerian Naira

PLN — Polish Zloty

RON — Romanian Leu

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.

THB — Thailand Baht

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

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, 2015 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	9	Short	U.S. Long Bonds	December 2015	$	1,390,852	$	1,416,094	$	(25,242	)
	4	Long	U.S. Treasury 2YR Notes	December 2015		874,312		876,125		1,813
	79	Long	U.S. Treasury 5YR Notes	December 2015		9,450,039		9,520,734		70,695
	77	Short	U.S. Treasury 10YR Notes	December 2015		9,823,082		9,912,547		(89,465	)
	14	Long	U.S. Ultra Bonds	December 2015		2,217,139		2,245,688		28,549
									$	(13,650	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	120,000	USD	129,009	03/15/2017	$	—	$	(7,072	)
	PLN	300,000	USD	79,120	12/16/2015		345		—
	TRY	135,000	USD	43,328	12/16/2015		—		(271	)
	USD	16,964	EUR	15,000	03/15/2017		46		—
							391		(7,343	)
Barclays Bank PLC	IDR	460,000,000	USD	31,867	05/18/2016		2,976		—
	KES	1,080,000	USD	9,863	12/16/2015		—		(307	)
	USD	80,095	MYR	338,000	12/16/2015		—		(3,342	)
							2,976		(3,649	)
BNP Paribas SA	COP	8,762,000	USD	2,794	12/16/2015		—		(19	)
	CZK	1,680,000	USD	69,953	12/16/2015		753		—
	RUB	9,331,000	USD	136,919	12/16/2015		—		(2,115	)
	USD	88,738	NGN	16,106,000	10/08/2015		—		(7,958	)
	ZAR	846,000	USD	60,199	12/17/2015		—		(41	)
							753		(10,133	)

90

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	CRC	17,357,000	USD	31,930	12/16/2015	$	—	$	(244	)
	EUR	827,000	USD	929,991	10/30/2015		5,514		—
	GBP	100,000	USD	151,882	10/30/2015		627		—
	NGN	16,106,000	USD	70,640	10/08/2015		—		(10,141	)
	NGN	3,932,000	USD	17,554	12/16/2015		—		(1,604	)
	THB	1,410,000	USD	38,435	12/16/2015		—		(308	)
	USD	49,351	KES	5,399,000	12/16/2015		1,488		—
	USD	46,773	RSD	5,000,000	12/16/2015		—		(333	)
	UYU	1,525,000	USD	51,338	12/16/2015		917		—
	ZAR	1,263,000	USD	90,435	12/17/2015		502		—
							9,048		(12,630	)
Deutsche Bank AG	CNY	295,000	USD	44,765	07/28/2016		—		(414	)
	HKD	1,275,000	USD	164,464	12/16/2015		—		(45	)
	MYR	675,000	USD	153,165	12/16/2015		—		(113	)
	USD	63,485	INR	4,290,000	12/16/2015		1,144		—
							1,144		(572	)
Goldman Sachs International	CNY	75,000	USD	11,407	07/28/2016		—		(79	)
	COP	80,300,000	USD	25,945	12/16/2015		166		—
	HKD	745,000	USD	96,077	03/03/2016		—		(32	)
	HUF	6,900,000	USD	24,465	12/16/2015		—		(124	)
	USD	77,523	MYR	338,000	12/16/2015		—		(770	)
	USD	20,835	RSD	2,231,000	12/16/2015		—		(114	)
	USD	110,649	ZAR	1,572,000	12/17/2015		1,286		—
	USD	58,511	IDR	904,000,000	05/18/2016		—		(1,733	)
	ZAR	822,000	USD	57,763	12/17/2015		—		(768	)
							1,452		(3,620	)
HSBC Bank USA, Inc.	BRL	95,000	USD	23,649	12/02/2015		201		—
	MYR	865,000	USD	199,485	12/16/2015		3,061		—
	TRY	175,000	USD	55,909	12/16/2015		—		(608	)
	USD	12,627	HUF	3,500,000	12/16/2015		—		(154	)
	UYU	3,060,000	USD	102,882	12/02/2015		1,035		—
							4,297		(762	)
JPMorgan Chase Bank	GBP	84,000	USD	128,985	12/16/2015		1,953		—
	IDR	444,000,000	USD	30,674	05/18/2016		2,787		—
	INR	4,290,000	USD	63,944	12/16/2015		—		(685	)
	MXN	1,080,000	USD	63,612	12/16/2015		103		—
	RON	60,000	USD	15,098	12/16/2015		—		(55	)
	RUB	1,230,000	USD	18,217	12/16/2015		—		(110	)
	TRY	190,000	USD	61,685	12/16/2015		324		—
	USD	75,730	MYR	337,000	12/16/2015		796		—
	USD	59,021	CNY	370,000	07/28/2016		—		(2,355	)
	ZAR	1,182,000	USD	83,880	12/17/2015		—		(285	)
							5,963		(3,490	)
Morgan Stanley And Co., Inc.	BRL	1,132,000	USD	275,914	12/02/2015		—		(3,499	)
	COP	41,549,000	USD	13,494	12/16/2015		155		—
	TRY	21,000	USD	6,720	12/16/2015		—		(62	)
							155		(3,561	)
Royal Bank of Canada	MXN	8,072,000	USD	475,828	12/16/2015		1,163		—
	USD	116,560	MXN	1,974,000	12/16/2015		—		(481	)
							1,163		(481	)
Standard Chartered Bank	KES	4,319,000	USD	39,264	12/16/2015		—		(1,405	)
	USD	31,838	MXN	540,000	12/16/2015		—		(84	)
							—		(1,489	)
State Street Bank and Trust Company	COP	21,989,000	USD	6,991	12/16/2015		—		(69	)
	USD	58,350	BRL	245,000	12/02/2015		2,124		—
							2,124		(69	)

91

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
UBS AG	USD	84,114	MXN	1,438,000	12/16/2015	$	446	$	—
	USD	177,726	EUR	155,000	03/15/2017		—		(1,955	)
							446		(1,955	)
Net Unrealized Appreciation(Depreciation)						$	29,912	$	(49,754	)

BRL — Brazilian Real
CNY — Chinese Yuan
COP — Colombina Peso
CRC — Costa Rican Colon
CZK — Czech Republic Koruna
EUR — Euro Dollar
GBP — Pound Sterling
HKD — Hong Kong Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
KES — Kenyan Shilling
MXN — Mexican Peso
MYR — Myalaysian Ringgit
NGN — Nigerian Naira
PLN — Polish Zloty
RON — Romanian Leu
RSD — Serbian Dinar
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Over the Counter Credit Default Swaps on Sovereign Issues — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation (Depreciation)
Federative Republic of Brazil Senior Notes 4.25% due 01/07/2025		(1.00	)%	09/20/2020	Goldman Sachs International		4.73	%	$	165,000	$	26,195	$	19,889	$	6,306
United Mexican States Senior Notes 5.95% due 03/19/2019		(1.00	)	09/20/2020	Goldman Sachs International		1.73			65,000		2,223		1,934		289
											$	28,418	$	21,823	$	6,595

(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.

92

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Television	$	—	$	—	$	6,469	$	6,469
Other Industries		27,694,673		—		—		27,694,673
Preferred Securities/Capital Securities		—		1,590,898		—		1,590,898
Asset Backed Securities:
Diversified Financial Services		—		19,117,608		342,926		19,460,534
U.S. Corporate Bonds & Notes		—		17,203,221		—		17,203,221
Foreign Corporate Bonds & Notes		—		3,633,524		—		3,633,524
Municipal Bond & Notes		—		797,025		—		797,025
U.S. Government Agencies		—		21,566,663		—		21,566,663
U.S. Government Treasuries		—		5,000,364		—		5,000,364
Foreign Government Obligations		—		1,455,879		—		1,455,879
Options - Purchased		857		—		—		857
Repurchase Agreements		—		3,535,000		—		3,535,000
Total Investments at Value	$	27,695,530	$	73,900,182	$	349,395	$	101,945,107
Other Financial Instruments:†
Futures Contracts	$	101,057	$	—	$	—	$	101,057
Forward Foreign Currency Contracts		—		29,912		—		29,912
Over the Counter Credit Default Swaps on
Sovereign Issues-Buy Protection		—		6,595		—		6,595
Total Other Financial Instruments	$	101,057	$	36,507	$	—	$	137,564
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	114,707	$	—	$	—	$	114,707
Forward Foreign Currency Contracts		—		49,754		—		49,754
Total Other Financial Instruments	$	114,707	$	49,754	$	—	$	164,461

*  For a detailed presentation of investments, 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

93

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Diversified Financial Services	27.4	%
Federal National Mtg. Assoc.	17.8
Government National Mtg. Assoc.	7.7
Diversified Banking Institutions	5.9
Federal Home Loan Mtg. Corp.	5.6
United States Treasury Notes	5.5
Repurchase Agreements	5.0
Banks-Commercial	3.0
Sovereign	2.0
Cable/Satellite TV	1.8
United States Treasury Bonds	1.7
Real Estate Investment Trusts	1.7
Medical-Biomedical/Gene	1.5
Medical-Drugs	1.3
Pipelines	1.1
Banks-Super Regional	1.1
Municipal Bonds & Notes	1.1
Multimedia	1.1
Telephone-Integrated	1.1
Computers	1.0
Auto-Cars/Light Trucks	0.9
Oil Companies-Integrated	0.8
Web Portals/ISP	0.8
Tobacco	0.8
Retail-Drug Store	0.7
Medical-HMO	0.6
Medical-Generic Drugs	0.6
Enterprise Software/Service	0.6
Transport-Rail	0.6
Oil Companies-Exploration & Production	0.5
Medical-Hospitals	0.5
Retail-Building Products	0.5
Retail-Restaurants	0.5
Semiconductor Components-Integrated Circuits	0.5
Cellular Telecom	0.5
Computer Services	0.5
Medical Instruments	0.5
Internet Content-Entertainment	0.4
Finance-Credit Card	0.4
Building Societies	0.4
Insurance-Property/Casualty	0.4
Medical-Wholesale Drug Distribution	0.3
Cosmetics & Toiletries	0.3
Electric-Integrated	0.3
Instruments-Controls	0.3
E-Commerce/Products	0.3
Diversified Manufacturing Operations	0.3
Food-Misc./Diversified	0.3
Medical Products	0.3
Commercial Services-Finance	0.3
Building-Heavy Construction	0.3
Electronic Components-Semiconductors	0.3
Retail-Auto Parts	0.3
Insurance-Multi-line	0.3
Non-Ferrous Metals	0.3
Security Services	0.3
Trucking/Leasing	0.3
Building-Residential/Commercial	0.3
Agricultural Chemicals	0.3
Chemicals-Diversified	0.2

Pharmacy Services	0.2	%
Athletic Footwear	0.2
Auto/Truck Parts & Equipment-Original	0.2
Finance-Consumer Loans	0.2
Entertainment Software	0.2
Food-Confectionery	0.2
Metal-Diversified	0.2
Food-Retail	0.2
Apparel Manufacturers	0.2
Industrial Gases	0.2
Insurance Brokers	0.2
E-Commerce/Services	0.2
Building & Construction Products-Misc.	0.2
Finance-Leasing Companies	0.2
Airlines	0.2
Banks-Fiduciary	0.2
Retail-Discount	0.2
Steel-Producers	0.2
Electronic Connectors	0.2
Electronic Components-Misc.	0.2
Insurance-Mutual	0.2
Metal-Copper	0.2
Food-Wholesale/Distribution	0.2
Finance-Investment Banker/Broker	0.1
Containers-Metal/Glass	0.1
Retail-Major Department Stores	0.1
Applications Software	0.1
Data Processing/Management	0.1
Beverages-Non-alcoholic	0.1
Real Estate Operations & Development	0.1
Aerospace/Defense-Equipment	0.1
Cruise Lines	0.1
Rental Auto/Equipment	0.1
Television	0.1
Wireless Equipment	0.1
Electronic Design Automation	0.1
Telecommunication Equipment	0.1
Investment Management/Advisor Services	0.1
Medical Information Systems	0.1
Recreational Vehicles	0.1
Retail-Gardening Products	0.1
Retail-Perfume & Cosmetics	0.1
Machinery-General Industrial	0.1
Hazardous Waste Disposal	0.1
Beverages-Wine/Spirits	0.1
Retail-Catalog Shopping	0.1
Diagnostic Equipment	0.1
Paper & Related Products	0.1
Electronic Forms	0.1
Real Estate Management/Services	0.1
Shipbuilding	0.1
Metal Processors & Fabrication	0.1
Finance-Other Services	0.1
Electronic Measurement Instruments	0.1
Computer Aided Design	0.1
Broadcast Services/Program	0.1
Toys	0.1
Funeral Services & Related Items	0.1
Savings & Loans/Thrifts	0.1
Building Products-Wood	0.1

94

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Advertising Services	0.1	%
Internet Content-Information/News	0.1
Transport-Services	0.1
Oil Refining & Marketing	0.1
Brewery	0.1
Oil-Field Services	0.1
Financial Guarantee Insurance	0.1
	121.0	%
Credit Quality†#
Aaa	51.2	%
Aa	3.4
A	7.8
Baa	17.5
Ba	6.6
B	2.0
Caa	1.7
Ca	0.4
Not Rated@	9.4
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

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

95

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares(12)		Value (Note 2)
COMMON STOCKS — 16.0%
Advertising Services — 0.1%
Nielsen Holdings PLC		1,031	$	45,849
Aerospace/Defense-Equipment — 0.1%
United Technologies Corp.		846		75,286
Airlines — 0.2%
United Continental Holdings, Inc.†		2,497		132,466
Apparel Manufacturers — 0.1%
Carter's, Inc.		899		81,485
Applications Software — 0.1%
NetSuite, Inc.†		606		50,843
ServiceNow, Inc.†		779		54,102
				104,945
Athletic Footwear — 0.2%
NIKE, Inc., Class B		1,344		165,272
Auto/Truck Parts & Equipment-Original — 0.1%
Delphi Automotive PLC		1,216		92,465
Banks-Commercial — 0.1%
PacWest Bancorp		1,029		44,051
Beverages-Non-alcoholic — 0.1%
Coca-Cola Co.		2,576		103,349
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		721		69,865
Cable/Satellite TV — 0.4%
Comcast Corp., Class A		3,935		223,823
Time Warner Cable, Inc.		365		65,470
				289,293
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		3,206		127,631
Chemicals-Diversified — 0.2%
LyondellBasell Industries NV, Class A		880		73,357
PPG Industries, Inc.		1,081		94,793
				168,150
Commercial Services-Finance — 0.3%
MasterCard, Inc., Class A		2,103		189,522
Computer Aided Design — 0.1%
ANSYS, Inc.†		649		57,203
Computer Services — 0.2%
Amdocs, Ltd.		2,176		123,771
Cognizant Technology Solutions Corp., Class A†		558		34,936
				158,707
Computers — 0.8%
Apple, Inc.		5,395		595,068
Containers-Metal/Glass — 0.1%
Crown Holdings, Inc.†		2,243		102,617
Cosmetics & Toiletries — 0.3%
Colgate-Palmolive Co.		1,748		110,928
Estee Lauder Cos., Inc., Class A		1,687		136,107
				247,035

Security Description	Shares(12)		Value (Note 2)
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		1,676	$	96,035
Diversified Manufacturing Operations — 0.3%
A.O. Smith Corp.		1,059		69,036
Colfax Corp.†		2,131		63,738
Dover Corp.		1,450		82,911
				215,685
E-Commerce/Products — 0.3%
Amazon.com, Inc.†		464		237,517
E-Commerce/Services — 0.2%
Priceline Group, Inc.†		105		129,870
Electronic Components-Misc. — 0.2%
TE Connectivity, Ltd.		2,030		121,577
Electronic Components-Semiconductors — 0.3%
Avago Technologies, Ltd.		578		72,256
Freescale Semiconductor, Ltd.†		1,931		70,636
Texas Instruments, Inc.		1,323		65,515
				208,407
Electronic Connectors — 0.2%
Amphenol Corp., Class A		2,388		121,692
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		4,174		86,318
Electronic Forms — 0.1%
Adobe Systems, Inc.†		787		64,707
Electronic Measurement Instruments — 0.1%
National Instruments Corp.		2,072		57,581
Enterprise Software/Service — 0.4%
Oracle Corp.		4,551		164,382
Tyler Technologies, Inc.†		258		38,522
Ultimate Software Group, Inc.†		488		87,357
				290,261
Finance-Credit Card — 0.4%
American Express Co.		1,071		79,393
Visa, Inc., Class A		2,853		198,740
				278,133
Finance-Investment Banker/Broker — 0.1%
E*TRADE Financial Corp.†		2,459		64,745
LPL Financial Holdings, Inc.		1,032		41,043
				105,788
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc.		251		58,982
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		3,869		35,827
Food-Confectionery — 0.2%
Hershey Co.		1,615		148,386
Food-Retail — 0.2%
Kroger Co.		3,980		143,559
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		2,754		107,323

96

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares(12)		Value (Note 2)
COMMON STOCKS (continued)
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		1,098	$	140,083
Instruments-Controls — 0.3%
Honeywell International, Inc.		1,248		118,173
Sensata Technologies Holding NV†		2,885		127,921
				246,094
Insurance Brokers — 0.1%
Aon PLC		629		55,736
Internet Content-Entertainment — 0.4%
Facebook, Inc., Class A†		3,276		294,512
Internet Content-Information/News — 0.1%
LinkedIn Corp., Class A†		238		45,251
Investment Management/Advisor Services — 0.1%
BlackRock, Inc.		225		66,931
Machinery-General Industrial — 0.1%
Roper Technologies, Inc.		477		74,746
Medical Information Systems — 0.1%
athenahealth, Inc.†		620		82,677
Medical Instruments — 0.2%
Boston Scientific Corp.†		6,635		108,880
Medical Products — 0.1%
Baxter International, Inc.		2,747		90,239
Medical-Biomedical/Gene — 1.1%
Alder Biopharmaceuticals, Inc.†		1,933		63,325
Amgen, Inc.		1,685		233,069
Biogen, Inc.†		574		167,499
Celgene Corp.†		2,014		217,855
Regeneron Pharmaceuticals, Inc.†		244		113,494
				795,242
Medical-Drugs — 1.0%
AbbVie, Inc.		3,074		167,257
Bristol-Myers Squibb Co.		2,875		170,200
Eli Lilly & Co.		2,248		188,135
Endo International PLC†		1,308		90,618
Ironwood Pharmaceuticals, Inc.†		4,665		48,609
Mallinckrodt PLC†		1,200		76,728
				741,547
Medical-Hospitals — 0.1%
Universal Health Services, Inc., Class B		746		93,108
Metal Processors & Fabrication — 0.1%
Rexnord Corp.†		3,554		60,347
Multimedia — 0.3%
Walt Disney Co.		2,105		215,131
Oil Companies-Exploration & Production — 0.0%
Anadarko Petroleum Corp.		558		33,698
Oil Refining & Marketing — 0.1%
Phillips 66		459		35,270

Security Description	Shares(12)		Value (Note 2)
Oil-Field Services — 0.1%
Baker Hughes, Inc.		724	$	37,677
Pharmacy Services — 0.2%
Express Scripts Holding Co.†		2,047		165,725
Real Estate Investment Trusts — 0.4%
American Tower Corp.		2,027		178,336
Lexington Realty Trust		3,374		27,329
Simon Property Group, Inc.		301		55,300
				260,965
Real Estate Management/Services — 0.1%
Jones Lang LaSalle, Inc.		429		61,677
Recreational Vehicles — 0.1%
Polaris Industries, Inc.		689		82,590
Retail-Auto Parts — 0.3%
Advance Auto Parts, Inc.		770		145,938
AutoZone, Inc.†		84		60,802
				206,740
Retail-Building Products — 0.3%
Lowe's Cos., Inc.		3,596		247,836
Retail-Catalog Shopping — 0.1%
MSC Industrial Direct Co., Inc., Class A		1,117		68,171
Retail-Discount — 0.2%
Dollar Tree, Inc.†		1,812		120,788
Retail-Gardening Products — 0.1%
Tractor Supply Co.		960		80,947
Retail-Major Department Stores — 0.1%
TJX Cos., Inc.		1,487		106,202
Retail-Restaurants — 0.5%
Chipotle Mexican Grill, Inc.†		142		102,275
Dunkin' Brands Group, Inc.		1,219		59,731
Starbucks Corp.		3,427		194,791
				356,797
Semiconductor Components-Integrated Circuits — 0.1%
Atmel Corp.		7,161		57,789
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		2,151		64,595
Television — 0.0%
ION Media Networks, Inc.†(1)(2)(3)		4		2,588
Tobacco — 0.2%
Altria Group, Inc.		2,260		122,944
Toys — 0.1%
Mattel, Inc.		2,499		52,629
Transport-Rail — 0.3%
Kansas City Southern		712		64,707
Union Pacific Corp.		1,500		132,615
				197,322
Web Portals/ISP — 0.8%
Alphabet, Inc., Class C†		894		543,927

97

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
COMMON STOCKS (continued)
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		1,297	$	88,689
Total Common Stocks (cost $10,757,373)				11,463,997
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.3%
Banks-Commercial — 0.7%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(4)	EUR	200,000		217,334
Banco do Brasil SA FRS 6.25% due 04/15/2024(4)		200,000		94,000
Banco Santander SA FRS 6.25% due 03/12/2019(4)	EUR	200,000		210,630
				521,964
Building Societies — 0.4%
Nationwide Building Society FRS 6.88% due 06/20/2019(4)	GBP	175,000		259,079
Diversified Banking Institutions — 0.6%
Lloyds Banking Group PLC FRS 6.38% due 06/27/2020(4)	EUR	200,000		228,828
Societe Generale SA FRS 8.25% due 11/29/2018(4)		225,000		234,214
				463,042
Diversified Financial Services — 0.1%
General Electric Capital Corp. FRS 6.25% due 12/15/2022(4)		100,000		108,500
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)		8,000		1
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		45,000		49,725
Insurance-Property/Casualty — 0.4%
ACE Capital Trust II 9.70% due 04/01/2030		175,000		258,562
Total Preferred Securities/Capital Securities (cost $1,906,345)				1,660,873
ASSET BACKED SECURITIES — 27.3%
Diversified Financial Services — 27.3%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.36% due 01/25/2037(5)		116,815		112,378
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		7,000		7,032
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 1.75% due 07/27/2026*(6)		250,000		248,000
Apidos CLO XX FRS Series 2015-20A, Class A1 1.84% due 01/16/2027*(6)		250,000		249,075

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.14% due 04/20/2023*(6)	$	204,394	$	203,290
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.77% due 10/25/2034		5,212		4,870
Atrium XI FRS Series 11-A, Class B 2.44% due 10/23/2025*(6)		250,000		246,375
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.93% due 02/10/2051(7)		125,258		133,379
Banc of America Commercial Mtg. Trust VRS Series 2006-2, Class A4 5.95% due 05/10/2045(7)		76,021		76,747
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(7)		235,000		239,854
Bear Stearns Adjustable Rate Mtg. Trust FRS Series 2005-12, Class 12A1 2.63% due 02/25/2036(5)		236,943		210,884
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(7)		95,000		100,324
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.90% due 06/11/2040(7)		60,000		63,366
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		21,250		21,511
Capital Auto Receivables Asset Trust Series 2013-2, Class A3 1.24% due 10/20/2017		9,047		9,052
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.41% due 07/15/2025*(6)		250,000		245,125
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2012-2AR, Class A1R 1.58% due 07/20/2023*(6)		250,000		249,075
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 1.74% due 04/27/2027*(6)		250,000		248,075
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 2.62% due 10/15/2026*(6)		250,000		249,900
CD Mtg. Trust VRS Series 2006-CD2, Class A4 5.49% due 01/15/2046(7)		50,337		50,376

98

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 1.77% due 04/17/2026*(6)	$	250,000	$	247,225
Cent CLO, Ltd. FRS Series 2013-20A, Class A 1.78% due 01/25/2026*(6)		250,000		248,625
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.81% due 05/24/2026*(6)		250,000		247,825
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7)		75,000		80,853
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(7)		155,000		168,136
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.35% due 12/10/2049(7)		41,087		43,869
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.63% due 03/25/2036(5)		130,017		123,841
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(7)		165,000		170,367
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(7)		149,346		159,252
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7)		155,000		159,339
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(7)		50,000		52,618
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(3)(7)		125,000		128,748
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(7)		100,000		104,838
Commercial Mtg. Trust Series 2014-CR18, Class A5 3.83% due 07/15/2047(7)		165,000		174,986
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7)		75,000		80,457
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7)		75,000		80,606
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(7)		60,000		64,611

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(7)	$	95,000	$	102,477
Commercial Mtg. Trust VRS Series 2013-CR9, Class A4 4.38% due 07/10/2045(7)		60,109		66,460
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(7)		131,092		136,079
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.95% due 06/10/2046(7)		39,005		39,580
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.23% due 12/10/2049(7)		113,813		118,334
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(5)		8,986		9,068
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		99,086		92,641
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(5)		4,820		4,593
CPS Auto Receivables Trust Series 2012-D, Class A 1.48% due 03/16/2020*		25,204		25,162
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(7)		1,628		1,627
Credit Suisse Mtg. Capital Certs., Series 2006-C4, Class A3 5.47% due 09/15/2039(7)		51,709		52,815
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.05% due 06/15/2057(7)(8)		1,256,538		76,031
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(7)		161,000		168,450
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*		65,705		67,674
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		105,000		104,947
Dryden 33 Senior Loan Fund FRS Series 2014-33A, Class A 1.77% due 07/15/2026*(6)		250,000		248,800
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.64% due 04/18/2026*(6)		250,000		247,200

99

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.31% due 05/25/2035(5)	$	213,300	$	205,753
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		40,000		39,986
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		140,000		139,756
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		25,000		25,043
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		190,545
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,025
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		50,000		50,119
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		11,000		11,021
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 1.84% due 01/24/2027*(6)		250,000		249,075
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7)		160,000		161,603
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7)		40,000		47,116
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(7)		100,000		104,963
GS Mtg. Securities Trust Series 2014-GC22, Class A5 3.86% due 06/10/2047(7)		125,000		132,965
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7)		75,000		80,663
GS Mtg. Securities Trust VRS Series 2006-GG6, Class A4 5.55% due 04/10/2038(7)		87,555		87,558
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.29% due 03/25/2037		271,218		143,268
GSR Mtg. Loan Trust FRS Series 2006-AR2, Class 3A1 2.48% due 04/25/2036(5)		17,973		15,179
GSR Mtg. Loan Trust FRS Series 2007-AR1, Class 2A1 2.61% due 03/25/2047(5)		48,610		41,874

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
GSR Mtg. Loan Trust FRS Series 2005-AR2, Class 1A2 2.70% due 04/25/2035(5)	$	74,973	$	71,266
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(5)		87,826		81,422
GTP Acquisition Partners I LLC Series 2015-2, CLASS A 3.48% due 06/15/2050*		160,000		160,038
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(7)		195,000		195,459
Impac CMB Trust FRS Series 2005-4, Class 1A1A 0.73% due 05/25/2035(5)		115,898		106,725
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(7)		144,110		152,083
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7)		115,250		125,669
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(7)		186,340		192,562
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(7)		114,327		119,903
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(7)		94,124		101,345
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7)		65,000		68,533
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(7)		45,000		49,119
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(7)		24,418		25,442
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(7)		98,243		102,412
LB-UBS Commercial Mtg. Trust VRS Series 2006-C4, Class A4 6.03% due 06/15/2038(7)		121,669		123,869
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.27% due 04/15/2041(7)		55,460		59,854

100

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Limerock CLO II, Ltd. FRS Series 2014-2A, Class A 1.79% due 04/18/2026*(6)	$	250,000	$	248,275
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.79% due 07/20/2026*(6)		250,000		248,100
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.72% due 07/25/2026*(6)		250,000		247,550
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.25% due 07/25/2026*(6)		250,000		245,800
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A2, Class A2 2.46% due 02/25/2035(5)		33,802		33,946
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A1, Class 2A1 2.62% due 12/25/2034(5)		59,781		59,134
Merrill Lynch Mtg. Trust VRS Series 2006-C1, Class A4 5.87% due 05/12/2039(7)		125,000		126,253
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(7)		136,536		141,611
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(7)		60,091		63,577
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(7)		83,951		88,630
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.31% due 12/15/2047(7)(8)		358,385		24,523
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class A5 3.74% due 08/15/2047(7)		135,000		141,861
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7)		25,000		26,935
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(7)		105,000		109,395
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(7)		166,220		171,189
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(7)		115,000		119,979

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(7)	$	74,824	$	79,583
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.46% due 01/11/2043(7)		62,185		67,461
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		56,327		50,981
MortgageIT Trust FRS Series 2005-4, Class A1 0.47% due 10/25/2035(5)		290,749		265,191
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 1.78% due 08/04/2025*(6)		250,000		248,100
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.65% due 06/25/2036(5)		169,332		128,812
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)		16,803		16,676
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		440,000		440,000
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 1.87% due 02/15/2026*(6)		250,000		248,550
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 1.80% due 04/17/2027*(6)		215,000		213,302
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*(3)		135,000		135,000
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 1.75% due 11/20/2023*(6)		200,000		199,700
OHA Loan Funding 2015-1, Ltd. FRS Series 2015-1A, Class A 1.82% due 02/15/2027*(6)		250,000		247,450
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.29% due 02/25/2037		55,174		32,270
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.84% due 04/17/2026*(6)		250,000		248,850
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 1.74% due 04/30/2027*(6)		250,000		246,925

101

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 1.77% due 04/15/2027*(6)	$	250,000	$	247,675
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.86% due 08/25/2035(5)		165,511		129,118
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		3,053		3,137
Santander Drive Auto Receivables Trust Series 2013-5, Class B 1.55% due 10/15/2018		100,000		100,141
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		35,000		35,246
Santander Drive Auto Receivables Trust Series 2015-2, Class B 1.83% due 01/15/2020		165,000		164,783
Santander Drive Auto Receivables Trust Series 2013-5, Class C 2.25% due 06/17/2019		20,000		20,180
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		100,000		100,648
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.32% due 05/25/2037		139,642		98,628
Sequoia Mtg. Trust FRS Series 2007-1, Class 2A1 2.48% due 02/20/2047(5)		143,519		124,407
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 1.82% due 04/15/2027*(6)		250,000		248,200
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.44% due 11/25/2036		195,000		134,600
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*		107,038		107,184
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		110,000		110,047
Springleaf Mtg. Loan Trust VRS Series 2013-2A, Class M1 3.52% due 12/25/2065*(5)		100,000		101,139
Symphony CLO, Ltd. FRS Series 2012-10, Class AR 1.56% due 07/23/2023*(6)		250,000		248,700

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Financial Services (continued)
Thornburg Mtg. Securities Trust FRS Series 2005-1, Class A3 2.24% due 04/25/2045(5)	$	124,406	$	124,923
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 1.76% due 04/20/2027*(6)		250,000		247,625
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(7)		85,000		87,171
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 1.76% due 04/18/2027*(6)		250,000		247,625
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 2.69% due 10/14/2026*(6)		250,000		249,775
WaMu Mtg. Pass Through Certs. FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(5)		149,242		133,998
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.35% due 09/15/2057(3)(7)(8)		1,000,000		74,028
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7)		60,000		63,356
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(7)		10,000		8,418
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.62% due 03/25/2035(5)		137,289		139,582
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.62% due 01/25/2035(5)		206,387		207,341
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.68% due 11/25/2034(5)		3,238		3,251
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 2.72% due 10/25/2036(5)		85,678		79,580
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		155,000		155,398
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 1.22% due 02/15/2044*(7)(8)		977,970		24,135
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A5 3.68% due 08/15/2047(7)		95,000		99,420

102

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7)	$	130,000	$	139,418
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7)		130,000		139,985
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7)		60,000		64,999
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class A4 4.15% due 08/15/2046(7)		55,000		59,936
Total Asset Backed Securities (cost $19,559,259)				19,624,441
U.S. CORPORATE BONDS & NOTES — 23.9%
Aerospace/Defense-Equipment — 0.0%
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		25,000		23,000
Agricultural Chemicals — 0.3%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		60,000		55,100
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		130,000		125,232
				180,332
Apparel Manufacturers — 0.1%
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		60,000		61,800
Auto-Cars/Light Trucks — 0.9%
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		10,962
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025		200,000		199,093
Ford Motor Credit Co. LLC Senior Notes 4.21% due 04/15/2016		100,000		101,575
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		75,000		74,423
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		125,000		126,293
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		140,000		145,319
				657,665

Security Description	Principal Amount(12)		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 0.1%
Tenneco, Inc. Company Guar. Notes 6.88% due 12/15/2020	$	70,000	$	72,537
Banks-Commercial — 0.7%
Capital One NA/Mclean VA Senior Notes 1.65% due 02/05/2018		250,000		247,523
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		130,000		134,875
HSBC USA, Inc. Senior Notes 2.75% due 08/07/2020		125,000		125,453
				507,851
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		130,000		131,914
Banks-Super Regional — 1.1%
Capital One Financial Corp. Sub. Notes 6.15% due 09/01/2016		150,000		156,246
PNC Funding Corp. Company Guar. Notes 5.63% due 02/01/2017		125,000		131,643
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		111,000		113,725
Wells Fargo & Co. Senior Notes 2.60% due 07/22/2020		75,000		75,757
Wells Fargo & Co. Senior Notes 3.00% due 02/19/2025		20,000		19,244
Wells Fargo & Co. Senior Notes 3.30% due 09/09/2024		45,000		44,658
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		155,000		156,369
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		70,000		78,307
				775,949
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		35,000		33,950
Brewery — 0.1%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		42,926

103

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030	$	55,000	$	56,650
Building & Construction Products-Misc. — 0.2%
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*		70,000		70,700
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		60,000		63,900
				134,600
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		14,000		15,277
Building-Heavy Construction — 0.3%
SBA Tower Trust Senior Sec. Notes 2.90% due 10/15/2044*		100,000		100,319
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		120,000		120,527
				220,846
Building-Residential/Commercial — 0.3%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		80,000		80,800
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		65,000		65,715
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		30,150
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,394
				182,059
Cable/Satellite TV — 1.4%
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		55,000		51,563
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023		10,000		9,588
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		65,000		64,521
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		55,000		55,029

Security Description	Principal Amount(12)		Value (Note 2)
Cable/Satellite TV (continued)
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*	$	110,000	$	109,472
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		145,000		146,283
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		65,000		64,601
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		70,000		73,039
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		35,000		33,252
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		85,000		80,517
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018		50,000		49,841
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		75,000		75,991
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,350
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		75,000		72,234
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		45,000		35,578
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		35,000		33,314
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		55,000		61,201
				1,019,374
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Senior Notes 5.38% due 03/15/2022		10,000		9,213
Cellular Telecom — 0.3%
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		25,000		26,233
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		50,000		38,480

104

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019	$	35,000	$	35,612
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		9,000		8,724
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		90,000		91,462
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		15,000		15,038
				215,549
Coal — 0.0%
Peabody Energy Corp. Company Guar. Notes 6.50% due 09/15/2020		124,000		25,730
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		35,000		33,600
Computer Services — 0.3%
Hewlett Packard Enterprise Co. Company Guar. Notes 2.45% due 10/05/2017*		90,000		89,949
Hewlett Packard Enterprise Co. Company Guar. Notes 2.85% due 10/05/2018*		90,000		89,885
				179,834
Computers — 0.2%
Apple, Inc. Senior Notes 3.45% due 02/09/2045		75,000		63,494
Hewlett-Packard Co. Senior Notes 4.65% due 12/09/2021		90,000		95,442
				158,936
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*		15,000		15,094
Data Processing/Management — 0.1%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		70,000		70,139
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		35,000		34,650
				104,789
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,100

Security Description	Principal Amount(12)		Value (Note 2)
Decision Support Software (continued)
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*	$	10,000	$	10,075
				20,175
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		40,000		40,372
Danaher Corp. Senior Notes 3.35% due 09/15/2025		25,000		25,502
				65,874
Diversified Banking Institutions — 5.0%
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		140,000		139,900
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		35,000		36,858
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		125,000		134,718
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		200,000		230,048
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		125,000		139,704
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,942
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		150,000		148,544
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		75,000		75,430
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		115,000		114,380
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		100,000		99,745
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		170,000		184,906
Citigroup, Inc. Senior Notes 8.50% due 05/22/2019		25,000		30,184
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		125,000		126,633
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		40,000		40,109

105

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020	$	40,000	$	40,204
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		195,000		191,911
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		75,000		73,617
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		38,000		42,388
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		15,000		17,940
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		66,321
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		35,000		40,859
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		56,000		66,803
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		150,000		151,284
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		15,000		15,011
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		290,000		288,813
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		55,000		59,272
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		17,166
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		180,000		198,057
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		125,000		136,585
Morgan Stanley Senior Notes 1.88% due 01/05/2018		125,000		125,323
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		80,000		77,046
Morgan Stanley Senior Notes 4.00% due 07/23/2025		50,000		51,100
Morgan Stanley Senior Notes 4.30% due 01/27/2045		100,000		95,038

Security Description	Principal Amount(12)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Sub. Notes 4.35% due 09/08/2026	$	77,000	$	77,396
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		10,000		10,654
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,265
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		111,353
				3,572,507
Diversified Manufacturing Operations — 0.0%
General Electric Co. Senior Notes 2.70% due 10/09/2022		13,000		13,033
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.38% due 02/01/2021		6,000		6,225
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		2,633
AES Corp. Senior Notes 5.50% due 03/15/2024		5,000		4,432
AES Corp. Senior Notes 8.00% due 06/01/2020		60,000		67,800
Exelon Corp. Senior Notes 2.85% due 06/15/2020		70,000		70,613
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		80,000		101,442
				246,920
Enterprise Software/Service — 0.2%
Oracle Corp. Senior Notes 2.50% due 05/15/2022		120,000		118,255
Entertainment Software — 0.2%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		145,000		152,612
Finance-Consumer Loans — 0.2%
Navient Corp. Senior Notes 5.50% due 01/15/2019		25,000		23,234
Navient Corp. Senior Notes 7.25% due 01/25/2022		10,000		8,750
Navient Corp. Senior Notes 8.45% due 06/15/2018		120,000		123,375
				155,359

106

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018	$	10,000	$	11,195
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†		10,000		1,025
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)		11,000		1
				12,222
Finance-Leasing Companies — 0.2%
Air Lease Corp. Senior Notes 4.50% due 01/15/2016		125,000		125,625
Food-Misc./Diversified — 0.3%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		150,000		150,209
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		75,000		75,491
				225,700
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		40,600
Service Corp. International Senior Notes 5.38% due 01/15/2022		10,000		10,300
				50,900
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		70,000		70,700
Home Furnishings — 0.0%
Tempur Sealy International, Inc. Company Guar. Notes 5.63% due 10/15/2023*		10,000		10,038
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,060
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		10,000		10,362
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		7,000		6,370
				18,792

Security Description	Principal Amount(12)		Value (Note 2)
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 2.55% due 10/15/2018	$	50,000	$	51,112
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		30,000		29,975
				81,087
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		10,000		10,150
Insurance-Multi-line — 0.2%
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		95,000		143,891
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		80,000		118,649
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		19,900
Medical Instruments — 0.3%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		90,000		91,212
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		60,000		60,654
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		50,000		51,555
				203,421
Medical Labs & Testing Services — 0.0%
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		21,000		21,100
Medical Products — 0.2%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		135,000		134,729
Medical-Biomedical/Gene — 0.4%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		95,000		90,134
Gilead Sciences, Inc. Senior Notes 1.85% due 09/04/2018		75,000		75,524
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		60,000		60,470
Gilead Sciences, Inc. Senior Notes 4.60% due 09/01/2035		25,000		25,022
				251,150

107

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs — 0.3%
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018	$	75,000	$	74,792
AbbVie, Inc. Senior Notes 4.50% due 05/14/2035		40,000		38,612
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		75,000		74,107
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		15,000		14,850
				202,361
Medical-HMO — 0.6%
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		49,266
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		75,000		77,952
UnitedHealth Group, Inc. Senior Notes 1.40% due 10/15/2017		75,000		75,421
UnitedHealth Group, Inc. Senior Notes 1.90% due 07/16/2018		75,000		75,778
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		65,000		67,087
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		56,850
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		20,000		21,112
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		15,000		15,600
				439,066
Medical-Hospitals — 0.4%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		30,000		30,525
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		55,000		54,862
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,363
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,375
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		40,000		43,600

Security Description	Principal Amount(12)		Value (Note 2)
Medical-Hospitals (continued)
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020	$	9,000	$	9,090
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		135,000		142,425
				296,240
Medical-Wholesale Drug Distribution — 0.3%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,032
Cardinal Health, Inc. Senior Notes 3.50% due 11/15/2024		140,000		139,935
McKesson Corp. Senior Notes 1.40% due 03/15/2018		80,000		79,285
				249,252
Metal-Copper — 0.2%
Freeport-McMoRan, Inc Company Guar. Notes 4.00% due 11/14/2021		70,000		54,600
Southern Copper Corp. Senior Notes 5.25% due 11/08/2042		26,000		19,669
Southern Copper Corp. Senior Notes 5.88% due 04/23/2045		45,000		36,533
				110,802
Multimedia — 0.8%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		100,000		114,283
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		220,000		268,943
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		135,000		165,337
				548,563
Oil Companies-Exploration & Production — 0.2%
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023*		15,000		13,163
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		35,000		30,625
Hess Corp. Senior Notes 5.60% due 02/15/2041		25,000		23,297
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		75,000		87,798

108

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
SM Energy Co Senior Notes 6.13% due 11/15/2022	$	10,000	$	9,260
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,025
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		8,600
				176,768
Oil Companies-Integrated — 0.2%
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		65,000		63,500
ConocoPhillips Co. Company Guar. Notes 3.35% due 05/15/2025		25,000		24,362
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		55,000		53,297
				141,159
Oil Refining & Marketing — 0.0%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		9,800
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		3,700
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		35,000		33,250
				36,950
Pipelines — 1.1%
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. Company Guar. Notes 6.25% due 04/01/2023*		15,000		12,750
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		5,601
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		4,500
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		126,000		125,370
Energy Transfer Partners LP Senior Notes 4.75% due 01/15/2026		15,000		13,801
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		175,000		154,667

Security Description	Principal Amount(12)		Value (Note 2)
Pipelines (continued)
Kinder Morgan Energy Partners LP Company Guar. Notes 5.50% due 03/01/2044	$	60,000	$	50,359
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		75,000		59,508
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. Company Guar. Notes 4.50% due 07/15/2023		5,000		4,589
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. Company Guar. Notes 4.88% due 12/01/2024		20,000		18,300
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. Company Guar. Notes 4.88% due 06/01/2025		10,000		9,198
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		50,000		51,239
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		45,000		40,931
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019*		15,000		14,700
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		3,880
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022*		25,000		24,375
Williams Partners LP Senior Notes 3.60% due 03/15/2022		135,000		124,638
Williams Partners LP Senior Notes 4.30% due 03/04/2024		75,000		68,046
				786,452
Real Estate Investment Trusts — 1.3%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		135,000		138,966
American Tower Corp. Senior Notes 3.45% due 09/15/2021		75,000		75,339

109

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Duke Realty LP Senior Notes 3.75% due 12/01/2024	$	30,000	$	29,522
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		55,000		55,962
Equinix, Inc. Senior Notes 5.38% due 04/01/2023		25,000		24,452
HCP, Inc. Senior Notes 4.00% due 06/01/2025		75,000		73,481
HCP, Inc. Senior Notes 6.00% due 01/30/2017		50,000		52,693
Kimco Realty Corp. Senior Notes 5.58% due 11/23/2015		120,000		120,726
Liberty Property LP Senior Notes 3.38% due 06/15/2023		35,000		34,051
Liberty Property LP Senior Notes 4.13% due 06/15/2022		30,000		30,737
UDR, Inc. Company Guar. Notes 3.70% due 10/01/2020		35,000		36,603
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		50,000		53,944
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		75,000		78,441
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		116,000		127,123
				932,040
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		101,366
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		45,000		55,959
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		15,000		14,531
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		18,700
				89,190

Security Description	Principal Amount(12)		Value (Note 2)
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022	$	30,000	$	29,550
Retail-Building Products — 0.2%
Home Depot, Inc. Senior Notes 4.25% due 04/01/2046		70,000		70,504
Lowe's Cos, Inc. Senior Notes 3.38% due 09/15/2025		40,000		40,414
Lowe's Cos., Inc. Senior Notes 4.38% due 09/15/2045		15,000		15,173
				126,091
Retail-Discount — 0.0%
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023*		10,000		10,375
Retail-Drug Store — 0.7%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		160,000		162,561
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		75,000		77,311
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		85,000		91,371
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		8,791		9,679
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		12,730		14,612
CVS Pass-Through Trust Pass Through Certs. 6.94% due 01/10/2030		120,732		143,179
				498,713
Retail-Perfume & Cosmetics — 0.1%
Sally Holdings LLC/Sally Capital, Inc. Company Guar. Notes 6.88% due 11/15/2019		75,000		77,812
Savings & Loans/Thrifts — 0.1%
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		44,000		49,632
Schools — 0.0%
Northwestern University Notes 4.20% due 12/01/2047		9,000		9,404
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		6,000		5,872
				15,276

110

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Security Services — 0.3%
ADT Corp. Senior Notes 3.50% due 07/15/2022	$	18,000	$	15,930
ADT Corp. Senior Notes 6.25% due 10/15/2021		165,000		170,156
				186,086
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025		100,000		94,428
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. Company Guar. Notes 7.13% due 03/15/2021		58,000		60,755
Steel-Producers — 0.2%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		9,475
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		13,753
United States Steel Corp. Senior Notes 6.88% due 04/01/2021		30,000		22,800
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		85,000		67,575
				113,603
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		19,850
Telephone-Integrated — 0.9%
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		30,000		27,444
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		70,000		64,141
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		10,000		9,750
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020		78,000		78,231
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		109,000		98,851
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		60,000		55,827
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		121,000		106,333

Security Description	Principal Amount(12)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055	$	121,000	$	104,193
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		26,000		24,381
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		52,000		47,328
				616,479
Television — 0.1%
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		85,000		86,275
Tobacco — 0.2%
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		8,000		9,970
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		105,000		107,996
				117,966
Transport-Services — 0.1%
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		45,000		45,108
Trucking/Leasing — 0.3%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		45,000		45,275
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		138,144
				183,419
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,100
Total U.S. Corporate Bonds & Notes (cost $17,303,355)				17,170,016
FOREIGN CORPORATE BONDS & NOTES — 5.1%
Banks-Commercial — 1.5%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		320,000		346,063
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		214,250
BPCE SA Sub. Notes 5.15% due 07/21/2024*		200,000		203,277
Credit Suisse New York Sub. Notes 5.40% due 01/14/2020		111,000		123,046

111

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Sumitomo Mitsui Financial Group, Inc. Sub. Notes 4.44% due 04/02/2024*	$	200,000	$	206,059
				1,092,695
Building Products-Wood — 0.1%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		35,000		34,234
Diversified Banking Institutions — 0.3%
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017		30,000		29,829
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		100,000		122,343
Royal Bank of Scotland Group PLC Sub. Notes 6.10% due 06/10/2023		13,000		13,969
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		35,000		37,877
				204,018
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*		51,000		32,895
Enterprise Software/Service — 0.0%
Open Text Corp. Company Guar. Notes 5.63% due 01/15/2023*		15,000		14,878
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,050
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,217
				8,267
Investment Management/Advisor Services — 0.0%
Intercorp Peru, Ltd. Senior Notes 5.88% due 02/12/2025*		18,000		17,100
Medical-Generic Drugs — 0.6%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		250,000		250,995
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		155,000		155,136
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		35,000		31,778
				437,909

Security Description	Principal Amount(12)		Value (Note 2)
Metal-Diversified — 0.2%
Vedanta Resources PLC Senior Notes 8.25% due 06/07/2021	$	205,000	$	143,586
Non-Ferrous Metals — 0.3%
Corp Nacional del Cobre de Chile Senior Notes 4.50% due 09/16/2025*		200,000		192,125
Oil Companies-Exploration & Production — 0.3%
Encana Corp. Senior Notes 6.50% due 05/15/2019		105,000		115,142
Harvest Operations Corp. Company Guar. Notes 6.88% due 10/01/2017		45,000		38,700
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,695
Nexen Energy ULC Company Guar. Notes 6.40% due 05/15/2037		40,000		47,046
				205,583
Oil Companies-Integrated — 0.6%
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		55,000		55,747
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		55,000		47,986
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		40,000		30,500
Petrobras Global Finance BV Company Guar. Notes 5.38% due 10/01/2029	GBP	100,000		92,029
Petroleos de Venezuela SA Company Guar. Notes 9.75% due 05/17/2035		85,000		30,812
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		81,000		65,002
Petroleos Mexicanos Company Guar. Notes 7.47% due 11/12/2026	MXN	1,000,000		54,422
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		10,000		10,277
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		55,000		51,349
				438,124
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*		5,000		4,750

112

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Paper & Related Products (continued)
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*	$	25,000	$	23,875
				28,625
Semiconductor Components-Integrated Circuits — 0.3%
TSMC Global, Ltd. Company Guar. Notes 1.63% due 04/03/2018*		200,000		198,187
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		20,000		18,775
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		15,000		12,150
ArcelorMittal Senior Notes 7.00% due 02/25/2022		2,000		1,820
				13,970
Telephone-Integrated — 0.2%
Deutsche Telekom International Finance BV Company Guar. Notes 8.75% due 06/15/2030		100,000		142,968
Tobacco — 0.4%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		55,000		56,057
Imperial Tobacco Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		200,000		201,894
				257,951
Transport-Rail — 0.3%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		40,077
Kansas City Southern de Mexico SA de CV Senior Notes 3.00% due 05/15/2023		150,000		145,128
				185,205
Total Foreign Corporate Bonds & Notes (cost $3,793,388)				3,667,095
MUNICIPAL BONDS & NOTES — 1.1%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		90,000		100,828
New Jersey Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		55,000		76,487

Security Description	Principal Amount(12)		Value (Note 2)
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051	$	18,000	$	19,365
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		25,000		7,750
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		250,000		77,500
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		110,000		34,100
State of California General Obligation Bonds 7.30% due 10/01/2039		5,000		6,928
State of California General Obligation Bonds 7.35% due 11/01/2039		5,000		6,965
State of California General Obligation Bonds 7.55% due 04/01/2039		110,000		158,444
State of California General Obligation Bonds 7.63% due 03/01/2040		45,000		64,570
State of California General Obligation Bonds 7.60% due 11/01/2040		5,000		7,317
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		20,000		18,736
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		75,000		79,754
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		105,000		112,565
Total Municipal Bonds & Notes (cost $797,271)				771,309
U.S. GOVERNMENT AGENCIES — 31.1%
Federal Home Loan Mtg. Corp. — 5.6%
1.89% due 02/01/2037 FRS		3,536		3,722
2.50% due 01/01/2028		10,480		10,789
2.50% due 04/01/2028		22,726		23,398

113

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 08/01/2027	$	15,944	$	16,618
3.00% due 10/01/2042		24,939		25,351
3.00% due 11/01/2042		8,830		8,955
3.00% due 02/01/2043		42,081		42,664
3.00% due 08/01/2043		84,589		85,954
3.00% due October TBA		500,000		505,129
3.50% due 02/01/2042		11,266		11,735
3.50% due 03/01/2042		6,056		6,329
3.50% due 09/01/2043		44,412		46,487
3.50% due October TBA		1,800,000		1,872,844
4.00% due 03/01/2023		10,872		11,363
4.00% due 10/01/2043		19,016		20,269
4.50% due 01/01/2039		1,900		2,058
5.00% due 12/01/2020		2,803		3,008
5.00% due 07/01/2021		12,658		13,561
5.00% due 05/01/2034		19,099		21,236
5.50% due 07/01/2034		8,137		9,013
5.50% due 07/01/2035		11,703		13,010
5.50% due 04/01/2037		4,979		5,516
5.50% due 05/01/2037		4,590		5,079
5.50% due 08/01/2037		22,653		25,314
6.00% due 08/01/2036		5,017		5,678
6.50% due 05/01/2029		3,794		4,337
6.50% due 11/01/2034		4,287		4,901
6.50% due 05/01/2036		43		50
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN1, Class M2 2.39% due 02/25/2024(5)		250,000		251,796
Series 2014-HQ1, Class M2 2.69% due 08/25/2024(5)		250,000		253,391
Series 2014-HQ3, Class M2 2.84% due 10/25/2024(5)		250,000		254,942
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5)		1,742		1,759
Series 1577, Class PK 6.50% due 09/15/2023(5)		14,165		15,551
Series 1226, Class Z 7.75% due 03/15/2022(5)		1,112		1,192
Freddie Mac Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.83% due 03/25/2045*(7)		100,000		101,309
Series 2014-K503, Class B 3.08% due 10/25/2047*(7)		90,000		91,544
Series 2012-K706, Class B 4.17% due 11/25/2044*(7)		75,000		78,838
Series 2010-K8, Class B 5.41% due 09/25/2043*(7)		100,000		111,983
				3,966,673

Security Description	Principal Amount(12)		Value (Note 2)
Federal National Mtg. Assoc. — 17.8%
2.21% due 05/01/2037 FRS	$	6,022	$	6,350
2.50% due 02/01/2043		175,864		172,482
2.50% due 03/01/2043		177,263		173,863
2.50% due October TBA		200,000		203,894
2.64% due 03/01/2027		39,648		39,096
2.66% due 03/01/2027		415,000		406,810
2.78% due 03/01/2027		76,000		75,526
2.94% due 10/01/2040 FRS		5,967		6,335
2.97% due 06/01/2027		135,000		136,342
3.00% due 01/01/2028		20,176		21,029
3.00% due October TBA		1,500,000		1,539,680
3.50% due 08/01/2026		2,493		2,638
3.50% due 10/01/2028		36,865		39,003
3.50% due October TBA		4,500,000		4,694,203
4.00% due 11/01/2040		89,705		95,865
4.00% due 11/01/2041		5,120		5,472
4.00% due 10/01/2043		92,035		98,554
4.00% due 11/01/2043		13,003		13,879
4.00% due 12/01/2043		51,653		55,906
4.00% due October TBA		1,300,000		1,386,684
4.50% due 01/01/2039		4,649		5,047
4.50% due 06/01/2039		59,704		65,346
4.50% due 05/01/2041		14,479		15,741
4.50% due October TBA		1,500,000		1,626,023
4.95% due 11/01/2015		47,704		47,603
5.00% due 03/01/2018		4,967		5,160
5.00% due 06/01/2019		2,206		2,309
5.00% due 07/01/2040		43,365		47,872
5.50% due 06/01/2020		73,239		77,294
5.50% due 07/01/2020		12,356		12,962
5.50% due 03/01/2021		30,446		32,471
5.50% due 04/01/2021		23,311		24,586
5.50% due 06/01/2021		67,462		72,462
5.50% due 10/01/2021		43,943		46,776
5.50% due 12/01/2021		74,144		78,703
5.50% due 06/01/2022		103,778		112,214
5.50% due 12/01/2029		2,526		2,818
5.50% due 05/01/2034		5,275		5,941
5.50% due 06/01/2036		333,444		375,199
5.50% due 08/01/2037		13,138		14,653
5.50% due 06/01/2038		1,370		1,541
5.50% due October TBA		400,000		446,789
6.00% due 06/01/2017		1,528		1,573
6.00% due 06/01/2026		24,711		27,847
6.00% due 03/01/2027		30,217		34,048
6.00% due 12/01/2033		3,129		3,564
6.00% due 05/01/2034		12,875		14,661
6.00% due 08/01/2034		1,081		1,227
6.00% due 06/01/2040		7,759		8,754
6.00% due October TBA		300,000		338,515
6.50% due 08/01/2016		617		626

114

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(12)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
6.50% due 11/01/2035	$	10,397	$	12,581
6.50% due 10/01/2037		3,020		3,450
7.00% due 06/01/2037		28,274		33,265
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		11,347		11,347
				12,784,579
Government National Mtg. Assoc. — 7.7%
3.00% due October TBA		200,000		204,090
3.50% due October TBA		1,600,000		1,676,437
4.00% due 10/15/2040		31,774		34,008
4.00% due 11/15/2040		431,566		461,334
4.00% due 02/15/2041		23,131		24,735
4.00% due 07/15/2041		380,955		407,185
4.00% due 09/15/2041		23,408		25,020
4.00% due 10/15/2041		15,677		16,757
4.00% due 11/15/2041		329,975		351,936
4.50% due 06/15/2041		560,357		608,127
5.00% due 01/15/2033		3,605		4,012
5.00% due 12/15/2038		136,752		151,553
5.00% due 04/15/2039		176,403		195,890
5.00% due 01/15/2040		57,766		64,936
5.00% due 04/15/2041		153,032		169,601
5.00% due October TBA		700,000		769,234
5.50% due 04/15/2036		89,142		100,190
6.00% due 02/15/2033		48,751		54,774
6.50% due 07/15/2028		107,301		123,034
6.50% due 08/15/2028		6,628		7,600
6.50% due 09/15/2028		17,325		20,491
6.50% due 11/15/2028		20,070		23,752
7.00% due 01/15/2033		8,829		10,493
7.00% due 05/15/2033		12,709		15,312
7.00% due 11/15/2033		5,816		6,929
8.00% due 02/15/2030		2,028		2,324
8.50% due 11/15/2017		238		247
9.00% due 11/15/2021		228		260
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(5)		451		510
Series 2005-74, Class HB 7.50% due 09/16/2035(5)		4,316		5,051
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		2,673		3,104
				5,538,926
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		12,000		12,234
Total U.S. Government Agencies (cost $22,065,884)				22,302,412
U.S. GOVERNMENT TREASURIES — 7.2%
United States Treasury Bonds — 1.7%
2.50% due 02/15/2045(9)		625,000		575,374
3.00% due 11/15/2044		250,000		255,293

Security Description	Principal Amount(12)		Value (Note 2)
United States Treasury Bonds (continued)
3.00% due 05/15/2045	$	370,000	$	378,643
				1,209,310
United States Treasury Notes — 5.5%
0.25% due 01/15/2025 TIPS(10)		2,292,290		2,197,107
0.38% due 07/15/2025 TIPS(10)		1,776,243		1,730,242
				3,927,349
Total U.S. Government Treasuries (cost $5,285,170)				5,136,659
FOREIGN GOVERNMENT OBLIGATIONS — 2.0%
Sovereign — 2.0%
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(10)	BRL	321,210		81,169
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 05/15/2019(10)	BRL	253,729		61,730
Dominican Republic Senior Notes 5.50% due 01/27/2025*		100,000		96,500
Federal Republic of Nigeria Bonds 12.15% due 07/18/2034	NGN	3,195,000		13,052
Government of Romania Bonds 5.85% due 04/26/2023	RON	40,000		11,701
Kingdom of Thailand Senior Notes 3.85% due 12/12/2025	THB	1,245,000		37,427
Malaysia Government Bond Senior Notes 3.49% due 03/31/2020	MYR	190,000		42,695
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(10)	UYU	2,107,089		48,555
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(10)	UYU	2,911,560		81,514
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(10)	UYU	729,750		20,154
Republic of Colombia Bonds 3.00% due 03/25/2033(10)	COP	160,070,840		43,442
Republic of Colombia Bonds 3.50% due 03/10/2021(10)	COP	76,117,602		24,963
Republic of Costa Rica Bonds 9.20% due 03/27/2019*	CRC	16,250,000		31,722

115

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(12)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Hungary Bonds 5.50% due 06/24/2025	HUF	3,000,000	$	12,578
Republic of Peru Senior Notes 4.13% due 08/25/2027		35,000		34,300
Republic of Poland Bonds 3.25% due 07/25/2025	PLN	280,000		76,241
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	980,000		68,558
Republic of South Africa Bonds 8.50% due 01/31/2037	ZAR	970,000		66,300
Republic of Turkey Bonds 2.50% due 05/04/2016(10)	TRY	514,731		167,927
Russian Federation Bonds 7.50% due 02/27/2019	RUB	1,350,000		18,655
Russian Federation Senior Notes 7.85% due 03/10/2018	RUB	10,000,000		142,676
United Mexican States FRS Bonds 3.07% due 05/28/2020	MXN	2,752,200		161,280
United Mexican States Senior Notes 4.75% due 03/08/2044		25,000		22,812
United Mexican States Bonds 10.00% due 12/05/2024	MXN	816,300		61,512
Total Foreign Government Obligations (cost $1,622,588)				1,427,463
OPTIONS — PURCHASED†(1)(11) — 0.0%
Call Options-Purchased (cost $654)	HKD	1,495,000		863
Total Long-Term Investment Securities (cost $83,091,287)				83,225,128
REPURCHASE AGREEMENTS — 5.0%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $233,000 and collateralized by $235,000 of United States Treasury Notes, bearing interest at 2.00% due 02/15/2022 and having an approximate value of $239,700	$	233,000		233,000
Bank of America Securities LLC Joint Repurchase Agreement(13)		530,000		530,000
Barclays Capital, Inc. Joint Repurchase Agreement(13)		730,000		730,000
BNP Paribas SA Joint Repurchase Agreement(13)		730,000		730,000

Security Description	Principal Amount(12)			Value (Note 2)
Deutsche Bank AG Joint Repurchase Agreement(13)	$	520,000		$	520,000
RBS Securities, Inc. Joint Repurchase Agreement(13)		830,000			830,000
Total Repurchase Agreements (cost $3,573,000)					3,573,000
TOTAL INVESTMENTS (cost $86,664,287)(14)		121.0	%		86,798,128
Liabilities in excess of other assets		(21.0	)		(15,053,737	)
NET ASSETS		100.0	%	$	71,744,391

†  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, 2015, the aggregate value of these securities was $15,211,102 representing 21.2% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Illiquid security. At September 30, 2015, the aggregate value of these securities was $2,591 representing 0.0% of net assets.

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2015, 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.	04/09/2014		4	$	0	$	2,588	$	646.94		0.00	%

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

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

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  Commercial Mortgage Backed Security

(8)  Interest Only

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

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

116

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2015		Appreciation (Depreciation)
Call option to buy Hong Kong Dollar in exchange for U.S. dollars with Goldman Sachs International	March 2016	$	7.75	HKD	1,495,000	$	654	$	863	$	209

(11)  Options — Purchased

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

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

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

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

CRC — Costa Rican Colón

EUR — Euro Dollar

GBP — Pound Sterling

HKD — Hong Kong Dollar

HUF — Hungarian Forint

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

PLN — Polish Zloty

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

RUB — Russian Ruble

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.

THB — Thailand Baht

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

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, 2015 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	4	Long	U.S. Treasury 2YR Notes	December 2015	$	874,313	$	876,125	$	1,812
	95	Long	U.S. Treasury 5YR Notes	December 2015		11,363,921		11,448,984		85,063
	83	Short	U.S. Treasury 10YR Notes	December 2015		10,588,460		10,684,953		(96,493	)
	4	Short	U.S. Long Bonds	December 2015		618,156		629,375		(11,219	)
	8	Long	U.S. Ultra Bonds	December 2015		1,266,936		1,283,250		16,314
									$	(4,523	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	120,000	USD	129,009	03/15/2017	$	—	$	(7,072	)
	PLN	290,000	USD	76,482	12/16/2015		334		—
	TRY	135,000	USD	43,328	12/16/2015		—		(271	)
	USD	16,964	EUR	15,000	03/15/2017		46		—
							380		(7,343	)
Barclays Bank PLC	IDR	451,000,000	USD	31,244	05/18/2016		2,917		—
	KES	1,063,000	USD	9,708	12/16/2015		—		(302	)
	USD	78,910	MYR	333,000	12/16/2015		—		(3,292	)
							2,917		(3,594	)
BNP Paribas SA	COP	8,738,000	USD	2,786	12/16/2015		—		(19	)
	CZK	1,690,000	USD	70,370	12/16/2015		757		—
	RUB	9,331,000	USD	136,919	12/16/2015		—		(2,115	)
	USD	98,567	NGN	17,890,000	10/08/2015		—		(8,839	)
	ZAR	832,000	USD	59,203	12/17/2015		—		(40	)
							757		(11,013	)

117

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	CRC	17,458,000	USD	32,116	12/16/2015	$	—	$	(245	)
	EUR	617,000	USD	693,839	10/30/2015		4,114		—
	GBP	174,000	USD	264,275	10/30/2015		1,091		—
	NGN	17,890,000	USD	78,465	10/08/2015		—		(11,263	)
	NGN	3,871,000	USD	17,281	12/16/2015		—		(1,579	)
	THB	1,390,000	USD	37,890	12/16/2015		—		(301	)
	USD	48,601	KES	5,317,000	12/16/2015		1,465		—
	USD	56,127	RSD	6,000,000	12/16/2015		—		(400	)
	UYU	1,640,000	USD	55,210	12/16/2015		986		—
	ZAR	1,264,000	USD	90,506	12/17/2015		503		—
							8,159		(13,788	)
Deutsche Bank AG	CNY	290,000	USD	44,006	07/28/2016		—		(407	)
	HKD	1,255,000	USD	161,884	12/16/2015		—		(44	)
	MYR	665,000	USD	150,896	12/16/2015		—		(112	)
	USD	62,597	INR	4,230,000	12/16/2015		1,128		—
							1,128		(563	)
Goldman Sachs International	CNY	80,000	USD	12,167	07/28/2016		—		(85	)
	COP	79,100,000	USD	25,557	12/16/2015		164		—
	HKD	750,000	USD	96,722	03/03/2016		—		(33	)
	HUF	7,100,000	USD	25,175	12/16/2015		—		(128	)
	USD	76,376	MYR	333,000	12/16/2015		—		(759	)
	USD	11,543	RSD	1,236,000	12/16/2015		—		(63	)
	USD	109,945	ZAR	1,562,000	12/17/2015		1,278		—
	USD	57,670	IDR	891,000,000	05/18/2016		—		(1,708	)
	ZAR	809,000	USD	56,849	12/17/2015		—		(757	)
							1,442		(3,533	)
HSBC Bank USA, N.A.	BRL	125,000	USD	31,118	12/02/2015		264		—
	MYR	855,000	USD	197,174	12/16/2015		3,021		—
	TRY	175,000	USD	55,909	12/16/2015		—		(608	)
	USD	12,627	HUF	3,500,000	12/16/2015		—		(154	)
	UYU	3,200,000	USD	107,589	12/02/2015		1,082		—
							4,367		(762	)
JPMorgan Chase Bank	IDR	440,000,000	USD	30,397	05/18/2016		2,762		—
	INR	4,230,000	USD	63,050	12/16/2015		—		(676	)
	RON	50,000	USD	12,582	12/16/2015		—		(46	)
	RUB	1,210,000	USD	17,921	12/16/2015		—		(109	)
	TRY	183,000	USD	59,412	12/16/2015		312		—
	USD	74,607	MYR	332,000	12/16/2015		784		—
	USD	59,021	CNY	370,000	07/28/2016		—		(2,356	)
	GBP	84,000	USD	128,985	12/16/2015		1,953		—
	MXN	1,070,000	USD	63,023	12/16/2015		103		—
	ZAR	1,179,000	USD	83,665	12/17/2015		—		(287	)
							5,914		(3,474	)
Morgan Stanley and Co., Inc.	BRL	1,095,000	USD	266,925	12/02/2015		—		(3,355	)
	COP	41,434,000	USD	13,457	12/16/2015		156		—
	TRY	28,000	USD	8,960	12/16/2015		—		(83	)
							156		(3,438	)
Royal Bank of Canada	MXN	7,652,000	USD	451,070	12/16/2015		1,102		—
	USD	116,560	MXN	1,974,000	12/16/2015		—		(481	)
							1,102		(481	)
Standard Chartered Bank	KES	4,254,000	USD	38,673	12/16/2015		—		(1,384	)
	USD	31,838	MXN	540,000	12/16/2015		—		(84	)
							—		(1,468	)
State Street Bank and Trust Co.	COP	21,928,000	USD	6,971	12/16/2015		—		(68	)
	USD	57,874	BRL	243,000	12/02/2015		2,106		—
							2,106		(68	)

118

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
UBS AG	USD	84,114	MXN	1,438,000	12/16/2015	$	446	$	—
	USD	63,064	EUR	55,000	03/15/2017		—		(694	)
							446		(694	)
Net Unrealized Appreciation(Depreciation)						$	28,874	$	(50,219	)

BRL — Brazilian Real
CNY — Chinese Yuan
COP — Colombina Peso
CRC — Costa Rican Colon
CZK — Czech Republic Koruna
EUR — Euro Dollar
GBP — Pound Sterling
HKD — Hong Kong Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
KES — Kenyan Shilling
MXN — Mexican Peso
MYR — Malaysian Ringgit
NGN — Nigerian Naira
PLN — Polish Zloty
RON — Romanian Leu
RSD — Serbian Dinar
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Over the Counter Credit Default Swaps on Sovereign Issues — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)		Upfront Premiums Paid/ (Received)		Unrealized Appreciation (Depreciation)
Federative Republic of Brazil Senior Notes 4.25% due 01/07/2025		(1.00	)%	09/20/2020	Goldman Sachs International		4.73	%		165,000	$	26,195	$	19,890	$	6,305
United Mexican States Senior Notes 5.95% due 03/19/2019		(1.00	)	09/20/2020	Goldman Sachs International		1.73			65,000		2,223		1,934		289
											$	28,418	$	21,824	$	6,594

(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.

119

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Television	$	—	$	—	$	2,588	$	2,588
Other Industries		11,461,409		—		—		11,461,409
Preferred Securities/Capital Securities		—		1,660,873		—		1,660,873
Asset Backed Securities:
Diversified Financial Services		—		19,286,665		337,776		19,624,441
U.S. Corporate Bonds & Notes		—		17,170,016		—		17,170,016
Foreign Corporate Bonds & Notes		—		3,667,095		—		3,667,095
Municipal Bond & Notes		—		771,309		—		771,309
U.S. Government Agencies		—		22,302,412		—		22,302,412
U.S. Government Treasuries		—		5,136,659		—		5,136,659
Foreign Government Obligations		—		1,427,463		—		1,427,463
Options - Purchased		863		—		—		863
Repurchase Agreements		—		3,573,000		—		3,573,000
Total Investments at Value	$	11,462,272	$	74,995,492	$	340,364	$	86,798,128
Other Financial Instruments:†
Futures Contracts	$	103,189	$	—	$	—	$	103,189
Forward Foreign Currency Contracts		—		28,874		—		28,874
Over the Counter Credit Default Swaps on
Sovereign Issues-Buy Protection		—		6,594		—		6,594
Total Other Financial Instruments	$	103,189	$	35,468	$	—	$	138,657
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	107,712	$	—	$	—	$	107,712
Forward Foreign Currency Contracts		—		50,219		—		50,219
Total Other Financial Instruments	$	107,712	$	50,219	$	—	$	157,931

*  For a detailed presentation of investments, 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

120

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Repurchase Agreements	7.1	%
Diversified Banking Institutions	4.4
Medical-Drugs	4.1
Medical-Biomedical/Gene	2.7
Computers	2.7
Exchange-Traded Funds	2.4
Banks-Commercial	2.4
Real Estate Investment Trusts	2.3
Retail-Building Products	2.2
Electric-Integrated	2.2
Diversified Financial Services	1.9
Aerospace/Defense	1.9
Federal National Mtg. Assoc.	1.8
United States Treasury Notes	1.5
Beverages-Non-alcoholic	1.5
Telephone-Integrated	1.5
Banks-Fiduciary	1.5
Medical-HMO	1.4
Oil Companies-Exploration & Production	1.4
Medical-Wholesale Drug Distribution	1.4
Web Portals/ISP	1.4
Insurance-Multi-line	1.4
Oil-Field Services	1.3
Oil Refining & Marketing	1.2
Insurance-Life/Health	1.2
E-Commerce/Products	1.2
Retail-Drug Store	1.2
Enterprise Software/Service	1.1
Airlines	1.1
Computer Services	1.1
Transport-Services	1.0
Chemicals-Diversified	1.0
Real Estate Management/Services	0.9
Food-Misc./Diversified	0.9
Auto/Truck Parts & Equipment-Original	0.9
Semiconductor Components-Integrated Circuits	0.9
Broadcast Services/Program	0.9
Oil Companies-Integrated	0.9
Athletic Footwear	0.9
Hotels/Motels	0.8
Machinery-General Industrial	0.7
Agricultural Operations	0.7
Applications Software	0.7
Multimedia	0.7
Building-Heavy Construction	0.7
Consumer Products-Misc.	0.6
Food-Retail	0.6
Electronic Components-Semiconductors	0.6
Telecommunication Equipment	0.6
Coatings/Paint	0.5
Gas-Distribution	0.5
Containers-Paper/Plastic	0.5
Electronics-Military	0.5
Computers-Memory Devices	0.5
Cosmetics & Toiletries	0.5
Television	0.5
Oil Field Machinery & Equipment	0.5
Disposable Medical Products	0.5
Cellular Telecom	0.5
Auto-Cars/Light Trucks	0.5

Containers-Metal/Glass	0.4	%
Diversified Manufacturing Operations	0.4
Banks-Super Regional	0.4
Retail-Regional Department Stores	0.4
Insurance-Reinsurance	0.4
Tobacco	0.4
Office Automation & Equipment	0.4
U.S. Government Treasuries	0.4
Apparel Manufacturers	0.4
Cable/Satellite TV	0.4
Retail-Apparel/Shoe	0.4
Electronic Components-Misc.	0.3
Real Estate Operations & Development	0.3
Radio	0.3
United States Treasury Bonds	0.3
Electronic Measurement Instruments	0.3
Internet Security	0.3
Human Resources	0.3
E-Commerce/Services	0.3
Insurance-Property/Casualty	0.3
Rubber-Tires	0.3
Retail-Restaurants	0.3
Consulting Services	0.3
Pipelines	0.2
Printing-Commercial	0.2
Medical-Hospitals	0.2
Commercial Services-Finance	0.2
Medical Products	0.2
Building-Residential/Commercial	0.2
Engineering/R&D Services	0.2
Retail-Catalog Shopping	0.2
Aerospace/Defense-Equipment	0.2
Data Processing/Management	0.2
Building & Construction Products-Misc.	0.2
Steel-Producers	0.2
Semiconductor Equipment	0.2
Energy-Alternate Sources	0.2
Communications Software	0.2
Paper & Related Products	0.2
Auction Houses/Art Dealers	0.2
Home Furnishings	0.2
Finance-Other Services	0.2
Electric-Generation	0.2
Finance-Mortgage Loan/Banker	0.2
Independent Power Producers	0.2
Satellite Telecom	0.2
Transport-Rail	0.2
Casino Hotels	0.2
Theaters	0.2
Distribution/Wholesale	0.2
Resorts/Theme Parks	0.1
Telecom Services	0.1
Finance-Leasing Companies	0.1
Audio/Video Products	0.1
Investment Companies	0.1
Medical-Outpatient/Home Medical	0.1
Machinery-Electrical	0.1
Computer Software	0.1
Finance-Consumer Loans	0.1
Transport-Marine	0.1

121

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Machinery-Farming	0.1	%
Private Equity	0.1
Food-Meat Products	0.1
Retail-Major Department Stores	0.1
Entertainment Software	0.1
Internet Application Software	0.1
Federal Home Loan Mtg. Corp.	0.1
Motion Pictures & Services	0.1
Commercial Services	0.1
Rental Auto/Equipment	0.1
Office Supplies & Forms	0.1
Medical Instruments	0.1
Shipbuilding	0.1
Beverages-Wine/Spirits	0.1
Chemicals-Specialty	0.1
Finance-Investment Banker/Broker	0.1
Rubber/Plastic Products	0.1
Machine Tools & Related Products	0.1
Travel Services	0.1
Petrochemicals	0.1
Finance-Auto Loans	0.1
Security Services	0.1
Brewery	0.1
Diversified Minerals	0.1
Retail-Discount	0.1
Publishing-Newspapers	0.1
Metal-Diversified	0.1
Metal Processors & Fabrication	0.1
Soap & Cleaning Preparation	0.1
Schools	0.1
Diagnostic Kits	0.1
Electric Products-Misc.	0.1
Machinery-Construction & Mining	0.1
Retail-Hypermarkets	0.1
Computers-Integrated Systems	0.1
Savings & Loans/Thrifts	0.1
Building Products-Cement	0.1
Retail-Misc./Diversified	0.1
Diversified Operations	0.1
Networking Products	0.1
Gambling (Non-Hotel)	0.1
Municipal Bonds & Notes	0.1
X-Ray Equipment	0.1
Pharmacy Services	0.1
Chemicals-Plastics	0.1
Recreational Vehicles	0.1
Medical-Generic Drugs	0.1
Therapeutics	0.1
Racetracks	0.1
Agricultural Chemicals	0.1
Power Converter/Supply Equipment	0.1
Footwear & Related Apparel	0.1
Food-Flour & Grain	0.1
Insurance-Mutual	0.1
Drug Delivery Systems	0.1
Import/Export	0.1
Water Treatment Systems	0.1
Advertising Services	0.1

Internet Financial Services	0.1	%
Batteries/Battery Systems	0.1
Electronic Design Automation	0.1
Non-Ferrous Metals	0.1
MRI/Medical Diagnostic Imaging	0.1
Lighting Products & Systems	0.1
	101.8	%

*  Calculated as a percentage of net assets

122

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 78.2%
Advertising Agencies — 0.0%
WPP PLC(1)		1,767	$	36,797
Advertising Services — 0.1%
Publicis Groupe SA(1)		983		67,159
Vertis Holdings, Inc.†(2)		99		0
				67,159
Aerospace/Defense — 1.9%
BAE Systems PLC(1)		14,893		101,112
Cubic Corp.		1,199		50,286
General Dynamics Corp.		8,600		1,186,370
Northrop Grumman Corp.		6,100		1,012,295
Spirit AeroSystems Holdings, Inc., Class A†		3,900		188,526
Thales SA(1)		200		13,934
				2,552,523
Aerospace/Defense-Equipment — 0.1%
Airbus Group SE(1)		869		51,615
Orbital ATK, Inc.		1,178		84,663
Triumph Group, Inc.		671		28,236
				164,514
Agricultural Chemicals — 0.1%
PhosAgro OAO(1)		3,306		45,652
Syngenta AG(1)		24		7,708
Yara International ASA(1)		415		16,584
				69,944
Agricultural Operations — 0.7%
Andersons, Inc.		654		22,275
Bunge, Ltd.		12,600		923,580
				945,855
Airlines — 1.1%
ANA Holdings, Inc.(1)		42,000		118,107
Delta Air Lines, Inc.		23,300		1,045,471
International Consolidated Airlines Group SA†(1)		10,947		97,804
Japan Airlines Co., Ltd.(1)		300		10,591
Qantas Airways, Ltd.†(1)		14,564		38,134
Ryanair Holdings PLC ADR		1,865		146,029
Turk Hava Yollari AO†(1)		13,966		36,819
				1,492,955
Airport Development/Maintenance — 0.0%
Aena SA†*(1)		70		7,730
TAV Havalimanlari Holding AS†(1)		3,885		30,521
				38,251
Apparel Manufacturers — 0.4%
Carter's, Inc.		4,200		380,688
G-III Apparel Group, Ltd.†		451		27,809
Moncler SpA(1)		1,030		18,469
Oxford Industries, Inc.		665		49,130
Sequential Brands Group, Inc.†		1,352		19,563
				495,659

Security Description	Shares		Value (Note 2)
Applications Software — 0.7%
Constant Contact, Inc.†		569	$	13,792
inContact, Inc.†		2,839		21,321
Intuit, Inc.		6,600		585,750
Microsoft Corp.		5,272		233,339
Verint Systems, Inc.†		538		23,215
				877,417
Athletic Footwear — 0.9%
NIKE, Inc., Class B		9,500		1,168,215
Auction Houses/Art Dealers — 0.2%
KAR Auction Services, Inc.		6,047		214,668
Sotheby's		704		22,514
				237,182
Audio/Video Products — 0.1%
Panasonic Corp.(1)		10,800		109,642
Skyworth Digital Holdings, Ltd.(1)		84,000		57,556
Sony Corp.†(1)		800		19,561
TiVo, Inc.†		840		7,275
				194,034
Auto-Cars/Light Trucks — 0.3%
Daimler AG(1)		134		9,714
Fiat Chrysler Automobiles NV†(1)		1,295		16,879
Fuji Heavy Industries, Ltd.(1)		4,200		151,984
Honda Motor Co., Ltd.(1)		400		11,928
Kia Motors Corp.(1)		881		39,962
Mazda Motor Corp.(1)		1,800		28,576
Nissan Motor Co., Ltd.(1)		1,700		15,660
Peugeot SA†(1)		4,303		65,007
Toyota Motor Corp.(1)		700		41,170
				380,880
Auto-Truck Trailers — 0.0%
Wabash National Corp.†		4,098		43,398
Auto/Truck Parts & Equipment-Original — 0.8%
Allison Transmission Holdings, Inc.		14,700		392,343
Cooper-Standard Holding, Inc.†		669		38,802
JTEKT Corp.(1)		1,200		16,838
Lear Corp.		4,300		467,754
Miller Industries, Inc.		1,027		20,068
Mobileye NV†		222		10,097
S&T Motiv Co., Ltd.(1)		584		32,562
Toyota Industries Corp.(1)		300		14,300
Valeo SA(1)		454		61,481
Visteon Corp.†		446		45,153
				1,099,398
Auto/Truck Parts & Equipment-Replacement — 0.0%
Douglas Dynamics, Inc.		602		11,956
Banks-Commercial — 1.9%
Access National Corp.		802		16,337
Banco de Sabadell SA(1)		3,151		5,788
Banco Macro SA ADR†		707		27,149
Banco Santander SA(1)		11,788		62,767
Bank Hapoalim BM(1)		4,650		23,408
Bank of China, Ltd.(1)		133,000		57,568
Bank of Ireland†(1)		80,038		31,159

123

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Bank of Queensland, Ltd.(1)		1,500	$	12,265
Cardinal Financial Corp.		1,645		37,851
China Construction Bank Corp.(1)		134,000		89,759
Citizens & Northern Corp.		1,043		20,359
Commercial International Bank Egypt SAE GDR(1)		15,959		97,945
Credicorp, Ltd.		71		7,552
Customers Bancorp, Inc.†		2,085		53,584
DNB ASA(1)		385		5,017
Dubai Islamic Bank PJSC(1)		28,514		52,266
East West Bancorp, Inc.		564		21,669
Farmers Capital Bank Corp.†		730		18,140
FCB Financial Holdings, Inc.†		1,532		49,974
Financial Institutions, Inc.		1,074		26,614
First Community Bancshares, Inc.		1,023		18,312
First NBC Bank Holding Co.†		1,117		39,140
FirstMerit Corp.		1,267		22,388
Grupo Financiero Banorte SAB de CV, Class O		14,822		72,703
Hanmi Financial Corp.		2,134		53,777
Heartland Financial USA, Inc.		721		26,165
Horizon Bancorp		785		18,644
ING Groep NV CVA(1)		3,231		45,866
Itau Unibanco Holding SA ADR		5,000		33,100
King's Town Bank Co., Ltd.(1)		39,000		27,565
MainSource Financial Group, Inc.		1,580		32,169
Metro Bank PLC†(2)(3)(15)		736		17,786
Mizuho Financial Group, Inc.(1)		106,000		199,106
Opus Bank		918		35,104
PacWest Bancorp		417		17,852
Peoples Bancorp, Inc.		999		20,769
Permanent TSB Group Holdings PLC†(1)		7,607		40,447
Popular, Inc.		5,444		164,572
Regions Financial Corp.		44,400		400,044
Renasant Corp.		889		29,204
Republic Bancorp, Inc., Class A		652		16,007
Resona Holdings, Inc.(1)		31,500		160,940
Shinsei Bank, Ltd.(1)		9,000		18,590
Skandinaviska Enskilda Banken AB, Class A(1)		7,768		83,020
Sumitomo Mitsui Financial Group, Inc.(1)		5,600		213,178
Talmer Bancorp, Inc., Class A		1,703		28,355
United Community Banks, Inc.		1,046		21,380
Virgin Money Holdings UK PLC(1)		5,162		30,231
Woori Bank(1)		1,814		14,349
				2,617,934
Banks-Fiduciary — 1.4%
Bank of New York Mellon Corp.		17,800		696,870
State Street Corp.		17,100		1,149,291
				1,846,161
Banks-Mortgage — 0.0%
Home Capital Group, Inc.		1,039		24,938

Security Description	Shares		Value (Note 2)
Banks-Super Regional — 0.3%
Wells Fargo & Co.		8,956	$	459,891
Batteries/Battery Systems — 0.1%
EnerSys		1,193		63,921
Beverages-Non-alcoholic — 1.5%
Coca-Cola Amatil, Ltd.(1)		4,846		30,706
Coca-Cola Enterprises, Inc.		6,100		294,935
Coca-Cola HBC AG(1)		1,643		34,838
Dr Pepper Snapple Group, Inc.		10,600		837,930
Fomento Economico Mexicano SAB de CV ADR		426		38,021
Grape King Bio, Ltd.(1)		10,000		50,060
PepsiCo, Inc.		7,500		707,250
				1,993,740
Brewery — 0.1%
Ambev SA ADR		7,672		37,593
Anheuser-Busch InBev NV(1)		227		24,111
Molson Coors Brewing Co., Class B		156		12,951
SABMiller PLC†(1)		431		24,423
				99,078
Broadcast Services/Program — 0.8%
Discovery Communications, Inc., Class A†		39,904		1,038,701
Nexstar Broadcasting Group, Inc., Class A		568		26,895
				1,065,596
Building & Construction Products-Misc. — 0.1%
Caesarstone Sdot-Yam, Ltd.		354		10,761
Cie de Saint-Gobain(1)		548		23,805
LIXIL Group Corp.(1)		1,100		22,372
Patrick Industries, Inc.†		1,317		52,008
Trex Co., Inc.†		281		9,366
				118,312
Building Products-Cement — 0.1%
Continental Building Products, Inc.†		2,603		53,466
CRH PLC(1)		230		6,084
US Concrete, Inc.†		715		34,170
				93,720
Building Products-Doors & Windows — 0.0%
PGT, Inc.†		4,375		53,725
Building-Heavy Construction — 0.6%
ACS Actividades de Construccion y Servicios SA(1)		1,337		38,446
Boskalis Westminster NV(1)		1,053		46,097
Chicago Bridge & Iron Co. NV		945		37,479
MasTec, Inc.†		2,606		41,253
Mota-Engil Africa NV(1)		1,111		4,411
Mota-Engil SGPS SA†(1)		25,864		54,956
SBA Communications Corp., Class A†		4,800		502,752
Vinci SA(1)		241		15,325
				740,719

124

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		1,000	$	51,800
Building-Residential/Commercial — 0.1%
Persimmon PLC(1)		2,620		79,830
Taylor Wimpey PLC(1)		13,808		40,965
				120,795
Cable/Satellite TV — 0.2%
CJ Hellovision Co., Ltd.(1)		3,407		32,362
Liberty Global PLC LiLAC, Class C†		9		308
Liberty Global PLC, Class C†		192		7,876
Numericable-SFR SAS†(1)		599		27,744
Sky PLC(1)		10,323		163,352
				231,642
Casino Hotels — 0.0%
SJM Holdings, Ltd.(1)		33,000		23,535
Casino Services — 0.0%
Aristocrat Leisure, Ltd.(1)		6,322		38,533
Cellular Telecom — 0.2%
China Mobile, Ltd.(1)		13,500		160,597
NTT DOCOMO, Inc.(1)		5,200		87,182
Vodafone Group PLC(1)		19,520		61,723
				309,502
Chemicals-Diversified — 0.9%
Aceto Corp.		722		19,819
Akzo Nobel NV(1)		296		19,243
BASF SE†(1)		2,815		214,797
Dow Chemical Co.		240		10,176
Evonik Industries AG(1)		1,579		52,777
Innophos Holdings, Inc.		580		22,991
Innospec, Inc.		766		35,627
Kuraray Co., Ltd.(1)		2,800		34,972
LyondellBasell Industries NV, Class A		8,000		666,880
Mitsubishi Gas Chemical Co., Inc.(1)		4,000		18,503
Nitto Denko Corp.(1)		1,300		78,079
Orion Engineered Carbons SA		1,731		25,013
PTT Global Chemical PCL		28,100		41,614
Symrise AG(1)		125		7,508
				1,247,999
Chemicals-Other — 0.0%
American Vanguard Corp.		2,876		33,247
Chemicals-Plastics — 0.1%
EMS-Chemie Holding AG(1)		153		63,081
Chemicals-Specialty — 0.0%
Cabot Corp.		488		15,401
Kraton Performance Polymers, Inc.†		757		13,551
Minerals Technologies, Inc.		319		15,363
				44,315
Circuit Boards — 0.0%
Ibiden Co., Ltd.(1)		2,300		30,266
Silergy Corp.†(1)		2,198		21,608
				51,874

Security Description	Shares		Value (Note 2)
Coatings/Paint — 0.5%
Sherwin-Williams Co.		3,200	$	712,896
Coffee — 0.0%
Farmer Bros. Co.†		506		13,789
Commercial Services — 0.1%
Live Nation Entertainment, Inc.†		1,509		36,276
ServiceMaster Global Holdings, Inc.†		3,000		100,650
				136,926
Commercial Services-Finance — 0.2%
Cardtronics, Inc.†		1,008		32,962
Equifax, Inc.		2,300		223,514
Everi Holdings, Inc.†		2,831		14,523
Heartland Payment Systems, Inc.		345		21,738
				292,737
Communications Software — 0.2%
SolarWinds, Inc.†		6,200		243,288
Computer Aided Design — 0.0%
Aspen Technology, Inc.†		598		22,670
Computer Data Security — 0.0%
Fortinet, Inc.†		800		33,984
Qualys, Inc.†		304		8,652
				42,636
Computer Services — 1.1%
Amdocs, Ltd.		6,800		386,784
Atos SE(1)		293		22,502
Barracuda Networks, Inc.†		745		11,607
CACI International, Inc., Class A†		252		18,640
Computer Sciences Corp.		9,800		601,524
Engility Holdings, Inc.		1,428		36,814
Genpact, Ltd.†		1,800		42,498
Leidos Holdings, Inc.		7,500		309,825
Manhattan Associates, Inc.†		425		26,478
MAXIMUS, Inc.		371		22,097
				1,478,769
Computer Software — 0.1%
Apigee Corp.†		1,156		12,196
AVG Technologies NV†		2,010		43,717
Blackbaud, Inc.		513		28,790
Cornerstone OnDemand, Inc.†		579		19,107
InterXion Holding NV†		294		7,961
Rackspace Hosting, Inc.†		808		19,941
RIB Software AG(1)		1,006		15,809
SS&C Technologies Holdings, Inc.		420		29,417
				176,938
Computers — 2.7%
Apple, Inc.		32,422		3,576,146
Lenovo Group, Ltd.(1)		18,000		15,284
				3,591,430
Computers-Integrated Systems — 0.1%
Fujitsu, Ltd.(1)		10,000		43,609
MTS Systems Corp.		248		14,907
NetScout Systems, Inc.†		216		7,640
Otsuka Corp.(1)		400		19,529
VeriFone Systems, Inc.†		697		19,328
				105,013

125

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Memory Devices — 0.5%
Brocade Communications Systems, Inc.		3,073	$	31,898
EMC Corp.		24,700		596,752
Nimble Storage, Inc.†		498		12,012
Quantum Corp.†		12,314		8,586
TDK Corp.(1)		300		17,064
				666,312
Computers-Periphery Equipment — 0.0%
Lexmark International, Inc., Class A		518		15,012
Consulting Services — 0.2%
CEB, Inc.		276		18,862
Verisk Analytics, Inc.†		3,000		221,730
				240,592
Consumer Products-Misc. — 0.6%
Kimberly-Clark Corp.		7,600		828,704
Containers-Metal/Glass — 0.4%
Crown Holdings, Inc.†		12,600		576,450
Containers-Paper/Plastic — 0.4%
Amcor, Ltd.(1)		7,895		73,345
Graphic Packaging Holding Co.		12,700		162,433
Sealed Air Corp.		7,600		356,288
				592,066
Cosmetics & Toiletries — 0.5%
AMOREPACIFIC Group(1)		318		43,991
Avon Products, Inc.		1,948		6,331
Colgate-Palmolive Co.		2,000		126,920
Coty, Inc., Class A		3,124		84,536
Kao Corp.(1)		2,700		122,670
LG Household & Health Care, Ltd.(1)		120		86,685
Shiseido Co., Ltd.(1)		500		10,958
Unilever NV CVA(1)		1,879		75,619
Unilever PLC(1)		1,393		56,745
				614,455
Data Processing/Management — 0.1%
Broadridge Financial Solutions, Inc.		1,800		99,630
CSG Systems International, Inc.		1,352		41,642
Dun & Bradstreet Corp.		300		31,500
				172,772
Decision Support Software — 0.0%
QAD, Inc., Class A		1,174		30,054
Diagnostic Equipment — 0.0%
Cepheid†		236		10,667
Diagnostic Kits — 0.1%
Alere, Inc.†		1,888		90,907
OraSure Technologies, Inc.†		3,601		15,989
				106,896
Disposable Medical Products — 0.5%
C.R. Bard, Inc.		2,800		521,668
ICU Medical, Inc.†		861		94,279
				615,947

Security Description	Shares		Value (Note 2)
Distribution/Wholesale — 0.1%
Beacon Roofing Supply, Inc.†		1,201	$	39,021
Wolseley PLC(1)		523		30,595
				69,616
Diversified Banking Institutions — 4.1%
Bank of America Corp.		107,800		1,679,524
Barclays PLC(1)		9,829		36,338
BNP Paribas SA(1)		3,691		217,347
Credit Agricole SA(1)		8,647		99,216
Credit Suisse Group AG(1)		2,590		62,310
Deutsche Bank AG(1)		1,969		52,934
Goldman Sachs Group, Inc.		400		69,504
HSBC Holdings PLC(1)		21,112		159,708
JPMorgan Chase & Co.		31,789		1,938,175
Lloyds Banking Group PLC(1)		5,932		6,762
Mitsubishi UFJ Financial Group, Inc.(1)		17,000		102,746
Morgan Stanley		29,800		938,700
Natixis SA(1)		3,696		20,421
Societe Generale SA(1)		2,116		94,653
UBS Group AG(1)		5,375		99,605
				5,577,943
Diversified Financial Services — 0.1%
E.Sun Financial Holding Co., Ltd.†(1)		78,000		45,913
Unifin Financiera SAPI de CV SOFOM ENR†		23,510		52,375
				98,288
Diversified Manufacturing Operations — 0.4%
AZZ, Inc.		460		22,397
Bombardier, Inc., Class B		4,508		5,641
Carlisle Cos., Inc.		1,100		96,118
Chase Corp.		369		14,535
Fabrinet†		2,306		42,269
Ingersoll-Rand PLC		4,300		218,311
Siemens AG(1)		946		84,519
Standex International Corp.		447		33,682
				517,472
Diversified Minerals — 0.1%
BHP Billiton, Ltd.(1)		1,816		28,642
Sumitomo Metal Mining Co., Ltd.(1)		5,000		56,934
				85,576
Diversified Operations — 0.1%
Industrivarden AB Class A(1)		2,266		42,967
Siam Cement PCL(1)		2,600		33,454
Siam Cement PCL NVDR(1)		150		1,921
				78,342
Drug Delivery Systems — 0.1%
Catalent, Inc.†		665		16,159
Depomed, Inc.†		581		10,952
DexCom, Inc.†		514		44,132
				71,243

126

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Products — 1.2%
Alibaba Group Holding, Ltd. ADR†		121	$	7,135
Amazon.com, Inc.†		900		460,701
eBay, Inc.†		47,100		1,151,124
Rakuten, Inc.(1)		1,100		14,107
Shutterfly, Inc.†		202		7,222
				1,640,289
E-Commerce/Services — 0.3%
Ctrip.com International, Ltd. ADR†		828		52,313
Groupon, Inc.†		3,917		12,769
Liberty Ventures, Series A†		6,800		274,380
				339,462
E-Services/Consulting — 0.0%
Perficient, Inc.†		1,536		23,700
Electric-Generation — 0.1%
China Resources Power Holdings Co., Ltd.(1)		26,000		59,331
First Gen Corp.(1)		76,800		36,459
Glow Energy PCL		16,700		39,110
Huadian Fuxin Energy Corp., Ltd.(1)		98,000		34,112
				169,012
Electric-Integrated — 1.8%
AES Corp.		11,900		116,501
American Electric Power Co., Inc.		15,500		881,330
E.ON SE(1)		4,048		34,727
Endesa SA(1)		2,884		60,766
Enel SpA†(1)		19,013		85,015
Entergy Corp.		14,600		950,460
Iberdrola SA(1)		21,421		142,521
Korea Electric Power Corp.†(1)		484		19,925
RWE AG(1)		4,640		52,574
SSE PLC(1)		408		9,253
Tokyo Electric Power Co., Inc.†(1)		6,300		42,275
				2,395,347
Electronic Components-Misc. — 0.3%
Casetek Holdings, Ltd.(1)		9,000		38,589
Hon Hai Precision Industry Co., Ltd.		22,000		57,546
Hoya Corp.(1)		4,100		134,725
Jabil Circuit, Inc.		1,566		35,031
Japan Display, Inc.†(1)		2,000		5,766
Murata Manufacturing Co., Ltd.(1)		700		90,908
Plexus Corp.†		1,163		44,868
Sanmina Corp.†		1,121		23,956
Stoneridge, Inc.†		2,287		28,221
				459,610
Electronic Components-Semiconductors — 0.6%
Ambarella, Inc.†		354		20,458
Applied Micro Circuits Corp.†		4,519		23,996
Cavium, Inc.†		270		16,570
CEVA, Inc.†		1,535		28,505
DSP Group, Inc.†		3,567		32,495

Security Description	Shares		Value (Note 2)
Electronic Components-Semiconductors (continued)
Fairchild Semiconductor International, Inc.†		996	$	13,984
Infineon Technologies AG(1)		7,830		87,994
Intersil Corp., Class A		1,985		23,225
Lattice Semiconductor Corp.†		6,256		24,086
MediaTek, Inc.(1)		1,000		7,463
Mellanox Technologies, Ltd.†		513		19,386
Microsemi Corp.†		628		20,611
Monolithic Power Systems, Inc.		352		18,022
ON Semiconductor Corp.†		4,558		42,845
QLogic Corp.†		6,435		65,959
Rovi Corp.†		1,303		13,668
Samsung Electronics Co., Ltd.(1)		232		223,114
Semtech Corp.†		631		9,528
Silicon Laboratories, Inc.†		236		9,803
Sumco Corp.(1)		600		5,385
Synaptics, Inc.†		618		50,960
				758,057
Electronic Design Automation — 0.1%
Mentor Graphics Corp.		2,592		63,841
Electronic Measurement Instruments — 0.3%
Agilent Technologies, Inc.		11,800		405,094
Sartorius AG (Preference Shares)(1)		53		12,620
Wasion Group Holdings, Ltd.(1)		30,000		31,153
				448,867
Electronic Parts Distribution — 0.0%
Tech Data Corp.†		440		30,140
Electronic Security Devices — 0.0%
dorma+kaba Holding AG(1)		35		21,516
Tyco International PLC		444		14,856
				36,372
Electronics-Military — 0.5%
L-3 Communications Holdings, Inc.		6,000		627,120
Safran SA(1)		647		48,818
				675,938
Energy-Alternate Sources — 0.2%
Concord New Energy Group, Ltd.(1)		670,000		45,495
Pacific Ethanol, Inc.†		2,648		17,186
REX American Resources Corp.†		634		32,093
TerraForm Global, Inc.†		2,399		15,977
Vestas Wind Systems A/S(1)		2,553		133,053
				243,804
Engineering/R&D Services — 0.2%
Argan, Inc.		1,389		48,171
KBR, Inc.		14,200		236,572
				284,743
Enterprise Software/Service — 1.1%
MobileIron, Inc.†		1,803		5,589
Oracle Corp.		38,150		1,377,978
Proofpoint, Inc.†		422		25,455
PROS Holdings, Inc.†		646		14,303

127

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Enterprise Software/Service (continued)
Qlik Technologies, Inc.†		471	$	17,168
SYNNEX Corp.		489		41,594
Tyler Technologies, Inc.†		272		40,612
Veeva Systems, Inc., Class A†		756		17,698
				1,540,397
Entertainment Software — 0.1%
Glu Mobile, Inc.†		6,014		26,281
GungHo Online Entertainment, Inc.(1)		20,700		61,408
NetEase, Inc. ADR		333		40,000
Nexon Co., Ltd.(1)		2,400		32,145
				159,834
Environmental Consulting & Engineering — 0.0%
Tetra Tech, Inc.		2,342		56,934
Environmental Monitoring & Detection — 0.0%
MSA Safety, Inc.		375		14,989
Explosives — 0.0%
Orica, Ltd.(1)		1,324		14,024
Female Health Care Products — 0.0%
Asaleo Care, Ltd.(1)		2,139		2,695
Finance-Consumer Loans — 0.1%
Encore Capital Group, Inc.†		1,129		41,773
Nelnet, Inc., Class A		1,163		40,252
PRA Group, Inc.†		1,010		53,449
				135,474
Finance-Investment Banker/Broker — 0.0%
Daiwa Securities Group, Inc.(1)		3,000		19,443
Oppenheimer Holdings, Inc., Class A		1,044		20,890
				40,333
Finance-Leasing Companies — 0.1%
Mitsubishi UFJ Lease & Finance Co., Ltd.†(1)		17,300		76,408
ORIX Corp.(1)		8,100		104,776
				181,184
Finance-Mortgage Loan/Banker — 0.1%
Arlington Asset Investment Corp., Class A		561		7,882
CoreLogic, Inc.†		2,100		78,183
Federal Agricultural Mtg. Corp., Class C		729		18,903
				104,968
Finance-Other Services — 0.1%
Bolsa Mexicana de Valores SAB de CV		31,068		48,739
JSE, Ltd.(1)		2,579		24,047
Moscow Exchange MICEX-RTS PJSC(1)		38,249		46,809
Warsaw Stock Exchange(1)		2,327		23,374
				142,969
Firearms & Ammunition — 0.0%
Smith & Wesson Holding Corp.†		2,964		50,003

Security Description	Shares		Value (Note 2)
Food-Catering — 0.0%
Compass Group PLC(1)		2,723	$	43,473
Food-Confectionery — 0.0%
Barry Callebaut AG(1)		33		35,952
Food-Flour & Grain — 0.1%
Gruma S.A.B. de CV		5,607		77,115
Food-Meat Products — 0.1%
JBS SA		14,950		63,352
WH Group, Ltd.†*(1)		183,955		91,399
				154,751
Food-Misc./Diversified — 0.9%
Associated British Foods PLC(1)		781		39,582
Cal-Maine Foods, Inc.		718		39,210
ConAgra Foods, Inc.		9,300		376,743
JG Summit Holdings, Inc.(1)		26,920		40,917
John B. Sanfilippo & Son, Inc.		1,250		64,075
Kerry Group PLC, Class A(1)		626		47,073
Mondelez International, Inc., Class A		4,100		171,667
Nestle SA(1)		2,661		200,391
Nomad Foods, Ltd.†(1)		126		1,985
Orkla ASA(1)		2,158		16,030
Pinnacle Foods, Inc.		5,196		217,608
Uni-President Enterprises Corp.†		16,000		27,697
				1,242,978
Food-Retail — 0.6%
Distribuidora Internacional de Alimentacion SA(1)		6,768		40,907
J Sainsbury PLC(1)		14,498		57,380
Koninklijke Ahold NV(1)		7,438		145,170
Kroger Co.		13,400		483,338
METRO AG(1)		1,090		30,069
Seven & i Holdings Co., Ltd.(1)		100		4,582
WM Morrison Supermarkets PLC(1)		831		2,093
Woolworths, Ltd.(1)		1,097		19,183
X5 Retail Group NV GDR†(1)		3,499		61,083
				843,805
Food-Wholesale/Distribution — 0.0%
SpartanNash Co.		1,453		37,560
Footwear & Related Apparel — 0.1%
Deckers Outdoor Corp.†		515		29,901
Steven Madden, Ltd.†		486		17,797
Wolverine World Wide, Inc.		1,365		29,539
				77,237
Gambling (Non-Hotel) — 0.0%
Tabcorp Holdings, Ltd.(1)		4,451		14,636
Garden Products — 0.0%
Scotts Miracle-Gro Co., Class A		851		51,758
Gas-Distribution — 0.5%
AGL Resources, Inc.		1,900		115,976
Centrica PLC(1)		17,512		60,854
Questar Corp.		2,600		50,466
Tokyo Gas Co., Ltd.(1)		8,000		38,888
UGI Corp.		12,550		436,991
				703,175

128

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hazardous Waste Disposal — 0.0%
Cleanaway Co., Ltd.(1)		9,000	$	40,254
Health Care Cost Containment — 0.0%
HealthEquity, Inc.†		908		26,831
Home Furnishings — 0.2%
Ethan Allen Interiors, Inc.		2,041		53,903
Leggett & Platt, Inc.		4,200		173,250
				227,153
Hotels/Motels — 0.8%
Accor SA(1)		149		6,975
Central Plaza Hotel PCL		28,400		29,343
Dalata Hotel Group PLC†(1)		3,502		16,920
Hilton Worldwide Holdings, Inc.		31,200		715,728
Marcus Corp.		1,904		36,823
Wyndham Worldwide Corp.		3,100		222,890
				1,028,679
Human Resources — 0.3%
Adecco SA(1)		1,475		108,154
Barrett Business Services, Inc.		279		11,977
Kforce, Inc.		1,768		46,463
Korn/Ferry International		954		31,549
Monster Worldwide, Inc.†		8,773		56,323
On Assignment, Inc.†		1,817		67,047
Paylocity Holding Corp.†		358		10,736
Recruit Holdings Co., Ltd.(1)		100		3,008
Team Health Holdings, Inc.†		289		15,615
TrueBlue, Inc.†		1,736		39,008
				389,880
Import/Export — 0.1%
ITOCHU Corp.(1)		3,800		40,306
Mitsubishi Corp.(1)		1,800		29,594
				69,900
Instruments-Controls — 0.0%
Woodward, Inc.		1,277		51,974
Insurance-Life/Health — 1.1%
AIA Group, Ltd.(1)		20,200		105,172
American Equity Investment Life Holding Co.		1,961		45,711
Cathay Financial Holding Co., Ltd.(1)		22,000		30,101
Challenger, Ltd.†(1)		8,726		43,869
CNO Financial Group, Inc.		2,037		38,316
NN Group NV(1)		1,910		54,790
Prudential Financial, Inc.		12,800		975,488
Prudential PLC(1)		2,835		59,934
St James's Place PLC(1)		1,186		15,268
Swiss Life Holding AG(1)		306		68,411
Symetra Financial Corp.		1,757		55,592
				1,492,652
Insurance-Multi-line — 1.2%
ACE, Ltd.		90		9,306
Ageas(1)		2,553		104,798

Security Description	Shares		Value (Note 2)
Insurance-Multi-line (continued)
Allianz SE(1)		893	$	139,965
Allstate Corp.		10,800		628,992
American Financial Group, Inc.		900		62,019
AXA SA(1)		5,294		128,523
BB Seguridade Participacoes SA		7,159		44,801
CNP Assurances(1)		6,891		95,706
Genworth Financial, Inc., Class A†		31,761		146,736
Voya Financial, Inc.		6,100		236,497
				1,597,343
Insurance-Property/Casualty — 0.3%
Admiral Group PLC(1)		686		15,618
AmTrust Financial Services, Inc.		1,077		67,829
Employers Holdings, Inc.		2,470		55,056
Federated National Holding Co.		2,422		58,176
HCI Group, Inc.		1,065		41,290
Heritage Insurance Holdings, Inc.†		2,448		48,299
Intact Financial Corp.		116		8,147
United Insurance Holdings Corp.		3,477		45,723
				340,138
Insurance-Reinsurance — 0.4%
Aspen Insurance Holdings, Ltd.		1,400		65,058
Essent Group, Ltd.†		678		16,848
Maiden Holdings, Ltd.		1,763		24,471
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen(1)		291		54,212
Reinsurance Group of America, Inc.		1,000		90,590
SCOR SE(1)		265		9,518
Swiss Re AG(1)		2,189		188,165
Validus Holdings, Ltd.		1,600		72,112
				520,974
Internet Application Software — 0.1%
Tencent Holdings, Ltd.(1)		9,400		158,339
Internet Connectivity Services — 0.0%
Cogent Communications Holdings, Inc.		899		24,417
Com Hem Holding AB(1)		3,633		30,383
				54,800
Internet Content-Entertainment — 0.0%
NCSoft Corp.†(1)		244		39,125
Internet Financial Services — 0.1%
SBI Holdings, Inc.(1)		5,800		65,599
Internet Security — 0.3%
Symantec Corp.		22,500		438,075
Investment Companies — 0.1%
Hercules Technology Growth Capital, Inc.		1,693		17,116
Investor AB, Class B(1)		2,845		97,919
Macquarie Korea Infrastructure Fund(1)		4,419		29,615
Medley Capital Corp.		3,465		25,780
Solar Capital, Ltd.		1,431		22,638
				193,068

129

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Investment Management/Advisor Services — 0.0%
Alexander Forbes Group Holdings, Ltd.(1)		34,849	$	19,246
China Cinda Asset Management Co. Ltd.(1)		56,000		19,531
				38,777
Lighting Products & Systems — 0.1%
OSRAM Licht AG(1)		1,149		59,366
Linen Supply & Related Items — 0.0%
G&K Services, Inc., Class A		550		36,641
Machine Tools & Related Products — 0.1%
Sandvik AB(1)		10,251		87,453
THK Co., Ltd.†(1)		3,000		47,735
				135,188
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		327		18,910
Machinery-Electrical — 0.1%
ABB, Ltd.(1)		4,459		78,967
Mitsubishi Electric Corp.(1)		11,000		100,999
				179,966
Machinery-Farming — 0.1%
AGCO Corp.		3,700		172,531
Machinery-General Industrial — 0.7%
Altra Industrial Motion Corp.		1,188		27,466
IDEX Corp.		3,200		228,160
Kadant, Inc.		875		34,134
Roper Technologies, Inc.		4,400		689,480
				979,240
Marine Services — 0.0%
Ezion Holdings, Ltd.(1)		25,160		11,580
Medical Instruments — 0.1%
AtriCure, Inc.†		929		20,355
CHC Healthcare Group(1)		17,000		27,568
CONMED Corp.		772		36,855
Entellus Medical, Inc.†		566		10,199
Spectranetics Corp.†		987		11,637
TransEnterix, Inc.†		5,973		13,499
				120,113
Medical Labs & Testing Services — 0.0%
Integrated Diagnostics Holdings PLC†*(1)		4,901		30,587
Medical Products — 0.2%
Accuray, Inc.†		2,106		10,519
Globus Medical, Inc., Class A†		924		19,090
Greatbatch, Inc.†		1,172		66,124
Hill-Rom Holdings, Inc.		1,035		53,810
MiMedx Group, Inc.†		2,031		19,599
Rockwell Medical, Inc.†		3,804		29,329
Sientra, Inc.†		238		2,416
West Pharmaceutical Services, Inc.		1,023		55,365
Zeltiq Aesthetics, Inc.†		997		31,934
				288,186

Security Description	Shares		Value (Note 2)
Medical Sterilization Products — 0.0%
STERIS Corp.		276	$	17,932
Medical-Biomedical/Gene — 2.7%
AMAG Pharmaceuticals, Inc.†		2,770		110,052
Amgen, Inc.		7,500		1,037,400
Applied Genetic Technologies Corp.†		719		9,448
Aratana Therapeutics, Inc.†		1,310		11,083
Ardelyx, Inc.†		1,923		33,229
ARIAD Pharmaceuticals, Inc.†		8,401		49,062
Cambrex Corp.†		1,197		47,497
Celgene Corp.†		119		12,872
Celldex Therapeutics, Inc.†		819		8,632
Charles River Laboratories International, Inc.†		1,600		101,632
China Biologic Products, Inc.†		422		37,904
Dynavax Technologies Corp.†		1,335		32,761
Emergent BioSolutions, Inc.†		1,269		36,154
Exact Sciences Corp.†		351		6,315
Five Prime Therapeutics, Inc.†		511		7,864
Gilead Sciences, Inc.		15,924		1,563,578
Halozyme Therapeutics, Inc.†		597		8,018
Infinity Pharmaceuticals, Inc.†		869		7,343
Isis Pharmaceuticals, Inc.†		232		9,377
Ligand Pharmaceuticals, Inc.†		182		15,588
Medicines Co.†		301		11,426
Merrimack Pharmaceuticals, Inc.†		2,281		19,411
Myriad Genetics, Inc.†		399		14,955
Novavax, Inc.†		1,090		7,706
OncoMed Pharmaceuticals, Inc.†		460		7,631
Prothena Corp. PLC†		1,118		50,690
PTC Therapeutics, Inc.†		448		11,962
Repligen Corp.†		1,304		36,316
Retrophin, Inc.†		670		13,574
Sage Therapeutics, Inc.†		228		9,649
United Therapeutics Corp.†		2,100		275,604
				3,604,733
Medical-Drugs — 4.0%
ACADIA Pharmaceuticals, Inc.†		781		25,828
Alkermes PLC†		204		11,969
Allergan PLC†		103		27,996
Anacor Pharmaceuticals, Inc.†		84		9,888
Astellas Pharma, Inc.(1)		10,500		136,312
AstraZeneca PLC(1)		3,098		196,609
Bayer AG(1)		230		29,396
BioSpecifics Technologies Corp.†		417		18,156
Carbylan Therapeutics, Inc.†		346		1,235
Cardiome Pharma Corp.†		8,094		68,313
Chiasma, Inc.†		162		3,221
Chimerix, Inc.†		271		10,352
Eagle Pharmaceuticals, Inc.†		270		19,988
Enanta Pharmaceuticals, Inc.†		495		17,889
GlaxoSmithKline PLC(1)		6,604		126,597
Grifols SA ADR		509		15,474
Hikma Pharmaceuticals PLC(1)		775		26,777
Hua Han Bio-Pharmaceutical Holdings, Ltd.(1)		244,000		30,142
Immune Design Corp.†		593		7,235

130

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs (continued)
Inotek Pharmaceuticals Corp.†		915	$	8,601
Insys Therapeutics, Inc.†		1,067		30,367
Jazz Pharmaceuticals PLC†		1,062		141,044
Lannett Co., Inc.†		1,609		66,806
Merck & Co., Inc.		16,576		818,689
Merck KGaA(1)		610		54,004
Novartis AG(1)		2,823		260,040
Novo Nordisk A/S, Class B(1)		2,603		140,105
Ophthotech Corp.†		497		20,138
Otsuka Holdings Co., Ltd.(1)		600		19,284
Pfizer, Inc.		57,223		1,797,374
POZEN, Inc.†		5,540		32,326
Prestige Brands Holdings, Inc.†		593		26,780
Roche Holding AG(1)		792		209,368
Sanofi(1)		3,386		322,569
Shionogi & Co., Ltd.(1)		1,300		46,729
Shire PLC(1)		1,339		91,392
Sucampo Pharmaceuticals, Inc., Class A†		1,302		25,871
Supernus Pharmaceuticals, Inc.†		891		12,501
TESARO, Inc.†		659		26,426
Trevena, Inc.†		1,226		12,689
UCB SA(1)		281		21,993
uniQure NV†		615		12,577
Zoetis, Inc.		11,100		457,098
				5,438,148
Medical-Generic Drugs — 0.1%
Impax Laboratories, Inc.†		267		9,401
Teva Pharmaceutical Industries, Ltd. ADR		1,252		70,688
				80,089
Medical-HMO — 1.4%
Aetna, Inc.		3,400		371,994
Anthem, Inc.		7,700		1,078,000
Centene Corp.†		6,834		370,608
Health Net, Inc.†		973		58,594
Molina Healthcare, Inc.†		137		9,433
Triple-S Management Corp., Class B†		882		15,708
WellCare Health Plans, Inc.†		377		32,490
				1,936,827
Medical-Hospitals — 0.1%
Mediclinic International, Ltd.†(1)		9,048		72,226
Netcare, Ltd.(1)		15,121		39,703
Select Medical Holdings Corp.		3,229		34,841
				146,770
Medical-Nursing Homes — 0.0%
Kindred Healthcare, Inc.		1,308		20,601
Medical-Outpatient/Home Medical — 0.1%
Amsurg Corp.†		725		56,340
Chemed Corp.		782		104,373
Providence Service Corp.†		738		32,162
				192,875

Security Description	Shares		Value (Note 2)
Medical-Wholesale Drug Distribution — 1.4%
AmerisourceBergen Corp.		11,700	$	1,111,383
Cardinal Health, Inc.		7,600		583,832
Medipal Holdings Corp.†(1)		9,700		154,511
Suzuken Co., Ltd.(1)		3,000		100,251
				1,949,977
Metal Processors & Fabrication — 0.1%
Assa Abloy AB, Class B(1)		1,230		22,093
EVA Precision Industrial Holdings, Ltd.(1)		230,000		45,539
NN, Inc.		2,115		39,128
				106,760
Metal-Diversified — 0.1%
Glencore PLC(1)		22,194		30,927
Rio Tinto PLC(1)		1,352		45,358
				76,285
Metal-Iron — 0.0%
Fortescue Metals Group, Ltd.(1)		26,884		34,547
Motion Pictures & Services — 0.1%
Eros International PLC†		863		23,465
Lions Gate Entertainment Corp.		2,201		80,997
				104,462
Motorcycle/Motor Scooter — 0.0%
Yamaha Motor Co., Ltd.(1)		1,700		34,287
MRI/Medical Diagnostic Imaging — 0.1%
RadNet, Inc.†		2,899		16,089
Surgical Care Affiliates, Inc.†		1,363		44,557
				60,646
Multimedia — 0.5%
Lagardere SCA(1)		3,743		103,754
Naspers, Ltd., Class N(1)		641		80,428
Quebecor, Inc., Class B		763		16,701
Viacom, Inc., Class B		10,000		431,500
				632,383
Networking Products — 0.1%
A10 Networks, Inc.†		4,355		26,087
Gigamon, Inc.†		345		6,903
Ixia†		4,180		60,568
				93,558
Non-Ferrous Metals — 0.1%
Mitsubishi Materials Corp.(1)		20,000		61,010
Non-Hazardous Waste Disposal — 0.0%
China Water Affairs Group, Ltd.(1)		66,000		30,492
Office Automation & Equipment — 0.4%
Pitney Bowes, Inc.		1,299		25,785
Xerox Corp.		49,100		477,743
				503,528
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		2,600		147,082
Oil Companies-Exploration & Production — 1.1%
BG Group PLC(1)		1,917		27,643
Callon Petroleum Co.†		6,378		46,496
Connacher Oil and Gas, Ltd.†		334		141

131

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Diamondback Energy, Inc.†		191	$	12,338
Encana Corp.		746		4,802
EP Energy Corp.†		2,315		11,922
Genel Energy PLC†(1)		2,669		11,227
Gulfport Energy Corp.†		594		17,630
Hess Corp.		700		35,042
Lone Pine Resources Canada, Ltd.†(2)		1,247		786
Lone Pine Resources, Inc.,†(2)		1,247		62
Northern Oil and Gas, Inc.†		3,697		16,341
Occidental Petroleum Corp.		19,100		1,263,465
SM Energy Co.		589		18,871
Stone Energy Corp.†		978		4,851
Whiting Petroleum Corp.†		898		13,712
Woodside Petroleum, Ltd.(1)		2,914		59,581
				1,544,910
Oil Companies-Integrated — 0.8%
BP PLC(1)		35,168		178,255
Eni SpA(1)		6,902		108,599
Exxon Mobil Corp.		493		36,655
OMV AG(1)		6,143		149,329
Repsol SA(1)		3,764		43,861
Royal Dutch Shell PLC, Class A(Euronext)(1)		1,246		29,587
Royal Dutch Shell PLC, Class A(BATS)(1)		4,408		103,948
Royal Dutch Shell PLC, Class B(1)		4,016		95,258
Statoil ASA(1)		10,840		158,122
Suncor Energy, Inc.		1,153		30,836
TOTAL SA(1)		3,514		158,429
				1,092,879
Oil Field Machinery & Equipment — 0.5%
Cameron International Corp.†		10,400		637,728
Oil Refining & Marketing — 1.2%
CVR Energy, Inc.		2,300		94,415
Delek US Holdings, Inc.		1,029		28,503
S-Oil Corp.(1)		703		37,484
Tesoro Corp.		2,500		243,100
Valero Energy Corp.		20,600		1,238,060
				1,641,562
Oil-Field Services — 1.2%
Matrix Service Co.†		1,963		44,109
Schlumberger, Ltd.		19,500		1,344,915
Superior Energy Services, Inc.		17,400		219,762
				1,608,786
Optical Supplies — 0.0%
STAAR Surgical Co.†		1,653		12,827
Paper & Related Products — 0.1%
Domtar Corp.		703		25,132
Mondi PLC(1)		1,549		32,509
Smurfit Kappa Group PLC(1)		330		8,872
UPM-Kymmene Oyj(1)		4,885		73,393
				139,906

Security Description	Shares		Value (Note 2)
Patient Monitoring Equipment — 0.0%
Insulet Corp.†		366	$	9,483
Petrochemicals — 0.1%
Braskem SA, Class A (Preference Shares)		8,800		37,002
LG Chem, Ltd.(1)		221		53,700
Lotte Chemical Corp.†		157		36,063
				126,765
Physical Therapy/Rehabilitation Centers — 0.0%
HealthSouth Corp.		1,261		48,385
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		1,963		51,627
Boer Power Holdings, Ltd.		16,000		27,004
				78,631
Printing-Commercial — 0.2%
Dai Nippon Printing Co., Ltd.(1)		16,000		155,586
Deluxe Corp.		1,508		84,056
Ennis, Inc.		1,259		21,856
Toppan Printing Co., Ltd.(1)		8,000		64,559
				326,057
Private Equity — 0.1%
3i Group PLC(1)		19,589		138,557
Eurazeo SA(1)		322		21,426
KKR & Co. LP		648		10,874
				170,857
Protection/Safety — 0.0%
Landauer, Inc.		1,071		39,616
Publishing-Newspapers — 0.1%
News Corp., Class A		9,100		114,842
Publishing-Periodicals — 0.0%
Wolters Kluwer NV†(1)		1,835		56,577
Racetracks — 0.0%
Penn National Gaming, Inc.†		1,955		32,805
Radio — 0.3%
Sirius XM Holdings, Inc.†		110,200		412,148
Real Estate Investment Trusts — 2.0%
AG Mtg. Investment Trust, Inc.		495		7,534
Agree Realty Corp.		852		25,432
American Capital Agency Corp.		13,400		250,580
Annaly Capital Management, Inc.		30,300		299,061
Apollo Commercial Real Estate Finance, Inc.		1,223		19,213
Apollo Residential Mortgage, Inc.		2,023		25,611
Arbor Realty Trust, Inc.		4,828		30,706
ARMOUR Residential REIT, Inc.		329		6,593
Ashford Hospitality Prime, Inc.		126		1,768
Ashford Hospitality Trust, Inc.		3,101		18,916
Brixmor Property Group, Inc.		3,100		72,788
Campus Crest Communities, Inc.		3,752		19,961
CBL & Associates Properties, Inc.		1,102		15,153
Chimera Investment Corp.		4,700		62,839
Communications Sales & Leasing, Inc.		2,891		51,749
CYS Investments, Inc.		1,558		11,311
Dexus Property Group(1)		11,966		60,164

132

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
EPR Properties		462	$	23,825
Equity LifeStyle Properties, Inc.		1,000		58,570
First Industrial Realty Trust, Inc.		1,000		20,950
General Growth Properties, Inc.		26,400		685,608
Hersha Hospitality Trust		820		18,581
Hibernia REIT PLC(1)		26,933		38,148
Invesco Mtg. Capital, Inc.		810		9,914
Investors Real Estate Trust		2,248		17,400
Japan Hotel REIT Investment Corp.(1)		36		22,977
Lexington Realty Trust		4,249		34,417
LTC Properties, Inc.		1,209		51,588
Mexico Real Estate Management SA de CV		31,310		39,580
MFA Financial, Inc.		15,950		108,619
National Health Investors, Inc.		1,048		60,250
Omega Healthcare Investors, Inc.		1,644		57,787
One Liberty Properties, Inc.		1,091		23,271
Post Properties, Inc.		377		21,975
Ramco-Gershenson Properties Trust		1,250		18,762
Scentre Group(1)		9,038		24,807
Select Income REIT		803		15,265
Summit Hotel Properties, Inc.		2,774		32,373
Two Harbors Investment Corp.		29,500		260,190
Universal Health Realty Income Trust		288		13,519
Weyerhaeuser Co.		1,900		51,946
				2,689,701
Real Estate Management/Services — 0.9%
CBRE Group, Inc., Class A†		25,800		825,600
Foxtons Group PLC(1)		6,495		23,357
Jones Lang LaSalle, Inc.		2,300		330,671
Kennedy-Wilson Holdings, Inc.		686		15,209
RE/MAX Holdings, Inc., Class A		1,328		47,781
Regus PLC(1)		5,147		23,923
				1,266,541
Real Estate Operations & Development — 0.3%
China Overseas Land & Investment, Ltd.(1)		20,000		61,166
Kawasan Industri Jababeka PT†(1)		1,837,980		20,130
Kerry Properties, Ltd.(1)		19,500		53,596
KWG Property Holding, Ltd.(1)		49,500		32,693
New World Development Co., Ltd.(1)		79,000		76,772
Nomura Real Estate Holdings, Inc.(1)		800		16,130
Sumitomo Realty & Development Co., Ltd.(1)		1,000		31,943
Wheelock & Co., Ltd.(1)		26,000		113,293
				405,723
Recreational Vehicles — 0.1%
Brunswick Corp.		769		36,827
Malibu Boats, Inc., Class A†		1,904		26,618
MCBC Holdings, Inc.†		1,626		21,073
				84,518
Rental Auto/Equipment — 0.0%
Avis Budget Group, Inc.†		1,213		52,984

Security Description	Shares		Value (Note 2)
Resorts/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		526	$	35,842
Six Flags Entertainment Corp.		3,000		137,340
Vail Resorts, Inc.		200		20,936
				194,118
Retail-Apparel/Shoe — 0.3%
ANTA Sports Products, Ltd.(1)		2,000		5,220
Ascena Retail Group, Inc.†		2,610		36,305
Caleres, Inc.		1,408		42,986
Children's Place, Inc.		521		30,046
DSW, Inc., Class A		1,129		28,575
Express, Inc.†		2,163		38,653
Industria de Diseno Textil SA(1)		2,445		81,907
Men's Wearhouse, Inc.		983		41,797
Next PLC(1)		229		26,430
Shimamura Co., Ltd.(1)		400		43,166
				375,085
Retail-Appliances — 0.0%
Conn's, Inc.†		1,034		24,857
Retail-Building Products — 2.2%
Home Depot, Inc.		15,200		1,755,448
Kingfisher PLC(1)		29,442		160,099
Lowe's Cos., Inc.		15,600		1,075,152
				2,990,699
Retail-Catalog Shopping — 0.2%
Liberty Interactive Corp. QVC Group, Class A†		10,200		267,546
Retail-Discount — 0.1%
Big Lots, Inc.		1,041		49,885
Harvey Norman Holdings, Ltd.†(1)		17,837		48,969
				98,854
Retail-Drug Store — 1.1%
CK Hutchison Holdings, Ltd.(1)		2,000		6,805
CVS Health Corp.		15,200		1,466,496
				1,473,301
Retail-Hypermarkets — 0.1%
BGF retail Co., Ltd.(1)		290		49,650
Puregold Price Club, Inc.(1)		83,800		55,636
				105,286
Retail-Major Department Stores — 0.1%
Hyundai Department Store Co., Ltd.†(1)		298		33,844
Marks & Spencer Group PLC(1)		14,626		111,144
				144,988
Retail-Misc./Diversified — 0.1%
Five Below, Inc.†		512		17,193
Poya International Co., Ltd.(1)		5,000		50,076
Sally Beauty Holdings, Inc.†		1,298		30,827
				98,096
Retail-Regional Department Stores — 0.3%
Dillard's, Inc., Class A		485		42,384
Macy's, Inc.		7,600		390,032
				432,416

133

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Restaurants — 0.2%
Bloomin' Brands, Inc.		2,230	$	40,541
Brinker International, Inc.		895		47,140
Buffalo Wild Wings, Inc.†		63		12,186
Gourmet Master Co., Ltd.(1)		8,000		47,746
Papa John's International, Inc.		420		28,762
Sonic Corp.		1,408		32,313
				208,688
Retail-Sporting Goods — 0.0%
Sports Direct International PLC†(1)		1,851		21,236
Vista Outdoor, Inc.†		356		15,817
				37,053
Retail-Vision Service Center — 0.0%
Luxottica Group SpA(1)		400		27,806
Rubber-Tires — 0.3%
Cie Generale des Etablissements Michelin(1)		1,261		115,068
Continental AG(1)		784		166,537
Cooper Tire & Rubber Co.		1,388		54,840
				336,445
Rubber/Plastic Products — 0.1%
Top Glove Corp. Bhd(1)		24,900		45,810
Trinseo SA†		2,761		69,715
				115,525
Satellite Telecom — 0.1%
Cellnex Telecom SAU†*(1)		907		15,435
EchoStar Corp., Class A†		1,297		55,810
Iridium Communications, Inc.†		2,336		14,366
				85,611
Savings & Loans/Thrifts — 0.1%
BofI Holding, Inc.†		291		37,490
Flushing Financial Corp.		1,042		20,861
Meta Financial Group, Inc.		578		24,143
Pacific Premier Bancorp, Inc.†		986		20,035
				102,529
Schools — 0.1%
Bright Horizons Family Solutions, Inc.†		486		31,221
Estacio Participacoes SA†		9,200		32,720
Grand Canyon Education, Inc.†		1,123		42,663
ITT Educational Services, Inc.†		651		2,233
				108,837
Security Services — 0.1%
LifeLock, Inc.†		1,204		10,547
Securitas AB, Class B(1)		6,748		82,520
Sohgo Security Services Co., Ltd.(1)		400		18,253
				111,320
Semiconductor Components-Integrated Circuits — 0.9%
Analog Devices, Inc.		6,700		377,947
Cirrus Logic, Inc.†		731		23,034
Cypress Semiconductor Corp.		4,660		39,703
Himax Technologies, Inc. ADR		1,469		11,708
Integrated Device Technology, Inc.†		591		11,997

Security Description	Shares		Value (Note 2)
Semiconductor Components-Integrated Circuits (continued)
Marvell Technology Group, Ltd.		24,500	$	221,725
Maxim Integrated Products, Inc.		11,100		370,740
Power Integrations, Inc.		417		17,585
Taiwan Semiconductor Manufacturing Co., Ltd.(1)		28,039		111,890
				1,186,329
Semiconductor Equipment — 0.2%
Teradyne, Inc.		13,600		244,936
Shipbuilding — 0.1%
Yangzijiang Shipbuilding Holdings, Ltd.(1)		170,400		136,264
Soap & Cleaning Preparation — 0.1%
Henkel AG & Co. KGaA (Preference Shares)(1)		368		37,811
Reckitt Benckiser Group PLC(1)		815		73,978
				111,789
Steel-Producers — 0.1%
ArcelorMittal(1)		5,172		27,024
ThyssenKrupp AG(1)		4,848		84,892
voestalpine AG(1)		948		32,618
				144,534
Storage/Warehousing — 0.0%
Sumitomo Warehouse Co., Ltd.(1)		4,000		19,380
SupraNational Banks — 0.0%
Banco Latinoamericano de Comercio Exterior SA, Class E		1,949		45,119
Telecom Services — 0.1%
BCE, Inc.		166		6,794
Inteliquent, Inc.		1,352		30,190
NeuStar, Inc., Class A†		972		26,448
Spark New Zealand, Ltd.(1)		3,691		7,035
Spok Holdings, Inc.		1,213		19,966
Telenor ASA(1)		3,119		58,345
				148,778
Telecommunication Equipment — 0.5%
Alcatel-Lucent†(1)		8,701		32,034
Juniper Networks, Inc.		25,900		665,889
ShoreTel, Inc.†		2,459		18,369
				716,292
Telephone-Integrated — 1.2%
BT Group PLC(1)		19,796		125,968
Cincinnati Bell, Inc.†		10,473		32,676
Deutsche Telekom AG(1)		6,237		110,719
Frontier Communications Corp.		6,616		31,426
IDT Corp., Class B		922		13,185
KDDI Corp.(1)		3,400		76,141
Nippon Telegraph & Telephone Corp.(1)		2,600		91,311
Orange SA(1)		5,379		81,347
Telecom Italia SpA RSP(1)		35,990		36,934
Telstra Corp., Ltd.(1)		22,922		90,490
Verizon Communications, Inc.		21,882		952,086
				1,642,283

134

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Television — 0.4%
Atresmedia Corp. de Medios de Comunicacion SA†(1)		1,375	$	17,496
Cyfrowy Polsat SA†(1)		7,329		45,092
Gray Television, Inc.†		5,337		68,100
ITV PLC(1)		40,936		152,739
Liberty Media Corp., Class A†		4,500		160,740
Mediaset SpA(1)		3,661		16,874
Nippon Television Holdings, Inc.(1)		900		14,573
ProSiebenSat.1 Media SE(1)		427		20,910
				496,524
Textile-Products — 0.0%
Taiwan Paiho, Ltd.(1)		9,000		24,692
Theaters — 0.1%
Carmike Cinemas, Inc.†		1,673		33,610
National CineMedia, Inc.		2,571		34,503
Regal Entertainment Group, Class A		2,552		47,697
				115,810
Therapeutics — 0.1%
aTyr Pharma, Inc.†		593		6,084
Dyax Corp.†		971		18,537
Neurocrine Biosciences, Inc.†		908		36,129
Portola Pharmaceuticals, Inc.†		278		11,848
Threshold Pharmaceuticals, Inc.†		2,481		10,098
				82,696
Tobacco — 0.4%
Altria Group, Inc.		3,300		179,520
British American Tobacco PLC(1)		1,432		79,142
Imperial Tobacco Group PLC(1)		2,258		116,870
Japan Tobacco, Inc.(1)		2,000		62,216
Philip Morris International, Inc.		161		12,772
Swedish Match AB(1)		2,788		84,402
				534,922
Toys — 0.0%
Nintendo Co., Ltd.(1)		100		16,894
Transactional Software — 0.0%
Synchronoss Technologies, Inc.†		540		17,712
Transport-Marine — 0.1%
Aegean Marine Petroleum Network, Inc. ADR		3,924		26,448
AP Moeller - Maersk A/S, Series B(1)		83		128,059
Scorpio Tankers, Inc.		2,255		20,678
				175,185
Transport-Rail — 0.1%
Aurizon Holdings, Ltd.(1)		8,690		30,741
Central Japan Railway Co.(1)		400		64,690
				95,431
Transport-Services — 1.0%
ComfortDelGro Corp., Ltd.(1)		41,200		83,409
Deutsche Post AG(1)		2,244		62,106
Matson, Inc.		396		15,242
Royal Mail PLC(1)		10,751		74,752

Security Description	Shares		Value (Note 2)
Transport-Services (continued)
United Parcel Service, Inc., Class B		11,100	$	1,095,459
Universal Truckload Services, Inc.		124		1,931
XPO Logistics, Inc.†		535		12,749
				1,345,648
Transport-Truck — 0.0%
Swift Transportation Co.†		2,550		38,301
Travel Services — 0.1%
Flight Centre Travel Group, Ltd.(1)		1,812		46,024
Modetour Network, Inc.(1)		1,342		43,594
				89,618
Vitamins & Nutrition Products — 0.0%
Nutraceutical International Corp.†		641		15,134
Water — 0.0%
Veolia Environnement SA(1)		1,819		41,685
Water Treatment Systems — 0.1%
Sound Global, Ltd.†(2)(3)		88,000		69,196
Web Hosting/Design — 0.0%
Web.com Group, Inc.†		1,690		35,625
Web Portals/ISP — 1.4%
Alphabet, Inc., Class A†		2,921		1,864,679
Baidu, Inc. ADR†		201		27,619
Yandex NV, Class A†		3,910		41,954
				1,934,252
Wire & Cable Products — 0.0%
Jiangnan Group, Ltd.(1)		214,000		44,462
Wireless Equipment — 0.0%
CalAmp Corp.†		2,163		34,803
Ubiquiti Networks, Inc.		571		19,351
				54,154
X-Ray Equipment — 0.1%
Hologic, Inc.†		2,200		86,086
Total Common Stocks (cost $105,401,815)				106,073,003
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Real Estate Investment Trusts — 0.0%
EPR Properties Series C 5.75% (cost $18,145)		995		22,049
PREFERRED SECURITIES — 0.1%
Banks-Commercial — 0.1%
HSBC USA, Inc. FRS Series F 3.50%		1,960		42,101
Building-Residential/Commercial — 0.0%
M/I Homes, Inc. Series A 9.75%		437		11,121
Diversified Banking Institutions — 0.0%
GMAC Capital Trust I VRS Series 2 8.13%		580		14,807

135

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(19)		Value (Note 2)
PREFERRED SECURITIES (continued)
Finance-Auto Loans — 0.0%
Ally Financial, Inc. Series G 7.00%*(1)(3)		17	$	17,054
Telephone-Integrated — 0.0%
Verizon Communications, Inc. 5.90%		800		20,800
Total Preferred Securities (cost $99,585)				105,883
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7%
Banks-Fiduciary — 0.1%
State Street Capital Trust IV FRS 1.34% due 06/01/2077	$	105,000		84,525
Banks-Money Center — 0.0%
BBVA International Preferred SAU FRS 5.92% due 04/18/2017(4)		15,000		15,187
Banks-Super Regional — 0.1%
Fifth Third Bancorp FRS 5.10% due 06/30/2023(4)		9,000		8,235
Wells Fargo & Co. FRS Series U 5.88% due 06/15/2025(4)		85,000		87,019
				95,254
Diversified Banking Institutions — 0.2%
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(4)		124,000		120,900
Bank of America Corp. FRS Series Z 6.50% due 10/23/2024(4)		5,000		5,100
Citigroup, Inc. FRS 5.90% due 02/15/2023(4)		24,000		23,400
Citigroup, Inc. FRS Series Q 5.95% due 08/15/2020(4)		168,000		165,690
Lloyds Banking Group PLC FRS 6.66% due 05/21/2037*(4)		30,000		33,525
				348,615
Diversified Financial Services — 0.1%
GE Capital Trust I FRS 6.38% due 11/15/2067		90,000		96,525
Electric-Integrated — 0.1%
Puget Sound Energy, Inc. FRS Series A 6.97% due 06/01/2067		40,000		34,185
WEC Energy Group, Inc. FRS 6.25% due 05/15/2067		50,000		42,563
				76,748
Finance-Credit Card — 0.0%
American Express Co. FRS 4.90% due 03/15/2020(4)		15,000		14,410
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.20% due 03/15/2044		37,000		36,341

Security Description	Principal Amount(19)		Value (Note 2)
Insurance-Multi-line — 0.1%
Genworth Holdings, Inc. FRS 6.15% due 11/15/2066	$	42,000	$	19,320
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		50,000		55,250
MetLife, Inc. 6.40% due 12/15/2066		45,000		49,050
				123,620
Insurance-Mutual — 0.0%
Liberty Mutual Group, Inc. FRS 7.00% due 03/07/2067*		10,000		9,625
Pipelines — 0.0%
TransCanada PipeLines, Ltd. FRS 6.35% due 05/15/2067		60,000		50,625
Total Preferred Securities/Capital Securities (cost $960,934)				951,475
ASSET BACKED SECURITIES — 1.7%
Diversified Financial Services — 1.7%
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 1.14% due 06/25/2046(5)		22,830		18,152
Alternative Loan Trust FRS Series 2005-27,Class 2A3 1.76% due 08/25/2035(5)		18,186		16,044
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(6)(7)		489,378		5
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.55% due 11/10/2041*(3)(6)(7)		32,846		484
Banc of America Commercial Mtg. Trust VRS Series 2005-5, Class B 5.70% due 10/10/2045(6)		100,000		100,347
Capmark Mortgage Securities, Inc. VRS Series 1997-C1, Class X 1.71% due 07/15/2029(6)(7)		96,715		3,720
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class AS 3.86% due 07/10/2047(6)		22,000		23,004
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(6)		44,000		46,010
Citigroup Commercial Mtg. Trust VRS Series 2013-GC17,Class C 5.26% due 11/10/2046(6)		57,000		59,986
COMM Mortgage Trust VRS Series 2014-CR18, Class XA 1.45% due 07/15/2047(6)(7)		224,717		15,942
COMM Mortgage Trust Series LC6, Class AM 3.28% due 01/10/2046(6)		20,000		20,483
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.71% due 12/10/2046*(3)(6)(7)		2,184,941		11,628

136

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust VRS Series 2013-CR13, Class XA 1.15% due 12/10/2023(6)(7)	$	433,423	$	22,623
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.23% due 12/10/2047(6)(7)		446,389		29,200
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.36% due 05/10/2047(6)(7)		365,045		24,988
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.62% due 12/10/2047(6)		59,000		57,373
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.24% due 05/15/2038*(3)(6)(7)		22,111		3
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2005-C6, Class AJ 5.23% due 12/15/2040(6)		28,000		28,015
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.61% due 02/15/2040*(3)(6)(7)		553,887		2,196
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.78% due 09/15/2039*(3)(6)(7)		348,644		1,373
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C2, Class A2 5.45% due 01/15/2049(6)		333		333
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.58% due 08/10/2044*(6)		100,000		106,793
GE Capital Commercial Mtg. Corp. VRS Series 2005-C3, Class XC 0.03% due 07/10/2045*(3)(6)(7)		342,685		0
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 0.70% due 05/10/2043*(6)(7)		308,159		567
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.78% due 02/10/2046(6)(7)		924,996		81,800
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(6)		22,000		22,252
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.54% due 09/12/2037*(3)(6)(7)		249,939		764
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C13, Class D 4.19% due 01/15/2046*(6)		25,000		23,096
JP Morgan Chase Commercial Mtg. Securities Trust VRS JPMCC 2013-C13 C 4.19% due 01/15/2046(6)		62,000		61,867

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C10, Class C 4.29% due 12/15/2047(6)	$	51,000	$	50,914
JP Morgan Chase Commercial Mtg. Securities Trust Series 2004-LN2, Class A2 5.12% due 07/15/2041(6)		2,322		2,322
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.37% due 05/15/2045(6)		21,000		22,486
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2006-LDP8, Class AJ 5.48% due 05/15/2045(6)		80,000		82,159
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2003-CB6, Class E 6.06% due 07/12/2037*(3)(6)		140,000		144,198
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C25, Class C 4.60% due 11/15/2047(6)		62,000		61,304
JPMorgan Chase Commercial Mtg. Securities Trust VRS Series 2007-LD12, Class A3 6.14% due 02/15/2051(6)		2,673		2,676
LB-UBS Commercial Mtg. Trust VRS Series 2005-C2, Class XCL 0.20% due 04/15/2040*(3)(6)(7)		51,899		3
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.37% due 11/15/2040*(6)(7)		523,606		2,038
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class C 5.35% due 11/15/2040(6)		50,000		50,134
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.27% due 04/15/2041(6)		69,000		74,736
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.07% due 06/12/2043*(3)(6)(7)		88,405		1
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 6.44% due 07/15/2045*(3)(6)(7)(8)		127,032		17,238
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 6.70% due 05/15/2044*(3)(6)(7)(8)		34,983		472
ML-CFC Commercial Mtg. Trust VRS Series 2006-3, Class AM 5.46% due 07/12/2046(6)		33,000		34,039
ML-CFC Commercial Mtg. Trust VRS Series 2006-1, Class AJ 5.75% due 02/12/2039(6)		58,000		58,495

137

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17, Class XA 1.43% due 08/15/2047(6)(7)	$	261,677	$	18,520
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C6, Class XA 2.24% due 11/15/2045*(6)(7)		372,561		30,675
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class D 3.26% due 05/15/2048*(6)(7)		21,000		15,730
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C11, Class C 4.56% due 08/15/2046(6)		64,000		65,893
Morgan Stanley Capital I Trust Series 2005-IQ9, Class B 4.86% due 07/15/2056(6)		130,000		132,872
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class E 5.35% due 07/15/2049*		58,000		60,592
Morgan Stanley Capital I Trust Series 2007-HQ11, Class A31 5.44% due 02/12/2044(6)		8,116		8,110
Morgan Stanley Re-REMIC Trust VRS Series 2010-C30A, Class A3B 5.25% due 12/17/2043*(6)		20,950		20,935
Nomura Resecuritization Trust FRS Series 2015-1R, Class 6A9 0.43% due 05/26/2047*(3)(5)(8)		100,000		62,000
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC 0.19% due 04/15/2042*(3)(6)(7)		336,907		25
Wachovia Bank Commercial Mtg. Trust VRS Series 2006-AJ, Class C25 5.90% due 05/15/2043(6)		49,000		49,634
WaMu Mtg. Pass-Through Certs. FRS Series 2004-AR12, Class A2B 0.65% due 10/25/2044(5)		59,380		54,309
WF-RBS Commercial Mtg. Trust VRS Series 2013-C12, Class XA 1.61% due 03/15/2048*(6)(7)		270,079		19,482
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.62% due 03/15/2045*(6)(7)		262,482		16,612

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.92% due 12/15/2045*(6)(7)	$	405,391	$	35,609
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.34% due 11/15/2045*(6)(7)		150,711		14,773
WF-RBS Commercial Mtg. Trust Series 2013-UBS1, Class AS 4.31% due 03/15/2046(6)		24,000		25,791
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(6)		53,000		57,229
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class D 4.61% due 12/15/2045*		24,000		22,844
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class C 4.65% due 03/15/2047(6)		54,000		54,834
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class C 4.99% due 06/15/2045(6)		29,000		30,643
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.99% due 06/15/2045*(6)		55,000		56,913
WF-RBS Commercial Mtg. Trust VRS Series 2013-D, Class C16 5.15% due 09/15/2046*		49,000		47,121
WF-RBS Commercial Mtg. Trust VRS Series 2011-C4 5.43% due 06/15/2044*(6)		55,000		57,066
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class D 5.64% due 02/15/2044*(6)		42,000		44,835
Total Asset Backed Securities (cost $3,057,131)				2,385,310
CONVERTIBLE BONDS & NOTES — 0.0%
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Senior Sub. Notes 4.50% due 10/15/2018		4,000		2,927
Real Estate Investment Trusts — 0.0%
iStar, Inc. Senior Notes 3.00% due 11/15/2016		11,000		12,561
Semiconductor Components-Integrated Circuits — 0.0%
Jazz Technologies, Inc. Company Guar. Notes 8.00% due 12/31/2018		11,000		15,957
Total Convertible Bonds & Notes (cost $25,061)				31,445

138

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 5.7%
Advertising Sales — 0.0%
Lamar Media Corp. Company Guar. Notes 5.38% due 01/15/2024	$	5,000	$	5,050
Lamar Media Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,542
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025		10,000		10,175
Outfront Media Capital LLC/ Outfront Media Capital Corp. Company Guar. Notes 5.63% due 02/15/2024		17,000		17,234
				47,001
Aerospace/Defense-Equipment — 0.1%
KLX, Inc. Company Guar. Notes 5.88% due 12/01/2022*		20,000		19,456
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		5,000		5,000
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024		28,000		26,316
TransDigm, Inc. Company Guar. Notes 7.50% due 07/15/2021		3,000		3,127
United Technologies Corp. Senior Notes 5.70% due 04/15/2040		5,000		5,932
				59,831
Agricultural Chemicals — 0.0%
Mosaic Co. Senior Notes 3.75% due 11/15/2021		10,000		10,233
Airlines — 0.0%
Continental Airlines, Inc. Pass Though Trust Pass Through Certs. Series 1998-1, Class A 6.65% due 03/15/2019		5,979		6,140
Delta Air Lines 2009-1 Class A Pass Through Trust Pass Thru Certs. Series 2009-1, Class A 7.75% due 06/17/2021		2,588		2,950
UAL Pass-Through Trust Pass Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024		9,267		9,875
				18,965
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		25,000		24,937

Security Description	Principal Amount(19)		Value (Note 2)
Auto-Cars/Light Trucks — 0.1%
Ford Motor Co. Senior Notes 7.40% due 11/01/2046	$	70,000	$	88,672
Ford Motor Co. Senior Notes 9.98% due 02/15/2047		5,000		7,132
General Motors Co. Senior Notes 6.25% due 10/02/2043		15,000		15,955
General Motors Financial Co., Inc. Company Guar. Notes 3.00% due 09/25/2017		8,000		8,088
General Motors Financial Co., Inc. Company Guar. Notes 3.25% due 05/15/2018		20,000		20,232
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025		13,000		12,577
				152,656
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Company Guar. Notes 8.25% due 11/01/2021		15,000		12,019
Auto/Truck Parts & Equipment-Original — 0.1%
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019		31,000		34,100
Dana Holding Corp. Senior Notes 5.50% due 12/15/2024		10,000		9,625
Dana Holding Corp. Senior Notes 6.00% due 09/15/2023		19,000		19,142
Delphi Corp. Company Guar. Notes 5.00% due 02/15/2023		5,000		5,175
Omega US Sub LLC Senior Notes 8.75% due 07/15/2023*		10,000		8,825
Pittsburgh Glass Works LLC Senior Sec. Notes 8.00% due 11/15/2018*		18,000		18,630
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024		15,000		15,394
TRW Automotive, Inc. Company Guar. Notes 4.50% due 03/01/2021*		3,000		2,963
				113,854
Banks-Commercial — 0.1%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019		6,000		5,966
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		17,000		16,979

139

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		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	$	5,963
CIT Group, Inc. Senior Notes 5.25% due 03/15/2018		14,000		14,385
CIT Group, Inc. Senior Notes 5.38% due 05/15/2020		14,000		14,665
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		17,000		17,637
CIT Group, Inc. Senior Notes 6.63% due 04/01/2018*		25,000		26,437
				102,032
Banks-Mortgage — 0.0%
Provident Funding Associates LP/ PFG Finance Corp. Company Guar. Notes 6.75% due 06/15/2021*		17,000		16,108
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 4.25% due 05/01/2023		3,000		2,989
Constellation Brands, Inc. Company Guar. Notes 6.00% due 05/01/2022		6,000		6,555
Constellation Brands, Inc. Company Guar. Notes 7.25% due 09/01/2016		21,000		21,840
Diageo Investment Corp. Company Guar. Notes 8.00% due 09/15/2022		45,000		58,237
				89,621
Brewery — 0.0%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Bonds 8.20% due 01/15/2039		16,000		22,506
Broadcast Services/Program — 0.1%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 6.50% due 11/15/2022		28,000		28,105
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020		20,000		20,050
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019		26,000		22,360
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 03/01/2021		32,000		26,888

Security Description	Principal Amount(19)		Value (Note 2)
Broadcast Services/Program (continued)
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*	$	5,000	$	4,687
Univision Communications, Inc. Company Guar. Notes 8.50% due 05/15/2021*		25,000		26,000
				128,090
Building & Construction Products-Misc. — 0.1%
Builders FirstSource, Inc. Company Guar. Notes 10.75% due 08/15/2023*		10,000		9,988
Building Materials Corp. of America Senior Notes 5.38% due 11/15/2024*		20,000		19,750
Building Materials Corp. of America Senior Notes 6.75% due 05/01/2021*		7,000		7,455
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021*		10,000		9,950
Louisiana-Pacific Corp. Company Guar. Notes 7.50% due 06/01/2020		17,000		17,637
Nortek, Inc. Company Guar. Notes 8.50% due 04/15/2021		15,000		15,750
Owens Corning, Inc. Company Guar. Notes 9.00% due 06/15/2019		13,000		15,458
Roofing Supply Group LLC/ Roofing Supply Finance, Inc. Company Guar. Notes 10.00% due 06/01/2020*		10,000		10,750
USG Corp. Company Guar. Notes 5.50% due 03/01/2025*		10,000		9,975
USG Corp. Company Guar. Notes 5.88% due 11/01/2021*		3,000		3,113
				119,826
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		11,000		10,203
Building Products-Cement — 0.0%
Vulcan Materials Co. Senior Notes 4.50% due 04/01/2025		5,000		4,900
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 6.38% due 11/01/2020		12,000		12,364

140

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Heavy Construction — 0.1%
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023	$	10,000	$	8,250
SBA Tower Trust Sec. Notes 5.10% due 04/15/2042*		55,000		56,258
				64,508
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.88% due 11/15/2024		5,000		5,125
CalAtlantic Group, Inc. Company Guar. Notes 6.25% due 12/15/2021		14,000		14,945
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		25,000		27,063
Lennar Corp. Company Guar. Notes 4.50% due 06/15/2019		7,000		7,077
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022		14,000		13,591
M/I Homes, Inc. Company Guar. Notes 8.63% due 11/15/2018		20,000		20,500
PulteGroup, Inc. Company Guar. Bonds 7.88% due 06/15/2032		10,000		11,500
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.25% due 04/15/2021*		6,000		5,970
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.63% due 03/01/2024*		6,000		5,760
TRI Pointe Holdings, Inc. Company Guar. Notes 5.88% due 06/15/2024		20,000		19,600
				131,131
Cable/Satellite TV — 0.2%
Cablevision Systems Corp. Senior Notes 7.75% due 04/15/2018		14,000		14,000
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020		6,000		5,340
Cablevision Systems Corp. Senior Notes 8.63% due 09/15/2017		42,000		43,785
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.13% due 02/15/2023		6,000		5,535

Security Description	Principal Amount(19)		Value (Note 2)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022	$	6,000	$	5,625
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 6.50% due 04/30/2021		12,000		12,060
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 6.63% due 01/31/2022		14,000		14,105
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 7.00% due 01/15/2019		7,000		7,140
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*(3)		12,000		11,942
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*(3)		23,000		23,204
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		12,728
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		6,000		4,733
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		9,000		8,055
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		10,000		8,494
WideOpenWest Finance LLC/ WideOpenWest Capital Corp. Company Guar. Notes 10.25% due 07/15/2019		25,000		25,187
				201,933
Casino Hotels — 0.1%
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023		10,000		10,150
MGM Resorts International Company Guar. Notes 5.25% due 03/31/2020		15,000		14,775
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021		15,000		15,375
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020		20,000		20,650
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019		15,000		16,462
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 6.38% due 06/01/2021*		8,000		7,520
				84,932

141

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Services — 0.0%
CCM Merger, Inc. Company Guar. Notes 9.13% due 05/01/2019*	$	14,000	$	14,789
Eldorado Resorts, Inc. Senior Notes 7.00% due 08/01/2023*		15,000		14,737
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. Senior Sec. Notes 9.50% due 06/15/2019*		12,000		12,480
Scientific Games Corp. Company Guar. Notes 8.13% due 09/15/2018		5,000		4,650
				46,656
Cellular Telecom — 0.2%
Crown Castle Towers LLC Senior Sec. Bonds 4.88% due 08/15/2040*		45,000		48,608
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020		6,000		5,059
Sprint Communications, Inc. Senior Notes 8.38% due 08/15/2017		25,000		24,937
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		27,000		28,331
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		11,000		9,006
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		43,000		34,803
Syniverse Holdings, Inc. Company Guar. Notes 9.13% due 01/15/2019		15,000		12,750
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		4,825
T-Mobile USA, Inc. Company Guar. Notes 6.13% due 01/15/2022		3,000		2,895
T-Mobile USA, Inc. Company Guar. Notes 6.25% due 04/01/2021		17,000		16,941
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		10,000		9,600
T-Mobile USA, Inc. Company Guar. Notes 6.46% due 04/28/2019		6,000		6,105
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		6,000		6,015
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/01/2023		20,000		19,800

Security Description	Principal Amount(19)		Value (Note 2)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.84% due 04/28/2023	$	3,000	$	2,970
				232,645
Chemicals-Diversified — 0.1%
Blue Cube Spinco, Inc. Company Guar. Notes 9.75% due 10/15/2023*		5,000		5,200
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022		10,000		9,425
Celanese US Holdings LLC Company Guar. Notes 5.88% due 06/15/2021		24,000		24,210
Eastman Chemical Co. Senior Notes 3.80% due 03/15/2025		15,000		14,643
Hexion, Inc. Senior Sec. Notes 6.63% due 04/15/2020		6,000		5,100
Momentive Performance Materials, Inc. Senior Sec. Notes 3.88% due 10/24/2021		15,000		11,550
Momentive Performance Materials, Inc. Escrow Notes 8.88% due 10/15/2020†(2)		15,000		0
				70,128
Chemicals-Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*		25,000		23,562
Chemicals-Specialty — 0.1%
Chemours Co. Senior Notes 6.63% due 05/15/2023*		10,000		6,725
Chemours Co. Senior Notes 7.00% due 05/15/2025*		5,000		3,287
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020		14,000		12,165
Huntsman International LLC Company Guar. Notes 5.13% due 11/15/2022*		5,000		4,287
Platform Specialty Products Corp. Senior Notes 6.50% due 02/01/2022*		10,000		8,600
PQ Corp. Sec. Notes 8.75% due 11/01/2018*		14,000		14,000
Rockwood Specialties Group, Inc. Company Guar. Notes 4.63% due 10/15/2020		20,000		20,702
W.R. Grace & Co. Company Guar. Notes 5.13% due 10/01/2021*		10,000		9,875

142

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Chemicals-Specialty (continued)
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*	$	15,000	$	14,700
				94,341
Coal — 0.0%
CONSOL Energy, Inc. Company Guar. Notes 5.88% due 04/15/2022		6,000		4,035
Commercial Services — 0.0%
TMS International Corp. Company Guar. Notes 7.63% due 10/15/2021*		15,000		13,950
Commercial Services-Finance — 0.0%
Igloo Holdings Corp. Senior Notes 8.25% due 12/15/2017*(12)		20,000		20,050
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. Company Guar. Notes 5.75% due 04/15/2023		11,000		11,646
				31,696
Computers — 0.0%
Apple, Inc. Senior Notes 4.38% due 05/13/2045		28,000		27,721
Consumer Products-Misc. — 0.0%
Prestige Brands, Inc. Company Guar. Notes 5.38% due 12/15/2021*		10,000		9,750
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025*		10,000		10,200
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024*		5,000		5,150
				25,100
Containers-Metal/Glass — 0.0%
Crown Americas LLC/Crown Americas Capital Corp. IV Company Guar. Notes 4.50% due 01/15/2023		5,000		4,900
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		10,000		10,900
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*		5,000		4,800
				20,600
Containers-Paper/Plastic — 0.1%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023		5,000		4,713

Security Description	Principal Amount(19)		Value (Note 2)
Containers-Paper/Plastic (continued)
Berry Plastics Corp. Sec. Notes 5.50% due 05/15/2022	$	6,000	$	5,835
Berry Plastics Escrow LLC/Berry Plastics Escrow Corp. Sec. Notes 6.00% due 10/15/2022*		5,000		5,012
MeadWestvaco Corp. Company Guar. Notes 7.95% due 02/15/2031		1,000		1,300
MeadWestvaco Corp. Company Guar. Notes 8.20% due 01/15/2030		20,000		27,449
Pactiv LLC Senior Notes 7.95% due 12/15/2025		10,000		9,475
Sealed Air Corp. Company Guar. Notes 4.88% due 12/01/2022*		5,000		4,944
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*		5,000		4,900
Sealed Air Corp. Company Guar. Notes 5.25% due 04/01/2023*		11,000		11,027
Sealed Air Corp. Senior Notes 5.50% due 09/15/2025*		5,000		5,075
Sealed Air Corp. Company Guar. Notes 6.50% due 12/01/2020*		12,000		13,140
Sealed Air Corp. Company Guar. Notes 6.88% due 07/15/2033*		5,000		5,013
				97,883
Cosmetics & Toiletries — 0.0%
Elizabeth Arden, Inc. Senior Notes 7.38% due 03/15/2021		26,000		15,600
Revlon Consumer Products Corp. Company Guar. Notes 5.75% due 02/15/2021		20,000		19,400
				35,000
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Company Guar. Notes 5.00% due 03/15/2022		14,000		14,631
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		9,900
First Data Corp. Sec. Notes 8.25% due 01/15/2021*		37,000		38,387
First Data Corp. Company Guar. Notes 11.25% due 01/15/2021		2,000		2,185

143

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management (continued)
First Data Corp. Company Guar. Notes 11.75% due 08/15/2021	$	11,000	$	12,210
First Data Corp. Company Guar. Notes 12.63% due 01/15/2021		8,000		9,090
				86,403
Diagnostic Equipment — 0.0%
Crimson Merger Sub, Inc. Senior Notes 6.63% due 05/15/2022*		17,000		14,620
Dialysis Centers — 0.0%
Fresenius Medical Care U.S. Finance II, Inc. Company Guar. Notes 5.63% due 07/31/2019*		10,000		10,675
Disposable Medical Products — 0.0%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*		10,000		9,925
Distribution/Wholesale — 0.1%
American Tire Distributors, Inc Senior Sub. Notes 10.25% due 03/01/2022*		15,000		15,300
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023*		5,000		5,012
HD Supply, Inc. Senior Sec. Notes 5.25% due 12/15/2021*		10,000		10,050
HD Supply, Inc. Company Guar. Notes 7.50% due 07/15/2020		20,000		20,800
HD Supply, Inc. Company Guar. Notes 11.50% due 07/15/2020		6,000		6,780
Univar, Inc. Company Guar. Notes 6.75% due 07/15/2023*		5,000		4,638
				62,580
Diversified Banking Institutions — 0.0%
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		10,736
Diversified Financial Services — 0.0%
Community Choice Financial, Inc. Senior Sec. Notes 10.75% due 05/01/2019		11,000		3,630
DFC Finance Corp. Senior Sec. Notes 10.50% due 06/15/2020*		10,000		5,875
				9,505

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Manufacturing Operations — 0.0%
Amsted Industries, Inc. Company Guar. Notes 5.00% due 03/15/2022*	$	15,000	$	14,775
Amsted Industries, Inc. Company Guar. Notes 5.38% due 09/15/2024*		10,000		9,725
Parker-Hannifin Corp. Senior Notes 6.25% due 05/15/2038		15,000		19,148
				43,648
Diversified Minerals — 0.0%
JM Huber Corp. Senior Notes 9.88% due 11/01/2019*		25,000		26,318
E-Commerce/Services — 0.0%
Expedia, Inc. Company Guar. Notes 5.95% due 08/15/2020		15,000		16,626
Priceline Group, Inc. Senior Notes 3.65% due 03/15/2025		6,000		5,964
				22,590
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		6,000		5,265
AES Corp. Senior Notes 5.50% due 04/15/2025		30,000		26,250
AES Corp. Senior Notes 7.38% due 07/01/2021		28,000		29,050
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		22,675
Beaver Valley II Funding Corp. Senior Sec. Notes 9.00% due 06/01/2017		2,000		2,160
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		25,000		30,103
Commonwealth Edison Co. 1st Mtg. Bonds 5.88% due 02/01/2033		25,000		30,106
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		9,744
DPL, Inc. Senior Notes 6.50% due 10/15/2016		5,000		5,025
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. Sec. Notes 11.75% due 03/01/2022*(11)(13)		7,934		8,450

144

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*	$	35,000	$	36,064
Kansas Gas & Electric Co. Senior Sec. Notes 5.65% due 03/29/2021		7,596		7,672
MidAmerican Energy Holdings Co. Senior Notes 6.50% due 09/15/2037		5,000		6,281
Midamerican Funding LLC Senior Sec. Bonds 6.93% due 03/01/2029		10,000		13,273
Pacific Gas & Electric Co. Senior Notes 5.80% due 03/01/2037		20,000		23,769
Pacific Gas & Electric Co. Senior Notes 6.35% due 02/15/2038		10,000		12,505
PacifiCorp 1st Mtg. Bonds 6.25% due 10/15/2037		15,000		19,108
Potomac Edison Co. 1st Mtg. Bonds 5.80% due 10/15/2016*		20,000		20,756
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Senior Sec. Notes 11.50% due 10/01/2020*(11)(13)		11,000		4,262
Texas-New Mexico Power Co. 1st Mtg. Bonds 9.50% due 04/01/2019*		25,000		30,646
Westar Energy, Inc. 1st. Mtg. Notes 4.13% due 03/01/2042		5,000		5,015
				348,179
Electric-Transmission — 0.0%
ITC Holdings Corp. Senior Notes 6.05% due 01/31/2018*		15,000		16,453
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		20,000		21,022
				37,475
Electronic Components-Misc. — 0.0%
Jabil Circuit, Inc. Senior Notes 8.25% due 03/15/2018		5,000		5,588
Electronic Components-Semiconductors — 0.0%
Freescale Semiconductor, Inc. Senior Sec. Notes 5.00% due 05/15/2021*		9,000		9,135
Freescale Semiconductor, Inc. Senior Sec. Notes 6.00% due 01/15/2022*		6,000		6,270

Security Description	Principal Amount(19)		Value (Note 2)
Electronic Components-Semiconductors (continued)
Micron Technology, Inc. Senior Notes 5.25% due 08/01/2023*	$	10,000	$	9,198
Micron Technology, Inc. Company Guar. Notes 5.88% due 02/15/2022		15,000		14,794
				39,397
Engines-Internal Combustion — 0.0%
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020		30,000		32,400
Enterprise Software/Service — 0.0%
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*		7,000		6,965
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022*		20,000		18,350
Oracle Corp. Senior Notes 4.13% due 05/15/2045		2,000		1,887
				27,202
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Company Guar. Notes 6.25% due 12/01/2017		17,000		17,850
Ally Financial, Inc. Company Guar. Notes 7.50% due 09/15/2020		14,000		15,890
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018		14,000		15,435
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020		14,000		16,100
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031		26,000		30,119
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021		11,000		10,835
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023*		5,000		5,113
				111,342
Finance-Consumer Loans — 0.0%
Ocwen Financial Corp. Senior Notes 7.13% due 05/15/2019*		10,000		8,950
OneMain Financial Holdings, Inc. Company Guar. Notes 6.75% due 12/15/2019*		15,000		15,525
OneMain Financial Holdings, Inc. Company Guar. Notes 7.25% due 12/15/2021*		10,000		10,150

145

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Consumer Loans (continued)
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 8.50% due 09/15/2018*	$	7,000	$	5,512
				40,137
Finance-Credit Card — 0.0%
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022*		15,000		14,625
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Senior Notes 6.40% due 10/02/2017		30,000		32,710
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		40,000		44,782
E*TRADE Financial Corp. Senior Notes 4.63% due 09/15/2023		10,000		10,100
E*TRADE Financial Corp. Senior Notes 5.38% due 11/15/2022		10,000		10,600
				98,192
Finance-Leasing Companies — 0.0%
Air Lease Corp. Senior Notes 3.75% due 02/01/2022		15,000		14,921
Finance-Mortgage Loan/Banker — 0.0%
PHH Corp. Senior Notes 7.38% due 09/01/2019		9,000		8,933
Walter Investment Management, Corp. Company Guar. Notes 7.88% due 12/15/2021		11,000		9,405
				18,338
Finance-Other Services — 0.1%
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022*		30,000		31,563
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,088
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020		31,000		31,852
				77,503
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		10,000		10,150
WhiteWave Foods Co. Company Guar. Notes 5.38% due 10/01/2022		15,000		15,562
				25,712

Security Description	Principal Amount(19)		Value (Note 2)
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 7.25% due 06/01/2021*	$	5,000	$	5,188
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 8.25% due 02/01/2020*		6,000		6,255
				11,443
Food-Misc./Diversified — 0.0%
Campbell Soup Co. Senior Notes 8.88% due 05/01/2021		15,000		19,462
Kraft Foods Group, Inc. Company Guar. Notes 6.50% due 02/09/2040		9,000		10,789
				30,251
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 5.38% due 01/15/2022		14,000		14,420
Service Corp. International Senior Notes 5.38% due 05/15/2024		24,000		24,990
				39,410
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc. Company Guar. Notes 5.88% due 03/15/2021		11,000		11,330
Scientific Games International, Inc. Company Guar. Notes 6.25% due 09/01/2020		5,000		3,588
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		15,000		14,775
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		35,000		30,537
				60,230
Gas-Transportation — 0.0%
Southern Star Central Corp. Senior Notes 5.13% due 07/15/2022*		15,000		14,400
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 10.50% due 11/01/2018		22,000		23,028
Hotels/Motels — 0.0%
Hyatt Hotels Corp. Senior Notes 3.38% due 07/15/2023		10,000		9,749
Human Resources — 0.0%
Ceridian HCM Holding, Inc. Senior Notes 11.00% due 03/15/2021*		31,000		28,365

146

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers — 0.2%
Calpine Corp Senior Notes 5.75% due 01/15/2025	$	30,000	$	28,050
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,090
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		3,000		3,109
Dynegy, Inc. Company Guar. Notes 6.75% due 11/01/2019		35,000		35,087
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		6,000		5,550
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020		25,000		23,250
NRG Energy, Inc. Company Guar. Notes 7.88% due 05/15/2021		85,000		86,169
NRG Yield Operating LLC Company Guar. Notes 5.38% due 08/15/2024		5,000		4,387
				188,692
Insurance Brokers — 0.0%
HUB International, Ltd. Senior Notes 7.88% due 10/01/2021*		17,000		16,235
Wayne Merger Sub LLC Senior Notes 8.25% due 08/01/2023*		10,000		9,575
				25,810
Insurance-Life/Health — 0.1%
Aflac, Inc. Senior Notes 6.45% due 08/15/2040		16,000		19,715
Aflac, Inc. Senior Notes 6.90% due 12/17/2039		34,000		44,111
CNO Financial Group, Inc. Senior Notes 4.50% due 05/30/2020		5,000		5,100
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		15,000		15,225
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033*		20,000		21,792
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		15,000		18,782
				124,725

Security Description	Principal Amount(19)		Value (Note 2)
Insurance-Multi-line — 0.1%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034	$	30,000	$	36,046
Hartford Financial Services Group, Inc. Senior Bonds 6.63% due 03/30/2040		25,000		32,164
Nationwide Mutual Insurance Co. Sub. Notes 8.25% due 12/01/2031*		15,000		19,695
				87,905
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		66,740
Insurance-Property/Casualty — 0.0%
Travelers Property Casualty Corp. Company Guar. Notes 7.75% due 04/15/2026		15,000		20,084
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		24,083
Investment Management/Advisor Services — 0.0%
Neuberger Berman Group LLC/ Neuberger Berman Finance Corp. Senior Notes 5.88% due 03/15/2022*		15,000		15,881
Machinery-Construction & Mining — 0.1%
BlueLine Rental Finance Corp Sec. Notes 7.00% due 02/01/2019*		26,000		24,960
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2022		20,000		20,300
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		5,000		4,975
Terex Corp. Company Guar. Notes 6.00% due 05/15/2021		25,000		24,187
Vander Intermediate Holding II Corp. Senior Notes 9.75% due 02/01/2019*(12)		15,000		12,075
				86,497
Machinery-General Industrial — 0.0%
Manitowoc Co., Inc. Company Guar. Notes 5.88% due 10/15/2022		15,000		15,937
Zebra Technologies Corp. Senior Notes 7.25% due 10/15/2022*		10,000		10,650
				26,587

147

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Instruments — 0.0%
Medtronic, Inc. Company Guar. Notes 3.50% due 03/15/2025	$	12,000	$	12,244
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		13,000		13,142
				25,386
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc. Company Guar. Notes 4.75% due 01/30/2020		8,000		8,688
Medical Products — 0.0%
Halyard Health, Inc. Company Guar. Notes 6.25% due 10/15/2022		10,000		10,200
Teleflex, Inc. Company Guar. Notes 5.25% due 06/15/2024		5,000		5,025
				15,225
Medical-Biomedical/Gene — 0.0%
AMAG Pharmaceuticals, Inc. Company Guar. Notes 7.88% due 09/01/2023*		15,000		14,363
Medical-Drugs — 0.0%
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		6,000		5,940
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*		10,000		9,613
Valeant Pharmaceuticals International Company Guar. Notes 6.38% due 10/15/2020*		14,000		13,921
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 7.00% due 10/01/2020*		3,000		3,060
				32,534
Medical-HMO — 0.0%
Centene Corp. Senior Notes 4.75% due 05/15/2022		15,000		14,925
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		16,000		16,640
				31,565
Medical-Hospitals — 0.1%
Acadia Healthcare Co., Inc. Company Guar. Notes 5.13% due 07/01/2022		10,000		9,850
Acadia Healthcare Co., Inc. Company Guar. Notes 6.13% due 03/15/2021		20,000		20,800

Security Description	Principal Amount(19)		Value (Note 2)
Medical-Hospitals (continued)
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/15/2018	$	3,000	$	3,068
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		3,000		3,053
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		3,000		3,064
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		6,000		5,985
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024		5,000		5,012
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		5,000		4,950
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		44,000		47,960
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022		3,000		3,390
Tenet Healthcare Corp. FRS Senior Sec. Notes 3.84% due 06/15/2020*		15,000		14,897
Tenet Healthcare Corp. Senior Sec. Notes 4.38% due 10/01/2021		9,000		8,775
Tenet Healthcare Corp. Senior Sec. Notes 4.50% due 04/01/2021		6,000		5,910
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		14,000		14,770
Tenet Healthcare Corp. Senior Sec. Notes 6.25% due 11/01/2018		25,000		26,687
				178,171
Metal Processors & Fabrication — 0.0%
JMC Steel Group, Inc. Senior Notes 8.25% due 03/15/2018*		10,000		6,800
Metal-Diversified — 0.0%
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 9.00% due 10/15/2017		16,000		14,280
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024		20,000		25,239
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045		10,000		13,720

148

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Multimedia (continued)
21st Century Fox America, Inc. Company Guar. Notes 7.85% due 03/01/2039	$	9,000	$	12,128
Historic TW, Inc. Company Guar. Notes 9.15% due 02/01/2023		10,000		13,174
NBCUniversal Media LLC Company Guar. Notes 6.40% due 04/30/2040		20,000		24,979
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		45,000		58,436
				147,676
Music — 0.0%
Gibson Brands, Inc. Senior Sec. Notes 8.88% due 08/01/2018*		7,000		6,178
Non-Hazardous Waste Disposal — 0.0%
Republic Services, Inc. Company Guar. Notes 5.70% due 05/15/2041		5,000		5,678
Oil & Gas Drilling — 0.0%
Pride International, Inc. Company Guar. Notes 7.88% due 08/15/2040		45,000		37,832
Oil Companies-Exploration & Production — 0.3%
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022		11,000		9,460
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021		11,000		9,680
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023*		10,000		8,775
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020		25,000		16,078
California Resources Corp. Company Guar. Notes 6.00% due 11/15/2024		30,000		17,869
Chaparral Energy, Inc. Company Guar. Notes 8.25% due 09/01/2021		14,000		4,262
Chesapeake Energy Corp. Company Guar. Notes 4.88% due 04/15/2022		11,000		7,177
Chesapeake Energy Corp. Company Guar. Notes 5.75% due 03/15/2023		18,000		11,739
Concho Resources, Inc. Company Guar. Notes 5.50% due 10/01/2022		6,000		5,715
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		14,000		13,335

Security Description	Principal Amount(19)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Concho Resources, Inc. Company Guar. Notes 6.50% due 01/15/2022	$	20,000	$	19,700
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		9,000		5,355
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021		3,000		1,890
EOG Resources, Inc. Senior Notes 5.63% due 06/01/2019		15,000		16,890
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 6.38% due 06/15/2023		5,000		3,691
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		10,000		8,000
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020		28,000		24,080
EXCO Resources, Inc. Company Guar. Notes 7.50% due 09/15/2018		6,000		1,770
Gulfport Energy Corp. Company Guar. Notes 6.63% due 05/01/2023*		10,000		9,200
Gulfport Energy Corp. Company Guar. Notes 7.75% due 11/01/2020		5,000		4,913
Halcon Resources Corp. Sec. Notes 8.63% due 02/01/2020*		5,000		4,156
Halcon Resources Corp. Company Guar. Notes 8.88% due 05/15/2021		34,000		10,200
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		5,000		4,250
Kerr-McGee Corp. Company Guar. Notes 7.88% due 09/15/2031		15,000		18,629
Linn Energy LLC/Linn Energy Finance Corp. Company Guar. Notes 6.25% due 11/01/2019		20,000		5,100
Linn Energy LLC/Linn Energy Finance Corp. Company Guar. Notes 6.50% due 09/15/2021		10,000		2,075
Milagro Oil & Gas, Inc. Sec. Notes 10.50% due 05/15/2016(11)(13)		30,000		9,000

149

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026	$	10,000	$	9,150
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022		25,000		24,250
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		20,000		15,846
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023		10,000		7,750
Samson Investment Co. Company Guar. Notes 9.75% due 02/15/2020(11)		39,000		585
SandRidge Energy, Inc. Sec. Notes 8.75% due 06/01/2020*		15,000		9,094
Seventy Seven Energy, Inc. Senior Notes 6.50% due 07/15/2022		5,000		1,950
Seventy Seven Operating LLC Company Guar. Notes 6.63% due 11/15/2019		20,000		12,450
SM Energy Co. Senior Notes 6.50% due 11/15/2021		6,000		5,700
SM Energy Co. Senior Notes 6.50% due 01/01/2023		3,000		2,790
Unit Corp. Company Guar. Notes 6.63% due 05/15/2021		17,000		13,940
Whiting Petroleum Corp. Company Guar. Notes 5.75% due 03/15/2021		31,000		26,830
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		6,000		5,160
				388,484
Oil Refining & Marketing — 0.0%
Motiva Enterprises LLC Senior Notes 6.85% due 01/15/2040*		20,000		22,529
Oil-Field Services — 0.1%
Calfrac Holdings LP Company Guar. Notes 7.50% due 12/01/2020*		6,000		3,750
Exterran Partners LP/EXLP Finance Corp Company Guar. Notes 6.00% due 10/01/2022		26,000		21,775
Freeport-McMoran Oil & Gas LLC/ FCX Oil & Gas, Inc. Company Guar. Notes 6.75% due 02/01/2022		12,000		10,533

Security Description	Principal Amount(19)		Value (Note 2)
Oil-Field Services (continued)
Freeport-McMoran Oil & Gas LLC/ FCX Oil & Gas, Inc. Company Guar. Notes 6.88% due 02/15/2023	$	7,000	$	6,193
FTS International, Inc. FRS Senior Sec. Notes 7.84% due 06/15/2020*		5,000		3,702
Key Energy Services, Inc. Company Guar. Notes 6.75% due 03/01/2021		25,000		8,625
Weatherford International LLC Company Guar. Notes 6.80% due 06/15/2037		5,000		3,887
				58,465
Paper & Related Products — 0.1%
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		45,000		50,425
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029		10,000		13,365
International Paper Co. Senior Notes 8.70% due 06/15/2038		5,000		6,721
Mercer International, Inc. Company Guar. Notes 7.75% due 12/01/2022		15,000		15,150
				85,661
Petrochemicals — 0.0%
TPC Group, Inc. Senior Sec. Notes 8.75% due 12/15/2020*		5,000		4,275
Pharmacy Services — 0.0%
Omnicare, Inc. Company Guar. Notes 4.75% due 12/01/2022		2,000		2,160
Pipelines — 0.2%
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		10,000		8,951
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032		30,000		33,879
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		11,000		10,945
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		15,000		15,070
Energy Transfer Partners LP Senior Notes 6.50% due 02/01/2042		15,000		13,765
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 08/15/2042		20,000		17,620

150

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
EQT Midstream Partners LP Company Guar. Notes 4.00% due 08/01/2024	$	20,000	$	17,655
Hiland Partners LP/Hiland Partners Finance Corp. Company Guar. Notes 5.50% due 05/15/2022*		3,000		2,932
Hiland Partners LP/Hiland Partners Finance Corp. Company Guar. Notes 7.25% due 10/01/2020*		11,000		11,564
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044		4,000		3,303
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		10,000		11,071
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032		24,000		25,231
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		9,000		8,320
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.00% due 10/01/2022		5,000		4,882
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.50% due 04/15/2023		11,000		10,642
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		14,000		14,347
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		5,000		4,400
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023*		10,000		8,700
Sabine Pass LNG LP Senior Sec. Notes 6.50% due 11/01/2020		6,000		5,805
Spectra Energy Capital LLC Company Guar. Notes 8.00% due 10/01/2019		15,000		17,526
Williams Cos., Inc. Senior Bonds 7.75% due 06/15/2031		10,000		8,857
Williams Cos., Inc. Senior Notes 7.88% due 09/01/2021		6,000		6,097

Security Description	Principal Amount(19)		Value (Note 2)
Pipelines (continued)
Williams Partners LP/ACMP Finance Corp. Senior Notes 4.88% due 05/15/2023	$	23,000	$	21,275
Williams Partners LP/ACMP Finance Corp. Senior Notes 6.13% due 07/15/2022		6,000		6,105
				288,942
Poultry — 0.0%
Pilgrim's Pride Corp. Company Guar. Notes 5.75% due 03/15/2025*		10,000		9,825
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		5,000		4,650
Racetracks — 0.1%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.38% due 11/01/2018		11,000		11,083
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.88% due 11/01/2020		17,000		17,212
Penn National Gaming, Inc. Senior Notes 5.88% due 11/01/2021		20,000		20,175
				48,470
Radio — 0.0%
Cumulus Media Holdings, Inc. Company Guar. Notes 7.75% due 05/01/2019		9,000		6,457
Entercom Radio LLC Company Guar. Notes 10.50% due 12/01/2019		15,000		15,712
Sirius XM Radio, Inc. Senior Sec. Notes 5.25% due 08/15/2022*		3,000		3,113
Sirius XM Radio, Inc. Company Guar. Notes 5.88% due 10/01/2020*		14,000		14,245
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024*		6,000		6,030
				45,557
Real Estate Investment Trusts — 0.3%
American Tower Corp. Senior Notes 4.00% due 06/01/2025		20,000		19,514
CBL & Associates LP Limited Guar. Notes 5.25% due 12/01/2023		25,000		26,044
Corrections Corp of America Company Guar. Notes 4.13% due 04/01/2020		8,000		7,960

151

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Corrections Corp of America Company Guar. Notes 4.63% due 05/01/2023	$	19,000	$	18,240
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022		6,000		6,237
Crown Castle International Corp. Senior Notes 5.25% due 01/15/2023		25,000		26,442
DDR Corp. Senior Notes 7.88% due 09/01/2020		17,000		20,767
Duke Realty LP Company Guar. Notes 3.88% due 02/15/2021		10,000		10,379
EPR Properties Company Guar. Notes 5.25% due 07/15/2023		15,000		15,414
Healthcare Realty Trust, Inc. Senior Notes 3.88% due 05/01/2025		20,000		19,432
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025		10,000		9,799
Host Hotels & Resorts LP Senior Notes 5.25% due 03/15/2022		2,000		2,172
Host Hotels & Resorts LP Senior Notes 6.00% due 10/01/2021		3,000		3,394
Iron Mountain, Inc. Company Guar. Notes 6.00% due 10/01/2020*		5,000		5,049
Iron Mountain, Inc. Company Guar. Notes 6.00% due 08/15/2023		14,000		14,000
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 6.38% due 02/15/2022		25,000		26,125
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 6.88% due 05/01/2021		10,000		10,450
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027*(3)		10,000		9,517
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		15,000		15,163
Realty Income Corp. Senior Notes 4.65% due 08/01/2023		5,000		5,275
SL Green Realty Corp./SL Green Operating Partnership Company Guar. Notes 5.00% due 08/15/2018		20,000		21,317

Security Description	Principal Amount(19)		Value (Note 2)
Real Estate Investment Trusts (continued)
Vereit Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024	$	25,000	$	24,000
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		20,000		25,138
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024		35,000		35,692
				377,520
Real Estate Management/Services — 0.0%
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026		25,000		24,812
CBRE Services, Inc. Company Guar. Notes 5.00% due 03/15/2023		11,000		11,057
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		5,000		5,069
				40,938
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 6.88% due 10/01/2021*		24,000		24,382
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		13,552
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*		15,000		15,228
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042*(3)		39,000		41,822
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		10,000		9,350
United Rentals North America, Inc. Company Guar. Notes 5.75% due 11/15/2024		3,000		2,873
United Rentals North America, Inc. Company Guar. Notes 6.13% due 06/15/2023		3,000		2,991
United Rentals North America, Inc. Company Guar. Notes 7.63% due 04/15/2022		11,000		11,660
				97,476
Research & Development — 0.0%
Jaguar Holding Co II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023*		10,000		9,725

152

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
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	$	11,137
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. Company Guar. Notes 5.38% due 06/01/2024		3,000		3,008
Six Flags Entertainment Corp. Company Guar. Notes 5.25% due 01/15/2021*		25,000		25,000
				39,145
Retail-Apparel/Shoe — 0.1%
L Brands, Inc. Company Guar. Notes 5.63% due 02/15/2022		16,000		16,920
L Brands, Inc. Company Guar. Notes 6.63% due 04/01/2021		32,000		35,600
				52,520
Retail-Auto Parts — 0.0%
O'Reilly Automotive, Inc. Company Guar. Notes 3.85% due 06/15/2023		10,000		10,237
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		17,000		18,615
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024		10,000		9,800
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,035
				42,450
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc. Senior Notes 5.17% due 08/01/2044		25,000		23,678
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		10,000		9,529
Dollar Tree, Inc. Company Guar. Notes 5.25% due 03/01/2020*		5,000		5,127
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023*		5,000		5,188
				19,844

Security Description	Principal Amount(19)		Value (Note 2)
Retail-Drug Store — 0.1%
CVS Pass-Through Trust Pass Through Certs. 7.51% due 01/10/2032*	$	69,816	$	86,405
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023*		15,000		14,887
				101,292
Retail-Fabric Store — 0.0%
Jo-Ann Stores Holdings, Inc. Senior Notes 9.75% due 10/15/2019*(12)		10,000		8,000
Jo-Ann Stores LLC Senior Notes 8.13% due 03/15/2019*		20,000		18,500
				26,500
Retail-Jewelry — 0.0%
Tiffany & Co. Senior Notes 4.90% due 10/01/2044		15,000		14,497
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024		15,000		14,534
Retail-Major Department Stores — 0.0%
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021*		10,000		10,300
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(12)		10,000		10,300
				20,600
Retail-Pet Food & Supplies — 0.0%
Petco Animal Supplies, Inc. Company Guar. Notes 9.25% due 12/01/2018*		14,000		14,210
Petco Holdings, Inc. Senior Notes 8.50% due 10/15/2017*(12)		5,000		5,038
				19,248
Retail-Regional Department Stores — 0.1%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		11,000		6,490
Bon-Ton Department Stores, Inc. Sec. Notes 10.63% due 07/15/2017		21,000		20,370
JC Penney Corp., Inc. Company Guar. Notes 5.65% due 06/01/2020		30,000		27,000
JC Penney Corp, Inc. Company Guar. Notes 8.13% due 10/01/2019		5,000		5,000
Macy's Retail Holdings, Inc. Company Guar. Notes 5.13% due 01/15/2042		5,000		4,674

153

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Regional Department Stores (continued)
Macy's Retail Holdings, Inc. Company Guar. Notes 6.65% due 07/15/2024	$	6,000	$	7,115
Macy's Retail Holdings, Inc. Company Guar. Notes 6.90% due 04/01/2029		11,000		13,382
Macy's Retail Holdings, Inc. Company Guar. Notes 7.00% due 02/15/2028		4,000		4,923
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028		30,000		29,700
				118,654
Retail-Restaurants — 0.1%
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022		10,000		9,850
Landry's Holdings II, Inc. Senior Notes 10.25% due 01/01/2018*		3,000		3,075
Landry's, Inc. Company Guar. Notes 9.38% due 05/01/2020*		30,000		32,025
McDonald's Corp. Senior Notes 5.70% due 02/01/2039		18,000		20,656
McDonald's Corp. Senior Notes 6.30% due 10/15/2037		22,000		26,570
				92,176
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		25,000		20,125
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. Company Guar. Notes 5.00% due 12/15/2021*		5,000		5,100
Special Purpose Entity — 0.0%
ROC Finance LLC/ROC Finance 1 Corp. Sec. Notes 12.13% due 09/01/2018*		25,000		26,344
Steel-Producers — 0.1%
Glencore Funding LLC Company Guar. Notes 2.88% due 04/16/2020*(3)		20,000		16,000
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025*(3)		40,000		30,900
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*		10,000		7,500
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		10,000		9,169

Security Description	Principal Amount(19)		Value (Note 2)
Steel-Producers (continued)
Steel Dynamics, Inc. Company Guar. Notes 6.13% due 08/15/2019	$	3,000	$	3,067
Steel Dynamics, Inc. Company Guar. Notes 6.38% due 08/15/2022		8,000		7,860
				74,496
Telecom Services — 0.0%
Level 3 Communications, Inc. Senior Notes 5.75% due 12/01/2022		5,000		4,906
Qwest Corp. Senior Notes 6.75% due 12/01/2021		5,000		5,291
SBA Telecommunications, Inc. Company Guar. Notes 5.75% due 07/15/2020		3,000		3,090
West Corp. Company Guar. Notes 5.38% due 07/15/2022*		25,000		23,094
				36,381
Telecommunication Equipment — 0.1%
Avaya, Inc. Senior Sec. Notes 7.00% due 04/01/2019*		31,000		24,567
Avaya, Inc. Sec. Notes 10.50% due 03/01/2021*		16,000		7,360
CommScope Technologies Finance LLC Senior Sec. Notes 6.00% due 06/15/2025*		10,000		9,594
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		15,000		15,038
				56,559
Telephone-Integrated — 0.2%
AT&T, Inc. Senior Notes 3.40% due 05/15/2025		5,000		4,772
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		5,000		4,581
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2020		3,000		2,792
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023		14,000		12,250
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024		3,000		2,505
Frontier Communications Corp. Senior Notes 8.88% due 09/15/2020*		5,000		4,900

154

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*	$	20,000	$	19,500
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*		5,000		4,838
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 08/15/2022		10,000		9,725
Level 3 Financing, Inc. Company Guar. Notes 6.13% due 01/15/2021		7,000		7,196
Level 3 Financing, Inc. Company Guar. Notes 7.00% due 06/01/2020		14,000		14,490
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028		84,000		60,270
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		5,000		4,652
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		71,000		62,394
Verizon Communications, Inc. Senior Notes 5.05% due 03/15/2034		10,000		9,977
Verizon New Jersey, Inc. Company Guar. Notes 8.00% due 06/01/2022		25,000		31,192
Windstream Corp. Company Guar. Notes 6.38% due 08/01/2023		6,000		4,324
Windstream Corp. Company Guar. Notes 7.75% due 10/01/2021		14,000		10,850
				271,208
Television — 0.1%
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045		20,000		17,605
CBS Corp. Company Guar. Notes 7.88% due 07/30/2030		24,000		31,174
Gray Television, Inc. Company Guar. Notes 7.50% due 10/01/2020		17,000		17,425
LIN Television Corp. Senior Notes 5.88% due 11/15/2022*		5,000		4,962
Sinclair Television Group, Inc. Company Guar. Notes 5.38% due 04/01/2021		6,000		5,865
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024*		5,000		4,544

Security Description	Principal Amount(19)		Value (Note 2)
Television (continued)
Sinclair Television Group, Inc. Company Guar. Notes 6.38% due 11/01/2021	$	6,000	$	6,030
TEGNA, Inc. Company Guar. Notes 4.88% due 09/15/2021*		10,000		9,800
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		6,000		6,090
TEGNA, Inc. Company Guar. Notes 5.13% due 07/15/2020		6,000		6,120
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022*		10,000		9,700
				119,315
Textile-Products — 0.0%
INVISTA Finance LLC Senior Sec. Notes 4.25% due 10/15/2019*		11,000		10,615
Theaters — 0.1%
AMC Entertainment, Inc. Company Guar. Notes 5.75% due 06/15/2025		10,000		9,725
AMC Entertainment, Inc. Company Guar. Notes 5.88% due 02/15/2022		11,000		11,055
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		3,000		2,865
Cinemark USA, Inc. Company Guar. Notes 7.38% due 06/15/2021		5,000		5,225
Regal Entertainment Group Senior Notes 5.75% due 03/15/2022		23,000		22,597
Regal Entertainment Group Senior Notes 5.75% due 06/15/2023		6,000		5,790
				57,257
Transactional Software — 0.0%
ACI Worldwide, Inc. Company Guar. Notes 6.38% due 08/15/2020*		15,000		15,656
Transport-Air Freight — 0.0%
Air Medical Merger Sub Corp Senior Notes 6.38% due 05/15/2023*		35,000		31,762
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 5.40% due 06/01/2041		15,000		16,540
Burlington Northern Santa Fe LLC Senior Notes 5.75% due 05/01/2040		15,000		17,148

155

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Rail (continued)
Kansas City Southern Railway Co. Company Guar. Bonds 4.30% due 05/15/2043	$	3,000	$	2,771
Norfolk Southern Corp. Senior Notes 6.00% due 05/23/2111		20,000		22,357
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023*		24,000		23,760
				82,576
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		10,000		9,850
Wire & Cable Products — 0.0%
Belden, Inc. Company Guar. Notes 5.25% due 07/15/2024*		5,000		4,625
Belden, Inc. Company Guar. Notes 5.50% due 09/01/2022*		10,000		9,675
				14,300
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*(3)		5,000		5,050
Total U.S. Corporate Bonds & Notes (cost $7,911,693)				7,688,262
FOREIGN CORPORATE BONDS & NOTES — 0.8%
Banks-Commercial — 0.1%
Barclays Bank PLC Sub. Notes 10.18% due 06/12/2021*		80,000		104,807
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019*		10,000		11,055
HBOS PLC Sub. Notes 6.00% due 11/01/2033*		50,000		55,599
				171,461
Building Products-Doors & Windows — 0.0%
Masonite International Corp. Company Guar. Notes 5.63% due 03/15/2023*		5,000		5,100
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		10,000		9,781
Building-Residential/Commercial — 0.0%
Brookfield Residential Properties, Inc. Company Guar. Notes 6.50% due 12/15/2020*		17,000		16,787

Security Description	Principal Amount(19)		Value (Note 2)
Building-Residential/Commercial (continued)
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022*	$	6,000	$	5,715
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		20,000		19,400
				41,902
Cable/Satellite TV — 0.0%
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022		10,000		13,954
Containers-Metal/Glass — 0.0%
Novelis, Inc. Company Guar. Notes 8.75% due 12/15/2020		20,000		19,254
Diversified Banking Institutions — 0.1%
Royal Bank of Scotland PLC VRS Sub. Notes 9.50% due 03/16/2022		40,000		43,596
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 7.50% due 03/15/2025*		5,000		3,750
Bombardier, Inc. Senior Notes 7.75% due 03/15/2020*		15,000		12,825
				16,575
Diversified Minerals — 0.0%
Glencore Finance Canada, Ltd. Company Guar. Notes 2.70% due 10/25/2017*(3)		5,000		4,498
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		3,500
				7,998
Diversified Operations — 0.0%
DH Services Luxembourg Sarl Company Guar. Notes 7.75% due 12/15/2020*		7,000		7,070
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.50% due 10/01/2021*		10,000		9,950
				17,020
Electric Products-Misc. — 0.1%
Legrand France SA Senior Notes 8.50% due 02/15/2025		51,000		69,976
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 6.95% due 01/26/2039*		35,000		45,296

156

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Electric-Integrated — 0.0%
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036	$	10,000	$	12,392
Gambling (Non-Hotel) — 0.0%
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022*	CAD	24,000		18,524
Gold Mining — 0.0%
Eldorado Gold Corp. Senior Notes 6.13% due 12/15/2020*		1,000		870
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022*		10,000		8,375
New Gold, Inc. Company Guar. Notes 7.00% due 04/15/2020*		15,000		14,025
				23,270
Hazardous Waste Disposal — 0.0%
Tervita Corp. Company Guar. Notes 10.88% due 02/15/2018*		3,000		1,650
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		5,000		5,013
Medical Products — 0.0%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025*		10,000		8,913
Medical-Biomedical/Gene — 0.0%
Concordia Healthcare Corp. Company Guar. Notes 7.00% due 04/15/2023*		15,000		13,125
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025		4,000		3,945
Capsugel SA Senior Notes 7.00% due 05/15/2019*(12)		3,000		3,000
DPx Holdings BV Senior Notes 7.50% due 02/01/2022*		25,000		25,250
JLL/Delta Dutch Pledgeco BV Senior Notes 8.75% due 05/01/2020*(12)		10,000		10,100
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		15,000		14,578
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023*		5,000		4,750

Security Description	Principal Amount(19)		Value (Note 2)
Medical-Drugs (continued)
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*	$	10,000	$	9,556
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.13% due 04/15/2025*		10,000		9,525
				80,704
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		3,000		2,724
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 7.00% due 02/15/2021*		35,000		22,662
Metal-Diversified — 0.0%
HudBay Minerals, Inc. Company Guar. Notes 9.50% due 10/01/2020		30,000		23,962
Multimedia — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		11,000		10,835
Oil & Gas Drilling — 0.0%
Noble Holding International, Ltd. Company Guar. Notes 6.05% due 03/01/2041		25,000		15,899
Offshore Group Investment, Ltd. Senior Sec. Notes 7.13% due 04/01/2023		10,000		3,200
Paragon Offshore PLC Company Guar. Notes 6.75% due 07/15/2022*		5,000		650
Paragon Offshore PLC Company Guar. Notes 7.25% due 08/15/2024*		25,000		3,250
				22,999
Oil Companies-Exploration & Production — 0.0%
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		6,000		4,740
Lightstream Resources, Ltd. Senior Notes 8.63% due 02/01/2020*		13,000		2,860
Lone Pine Resources Canada, Ltd. Escrow Notes 10.38% due 02/15/2017†(2)		10,000		0
Seven Generations Energy, Ltd. Senior Notes 6.75% due 05/01/2023*		10,000		8,600
Seven Generations Energy, Ltd. Senior Notes 8.25% due 05/15/2020*		14,000		13,160
				29,360

157

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated — 0.1%
Petrobras Global Finance BV Company Guar. Notes 3.88% due 01/27/2016	$	20,000	$	19,650
Petrobras Global Finance BV Company Guar. Notes 5.38% due 01/27/2021		50,000		36,375
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		15,000		9,788
Statoil ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		33,047
				98,860
Oil-Field Services — 0.0%
Weatherford International, Ltd. Company Guar. Notes 6.50% due 08/01/2036		9,000		6,841
Weatherford International, Ltd. Company Guar. Notes 9.88% due 03/01/2039		10,000		9,992
				16,833
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025		10,000		12,175
Retail-Restaurants — 0.0%
1011778 B.C. ULC/New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022*		5,000		4,888
1011778 B.C. ULC/New Red Finance, Inc. Sec. Notes 6.00% due 04/01/2022*		30,000		30,450
				35,338
Satellite Telecom — 0.1%
Intelsat Jackson Holdings SA Company Guar. Notes 6.63% due 12/15/2022		6,000		4,680
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		17,000		15,683
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		31,000		20,460
Intelsat Luxembourg SA Company Guar. Notes 8.13% due 06/01/2023		13,000		8,450
SES SA Company Guar. Notes 5.30% due 04/04/2043*		5,000		4,991
				54,264

Security Description	Principal Amount(19)		Value (Note 2)
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*(3)	$	12,000	$	10,950
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		8,100
ArcelorMittal Senior Notes 7.75% due 10/15/2039		6,000		4,890
ArcelorMittal Senior Notes 10.60% due 06/01/2019		18,000		19,440
				32,430
Telephone-Integrated — 0.1%
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030		5,000		6,590
Telefonica Emisiones SAU Company Guar. Notes 5.46% due 02/16/2021		35,000		39,108
				45,698
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		25,000		24,625
Total Foreign Corporate Bonds & Notes (cost $1,168,534)				1,069,219
LOANS(9)(10)(14) — 0.1%
Building & Construction Products-Misc. — 0.0%
CPG International, Inc. FRS BTL 4.75% due 09/30/2020		19,898		19,667
Casino Hotels — 0.1%
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 7.01% due 03/01/2017(11)(13)		66,093		61,502
Caesars Entertainment Operating Co., Inc. FRS BTL 11.50% due 03/01/2017(11)(13)		4,975		4,493
				65,995
Electric-Integrated — 0.0%
TXU Energy FRS 4.68% due 10/10/2017(3)(11)(13)(15)		71,120		27,381
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.25% due 07/03/2021		9,937		9,409
Telecommunication Equipment — 0.0%
Avaya, Inc. FRS BTL 6.25% due 04/30/2020		14,911		11,519
Total Loans (cost $181,551)				133,971

158

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049	$	25,000	$	34,215
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		17,009
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		42,033
Total Municipal Bonds & Notes (cost $70,195)				93,257
U.S. GOVERNMENT AGENCIES — 1.9%
Federal Home Loan Mtg. Corp. — 0.1%
5.50% due 04/01/2020		11,869		12,212
5.50% due 06/01/2035		6,749		7,533
7.50% due 10/01/2029		7,165		8,654
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 16.42% due 06/15/2034(5)(17)		23,035		31,382
Series 3065, Class DC 19.24% due 03/15/2035(5)(17)		36,514		52,230
Series 3072, Class SM 23.04% due 11/15/2035(5)(17)		22,894		35,675
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series T-56, Class 2IO 0.00% due 05/25/2043(5)(7)(8)		102,913		0
Series T-56, Class AIO 0.52% due 05/25/2043(5)(7)		174,538		4,454
				152,140
Federal National Mtg. Assoc. — 1.8%
3.50% due October TBA		1,000,000		1,042,524
4.00% due 05/01/2019		81,415		85,192
4.00% due 09/01/2020		9,534		9,977
4.00% due October TBA		1,000,000		1,065,743
4.50% due 04/01/2018		1,798		1,863
4.50% due 03/01/2020		5,226		5,454
4.50% due 04/01/2020		9,217		9,585
4.50% due 09/01/2020		6,334		6,570
4.50% due 11/01/2020		3,909		4,079
5.00% due 03/01/2021		2,471		2,569
5.50% due 03/01/2018		2,632		2,740
6.00% due 06/01/2036		2,853		3,242
6.50% due 01/01/2036		413		472
6.50% due 06/01/2036		19,783		22,600
6.50% due 07/01/2036		7,494		8,653
6.50% due 09/01/2036		24,827		28,361
6.50% due 11/01/2036		22,309		25,485
7.00% due 06/01/2033		6,365		7,577
7.00% due 04/01/2035		9,910		12,135
7.50% due 04/01/2024		8,893		9,993

Security Description	Shares/ Principal Amount(19)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 19.67% due 08/25/2035(5)(17)	$	13,813	$	19,512
Series 2005-122, Class SE 22.42% due 11/25/2035(5)(17)		16,793		25,806
Series 2006-8, Class HP 23.86% due 03/25/2036(5)(17)		25,148		39,905
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.40% due 10/25/2041(5)(7)		131,910		2,192
				2,442,229
Government National Mtg. Assoc. — 0.0%
6.50% due 08/20/2037		25,883		29,633
6.50% due 09/20/2037		6,544		7,707
				37,340
Total U.S. Government Agencies (cost $2,597,365)				2,631,709
U.S. GOVERNMENT TREASURIES — 1.8%
United States Treasury Bonds — 0.3%
2.75% due 08/15/2042		190,000		185,255
3.75% due 11/15/2043		230,000		270,795
				456,050
United States Treasury Notes — 1.5%
0.75% due 12/31/2017		220,000		220,092
0.75% due 03/31/2018		90,000		89,871
1.00% due 08/31/2016		170,000		170,949
1.13% due 12/31/2019		490,000		487,180
1.75% due 05/31/2016		500,000		504,993
2.00% due 11/30/2020		200,000		205,422
2.38% due 08/15/2024		160,000		164,792
2.75% due 11/15/2023		160,000		170,346
				2,013,645
Total U.S. Government Treasuries (cost $2,414,768)				2,469,695
EXCHANGE-TRADED FUNDS — 2.4%
iShares MSCI EAFE Index Fund		3,000		171,960
iShares Russell 2000 Value ETF		627		56,493
SPDR S&P 500 ETF Trust, Series 1		14,100		2,701,983
SPDR S&P MidCap 400 ETF Trust		1,500		373,335
Total Exchange-Traded Funds (cost $3,375,682)				3,303,771
EQUITY CERTIFICATES(3) — 0.8%
Aerospace/Defense-Equipment — 0.0%
UBS AG - Bharat Electronics, Ltd.†		2,261		41,125
Auto-Cars/Light Trucks — 0.1%
UBS AG - Tata Motors, Ltd.†		12,091		55,003
Banks-Commercial — 0.2%
UBS AG - Apollo Tyres, Ltd.†		1,087		2,980
UBS AG - Axis Bank, Ltd.†		7,521		56,791
UBS AG - Federal Bank, Ltd.†		33,077		32,225
UBS AG - HCL Technologies, Ltd.†		4,698		70,295
UBS AG - Yes Bank, Ltd.†		3,347		37,208
				199,499

159

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
EQUITY CERTIFICATES(3) (continued)
Beverages-Wine/Spirits — 0.0%
UBS AG - Wuliangye Yibin Co., Ltd.†(8)		13,340	$	50,642
Cellular Telecom — 0.1%
UBS AG - Idea Cellular, Ltd.†		23,586		53,719
Consulting Services — 0.1%
UBS AG - Infosys, Ltd.†		4,398		77,853
Diversified Banking Institutions — 0.0%
UBS AG - Qingdao Haier Co.,Ltd.†		20,691		29,488
Electric Products-Misc. — 0.0%
UBS AG - Gree Electric Appliances†		14,415		36,689
Finance-Mortgage Loan/Banker — 0.1%
UBS AG - Dewan Housing Finance Corp., Ltd.†		1,430		4,792
UBS AG - Housing Development Finance Corp., Ltd.†		3,580		66,140
				70,932
Motion Pictures & Services — 0.0%
UBS AG - Eros International Media, Ltd.†		5,953		47,577
Multimedia — 0.1%
UBS AG - Zee Entertainment Enterprise†		8,507		50,862
Oil Refining & Marketing — 0.0%
UBS AG - Bharat Petroleum Corp., Ltd.†		3,175		41,148
Pharmacy Services — 0.1%
UBS AG - Aurobindo Pharma, Ltd.†		7,299		85,533
Real Estate Operations & Development — 0.0%
UBS AG - China State Construction Engineering Corp., Ltd.†		34,286		31,173
Satellite Telecom — 0.0%
UBS AG - Dish TV India, Ltd.†		29,025		47,026
Telecom Services — 0.0%
UBS - Bharti Infratel, Ltd.†		7,925		42,885
Transport-Rail — 0.0%
UBS AG - Daqin Railway†		22		30
Transport-Services — 0.0%
UBS AG - Zhengzhou Yutong Bus Co.†		14,419		42,642
Travel Services — 0.0%
Merrill Lynch - Al Tayyar Travel Group†		1,568		31,862
Total Equity Certificates (cost $1,123,437)				1,035,688
Total Long-Term Investment Securities (cost $128,405,896)				127,994,737

Security Description	Principal Amount(19)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.4%
U.S. Government Treasuries — 0.4%
United States Treasury Bills 0.01% due 10/15/2015(18)	$	411,000		$	411,008
0.13% due 01/21/2016(18)		14,000			14,000
0.15% due 01/14/2016(18)		1,000			1,000
0.15% due 02/11/2016(18)		75,000			74,993
Total Short-Term Investment Securities (cost $500,950)					501,001
REPURCHASE AGREEMENTS — 7.1%
Agreement with Bank of America Securities LLC/Merrill Lynch, bearing interest at 0.10%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount $9,619,000 collateralized by $9,658,400 of United States Treasury Notes, bearing interest at 1.50% due 11/30/2019 and having an approximate value of $9,819,876 (cost $9,619,000)		9,619,000			9,619,000
TOTAL INVESTMENTS (cost $138,525,846)(16)		101.8	%		138,114,738
Liabilities in excess of other assets		(1.8	)		(2,491,061	)
NET ASSETS		100.0	%	$	135,623,677

†  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, 2015, the aggregate value of these securities was $3,930,112 representing 2.9% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security was valued using fair value procedures at September 30, 2015. The aggregate value of these securities was $19,981,647 representing 14.7% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(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, 2015, the aggregate value of these securities was $1,561,373 representing 1.2% of net assets.

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

(5)  Collateralized Mortgage Obligation

(6)  Commercial Mortgage Backed Security

(7)  Interest Only

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

160

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

(9)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. The rates shown are current rate at September 30, 2015. 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.

(10)  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.

(11)  Security in default of interest.

(12)  PIK ("Payment-in-Kind") security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.

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

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

(15)  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,

2015, 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	01/15/2014		736	$	15,667	$	17,786	$	24.17		0.01	%
Loans
TXU Energy	05/19/2011	$	25,308		24,831
4.68% due 10/10/2017	05/16/2011		44,884		42,263
	08/21/2014		928		1,233
			71,120		68,327		27,381		38.50		0.02
						$	45,167				0.03	%

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

(17)  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, 2015.

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

(19)  Denominated in United States Dollars unless otherwise indicated.

ADR — American Depositary Receipt

BATS — Better Alternative Trading System

BTL — Bank Term Loan

CAD — Canadian Dollar

CVA — Certification Van Aandelen (Dutch Cert.)

ETF — Exchange-Traded Fund

Euronext — Euro Stock Exchange, Amsterdam

GDR — Global Depositary Receipt

LiLAC — Liberty Latin America and Caribbean Group

NVDR — Non-Voting Depositary 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 for FRS and VRS are the current interest rates at September 30, 2015 and unless noted otherwise, the dates shown are the original maturity dates.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	29	Long	Euro Stoxx 50#	December 2015	$	1,026,456	$	1,002,787	$	(23,669	)
	36	Short	Russell 2000 Mini Index	December 2015		4,109,580		3,945,240		164,340
	14	Long	S&P 500 E-Mini Index	December 2015		1,312,185		1,336,090		23,905
	29	Short	S&P 500 E-Mini Index	December 2015		2,802,862		2,767,615		35,247
	6	Long	S&P MidCap 400 E-Mini Index	December 2015		839,419		817,740		(21,679	)
	9	Long	U.S. Treasury 2 YR Notes	December 2015		1,968,059		1,971,281		3,222
	43	Short	U.S. Treasury 2 YR Notes	December 2015		9,403,683		9,418,344		(14,661	)
	12	Long	U.S. Treasury 5 YR Notes	December 2015		1,435,313		1,446,188		10,875
	53	Short	U.S. Treasury 5 YR Notes	December 2015		6,340,079		6,387,328		(47,249	)
	69	Short	U.S. Treasury 10 YR Notes	December 2015		8,804,166		8,882,672		(78,506	)
	66	Long	U.S. Treasury 10 YR Notes	December 2015		8,388,365		8,496,469		108,104
									$	159,929

#  Foreign equity futures contracts valued using fair value procedures at September 30, 2015. The aggregate depreciation of these futures contracts was $23,669 representing 0.02% of net assets. Foreign equity futures contracts are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity futures contracts.

161

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (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.	$	6,885	12/17/15	(3 Month USD LIBOR-BBA minus 42 bps)	Citibank U.S. Equity Custom Basket	$	(215,601	)
Citibank N.A.		5,820	12/17/15	3 Month USD LIBOR-BBA plus 15 bps	Russell 1000 Index Total Return		222,209
Citibank N.A.		320	12/17/15	3 Month USD LIBOR-BBA plus 15 bps	Russell 1000 Index Total Return		12,219
Goldman Sachs International		29	12/15/20	(1 Month USD LIBOR minus 100 bps)	Engro Corp, Ltd.		(263	)
Net Unrealized Appreciation (Depreciation)						$	18,564

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.

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	3,350,399	12/16/2015	$	42,044	$	—
Barclays Bank PLC	USD	90,108	HKD	698,700	11/18/2015		44		—
	USD	438,197	JPY	52,453,900	11/18/2015		—		(706	)
	USD	26,388	CHF	25,600	12/16/2015		—		(49	)
							44		(755	)
Citibank N.A.	CAD	18,200	USD	14,482	10/21/2015		846		—
	DKK	1,299,400	USD	193,978	12/16/2015		—		(974	)
							846		(974	)
Credit Suisse AG	CNH	1,465,100	USD	225,227	11/18/2015		—		(3,731	)
	USD	532,704	AUD	699,100	10/21/2015		—		(42,517	)
	USD	614,628	JPY	76,185,000	11/18/2015		20,792		—
	USD	582,119	CHF	564,900	12/16/2015		—		(913	)
	USD	675,602	EUR	596,400	12/16/2015		—		(8,337	)
	USD	987,865	GBP	645,400	12/16/2015		—		(11,840	)
							20,792		(67,338	)
Deutsche Bank AG	USD	1,206,018	EUR	1,064,700	12/16/2015		—		(14,808	)
Goldman Sachs International	JPY	50,584,900	USD	408,092	11/18/2015		—		(13,810	)
HSBC Bank USA, N.A.	USD	559,119	JPY	69,293,900	11/18/2015		18,825		—
	USD	536,329	GBP	350,400	12/16/2015		—		(6,427	)
							18,825		(6,427	)
JPMorgan Chase Bank	CHF	180,800	USD	186,463	12/16/2015		444		—
	GBP	898,400	USD	1,375,405	12/16/2015		16,774		—
	JPY	80,387,800	USD	648,501	11/18/2015		—		(21,972	)
	NOK	450,600	USD	54,638	12/16/2015		1,771		—
	SGD	271,600	USD	196,609	11/18/2015		6,052		—
	USD	347,817	SGD	490,200	11/18/2015		—		(3,889	)
	USD	709,199	EUR	626,100	12/16/2015		—		(8,705	)
	USD	188,474	SEK	1,581,500	12/16/2015		814		—
							25,855		(34,566	)
State Street Bank and Trust Co.	AUD	155,800	USD	118,725	10/21/2015		9,483		—
	USD	11,652	ILS	43,900	10/21/2015		—		(459	)
							9,483		(459	)

162

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
UBS AG	AUD	139,100	USD	105,935	10/21/2015	$	8,402	$	—
	USD	388,673	AUD	531,800	10/21/2015		—		(15,791	)
	USD	1,206,177	EUR	1,064,700	12/16/2015		—		(14,968	)
	USD	536,467	GBP	350,500	12/16/2015		—		(6,413	)
							8,402		(37,172	)
Westpac Banking Corp.	JPY	4,202,700	USD	33,902	11/18/2015		—		(1,150	)
Net Unrealized Appreciation(Depreciation)						$	126,291	$	(177,459	)

AUD — Austrialian Dollar
CAD — Canadian dollar
CHF — Swiss Franc
CNH — Yuan Renminbi
DKK — Danish Krone
EUR — Euro Dollar
GBP — Pound Sterling
HKD — Hong Kong Dollar
ILS — New Israeli Sheqel
JPY — Japanese Yen
NOK — Norwegian Krone
SEK — Swedish Krona
SGD — Singapore Dollar
USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Advertising Agencies	$	—	$	36,797	$	—	$	36,797
Advertising Services		—		67,159		0		67,159
Aerospace/Defense		2,437,477		115,046		—		2,552,523
Aerospace/Defense-Equipment		112,899		51,615		—		164,514
Agricultural Chemicals		—		69,944		—		69,944
Airlines		1,191,500		301,455		—		1,492,955
Airport Development/Maintenance		—		38,251		—		38,251
Apparel Manufacturers		477,190		18,469		—		495,659
Audio/Video Products		7,275		186,759		—		194,034
Auto-Cars/Light Trucks		—		380,880		—		380,880
Auto/Truck Parts & Equipment-Original		974,217		125,181		—		1,099,398
Banks-Commercial		1,328,914		1,271,234		17,786		2,617,934
Beverages-Non-alcoholic		1,878,136		115,604		—		1,993,740
Brewery		50,544		48,534		—		99,078
Building & Construction Products-Misc.		72,135		46,177		—		118,312
Building Products-Cement		87,636		6,084		—		93,720
Building-Heavy Construction		581,484		159,235		—		740,719
Building-Residential/Commercial		—		120,795		—		120,795
Cable/Satellite TV		8,184		223,458		—		231,642
Casino Hotels		—		23,535		—		23,535
Casino Services		—		38,533		—		38,533
Cellular Telecom		—		309,502		—		309,502
Chemicals-Diversified		822,120		425,879		—		1,247,999
Chemicals-Plastics		—		63,081		—		63,081
Circuit Boards		—		51,874		—		51,874
Computer Services		1,456,267		22,502		—		1,478,769
Computer Software		161,129		15,809		—		176,938
Computers		3,576,146		15,284		—		3,591,430
Computers-Integrated Systems		41,875		63,138		—		105,013
Computers-Memory Devices		649,248		17,064		—		666,312
Containers-Paper/Plastic		518,721		73,345		—		592,066
Cosmetics & Toiletries		217,787		396,668		—		614,455
Distribution/Wholesale		39,021		30,595		—		69,616
Diversified Banking Institutions		4,625,903		952,040		—		5,577,943
Diversified Financial Services		52,375		45,913		—		98,288
Diversified Manufacturing Operations		432,953		84,519		—		517,472

163

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Diversified Minerals	$	—	$	85,576	$	—	$	85,576
Diversified Operations		—		78,342		—		78,342
E-Commerce/Products		1,626,182		14,107		—		1,640,289
Electric-Generation		39,110		129,902		—		169,012
Electric-Integrated		1,948,291		447,056		—		2,395,347
Electronic Components-Misc.		189,622		269,988		—		459,610
Electronic Components-Semiconductors		434,101		323,956		—		758,057
Electronic Measurement Instruments		405,094		43,773		—		448,867
Electronic Security Devices		14,856		21,516		—		36,372
Electronics-Military		627,120		48,818		—		675,938
Energy-Alternate Sources		65,256		178,548		—		243,804
Entertainment Software		66,281		93,553		—		159,834
Explosives		—		14,024		—		14,024
Female Health Care Products		—		2,695		—		2,695
Finance-Investment Banker/Broker		20,890		19,443		—		40,333
Finance-Leasing Companies		—		181,184		—		181,184
Finance-Other Services		48,739		94,230		—		142,969
Food-Catering		—		43,473		—		43,473
Food-Confectionery		—		35,952		—		35,952
Food-Meat Products		63,352		91,399		—		154,751
Food-Misc./Diversified		897,000		345,978		—		1,242,978
Food-Retail		483,338		360,467		—		843,805
Gambling (Non-Hotel)		—		14,636		—		14,636
Gas-Distribution		603,433		99,742		—		703,175
Hazardous Waste Disposal		—		40,254		—		40,254
Hotels/Motels		1,004,784		23,895		—		1,028,679
Human Resources		278,718		111,162		—		389,880
Import/Export		—		69,900		—		69,900
Insurance-Life/Health		1,115,107		377,545		—		1,492,652
Insurance-Multi-line		1,128,351		468,992		—		1,597,343
Insurance-Property/Casualty		324,520		15,618		—		340,138
Insurance-Reinsurance		269,079		251,895		—		520,974
Internet Application Software		—		158,339		—		158,339
Internet Connectivity Services		24,417		30,383		—		54,800
Internet Content-Entertainment		—		39,125		—		39,125
Internet Financial Services		—		65,599		—		65,599
Investment Companies		65,534		127,534		—		193,068
Investment Management/Advisor Services		—		38,777		—		38,777
Lighting Products & Systems		—		59,366		—		59,366
Machine Tools & Related Products		—		135,188		—		135,188
Machinery-Electrical		—		179,966		—		179,966
Marine Services		—		11,580		—		11,580
Medical Instruments		92,545		27,568		—		120,113
Medical Labs & Testing Services		—		30,587		—		30,587
Medical-Drugs		3,726,831		1,711,317		—		5,438,148
Medical-Hospitals		34,841		111,929		—		146,770
Medical-Wholesale Drug Distribution		1,695,215		254,762		—		1,949,977
Metal Processors & Fabrication		39,128		67,632		—		106,760
Metal-Diversified		—		76,285		—		76,285
Metal-Iron		—		34,547		—		34,547
Motorcycle/Motor Scooter		—		34,287		—		34,287
Multimedia		448,201		184,182		—		632,383
Non-Ferrous Metals		—		61,010		—		61,010
Non-Hazardous Waste Disposal		—		30,492		—		30,492
Oil Companies-Exploration & Production		1,445,611		98,451		848		1,544,910
Oil Companies-Integrated		67,491		1,025,388		—		1,092,879
Oil Refining & Marketing		1,604,078		37,484		—		1,641,562
Paper & Related Products		25,132		114,774		—		139,906
Petrochemicals		73,065		53,700		—		126,765
Printing-Commercial		105,912		220,145		—		326,057

164

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Private Equity	$	10,874	$	159,983	$	—	$	170,857
Publishing-Periodicals		—		56,577		—		56,577
Real Estate Investment Trusts		2,543,605		146,096		—		2,689,701
Real Estate Management/Services		1,219,261		47,280		—		1,266,541
Real Estate Operations & Development		—		405,723		—		405,723
Retail-Apparel/Shoe		218,362		156,723		—		375,085
Retail-Building Products		2,830,600		160,099		—		2,990,699
Retail-Discount		49,885		48,969		—		98,854
Retail-Drug Store		1,466,496		6,805		—		1,473,301
Retail-Hypermarkets		—		105,286		—		105,286
Retail-Major Department Stores		—		144,988		—		144,988
Retail-Misc./Diversified		48,020		50,076		—		98,096
Retail-Restaurants		160,942		47,746		—		208,688
Retail-Sporting Goods		15,817		21,236		—		37,053
Retail-Vision Service Center		—		27,806		—		27,806
Rubber-Tires		54,840		281,605		—		336,445
Rubber/Plastic Products		69,715		45,810		—		115,525
Satellite Telecom		70,176		15,435		—		85,611
Security Services		10,547		100,773		—		111,320
Semiconductor Components-Integrated Circuits		1,074,439		111,890		—		1,186,329
Shipbuilding		—		136,264		—		136,264
Soap & Cleaning Preparation		—		111,789		—		111,789
Steel-Producers		—		144,534		—		144,534
Storage/Warehousing		—		19,380		—		19,380
Telecom Services		83,398		65,380		—		148,778
Telecommunication Equipment		684,258		32,034		—		716,292
Telephone-Integrated		1,029,373		612,910		—		1,642,283
Television		228,840		267,684		—		496,524
Textile-Products		—		24,692		—		24,692
Tobacco		192,292		342,630		—		534,922
Toys		—		16,894		—		16,894
Transport-Marine		47,126		128,059		—		175,185
Transport-Rail		—		95,431		—		95,431
Transport-Services		1,125,381		220,267		—		1,345,648
Travel Services		—		89,618		—		89,618
Water		—		41,685		—		41,685
Water Treatment Systems		—		—		69,196		69,196
Wire & Cable Products		—		44,462		—		44,462
Other Industries		29,883,972		—		—		29,883,972
Convertible Preferred Stocks		22,049		—		—		22,049
Preferred Securities:
Finance-Auto Loans		—		17,054		—		17,054
Other Industries		88,829		—		—		88,829
Preferred Securities/Capital Securties		—		951,475		—		951,475
Asset Backed Securities		—		2,385,310		—		2,385,310
Convertible Bonds & Notes		—		31,445		—		31,445
U.S. Corporate Bonds & Notes		—		7,688,262		—		7,688,262
Foreign Corporate Bonds & Notes:
Oil Companies-Exploration & Production		—		29,360		0		29,360
Other Industries		—		1,039,859		—		1,039,859
Loans		—		133,971		—		133,971
Municipal Bonds & Notes		—		93,257		—		93,257
U.S. Government Agencies		—		2,631,709		—		2,631,709
U.S. Government Treasuries		—		2,469,695		—		2,469,695
Exchange-Traded Funds		3,303,771		—		—		3,303,771
Equity Certificates		—		1,035,688		—		1,035,688
Short-Term Investment Securities:
U.S. Government Treasuries		—		501,001		—		501,001
Repurchase Agreements		—		9,619,000		—		9,619,000
Total Investment at Value	$	89,435,229	$	48,591,679	$	87,830	$	138,114,738

165

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:+
Futures Contracts	$	345,693	$	—	$	—	$	345,693
Total Return Swaps		—		234,428		—		234,428
Forward Currency Contracts		—		126,291		—		126,291
Total Other Financial Instruments	$	345,693	$	360,719	$	—	$	706,412
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	162,095	$	23,669	$	—	$	185,764
Total Return Swaps		—		215,864		—		215,864
Forward Currency Contracts		—		177,459		—		177,459
Total Other Financial Instruments	$	162,095	$	416,992	$	—	$	579,087

*  For a detailed presentation of investments, 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

166

Seasons Series Trust Stock Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	8.8	%
E-Commerce/Products	7.7
Web Portals/ISP	6.0
Applications Software	5.8
Medical-Drugs	5.4
E-Commerce/Services	4.6
Medical-HMO	4.2
Internet Content-Entertainment	3.0
Diagnostic Equipment	2.8
Commercial Services-Finance	2.8
Finance-Credit Card	2.7
Computers	2.4
Airlines	2.1
Real Estate Investment Trusts	2.0
Retail-Restaurants	1.9
Retail-Drug Store	1.9
Machinery-General Industrial	1.8
Aerospace/Defense	1.7
Auto/Truck Parts & Equipment-Original	1.7
Multimedia	1.6
Retail-Building Products	1.6
Auto-Cars/Light Trucks	1.4
Casino Hotels	1.4
Medical-Wholesale Drug Distribution	1.4
Medical Instruments	1.3
Retail-Auto Parts	1.2
Athletic Footwear	1.1
Internet Application Software	1.1
Internet Content-Information/News	1.1
Diversified Banking Institutions	1.1
Registered Investment Companies	1.0
Retail-Gardening Products	1.0
Apparel Manufacturers	1.0
Hotels/Motels	0.9
Finance-Other Services	0.9
Transport-Rail	0.8
Data Processing/Management	0.7
Retail-Automobile	0.7
Retail-Apparel/Shoe	0.7
Cruise Lines	0.7
Banks-Fiduciary	0.7
Transport-Services	0.6
Oil Companies-Exploration & Production	0.6
Chemicals-Specialty	0.6
Internet Security	0.5
Finance-Investment Banker/Broker	0.5
Coffee	0.5
Computer Software	0.4
Cosmetics & Toiletries	0.4
Machinery-Pumps	0.4
Investment Management/Advisor Services	0.4
Building Products-Cement	0.3
Retail-Discount	0.3
Semiconductor Equipment	0.3
Networking Products	0.3
Coatings/Paint	0.2

Computer Services	0.1	%
Real Estate Management/Services	0.1
Transport-Truck	0.1
	99.3	%

*  Calculated as a percentage of net assets

167

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.4%
Aerospace/Defense — 1.7%
Boeing Co.		58,300	$	7,634,385
Airlines — 2.1%
American Airlines Group, Inc.		178,000		6,911,740
United Continental Holdings, Inc.†		48,700		2,583,535
				9,495,275
Apparel Manufacturers — 1.0%
Hanesbrands, Inc.		149,200		4,317,848
Applications Software — 5.8%
Dropbox, Inc., Class A†(1)(2)(3)		38,413		652,396
Microsoft Corp.		290,000		12,835,400
NetSuite, Inc.†		19,600		1,644,440
Red Hat, Inc.†		28,600		2,055,768
Salesforce.com, Inc.†		92,000		6,387,560
ServiceNow, Inc.†		36,500		2,534,925
				26,110,489
Athletic Footwear — 1.1%
NIKE, Inc., Class B		41,900		5,152,443
Auto-Cars/Light Trucks — 1.4%
Tesla Motors, Inc.†		25,450		6,321,780
Auto/Truck Parts & Equipment-Original — 1.7%
BorgWarner, Inc.		66,200		2,753,258
Delphi Automotive PLC		25,400		1,931,416
Mobileye NV†		61,800		2,810,664
				7,495,338
Banks-Fiduciary — 0.7%
State Street Corp.		44,300		2,977,403
Building Products-Cement — 0.3%
Martin Marietta Materials, Inc.		10,200		1,549,890
Casino Hotels — 1.4%
Las Vegas Sands Corp.		44,400		1,685,868
MGM Resorts International†		244,380		4,508,811
				6,194,679
Chemicals-Specialty — 0.6%
Ashland, Inc.		25,400		2,555,748
Coatings/Paint — 0.2%
Sherwin-Williams Co.		5,000		1,113,900
Coffee — 0.5%
Keurig Green Mountain, Inc.		39,400		2,054,316
Commercial Services-Finance — 2.8%
MasterCard, Inc., Class A		138,600		12,490,632
Computer Services — 0.1%
IHS, Inc., Class A†		5,100		591,600
Computer Software — 0.4%
Akamai Technologies, Inc.†		28,900		1,995,834
Computers — 2.4%
Apple, Inc.		99,200		10,941,760
Cosmetics & Toiletries — 0.4%
Estee Lauder Cos., Inc., Class A		24,400		1,968,592
Cruise Lines — 0.7%
Royal Caribbean Cruises, Ltd.		33,700		3,002,333
Data Processing/Management — 0.7%
Fiserv, Inc.†		38,400		3,325,824

Security Description	Shares		Value (Note 2)
Diagnostic Equipment — 2.8%
Danaher Corp.		148,500	$	12,653,685
Diversified Banking Institutions — 1.1%
Morgan Stanley		150,900		4,753,350
E-Commerce/Products — 7.4%
Alibaba Group Holding, Ltd. ADR†		58,700		3,461,539
Amazon.com, Inc.†		51,500		26,362,335
Flipkart Online Services, Ltd.†(1)(2)(3)		922		128,186
Vipshop Holdings, Ltd. ADR†		218,400		3,669,120
				33,621,180
E-Commerce/Services — 4.1%
Netflix, Inc.†		17,300		1,786,398
Priceline Group, Inc.†		13,400		16,573,924
				18,360,322
Finance-Credit Card — 2.7%
Visa, Inc., Class A		174,500		12,155,670
Finance-Investment Banker/Broker — 0.5%
TD Ameritrade Holding Corp.		67,800		2,158,752
Finance-Other Services — 0.9%
Intercontinental Exchange, Inc.		16,900		3,971,331
Hotels/Motels — 0.9%
Hilton Worldwide Holdings, Inc.		88,300		2,025,602
Marriott International, Inc., Class A		32,900		2,243,780
				4,269,382
Internet Application Software — 1.1%
Tencent Holdings, Ltd.(4)		297,600		5,012,938
Internet Content-Entertainment — 3.0%
Facebook, Inc., Class A†		136,800		12,298,320
Pandora Media, Inc.†		59,000		1,259,060
				13,557,380
Internet Content-Information/News — 1.1%
LinkedIn Corp., Class A†		26,100		4,962,393
Internet Security — 0.5%
VeriSign, Inc.†		34,600		2,441,376
Investment Management/Advisor Services — 0.4%
BlackRock, Inc.		5,700		1,695,579
Machinery-General Industrial — 1.8%
Roper Technologies, Inc.		28,300		4,434,610
Wabtec Corp.		42,100		3,706,905
				8,141,515
Machinery-Pumps — 0.4%
Flowserve Corp.		44,500		1,830,730
Medical Instruments — 1.3%
Intuitive Surgical, Inc.†		12,600		5,790,708
Medical-Biomedical/Gene — 8.8%
Alexion Pharmaceuticals, Inc.†		55,000		8,601,450
Biogen, Inc.†		12,800		3,735,168
BioMarin Pharmaceutical, Inc.†		21,800		2,295,976
Celgene Corp.†		67,300		7,279,841
Gilead Sciences, Inc.		67,300		6,608,187
Incyte Corp.†		34,400		3,795,352
Regeneron Pharmaceuticals, Inc.†		9,400		4,372,316
Vertex Pharmaceuticals, Inc.†		28,400		2,957,576
				39,645,866

168

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs — 5.4%
Allergan PLC†		39,917	$	10,849,840
Bristol-Myers Squibb Co.		73,700		4,363,040
Valeant Pharmaceuticals International, Inc.†		52,100		9,293,598
				24,506,478
Medical-HMO — 4.2%
Anthem, Inc.		41,400		5,796,000
Cigna Corp.		26,300		3,551,026
Humana, Inc.		23,500		4,206,500
UnitedHealth Group, Inc.		46,200		5,359,662
				18,913,188
Medical-Wholesale Drug Distribution — 1.4%
McKesson Corp.		33,400		6,180,002
Multimedia — 1.6%
Walt Disney Co.		71,900		7,348,180
Networking Products — 0.3%
Palo Alto Networks, Inc.†		6,900		1,186,800
Oil Companies-Exploration & Production — 0.6%
Concho Resources, Inc.†		8,000		786,400
EQT Corp.		12,300		796,671
Pioneer Natural Resources Co.		8,200		997,448
				2,580,519
Real Estate Investment Trusts — 2.0%
American Tower Corp.		66,100		5,815,478
Crown Castle International Corp.		41,000		3,233,670
				9,049,148
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Class A†(1)(2)(3)		1,490		49,005
Retail-Apparel/Shoe — 0.7%
Ross Stores, Inc.		62,600		3,034,222
Retail-Auto Parts — 1.2%
AutoZone, Inc.†		7,500		5,428,725
Retail-Automobile — 0.7%
CarMax, Inc.†		55,000		3,262,600
Retail-Building Products — 1.6%
Home Depot, Inc.		18,900		2,182,761
Lowe's Cos., Inc.		74,100		5,106,972
				7,289,733
Retail-Discount — 0.3%
Costco Wholesale Corp.		9,900		1,431,243
Retail-Drug Store — 1.9%
CVS Health Corp.		43,700		4,216,176
Walgreens Boots Alliance, Inc.		50,200		4,171,620
				8,387,796
Retail-Gardening Products — 1.0%
Tractor Supply Co.		52,500		4,426,800
Retail-Restaurants — 1.9%
Chipotle Mexican Grill, Inc.†		6,000		4,321,500
Starbucks Corp.		78,000		4,433,520
				8,755,020

Security Description	Shares			Value (Note 2)
Semiconductor Equipment — 0.3%
ASML Holding NV		14,900		$	1,310,902
Transport-Rail — 0.8%
Canadian Pacific Railway, Ltd.		25,900			3,718,463
Transport-Services — 0.6%
FedEx Corp.		19,900			2,865,202
Transport-Truck — 0.1%
J.B. Hunt Transport Services, Inc.		6,600			471,240
Web Portals/ISP — 6.0%
Alphabet, Inc., Class A†		22,000			14,044,140
Alphabet, Inc., Class C†		21,366			12,999,502
					27,043,642
Total Common Stocks (cost $364,409,989)					439,551,134
CONVERTIBLE PREFERRED SECURITIES — 0.9%
E-Commerce/Products — 0.3%
Flipkart Online Services, Ltd., Series A†(1)(2)(3)		316			43,933
Flipkart Online Services, Ltd., Series C†(1)(2)(3)		556			77,301
Flipkart Online Services, Ltd., Series E†(1)(2)(3)		1,032			143,479
Flipkart Online Services, Ltd., Series G†(1)(2)(3)		4,576			636,201
Flipkart Online Services, Ltd., Series H†(1)(2)(3)		4,257			591,851
					1,492,765
E-Commerce/Services — 0.5%
Airbnb, Inc., Series D†(1)(2)(3)		13,329			1,240,855
Airbnb, Inc., Series E†(1)(2)(3)		8,841			823,048
Living Social, Inc. Series F†(1)(2)(3)		11,949			1,055
					2,064,958
Real Estate Management/Services — 0.1%
WeWork Cos., Inc.†(1)(2)(3) Series E		13,398			440,654
Total Convertible Preferred Securities (cost $3,268,846)					3,998,377
Total Long-Term Investment Securities (cost $367,678,835)					443,549,511
SHORT-TERM INVESTMENT SECURITIES — 1.0%
Registered Investment Companies — 1.0%
T. Rowe Price Reserve Investment Fund 0.01%(5) (cost $4,762,079)		4,762,079			4,762,079
TOTAL INVESTMENTS (cost $372,440,914)(6)		99.3	%		448,311,590
Other assets less liabilities		0.7			3,084,671
NET ASSETS		100.0	%	$	451,396,261

†  Non-income producing security

169

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

(1)  Illiquid security. At September 30, 2015, the aggregate value of these securities was $4,827,964 representing 1.1% of net assets.

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2015, the Stock Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Dropbox, Inc., Class A	11/7/2014		38,413	$	733,734	$	652,396	$	16.98		0.14	%
Flipkart Online Services, Ltd.	03/19/2015		922		105,108		128,186		139.03		0.03
WeWork Cos., Inc., Class A	06/23/2015		1,490		49,006		49,005		32.89		0.01
Convertible Preferred Securities
Airbnb, Inc. Series D	04/16/2014		13,329		542,664		1,240,855		93.09		0.28
Airbnb, Inc. Series E	07/14/2015		8,841		823,048		823,048		93.09		0.18
Flipkart Online Services, Ltd. Series A	03/19/2015		316		36,022		43,933		139.03		0.01
Flipkart Online Services, Ltd. Series C	03/19/2015		556		63,384		77,301		139.03		0.02
Flipkart Online Services, Ltd. Series E	03/19/2015		1,032		117,647		143,479		139.03		0.03
Flipkart Online Services, Ltd. Series G	12/17/2014		4,576		548,022		636,201		139.03		0.14
Flipkart Online Services, Ltd. Series H	04/17/2015		4,257		605,516		591,851		139.03		0.13
Living Social, Inc. Series F	11/18/2011		11,949		91,888		1,055		0.09		0.00
WeWork Cos., Inc. Series E	06/23/2015		13,398		440,655		440,654		32.89		0.10
						$	4,827,964				1.07	%

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

(4)  Security was valued using fair value procedures at September 30, 2015. The aggregate value of these securities was $5,012,938 representing 1.1% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(5)  The rate shown is the 7-day yield as of September 30, 2015.

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

ADR — American Depositary Receipt

170

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Applications Software	$	25,458,093	$	—	$	652,396	$	26,110,489
E-Commerce/Products		33,492,994		—		128,186		33,621,180
Internet Application Software		—		5,012,938		—		5,012,938
Real Estate Management/Services		—		—		49,005		49,005
Other Industries		374,757,522		—		—		374,757,522
Convertible Preferred Securities		—		—		3,998,377		3,998,377
Short-Term Investment Securities		4,762,079		—		—		4,762,079
Total Investment at Value	$	438,470,688	$	5,012,938	$	4,827,964	$	448,311,590

*  For a detailed presentation of investments, 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.

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

	Common Stocks			Convertible Preferred Securities
Balance as of March 31, 2015	$	837,593		$	1,403,323
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			—
Realized Loss		—			—
Change in unrealized appreciation(1)		23,288			741,553
Change in unrealized depreciation(1)		(80,299	)		(15,717	)
Net purchases		49,005			1,869,218
Net sales		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2015	$	829,587		$	3,998,377

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2015 includes:

Common Stocks			Convertible Preferred Securities
$	(57,011	)	$	725,836

Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2015.

171

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

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

Description	Value at 09/30/15	Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stock	$652,396	Market Approach with	Transaction Price*	$19.1012
		Option Pricing Method ("OPM")	Enterprise Value/Revenue Multiple*	6.56x - 12.8x (9.68x)
		and Income Approach	Discount for Lack of Marketability	10% - 15% (12.5%)
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	3.0%
			OPM assumptions:
			Volatility*	35.0%
			Term to liquidity event in years	1.0
			Risk-free rate	0.33%
	$49,005	Market Approach	Transaction Price*	$32.8896
	$128,186	Market Approach and	Transaction Price*	$142.2400
		Income Approach	Enterprise Value/Revenue Multiple*	4.8x
			Discount for Lack of Marketability	15.0%
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	4.0%
Convertible Preferred Securities	$2,504,557	Market Approach	Transaction Price*	$32.88957 - $93.044 ($72.99252)
	$1,492,765	Market Approach and	Transaction Price*	$142.2400
		Income Approach	Enterprise Value/Revenue Multiple*	4.8x
			Discount for Lack of Marketability	15.0%
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	4.0%
	$1,055	Cost Approach	Net Tangible Assets*	$0.0883

(1)  The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have a inverse relationship.

See Notes to Financial Statements

172

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Computers	6.3	%
Medical-Biomedical/Gene	5.8
Medical-Drugs	5.6
Web Portals/ISP	4.6
Real Estate Investment Trusts	3.8
Applications Software	3.0
Retail-Restaurants	2.9
Internet Content-Entertainment	2.6
Commercial Services-Finance	2.6
E-Commerce/Products	2.4
Retail-Building Products	2.1
E-Commerce/Services	1.9
Finance-Credit Card	1.7
Cable/Satellite TV	1.7
Electronic Components-Semiconductors	1.7
Cosmetics & Toiletries	1.6
Enterprise Software/Service	1.6
Beverages-Non-alcoholic	1.6
Multimedia	1.5
Athletic Footwear	1.5
Tobacco	1.4
Instruments-Controls	1.4
Transport-Rail	1.4
Retail-Discount	1.3
Diversified Manufacturing Operations	1.2
Retail-Apparel/Shoe	1.2
Registered Investment Companies	1.1
Medical Instruments	1.1
Retail-Auto Parts	1.0
Retail-Drug Store	0.9
Semiconductor Components-Integrated Circuits	0.9
Computers-Memory Devices	0.9
Food-Retail	0.9
Exchange-Traded Funds	0.8
Medical Products	0.8
Food-Misc./Diversified	0.8
Aerospace/Defense	0.8
Medical Information Systems	0.7
Computer Services	0.7
Oil Companies-Exploration & Production	0.7
Airlines	0.7
Repurchase Agreements	0.7
Finance-Other Services	0.6
Medical-Wholesale Drug Distribution	0.6
Chemicals-Diversified	0.6
Coatings/Paint	0.6
Internet Content-Information/News	0.6
Pharmacy Services	0.6
Medical-HMO	0.6
Beverages-Wine/Spirits	0.6
Oil-Field Services	0.6
Industrial Gases	0.5
Banks-Commercial	0.5
Investment Management/Advisor Services	0.5
Diagnostic Equipment	0.5
Retail-Gardening Products	0.5
Banks-Super Regional	0.5
Apparel Manufacturers	0.5
Retail-Major Department Stores	0.5
Food-Confectionery	0.4

Auto/Truck Parts & Equipment-Original	0.4	%
Electronic Components-Misc.	0.4
Hotels/Motels	0.4
Distribution/Wholesale	0.4
Real Estate Management/Services	0.4
Electronic Connectors	0.4
Chemicals-Specialty	0.4
Finance-Investment Banker/Broker	0.4
Cellular Telecom	0.4
Medical-Hospitals	0.4
Electronic Measurement Instruments	0.4
Medical-Generic Drugs	0.3
Containers-Metal/Glass	0.3
Pipelines	0.3
Networking Products	0.3
Building & Construction Products-Misc.	0.3
Cruise Lines	0.3
Electronic Forms	0.3
Food-Wholesale/Distribution	0.3
Finance-Consumer Loans	0.3
Wireless Equipment	0.3
Insurance Brokers	0.3
Transport-Services	0.3
Machinery-General Industrial	0.3
Electronic Design Automation	0.2
Recreational Vehicles	0.2
Metal Processors & Fabrication	0.2
Aerospace/Defense-Equipment	0.2
Electric-Integrated	0.2
Instruments-Scientific	0.2
Computer Aided Design	0.2
Retail-Catalog Shopping	0.2
Advertising Services	0.2
Telecommunication Equipment	0.2
Data Processing/Management	0.2
Toys	0.2
Entertainment Software	0.1
Financial Guarantee Insurance	0.1
Agricultural Chemicals	0.1
Consumer Products-Misc.	0.1
Oil Refining & Marketing	0.1
Semiconductor Equipment	0.1
Building-Residential/Commercial	0.1
Gas-Distribution	0.1
Building Products-Cement	0.1
Retail-Jewelry	0.1
Broadcast Services/Program	0.1
Internet Security	0.1
Vitamins & Nutrition Products	0.1
Disposable Medical Products	0.1
Brewery	0.1
Telecom Services	0.1
Computer Software	0.1
Dialysis Centers	0.1
	100.2	%

*  Calculated as a percentage of net assets

173

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.3%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc.		3,138	$	60,030
Omnicom Group, Inc.		1,971		129,889
				189,919
Advertising Services — 0.2%
Nielsen Holdings PLC		18,586		826,519
Aerospace/Defense — 0.8%
Boeing Co.		15,398		2,016,368
General Dynamics Corp.		3,171		437,439
Lockheed Martin Corp.		2,750		570,103
Northrop Grumman Corp.		1,345		223,203
Rockwell Collins, Inc.		1,295		105,983
				3,353,096
Aerospace/Defense-Equipment — 0.2%
United Technologies Corp.		10,769		958,333
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		1,964		88,184
Monsanto Co.		4,818		411,168
				499,352
Airlines — 0.7%
American Airlines Group, Inc.		7,442		288,973
Delta Air Lines, Inc.		12,410		556,837
Southwest Airlines Co.		10,288		391,355
United Continental Holdings, Inc.†		33,581		1,781,472
				3,018,637
Apparel Manufacturers — 0.5%
Carter's, Inc.		10,769		976,102
Hanesbrands, Inc.		6,280		181,743
Michael Kors Holdings, Ltd.†		3,018		127,481
Ralph Lauren Corp.		513		60,616
Under Armour, Inc., Class A†		2,808		271,758
VF Corp.		5,313		362,400
				1,980,100
Applications Software — 3.0%
Citrix Systems, Inc.†		2,507		173,685
Intuit, Inc.		24,972		2,216,265
Microsoft Corp.		171,585		7,594,352
NetSuite, Inc.†		7,582		636,130
Red Hat, Inc.†		2,863		205,793
Salesforce.com, Inc.†		6,582		456,988
ServiceNow, Inc.†		28,352		1,969,046
				13,252,259
Athletic Footwear — 1.4%
NIKE, Inc., Class B		51,530		6,336,644
Audio/Video Products — 0.0%
Harman International Industries, Inc.		1,110		106,549
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		2,935		153,119
Auto/Truck Parts & Equipment-Original — 0.4%
Delphi Automotive PLC		25,526		1,940,997

Security Description	Shares		Value (Note 2)
Banks-Commercial — 0.5%
First Republic Bank		25,081	$	1,574,334
PacWest Bancorp		12,529		536,367
Regions Financial Corp.		9,302		83,811
				2,194,512
Banks-Fiduciary — 0.0%
Northern Trust Corp.		1,673		114,032
Banks-Super Regional — 0.5%
US Bancorp		12,397		508,401
Wells Fargo & Co.		29,154		1,497,058
				2,005,459
Beverages-Non-alcoholic — 1.6%
Coca-Cola Co.		122,577		4,917,789
Coca-Cola Enterprises, Inc.		1,710		82,678
Dr Pepper Snapple Group, Inc.		2,978		235,411
Monster Beverage Corp.†		2,373		320,687
PepsiCo, Inc.		13,752		1,296,814
				6,853,379
Beverages-Wine/Spirits — 0.6%
Brown-Forman Corp., Class B		21,529		2,086,160
Constellation Brands, Inc., Class A		2,683		335,939
				2,422,099
Brewery — 0.1%
Molson Coors Brewing Co., Class B		2,466		204,727
Broadcast Services/Program — 0.1%
Discovery Communications, Inc., Class A†		2,329		60,624
Discovery Communications, Inc., Class C†		4,023		97,719
Scripps Networks Interactive, Inc., Class A		1,470		72,309
				230,652
Building & Construction Products-Misc. — 0.3%
Fortune Brands Home & Security, Inc.		27,830		1,321,090
Building Products-Cement — 0.1%
Martin Marietta Materials, Inc.		1,045		158,788
Vulcan Materials Co.		1,247		111,232
				270,020
Building Products-Wood — 0.0%
Masco Corp.		2,415		60,810
Building-Residential/Commercial — 0.1%
D.R. Horton, Inc.		5,093		149,530
Lennar Corp., Class A		2,714		130,625
PulteGroup, Inc.		2,655		50,100
				330,255
Cable/Satellite TV — 1.7%
Comcast Corp., Class A		105,604		6,006,756
Comcast Corp., Special Class A		3,849		220,317
Time Warner Cable, Inc.		7,323		1,313,526
				7,540,599

174

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Casino Hotels — 0.0%
Wynn Resorts, Ltd.		1,267	$	67,303
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		40,673		1,619,192
Chemicals-Diversified — 0.6%
E.I. du Pont de Nemours & Co.		7,059		340,244
LyondellBasell Industries NV, Class A		11,130		927,797
PPG Industries, Inc.		16,068		1,409,003
				2,677,044
Chemicals-Specialty — 0.4%
Ashland, Inc.		9,373		943,111
Ecolab, Inc.		4,144		454,680
International Flavors & Fragrances, Inc.		717		74,037
Sigma-Aldrich Corp.		1,863		258,808
				1,730,636
Coatings/Paint — 0.6%
Axalta Coating Systems, Ltd.†		47,838		1,212,215
Sherwin-Williams Co.		6,208		1,383,018
				2,595,233
Coffee — 0.0%
Keurig Green Mountain, Inc.		1,875		97,763
Commercial Services — 0.0%
Cintas Corp.		1,393		119,450
Quanta Services, Inc.†		1,497		36,242
				155,692
Commercial Services-Finance — 2.6%
Automatic Data Processing, Inc.		7,268		584,056
Equifax, Inc.		1,291		125,459
FleetCor Technologies, Inc.†		10,138		1,395,192
H&R Block, Inc.		2,888		104,546
MasterCard, Inc., Class A		74,727		6,734,397
McGraw Hill Financial, Inc.		2,679		231,733
Moody's Corp.		2,719		267,006
PayPal Holdings, Inc.†		11,594		359,878
Sabre Corp.		47,271		1,284,826
Total System Services, Inc.		1,796		81,592
Western Union Co.		4,469		82,051
				11,250,736
Computer Aided Design — 0.2%
ANSYS, Inc.†		8,115		715,256
Autodesk, Inc.†		3,529		155,770
				871,026
Computer Services — 0.7%
Accenture PLC, Class A		5,551		545,441
Amdocs, Ltd.		27,446		1,561,129
Cognizant Technology Solutions Corp., Class A†		16,449		1,029,872
Teradata Corp.†		1,171		33,912
				3,170,354
Computer Software — 0.0%
Akamai Technologies, Inc.†		2,787		192,470

Security Description	Shares		Value (Note 2)
Computers — 6.3%
Apple, Inc.		251,858	$	27,779,937
Computers-Memory Devices — 0.9%
EMC Corp.		124,721		3,013,259
NetApp, Inc.		2,435		72,076
SanDisk Corp.		3,190		173,313
Seagate Technology PLC		4,713		211,142
Western Digital Corp.		3,595		285,587
				3,755,377
Consumer Products-Misc. — 0.1%
Clorox Co.		1,164		134,477
Kimberly-Clark Corp.		3,183		347,074
				481,551
Containers-Metal/Glass — 0.3%
Ball Corp.		1,487		92,492
Crown Holdings, Inc.†		28,235		1,291,751
				1,384,243
Containers-Paper/Plastic — 0.0%
Sealed Air Corp.		2,055		96,338
Cosmetics & Toiletries — 1.6%
Colgate-Palmolive Co.		61,375		3,894,857
Estee Lauder Cos., Inc., Class A		22,232		1,793,678
Procter & Gamble Co.		20,738		1,491,892
				7,180,427
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		20,138		1,153,907
Royal Caribbean Cruises, Ltd.		1,499		133,546
				1,287,453
Data Processing/Management — 0.2%
Dun & Bradstreet Corp.		361		37,905
Fidelity National Information Services, Inc.		2,768		185,677
Fiserv, Inc.†		3,660		316,993
Paychex, Inc.		3,210		152,892
				693,467
Dental Supplies & Equipment — 0.0%
DENTSPLY International, Inc.		1,352		68,370
Patterson Cos., Inc.		799		34,557
				102,927
Diagnostic Equipment — 0.5%
Danaher Corp.		24,672		2,102,301
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc.†		2,656		192,108
Disposable Medical Products — 0.1%
C.R. Bard, Inc.		1,158		215,747
Distribution/Wholesale — 0.4%
Fastenal Co.		2,852		104,412
Fossil Group, Inc.†		420		23,470
Genuine Parts Co.		1,372		113,725
WW Grainger, Inc.		7,350		1,580,323
				1,821,930

175

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Manufacturing Operations — 1.2%
3M Co.		6,531	$	925,900
A.O. Smith Corp.		12,650		824,654
Colfax Corp.†		26,195		783,492
Dover Corp.		18,137		1,037,074
Illinois Tool Works, Inc.		2,879		236,970
Ingersoll-Rand PLC		29,325		1,488,830
Textron, Inc.		1,941		73,059
				5,369,979
E-Commerce/Products — 2.4%
Amazon.com, Inc.†		19,878		10,175,350
eBay, Inc.†		17,487		427,382
				10,602,732
E-Commerce/Services — 1.9%
Expedia, Inc.		1,561		183,699
Netflix, Inc.†		28,220		2,913,997
Priceline Group, Inc.†		4,281		5,294,998
TripAdvisor, Inc.†		1,762		111,041
				8,503,735
Electric Products-Misc. — 0.0%
AMETEK, Inc.		2,267		118,609
Electric-Integrated — 0.2%
Dominion Resources, Inc.		4,358		306,716
Edison International		2,237		141,087
NextEra Energy, Inc.		3,663		357,326
WEC Energy Group, Inc.		2,413		126,007
				931,136
Electronic Components-Misc. — 0.4%
Corning, Inc.		8,225		140,812
Garmin, Ltd.		1,053		37,782
TE Connectivity, Ltd.		29,119		1,743,937
				1,922,531
Electronic Components-Semiconductors — 1.7%
Altera Corp.		2,407		120,543
Avago Technologies, Ltd.		11,454		1,431,865
Broadcom Corp., Class A		8,722		448,572
Freescale Semiconductor, Ltd.†		23,419		856,667
Intel Corp.		74,175		2,235,634
Microchip Technology, Inc.		2,042		87,990
Micron Technology, Inc.†		16,795		251,589
NVIDIA Corp.		7,989		196,929
Qorvo, Inc.†		2,333		105,102
Skyworks Solutions, Inc.		2,976		250,609
Texas Instruments, Inc.		26,535		1,314,013
Xilinx, Inc.		1,978		83,867
				7,383,380
Electronic Connectors — 0.4%
Amphenol Corp., Class A		34,943		1,780,695
Electronic Design Automation — 0.2%
Cadence Design Systems, Inc.†		51,026		1,055,218
Electronic Forms — 0.3%
Adobe Systems, Inc.†		15,193		1,249,168

Security Description	Shares		Value (Note 2)
Electronic Measurement Instruments — 0.4%
Agilent Technologies, Inc.		23,926	$	821,380
FLIR Systems, Inc.		1,028		28,774
National Instruments Corp.		24,813		689,553
				1,539,707
Electronic Security Devices — 0.0%
Allegion PLC		972		56,045
Tyco International PLC		3,223		107,842
				163,887
Enterprise Software/Service — 1.6%
Oracle Corp.		148,157		5,351,431
Tyler Technologies, Inc.†		3,062		457,187
Ultimate Software Group, Inc.†		5,912		1,058,307
				6,866,925
Entertainment Software — 0.1%
Activision Blizzard, Inc.		7,848		242,425
Electronic Arts, Inc.†		4,864		329,536
				571,961
Finance-Consumer Loans — 0.3%
Navient Corp.		5,836		65,597
SLM Corp.†		157,649		1,166,602
				1,232,199
Finance-Credit Card — 1.7%
Alliance Data Systems Corp.†		959		248,362
American Express Co.		33,467		2,480,909
Discover Financial Services		4,754		247,160
Visa, Inc., Class A		66,513		4,633,296
				7,609,727
Finance-Investment Banker/Broker — 0.4%
Charles Schwab Corp.		12,142		346,776
E*TRADE Financial Corp.†		33,436		880,370
LPL Financial Holdings, Inc.		12,655		503,289
				1,730,435
Finance-Other Services — 0.6%
Intercontinental Exchange, Inc.		11,861		2,787,216
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		55,347		512,513
Food-Confectionery — 0.4%
Hershey Co.		21,144		1,942,711
Food-Meat Products — 0.0%
Hormel Foods Corp.		1,199		75,909
Food-Misc./Diversified — 0.8%
Campbell Soup Co.		1,630		82,608
ConAgra Foods, Inc.		2,627		106,420
General Mills, Inc.		4,671		262,183
Hain Celestial Group, Inc.†		26,710		1,378,236
Kellogg Co.		1,946		129,506
Kraft Heinz Co.		4,636		327,209
McCormick & Co., Inc.		15,953		1,311,018
				3,597,180
Food-Retail — 0.9%
Kroger Co.		59,735		2,154,642
Whole Foods Market, Inc.		49,482		1,566,105
				3,720,747

176

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		31,784	$	1,238,622
Gas-Distribution — 0.1%
AGL Resources, Inc.		749		45,719
NiSource, Inc.		2,331		43,240
Sempra Energy		2,021		195,471
				284,430
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		1,324		184,446
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc.		2,758		109,520
Home Furnishings — 0.0%
Leggett & Platt, Inc.		2,135		88,069
Hotels/Motels — 0.4%
Hilton Worldwide Holdings, Inc.		60,363		1,384,727
Marriott International, Inc., Class A		3,111		212,170
Starwood Hotels & Resorts Worldwide, Inc.		1,489		98,989
Wyndham Worldwide Corp.		1,843		132,512
				1,828,398
Human Resources — 0.0%
Robert Half International, Inc.		2,099		107,385
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		1,067		108,268
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		15,775		2,012,575
Airgas, Inc.		566		50,561
Praxair, Inc.		2,369		241,306
				2,304,442
Instruments-Controls — 1.4%
Honeywell International, Inc.		48,472		4,589,814
Sensata Technologies Holding NV†		35,706		1,583,204
				6,173,018
Instruments-Scientific — 0.2%
PerkinElmer, Inc.		1,061		48,763
Thermo Fisher Scientific, Inc.		6,217		760,215
Waters Corp.†		834		98,587
				907,565
Insurance Brokers — 0.3%
Aon PLC		10,273		910,290
Marsh & McLennan Cos., Inc.		4,962		259,116
				1,169,406
Insurance-Multi-line — 0.0%
Allstate Corp.		2,561		149,153
Internet Content-Entertainment — 2.6%
Facebook, Inc., Class A†		125,668		11,297,553
Internet Content-Information/News — 0.6%
LinkedIn Corp., Class A†		13,419		2,551,354
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		1,108		128,306

Security Description	Shares		Value (Note 2)
Internet Security — 0.1%
Symantec Corp.		5,871	$	114,308
VeriSign, Inc.†		1,558		109,933
				224,241
Investment Management/Advisor Services — 0.5%
Affiliated Managers Group, Inc.†		534		91,309
Ameriprise Financial, Inc.		2,781		303,491
BlackRock, Inc.		4,137		1,230,633
Franklin Resources, Inc.		3,077		114,649
Invesco, Ltd.		3,813		119,080
Legg Mason, Inc.		1,712		71,236
T. Rowe Price Group, Inc.		2,678		186,121
				2,116,519
Machinery-General Industrial — 0.3%
Roper Technologies, Inc.		7,118		1,115,391
Medical Information Systems — 0.7%
athenahealth, Inc.†		7,594		1,012,660
Cerner Corp.†		37,468		2,246,581
				3,259,241
Medical Instruments — 1.1%
Boston Scientific Corp.†		90,593		1,486,631
Edwards Lifesciences Corp.†		1,678		238,562
Intuitive Surgical, Inc.†		2,731		1,255,113
Medtronic PLC		22,065		1,477,031
St. Jude Medical, Inc.		2,725		171,920
				4,629,257
Medical Products — 0.8%
Baxter International, Inc.		38,534		1,265,842
Becton Dickinson and Co.		3,281		435,257
Henry Schein, Inc.†		885		117,457
Stryker Corp.		17,157		1,614,474
Varian Medical Systems, Inc.†		1,063		78,428
Zimmer Biomet Holdings, Inc.		1,786		167,759
				3,679,217
Medical-Biomedical/Gene — 5.8%
Alder Biopharmaceuticals, Inc.†		23,616		773,660
Alexion Pharmaceuticals, Inc.†		12,448		1,946,743
Amgen, Inc.		32,893		4,549,760
Biogen, Inc.†		19,677		5,741,945
Celgene Corp.†		37,511		4,057,565
Gilead Sciences, Inc.		43,877		4,308,283
Regeneron Pharmaceuticals, Inc.†		4,181		1,944,750
Vertex Pharmaceuticals, Inc.†		19,602		2,041,352
				25,364,058
Medical-Drugs — 5.6%
Abbott Laboratories		67,869		2,729,691
AbbVie, Inc.		64,243		3,495,462
Allergan PLC†		15,846		4,307,101
Baxalta, Inc.		6,084		191,707
Bristol-Myers Squibb Co.		49,724		2,943,661
Eli Lilly & Co.		37,402		3,130,173
Endo International PLC†		18,304		1,268,101
Ironwood Pharmaceuticals, Inc.†		56,933		593,242
Johnson & Johnson		25,059		2,339,258

177

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs (continued)
Mallinckrodt PLC†		16,493	$	1,054,562
Merck & Co., Inc.		25,050		1,237,220
Shire PLC ADR		4,364		895,624
Zoetis, Inc.		7,162		294,931
				24,480,733
Medical-Generic Drugs — 0.3%
Mylan NV†		31,856		1,282,523
Perrigo Co. PLC		1,141		179,445
				1,461,968
Medical-HMO — 0.6%
Aetna, Inc.		12,579		1,376,269
Cigna Corp.		1,768		238,715
UnitedHealth Group, Inc.		7,290		845,713
				2,460,697
Medical-Hospitals — 0.4%
HCA Holdings, Inc.†		3,941		304,876
Tenet Healthcare Corp.†		777		28,687
Universal Health Services, Inc., Class B		9,916		1,237,616
				1,571,179
Medical-Wholesale Drug Distribution — 0.6%
AmerisourceBergen Corp.		3,205		304,443
McKesson Corp.		12,873		2,381,891
				2,686,334
Metal Processors & Fabrication — 0.2%
Precision Castparts Corp.		1,158		266,004
Rexnord Corp.†		44,253		751,416
				1,017,420
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		1,864		102,334
Multimedia — 1.5%
Time Warner, Inc.		12,725		874,844
Twenty-First Century Fox, Inc., Class A		10,858		292,949
Twenty-First Century Fox, Inc., Class B		3,835		103,813
Viacom, Inc., Class B		2,765		119,310
Walt Disney Co.		50,671		5,178,576
				6,569,492
Networking Products — 0.3%
Cisco Systems, Inc.		50,786		1,333,132
Non-Hazardous Waste Disposal — 0.0%
Waste Management, Inc.		3,281		163,427
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp.		31,291		1,889,664
Cabot Oil & Gas Corp.		6,456		141,128
Cimarex Energy Co.		752		77,065
EOG Resources, Inc.		8,568		623,750
EQT Corp.		1,569		101,624
Pioneer Natural Resources Co.		1,607		195,476
Range Resources Corp.		2,642		84,861
				3,113,568

Security Description	Shares		Value (Note 2)
Oil Field Machinery & Equipment — 0.0%
Cameron International Corp.†		1,315	$	80,636
FMC Technologies, Inc.†		2,435		75,485
				156,121
Oil Refining & Marketing — 0.1%
Phillips 66		5,481		421,160
Oil-Field Services — 0.6%
Baker Hughes, Inc.		8,636		449,417
Halliburton Co.		36,983		1,307,349
Schlumberger, Ltd.		9,280		640,042
				2,396,808
Pharmacy Services — 0.6%
Express Scripts Holding Co.†		30,624		2,479,319
Pipelines — 0.3%
Columbia Pipeline Group, Inc.		3,717		67,984
Kinder Morgan, Inc.		28,044		776,258
Spectra Energy Corp.		5,552		145,851
Williams Cos., Inc.		10,645		392,268
				1,382,361
Real Estate Investment Trusts — 3.8%
American Tower Corp.		70,074		6,165,111
Apartment Investment & Management Co., Class A		2,438		90,255
AvalonBay Communities, Inc.		2,074		362,577
Boston Properties, Inc.		2,396		283,686
Crown Castle International Corp.		5,208		410,755
Equinix, Inc.		14,881		4,068,465
Equity Residential		5,681		426,757
Essex Property Trust, Inc.		1,026		229,229
General Growth Properties, Inc.		9,120		236,846
HCP, Inc.		4,042		150,564
Host Hotels & Resorts, Inc.		11,719		185,277
Iron Mountain, Inc.		2,993		92,843
Kimco Realty Corp.		6,446		157,476
Lexington Realty Trust		41,490		336,069
Macerich Co.		2,100		161,322
Plum Creek Timber Co., Inc.		1,363		53,852
Public Storage		2,294		485,479
Realty Income Corp.		3,665		173,684
Simon Property Group, Inc.		8,775		1,612,143
SL Green Realty Corp.		979		105,889
Ventas, Inc.		5,188		290,839
Vornado Realty Trust		1,686		152,448
Welltower, Inc.		5,490		371,783
Weyerhaeuser Co.		5,696		155,729
				16,759,078
Real Estate Management/Services — 0.4%
CBRE Group, Inc., Class A†		33,011		1,056,352
Jones Lang LaSalle, Inc.		5,281		759,249
				1,815,601
Recreational Vehicles — 0.2%
Polaris Industries, Inc.		8,615		1,032,680
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		1,488		89,354

178

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 1.2%
Gap, Inc.		1,633	$	46,541
Kate Spade & Co.†		63,304		1,209,739
L Brands, Inc.		20,773		1,872,271
PVH Corp.		18,732		1,909,540
Ross Stores, Inc.		6,456		312,922
				5,351,013
Retail-Auto Parts — 1.0%
Advance Auto Parts, Inc.		15,771		2,989,078
AutoZone, Inc.†		1,493		1,080,678
O'Reilly Automotive, Inc.†		1,551		387,750
				4,457,506
Retail-Automobile — 0.0%
AutoNation, Inc.†		513		29,846
CarMax, Inc.†		1,623		96,277
				126,123
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.†		1,297		73,955
Retail-Building Products — 2.1%
Home Depot, Inc.		43,040		4,970,690
Lowe's Cos., Inc.		59,401		4,093,917
				9,064,607
Retail-Catalog Shopping — 0.2%
MSC Industrial Direct Co., Inc., Class A		14,236		868,823
Retail-Discount — 1.3%
Costco Wholesale Corp.		26,668		3,855,393
Dollar General Corp.		2,850		206,454
Dollar Tree, Inc.†		25,397		1,692,964
				5,754,811
Retail-Drug Store — 0.9%
CVS Health Corp.		17,389		1,677,691
Walgreens Boots Alliance, Inc.		29,126		2,420,370
				4,098,061
Retail-Gardening Products — 0.5%
Tractor Supply Co.		24,277		2,047,037
Retail-Jewelry — 0.1%
Signet Jewelers, Ltd.		1,242		169,073
Tiffany & Co.		1,208		93,282
				262,355
Retail-Major Department Stores — 0.5%
Nordstrom, Inc.		2,173		155,826
TJX Cos., Inc.		25,516		1,822,353
				1,978,179
Retail-Regional Department Stores — 0.0%
Macy's, Inc.		2,221		113,982
Retail-Restaurants — 2.9%
Chipotle Mexican Grill, Inc.†		3,359		2,419,320
Dunkin' Brands Group, Inc.		14,657		718,193
McDonald's Corp.		7,641		752,868
Starbucks Corp.		116,922		6,645,846
Yum! Brands, Inc.		29,082		2,325,106
				12,861,333

Security Description	Shares		Value (Note 2)
Semiconductor Components-Integrated Circuits — 0.9%
Analog Devices, Inc.		2,496	$	140,799
Atmel Corp.		86,896		701,251
Linear Technology Corp.		2,020		81,507
NXP Semiconductors NV†		19,561		1,703,176
QUALCOMM, Inc.		24,515		1,317,191
				3,943,924
Semiconductor Equipment — 0.1%
Applied Materials, Inc.		11,989		176,118
KLA-Tencor Corp.		1,106		55,300
Lam Research Corp.		2,468		161,235
				392,653
Telecom Services — 0.1%
Level 3 Communications, Inc.†		4,497		196,474
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		26,217		787,297
Telephone-Integrated — 0.0%
Frontier Communications Corp.		8,020		38,095
Television — 0.0%
CBS Corp., Class B		3,190		127,281
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		466		84,714
Tobacco — 1.4%
Altria Group, Inc.		58,213		3,166,787
Philip Morris International, Inc.		32,140		2,549,666
Reynolds American, Inc.		12,933		572,544
				6,288,997
Tools-Hand Held — 0.0%
Snap-on, Inc.		599		90,413
Toys — 0.2%
Hasbro, Inc.		859		61,968
Mattel, Inc.		29,918		630,073
				692,041
Transport-Rail — 1.4%
CSX Corp.		15,349		412,888
Kansas City Southern		26,411		2,400,232
Norfolk Southern Corp.		3,151		240,736
Union Pacific Corp.		32,460		2,869,789
				5,923,645
Transport-Services — 0.3%
C.H. Robinson Worldwide, Inc.		2,212		149,930
Expeditors International of Washington, Inc.		1,387		65,258
FedEx Corp.		2,254		324,531
United Parcel Service, Inc., Class B		6,212		613,062
				1,152,781
Transport-Truck — 0.0%
J.B. Hunt Transport Services, Inc.		1,433		102,316
Vitamins & Nutrition Products — 0.1%
Mead Johnson Nutrition Co.		3,163		222,675

179

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Web Portals/ISP — 4.6%
Alphabet, Inc., Class A†		10,913	$	6,966,532
Alphabet, Inc., Class C†		21,079		12,824,885
Yahoo!, Inc.†		13,513		390,661
				20,182,078
Wireless Equipment — 0.3%
Motorola Solutions, Inc.		17,556		1,200,479
Total Common Stocks (cost $370,092,662)				427,946,986
EXCHANGE-TRADED FUNDS — 0.9%
iShares S&P 500 Growth Index Fund (cost $4,063,820)		34,953		3,767,933
Total Long-Term Investment Securities (cost $374,156,482)				431,714,919
SHORT-TERM INVESTMENT SECURITIES — 1.1%
SSgA U.S. Government Money Market Fund 0.00%(1) (cost $4,988,564)		4,988,564		4,988,564

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.7%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $1,896,000 and collateralized by $1,900,000 of United States Treasury Notes, bearing interest at 2.00%, due 02/15/2022 and having an approximate value of $1,938,000	$	1,896,000		$	1,896,000
State Street Bank and Trust Co. Joint Repurchase Agreement(2)		1,050,000			1,050,000
Total Repurchase Agreements (cost $2,946,000)					2,946,000
TOTAL INVESTMENTS (cost $382,091,046)(3)		100.2	%		439,649,483
Liabilities in excess of other assets		(0.2	)		(1,095,146	)
NET ASSETS		100.0	%	$	438,554,337

†  Non-income producing security

(1)  The rate shown is the 7-day yield as of September 30, 2015.

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

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

ADR — American Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Growth Index	December 2015	$	1,100,417	$	1,083,400	$	(17,017	)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	427,946,986	$	—	$	—	$	427,946,986
Exchange-Traded Funds		3,767,933		—		—		3,767,933
Short-Term Investment Securities		4,988,564		—		—		4,988,564
Repurchase Agreements		—		2,946,000		—		2,946,000
Total Investments at Value	$	436,703,483	$	2,946,000	$	—	$	439,649,483
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	17,017	$	—	$	—	$	17,017

*  For a detailed presentation of investments, 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

180

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Diversified Banking Institutions	7.3	%
Medical-Drugs	6.6
Banks-Super Regional	4.9
Oil Companies-Integrated	4.8
Electric-Integrated	4.5
Diversified Manufacturing Operations	4.3
Oil Companies-Exploration & Production	3.8
Telephone-Integrated	3.4
Insurance-Multi-line	2.5
Semiconductor Components-Integrated Circuits	2.1
Food-Misc./Diversified	1.9
Networking Products	1.6
Beverages-Non-alcoholic	1.5
Retail-Discount	1.5
Aerospace/Defense-Equipment	1.5
Exchange-Traded Funds	1.4
Electronic Components-Semiconductors	1.3
Chemicals-Diversified	1.2
Multimedia	1.2
Banks-Fiduciary	1.1
Applications Software	1.1
Investment Management/Advisor Services	1.1
Medical-Biomedical/Gene	1.1
Computer Services	1.1
Insurance-Life/Health	1.1
Cruise Lines	1.0
Insurance-Reinsurance	1.0
Insurance Brokers	1.0
Aerospace/Defense	1.0
Registered Investment Companies	0.9
Tobacco	0.8
Repurchase Agreements	0.8
Gas-Distribution	0.8
Paper & Related Products	0.8
Real Estate Investment Trusts	0.8
Cable/Satellite TV	0.8
Oil-Field Services	0.8
Electronic Components-Misc.	0.8
Banks-Commercial	0.8
Auto-Cars/Light Trucks	0.8
Steel-Producers	0.7
Retail-Restaurants	0.7
Building & Construction Products-Misc.	0.7
Medical-HMO	0.7
Transport-Services	0.7
Retail-Apparel/Shoe	0.6
Retail-Regional Department Stores	0.6
Transport-Rail	0.6
Cosmetics & Toiletries	0.6
Medical Instruments	0.6
Finance-Other Services	0.6
Finance-Credit Card	0.5
Insurance-Property/Casualty	0.5
Building-Residential/Commercial	0.5
Agricultural Chemicals	0.5
Machinery-Construction & Mining	0.5
Auto/Truck Parts & Equipment-Original	0.5
Agricultural Operations	0.5
Television	0.5
Retail-Major Department Stores	0.5

Electric Products-Misc.	0.5	%
Internet Security	0.4
Beverages-Wine/Spirits	0.4
Oil Refining & Marketing	0.4
Retail-Jewelry	0.4
Hotels/Motels	0.4
Toys	0.4
Consumer Products-Misc.	0.4
Advertising Services	0.4
Instruments-Controls	0.4
Machinery-Farming	0.4
Building Products-Cement	0.3
Semiconductor Equipment	0.3
Enterprise Software/Service	0.3
Retail-Drug Store	0.3
Pipelines	0.3
Distribution/Wholesale	0.3
Medical Products	0.3
Retail-Office Supplies	0.3
Machinery-Pumps	0.2
Containers-Paper/Plastic	0.2
Commercial Services-Finance	0.2
Computers-Memory Devices	0.2
Gold Mining	0.2
Publishing-Newspapers	0.2
Medical-Wholesale Drug Distribution	0.2
Casino Hotels	0.2
Computers	0.2
Electronic Security Devices	0.2
Tools-Hand Held	0.2
Oil & Gas Drilling	0.1
Building Products-Wood	0.1
Food-Retail	0.1
Pharmacy Services	0.1
Industrial Gases	0.1
Oil Field Machinery & Equipment	0.1
Coal	0.1
Electric-Distribution	0.1
Diagnostic Equipment	0.1
Food-Wholesale/Distribution	0.1
Non-Hazardous Waste Disposal	0.1
Medical Labs & Testing Services	0.1
Engines-Internal Combustion	0.1
Airlines	0.1
Cellular Telecom	0.1
Food-Confectionery	0.1
Food-Meat Products	0.1
Finance-Investment Banker/Broker	0.1
Metal Processors & Fabrication	0.1
Data Processing/Management	0.1
Office Automation & Equipment	0.1
Electronic Measurement Instruments	0.1
Electronic Forms	0.1
Metal-Aluminum	0.1
Medical-Hospitals	0.1
	100.0	%

*  Calculated as a percentage of net assets

181

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.9%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc.		7,641	$	146,173
Omnicom Group, Inc.		4,257		280,536
				426,709
Advertising Services — 0.4%
Nielsen Holdings PLC		74,719		3,322,754
Aerospace/Defense — 1.0%
Boeing Co.		43,358		5,677,730
General Dynamics Corp.		3,655		504,207
Lockheed Martin Corp.		3,315		687,233
Northrop Grumman Corp.		3,694		613,020
Raytheon Co.		11,081		1,210,710
Rockwell Collins, Inc.		1,780		145,675
				8,838,575
Aerospace/Defense-Equipment — 1.5%
Harris Corp.		49,929		3,652,306
Triumph Group, Inc.		56,597		2,381,602
United Technologies Corp.		78,422		6,978,774
				13,012,682
Agricultural Chemicals — 0.5%
Agrium, Inc.		26,900		2,407,550
CF Industries Holdings, Inc.		3,913		175,694
Monsanto Co.		5,807		495,569
Mosaic Co.		12,308		382,902
Potash Corp. of Saskatchewan, Inc.		45,500		935,025
				4,396,740
Agricultural Operations — 0.5%
Archer-Daniels-Midland Co.		100,930		4,183,548
Airlines — 0.1%
American Airlines Group, Inc.		7,112		276,159
United Continental Holdings, Inc.†		7,033		373,101
				649,260
Apparel Manufacturers — 0.0%
Ralph Lauren Corp.		982		116,033
Appliances — 0.0%
Whirlpool Corp.		2,863		421,605
Applications Software — 1.1%
Microsoft Corp.		215,092		9,519,972
Salesforce.com, Inc.†		7,247		503,159
				10,023,131
Auto-Cars/Light Trucks — 0.8%
Ford Motor Co.		247,461		3,358,046
General Motors Co.		109,370		3,283,287
				6,641,333
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		6,090		317,715
Auto/Truck Parts & Equipment-Original — 0.5%
BorgWarner, Inc.		8,262		343,616
Delphi Automotive PLC		10,380		789,295
Johnson Controls, Inc.		77,977		3,225,129
				4,358,040

Security Description	Shares		Value (Note 2)
Banks-Commercial — 0.8%
BB&T Corp.		28,460	$	1,013,176
M&T Bank Corp.		43,338		5,285,069
Regions Financial Corp.		26,601		239,675
Zions Bancorporation		7,453		205,256
				6,743,176
Banks-Fiduciary — 1.1%
Bank of New York Mellon Corp.		71,694		2,806,820
Northern Trust Corp.		58,875		4,012,920
State Street Corp.		48,298		3,246,109
				10,065,849
Banks-Super Regional — 4.9%
Capital One Financial Corp.		19,802		1,436,041
Comerica, Inc.		6,495		266,944
Fifth Third Bancorp		29,323		554,498
Huntington Bancshares, Inc.		29,316		310,750
KeyCorp		30,696		399,355
PNC Financial Services Group, Inc.		138,777		12,378,908
SunTrust Banks, Inc.		77,611		2,967,845
US Bancorp		158,623		6,505,129
Wells Fargo & Co.		366,889		18,839,750
				43,659,220
Beverages-Non-alcoholic — 1.5%
Coca-Cola Co.		207,089		8,308,411
Coca-Cola Enterprises, Inc.		3,693		178,557
PepsiCo, Inc.		51,851		4,889,549
				13,376,517
Beverages-Wine/Spirits — 0.4%
Diageo PLC ADR		35,954		3,875,482
Building & Construction Products-Misc. — 0.7%
Fortune Brands Home & Security, Inc.		97,009		4,605,017
USG Corp.†		46,900		1,248,478
				5,853,495
Building Products-Cement — 0.3%
Vulcan Materials Co.		34,145		3,045,734
Building Products-Wood — 0.1%
Masco Corp.		48,006		1,208,791
Building-Residential/Commercial — 0.5%
PulteGroup, Inc.		244,008		4,604,431
Cable/Satellite TV — 0.8%
Cablevision Systems Corp., Class A		84,617		2,747,514
Comcast Corp., Class A		58,476		3,326,115
Comcast Corp., Special Class A		4,436		253,917
Time Warner Cable, Inc.		3,409		611,472
				6,939,018
Casino Hotels — 0.2%
Las Vegas Sands Corp.		44,600		1,693,462
Cellular Telecom — 0.1%
Vodafone Group PLC(1)		203,254		642,697
Chemicals-Diversified — 1.2%
Dow Chemical Co.		110,115		4,668,876
E.I. du Pont de Nemours & Co.		77,116		3,716,991
Eastman Chemical Co.		5,427		351,236

182

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Diversified (continued)
FMC Corp.		4,878	$	165,413
LyondellBasell Industries NV, Class A		13,606		1,134,196
PPG Industries, Inc.		3,360		294,638
				10,331,350
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc.		1,265		130,624
Coal — 0.1%
CONSOL Energy, Inc.		83,960		822,808
Commercial Services — 0.0%
Quanta Services, Inc.†		3,950		95,629
Commercial Services-Finance — 0.2%
Equifax, Inc.		1,295		125,848
H&R Block, Inc.		3,328		120,474
McGraw Hill Financial, Inc.		3,681		318,407
PayPal Holdings, Inc.†		13,361		414,725
Total System Services, Inc.		1,977		89,815
Western Union Co.		57,415		1,054,139
				2,123,408
Computer Services — 1.1%
Accenture PLC, Class A		9,797		962,653
Computer Sciences Corp.		22,050		1,353,429
International Business Machines Corp.		50,998		7,393,180
Teradata Corp.†		2,430		70,373
				9,779,635
Computers — 0.2%
Hewlett-Packard Co.		65,944		1,688,826
Computers-Memory Devices — 0.2%
EMC Corp.		80,276		1,939,468
NetApp, Inc.		5,258		155,637
				2,095,105
Consumer Products-Misc. — 0.4%
Clorox Co.		23,372		2,700,167
Kimberly-Clark Corp.		5,851		637,993
				3,338,160
Containers-Metal/Glass — 0.0%
Ball Corp.		1,564		97,281
Owens-Illinois, Inc.†		5,869		121,605
				218,886
Containers-Paper/Plastic — 0.2%
Sealed Air Corp.		2,705		126,810
WestRock Co.		38,851		1,998,496
				2,125,306
Cosmetics & Toiletries — 0.6%
Avon Products, Inc.		126,400		410,800
Colgate-Palmolive Co.		13,472		854,933
Estee Lauder Cos., Inc., Class A		3,628		292,707
Procter & Gamble Co.		50,502		3,633,114
				5,191,554
Cruise Lines — 1.0%
Carnival Corp.		65,498		3,255,251

Security Description	Shares		Value (Note 2)
Cruise Lines (continued)
Norwegian Cruise Line Holdings, Ltd.†		96,137	$	5,508,650
Royal Caribbean Cruises, Ltd.		2,756		245,532
				9,009,433
Data Processing/Management — 0.1%
Dun & Bradstreet Corp.		475		49,875
Fidelity National Information Services, Inc.		3,803		255,105
Paychex, Inc.		4,225		201,237
				506,217
Dental Supplies & Equipment — 0.0%
DENTSPLY International, Inc.		1,939		98,055
Patterson Cos., Inc.		1,300		56,225
				154,280
Diagnostic Equipment — 0.1%
Danaher Corp.		9,334		795,350
Distribution/Wholesale — 0.3%
Fastenal Co.		3,919		143,475
Fossil Group, Inc.†		529		29,561
Genuine Parts Co.		25,924		2,148,840
WW Grainger, Inc.		1,130		242,961
				2,564,837
Diversified Banking Institutions — 7.3%
Bank of America Corp.		750,158		11,687,462
Citigroup, Inc.		310,387		15,398,299
Goldman Sachs Group, Inc.		33,109		5,753,020
JPMorgan Chase & Co.		471,359		28,738,758
Morgan Stanley		55,621		1,752,061
Royal Bank of Scotland Group PLC†(1)		289,639		1,384,053
				64,713,653
Diversified Manufacturing Operations — 4.3%
3M Co.		7,526		1,066,961
Dover Corp.		5,712		326,612
Eaton Corp. PLC		129,344		6,635,347
General Electric Co.		954,387		24,069,640
Illinois Tool Works, Inc.		51,292		4,221,845
Ingersoll-Rand PLC		9,687		491,809
Parker-Hannifin Corp.		5,053		491,657
Pentair PLC		6,573		335,486
Textron, Inc.		5,550		208,902
				37,848,259
Diversified Operations — 0.0%
Leucadia National Corp.		12,312		249,441
Electric Products-Misc. — 0.5%
AMETEK, Inc.		3,536		185,004
Emerson Electric Co.		86,789		3,833,470
				4,018,474
Electric-Distribution — 0.1%
PPL Corp.		24,458		804,424
Electric-Integrated — 4.5%
AES Corp.		124,327		1,217,161
Ameren Corp.		8,858		374,428
American Electric Power Co., Inc.		17,908		1,018,249

183

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated (continued)
CMS Energy Corp.		10,100	$	356,732
Consolidated Edison, Inc.		10,691		714,693
Dominion Resources, Inc.		11,499		809,300
DTE Energy Co.		6,552		526,584
Duke Energy Corp.		76,209		5,482,475
Edison International		75,232		4,744,882
Entergy Corp.		54,854		3,570,995
Eversource Energy		11,579		586,129
Exelon Corp.		97,654		2,900,324
FirstEnergy Corp.		112,022		3,507,409
NextEra Energy, Inc.		8,233		803,129
Pepco Holdings, Inc.		9,253		224,108
PG&E Corp.		52,757		2,785,570
Pinnacle West Capital Corp.		4,045		259,446
Public Service Enterprise Group, Inc.		18,467		778,569
SCANA Corp.		5,217		293,508
Southern Co.		33,162		1,482,341
TECO Energy, Inc.		8,587		225,495
WEC Energy Group, Inc.		5,876		306,845
Xcel Energy, Inc.		194,516		6,887,812
				39,856,184
Electronic Components-Misc. — 0.8%
Corning, Inc.		173,709		2,973,898
Garmin, Ltd.		1,858		66,665
Koninklijke Philips NV		142,073		3,333,033
TE Connectivity, Ltd.		7,932		475,047
				6,848,643
Electronic Components-Semiconductors — 1.3%
Altera Corp.		5,411		270,983
Intel Corp.		243,346		7,334,449
Microchip Technology, Inc.		2,928		126,168
Texas Instruments, Inc.		69,489		3,441,095
Xilinx, Inc.		4,816		204,198
				11,376,893
Electronic Forms — 0.1%
Adobe Systems, Inc.†		5,632		463,063
Electronic Measurement Instruments — 0.1%
Agilent Technologies, Inc.		12,098		415,324
FLIR Systems, Inc.		2,714		75,965
				491,289
Electronic Security Devices — 0.2%
Allegion PLC		1,224		70,576
Tyco International PLC		42,448		1,420,310
				1,490,886
Electronics-Military — 0.0%
L-3 Communications Holdings, Inc.		2,933		306,557
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		2,763		118,118
Engineering/R&D Services — 0.0%
Fluor Corp.		5,291		224,074
Jacobs Engineering Group, Inc.†		4,519		169,146
				393,220
Engines-Internal Combustion — 0.1%
Cummins, Inc.		6,065		658,538

Security Description	Shares		Value (Note 2)
Enterprise Software/Service — 0.3%
CA, Inc.		44,238	$	1,207,697
Oracle Corp.		40,364		1,457,948
				2,665,645
Finance-Credit Card — 0.5%
American Express Co.		60,838		4,509,921
Discover Financial Services		4,767		247,836
				4,757,757
Finance-Investment Banker/Broker — 0.1%
Charles Schwab Corp.		15,297		436,882
E*TRADE Financial Corp.†		6,356		167,354
				604,236
Finance-Other Services — 0.6%
CME Group, Inc.		12,330		1,143,484
Intercontinental Exchange, Inc.		15,456		3,632,005
Nasdaq, Inc.		4,317		230,226
				5,005,715
Food-Confectionery — 0.1%
Hershey Co.		2,026		186,149
JM Smucker Co.		3,757		428,636
				614,785
Food-Meat Products — 0.1%
Hormel Foods Corp.		2,116		133,964
Tyson Foods, Inc., Class A		11,111		478,884
				612,848
Food-Misc./Diversified — 1.9%
Campbell Soup Co.		33,461		1,695,804
ConAgra Foods, Inc.		9,614		389,463
General Mills, Inc.		10,929		613,445
Ingredion, Inc.		48,553		4,239,162
Kellogg Co.		25,840		1,719,652
Kraft Heinz Co.		54,554		3,850,421
McCormick & Co., Inc.		21,705		1,783,717
Mondelez International, Inc., Class A		58,822		2,462,877
				16,754,541
Food-Retail — 0.1%
Kroger Co.		18,795		677,936
Whole Foods Market, Inc.		13,064		413,475
				1,091,411
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		20,198		787,116
Gas-Distribution — 0.8%
AGL Resources, Inc.		2,630		160,535
CenterPoint Energy, Inc.		15,707		283,354
National Grid PLC ADR		55,337		3,853,115
NiSource, Inc.		143,250		2,657,288
Sempra Energy		3,869		374,210
				7,328,502
Gold Mining — 0.2%
Barrick Gold Corp.		61,600		391,776
Newmont Mining Corp.		93,513		1,502,754
				1,894,530

184

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc.		3,324	$	131,996
Hotels/Motels — 0.4%
Hilton Worldwide Holdings, Inc.		146,700		3,365,298
Starwood Hotels & Resorts Worldwide, Inc.		2,737		181,956
				3,547,254
Independent Power Producers — 0.0%
NRG Energy, Inc.		12,071		179,254
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		2,399		243,427
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		2,048		261,284
Airgas, Inc.		1,128		100,764
Praxair, Inc.		4,915		500,642
				862,690
Instruments-Controls — 0.4%
Honeywell International, Inc.		33,384		3,161,131
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		1,656		76,110
Waters Corp.†		1,051		124,238
				200,348
Insurance Brokers — 1.0%
Aon PLC		4,294		380,491
Marsh & McLennan Cos., Inc.		150,246		7,845,846
Willis Group Holdings PLC		15,300		626,841
				8,853,178
Insurance-Life/Health — 1.1%
Aflac, Inc.		15,723		913,978
Lincoln National Corp.		9,161		434,781
Principal Financial Group, Inc.		104,932		4,967,481
Prudential Financial, Inc.		16,464		1,254,722
Sun Life Financial, Inc.		40,700		1,312,982
Torchmark Corp.		4,248		239,587
Unum Group		9,005		288,880
				9,412,411
Insurance-Multi-line — 2.5%
ACE, Ltd.		38,133		3,942,952
Allstate Corp.		8,624		502,262
American International Group, Inc.(2)		47,234		2,683,836
Assurant, Inc.		2,439		192,705
Cincinnati Financial Corp.		5,391		290,036
Genworth Financial, Inc., Class A†		18,159		83,895
Hartford Financial Services Group, Inc.		15,144		693,292
Loews Corp.		100,971		3,649,092
MetLife, Inc.		111,772		5,270,050
XL Group PLC		132,467		4,811,201
				22,119,321
Insurance-Property/Casualty — 0.5%
Chubb Corp.		23,386		2,868,293
Progressive Corp.		21,390		655,390
Travelers Cos., Inc.		11,361		1,130,760
				4,654,443

Security Description	Shares		Value (Note 2)
Insurance-Reinsurance — 1.0%
Berkshire Hathaway, Inc., Class B†		68,389	$	8,917,926
Internet Security — 0.4%
Symantec Corp.		200,411		3,902,002
Investment Management/Advisor Services — 1.1%
Affiliated Managers Group, Inc.†		733		125,336
BlackRock, Inc.		15,184		4,516,784
Franklin Resources, Inc.		6,917		257,727
Invesco, Ltd.		137,706		4,300,558
Och-Ziff Capital Management Group LLC, Class A		64,600		563,958
T. Rowe Price Group, Inc.		3,087		214,547
				9,978,910
Machinery-Construction & Mining — 0.5%
Caterpillar, Inc.		56,799		3,712,383
Joy Global, Inc.		43,758		653,307
				4,365,690
Machinery-Farming — 0.4%
Deere & Co.		42,681		3,158,394
Machinery-General Industrial — 0.0%
Roper Technologies, Inc.		1,102		172,683
Machinery-Pumps — 0.2%
Flowserve Corp.		30,569		1,257,609
Xylem, Inc.		28,126		923,939
				2,181,548
Medical Instruments — 0.6%
Boston Scientific Corp.†		26,493		434,750
Medtronic PLC		65,305		4,371,517
St. Jude Medical, Inc.		3,908		246,556
				5,052,823
Medical Labs & Testing Services — 0.1%
Laboratory Corp. of America Holdings†		3,672		398,302
Quest Diagnostics, Inc.		5,240		322,103
				720,405
Medical Products — 0.3%
Baxter International, Inc.		50,215		1,649,563
Becton Dickinson and Co.		2,600		344,916
Henry Schein, Inc.†		974		129,269
Varian Medical Systems, Inc.†		1,117		82,412
Zimmer Biomet Holdings, Inc.		2,058		193,308
				2,399,468
Medical-Biomedical/Gene — 1.1%
Amgen, Inc.		25,149		3,478,610
Gilead Sciences, Inc.		37,796		3,711,189
Vertex Pharmaceuticals, Inc.†		26,215		2,730,030
				9,919,829
Medical-Drugs — 6.6%
Abbott Laboratories		32,646		1,313,022
AstraZeneca PLC ADR		111,061		3,533,961
Baxalta, Inc.		47,586		1,499,435
Bristol-Myers Squibb Co.		176,215		10,431,928
Eli Lilly & Co.		13,889		1,162,370

185

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Drugs (continued)
Endo International PLC†		3,041	$	210,681
GlaxoSmithKline PLC(1)		79,141		1,517,110
Johnson & Johnson		100,557		9,386,996
Merck & Co., Inc.		259,110		12,797,443
Pfizer, Inc.		383,510		12,046,049
Roche Holding AG ADR		131,800		4,342,810
				58,241,805
Medical-Generic Drugs — 0.0%
Perrigo Co. PLC		2,670		419,911
Medical-HMO — 0.7%
Aetna, Inc.		6,999		765,761
Anthem, Inc.		9,549		1,336,860
Cigna Corp.		5,264		710,745
Humana, Inc.		5,408		968,032
UnitedHealth Group, Inc.		17,753		2,059,525
				5,840,923
Medical-Hospitals — 0.1%
HCA Holdings, Inc.†		2,451		189,609
Tenet Healthcare Corp.†		1,817		67,084
Universal Health Services, Inc., Class B		1,574		196,451
				453,144
Medical-Wholesale Drug Distribution — 0.2%
Cardinal Health, Inc.		11,950		917,999
McKesson Corp.		4,921		910,533
				1,828,532
Metal Processors & Fabrication — 0.1%
Precision Castparts Corp.		2,309		530,400
Metal-Aluminum — 0.1%
Alcoa, Inc.		47,815		461,893
Metal-Copper — 0.0%
Freeport-McMoRan, Inc.		41,504		402,174
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		3,158		173,374
Multimedia — 1.2%
Thomson Reuters Corp.		86,155		3,468,600
Time Warner, Inc.		19,300		1,326,875
Twenty-First Century Fox, Inc., Class A		45,266		1,221,277
Twenty-First Century Fox, Inc., Class B		47,769		1,293,107
Viacom, Inc., Class B		22,315		962,892
Walt Disney Co.		19,600		2,003,120
				10,275,871
Networking Products — 1.6%
Cisco Systems, Inc.		553,189		14,521,211
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		8,789		362,107
Waste Management, Inc.		7,677		382,391
				744,498
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc.		7,371		146,314
Xerox Corp.		36,676		356,858
				503,172

Security Description	Shares		Value (Note 2)
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		3,338	$	188,831
Oil & Gas Drilling — 0.1%
Diamond Offshore Drilling, Inc.		48,653		841,697
Ensco PLC, Class A		8,606		121,172
Helmerich & Payne, Inc.		3,934		185,921
Transocean, Ltd.		12,475		161,177
				1,309,967
Oil Companies-Exploration & Production — 3.8%
Anadarko Petroleum Corp.		35,602		2,150,005
Apache Corp.		104,699		4,100,013
BG Group PLC(1)		240,429		3,466,919
Canadian Natural Resources, Ltd.		89,700		1,744,665
Chesapeake Energy Corp.		18,878		138,376
Cimarex Energy Co.		1,690		173,191
ConocoPhillips		55,628		2,667,919
Devon Energy Corp.		14,104		523,117
EOG Resources, Inc.		63,187		4,600,014
EQT Corp.		1,892		122,545
Hess Corp.		74,603		3,734,626
Newfield Exploration Co.†		5,949		195,722
Noble Energy, Inc.		15,517		468,303
Occidental Petroleum Corp.		62,088		4,107,121
Pioneer Natural Resources Co.		26,112		3,176,264
Southwestern Energy Co.†		175,053		2,221,423
				33,590,223
Oil Companies-Integrated — 4.8%
BP PLC ADR		36,804		1,124,730
Chevron Corp.		225,898		17,818,834
Exxon Mobil Corp.		222,520		16,544,362
Marathon Oil Corp.		232,192		3,575,757
Murphy Oil Corp.		5,928		143,458
Royal Dutch Shell PLC ADR		71,300		3,378,907
				42,586,048
Oil Field Machinery & Equipment — 0.1%
Cameron International Corp.†		3,915		240,068
FMC Technologies, Inc.†		2,681		83,111
National Oilwell Varco, Inc.		14,011		527,514
				850,693
Oil Refining & Marketing — 0.4%
Marathon Petroleum Corp.		19,573		906,817
Phillips 66		17,480		1,343,163
Tesoro Corp.		4,494		436,997
Valero Energy Corp.		18,147		1,090,635
				3,777,612
Oil-Field Services — 0.8%
Baker Hughes, Inc.		15,912		828,060
Halliburton Co.		124,045		4,384,991
Schlumberger, Ltd.		24,484		1,688,662
				6,901,713
Paper & Related Products — 0.8%
International Paper Co.		188,507		7,123,680
Pharmacy Services — 0.1%
Express Scripts Holding Co.†		13,074		1,058,471

186

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Pipelines — 0.3%
Columbia Pipeline Group, Inc.		111,699	$	2,042,975
ONEOK, Inc.		7,636		245,879
Spectra Energy Corp.		11,519		302,604
				2,591,458
Publishing-Newspapers — 0.2%
New York Times Co., Class A		54,100		638,921
News Corp., Class A		92,609		1,168,725
News Corp., Class B		3,935		50,447
				1,858,093
Real Estate Investment Trusts — 0.8%
Digital Realty Trust, Inc.		27,800		1,815,896
HCP, Inc.		7,430		276,768
Plum Creek Timber Co., Inc.		3,189		125,997
Prologis, Inc.		19,134		744,313
Rayonier, Inc.		56,100		1,238,127
SL Green Realty Corp.		1,345		145,475
Vornado Realty Trust		2,523		228,130
Weyerhaeuser Co.		89,801		2,455,159
				7,029,865
Retail-Apparel/Shoe — 0.6%
Coach, Inc.		34,898		1,009,599
Gap, Inc.		4,863		138,596
L Brands, Inc.		2,814		253,626
PVH Corp.		41,099		4,189,632
Urban Outfitters, Inc.†		3,461		101,684
				5,693,137
Retail-Automobile — 0.0%
AutoNation, Inc.†		1,657		96,404
CarMax, Inc.†		3,797		225,238
				321,642
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.†		3,158		180,069
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		3,896		160,554
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		11,204		415,892
Retail-Discount — 1.5%
Costco Wholesale Corp.		16,044		2,319,481
Dollar General Corp.		51,866		3,757,173
Target Corp.		22,941		1,804,539
Wal-Mart Stores, Inc.		81,408		5,278,495
				13,159,688
Retail-Drug Store — 0.3%
Walgreens Boots Alliance, Inc.		31,899		2,650,807
Retail-Jewelry — 0.4%
Signet Jewelers, Ltd.		26,100		3,552,993
Tiffany & Co.		1,270		98,069
				3,651,062
Retail-Major Department Stores — 0.5%
Nordstrom, Inc.		49,474		3,547,781
TJX Cos., Inc.		8,370		597,785
				4,145,566

Security Description	Shares		Value (Note 2)
Retail-Office Supplies — 0.3%
Staples, Inc.		198,194	$	2,324,816
Retail-Regional Department Stores — 0.6%
Kohl's Corp.		60,424		2,798,235
Macy's, Inc.		49,687		2,549,937
				5,348,172
Retail-Restaurants — 0.7%
Brinker International, Inc.		56,500		2,975,855
Darden Restaurants, Inc.		4,162		285,263
McDonald's Corp.		16,503		1,626,041
Starbucks Corp.		17,880		1,016,299
Yum! Brands, Inc.		6,926		553,734
				6,457,192
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		9,835		288,461
Savings & Loans/Thrifts — 0.0%
Hudson City Bancorp, Inc.		17,591		178,900
People's United Financial, Inc.		11,316		178,001
				356,901
Security Services — 0.0%
ADT Corp.		6,203		185,470
Semiconductor Components-Integrated Circuits — 2.1%
Analog Devices, Inc.		46,311		2,612,403
Linear Technology Corp.		4,026		162,449
Marvell Technology Group, Ltd.		320,778		2,903,041
Maxim Integrated Products, Inc.		211,848		7,075,723
QUALCOMM, Inc.		111,868		6,010,668
				18,764,284
Semiconductor Equipment — 0.3%
Applied Materials, Inc.		171,879		2,524,902
KLA-Tencor Corp.		3,163		158,150
				2,683,052
Steel-Producers — 0.7%
Nucor Corp.		74,167		2,784,971
Steel Dynamics, Inc.		222,364		3,820,213
				6,605,184
Telecommunication Equipment — 0.0%
Juniper Networks, Inc.		12,911		331,942
Telephone-Integrated — 3.4%
AT&T, Inc.		421,913		13,745,925
CenturyLink, Inc.		75,072		1,885,809
Frontier Communications Corp.		23,882		113,439
Telefonica SA(1)		117,656		1,426,031
Verizon Communications, Inc.		301,410		13,114,349
				30,285,553
Television — 0.5%
CBS Corp., Class B		99,851		3,984,055
TEGNA, Inc.		8,267		185,098
				4,169,153
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		1,230		223,602

187

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Tobacco — 0.8%
British American Tobacco PLC ADR		49,042	$	5,398,544
Philip Morris International, Inc.		25,449		2,018,869
				7,417,413
Tools-Hand Held — 0.2%
Snap-on, Inc.		722		108,979
Stanley Black & Decker, Inc.		13,094		1,269,856
				1,378,835
Toys — 0.4%
Hasbro, Inc.		2,093		150,989
Mattel, Inc.		152,861		3,219,253
				3,370,242
Transport-Rail — 0.6%
Kansas City Southern		1,853		168,401
Norfolk Southern Corp.		3,631		277,408
Union Pacific Corp.		55,400		4,897,914
				5,343,723
Transport-Services — 0.7%
Expeditors International of Washington, Inc.		3,660		172,203
FedEx Corp.		4,315		621,274
Ryder System, Inc.		1,948		144,230
United Parcel Service, Inc., Class B		49,564		4,891,471
				5,829,178
Wireless Equipment — 0.0%
Motorola Solutions, Inc.		3,052		208,696
Total Common Stocks (cost $862,977,963)				860,491,112
EXCHANGE-TRADED FUNDS — 1.4%
iShares S&P 500 Value Index Fund (cost $13,499,605)		147,507		12,395,013
Total Long-Term Investment Securities (cost $876,477,568)				872,886,125
SHORT-TERM INVESTMENT SECURITIES — 0.9%
Registered Investment Companies — 0.9%
T. Rowe Price Reserve Investment Fund 0.10%(3) (cost $7,774,911)		7,774,911		7,774,911

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.8%
Bank of America Securities LLC Joint Repurchase Agreement(4)	$	1,005,000		$	1,005,000
Barclays Capital, Inc. Joint Repurchase Agreement(4)		1,395,000			1,395,000
BNP Paribas SA Joint Repurchase Agreement(4)		1,395,000			1,395,000
Deutsche Bank AG Joint Repurchase Agreement(4)		995,000			995,000
RBS Securities, Inc. Joint Repurchase Agreement(4)		1,560,000			1,560,000
State Street Bank and Trust Co. Joint Repurchase Agreement(4)		1,022,000			1,022,000
Total Repurchase Agreements (cost $7,372,000)					7,372,000
TOTAL INVESTMENTS (cost $891,624,479)(5)		100.0	%		888,033,036
Liabilities in excess of other assets		(0.0	)		(426,776	)
NET ASSETS		100.0	%	$	887,606,260

†  Non-income producing security

(1)  Security was valued using fair value procedures at September 30, 2015. The aggregate value of these securities was $8,436,810 representing 1.0% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(2)  Security represents an investment in an affiliated company; see Note 8

(3)  The rate shown is the 7-day yield as of September 30, 2015.

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

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

ADR — American Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Value Index	December 2015	$	837,370	$	828,500	$	(8,870	)

188

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Cellular Telecom	$	—	$	642,697	$	—	$	642,697
Diversified Banking Institutions		63,329,600		1,384,053		—		64,713,653
Medical-Drugs		56,724,695		1,517,110		—		58,241,805
Oil Companies-Exploration & Production		30,123,304		3,466,919		—		33,590,223
Telephone-Integrated		28,859,522		1,426,031		—		30,285,553
Other Industries		673,017,181		—		—		673,017,181
Exchange-Traded Funds		12,395,013		—		—		12,395,013
Short-Term Investment Securities		7,774,911		—		—		7,774,911
Repurchase Agreements		—		7,372,000		—		7,372,000
Total Investments at Value	$	872,224,226	$	15,808,810	$	—	$	888,033,036
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	8,870	$	—	$	—	$	8,870

*  For a detailed presentation of investments, 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

189

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Medical-Drugs	3.1	%
Retail-Restaurants	2.8
Medical-Biomedical/Gene	2.8
Real Estate Investment Trusts	2.5
Hotels/Motels	2.4
Commercial Services-Finance	2.4
Enterprise Software/Service	2.3
Applications Software	2.2
Retail-Apparel/Shoe	2.2
Repurchase Agreements	2.1
E-Commerce/Services	1.9
Medical Instruments	1.9
Medical Information Systems	1.7
Retail-Auto Parts	1.6
Oil Companies-Exploration & Production	1.6
Beverages-Non-alcoholic	1.6
Computer Software	1.6
Airlines	1.4
Medical Products	1.4
Electronic Components-Semiconductors	1.3
Food-Misc./Diversified	1.3
Exchange-Traded Funds	1.2
Auto/Truck Parts & Equipment-Original	1.2
Apparel Manufacturers	1.2
Machinery-General Industrial	1.2
Data Processing/Management	1.2
Commercial Services	1.1
Distribution/Wholesale	1.0
Coatings/Paint	1.0
Real Estate Management/Services	0.9
Investment Management/Advisor Services	0.9
Semiconductor Components-Integrated Circuits	0.9
Consulting Services	0.9
Retail-Discount	0.9
Consumer Products-Misc.	0.8
Transport-Truck	0.8
Building & Construction Products-Misc.	0.8
Chemicals-Specialty	0.8
Building-Heavy Construction	0.8
Beverages-Wine/Spirits	0.8
Electric Products-Misc.	0.7
Diversified Manufacturing Operations	0.7
Networking Products	0.7
Finance-Investment Banker/Broker	0.7
E-Services/Consulting	0.7
Hazardous Waste Disposal	0.7
Advertising Services	0.6
Banks-Fiduciary	0.6
Transport-Rail	0.6
Retail-Automobile	0.6
Medical-Generic Drugs	0.6
Industrial Audio & Video Products	0.6
Finance-Other Services	0.6
Computer Services	0.6
Audio/Video Products	0.5
Insurance Brokers	0.5
Drug Delivery Systems	0.5
Retail-Jewelry	0.5
X-Ray Equipment	0.5
Internet Content-Information/News	0.5

Auto-Cars/Light Trucks	0.5	%
Machinery-Pumps	0.5
Medical-Wholesale Drug Distribution	0.5
Aerospace/Defense	0.5
Instruments-Controls	0.5
Entertainment Software	0.5
E-Commerce/Products	0.4
Internet Content-Entertainment	0.4
Electronic Connectors	0.4
Finance-Consumer Loans	0.4
Semiconductor Equipment	0.4
Advertising Agencies	0.4
Food-Confectionery	0.4
Physicians Practice Management	0.4
Vitamins & Nutrition Products	0.4
Transport-Services	0.4
Patient Monitoring Equipment	0.4
Containers-Metal/Glass	0.4
Finance-Credit Card	0.4
Electronic Security Devices	0.4
Industrial Automated/Robotic	0.4
Satellite Telecom	0.3
Finance-Mortgage Loan/Banker	0.3
Internet Security	0.3
Retail-Gardening Products	0.3
Human Resources	0.3
Finance-Leasing Companies	0.3
Banks-Commercial	0.3
Diversified Financial Services	0.3
Chemicals-Diversified	0.3
Food-Retail	0.3
Rental Auto/Equipment	0.3
Electronic Measurement Instruments	0.3
Medical-HMO	0.3
Building Products-Cement	0.3
Heart Monitors	0.3
Diagnostic Kits	0.3
Lighting Products & Systems	0.3
Dental Supplies & Equipment	0.3
Building-Residential/Commercial	0.3
Auction Houses/Art Dealers	0.3
Soap & Cleaning Preparation	0.2
Broadcast Services/Program	0.2
Tools-Hand Held	0.2
Auto-Heavy Duty Trucks	0.2
Multimedia	0.2
Agricultural Chemicals	0.2
Home Decoration Products	0.2
Wireless Equipment	0.2
Recreational Vehicles	0.2
Computer Aided Design	0.2
Containers-Paper/Plastic	0.2
Cruise Lines	0.2
Retail-Perfume & Cosmetics	0.2
Computers-Memory Devices	0.2
Casino Hotels	0.2
Instruments-Scientific	0.2
Appliances	0.2
Energy-Alternate Sources	0.2
Funeral Services & Related Items	0.2

190

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Retail-Misc./Diversified	0.2	%
Filtration/Separation Products	0.2
Gas-Distribution	0.2
Retail-Mail Order	0.2
Medical-Hospitals	0.2
Food-Baking	0.2
Decision Support Software	0.2
Internet Infrastructure Software	0.2
Power Converter/Supply Equipment	0.2
Paper & Related Products	0.2
Computer Data Security	0.2
Retail-Drug Store	0.2
Internet Application Software	0.2
Industrial Gases	0.2
Cable/Satellite TV	0.2
Building-Maintenance & Services	0.2
Disposable Medical Products	0.2
Retail-Catalog Shopping	0.2
Dialysis Centers	0.1
Retail-Regional Department Stores	0.1
Coffee	0.1
Transactional Software	0.1
Motorcycle/Motor Scooter	0.1
Toys	0.1
Oil Refining & Marketing	0.1
Therapeutics	0.1
Retail-Major Department Stores	0.1
Home Furnishings	0.1
Insurance-Property/Casualty	0.1
Retail-Sporting Goods	0.1
Retail-Bedding	0.1
Cellular Telecom	0.1
Athletic Equipment	0.1
Retail-Arts & Crafts	0.1
Footwear & Related Apparel	0.1
Food-Meat Products	0.1
Computers-Integrated Systems	0.1
Building Products-Wood	0.1
Radio	0.1
Electronic Components-Misc.	0.1
Textile-Home Furnishings	0.1
Quarrying	0.1
Platinum	0.1
Non-Hazardous Waste Disposal	0.1
Food-Wholesale/Distribution	0.1
Respiratory Products	0.1
Food-Dairy Products	0.1
Retail-Home Furnishings	0.1
Oil-Field Services	0.1
Electronic Forms	0.1
Registered Investment Companies	0.1
Electronic Design Automation	0.1
Pipelines	0.1
Garden Products	0.1
Aerospace/Defense-Equipment	0.1
Metal Processors & Fabrication	0.1
Web Portals/ISP	0.1
Transport-Marine	0.1
Steel Pipe & Tube	0.1
Theaters	0.1

Shipbuilding	0.1	%
Office Supplies & Forms	0.1
Chemicals-Plastics	0.1
Silver Mining	0.1
Oil Field Machinery & Equipment	0.1
Building Products-Air & Heating	0.1
Internet Incubators	0.1
	99.8	%

*  Calculated as a percentage of net assets

191

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 94.8%
Advanced Materials — 0.0%
Hexcel Corp.		2,325	$	104,300
Advertising Agencies — 0.4%
Interpublic Group of Cos., Inc.		20,165		385,757
Omnicom Group, Inc.		7,596		500,576
				886,333
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A†		340		2,424
Advertising Services — 0.6%
Nielsen Holdings PLC		31,808		1,414,502
Aerospace/Defense — 0.5%
Rockwell Collins, Inc.		3,191		261,152
Spirit AeroSystems Holdings, Inc., Class A†		3,154		152,464
TransDigm Group, Inc.†		2,985		634,044
				1,047,660
Aerospace/Defense-Equipment — 0.1%
B/E Aerospace, Inc.		2,562		112,472
Harris Corp.		500		36,575
				149,047
Agricultural Chemicals — 0.2%
CF Industries Holdings, Inc.		11,278		506,382
Airlines — 1.4%
Alaska Air Group, Inc.		7,827		621,855
Copa Holdings SA, Class A		2,100		88,053
JetBlue Airways Corp.†		2,820		72,672
Southwest Airlines Co.		30,828		1,172,697
Spirit Airlines, Inc.†		5,160		244,068
United Continental Holdings, Inc.†		18,018		955,855
				3,155,200
Apparel Manufacturers — 1.2%
Burberry Group PLC(1)		38,042		789,517
Carter's, Inc.		1,267		114,841
Hanesbrands, Inc.		36,593		1,059,001
Michael Kors Holdings, Ltd.†		4,795		202,541
Ralph Lauren Corp.		79		9,335
Under Armour, Inc., Class A†		4,310		417,122
				2,592,357
Appliances — 0.2%
Whirlpool Corp.		2,891		425,729
Applications Software — 2.1%
Check Point Software Technologies, Ltd.†		1,600		126,928
Citrix Systems, Inc.†		3,867		267,906
Dropbox, Inc., Class A†(2)(3)(4)		3,515		59,698
Dropbox, Inc., Class B†(2)(3)(4)		844		14,334
Intuit, Inc.		11,252		998,615
King Digital Entertainment PLC		1,939		26,254
NetSuite, Inc.†		4,263		357,666
PTC, Inc.†		2,774		88,047
Red Hat, Inc.†		11,924		857,097
ServiceNow, Inc.†		23,318		1,619,435
Tableau Software, Inc., Class A†		1,195		95,337
				4,511,317

Security Description	Shares		Value (Note 2)
Athletic Equipment — 0.1%
Jarden Corp.†		4,647	$	227,145
Auction Houses/Art Dealers — 0.3%
KAR Auction Services, Inc.		6,249		221,839
Ritchie Bros. Auctioneers, Inc.		8,100		209,628
Sotheby's		3,800		121,524
				552,991
Audio/Video Products — 0.5%
Harman International Industries, Inc.		12,352		1,185,668
Auto-Cars/Light Trucks — 0.5%
Tesla Motors, Inc.†		4,419		1,097,680
Auto-Heavy Duty Trucks — 0.2%
PACCAR, Inc.		10,039		523,735
Auto/Truck Parts & Equipment-Original — 1.2%
Allison Transmission Holdings, Inc.		2,354		62,828
BorgWarner, Inc.		15,460		642,981
Delphi Automotive PLC		8,667		659,039
Lear Corp.		1,419		154,359
Mobileye NV†		14,914		678,289
Visteon Corp.†		1,076		108,934
WABCO Holdings, Inc.†		2,917		305,789
				2,612,219
Banks-Commercial — 0.3%
BankUnited, Inc.		6,700		239,525
Signature Bank†		1,120		154,067
SVB Financial Group†		2,676		309,185
				702,777
Banks-Fiduciary — 0.6%
Northern Trust Corp.		20,805		1,418,069
Beverages-Non-alcoholic — 1.6%
Coca-Cola Enterprises, Inc.		5,622		271,824
Dr Pepper Snapple Group, Inc.		6,527		515,959
Monster Beverage Corp.†		19,496		2,634,689
				3,422,472
Beverages-Wine/Spirits — 0.8%
Brown-Forman Corp., Class A		612		65,478
Brown-Forman Corp., Class B		6,454		625,393
Constellation Brands, Inc., Class A		7,748		970,127
				1,660,998
Broadcast Services/Program — 0.2%
Discovery Communications, Inc., Class A†		3,418		88,971
Discovery Communications, Inc., Class C†		10,821		262,842
Scripps Networks Interactive, Inc., Class A		2,205		108,464
Starz, Class A†		2,080		77,667
				537,944
Building & Construction Products-Misc. — 0.8%
Armstrong World Industries, Inc.†		2,693		128,564
Fortune Brands Home & Security, Inc.		32,670		1,550,845
USG Corp.†		2,210		58,830
				1,738,239

192

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building & Construction-Misc. — 0.0%
TopBuild Corp.†		934	$	28,926
Building Products-Air & Heating — 0.1%
Lennox International, Inc.		975		110,497
Building Products-Cement — 0.3%
Eagle Materials, Inc.		3,312		226,607
Martin Marietta Materials, Inc.		228		34,645
Vulcan Materials Co.		4,318		385,165
				646,417
Building Products-Wood — 0.1%
Masco Corp.		8,413		211,839
Building-Heavy Construction — 0.8%
SBA Communications Corp., Class A†		15,899		1,665,261
Building-Maintenance & Services — 0.2%
Rollins, Inc.		12,590		338,293
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		1,100		56,980
Building-Residential/Commercial — 0.3%
D.R. Horton, Inc.		3,278		96,242
Lennar Corp., Class A		1,645		79,174
Lennar Corp., Class B		91		3,604
NVR, Inc.†		97		147,946
Toll Brothers, Inc.†		7,379		252,657
				579,623
Cable/Satellite TV — 0.2%
Cablevision Systems Corp., Class A		703		22,826
Charter Communications, Inc., Class A†		1,808		317,937
				340,763
Casino Hotels — 0.2%
MGM Resorts International†		13,451		248,171
Wynn Resorts, Ltd.		3,635		193,091
				441,262
Cellular Telecom — 0.1%
T-Mobile US, Inc.†		5,800		230,898
Chemicals-Diversified — 0.3%
Celanese Corp., Series A		7,162		423,776
Eastman Chemical Co.		893		57,795
FMC Corp.		5,032		170,635
Huntsman Corp.		3,134		30,368
				682,574
Chemicals-Plastics — 0.1%
PolyOne Corp.		3,900		114,426
Chemicals-Specialty — 0.8%
Ashland, Inc.		2,454		246,921
Cytec Industries, Inc.		168		12,407
International Flavors & Fragrances, Inc.		1,951		201,460
NewMarket Corp.		604		215,628
Platform Specialty Products Corp.†*		6,664		84,300
Platform Specialty Products Corp.†		47,966		606,770
Sigma-Aldrich Corp.		1,122		155,868

Security Description	Shares		Value (Note 2)
Chemicals-Specialty (continued)
W.R. Grace & Co.†		1,756	$	163,396
				1,686,750
Coatings/Paint — 1.0%
Axalta Coating Systems, Ltd.†		2,433		61,652
RPM International, Inc.		11,815		494,931
Sherwin-Williams Co.		4,653		1,036,595
Valspar Corp.		7,760		557,789
				2,150,967
Coffee — 0.1%
Keurig Green Mountain, Inc.		5,819		303,403
Commercial Services — 1.1%
Aramark		4,267		126,474
Cintas Corp.		2,302		197,396
CoStar Group, Inc.†		10,793		1,867,837
Live Nation Entertainment, Inc.†		3,514		84,476
Quanta Services, Inc.†		976		23,629
ServiceMaster Global Holdings, Inc.†		2,478		83,137
				2,382,949
Commercial Services-Finance — 2.4%
Equifax, Inc.		6,771		658,006
FleetCor Technologies, Inc.†		2,215		304,828
Global Payments, Inc.		4,503		516,629
H&R Block, Inc.		6,210		224,802
McGraw Hill Financial, Inc.		10,504		908,596
Moody's Corp.		7,584		744,749
Morningstar, Inc.		459		36,839
Sabre Corp.		11,143		302,867
SEI Investments Co.		3,362		162,149
Total System Services, Inc.		3,987		181,130
TransUnion†		6,200		155,744
Vantiv, Inc., Class A†		13,459		604,578
Western Union Co.		12,461		228,784
WEX, Inc.†		2,531		219,792
				5,249,493
Communications Software — 0.0%
SolarWinds, Inc.†		1,609		63,137
Computer Aided Design — 0.2%
ANSYS, Inc.†		2,309		203,515
Autodesk, Inc.†		6,381		281,658
				485,173
Computer Data Security — 0.2%
Fortinet, Inc.†		8,546		363,034
Computer Graphics — 0.0%
Atlassian Class A FDR†(2)(3)(4)		745		14,155
Atlassian Series 1†(2)(3)(4)		775		14,725
Atlassian Series 2†(2)(3)(4)		2,075		39,425
				68,305
Computer Services — 0.6%
DST Systems, Inc.		683		71,811
EPAM Systems, Inc.†		2,500		186,300
Genpact, Ltd.†		10,938		258,246
IHS, Inc., Class A†		5,320		617,120
Leidos Holdings, Inc.		138		5,701
Teradata Corp.†		2,546		73,732
				1,212,910

193

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computer Software — 1.5%
Akamai Technologies, Inc.†		25,588	$	1,767,107
Rackspace Hosting, Inc.†		6,071		149,832
SS&C Technologies Holdings, Inc.		18,763		1,314,161
				3,231,100
Computers-Integrated Systems — 0.1%
Jack Henry & Associates, Inc.		1,974		137,410
VeriFone Systems, Inc.†		2,745		76,119
				213,529
Computers-Memory Devices — 0.1%
NetApp, Inc.		2,256		66,778
SanDisk Corp.		4,700		255,351
				322,129
Computers-Other — 0.0%
3D Systems Corp.†		989		11,423
Stratasys, Ltd.†		2,000		52,980
				64,403
Consulting Services — 0.9%
Booz Allen Hamilton Holding Corp.		2,272		59,549
CEB, Inc.		1,900		129,846
Gartner, Inc.†		6,702		562,499
Towers Watson & Co., Class A		2,897		340,050
Verisk Analytics, Inc.†		11,479		848,413
				1,940,357
Consumer Products-Misc. — 0.8%
Clorox Co.		4,109		474,713
Samsonite International SA(1)		382,590		1,253,278
Spectrum Brands Holdings, Inc.		609		55,730
				1,783,721
Containers-Metal/Glass — 0.4%
Ball Corp.		11,226		698,257
Crown Holdings, Inc.†		1,478		67,618
Owens-Illinois, Inc.†		244		5,056
Silgan Holdings, Inc.		978		50,895
				821,826
Containers-Paper/Plastic — 0.2%
Bemis Co., Inc.		255		10,090
Graphic Packaging Holding Co.		4,580		58,578
Packaging Corp. of America		2,361		142,038
Sealed Air Corp.		5,071		237,729
WestRock Co.		648		33,333
				481,768
Cosmetics & Toiletries — 0.0%
Coty, Inc., Class A		2,006		54,282
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		4,913		281,515
Royal Caribbean Cruises, Ltd.		2,000		178,180
				459,695

Security Description	Shares		Value (Note 2)
Data Processing/Management — 1.2%
Broadridge Financial Solutions, Inc.		2,893	$	160,128
Dun & Bradstreet Corp.		257		26,985
Fidelity National Information Services, Inc.		11,347		761,157
Fiserv, Inc.†		12,414		1,075,176
Paychex, Inc.		10,977		522,834
				2,546,280
Decision Support Software — 0.2%
MSCI, Inc.		6,513		387,263
Dental Supplies & Equipment — 0.3%
Align Technology, Inc.†		4,848		275,172
DENTSPLY International, Inc.		5,863		296,492
Patterson Cos., Inc.		1,136		49,132
				620,796
Diagnostic Equipment — 0.0%
VWR Corp.†		373		9,582
Diagnostic Kits — 0.3%
Alere, Inc.†		1,318		63,462
IDEXX Laboratories, Inc.†		7,757		575,957
				639,419
Dialysis Centers — 0.1%
DaVita HealthCare Partners, Inc.†		4,325		312,827
Disposable Medical Products — 0.2%
C.R. Bard, Inc.		1,791		333,681
Distribution/Wholesale — 1.0%
Fastenal Co.		10,593		387,810
Fossil Group, Inc.†		2,429		135,732
Genuine Parts Co.		3,412		282,821
HD Supply Holdings, Inc.†		14,409		412,386
Ingram Micro, Inc., Class A		209		5,693
LKQ Corp.†		7,340		208,162
Watsco, Inc.		627		74,287
WW Grainger, Inc.		3,115		669,756
				2,176,647
Diversified Financial Services — 0.3%
Julius Baer Group, Ltd.(1)		15,439		702,445
Diversified Manufacturing Operations — 0.7%
A.O. Smith Corp.		1,791		116,755
Carlisle Cos., Inc.		341		29,797
Colfax Corp.†		4,400		131,604
Ingersoll-Rand PLC		446		22,643
Parker-Hannifin Corp.		1,515		147,410
Textron, Inc.		30,570		1,150,655
				1,598,864
Diversified Operations — 0.0%
Leucadia National Corp.		1,062		21,516
Drug Delivery Systems — 0.5%
Catalent, Inc.†		13,200		320,760
DexCom, Inc.†		9,651		828,635
				1,149,395

194

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Products — 0.2%
The Honest Company, Inc.†(2)(3)(4)		1,850	$	84,647
Vipshop Holdings, Ltd. ADR†		16,400		275,520
Wayfair, Inc., Class A†		3,930		137,786
				497,953
E-Commerce/Services — 1.3%
Coupons.com, Inc.†		5,809		52,281
Ctrip.com International, Ltd. ADR†		2,900		183,222
Expedia, Inc.		2,379		279,961
Groupon, Inc.†		11,952		38,964
IAC/InterActiveCorp		1,772		115,658
Liberty Ventures, Series A†		4,244		171,245
MercadoLibre, Inc.		2,000		182,120
Netflix, Inc.†		950		98,097
TripAdvisor, Inc.†		4,606		290,270
Zillow Group, Inc., Class A†		15,834		454,911
Zillow Group, Inc., Class C†		32,868		887,436
				2,754,165
E-Services/Consulting — 0.7%
CDW Corp.		35,438		1,447,997
Electric Products-Misc. — 0.7%
AMETEK, Inc.		30,871		1,615,171
Electric-Transmission — 0.0%
ITC Holdings Corp.		1,381		46,043
Electronic Components-Misc. — 0.1%
Gentex Corp.		11,349		175,910
Jabil Circuit, Inc.		868		19,417
				195,327
Electronic Components-Semiconductors — 1.3%
Altera Corp.		2,258		113,081
ARM Holdings PLC ADR		10,600		458,450
Freescale Semiconductor, Ltd.†		2,443		89,365
IPG Photonics Corp.†		3,233		245,611
Microchip Technology, Inc.		10,432		449,515
Microsemi Corp.†		4,500		147,690
ON Semiconductor Corp.†		9,560		89,864
Qorvo, Inc.†		3,605		162,405
Skyworks Solutions, Inc.		9,912		834,690
Xilinx, Inc.		7,541		319,738
				2,910,409
Electronic Connectors — 0.4%
Amphenol Corp., Class A		18,355		935,371
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		7,062		146,042
Synopsys, Inc.†		273		12,607
				158,649
Electronic Measurement Instruments — 0.3%
Agilent Technologies, Inc.		7,400		254,042
FLIR Systems, Inc.		2,133		59,703
Keysight Technologies, Inc.†		6,429		198,270
National Instruments Corp.		596		16,563
Trimble Navigation, Ltd.†		8,132		133,527
				662,105

Security Description	Shares		Value (Note 2)
Electronic Security Devices — 0.4%
Allegion PLC		8,709	$	502,161
Tyco International PLC		8,881		297,158
				799,319
Energy-Alternate Sources — 0.2%
First Solar, Inc.†		7,493		320,326
SolarCity Corp.†		1,427		60,947
SunEdison, Inc.†		6,048		43,424
TerraForm Power, Inc., Class A		63		896
				425,593
Engineering/R&D Services — 0.0%
AECOM†		478		13,150
Enterprise Software/Service — 2.3%
CDK Global, Inc.		3,867		184,765
Guidewire Software, Inc.†		14,200		746,636
Inovalon Holdings, Inc., Class A†		6,311		131,458
Qlik Technologies, Inc.†		4,500		164,025
Tyler Technologies, Inc.†		4,334		647,110
Ultimate Software Group, Inc.†		688		123,159
Veeva Systems, Inc., Class A†		64,584		1,511,911
Workday, Inc., Class A†		22,065		1,519,396
				5,028,460
Entertainment Software — 0.3%
Electronic Arts, Inc.†		7,591		514,290
MSG Networks, Inc., Class A†		1,483		106,984
				621,274
Filtration/Separation Products — 0.2%
CLARCOR, Inc.		2,700		128,736
Donaldson Co., Inc.		10,265		288,241
				416,977
Finance-Auto Loans — 0.0%
Ally Financial, Inc.†		859		17,506
Credit Acceptance Corp.†		204		40,162
				57,668
Finance-Consumer Loans — 0.4%
LendingClub Corp.†		64,975		859,619
Navient Corp.†		9,451		69,938
Santander Consumer USA Holdings, Inc.†		119		2,430
				931,987
Finance-Credit Card — 0.4%
Alliance Data Systems Corp.†		3,096		801,802
Finance-Investment Banker/Broker — 0.7%
E*TRADE Financial Corp.†		9,900		260,667
Interactive Brokers Group, Inc., Class A		121		4,776
Lazard, Ltd., Class A		10,640		460,712
LPL Financial Holdings, Inc.		6,089		242,159
TD Ameritrade Holding Corp.		16,690		531,410
				1,499,724
Finance-Leasing Companies — 0.3%
AerCap Holdings NV†		18,508		707,746
Air Lease Corp.		130		4,020
				711,766

195

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Mortgage Loan/Banker — 0.3%
CoreLogic, Inc.†		9,876	$	367,683
FNF Group		10,700		379,529
				747,212
Finance-Other Services — 0.6%
CBOE Holdings, Inc.		8,414		564,411
Intercontinental Exchange, Inc.		2,956		694,631
				1,259,042
Food-Baking — 0.2%
Flowers Foods, Inc.		15,692		388,220
Food-Confectionery — 0.4%
Hershey Co.		7,815		718,042
J.M. Smucker Co.		1,400		159,726
				877,768
Food-Dairy Products — 0.1%
WhiteWave Foods Co.†		4,225		169,634
Food-Meat Products — 0.1%
Hormel Foods Corp.		3,229		204,428
Tyson Foods, Inc., Class A		362		15,602
				220,030
Food-Misc./Diversified — 1.3%
Blue Buffalo Pet Products, Inc.†		7,200		128,952
Campbell Soup Co.		2,474		125,382
ConAgra Foods, Inc.		1,401		56,755
Hain Celestial Group, Inc.†		5,075		261,870
Ingredion, Inc.		211		18,422
Kellogg Co.		5,424		360,967
McCormick & Co., Inc.		7,883		647,825
Nomad Foods, Ltd.†(1)		81,285		1,280,414
				2,880,587
Food-Retail — 0.3%
Fresh Market, Inc.†		3,400		76,806
Sprouts Farmers Market, Inc.†		11,000		232,100
Whole Foods Market, Inc.		11,519		364,576
				673,482
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		4,470		174,196
Footwear & Related Apparel — 0.1%
Skechers U.S.A., Inc., Class A†		987		132,337
Wolverine World Wide, Inc.		4,100		88,724
				221,061
Funeral Services & Related Items — 0.2%
Service Corp. International		15,676		424,820
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		1,528		23,424
Garden Products — 0.1%
Scotts Miracle-Gro Co., Class A		976		59,361
Toro Co.		1,343		94,735
				154,096
Gas-Distribution — 0.2%
Atmos Energy Corp.		4,200		244,356
NiSource, Inc.		9,200		170,660
				415,016

Security Description	Shares		Value (Note 2)
Gold Mining — 0.0%
Royal Gold, Inc.		82	$	3,852
Hazardous Waste Disposal — 0.7%
Clean Harbors, Inc.†		956		42,035
Stericycle, Inc.†		10,005		1,393,797
				1,435,832
Heart Monitors — 0.3%
HeartWare International, Inc.†		12,282		642,471
Home Decoration Products — 0.2%
Newell Rubbermaid, Inc.		12,467		495,065
Home Furnishings — 0.1%
Leggett & Platt, Inc.		3,325		137,156
Tempur Sealy International, Inc.†		1,472		105,145
				242,301
Hotels/Motels — 2.4%
Choice Hotels International, Inc.		6,554		312,298
Diamond Resorts International, Inc.†		51,709		1,209,474
Extended Stay America, Inc.		9,940		166,793
Hilton Worldwide Holdings, Inc.		46,724		1,071,849
Marriott International, Inc., Class A		10,622		724,420
Starwood Hotels & Resorts Worldwide, Inc.		9,923		659,681
Wyndham Worldwide Corp.		15,957		1,147,308
				5,291,823
Housewares — 0.0%
Tupperware Brands Corp.		1,137		56,270
Human Resources — 0.3%
ManpowerGroup, Inc.		3,300		270,237
Robert Half International, Inc.		6,559		335,558
Team Health Holdings, Inc.†		2,300		124,269
				730,064
Independent Power Producers — 0.0%
Calpine Corp.†		1,042		15,213
Industrial Audio & Video Products — 0.6%
GoPro, Inc., Class A†		2,152		67,186
IMAX Corp.†		35,309		1,193,091
				1,260,277
Industrial Automated/Robotic — 0.4%
Cognex Corp.		5,902		202,852
Nordson Corp.		3,668		230,864
Rockwell Automation, Inc.		3,246		329,371
				763,087
Industrial Gases — 0.2%
Airgas, Inc.		3,868		345,528
Instruments-Controls — 0.5%
Mettler-Toledo International, Inc.†		1,874		533,603
Sensata Technologies Holding NV†		11,500		509,910
				1,043,513
Instruments-Scientific — 0.2%
FEI Co.		2,400		175,296
PerkinElmer, Inc.		423		19,441
Waters Corp.†		1,995		235,829
				430,566

196

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance Brokers — 0.5%
Aon PLC		11,401	$	1,010,242
Arthur J. Gallagher & Co.		2,249		92,839
Erie Indemnity Co., Class A		585		48,520
				1,151,601
Insurance-Property/Casualty — 0.1%
AmTrust Financial Services, Inc.		51		3,212
Markel Corp.†		33		26,461
Progressive Corp.		6,900		211,416
				241,089
Internet Application Software — 0.2%
Splunk, Inc.†		6,323		349,978
Internet Content-Entertainment — 0.4%
Pandora Media, Inc.†		11,301		241,163
Twitter, Inc.†		26,140		704,212
				945,375
Internet Content-Information/News — 0.5%
LinkedIn Corp., Class A†		5,640		1,072,333
Yelp, Inc.†		1,567		33,941
				1,106,274
Internet Incubators — 0.1%
HomeAway, Inc.†		4,034		107,062
Internet Infrastructure Software — 0.2%
F5 Networks, Inc.†		3,235		374,613
Internet Security — 0.3%
FireEye, Inc.†		3,328		105,897
VeriSign, Inc.†		8,996		634,758
				740,655
Investment Management/Advisor Services — 0.9%
Affiliated Managers Group, Inc.†		1,320		225,707
Ameriprise Financial, Inc.		3,646		397,888
Artisan Partners Asset Management, Inc., Class A		4,155		146,381
Eaton Vance Corp.		2,842		94,980
Federated Investors, Inc., Class B		2,261		65,343
Financial Engines, Inc.		3,600		106,092
Invesco, Ltd.		5,566		173,826
Legg Mason, Inc.		771		32,081
NorthStar Asset Management Group, Inc.		4,678		67,176
T. Rowe Price Group, Inc.		6,289		437,085
Waddell & Reed Financial, Inc., Class A		1,907		66,306
WisdomTree Investments, Inc.		9,900		159,687
				1,972,552
Lighting Products & Systems — 0.3%
Acuity Brands, Inc.		3,559		624,889
Machine Tools & Related Products — 0.0%
Lincoln Electric Holdings, Inc.		1,679		88,030
Machinery-Electrical — 0.0%
Babcock & Wilcox Enterprises, Inc.†		257		4,318
Regal Beloit Corp.		56		3,161
				7,479

Security Description	Shares		Value (Note 2)
Machinery-General Industrial — 1.2%
BWX Technologies, Inc.		514	$	13,549
IDEX Corp.		4,964		353,933
Middleby Corp.†		9,278		975,953
Roper Technologies, Inc.		3,828		599,848
Wabtec Corp.		6,230		548,551
Zebra Technologies Corp., Class A†		1,247		95,458
				2,587,292
Machinery-Pumps — 0.5%
Flowserve Corp.		10,011		411,853
Graco, Inc.		7,014		470,148
Xylem, Inc.		5,500		180,675
				1,062,676
Medical Information Systems — 1.7%
Allscripts Healthcare Solutions, Inc.†		1,357		16,827
athenahealth, Inc.†		8,569		1,142,676
Cerner Corp.†		38,839		2,328,786
IMS Health Holdings, Inc.†		3,225		93,848
Medidata Solutions, Inc.†		2,700		113,697
				3,695,834
Medical Instruments — 1.9%
Bio-Techne Corp.		370		34,210
Boston Scientific Corp.†		74,680		1,225,499
Bruker Corp.†		9,178		150,795
Edwards Lifesciences Corp.†		2,596		369,073
Intuitive Surgical, Inc.†		4,501		2,068,570
St. Jude Medical, Inc.		3,827		241,445
				4,089,592
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings†		801		86,884
Medical Products — 1.4%
Becton Dickinson and Co.		10,115		1,341,856
Cooper Cos., Inc.		793		118,046
Henry Schein, Inc.†		4,017		533,136
Hill-Rom Holdings, Inc.		1,256		65,300
Sirona Dental Systems, Inc.†		3,939		367,666
Teleflex, Inc.		2,000		248,420
Varian Medical Systems, Inc.†		2,407		177,589
West Pharmaceutical Services, Inc.		2,400		129,888
Zimmer Biomet Holdings, Inc.		253		23,764
				3,005,665
Medical-Biomedical/Gene — 2.8%
Alnylam Pharmaceuticals, Inc.†		7,044		566,056
BioMarin Pharmaceutical, Inc.†		7,968		839,190
Bluebird Bio, Inc.†		1,991		170,330
Charles River Laboratories International, Inc.†		1,142		72,540
Illumina, Inc.†		3,701		650,710
Incyte Corp.†		13,287		1,465,955
Intercept Pharmaceuticals, Inc.†		1,084		179,792
Intrexon Corp.†		1,117		35,521
Isis Pharmaceuticals, Inc.†		9,089		367,377
Juno Therapeutics, Inc.†		287		11,678
Medivation, Inc.†		3,794		161,245

197

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Puma Biotechnology, Inc.†		1,603	$	120,802
Regeneron Pharmaceuticals, Inc.†		1,524		708,873
Seattle Genetics, Inc.†		5,890		227,118
Ultragenyx Pharmaceutical, Inc.†		1,000		96,310
United Therapeutics Corp.†		2,115		277,573
Vertex Pharmaceuticals, Inc.†		1,458		151,836
				6,102,906
Medical-Drugs — 3.1%
ACADIA Pharmaceuticals, Inc.†		5,400		178,578
Akorn, Inc.†		6,490		184,997
Alkermes PLC†		10,670		626,009
Allergan PLC†		4,452		1,210,098
Baxalta, Inc.		7,300		230,023
Clovis Oncology, Inc.†		1,000		91,960
Eisai Co., Ltd.(1)		13,600		806,670
Endo International PLC†		6,456		447,272
Horizon Pharma PLC†		4,900		97,118
Ironwood Pharmaceuticals, Inc.†		5,000		52,100
Jazz Pharmaceuticals PLC†		2,773		368,282
Mallinckrodt PLC†		3,011		192,523
Ono Pharmaceutical Co., Ltd.(1)		7,580		901,595
OPKO Health, Inc.†		5,667		47,660
Pacira Pharmaceuticals, Inc.†		2,600		106,860
Quintiles Transnational Holdings, Inc.†		3,809		264,992
Zoetis, Inc.		23,665		974,525
				6,781,262
Medical-Generic Drugs — 0.6%
Mylan NV†		29,111		1,172,009
Perrigo Co. PLC		652		102,540
				1,274,549
Medical-HMO — 0.3%
Centene Corp.†		2,869		155,586
Health Net, Inc.†		306		18,427
Humana, Inc.		1,500		268,500
WellCare Health Plans, Inc.†		2,400		206,832
				649,345
Medical-Hospitals — 0.2%
Acadia Healthcare Co., Inc.†		1,246		82,572
LifePoint Health, Inc.†		103		7,303
Tenet Healthcare Corp.†		2,393		88,349
Universal Health Services, Inc., Class B		1,697		211,803
				390,027
Medical-Outpatient/Home Medical — 0.0%
Premier, Inc., Class A†		907		31,174
Medical-Wholesale Drug Distribution — 0.5%
AmerisourceBergen Corp.		11,101		1,054,484
Metal Processors & Fabrication — 0.1%
Rexnord Corp.†		8,500		144,330
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		278		18,337

Security Description	Shares		Value (Note 2)
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp.		2,290	$	84,272
Motorcycle/Motor Scooter — 0.1%
Harley-Davidson, Inc.		5,247		288,060
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		296		12,219
Multimedia — 0.2%
FactSet Research Systems, Inc.		1,857		296,767
Markit, Ltd.†		7,300		211,700
				508,467
Networking Products — 0.7%
Arista Networks, Inc.†		13,019		796,633
Palo Alto Networks, Inc.†		4,150		713,800
				1,510,433
Non-Hazardous Waste Disposal — 0.1%
Covanta Holding Corp.		2,761		48,179
Waste Connections, Inc.		2,600		126,308
				174,487
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		1,882		37,358
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		2,041		115,459
Oil Companies-Exploration & Production — 1.6%
Cabot Oil & Gas Corp.		15,181		331,857
Cimarex Energy Co.		1,400		143,472
Concho Resources, Inc.†		5,840		574,072
Continental Resources, Inc.†		2,980		86,331
Diamondback Energy, Inc.†		9,642		622,873
Energen Corp.		9,671		482,196
EQT Corp.		2,500		161,925
Memorial Resource Development Corp.†		1,992		35,019
Pioneer Natural Resources Co.		6,476		787,741
Range Resources Corp.		4,768		153,148
WPX Energy, Inc.†		6,700		44,354
				3,422,988
Oil Field Machinery & Equipment — 0.1%
FMC Technologies, Inc.†		3,627		112,437
Oil Refining & Marketing — 0.1%
CVR Energy, Inc.		129		5,296
HollyFrontier Corp.		700		34,188
Murphy USA, Inc.†		65		3,572
Tesoro Corp.		2,385		231,917
				274,973
Oil-Field Services — 0.1%
Oceaneering International, Inc.		3,316		130,252
RPC, Inc.		172		1,522
Targa Resources Corp.		659		33,952
				165,726
Paper & Related Products — 0.2%
International Paper Co.		9,650		364,673
Patient Monitoring Equipment — 0.4%
Insulet Corp.†		32,892		852,232

198

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Physicians Practice Management — 0.4%
Envision Healthcare Holdings, Inc.†		13,805	$	507,886
MEDNAX, Inc.†		4,801		368,669
				876,555
Pipelines — 0.1%
Columbia Pipeline Group, Inc.		4,600		84,134
ONEOK, Inc.		2,267		72,997
				157,131
Platinum — 0.1%
Stillwater Mining Co.†		17,400		179,742
Poultry — 0.0%
Pilgrim's Pride Corp.		166		3,449
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		5,400		162,486
Hubbell, Inc., Class B		2,384		202,521
SunPower Corp.†		98		1,964
				366,971
Precious Metals — 0.0%
Tahoe Resources, Inc.		494		3,824
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		2,642		38,468
Quarrying — 0.1%
Compass Minerals International, Inc.		2,411		188,950
Radio — 0.1%
Sirius XM Holdings, Inc.†		55,471		207,462
Real Estate Investment Trusts — 2.5%
American Campus Communities, Inc.		3,800		137,712
Boston Properties, Inc.		3,379		400,074
Columbia Property Trust, Inc.		368		8,538
Crown Castle International Corp.		17,454		1,376,597
Digital Realty Trust, Inc.		1,880		122,802
Empire State Realty Trust, Inc., Class A		1,266		21,560
Equinix, Inc.		5,936		1,622,902
Equity LifeStyle Properties, Inc.		2,032		119,014
Extra Space Storage, Inc.		2,810		216,820
Federal Realty Investment Trust		3,456		471,571
Gaming and Leisure Properties, Inc.		288		8,554
Healthcare Trust of America, Inc., Class A		295		7,230
Iron Mountain, Inc.		6,991		216,861
Lamar Advertising Co.,Class A		1,953		101,907
Omega Healthcare Investors, Inc.		1,198		42,110
Plum Creek Timber Co., Inc.		1,737		68,629
Post Properties, Inc.		443		25,822
Tanger Factory Outlet Centers, Inc.		2,312		76,227
Taubman Centers, Inc.		553		38,201
Welltower, Inc.		3,816		258,419
Weyerhaeuser Co.		1,074		29,363
				5,370,913

Security Description	Shares		Value (Note 2)
Real Estate Management/Services — 0.8%
CBRE Group, Inc., Class A†		38,787	$	1,241,184
Jones Lang LaSalle, Inc.		2,387		343,179
Realogy Holdings Corp.†		1,287		48,430
WeWork Cos., Inc., Class A†(2)(3)(4)		2,244		73,804
				1,706,597
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		386		44,290
Recreational Vehicles — 0.2%
Brunswick Corp.		1,648		78,923
Polaris Industries, Inc.		3,403		407,917
				486,840
Rental Auto/Equipment — 0.3%
Aaron's, Inc.		231		8,342
Avis Budget Group, Inc.†		6,353		277,499
Hertz Global Holdings, Inc.†		14,096		235,826
United Rentals, Inc.†		2,340		140,517
				662,184
Resort/Theme Parks — 0.0%
Six Flags Entertainment Corp.		1,735		79,428
Respiratory Products — 0.1%
ResMed, Inc.		3,400		173,264
Retail-Apparel/Shoe — 2.2%
Burlington Stores, Inc.†		6,000		306,240
Coach, Inc.		8,532		246,831
DSW, Inc., Class A		104		2,632
Foot Locker, Inc.		2,918		210,009
Gap, Inc.		5,750		163,875
Kate Spade & Co.†		56,949		1,088,295
L Brands, Inc.		11,571		1,042,894
lululemon athletica, Inc.†		4,991		252,794
PVH Corp.		2,800		285,432
Ross Stores, Inc.		23,185		1,123,777
Urban Outfitters, Inc.†		2,358		69,278
				4,792,057
Retail-Arts & Crafts — 0.1%
Michaels Cos., Inc.†		9,812		226,657
Retail-Auto Parts — 1.6%
Advance Auto Parts, Inc.		6,190		1,173,191
AutoZone, Inc.†		1,752		1,268,150
O'Reilly Automotive, Inc.†		4,636		1,159,000
				3,600,341
Retail-Automobile — 0.6%
AutoNation, Inc.†		1,758		102,280
CarMax, Inc.†		16,549		981,687
Copart, Inc.†		6,852		225,431
Penske Automotive Group, Inc.		384		18,601
				1,327,999
Retail-Bedding — 0.1%
Bed Bath & Beyond, Inc.†		4,134		235,721

199

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Catalog Shopping — 0.2%
Liberty Interactive Corp. QVC Group, Class A†		11,857	$	311,009
MSC Industrial Direct Co., Inc., Class A		352		21,483
				332,492
Retail-Discount — 0.9%
Dollar General Corp.		17,129		1,240,825
Dollar Tree, Inc.†		10,319		687,864
				1,928,689
Retail-Drug Store — 0.2%
Rite Aid Corp.†		58,774		356,758
Retail-Gardening Products — 0.3%
Tractor Supply Co.		8,692		732,909
Retail-Home Furnishings — 0.1%
Restoration Hardware Holdings, Inc.†		1,800		167,958
Retail-Jewelry — 0.5%
Signet Jewelers, Ltd.		4,437		604,009
Tiffany & Co.		6,955		537,065
				1,141,074
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		5,410		413,053
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		3,386		242,810
Sears Holdings Corp.†		32		723
				243,533
Retail-Misc./Diversified — 0.2%
CST Brands, Inc.		1,529		51,466
Five Below, Inc.†		4,500		151,110
PriceSmart, Inc.		1,700		131,478
Sally Beauty Holdings, Inc.†		3,805		90,369
				424,423
Retail-Office Supplies — 0.0%
Office Depot, Inc.†		2,337		15,004
Retail-Perfume & Cosmetics — 0.2%
Ulta Salon Cosmetics & Fragrance, Inc.†		2,749		449,049
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		314		11,241
Retail-Regional Department Stores — 0.1%
Dillard's, Inc., Class A		67		5,855
Macy's, Inc.		5,943		304,995
				310,850
Retail-Restaurants — 2.8%
Bloomin' Brands, Inc.		9,000		163,620
Brinker International, Inc.		5,174		272,515
Chipotle Mexican Grill, Inc.†		4,037		2,907,649
Darden Restaurants, Inc.		604		41,398
Domino's Pizza, Inc.		1,331		143,628
Dunkin' Brands Group, Inc.		2,322		113,778
Jack in the Box, Inc.		10,582		815,237

Security Description	Shares		Value (Note 2)
Retail-Restaurants (continued)
Panera Bread Co., Class A†		8,231	$	1,591,958
Papa John's International, Inc.		2,700		184,896
Restaurant Brands International LP		20		694
				6,235,373
Retail-Sporting Goods — 0.1%
Cabela's, Inc.†		115		5,244
Dick's Sporting Goods, Inc.		4,529		224,684
Vista Outdoor, Inc.†		200		8,886
				238,814
Retail-Vitamins & Nutrition Supplements — 0.0%
GNC Holdings, Inc., Class A		2,089		84,437
Retirement/Aged Care — 0.0%
Brookdale Senior Living, Inc.†		959		22,019
Satellite Telecom — 0.3%
DigitalGlobe, Inc.†		39,903		758,955
Semiconductor Components-Integrated Circuits — 0.9%
Analog Devices, Inc.		6,923		390,526
Atmel Corp.		10,072		81,281
Integrated Device Technology, Inc.†		4,300		87,290
Linear Technology Corp.		13,579		547,913
Maxim Integrated Products, Inc.		2,363		78,924
NXP Semiconductors NV†		8,927		777,274
				1,963,208
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		17,596		258,485
KLA-Tencor Corp.		9,359		467,950
Lam Research Corp.		2,728		178,220
				904,655
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		1,173		125,687
Silver Mining — 0.1%
Silver Wheaton Corp.		9,400		112,894
Soap & Cleaning Preparation — 0.2%
Church & Dwight Co., Inc.		6,457		541,742
Steel Pipe & Tube — 0.1%
Valmont Industries, Inc.		1,429		135,598
Steel-Producers — 0.0%
Carpenter Technology Corp.		2,100		62,517
Steel Dynamics, Inc.		646		11,098
				73,615
Telecom Services — 0.0%
Level 3 Communications, Inc.†		830		36,263
Telecommunication Equipment — 0.0%
ARRIS Group, Inc.†		548		14,231
CommScope Holding Co., Inc.†		1,124		33,754
Juniper Networks, Inc.		1,686		43,347
				91,332
Telephone-Integrated — 0.0%
Zayo Group Holdings, Inc.†		2,996		75,979
Television — 0.0%
AMC Networks, Inc., Class A†		1,444		105,657

200

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Textile-Home Furnishings — 0.1%
Mohawk Industries, Inc.†		1,045	$	189,971
Theaters — 0.1%
Cinemark Holdings, Inc.		2,795		90,810
Regal Entertainment Group, Class A		1,996		37,305
				128,115
Therapeutics — 0.1%
Agios Pharmaceuticals, Inc.†		1,323		93,391
Dyax Corp.†		5,400		103,086
Neurocrine Biosciences, Inc.†		1,800		71,622
				268,099
Tools-Hand Held — 0.2%
Snap-on, Inc.		3,302		498,404
Stanley Black & Decker, Inc.		340		32,973
				531,377
Toys — 0.1%
Hasbro, Inc.		2,181		157,337
Mattel, Inc.		5,800		122,148
				279,485
Transactional Software — 0.1%
Black Knight Financial Services, Inc., Class A†		6,537		212,779
Solera Holdings, Inc.		1,619		87,426
				300,205
Transport-Equipment & Leasing — 0.0%
AMERCO		83		32,658
Transport-Marine — 0.1%
Kirby Corp.†		2,000		123,900
Teekay Corp.		435		12,893
				136,793
Transport-Rail — 0.6%
Genesee & Wyoming, Inc., Class A†		4,199		248,077
Kansas City Southern		12,863		1,168,989
				1,417,066
Transport-Services — 0.4%
C.H. Robinson Worldwide, Inc.		6,419		435,080
Expeditors International of Washington, Inc.		8,916		419,498
				854,578
Transport-Truck — 0.8%
J.B. Hunt Transport Services, Inc.		5,819		415,477
Landstar System, Inc.		19,332		1,227,002
Old Dominion Freight Line, Inc.†		1,684		102,724
				1,745,203
Veterinary Diagnostics — 0.0%
VCA, Inc.†		1,870		98,456
Vitamins & Nutrition Products — 0.4%
Herbalife, Ltd.†		1,508		82,186
Mead Johnson Nutrition Co.		11,087		780,525
				862,711

Security Description	Shares/ Principal Amount		Value (Note 2)
Web Hosting/Design — 0.0%
GoDaddy, Inc., Class A†		568	$	14,319
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		7,190		491,652
X-Ray Equipment — 0.5%
Hologic, Inc.†		28,730		1,124,205
Total Common Stocks (cost $186,074,518)				207,520,688
CONVERTIBLE PREFERRED SECURITIES — 1.6%
Advertising Services — 0.0%
Nanigans, Inc., Series B†(2)(3)(4)	$	6,300		68,787
Applications Software — 0.1%
Dropbox, Inc., Series A-1†(2)(3)(4)		5,146		96,799
Dropbox, Inc., Series C†(2)(3)(4)		3,310		62,947
Dropbox, Inc., Series A†(2)(3)(4)		1,047		19,695
Tanium, Inc., Series G†(2)(3)(4)		10,873		161,930
				341,371
Computer Software — 0.1%
Zuora, Inc., Series F†(2)(3)(4)		35,671		135,525
Computers-Memory Devices — 0.1%
Pure Storage, Inc., Series F†(2)(3)(4)		7,349		122,728
E-Commerce/Products — 0.2%
Flipkart Online Services, Ltd. Series G†(2)(3)(4)		721		100,241
One Kings Lane, Inc., Series E†(2)(3)(4)		11,800		159,182
The Honest Company, Inc.†(2)(3)(4)		4,317		197,524
				456,947
E-Commerce/Services — 0.6%
Airbnb, Inc., Series D†(2)(3)(4)		2,091		194,660
Airbnb, Inc., Series E†(2)(3)(4)		2,711		252,379
Uber Technologies, Inc.†(2)(3)(4)		25,472		1,009,674
				1,456,713
Electronic Forms — 0.1%
Docusign, Inc., Series B†(2)(3)(4)		358		6,645
Docusign, Inc., Series B-1†(2)(3)(4)		107		1,986
Docusign, Inc., Series D†(2)(3)(4)		257		4,770
Docusign, Inc., Series E†(2)(3)(4)		6,656		123,535
Docusign, Inc., Series F†(2)(3)(4)		1,498		27,803
				164,739
Entertainment Software — 0.2%
DraftKings, Inc., Series D†(2)(3)(4)		20,325		155,799
DraftKings, Inc., Series D-1†(2)(3)(4)		23,516		180,260
				336,059
Real Estate Management/Services — 0.1%
WeWork Cos., Inc. Series D-1†(2)(3)(4)		3,588		118,008
WeWork Cos., Inc. Series D-2†(2)(3)(4)		2,819		92,715
WeWork Cos., Inc. Series E†(2)(3)(4)		2,120		69,726
				280,449

201

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount			Value (Note 2)
Web Portals/ISP — 0.1%
Pinterest, Inc., Series G†(2)(3)(4)		3,898		$	139,921
Total Convertible Preferred Securities (cost $2,443,089)					3,503,239
EXCHANGE-TRADED FUNDS — 1.2%
iShares Russell Midcap Growth Index Fund (cost $5,326,609)		30,057			2,663,351
PREFERRED SECURITIES — 0.0%
Computer Graphics — 0.0%
Atlassian Class A FDR†(2)(3)(4)		1,588			30,172
Atlassian Series A†(2)(3)(4)		1,534			29,146
Total Preferred Securities (cost $49,952)					59,318
Total Long-Term Investment Securities (cost $193,894,168)					213,746,596
SHORT-TERM INVESTMENT SECURITIES — 0.1%
Registered Investment Companies — 0.1%
T. Rowe Price Reserve Investment Fund 0.10%(5) (cost $160,899)		160,899			160,899
REPURCHASE AGREEMENTS — 2.1%
Bank of America Securities LLC Joint Repurchase Agreement(6)	$	635,000			635,000
Barclays Capital, Inc. Joint Repurchase Agreement(6)		880,000			880,000
BNP Paribas SA Joint Repurchase Agreement(6)		880,000			880,000
Deutsche Bank AG Joint Repurchase Agreement(6)		625,000			625,000
RBS Securities, Inc. Joint Repurchase Agreement(6)		990,000			990,000
State Street Bank and Trust Co. Joint Repurchase Agreement(6)		544,000			544,000
Total Repurchase Agreements (cost $4,554,000)					4,554,000
TOTAL INVESTMENTS (cost $198,609,067)(7)		99.8	%		218,461,495
Other assets less liabilities		0.2			534,913
NET ASSETS		100.0	%	$	218,996,408

†  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, 2015, the aggregate value of these securities was $84,300 representing 0.0% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security was valued using fair value procedures at September 30, 2015. The aggregate value of these securities was $5,733,919 representing 2.6% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(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, 2015, the aggregate value of these securities was $3,947,645 representing 1.8% 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, 2015, the Mid Cap Growth Portfolio held the following restricted securities:

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Atlassian Class A FDR	04/09/2014		745	$	11,920	$	14,155	$	19.00		0.01	%
Atlassian Series 1	04/09/2014		775		12,400		14,725		19.00		0.01
Atlassian Series 2	04/09/2014		2,075		33,200		39,425		19.00		0.02
Dropbox, Inc. Class A .	11/07/2014		3,515		67,141		59,698		16.98		0.03
Dropbox, Inc. Class B	05/01/2012		844		7,637		14,334		16.98		0.01
The Honest Company, Inc.	08/20/2014		1,850		50,056		84,647		45.76		0.04
WeWork Cos., Inc. Class A	12/09/2014		722		12,022
	05/26/2015		1,286		18,224
	06/23/2015		236		7,762
			2,244		38,008		73,804		32.89		0.03
Convertible Preferred Securities
Airbnb, Inc. Series D	04/16/2014		2,091		85,131		194,660		93.09		0.09
Airbnb, Inc. Series E	06/24/2015		2,392		222,682
	07/14/2015		319		29,697
			2,711		252,379		252,379		93.09		0.12
DraftKings, Inc. Series D	08/11/2015		20,325		155,799		155,799		7.67		0.07
DraftKings, Inc. Series D-1	07/13/2015		11,604		62,500
	07/17/2015		839		4,519
	08/11/2015		11,073		59,638
			23,516		126,657		180,260		7.67		0.08
Dropbox, Inc. Series A-1	05/01/2012		5,146		46,567		96,799		18.81		0.04
Dropbox, Inc. Series C	01/28/2014		3,310		63,225		62,947		19.02		0.03
Dropbox, Inc. Series A	05/01/2012		1,047		9,474		19,695		18.81		0.01
Docusign, Inc. Series B	02/28/2014		358		4,701		6,645		18.56		0.00
Docusign, Inc. Series B-1	02/28/2014		107		1,405		1,986		18.56		0.00
Docusign, Inc. Series D	02/28/2014		257		3,375		4,770		18.56		0.00

202

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Description Acquisition
Date Shares/
Principal
Amount Acquisition
Cost Value Value
Per
Share % of
Net
Assets

Convertible Preferred Securities (continued)

Docusign, Inc. Series E	02/28/2014	6,656	$	87,409	$	123,535	$	18.56	0.06	%
Docusign, Inc. Series F	04/30/2015	1,498		28,601		27,803		18.56	0.01
Flipkart Online Services, Ltd. Series G	12/17/2014	721		86,347		100,241		139.03	0.05
Nanigans, Inc. Series B	03/16/2015	6,300		68,787		68,787		10.92	0.03
One Kings Lane, Inc. Series E	01/28/2014	11,800		181,921		159,182		13.49	0.07
Pinterest, Inc. Series G	03/19/2015	3,898		139,921		139,921		35.90	0.06
Pure Storage, Inc. Series F	04/16/2014	7,349		115,570		122,728		16.70	0.06
Tanium, Inc. Series G	08/26/2015	10,873		161,930		161,930		14.89	0.08
The Honest Company, Inc.	08/20/2014	4,317		116,806		197,524		45.75	0.09
Uber Technologies, Inc.	06/05/2014	25,472		395,148		1,009,674		39.64	0.46
WeWork Cos., Inc. Series D-1	12/09/2014	3,588		59,744		118,008		32.89	0.05
WeWork Cos., Inc. Series D-2	12/09/2014	2,819		46,940		92,715		32.89	0.04
WeWork Cos., Inc. Series E	06/23/2015	2,120		69,726		69,726		32.89	0.03
Zuora, Inc. Series F	01/15/2015	35,671		135,525		135,525		3.80	0.06
Preferred Securities
Atlassian Class A FDR	04/09/2014	1,588		25,408		30,172		19.00	0.01
Atlassian Series A	04/09/2014	1,534		24,544		29,146		19.00	0.01
					$	3,863,345			1.76	%

(5)  The rate shown is the 7-day yield as of September 30, 2015.

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

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

ADR — American Depositary Receipt

ETF — Exchange Traded Fund

FDR — Federal Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2015	$	558,927	$	545,160	$	(13,767	)

203

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Apparel Manufacturers	$	1,802,840	$	789,517	$	—	$	2,592,357
Applications Software		4,437,285		—		74,032		4,511,317
Computer Graphics		—		—		68,305		68,305
Consumer Products-Misc.		530,443		1,253,278		—		1,783,721
Diversified Financial Services		—		702,445		—		702,445
E-Commerce/Products		413,306		—		84,647		497,953
Food-Misc./Diversified		1,600,173		1,280,414		—		2,880,587
Medical-Drugs		5,072,997		1,708,265		—		6,781,262
Real Estate Management/Services		1,632,793		—		73,804		1,706,597
Other Industries		185,996,144		—		—		185,996,144
Convertible Preferred Securities		—		—		3,503,239		3,503,239
Exchange-Traded Funds		2,663,351		—		—		2,663,351
Preferred Securities		—		—		59,318		59,318
Short-Term Investment Securities		160,899		—		—		160,899
Repurchase Agreements		—		4,554,000		—		4,554,000
Total Investments at Value	$	204,310,231	$	10,287,919	$	3,863,345	$	218,461,495
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	13,767	$	—	$	—	$	13,767

*  For a detailed presentation of investments, 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 transfers between Levels during the reporting period.

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

	Common Stocks			Convertible Preferred Securities			Preferred Securities
Balance as of March 31, 2015	$	212,663		$	2,216,627		$	59,318
Accrued Discounts		—			—			—
Accrued Premiums		—			—			—
Realized Gain		—			—			—
Realized Loss		—			—			—
Change in unrealized appreciation(1)		71,251			969,207			—
Change in unrealized depreciation(1)		(9,112	)		(477,688	)		—
Net purchases		25,986			1,190,241			—
Net sales		—			(395,148	)		—
Transfers into Level 3		—			—			—
Transfers out of Level 3		—			—			—
Balance as of September 30, 2015	$	300,788		$	3,503,239		$	59,318

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at June 30, 2015 includes:

Common Stocks		Convertible Preferred Securities		Preferred Securities
$	62,139	$	491,519	$	—

Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2015.

204

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

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

Description	Value at 09/30/15	Valuation Technique(s)	Unobservable Input(1)	Range (weighted average)
Common Stock	$68,305	Market Approach	Enterprise Value/Sales Multiple*	8.00x
			CY2015 Price/Free Cash Flow Multiple*	30.0x
	$158,451	Market Approach	Transaction Price*	$32.88957 - $45.755 ($39.3223)
	$74,032	Market Approach with Option Pricing Method ("OPM") and Income Approach	Transaction Price* Enterprise Value/Revenue Multiple* Discount for Lack of Marketability	$19.1012 4.86x - 12.8x(8.83x) 10% - 15% (12.5%)
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	3.0%
			OPM assumptions:
			Volatility*	35.0%
			Term to liquidity event in years	1.0
			Risk-free rate	0.33%
Convertible Preferred Securities	$2,776,908	Market Approach	Transaction Price*	$3.7993 - $93.0944 ($34.6991)
	$287,467	Market Approach	Estimate Revenue Multiple*	4.9x - 6.5x (5.7x)
			Discount for Lack of Marketability	10.00%
	$159,182	Market Approach with Option Pricing Method ("OPM")	Next Twelve Months Revenue Mutliple* Discount for Lack of Marketability	1.0x 10.0%
			OPM assumptions:
			Volatility*	40.0%
			Term to liquidity event in years	1.2
			Risk-free rate	0.6390%
	$100,241	Market Approach and Income Approach	Transaction Price* Enterprise Value/Revenue Multiple*	$142.2400 4.8x
			Discount for Lack of Marketability	15.0%
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	4.0%
	$62,947	Market Approach with Option Pricing Method ("OPM") and Income Approach	Transaction Price* Enterprise Value/Revenue Multiple* Discount for Lack of Marketability	$19.1012 4.86x - 12.8x (8.83x) 10% - 15% (12.5%)
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	3.0%
			OPM assumptions:
			Volatility*	35.0%
			Term to liquidity event in years	1.0
			Risk-free rate	0.33%
	$116,494	Market Approach and Income Approach	Transaction Price* Enterprise Value/Revenue Multiple*	$19.1012 12.8x
			Discount for Lack of Marketability	15.0%
			Weighted Average Cost of Capital	17%
			Perpetual Growth Rate*	3.0%
Preferred Securities	$59,318	Market Approach	Enterprise Value/Sales Multiple*	8.00x
			CY2015 Price/Free Cash Flow Multiple*	30.0x

(1)  The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have a inverse relationship.

See Notes to Financial Statements

205

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	10.2	%
Electric-Integrated	5.9
Oil Companies-Exploration & Production	5.2
Banks-Commercial	3.3
Banks-Super Regional	2.9
Insurance-Multi-line	2.2
Food-Misc./Diversified	2.0
Insurance-Life/Health	2.0
Diversified Manufacturing Operations	1.8
Insurance-Reinsurance	1.7
Registered Investment Companies	1.6
Gas-Distribution	1.5
Computers-Memory Devices	1.5
Insurance-Property/Casualty	1.5
Medical Products	1.4
Banks-Fiduciary	1.4
Electronic Components-Semiconductors	1.3
Building & Construction Products-Misc.	1.3
Medical-Drugs	1.2
Retail-Apparel/Shoe	1.2
Chemicals-Specialty	1.1
Exchange-Traded Funds	1.1
Finance-Investment Banker/Broker	1.1
Airlines	1.1
Chemicals-Diversified	1.0
Data Processing/Management	1.0
Semiconductor Components-Integrated Circuits	1.0
Medical Labs & Testing Services	0.9
Repurchase Agreements	0.9
Distribution/Wholesale	0.9
Auto/Truck Parts & Equipment-Original	0.9
Apparel Manufacturers	0.9
Finance-Consumer Loans	0.9
Food-Meat Products	0.8
Containers-Paper/Plastic	0.8
Coatings/Paint	0.8
Finance-Other Services	0.7
Brewery	0.7
Oil Refining & Marketing	0.7
Oil Field Machinery & Equipment	0.7
Rental Auto/Equipment	0.6
Telephone-Integrated	0.6
Insurance Brokers	0.6
Electronic Measurement Instruments	0.6
Medical Instruments	0.6
Building Products-Cement	0.6
Medical-Generic Drugs	0.5
Investment Management/Advisor Services	0.5
Home Decoration Products	0.5
Broadcast Services/Program	0.5
Independent Power Producers	0.5
Tools-Hand Held	0.5
Computer Services	0.5
Retail-Office Supplies	0.5
Television	0.5
Agricultural Chemicals	0.5
Oil-Field Services	0.5
Office Automation & Equipment	0.4
Applications Software	0.4
Transport-Rail	0.4

Food-Confectionery	0.4	%
Commercial Services-Finance	0.4
Medical-Hospitals	0.4
Casino Hotels	0.4
Pipelines	0.4
Food-Retail	0.4
Instruments-Scientific	0.4
Aerospace/Defense-Equipment	0.4
Transport-Marine	0.4
Aerospace/Defense	0.4
Commercial Services	0.4
Electronics-Military	0.4
Retail-Consumer Electronics	0.4
Software Tools	0.4
Agricultural Operations	0.4
Retail-Regional Department Stores	0.3
Finance-Credit Card	0.3
Containers-Metal/Glass	0.3
Dental Supplies & Equipment	0.3
Steel-Producers	0.3
Retail-Auto Parts	0.3
Telecommunication Equipment	0.3
Advertising Services	0.3
Internet Security	0.3
Cosmetics & Toiletries	0.3
Motorcycle/Motor Scooter	0.3
Savings & Loans/Thrifts	0.3
Retail-Restaurants	0.3
Real Estate Management/Services	0.3
Retail-Misc./Diversified	0.3
Physicians Practice Management	0.3
Food-Wholesale/Distribution	0.3
Electric-Distribution	0.3
Vitamins & Nutrition Products	0.3
Building-Residential/Commercial	0.2
Electronic Security Devices	0.2
Retail-Sporting Goods	0.2
Oil & Gas Drilling	0.2
Medical Sterilization Products	0.2
Retail-Mail Order	0.2
Textile-Home Furnishings	0.2
Medical Information Systems	0.2
Machinery-Pumps	0.2
Food-Baking	0.2
Entertainment Software	0.2
Advertising Agencies	0.2
Engineering/R&D Services	0.2
Retail-Bedding	0.2
E-Commerce/Services	0.2
Non-Hazardous Waste Disposal	0.2
Computers-Integrated Systems	0.2
Cruise Lines	0.2
Enterprise Software/Service	0.2
Internet Content-Entertainment	0.2
Machinery-Electrical	0.2
Telecom Equipment-Fiber Optics	0.2
Oil Companies-Integrated	0.2
Water	0.2
Machinery-General Industrial	0.2
Semiconductor Equipment	0.2

206

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Computers-Periphery Equipment	0.2	%
Publishing-Books	0.2
Multimedia	0.1
Retail-Drug Store	0.1
Cable/Satellite TV	0.1
Metal-Aluminum	0.1
Finance-Mortgage Loan/Banker	0.1
Telecom Services	0.1
Electronic Parts Distribution	0.1
Gold Mining	0.1
Building-Heavy Construction	0.1
Appliances	0.1
Medical-Biomedical/Gene	0.1
Metal-Copper	0.1
Electronic Components-Misc.	0.1
Machinery-Construction & Mining	0.1
Beverages-Non-alcoholic	0.1
Retail-Catalog Shopping	0.1
Finance-Auto Loans	0.1
Dialysis Centers	0.1
Computer Aided Design	0.1
Medical-Wholesale Drug Distribution	0.1
Toys	0.1
Publishing-Newspapers	0.1
Rubber-Tires	0.1
Diagnostic Kits	0.1
Real Estate Operations & Development	0.1
Diagnostic Equipment	0.1
Consulting Services	0.1
Electronic Design Automation	0.1
Transport-Services	0.1
Private Equity	0.1
Coal	0.1
Human Resources	0.1
Diversified Operations	0.1
Power Converter/Supply Equipment	0.1
Security Services	0.1
Industrial Gases	0.1
Retail-Computer Equipment	0.1
Energy-Alternate Sources	0.1
	100.5	%

*  Calculated as a percentage of net assets

207

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.7%
Advertising Agencies — 0.2%
Interpublic Group of Cos., Inc.		32,001	$	612,179
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A†		776		5,533
Advertising Services — 0.3%
Nielsen Holdings PLC		21,046		935,916
Aerospace/Defense — 0.4%
MTU Aero Engines AG(1)		5,265		439,760
Rockwell Collins, Inc.		8,740		715,282
Spirit AeroSystems Holdings, Inc., Class A†		385		18,611
				1,173,653
Aerospace/Defense-Equipment — 0.4%
Harris Corp.		3,635		265,900
Orbital ATK, Inc.		2,139		153,730
Triumph Group, Inc.		18,672		785,718
				1,205,348
Agricultural Chemicals — 0.5%
CF Industries Holdings, Inc.		22,880		1,027,312
Mosaic Co.		12,316		383,151
				1,410,463
Agricultural Operations — 0.4%
Bunge, Ltd.		14,964		1,096,861
Airlines — 1.1%
Alaska Air Group, Inc.		8,841		702,417
Copa Holdings SA, Class A		1,163		48,765
Delta Air Lines, Inc.		15,653		702,350
JetBlue Airways Corp.†		6,943		178,921
United Continental Holdings, Inc.†		32,540		1,726,247
				3,358,700
Apparel Manufacturers — 0.9%
Ralph Lauren Corp.		23,305		2,753,719
Appliances — 0.1%
Whirlpool Corp.		2,568		378,164
Applications Software — 0.4%
Citrix Systems, Inc.†		7,502		519,738
Intuit, Inc.		8,317		738,134
Nuance Communications, Inc.†		8,946		146,446
				1,404,318
Auction Houses/Art Dealers — 0.0%
KAR Auction Services, Inc.		3,327		118,108
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		1,203		62,760
Auto/Truck Parts & Equipment-Original — 0.9%
Allison Transmission Holdings, Inc.		52,544		1,402,399
BorgWarner, Inc.		13,428		558,471
Delphi Automotive PLC		9,472		720,251
Lear Corp.		668		72,665
				2,753,786

Security Description	Shares		Value (Note 2)
Banks-Commercial — 3.3%
Associated Banc-Corp.		5,391	$	96,876
Bank of Hawaii Corp.		1,541		97,838
BankUnited, Inc.		3,655		130,666
BB&T Corp.		28,303		1,007,587
BOK Financial Corp.		997		64,516
CIT Group, Inc.		6,152		246,265
City National Corp.		1,699		149,614
Commerce Bancshares, Inc.		2,910		132,580
Cullen/Frost Bankers, Inc.		1,915		121,756
East West Bancorp, Inc.		5,085		195,366
First Horizon National Corp.		70,740		1,003,093
First Republic Bank		5,028		315,607
M&T Bank Corp.		9,707		1,183,769
PacWest Bancorp		19,392		830,171
Popular, Inc.		3,658		110,581
PrivateBancorp, Inc.		24,293		931,151
Regions Financial Corp.		47,379		426,885
Signature Bank†		148		20,359
SVB Financial Group†		673		77,758
Synovus Financial Corp.		4,708		139,357
TCF Financial Corp.		51,566		781,740
Wintrust Financial Corp.		11,121		594,195
Zions Bancorporation		59,740		1,645,240
				10,302,970
Banks-Fiduciary — 1.4%
Citizens Financial Group, Inc.		136,541		3,257,868
Northern Trust Corp.		16,200		1,104,192
				4,362,060
Banks-Super Regional — 2.9%
Comerica, Inc.		19,043		782,667
Fifth Third Bancorp		164,731		3,115,063
Huntington Bancshares, Inc.		262,905		2,786,793
KeyCorp		86,743		1,128,527
SunTrust Banks, Inc.		32,576		1,245,706
				9,058,756
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		2,198		85,085
Beverages-Non-alcoholic — 0.1%
Coca-Cola Enterprises, Inc.		6,734		325,589
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class A		68		7,275
Brown-Forman Corp., Class B		312		30,233
				37,508
Brewery — 0.7%
Molson Coors Brewing Co., Class B		27,971		2,322,152
Broadcast Services/Program — 0.5%
Discovery Communications, Inc., Class A†		32,170		837,385
Discovery Communications, Inc., Class C†		872		21,181
Scripps Networks Interactive, Inc., Class A		15,558		765,298
				1,623,864

208

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building & Construction Products-Misc. — 1.3%
Armstrong World Industries, Inc.†		29,898	$	1,427,331
Fortune Brands Home & Security, Inc.		38,205		1,813,591
Owens Corning		20,020		839,038
				4,079,960
Building Products-Cement — 0.6%
Martin Marietta Materials, Inc.		9,322		1,416,478
Vulcan Materials Co.		4,074		363,401
				1,779,879
Building-Heavy Construction — 0.1%
Chicago Bridge & Iron Co. NV		3,462		137,303
SBA Communications Corp., Class A†		2,320		242,997
				380,300
Building-Residential/Commercial — 0.2%
D.R. Horton, Inc.		6,799		199,619
Lennar Corp., Class A		3,737		179,862
Lennar Corp., Class B		208		8,237
PulteGroup, Inc.		12,888		243,196
Toll Brothers, Inc.†		4,041		138,364
				769,278
Cable/Satellite TV — 0.1%
Cable One, Inc.†		123		51,589
Cablevision Systems Corp., Class A		6,127		198,944
Liberty Broadband Corp., Class A†		923		47,479
Liberty Broadband Corp., Class C†		2,345		119,993
				418,005
Casino Hotels — 0.4%
MGM Resorts International†		69,093		1,274,766
Wynn Resorts, Ltd.		330		17,529
				1,292,295
Cellular Telecom — 0.0%
Sprint Corp.†		26,255		100,819
United States Cellular Corp.†		463		16,404
				117,223
Chemicals-Diversified — 1.0%
Akzo Nobel NV(1)		9,647		627,158
Celanese Corp., Series A		36,733		2,173,492
Eastman Chemical Co.		3,946		255,385
FMC Corp.		1,303		44,185
Huntsman Corp.		2,650		25,678
Westlake Chemical Corp.		1,421		73,736
				3,199,634
Chemicals-Specialty — 1.1%
Albemarle Corp.		17,865		787,846
Ashland, Inc.		2,161		217,440
Brenntag AG(1)		9,511		511,842
Cabot Corp.		2,243		70,789
Cytec Industries, Inc.		2,276		168,083
H.B. Fuller Co.		12,747		432,633
Platform Specialty Products Corp.†		3,568		45,135

Security Description	Shares		Value (Note 2)
Chemicals-Specialty (continued)
Sensient Technologies Corp.		10,084	$	618,149
Sigma-Aldrich Corp.		2,584		358,969
Univar, Inc.†		19,265		349,660
				3,560,546
Coal — 0.1%
CONSOL Energy, Inc.		23,161		226,978
Coatings/Paint — 0.8%
Axalta Coating Systems, Ltd.†		69,689		1,765,919
Valspar Corp.		10,367		745,180
				2,511,099
Commercial Services — 0.4%
Aramark		28,602		847,763
Macquarie Infrastructure Corp.		2,442		182,320
Quanta Services, Inc.†		5,797		140,345
				1,170,428
Commercial Services-Finance — 0.4%
H&R Block, Inc.		632		22,878
Sabre Corp.		29,632		805,398
WEX, Inc.†		5,835		506,712
				1,334,988
Computer Aided Design — 0.1%
ANSYS, Inc.†		2,573		226,784
Autodesk, Inc.†		2,068		91,282
				318,066
Computer Services — 0.5%
Amdocs, Ltd.		18,066		1,027,594
Computer Sciences Corp.		4,905		301,069
DST Systems, Inc.		294		30,911
IHS, Inc., Class A†		350		40,600
Leidos Holdings, Inc.		2,155		89,023
Teradata Corp.†		1,290		37,359
				1,526,556
Computer Software — 0.0%
SS&C Technologies Holdings, Inc.		262		18,350
Computers-Integrated Systems — 0.2%
NCR Corp.†		24,768		563,472
Computers-Memory Devices — 1.5%
Brocade Communications Systems, Inc.		184,739		1,917,591
NetApp, Inc.		7,714		228,334
SanDisk Corp.		7,348		399,217
Western Digital Corp.		29,083		2,310,354
				4,855,496
Computers-Other — 0.0%
3D Systems Corp.†		2,501		28,887
Computers-Periphery Equipment — 0.2%
Lexmark International, Inc., Class A		16,482		477,648
Consulting Services — 0.1%
Booz Allen Hamilton Holding Corp.		266		6,972
Towers Watson & Co., Class A		2,013		236,286
				243,258

209

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Consumer Products-Misc. — 0.0%
Clorox Co.		959	$	110,793
Containers-Metal/Glass — 0.3%
Crown Holdings, Inc.†		2,755		126,041
Greif, Inc., Class A		10,359		330,556
Owens-Illinois, Inc.†		29,729		615,985
				1,072,582
Containers-Paper/Plastic — 0.8%
Bemis Co., Inc.		3,069		121,440
Graphic Packaging Holding Co.		46,557		595,464
Packaging Corp. of America		20,846		1,254,096
Sonoco Products Co.		3,567		134,619
WestRock Co.		8,653		445,110
				2,550,729
Cosmetics & Toiletries — 0.3%
Avon Products, Inc.		15,379		49,982
Edgewell Personal Care Co.		10,621		866,673
				916,655
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		376		21,545
Royal Caribbean Cruises, Ltd.		6,079		541,578
				563,123
Data Processing/Management — 1.0%
Dun & Bradstreet Corp.		896		94,080
Fidelity National Information Services, Inc.		44,998		3,018,466
Paychex, Inc.		1,468		69,921
				3,182,467
Dental Supplies & Equipment — 0.3%
DENTSPLY International, Inc.		19,393		980,704
Patterson Cos., Inc.		1,378		59,598
				1,040,302
Diagnostic Equipment — 0.1%
VWR Corp.†		9,484		243,644
Diagnostic Kits — 0.1%
Alere, Inc.†		1,077		51,857
QIAGEN NV†		8,201		211,586
				263,443
Dialysis Centers — 0.1%
DaVita HealthCare Partners, Inc.†		4,440		321,145
Distribution/Wholesale — 0.9%
Fossil Group, Inc.†		11,865		663,016
Genuine Parts Co.		382		31,664
Ingram Micro, Inc., Class A		38,166		1,039,642
LKQ Corp.†		21,677		614,760
WESCO International, Inc.†		9,888		459,495
				2,808,577
Diversified Manufacturing Operations — 1.8%
Carlisle Cos., Inc.		1,799		157,197
Colfax Corp.†		3,549		106,151
Crane Co.		1,700		79,237

Security Description	Shares		Value (Note 2)
Diversified Manufacturing Operations (continued)
Dover Corp.		5,669	$	324,153
Eaton Corp. PLC		13,510		693,063
Ingersoll-Rand PLC		29,052		1,474,970
ITT Corp.		3,152		105,371
Parker-Hannifin Corp.		2,681		260,861
Pentair PLC		18,198		928,826
SPX Corp.		9,165		109,247
Textron, Inc.		38,194		1,437,622
Trinity Industries, Inc.		5,476		124,141
				5,800,839
Diversified Operations — 0.1%
Leucadia National Corp.		10,058		203,775
E-Commerce/Services — 0.2%
IAC/InterActiveCorp		7,939		518,179
Zillow Group, Inc., Class A†		625		17,956
Zillow Group, Inc., Class C†		1,286		34,722
				570,857
Electric-Distribution — 0.3%
PPL Corp.		23,616		776,730
Electric-Integrated — 5.9%
AES Corp.		102,481		1,003,289
Alliant Energy Corp.		3,993		233,551
Ameren Corp.		8,577		362,550
CMS Energy Corp.		32,009		1,130,558
Consolidated Edison, Inc.		10,352		692,031
DTE Energy Co.		18,092		1,454,054
Edison International		11,516		726,314
Entergy Corp.		6,346		413,125
Eversource Energy		26,962		1,364,816
FirstEnergy Corp.		75,216		2,355,013
Great Plains Energy, Inc.		5,453		147,340
Hawaiian Electric Industries, Inc.		3,797		108,936
MDU Resources Group, Inc.		6,885		118,422
NorthWestern Corp.		14,640		788,071
OGE Energy Corp.		20,678		565,750
Pepco Holdings, Inc.		8,945		216,648
PG&E Corp.		21,151		1,116,773
Pinnacle West Capital Corp.		20,279		1,300,695
Public Service Enterprise Group, Inc.		39,491		1,664,941
SCANA Corp.		24,575		1,382,589
TECO Energy, Inc.		8,311		218,247
WEC Energy Group, Inc.		11,160		582,775
Westar Energy, Inc.		4,674		179,669
Xcel Energy, Inc.		17,918		634,476
				18,760,633
Electric-Transmission — 0.0%
ITC Holdings Corp.		3,461		115,390
Electronic Components-Misc. — 0.1%
Garmin, Ltd.		4,187		150,230
Gentex Corp.		5,199		80,584
Jabil Circuit, Inc.		5,575		124,713
				355,527

210

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors — 1.3%
Altera Corp.		7,333	$	367,237
Cree, Inc.†		3,856		93,431
Freescale Semiconductor, Ltd.†		11,487		420,194
Intersil Corp., Class A		15,915		186,206
Microchip Technology, Inc.		13,472		580,508
NVIDIA Corp.		37,160		915,994
ON Semiconductor Corp.†		1,167		10,970
Xilinx, Inc.		37,348		1,583,555
				4,158,095
Electronic Design Automation — 0.1%
Synopsys, Inc.†		5,082		234,687
Electronic Measurement Instruments — 0.6%
Agilent Technologies, Inc.		28,482		977,787
FLIR Systems, Inc.		1,827		51,138
Keysight Technologies, Inc.†		20,989		647,301
National Instruments Corp.		3,100		86,149
Trimble Navigation, Ltd.†		8,685		142,607
				1,904,982
Electronic Parts Distribution — 0.1%
Arrow Electronics, Inc.†		3,382		186,957
Avnet, Inc.		4,801		204,907
				391,864
Electronic Security Devices — 0.2%
Tyco International PLC		22,365		748,333
Electronics-Military — 0.4%
L-3 Communications Holdings, Inc.		11,134		1,163,726
Energy-Alternate Sources — 0.1%
First Solar, Inc.†		2,670		114,142
SunEdison, Inc.†		770		5,529
TerraForm Power, Inc., Class A		1,713		24,359
				144,030
Engineering/R&D Services — 0.2%
AECOM†		4,614		126,931
Fluor Corp.		5,181		219,416
Jacobs Engineering Group, Inc.†		4,439		166,152
KBR, Inc.		5,099		84,949
				597,448
Enterprise Software/Service — 0.2%
CA, Inc.		11,163		304,750
MedAssets, Inc.†		12,829		257,350
				562,100
Entertainment Software — 0.2%
Activision Blizzard, Inc.		17,836		550,954
Zynga, Inc., Class A†		27,157		61,918
				612,872
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		482		13,535
Finance-Auto Loans — 0.1%
Ally Financial, Inc.†		15,760		321,189

Security Description	Shares		Value (Note 2)
Finance-Consumer Loans — 0.9%
Navient Corp.		126,674	$	1,423,816
Santander Consumer USA Holdings, Inc.†		2,964		60,525
SLM Corp.†		138,734		1,026,632
Springleaf Holdings, Inc.†		1,841		80,488
Synchrony Financial†		4,540		142,102
				2,733,563
Finance-Credit Card — 0.3%
Discover Financial Services		20,681		1,075,205
Finance-Investment Banker/Broker — 1.1%
E*TRADE Financial Corp.†		10,247		269,804
Interactive Brokers Group, Inc., Class A		1,858		73,335
Raymond James Financial, Inc.		50,886		2,525,472
TD Ameritrade Holding Corp.		17,038		542,490
				3,411,101
Finance-Leasing Companies — 0.0%
Air Lease Corp.		3,433		106,148
Finance-Mortgage Loan/Banker — 0.1%
CoreLogic, Inc.†		1,757		65,413
FNF Group		9,913		351,614
				417,027
Finance-Other Services — 0.7%
Intercontinental Exchange, Inc.		2,534		595,465
Nasdaq, Inc.		32,440		1,730,025
				2,325,490
Financial Guarantee Insurance — 0.0%
Assured Guaranty, Ltd.		5,333		133,325
Food-Baking — 0.2%
Flowers Foods, Inc.		24,825		614,170
Food-Confectionery — 0.4%
J.M. Smucker Co.		11,906		1,358,356
Food-Meat Products — 0.8%
Tyson Foods, Inc., Class A		61,940		2,669,614
Food-Misc./Diversified — 2.0%
Campbell Soup Co.		2,529		128,170
ConAgra Foods, Inc.		46,053		1,865,607
Ingredion, Inc.		12,937		1,129,529
Kellogg Co.		13,133		874,001
McCormick & Co., Inc.		8,800		723,184
Pinnacle Foods, Inc.		28,645		1,199,653
Snyder's-Lance, Inc.		14,846		500,756
				6,420,900
Food-Retail — 0.4%
Empire Co., Ltd., Class A		20,265		416,841
Safeway Casa Ley CVR(2)(3)		7,948		8,066
Safeway PDC LLC CVR(2)(3)		7,948		388
Whole Foods Market, Inc.		26,161		827,996
				1,253,291

211

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		14,440	$	562,727
United Natural Foods, Inc.†		4,422		214,511
				777,238
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		1,088		16,679
Garden Products — 0.0%
Scotts Miracle-Gro Co., Class A		162		9,853
Gas-Distribution — 1.5%
AGL Resources, Inc.		4,239		258,749
Atmos Energy Corp.		3,570		207,703
CenterPoint Energy, Inc.		15,207		274,334
National Fuel Gas Co.		2,984		149,140
NiSource, Inc.		37,156		689,244
Questar Corp.		6,211		120,555
Sempra Energy		29,506		2,853,820
UGI Corp.		6,097		212,298
Vectren Corp.		2,921		122,711
				4,888,554
Gold Mining — 0.1%
Newmont Mining Corp.		17,668		283,925
Royal Gold, Inc.		2,169		101,899
				385,824
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc.†		671		29,504
Home Decoration Products — 0.5%
Newell Rubbermaid, Inc.		41,822		1,660,752
Hotels/Motels — 0.0%
Hyatt Hotels Corp., Class A†		1,203		56,661
Housewares — 0.0%
Tupperware Brands Corp.		95		4,702
Human Resources — 0.1%
ManpowerGroup, Inc.		2,764		226,344
Independent Power Producers — 0.5%
Calpine Corp.†		11,635		169,871
Dynegy, Inc.†		13,121		271,211
NRG Energy, Inc.		78,368		1,163,765
				1,604,847
Industrial Gases — 0.1%
Airgas, Inc.		1,861		166,243
Instruments-Scientific — 0.4%
PerkinElmer, Inc.		26,350		1,211,046
Insurance Brokers — 0.6%
Arthur J. Gallagher & Co.		43,444		1,793,368
Brown & Brown, Inc.		4,095		126,822
				1,920,190
Insurance-Life/Health — 2.0%
Lincoln National Corp.		67,159		3,187,366
Principal Financial Group, Inc.		33,794		1,599,808
StanCorp Financial Group, Inc.		1,491		170,272
Torchmark Corp.		4,457		251,375
Unum Group		34,733		1,114,235
				6,323,056

Security Description	Shares		Value (Note 2)
Insurance-Multi-line — 2.2%
American Financial Group, Inc.		2,437	$	167,934
American National Insurance Co.		255		24,898
Assurant, Inc.		2,401		189,703
Cincinnati Financial Corp.		5,809		312,524
CNA Financial Corp.		951		33,218
Genworth Financial, Inc., Class A†		113,676		525,183
Hartford Financial Services Group, Inc.		39,890		1,826,164
Loews Corp.		11,004		397,685
Old Republic International Corp.		9,231		144,373
Voya Financial, Inc.		28,126		1,090,445
XL Group PLC		62,021		2,252,603
				6,964,730
Insurance-Property/Casualty — 1.5%
Alleghany Corp.†		565		264,482
AmTrust Financial Services, Inc.		1,280		80,614
Arch Capital Group, Ltd.†		4,383		322,019
Hanover Insurance Group, Inc.		9,895		768,842
HCC Insurance Holdings, Inc.		3,383		262,081
Markel Corp.†		442		354,422
Mercury General Corp.		956		48,288
ProAssurance Corp.		1,944		95,392
Progressive Corp.		20,739		635,443
Third Point Reinsurance, Ltd.†		30,514		410,413
White Mountains Insurance Group, Ltd.		211		157,680
WR Berkley Corp.		24,380		1,325,541
				4,725,217
Insurance-Reinsurance — 1.7%
Allied World Assurance Co. Holdings AG(4)		3,373		128,747
Aspen Insurance Holdings, Ltd.		2,178		101,212
Axis Capital Holdings, Ltd.		3,567		191,619
Endurance Specialty Holdings, Ltd.		1,596		97,404
Everest Re Group, Ltd.		14,607		2,531,977
PartnerRe, Ltd.		1,687		234,291
Reinsurance Group of America, Inc.		2,339		211,890
RenaissanceRe Holdings, Ltd.		1,627		172,983
Validus Holdings, Ltd.		39,534		1,781,797
				5,451,920
Internet Content-Entertainment — 0.2%
Pandora Media, Inc.†		25,900		552,706
Internet Incubators — 0.0%
HomeAway, Inc.†		2,278		60,458
Internet Security — 0.3%
Symantec Corp.		47,631		927,376
Investment Management/Advisor Services — 0.5%
Affiliated Managers Group, Inc.†		5,994		1,024,914
Ameriprise Financial, Inc.		1,070		116,769
Invesco, Ltd.		13,321		416,015
Legg Mason, Inc.		2,323		96,660
Waddell & Reed Financial, Inc., Class A		184		6,398
				1,660,756

212

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machine Tools & Related Products — 0.0%
Kennametal, Inc.		2,802	$	69,742
Lincoln Electric Holdings, Inc.		211		11,062
				80,804
Machinery-Construction & Mining — 0.1%
Joy Global, Inc.		11,514		171,904
Oshkosh Corp.		2,764		100,416
Terex Corp.		3,714		66,629
				338,949
Machinery-Electrical — 0.2%
Babcock & Wilcox Enterprises, Inc.†		1,514		25,435
Regal Beloit Corp.		9,115		514,542
				539,977
Machinery-Farming — 0.0%
AGCO Corp.		2,681		125,015
Machinery-General Industrial — 0.2%
BWX Technologies, Inc.		3,029		79,844
IDEX Corp.		242		17,255
Manitowoc Co., Inc.		4,812		72,180
Roper Technologies, Inc.		2,191		343,330
				512,609
Machinery-Pumps — 0.2%
Flowserve Corp.		2,538		104,413
SPX FLOW, Inc.†		9,165		315,551
Xylem, Inc.		6,411		210,602
				630,566
Medical Information Systems — 0.2%
Allscripts Healthcare Solutions, Inc.†		4,405		54,622
IMS Health Holdings, Inc.†		19,833		577,140
				631,762
Medical Instruments — 0.6%
Bio-Techne Corp.		771		71,287
Boston Scientific Corp.†		43,694		717,018
St. Jude Medical, Inc.		16,758		1,057,262
				1,845,567
Medical Labs & Testing Services — 0.9%
Laboratory Corp. of America Holdings†		17,403		1,887,703
Quest Diagnostics, Inc.		16,502		1,014,378
				2,902,081
Medical Products — 1.4%
Cooper Cos., Inc.		5,989		891,523
Hill-Rom Holdings, Inc.		162		8,422
Teleflex, Inc.		7,627		947,350
Zimmer Biomet Holdings, Inc.(3)(5)		28,000		2,630,040
				4,477,335
Medical Sterilization Products — 0.2%
STERIS Corp.		11,057		718,373
Medical-Biomedical/Gene — 0.1%
Alnylam Pharmaceuticals, Inc.†		477		38,332
AMAG Pharmaceuticals, Inc.†		6,082		241,638
Bio-Rad Laboratories, Inc., Class A†		730		98,046
				378,016

Security Description	Shares		Value (Note 2)
Medical-Drugs — 1.2%
Alkermes PLC†		903	$	52,979
Baxalta, Inc.		16,280		512,983
Endo International PLC†		44,284		3,067,995
Mallinckrodt PLC†		2,506		160,234
Quintiles Transnational Holdings, Inc.†		148		10,296
				3,804,487
Medical-Generic Drugs — 0.5%
Impax Laboratories, Inc.†		11,439		402,767
Mylan NV†		15,413		620,527
Perrigo Co. PLC		4,213		662,579
				1,685,873
Medical-HMO — 0.0%
Health Net, Inc.†		2,276		137,061
Medical-Hospitals — 0.4%
Community Health Systems, Inc.†		4,171		178,394
LifePoint Health, Inc.†		1,412		100,111
Universal Health Services, Inc., Class B		8,229		1,027,061
				1,305,566
Medical-Wholesale Drug Distribution — 0.1%
Owens & Minor, Inc.		9,943		317,579
Metal Processors & Fabrication — 0.0%
Timken Co.		2,746		75,488
Metal-Aluminum — 0.1%
Alcoa, Inc.		43,209		417,399
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		36,764		356,243
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		1,803		118,926
Motion Pictures & Services — 0.0%
Dolby Laboratories, Inc., Class A		1,760		57,376
Motorcycle/Motor Scooter — 0.3%
Harley-Davidson, Inc.		16,379		899,207
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		1,637		67,575
Multimedia — 0.1%
Quebecor, Inc., Class B		20,153		441,116
Non-Hazardous Waste Disposal — 0.2%
Republic Services, Inc.		8,570		353,084
Waste Connections, Inc.		4,378		212,683
				565,767
Office Automation & Equipment — 0.4%
Pitney Bowes, Inc.		4,370		86,745
Xerox Corp.		135,785		1,321,188
				1,407,933
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		225		12,728
Oil & Gas Drilling — 0.2%
Diamond Offshore Drilling, Inc.		2,269		39,254
Ensco PLC, Class A		8,281		116,596
Helmerich & Payne, Inc.		3,408		161,062
Nabors Industries, Ltd.		11,677		110,348
Noble Corp. PLC		8,552		93,302

213

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil & Gas Drilling (continued)
Patterson-UTI Energy, Inc.		5,190	$	68,197
Rowan Cos. PLC, Class A		4,410		71,221
Seadrill, Ltd.		13,208		77,927
				737,907
Oil Companies-Exploration & Production — 5.2%
Antero Resources Corp.†		90,125		1,907,045
California Resources Corp.		11,115		28,899
Chesapeake Energy Corp.		20,736		151,995
Cimarex Energy Co.		8,513		872,412
Cobalt International Energy, Inc.†		12,962		91,771
Concho Resources, Inc.†		18,935		1,861,310
Continental Resources, Inc.†		2,033		58,896
Denbury Resources, Inc.		12,616		30,783
Diamondback Energy, Inc.†		2,226		143,800
Energen Corp.		14,039		699,985
EP Energy Corp.†		1,202		6,190
EQT Corp.		13,883		899,202
Gulfport Energy Corp.†		29,179		866,033
Hess Corp.		23,903		1,196,584
Kosmos Energy, Ltd.†		5,573		31,097
Laredo Petroleum, Inc.†		4,352		41,039
Memorial Resource Development Corp.†		35,632		626,411
Newfield Exploration Co.†		34,315		1,128,963
Noble Energy, Inc.		57,790		1,744,102
PDC Energy, Inc.†		9,079		481,278
Pioneer Natural Resources Co.		17,390		2,115,320
QEP Resources, Inc.		6,245		78,250
Range Resources Corp.		5,581		179,262
Rice Energy, Inc.†		2,577		41,644
SM Energy Co.		12,886		412,867
Southwestern Energy Co.†		55,895		709,308
Whiting Petroleum Corp.†		7,215		110,173
WPX Energy, Inc.†		7,237		47,909
				16,562,528
Oil Companies-Integrated — 0.2%
Marathon Oil Corp.		23,858		367,413
Murphy Oil Corp.		6,290		152,218
				519,631
Oil Field Machinery & Equipment — 0.7%
Cameron International Corp.†		18,082		1,108,788
Dril-Quip, Inc.†		1,377		80,169
FMC Technologies, Inc.†		2,848		88,288
Forum Energy Technologies, Inc.†		30,776		375,775
National Oilwell Varco, Inc.		13,710		516,182
				2,169,202
Oil Refining & Marketing — 0.7%
Cheniere Energy, Inc.†		8,362		403,885
CVR Energy, Inc.		361		14,819
HollyFrontier Corp.		18,912		923,662
Murphy USA, Inc.†		1,502		82,535
PBF Energy, Inc., Class A		3,040		85,819
Tesoro Corp.		6,909		671,831
				2,182,551

Security Description	Shares		Value (Note 2)
Oil-Field Services — 0.5%
Frank's International NV		31,993	$	490,453
NOW, Inc.†		3,788		56,063
Oceaneering International, Inc.		2,879		113,087
Oil States International, Inc.†		14,640		382,543
RPC, Inc.		1,777		15,727
Superior Energy Services, Inc.		5,318		67,166
Targa Resources Corp.		1,014		52,241
Weatherford International PLC†		27,386		232,233
				1,409,513
Optical Recognition Equipment — 0.0%
Lumentum Holdings, Inc.†		4,801		81,377
Paper & Related Products — 0.0%
Domtar Corp.		2,252		80,509
International Paper Co.		743		28,078
				108,587
Physicians Practice Management — 0.3%
Envision Healthcare Holdings, Inc.†		18,336		674,582
MEDNAX, Inc.†		1,398		107,352
				781,934
Pipelines — 0.4%
Columbia Pipeline Group, Inc.		29,677		542,792
ONEOK, Inc.		4,059		130,700
Plains GP Holdings LP		15,791		276,343
Spectra Energy Corp.		12,624		331,632
				1,281,467
Poultry — 0.0%
Pilgrim's Pride Corp.		2,013		41,830
Power Converter/Supply Equipment — 0.1%
Hubbell, Inc., Class B		1,774		150,701
SunPower Corp.†		1,788		35,832
				186,533
Precious Metals — 0.0%
Tahoe Resources, Inc.		4,942		38,251
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		3,502		50,989
Private Equity — 0.1%
Apollo Global Management LLC, Class A		13,545		232,703
Publishing-Books — 0.2%
Houghton Mifflin Harcourt Co.†		19,179		389,526
John Wiley & Sons, Inc., Class A		1,636		81,849
				471,375
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		4,009		59,052
News Corp., Class A		13,558		171,102
News Corp., Class B		4,273		54,780
				284,934
Real Estate Investment Trusts — 10.2%
Alexandria Real Estate Equities, Inc.		2,546		215,570
American Campus Communities, Inc.		3,969		143,837
American Capital Agency Corp.		12,470		233,189
American Homes 4 Rent, Class A		5,856		94,165

214

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Annaly Capital Management, Inc.		64,954	$	641,096
Apartment Investment & Management Co., Class A		5,524		204,499
Apple Hospitality REIT, Inc.		6,578		122,153
AvalonBay Communities, Inc.		4,672		816,759
BioMed Realty Trust, Inc.		7,196		143,776
Boston Properties, Inc.		471		55,766
Brandywine Realty Trust		6,358		78,331
Brixmor Property Group, Inc.		81,009		1,902,091
Camden Property Trust		3,070		226,873
Care Capital Properties, Inc.		2,923		96,254
CBL & Associates Properties, Inc.		5,902		81,153
Chimera Investment Corp.		7,267		97,160
Columbia Property Trust, Inc.		3,882		90,062
Communications Sales & Leasing, Inc.		4,264		76,326
Corporate Office Properties Trust		46,028		967,969
Corrections Corp. of America		4,136		122,177
DDR Corp.		125,322		1,927,452
Digital Realty Trust, Inc.		2,045		133,579
Douglas Emmett, Inc.		5,156		148,080
Duke Realty Corp.		12,196		232,334
Empire State Realty Trust, Inc., Class A		2,083		35,474
EPR Properties		12,895		664,995
Equity Commonwealth†		4,585		124,895
Equity LifeStyle Properties, Inc.		9,505		556,708
Essex Property Trust, Inc.		2,310		516,100
Federal Realty Investment Trust		9,587		1,308,146
Gaming and Leisure Properties, Inc.		2,694		80,012
General Growth Properties, Inc.		20,397		529,710
HCP, Inc.		16,319		607,883
Healthcare Trust of America, Inc., Class A		3,991		97,819
Home Properties, Inc.		2,047		153,013
Hospitality Properties Trust		5,300		135,574
Host Hotels & Resorts, Inc.		26,782		423,423
Iron Mountain, Inc.		4,524		140,335
Kilroy Realty Corp.		3,112		202,778
Kimco Realty Corp.		14,589		356,409
Liberty Property Trust		5,283		166,467
Macerich Co.		5,594		429,731
Medical Properties Trust, Inc.		84,641		936,130
MFA Financial, Inc.		13,093		89,163
Mid-America Apartment Communities, Inc.		25,013		2,047,814
National Retail Properties, Inc.		4,736		171,775
NorthStar Realty Finance Corp.		12,260		151,411
Omega Healthcare Investors, Inc.		4,701		165,240
Outfront Media, Inc.		4,857		101,026
Paramount Group, Inc.		6,313		106,058
Piedmont Office Realty Trust, Inc., Class A		5,457		97,626
Plum Creek Timber Co., Inc.		19,431		767,719
Post Properties, Inc.		1,279		74,553
Prologis, Inc.		60,572		2,356,251
Rayonier, Inc.		4,485		98,984
Realty Income Corp.		8,220		389,546
Regency Centers Corp.		3,334		207,208

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Retail Properties of America, Inc., Class A		8,384	$	118,131
RLJ Lodging Trust		48,401		1,223,093
Senior Housing Properties Trust		8,307		134,573
SL Green Realty Corp.		3,520		380,723
Spirit Realty Capital, Inc.		15,604		142,621
Starwood Property Trust, Inc.		76,496		1,569,698
Taubman Centers, Inc.		1,374		94,916
Two Harbors Investment Corp.		12,958		114,290
UDR, Inc.		9,154		315,630
Ventas, Inc.		30,220		1,694,133
VEREIT, Inc.		31,997		247,017
Vornado Realty Trust		18,076		1,634,432
Weingarten Realty Investors		4,379		144,989
Welltower, Inc.		6,804		460,767
Weyerhaeuser Co.		16,727		457,316
WP Carey, Inc.		3,688		213,203
WP GLIMCHER, Inc.		6,549		76,361
				32,162,520
Real Estate Management/Services — 0.3%
Jones Lang LaSalle, Inc.		431		61,965
Realogy Holdings Corp.†		19,653		739,542
				801,507
Real Estate Operations & Development — 0.1%
Forest City Enterprises, Inc., Class A†		7,720		155,403
Howard Hughes Corp.†		836		95,923
				251,326
Recreational Vehicles — 0.0%
Brunswick Corp.		861		41,233
Rental Auto/Equipment — 0.6%
Aaron's, Inc.		1,951		70,450
Hertz Global Holdings, Inc.†		117,234		1,961,325
				2,031,775
Retail-Apparel/Shoe — 1.2%
Coach, Inc.		8,399		242,983
DSW, Inc., Class A		2,437		61,680
Foot Locker, Inc.		667		48,004
Gap, Inc.		65,709		1,872,707
Kate Spade & Co.†		22,371		427,510
PVH Corp.		9,963		1,015,628
				3,668,512
Retail-Auto Parts — 0.3%
AutoZone, Inc.†		1,394		1,009,019
Retail-Automobile — 0.0%
Penske Automotive Group, Inc.		940		45,534
Retail-Bedding — 0.2%
Bed Bath & Beyond, Inc.†		10,158		579,209
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		9,588		251,493
MSC Industrial Direct Co., Inc., Class A		1,165		71,100
				322,593

215

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Computer Equipment — 0.1%
GameStop Corp., Class A		3,787	$	156,062
Retail-Consumer Electronics — 0.4%
Best Buy Co., Inc.		30,812		1,143,741
Retail-Drug Store — 0.1%
Rite Aid Corp.†		71,766		435,620
Retail-Jewelry — 0.0%
Tiffany & Co.		982		75,830
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		8,405		641,722
Retail-Major Department Stores — 0.0%
J.C. Penney Co., Inc.†		10,785		100,193
Sears Holdings Corp.†		419		9,469
				109,662
Retail-Misc./Diversified — 0.3%
CST Brands, Inc.		475		15,989
Sally Beauty Holdings, Inc.†		33,067		785,341
				801,330
Retail-Office Supplies — 0.5%
Office Depot, Inc.†		15,925		102,238
Staples, Inc.		119,067		1,396,656
				1,498,894
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		2,089		74,786
Retail-Regional Department Stores — 0.3%
Dillard's, Inc., Class A		742		64,843
Kohl's Corp.		18,374		850,900
Macy's, Inc.		3,368		172,846
				1,088,589
Retail-Restaurants — 0.3%
Darden Restaurants, Inc.		3,562		244,140
DineEquity, Inc.		5,211		477,640
Wendy's Co.		9,623		83,239
				805,019
Retail-Sporting Goods — 0.2%
Cabela's, Inc.†		1,615		73,644
Dick's Sporting Goods, Inc.		1,011		50,156
Vista Outdoor, Inc.†		13,935		619,132
				742,932
Retirement/Aged Care — 0.0%
Brookdale Senior Living, Inc.†		5,103		117,165
Rubber-Tires — 0.1%
Goodyear Tire & Rubber Co.		9,540		279,808
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		1,558		67,041
Savings & Loans/Thrifts — 0.3%
First Niagara Financial Group, Inc.		12,550		128,136
Hudson City Bancorp, Inc.		18,718		190,362
New York Community Bancorp, Inc.		15,704		283,614
People's United Financial, Inc.		10,926		171,866
TFS Financial Corp.		2,332		40,227
				814,205

Security Description	Shares		Value (Note 2)
Schools — 0.0%
Graham Holdings Co., Class B		123	$	70,971
Security Services — 0.1%
ADT Corp.		6,055		181,044
Semiconductor Components-Integrated Circuits — 1.0%
Analog Devices, Inc.		13,890		783,535
Cypress Semiconductor Corp.		11,732		99,956
Marvell Technology Group, Ltd.		16,013		144,918
Maxim Integrated Products, Inc.		59,725		1,994,815
				3,023,224
Semiconductor Equipment — 0.2%
Applied Materials, Inc.		17,762		260,924
Lam Research Corp.		1,600		104,528
Teradyne, Inc.		7,583		136,570
				502,022
Software Tools — 0.4%
VMware, Inc., Class A†		13,978		1,101,327
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		787		74,678
Steel-Producers — 0.3%
Nucor Corp.		11,280		423,564
Reliance Steel & Aluminum Co.		2,625		141,776
Steel Dynamics, Inc.		16,473		283,006
United States Steel Corp.		17,681		184,236
				1,032,582
Steel-Specialty — 0.0%
Allegheny Technologies, Inc.		3,860		54,735
Telecom Equipment-Fiber Optics — 0.2%
Viavi Solutions, Inc.†		97,502		523,586
Telecom Services — 0.1%
Level 3 Communications, Inc.†		9,007		393,516
Telecommunication Equipment — 0.3%
ARRIS Group, Inc.†		4,004		103,984
CommScope Holding Co., Inc.†		2,072		62,222
Juniper Networks, Inc.		11,486		295,305
Nice Systems, Ltd. ADR		8,487		478,073
				939,584
Telephone-Integrated — 0.4%
CenturyLink, Inc.		19,927		500,566
Frontier Communications Corp.		151,669		720,428
Telephone & Data Systems, Inc.		3,322		82,917
Zayo Group Holdings, Inc.†		684		17,346
				1,321,257
Television — 0.5%
Liberty Media Corp., Class A†		3,695		131,985
Liberty Media Corp., Class C†		31,317		1,079,184
TEGNA, Inc.		8,018		179,523
Tribune Media Co., Class A		2,850		101,460
				1,492,152
Textile-Home Furnishings — 0.2%
Mohawk Industries, Inc.†		3,498		635,901
Tools-Hand Held — 0.5%
Stanley Black & Decker, Inc.		16,042		1,555,753

216

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Toys — 0.1%
Hasbro, Inc.		740	$	53,384
Mattel, Inc.		11,959		251,856
				305,240
Transactional Software — 0.0%
Black Knight Financial Services, Inc., Class A†		90		2,929
Transport-Equipment & Leasing — 0.0%
AMERCO		134		52,725
GATX Corp.		1,552		68,521
				121,246
Transport-Marine — 0.4%
Golar LNG, Ltd.		3,178		88,603
Kirby Corp.†		17,534		1,086,231
Teekay Corp.		1,009		29,907
				1,204,741
Transport-Rail — 0.4%
Genesee & Wyoming, Inc., Class A†		1,144		67,588
Kansas City Southern		14,382		1,307,036
				1,374,624
Transport-Services — 0.1%
Ryder System, Inc.		1,884		139,492
UTi Worldwide, Inc.†		20,619		94,641
				234,133
Veterinary Diagnostics — 0.0%
VCA, Inc.†		165		8,687
Vitamins & Nutrition Products — 0.3%
Herbalife, Ltd.†		380		20,710
Mead Johnson Nutrition Co.		10,726		755,110
				775,820
Water — 0.2%
American Water Works Co., Inc.		6,361		350,364
Aqua America, Inc.		6,258		165,649
				516,013
Total Common Stocks (cost $314,525,122)				306,116,845
CONVERTIBLE PREFERRED SECURITIES — 0.2%
Telephone-Integrated — 0.2%
Frontier Communications Corp., Series A 11.13% (cost $720,000)		7,200		670,680
EXCHANGE-TRADED FUNDS — 1.1%
iShares Russell Midcap Value Index Fund (cost $3,781,897)		52,124		3,496,999
Total Long-Term Investment Securities (cost $319,027,019)				310,284,524
SHORT-TERM INVESTMENT SECURITIES — 1.6%
Registered Investment Companies — 1.6%
SSgA U.S. Government Money Market Fund 0.00%(6) (cost $5,138,281)		5,138,281		5,138,281

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.9%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $2,390,000 and collateralized by $2,390,000 of United States Treasury Notes, bearing interest at 2.00%, due 02/15/2022 and having an approximate value of $2,437,800	$	2,390,000		$	2,390,000
State Street Bank and Trust Co. Joint Repurchase Agreement(7)		420,000			420,000
Total Repurchase Agreements (cost $2,810,000)					2,810,000
TOTAL INVESTMENTS (cost $326,975,300)(8)		100.5	%		318,232,805
Liabilities in excess of other assets		(0.5	)		(1,719,109	)
NET ASSETS		100.0	%	$	316,513,696

†  Non-income producing security

(1)  Security was valued using fair value procedures at September 30, 2015. The aggregate value of these securities was $1,578,760 representing 0.5% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(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, 2015, the aggregate value of these securities was $2,638,494 representing 0.8% of net assets.

(4)  Security represents an investment in an affiliated company; see Note 8

(5)  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, 2015, the Mid Cap Value Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value	Value Per Share	% of Net Assets
Common Stocks
Zimmer Biomet Holdings, Inc.	05/02/2014		242	$	23,684
	05/05/2014		841		82,455
	05/05/2014		327		31,859
	05/06/2014		764		76,449
	05/06/2014		3,852		385,169
	05/06/2014		30		2,972

217

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks (continued)
	05/06/2014		1,124	$	112,996
	05/12/2014		273		27,505
	05/12/2014		545		55,065
	05/13/2014		389		39,387
	05/14/2014		393		39,823
	05/15/2014		779		78,361
	06/13/2014		103		10,896
	07/22/2014		176		18,065
	08/12/2014		172		16,593
	10/15/2014		3,256		314,904
	12/15/2014		165		18,275
	02/25/2015		214		25,863
	04/23/2015		1,063		126,051
			14,708	$	1,486,372	$	1,381,522	$	93.93		0.44	%

(6)  The rate shown is the 7-day yield as of September 30, 2015.

(7)  See Note 2 for details of Joint Repurchase Agreement.

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

ADR — American Depositary Receipt

CVR — Contingent Value Rights

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2015	$	558,927	$	545,160	$	(13,767	)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Aerospace/Defense	$	733,893	$	439,760	$	—	$	1,173,653
Chemicals-Diversified		2,572,476		627,158		—		3,199,634
Chemicals-Specialty		3,048,704		511,842		—		3,560,546
Food-Retail		1,244,837		—		8,454		1,253,291
Other Industries		296,929,721		—		—		296,929,721
Convertible Preferred Securities		670,680		—		—		670,680
Exchange-Traded Funds		3,496,999		—		—		3,496,999
Short-Term Investment Securities		5,138,281		—		—		5,138,281
Repurchase Agreements		—		2,810,000		—		2,810,000
Total Investments at Value	$	313,835,591	$	4,388,760	$	8,454	$	318,232,805
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	13,767	$	—	$	—	$	13,767

*  For a detailed presentation of investments, 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

218

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Banks-Commercial	12.3	%
Real Estate Investment Trusts	7.5
Exchange-Traded Funds	2.7
Semiconductor Equipment	2.1
Retail-Apparel/Shoe	1.8
Insurance-Property/Casualty	1.7
Savings & Loans/Thrifts	1.7
Electric-Integrated	1.6
Gas-Distribution	1.5
Electronic Components-Semiconductors	1.5
Retail-Restaurants	1.4
Medical-Drugs	1.4
Electronic Components-Misc.	1.4
Human Resources	1.3
Medical-Biomedical/Gene	1.3
Finance-Investment Banker/Broker	1.3
Medical Products	1.3
Wireless Equipment	1.3
Engineering/R&D Services	1.2
Oil Companies-Exploration & Production	1.2
Computer Services	1.1
Oil-Field Services	1.1
Transport-Truck	1.1
Food-Retail	1.1
Machinery-General Industrial	1.0
Insurance-Reinsurance	1.0
Repurchase Agreements	1.0
Communications Software	1.0
Steel-Producers	1.0
Investment Management/Advisor Services	0.9
Auto/Truck Parts & Equipment-Original	0.9
Retail-Automobile	0.9
Aerospace/Defense-Equipment	0.8
Building-Residential/Commercial	0.8
Retail-Vitamins & Nutrition Supplements	0.8
Chemicals-Specialty	0.8
Medical-Outpatient/Home Medical	0.8
Medical Instruments	0.8
Food-Misc./Diversified	0.7
Semiconductor Components-Integrated Circuits	0.7
Metal Processors & Fabrication	0.7
Circuit Boards	0.7
Telecommunication Equipment	0.7
Diversified Manufacturing Operations	0.7
Distribution/Wholesale	0.6
Energy-Alternate Sources	0.6
Enterprise Software/Service	0.6
Entertainment Software	0.6
Networking Products	0.6
Airlines	0.6
Time Deposits	0.5
Transport-Services	0.5
Office Supplies & Forms	0.5
Tools-Hand Held	0.5
Insurance-Life/Health	0.5
Computer Aided Design	0.5
Building & Construction Products-Misc.	0.5
Commercial Services-Finance	0.5
Real Estate Management/Services	0.5
Telecom Services	0.5

Chemicals-Diversified	0.5	%
Rubber-Tires	0.5
Finance-Other Services	0.4
Gambling (Non-Hotel)	0.4
Medical-HMO	0.4
Schools	0.4
Footwear & Related Apparel	0.4
Retail-Video Rentals	0.4
Containers-Paper/Plastic	0.4
Therapeutics	0.4
Auto/Truck Parts & Equipment-Replacement	0.3
Medical-Hospitals	0.3
Data Processing/Management	0.3
Water	0.3
Lasers-System/Components	0.3
Telephone-Integrated	0.3
Home Furnishings	0.3
Building & Construction-Misc.	0.3
Retail-Hair Salons	0.3
MRI/Medical Diagnostic Imaging	0.3
Finance-Consumer Loans	0.3
Real Estate Operations & Development	0.3
Commercial Services	0.3
Oil Field Machinery & Equipment	0.3
Printing-Commercial	0.3
Consumer Products-Misc.	0.3
Retail-Regional Department Stores	0.3
Computer Software	0.3
Poultry	0.2
Building Products-Wood	0.2
Paper & Related Products	0.2
Electric-Distribution	0.2
Vitamins & Nutrition Products	0.2
Medical Information Systems	0.2
Transactional Software	0.2
Diagnostic Kits	0.2
Retail-Discount	0.2
Power Converter/Supply Equipment	0.2
Telecom Equipment-Fiber Optics	0.2
Engines-Internal Combustion	0.2
Insurance-Multi-line	0.2
Internet Content-Information/News	0.2
Internet Application Software	0.2
Research & Development	0.2
Drug Delivery Systems	0.2
Internet Telephone	0.2
Applications Software	0.2
Television	0.2
Building Products-Cement	0.2
Electronic Measurement Instruments	0.2
Apparel Manufacturers	0.2
Publishing-Books	0.2
Office Furnishings-Original	0.2
Transport-Marine	0.2
Non-Ferrous Metals	0.2
Web Portals/ISP	0.2
Disposable Medical Products	0.2
Medical-Generic Drugs	0.2
Retail-Pawn Shops	0.2
Linen Supply & Related Items	0.2

219

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Banks-Mortgage	0.1	%
Miscellaneous Manufacturing	0.1
Computers-Integrated Systems	0.1
Building Products-Doors & Windows	0.1
Health Care Cost Containment	0.1
Batteries/Battery Systems	0.1
Tobacco	0.1
Independent Power Producers	0.1
Building-Heavy Construction	0.1
Veterinary Diagnostics	0.1
Medical-Nursing Homes	0.1
Chemicals-Plastics	0.1
Transport-Air Freight	0.1
Auto Repair Centers	0.1
Oil Refining & Marketing	0.1
Audio/Video Products	0.1
Electric Products-Misc.	0.1
Computers-Periphery Equipment	0.1
E-Commerce/Products	0.1
Metal-Aluminum	0.1
Financial Guarantee Insurance	0.1
Retirement/Aged Care	0.1
Textile-Apparel	0.1
Broadcast Services/Program	0.1
E-Marketing/Info	0.1
Resorts/Theme Parks	0.1
Internet Security	0.1
Casino Hotels	0.1
Patient Monitoring Equipment	0.1
Retail-Home Furnishings	0.1
Instruments-Controls	0.1
Protection/Safety	0.1
Aerospace/Defense	0.1
Consulting Services	0.1
Respiratory Products	0.1
Physicians Practice Management	0.1
Publishing-Newspapers	0.1
Auction Houses/Art Dealers	0.1
Retail-Leisure Products	0.1
Food-Wholesale/Distribution	0.1
Funeral Services & Related Items	0.1
Electric-Generation	0.1
Agricultural Chemicals	0.1
Housewares	0.1
Building-Maintenance & Services	0.1
Environmental Consulting & Engineering	0.1
Electronic Security Devices	0.1
Machinery-Pumps	0.1
Storage/Warehousing	0.1
Retail-Sporting Goods	0.1
Machinery-Construction & Mining	0.1
Security Services	0.1
Wire & Cable Products	0.1
Platinum	0.1
Identification Systems	0.1
Retail-Bookstores	0.1
Advertising Services	0.1
Athletic Equipment	0.1
Coal	0.1
Firearms & Ammunition	0.1

Hotels/Motels	0.1	%
Web Hosting/Design	0.1
Machinery-Electrical	0.1
Medical Imaging Systems	0.1
Recreational Centers	0.1
Banks-Fiduciary	0.1
Diagnostic Equipment	0.1
Hazardous Waste Disposal	0.1
	100.0	%

*  Calculated as a percentage of net assets

220

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 95.8%
Advertising Services — 0.1%
Marchex, Inc., Class B		34,600	$	139,438
Sizmek, Inc.†		2,486		14,891
				154,329
Aerospace/Defense — 0.1%
Aerovironment, Inc.†		2,601		52,124
Cubic Corp.		2,734		114,664
National Presto Industries, Inc.		609		51,314
				218,102
Aerospace/Defense-Equipment — 0.8%
AAR Corp.		35,674		676,736
Aerojet Rocketdyne Holdings, Inc.†		7,923		128,194
Curtiss-Wright Corp.		5,892		367,779
Kaman Corp.		3,413		122,356
Moog, Inc., Class A†		8,356		451,809
Triumph Group, Inc.		7,900		332,432
				2,079,306
Agricultural Chemicals — 0.1%
Intrepid Potash, Inc.†		35,677		197,651
Agricultural Operations — 0.0%
Andersons, Inc.		3,305		112,568
Airlines — 0.6%
Alaska Air Group, Inc.		8,900		707,105
Allegiant Travel Co.		1,663		359,624
Hawaiian Holdings, Inc.†		6,131		151,313
Republic Airways Holdings, Inc.†		6,390		36,934
SkyWest, Inc.		6,354		105,985
				1,360,961
Apparel Manufacturers — 0.2%
G-III Apparel Group, Ltd.†		4,996		308,054
Oxford Industries, Inc.		1,832		135,348
				443,402
Appliances — 0.0%
iRobot Corp.†		3,749		109,246
Applications Software — 0.2%
Constant Contact, Inc.†		4,038		97,881
Ebix, Inc.		3,375		84,240
Epiq Systems, Inc.		4,032		52,094
Progress Software Corp.†		8,678		224,153
Tangoe, Inc.†		4,682		33,710
				492,078
Athletic Equipment — 0.1%
Nautilus, Inc.†		10,200		153,000
Auction Houses/Art Dealers — 0.1%
Sotheby's		6,560		209,789
Audio/Video Products — 0.1%
Daktronics, Inc.		4,836		41,928
DTS, Inc.†		2,166		57,832
Universal Electronics, Inc.†		1,906		80,109
VOXX International Corp.†		10,807		80,188
				260,057

Security Description	Shares		Value (Note 2)
Auto Repair Centers — 0.1%
Monro Muffler Brake, Inc.		4,012	$	271,011
Auto/Truck Parts & Equipment-Original — 0.9%
American Axle & Manufacturing Holdings, Inc.†		2,500		49,850
Dana Holding Corp.		63,810		1,013,303
Gentherm, Inc.†		4,527		203,353
Superior Industries International, Inc.		38,548		720,076
Titan International, Inc.		5,472		36,170
Tower International, Inc.†		9,300		220,968
				2,243,720
Auto/Truck Parts & Equipment-Replacement — 0.3%
Dorman Products, Inc.†		3,891		198,013
Douglas Dynamics, Inc.		27,900		554,094
Standard Motor Products, Inc.		2,493		86,956
				839,063
B2B/E-Commerce — 0.0%
ePlus, Inc.†		732		57,879
Banks-Commercial — 12.3%
1st Source Corp.		3,740		115,192
BancFirst Corp.		5,800		365,980
BancorpSouth, Inc.		14,600		347,042
BankUnited, Inc.		82,360		2,944,370
Banner Corp.		5,795		276,827
BBCN Bancorp, Inc.		14,788		222,116
Capital Bank Financial Corp., Class A†		15,000		453,450
Cardinal Financial Corp.		4,044		93,052
Cathay General Bancorp, Class B		5,700		170,772
Central Pacific Financial Corp.		35,434		743,051
Chemical Financial Corp.		2,200		71,170
Citizens & Northern Corp.		1,500		29,280
City Holding Co.		5,523		272,284
CoBiz Financial, Inc.		3,900		50,739
Columbia Banking System, Inc.		7,249		226,241
Community Bank System, Inc.		5,144		191,202
CVB Financial Corp.		37,017		618,184
East West Bancorp, Inc.		355		13,639
First BanCorp†		14,558		51,826
First Commonwealth Financial Corp.		48,570		441,501
First Financial Bancorp		8,548		163,096
First Financial Bankshares, Inc.		8,058		256,083
First Interstate BancSystem, Inc.		2,400		66,816
First Midwest Bancorp, Inc.		9,789		171,699
First NBC Bank Holding Co.†		1,982		69,449
First Republic Bank		27,400		1,719,898
FirstMerit Corp.		156,440		2,764,295
FNB Corp.		31,008		401,554
Fulton Financial Corp.		6,100		73,810
Glacier Bancorp, Inc.		9,484		250,283
Guaranty Bancorp		2,400		39,528
Hanmi Financial Corp.		4,015		101,178
Home BancShares, Inc.		7,403		299,822
Independent Bank Corp.		3,290		151,669
LegacyTexas Financial Group, Inc.		5,501		167,670
MainSource Financial Group, Inc.		2,200		44,792

221

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
MB Financial, Inc.		8,781	$	286,612
National Penn Bancshares, Inc.		21,604		253,847
NBT Bancorp, Inc.		5,490		147,901
OFG Bancorp		21,208		185,146
Old National Bancorp		14,465		201,497
PacWest Bancorp		3,900		166,959
Pinnacle Financial Partners, Inc.		4,243		209,647
PrivateBancorp, Inc.		9,892		379,160
S&T Bancorp, Inc.		4,371		142,582
Sierra Bancorp		1,600		25,536
Signature Bank†		16,060		2,209,214
Simmons First National Corp., Class A		5,833		279,576
Southside Bancshares, Inc.		3,996		110,090
Southwest Bancorp, Inc.		3,900		63,999
Suffolk Bancorp		7,602		207,687
SVB Financial Group†		14,960		1,728,478
Talmer Bancorp, Inc., Class A		7,880		131,202
TCF Financial Corp.		14,700		222,852
Texas Capital Bancshares, Inc.†		5,753		301,572
Tompkins Financial Corp.		34,932		1,863,972
TrustCo Bank Corp. NY		11,947		69,770
UMB Financial Corp.		7,463		379,195
Umpqua Holdings Corp.		13,200		215,160
Union Bankshares Corp.		22,563		541,512
United Bankshares, Inc.		8,120		308,479
United Community Banks, Inc.		7,291		149,028
Webster Financial Corp.		1,300		46,319
West Bancorporation, Inc.		6,400		120,000
Westamerica Bancorporation		25,408		1,129,132
Wilshire Bancorp, Inc.		22,073		231,987
Wintrust Financial Corp.		66,156		3,534,715
				30,282,386
Banks-Fiduciary — 0.1%
Boston Private Financial Holdings, Inc.		10,493		122,768
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		13,769		359,096
Batteries/Battery Systems — 0.1%
EnerSys		5,823		311,996
Broadcast Services/Program — 0.1%
Nexstar Broadcasting Group, Inc., Class A		5,100		241,485
Building & Construction Products-Misc. — 0.5%
Drew Industries, Inc.		3,031		165,523
Gibraltar Industries, Inc.†		42,086		772,278
Quanex Building Products Corp.		4,253		77,277
Simpson Manufacturing Co., Inc.		5,242		175,555
				1,190,633
Building & Construction-Misc. — 0.3%
Aegion Corp.†		4,550		74,984
Comfort Systems USA, Inc.		4,715		128,531
Dycom Industries, Inc.†		4,279		309,629
MYR Group, Inc.†		2,642		69,220
TopBuild Corp.†		4,804		148,780
				731,144

Security Description	Shares		Value (Note 2)
Building Products-Air & Heating — 0.0%
AAON, Inc.		5,107	$	98,974
Building Products-Cement — 0.2%
Continental Building Products, Inc.†		13,900		285,506
Headwaters, Inc.†		9,276		174,389
				459,895
Building Products-Doors & Windows — 0.1%
Apogee Enterprises, Inc.		3,671		163,910
Griffon Corp.		4,943		77,951
PGT, Inc.†		6,100		74,908
				316,769
Building Products-Wood — 0.2%
Boise Cascade Co.†		17,151		432,548
Universal Forest Products, Inc.		2,528		145,815
				578,363
Building-Heavy Construction — 0.1%
Orion Marine Group, Inc.†		3,421		20,457
Tutor Perini Corp.†		16,910		278,339
				298,796
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		7,053		192,617
Building-Mobile Home/Manufactured Housing — 0.0%
Winnebago Industries, Inc.		3,382		64,765
Building-Residential/Commercial — 0.8%
M/I Homes, Inc.†		3,083		72,697
Meritage Homes Corp.†		4,631		169,124
Ryland Group, Inc.		15,223		621,555
Standard Pacific Corp.†		18,387		147,096
WCI Communities, Inc.†		43,670		988,252
				1,998,724
Casino Hotels — 0.1%
Boyd Gaming Corp.†		12,529		204,222
Monarch Casino & Resort, Inc.†		1,343		24,134
				228,356
Casino Services — 0.0%
Scientific Games Corp., Class A†		6,270		65,522
Chemicals-Diversified — 0.5%
Aceto Corp.		3,656		100,357
Innophos Holdings, Inc.		2,468		97,832
Innospec, Inc.		3,032		141,018
Koppers Holdings, Inc.		38,671		779,994
				1,119,201
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.		5,384		32,950
Chemicals-Other — 0.0%
American Vanguard Corp.		3,227		37,304
Chemicals-Plastics — 0.1%
A. Schulman, Inc.		3,678		119,424
PolyOne Corp.		5,770		169,292
				288,716

222

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.8%
Balchem Corp.		3,951	$	240,102
Calgon Carbon Corp.		6,575		102,439
H.B. Fuller Co.		6,342		215,248
Hawkins, Inc.		1,204		46,354
Kraton Performance Polymers, Inc.†		28,416		508,646
Minerals Technologies, Inc.		4,500		216,720
OM Group, Inc.		10,942		359,882
Quaker Chemical Corp.		1,675		129,109
Stepan Co.		2,296		95,537
				1,914,037
Circuit Boards — 0.7%
Park Electrochemical Corp.		94,565		1,663,398
TTM Technologies, Inc.†		8,090		50,401
				1,713,799
Coal — 0.1%
Cloud Peak Energy, Inc.†		7,663		20,154
SunCoke Energy, Inc.		16,595		129,109
				149,263
Commercial Services — 0.3%
Healthcare Services Group, Inc.		9,027		304,210
HMS Holdings Corp.†		27,518		241,333
Medifast, Inc.†		2,092		56,191
Nutrisystem, Inc.		3,649		96,771
				698,505
Commercial Services-Finance — 0.5%
Cardtronics, Inc.†		5,635		184,265
EVERTEC, Inc.		2,200		39,754
Green Dot Corp., Class A†		5,885		103,576
Heartland Payment Systems, Inc.		8,614		542,768
LendingTree, Inc.†		839		78,052
MoneyGram International, Inc.†		7,600		60,952
Vantiv, Inc., Class A†		3,200		143,744
				1,153,111
Communications Software — 1.0%
Digi International, Inc.†		200,757		2,366,925
Computer Aided Design — 0.5%
Aspen Technology, Inc.†		31,700		1,201,747
Computer Graphics — 0.0%
Monotype Imaging Holdings, Inc.		4,991		108,904
Computer Services — 1.1%
CACI International, Inc., Class A†		3,038		224,721
Ciber, Inc.†		8,940		28,429
Convergys Corp.		31,800		734,898
Engility Holdings, Inc.		2,172		55,994
ExlService Holdings, Inc.†		4,163		153,740
Insight Enterprises, Inc.†		11,657		301,333
LivePerson, Inc.†		6,172		46,660
Science Applications International Corp.		12,100		486,541
Sykes Enterprises, Inc.†		4,973		126,812
TeleTech Holdings, Inc.		2,062		55,241

Security Description	Shares		Value (Note 2)
Computer Services (continued)
Unisys Corp.†		29,100	$	346,290
Virtusa Corp.†		3,391		173,992
				2,734,651
Computer Software — 0.3%
AVG Technologies NV†		12,950		281,663
Blackbaud, Inc.		5,885		330,266
				611,929
Computers-Integrated Systems — 0.1%
Agilysys, Inc.†		1,899		21,117
Mercury Systems, Inc.†		4,107		65,343
MTS Systems Corp.		1,876		112,766
Super Micro Computer, Inc.†		4,569		124,551
				323,777
Computers-Periphery Equipment — 0.1%
Electronics For Imaging, Inc.†		5,940		257,083
Consulting Services — 0.1%
CRA International, Inc.†		3,800		82,004
Forrester Research, Inc.		1,260		39,614
Navigant Consulting, Inc.†		6,013		95,667
				217,285
Consumer Products-Misc. — 0.3%
Central Garden & Pet Co.†		1,241		19,198
Central Garden & Pet Co., Class A†		4,102		66,083
CSS Industries, Inc.		4,200		110,628
Helen of Troy, Ltd.†		3,593		320,855
WD-40 Co.		1,692		150,707
				667,471
Containers-Paper/Plastic — 0.4%
Graphic Packaging Holding Co.		56,200		718,798
KapStone Paper and Packaging Corp.		10,756		177,582
				896,380
Cosmetics & Toiletries — 0.0%
Inter Parfums, Inc.		2,141		53,118
Data Processing/Management — 0.3%
CSG Systems International, Inc.		11,405		351,274
Fair Isaac Corp.		5,300		447,850
				799,124
Decision Support Software — 0.0%
Interactive Intelligence Group, Inc.†		2,176		64,649
Diagnostic Equipment — 0.1%
Affymetrix, Inc.†		14,222		121,456
Diagnostic Kits — 0.2%
Meridian Bioscience, Inc.		5,238		89,570
Quidel Corp.†		24,200		456,896
				546,466
Direct Marketing — 0.0%
Harte-Hanks, Inc.		5,963		21,049
Disposable Medical Products — 0.2%
ICU Medical, Inc.†		1,789		195,895
Merit Medical Systems, Inc.†		5,545		132,581
Utah Medical Products, Inc.		1,100		59,257
				387,733

223

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Distribution/Wholesale — 0.6%
Core-Mark Holding Co., Inc.		2,894	$	189,412
Essendant, Inc.		25,872		839,029
Pool Corp.		5,390		389,697
ScanSource, Inc.†		3,467		122,940
Veritiv Corp.†		1,025		38,171
				1,579,249
Diversified Manufacturing Operations — 0.7%
Actuant Corp., Class A		7,468		137,336
AZZ, Inc.		3,236		157,561
Barnes Group, Inc.		6,455		232,703
Blount International, Inc.†		3,000		16,710
EnPro Industries, Inc.		2,757		107,992
Fabrinet†		3,782		69,324
Federal Signal Corp.		7,848		107,596
Harsco Corp.		55,476		503,167
LSB Industries, Inc.†		2,461		37,703
Lydall, Inc.†		2,136		60,855
SPX Corp.		5,160		61,507
Standex International Corp.		1,604		120,861
Tredegar Corp.		3,118		40,783
				1,654,098
Diversified Minerals — 0.0%
US Silica Holdings, Inc.		6,704		94,459
Diversified Operations/Commercial Services — 0.0%
Viad Corp.		2,521		73,084
Drug Delivery Systems — 0.2%
BioDelivery Sciences International, Inc.†		20,800		115,648
Depomed, Inc.†		7,573		142,751
Nektar Therapeutics†		16,620		182,155
Revance Therapeutics, Inc.†		2,100		62,496
				503,050
E-Commerce/Products — 0.1%
Blue Nile, Inc.†		1,445		48,465
FTD Cos., Inc.†		2,304		68,659
Stamps.com, Inc.†		1,863		137,881
				255,005
E-Marketing/Info — 0.1%
comScore, Inc.†		4,081		188,338
Liquidity Services, Inc.†		3,016		22,289
QuinStreet, Inc.†		4,464		24,775
				235,402
E-Services/Consulting — 0.0%
Perficient, Inc.†		4,431		68,370
Electric Products-Misc. — 0.1%
Littelfuse, Inc.		2,843		259,139
Electric-Distribution — 0.2%
EnerNOC, Inc.†		18,900		149,310
Spark Energy, Inc., Class A		2,600		43,030
UIL Holdings Corp.		7,107		357,269
				549,609

Security Description	Shares		Value (Note 2)
Electric-Generation — 0.1%
Atlantic Power Corp.		108,000	$	200,880
Electric-Integrated — 1.6%
ALLETE, Inc.		11,388		574,980
Avista Corp.		7,822		260,082
Cleco Corp.		11,470		610,663
El Paso Electric Co.		11,976		440,956
MGE Energy, Inc.		7,290		300,275
NorthWestern Corp.		7,809		420,358
PNM Resources, Inc.		5,100		143,055
Portland General Electric Co.		28,870		1,067,324
				3,817,693
Electronic Components-Misc. — 1.4%
AVX Corp.		106,740		1,397,227
Bel Fuse, Inc., Class B		9,881		192,087
Benchmark Electronics, Inc.†		7,821		170,185
CTS Corp.		4,122		76,298
Methode Electronics, Inc.		4,831		154,109
OSI Systems, Inc.†		2,307		177,547
Plexus Corp.†		4,223		162,923
Rogers Corp.†		2,342		124,547
Sanmina Corp.†		27,002		577,033
Stoneridge, Inc.†		23,400		288,756
Vishay Intertechnology, Inc.		6,400		62,016
				3,382,728
Electronic Components-Semiconductors — 1.5%
CEVA, Inc.†		2,579		47,892
Diodes, Inc.†		4,882		104,328
DSP Group, Inc.†		2,780		25,326
Fairchild Semiconductor International, Inc.†		49,600		696,384
Intersil Corp., Class A		19,500		228,150
Kopin Corp.†		7,854		24,662
Microsemi Corp.†		11,984		393,315
Monolithic Power Systems, Inc.		4,574		234,189
ON Semiconductor Corp.†		104,580		983,052
PMC-Sierra, Inc.†		21,400		144,878
QLogic Corp.†		11,004		112,791
Rovi Corp.†		48,100		504,569
Semtech Corp.†		8,342		125,964
				3,625,500
Electronic Measurement Instruments — 0.2%
Badger Meter, Inc.		1,822		105,786
ESCO Technologies, Inc.		3,277		117,644
FARO Technologies, Inc.†		2,184		76,440
Itron, Inc.†		4,789		152,817
				452,687
Electronic Security Devices — 0.1%
American Science & Engineering, Inc.		897		31,897
TASER International, Inc.†		6,765		148,999
				180,896
Energy-Alternate Sources — 0.6%
First Solar, Inc.†		5,000		213,750
FutureFuel Corp.		2,855		28,207
Green Plains, Inc.		4,495		87,473

224

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Energy-Alternate Sources (continued)
Renewable Energy Group, Inc.†		4,000	$	33,120
REX American Resources Corp.†		18,128		917,639
Sunrun, Inc.†		24,300		251,991
				1,532,180
Engineering/R&D Services — 1.2%
Argan, Inc.		11,500		398,820
EMCOR Group, Inc.		49,647		2,196,880
Exponent, Inc.		3,255		145,043
VSE Corp.		5,400		216,378
				2,957,121
Engines-Internal Combustion — 0.2%
Briggs & Stratton Corp.		27,123		523,745
Enterprise Software/Service — 0.6%
ManTech International Corp., Class A		3,059		78,616
MedAssets, Inc.†		31,034		622,542
MicroStrategy, Inc., Class A†		1,171		230,067
Omnicell, Inc.†		4,508		140,199
SYNNEX Corp.		3,633		309,023
Xactly Corp†		16,200		126,360
				1,506,807
Entertainment Software — 0.6%
Take-Two Interactive Software, Inc.†		50,523		1,451,526
Environmental Consulting & Engineering — 0.1%
Tetra Tech, Inc.		7,559		183,759
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		600		118,122
Finance-Consumer Loans — 0.3%
Encore Capital Group, Inc.†		2,947		109,039
Enova International, Inc.†		3,356		34,298
Nelnet, Inc., Class A		6,100		211,121
PRA Group, Inc.†		6,069		321,172
World Acceptance Corp.†		1,070		28,719
				704,349
Finance-Investment Banker/Broker — 1.3%
Cowen Group, Inc., Class A†		29,300		133,608
Evercore Partners, Inc., Class A		4,328		217,439
Greenhill & Co., Inc.		3,424		97,481
Interactive Brokers Group, Inc., Class A		7,207		284,460
INTL. FCStone, Inc.†		700		17,283
Investment Technology Group, Inc.		21,065		281,007
Piper Jaffray Cos.†		1,896		68,578
Raymond James Financial, Inc.		39,280		1,949,467
Stifel Financial Corp.†		2,400		101,040
				3,150,363
Finance-Mortgage Loan/Banker — 0.0%
Arlington Asset Investment Corp., Class A		3,400		47,770
Finance-Other Services — 0.4%
BGC Partners, Inc., Class A		8,600		70,692
MarketAxess Holdings, Inc.		8,783		815,765
WageWorks, Inc.†		4,502		202,950
				1,089,407

Security Description	Shares		Value (Note 2)
Financial Guarantee Insurance — 0.1%
MGIC Investment Corp.†		14,900	$	137,974
NMI Holdings, Inc., Class A†		14,300		108,680
				246,654
Firearms & Ammunition — 0.1%
Sturm Ruger & Co., Inc.		2,348		137,804
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		2,159		56,890
Food-Confectionery — 0.0%
Amplify Snack Brands, Inc.†		5,500		58,905
Food-Misc./Diversified — 0.7%
B&G Foods, Inc.		12,279		447,570
Blue Buffalo Pet Products, Inc.†		2,800		50,148
Cal-Maine Foods, Inc.		3,895		212,706
Darling Ingredients, Inc.†		20,743		233,151
Diamond Foods, Inc.†		3,320		102,455
J&J Snack Foods Corp.		1,855		210,839
Pinnacle Foods, Inc.		8,100		339,228
Snyder's-Lance, Inc.		6,567		221,505
				1,817,602
Food-Retail — 1.1%
Ingles Markets, Inc., Class A		6,100		291,763
Smart & Final Stores, Inc.†		6,700		105,257
Weis Markets, Inc.		53,230		2,222,353
				2,619,373
Food-Wholesale/Distribution — 0.1%
Calavo Growers, Inc.		1,855		82,807
SpartanNash Co.		4,710		121,754
				204,561
Footwear & Related Apparel — 0.4%
Crocs, Inc.†		9,377		121,198
Iconix Brand Group, Inc.†		25,059		338,798
Steven Madden, Ltd.†		7,138		261,393
Wolverine World Wide, Inc.		12,945		280,130
				1,001,519
Forestry — 0.0%
Deltic Timber Corp.		1,395		83,435
Funeral Services & Related Items — 0.1%
Matthews International Corp., Class A		4,139		202,687
Gambling (Non-Hotel) — 0.4%
Isle of Capri Casinos, Inc.†		46,600		812,704
Pinnacle Entertainment, Inc.†		7,622		257,928
				1,070,632
Gas-Distribution — 1.5%
AGL Resources, Inc.		3,200		195,328
Laclede Group, Inc.		15,799		861,519
New Jersey Resources Corp.		26,866		806,786
Northwest Natural Gas Co.		6,501		298,006
Piedmont Natural Gas Co., Inc.		13,845		554,769
South Jersey Industries, Inc.		8,606		217,302
Southwest Gas Corp.		9,308		542,843
WGL Holdings, Inc.		4,960		286,043
				3,762,596

225

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Golf — 0.0%
Callaway Golf Co.		9,867	$	82,389
Hazardous Waste Disposal — 0.1%
US Ecology, Inc.		2,725		118,946
Health Care Cost Containment — 0.1%
CorVel Corp.†		1,301		42,022
ExamWorks Group, Inc.†		4,956		144,914
HealthEquity, Inc.†		4,344		128,365
				315,301
Home Furnishings — 0.3%
American Woodmark Corp.†		1,715		111,252
Ethan Allen Interiors, Inc.		3,281		86,651
La-Z-Boy, Inc.		6,348		168,603
Leggett & Platt, Inc.		5,700		235,125
Select Comfort Corp.†		6,455		141,236
				742,867
Hotels/Motels — 0.1%
Interval Leisure Group, Inc.		4,907		90,092
Marcus Corp.		2,370		45,836
				135,928
Housewares — 0.1%
NACCO Industries, Inc., Class A		4,100		194,955
Human Resources — 1.3%
AMN Healthcare Services, Inc.†		5,983		179,550
Barrett Business Services, Inc.		8,700		373,491
CDI Corp.		1,830		15,646
Cross Country Healthcare, Inc.†		81,578		1,110,277
Heidrick & Struggles International, Inc.		2,169		42,187
Insperity, Inc.		2,364		103,850
Kelly Services, Inc., Class A		3,715		52,530
Korn/Ferry International		16,995		562,025
Monster Worldwide, Inc.†		11,452		73,522
On Assignment, Inc.†		5,948		219,481
Resources Connection, Inc.		4,695		70,754
TrueBlue, Inc.†		22,278		500,587
				3,303,900
Identification Systems — 0.1%
Brady Corp., Class A		5,999		117,940
Checkpoint Systems, Inc.		5,294		38,382
				156,322
Independent Power Producers — 0.1%
Ormat Technologies, Inc.		8,800		299,464
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		3,600		94,464
Instruments-Controls — 0.1%
Watts Water Technologies, Inc., Class A		4,144		218,886
Insurance Brokers — 0.0%
eHealth, Inc.†		2,088		26,747
Insurance-Life/Health — 0.5%
American Equity Investment Life Holding Co.		24,415		569,114
CNO Financial Group, Inc.		27,700		521,037

Security Description	Shares		Value (Note 2)
Insurance-Life/Health (continued)
Primerica, Inc.		3,400	$	153,238
				1,243,389
Insurance-Multi-line — 0.2%
Horace Mann Educators Corp.		5,169		171,714
Kemper Corp.		7,100		251,127
United Fire Group, Inc.		2,643		92,637
				515,478
Insurance-Property/Casualty — 1.7%
Ambac Financial Group, Inc.†		1,000		14,470
AMERISAFE, Inc.		2,387		118,705
Employers Holdings, Inc.		4,022		89,650
First American Financial Corp.		1,900		74,233
Global Indemnity PLC†		1,300		34,021
HCI Group, Inc.		1,134		43,965
Infinity Property & Casualty Corp.		1,429		115,092
Navigators Group, Inc.†		4,474		348,883
ProAssurance Corp.		52,308		2,566,754
RLI Corp.		4,723		252,822
Safety Insurance Group, Inc.		1,762		95,412
Selective Insurance Group, Inc.		7,171		222,731
Stewart Information Services Corp.		3,692		151,040
United Insurance Holdings Corp.		2,244		29,509
Universal Insurance Holdings, Inc.		4,082		120,582
				4,277,869
Insurance-Reinsurance — 1.0%
Aspen Insurance Holdings, Ltd.		1,600		74,352
Axis Capital Holdings, Ltd.		44,560		2,393,763
				2,468,115
Internet Application Software — 0.2%
Bazaarvoice, Inc.†		112,900		509,179
Internet Content-Information/News — 0.2%
DHI Group, Inc.†		5,450		39,840
HealthStream, Inc.†		3,059		66,717
WebMD Health Corp.†		9,200		366,528
XO Group, Inc.†		2,965		41,895
				514,980
Internet Incubators — 0.0%
ModusLink Global Solutions, Inc.†		36,452		104,253
Internet Security — 0.1%
Rapid7, Inc.†		4,700		106,925
VASCO Data Security International, Inc.†		3,723		63,440
Zix Corp.†		14,000		58,940
				229,305
Internet Telephone — 0.2%
8x8, Inc.†		11,124		91,996
j2 Global, Inc.		5,777		409,300
				501,296
Investment Management/Advisor Services — 0.9%
Affiliated Managers Group, Inc.†		11,400		1,949,286
Calamos Asset Management, Inc., Class A		2,165		20,524
Federated Investors, Inc., Class B		2,100		60,690

226

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Investment Management/Advisor Services (continued)
Financial Engines, Inc.		6,499	$	191,526
Virtus Investment Partners, Inc.		864		86,832
				2,308,858
Lasers-System/Components — 0.3%
Coherent, Inc.†		9,418		515,165
Electro Scientific Industries, Inc.		3,454		16,027
II-VI, Inc.†		6,611		106,305
Newport Corp.†		4,970		68,337
Rofin-Sinar Technologies, Inc.†		3,538		91,740
				797,574
Linen Supply & Related Items — 0.2%
G&K Services, Inc., Class A		2,506		166,950
UniFirst Corp.		1,914		204,434
				371,384
Machinery-Construction & Mining — 0.1%
Astec Industries, Inc.		2,366		79,285
Hyster-Yale Materials Handling, Inc.		1,500		86,745
				166,030
Machinery-Electrical — 0.1%
Franklin Electric Co., Inc.		4,961		135,088
Machinery-Farming — 0.0%
Lindsay Corp.		1,437		97,414
Machinery-General Industrial — 1.0%
Albany International Corp., Class A		3,616		103,454
Altra Industrial Motion Corp.		18,450		426,564
Applied Industrial Technologies, Inc.		9,982		380,813
Chart Industries, Inc.†		3,835		73,670
DXP Enterprises, Inc.†		6,374		173,883
Kadant, Inc.		8,100		315,981
Manitowoc Co., Inc.		58,150		872,250
Tennant Co.		2,291		128,709
				2,475,324
Machinery-Pumps — 0.1%
SPX FLOW, Inc.†		5,160		177,659
Medical Imaging Systems — 0.1%
Analogic Corp.		1,562		128,146
Medical Information Systems — 0.2%
Computer Programs & Systems, Inc.		1,320		55,612
Medidata Solutions, Inc.†		6,943		292,370
Merge Healthcare, Inc.†		15,100		107,210
Quality Systems, Inc.		7,428		92,701
				547,893
Medical Instruments — 0.8%
Abaxis, Inc.		2,681		117,937
AngioDynamics, Inc.†		3,306		43,606
CONMED Corp.		4,834		230,775
CryoLife, Inc.		3,172		30,864
Integra LifeSciences Holdings Corp.†		3,571		212,653
Natus Medical, Inc.†		4,154		163,875
NuVasive, Inc.†		9,645		465,082

Security Description	Shares		Value (Note 2)
Medical Instruments (continued)
SurModics, Inc.†		24,224	$	529,052
Vascular Solutions, Inc.†		2,175		70,492
				1,864,336
Medical Labs & Testing Services — 0.0%
Natera, Inc.†		3,200		34,720
Teladoc, Inc.†		2,800		62,412
				97,132
Medical Laser Systems — 0.0%
Cynosure, Inc., Class A†		2,850		85,614
Medical Products — 1.3%
ABIOMED, Inc.†		4,858		450,628
Accuray, Inc.†		23,600		117,882
Cantel Medical Corp.		4,486		254,356
ConforMIS, Inc.†		4,100		74,046
Cyberonics, Inc.†		8,364		508,364
Greatbatch, Inc.†		3,209		181,052
Haemonetics Corp.†		6,389		206,492
Hanger, Inc.†		4,438		60,534
Invacare Corp.		3,750		54,263
Luminex Corp.†		4,810		81,337
MiMedx Group, Inc.†		12,444		120,085
Orthofix International NV†		18,200		614,250
Penumbra, Inc.†		600		24,060
Wright Medical Group, Inc.†		17,600		369,952
				3,117,301
Medical-Biomedical/Gene — 1.3%
Acorda Therapeutics, Inc.†		5,380		142,624
Aduro Biotech, Inc.†		1,300		25,181
ANI Pharmaceuticals, Inc.†		949		37,495
Applied Genetic Technologies Corp.†		700		9,198
Ardelyx, Inc.†		2,600		44,928
Atara Biotherapeutics, Inc.†		4,500		141,480
Avalanche Biotechnologies, Inc.†		3,600		29,664
Bellicum Pharmaceuticals, Inc.†		7,000		101,710
Blueprint Medicines Corp.†		3,500		74,690
Cambrex Corp.†		3,939		156,299
ChemoCentryx, Inc.†		6,200		37,510
Coherus Biosciences, Inc.†		6,200		124,248
Emergent BioSolutions, Inc.†		3,800		108,262
Infinity Pharmaceuticals, Inc.†		16,100		136,045
Karyopharm Therapeutics, Inc.†		4,200		44,226
Kite Pharma, Inc.†		900		50,112
Ligand Pharmaceuticals, Inc.†		2,269		194,340
MacroGenics, Inc.†		5,200		111,384
Medicines Co.†		8,383		318,219
Merrimack Pharmaceuticals, Inc.†		11,200		95,312
Momenta Pharmaceuticals, Inc.†		7,863		129,032
Nivalis Therapeutics, Inc.†		11,200		145,264
Prothena Corp. PLC†		6,400		290,176
PTC Therapeutics, Inc.†		5,100		136,170
Repligen Corp.†		4,132		115,076
Sage Therapeutics, Inc.†		500		21,160
Spark Therapeutics, Inc.†		2,900		121,017

227

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Spectrum Pharmaceuticals, Inc.†		7,437	$	44,473
Tokai Pharmaceuticals, Inc.†		7,100		73,485
Trius Therapeutics, Inc. CVR†(1)(2)		13,800		0
Ultragenyx Pharmaceutical, Inc.†		800		77,048
Versartis, Inc.†		4,600		53,038
XOMA Corp.†		36,300		27,287
				3,216,153
Medical-Drugs — 1.4%
ACADIA Pharmaceuticals, Inc.†		10,000		330,700
Adamas Pharmaceuticals, Inc.†		3,700		61,938
Anacor Pharmaceuticals, Inc.†		3,700		435,527
Chiasma, Inc.†		4,700		93,436
Chimerix, Inc.†		3,200		122,240
Dicerna Pharmaceuticals, Inc.†		1,700		13,957
Enanta Pharmaceuticals, Inc.†		1,645		59,450
FibroGen, Inc.†		7,100		155,632
Global Blood Therapeutics, Inc.†		7,200		303,552
Immune Design Corp.†		6,000		73,200
Lannett Co., Inc.†		3,481		144,531
NantKwest, Inc.†		3,400		38,964
Ophthotech Corp.†		3,500		141,820
Pacira Pharmaceuticals, Inc.†		4,200		172,620
PharMerica Corp.†		3,821		108,784
Prestige Brands Holdings, Inc.†		13,220		597,015
Relypsa, Inc.†		5,100		94,401
Sagent Pharmaceuticals, Inc.†		2,996		45,929
Supernus Pharmaceuticals, Inc.†		4,258		59,740
Synergy Pharmaceuticals, Inc.†		54,300		287,790
ZS Pharma, Inc.†		900		59,094
				3,400,320
Medical-Generic Drugs — 0.2%
Amphastar Pharmaceuticals, Inc.†		6,900		80,661
Impax Laboratories, Inc.†		8,534		300,482
				381,143
Medical-HMO — 0.4%
Centene Corp.†		9,375		508,406
Magellan Health, Inc.†		3,392		188,019
Molina Healthcare, Inc.†		5,300		364,905
				1,061,330
Medical-Hospitals — 0.3%
LifePoint Health, Inc.†		7,950		563,655
Select Medical Holdings Corp.		22,897		247,059
				810,714
Medical-Nursing Homes — 0.1%
Ensign Group, Inc.		2,984		127,208
Kindred Healthcare, Inc.		10,531		165,863
				293,071
Medical-Outpatient/Home Medical — 0.8%
Addus HomeCare Corp.†		4,600		143,290
Air Methods Corp.†		4,489		153,030
Almost Family, Inc.†		1,036		41,492
Amedisys, Inc.†		3,551		134,831
Amsurg Corp.†		6,083		472,710

Security Description	Shares		Value (Note 2)
Medical-Outpatient/Home Medical (continued)
Chemed Corp.		2,124	$	283,490
Civitas Solutions, Inc.†		22,170		508,136
LHC Group, Inc.†		1,624		72,707
Providence Service Corp.†		1,653		72,038
				1,881,724
Metal Processors & Fabrication — 0.7%
CIRCOR International, Inc.		2,068		82,968
Haynes International, Inc.		20,209		764,709
Mueller Industries, Inc.		7,155		211,645
RBC Bearings, Inc.†		11,114		663,839
				1,723,161
Metal Products-Distribution — 0.0%
Olympic Steel, Inc.		1,146		11,403
Metal-Aluminum — 0.1%
Century Aluminum Co.†		17,119		78,747
Kaiser Aluminum Corp.		2,163		173,581
				252,328
Miscellaneous Manufacturing — 0.1%
Hillenbrand, Inc.		7,902		205,531
John Bean Technologies Corp.		3,666		140,225
				345,756
MRI/Medical Diagnostic Imaging — 0.3%
Alliance HealthCare Services, Inc.†		7,800		76,128
Surgical Care Affiliates, Inc.†		19,800		647,262
				723,390
Multimedia — 0.0%
E.W. Scripps Co., Class A		6,719		118,725
Networking Products — 0.6%
Anixter International, Inc.†		3,560		205,697
Black Box Corp.		1,930		28,448
Ixia†		7,608		110,240
LogMeIn, Inc.†		3,122		212,796
NETGEAR, Inc.†		6,936		202,323
Polycom, Inc.†		58,000		607,840
				1,367,344
Non-Ferrous Metals — 0.2%
Globe Specialty Metals, Inc.		8,149		98,847
Horsehead Holding Corp.†		78,880		239,795
Materion Corp.		2,527		75,861
				414,503
Office Furnishings-Original — 0.2%
Herman Miller, Inc.		8,830		254,657
Interface, Inc.		8,269		185,557
				440,214
Office Supplies & Forms — 0.5%
ACCO Brands Corp.†		182,504		1,290,303
Oil Companies-Exploration & Production — 1.2%
Approach Resources, Inc.†		4,634		8,666
Bill Barrett Corp.†		77,272		254,998
Bonanza Creek Energy, Inc.†		5,122		20,847
Carrizo Oil & Gas, Inc.†		24,598		751,223
Contango Oil & Gas Co.†		2,194		16,674

228

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Isramco, Inc.†		300	$	29,802
Northern Oil and Gas, Inc.†		6,420		28,376
PDC Energy, Inc.†		5,035		266,905
Penn Virginia Corp.†		28,999		15,369
Rex Energy Corp.†		32,606		67,494
Stone Energy Corp.†		19,888		98,645
Synergy Resources Corp.†		12,000		117,600
Unit Corp.†		33,050		372,143
WPX Energy, Inc.†		134,080		887,610
				2,936,352
Oil Field Machinery & Equipment — 0.3%
Flotek Industries, Inc.†		6,731		112,408
Gulf Island Fabrication, Inc.		18,380		193,541
Natural Gas Services Group, Inc.†		19,450		375,385
				681,334
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		1,200		49,200
Alon USA Energy, Inc.		5,600		101,192
Western Refining, Inc.		2,600		114,712
				265,104
Oil-Field Services — 1.1%
Basic Energy Services, Inc.†		14,024		46,279
Bristow Group, Inc.		4,384		114,685
CARBO Ceramics, Inc.		2,457		46,658
Exterran Holdings, Inc.		10,719		192,942
Frank's International NV		28,740		440,584
Gulfmark Offshore, Inc., Class A		29,326		179,182
Key Energy Services, Inc.†		59,800		28,106
Matrix Service Co.†		3,355		75,387
Newpark Resources, Inc.†		10,565		54,093
Pioneer Energy Services Corp.†		25,698		53,966
SEACOR Holdings, Inc.†		9,268		554,319
Superior Energy Services, Inc.		15,760		199,049
Tesco Corp.		4,897		34,965
TETRA Technologies, Inc.†		118,722		701,647
				2,721,862
Optical Recognition Equipment — 0.0%
Lumentum Holdings, Inc.†		5,867		99,446
Paper & Related Products — 0.2%
Clearwater Paper Corp.†		2,393		113,045
Domtar Corp.		2,700		96,525
Neenah Paper, Inc.		2,101		122,446
P.H. Glatfelter Co.		5,444		93,746
Schweitzer-Mauduit International, Inc.		3,826		131,538
				557,300
Patient Monitoring Equipment — 0.1%
Masimo Corp.†		5,762		222,183
Physicians Practice Management — 0.1%
Healthways, Inc.†		3,914		43,524
IPC Healthcare, Inc.†		2,187		169,908
				213,432

Security Description	Shares		Value (Note 2)
Platinum — 0.1%
Stillwater Mining Co.†		15,180	$	156,809
Poultry — 0.2%
Pilgrim's Pride Corp.		11,100		230,658
Sanderson Farms, Inc.		5,476		375,489
				606,147
Power Converter/Supply Equipment — 0.2%
Advanced Energy Industries, Inc.†		18,350		482,605
Powell Industries, Inc.		1,133		34,103
Vicor Corp.†		2,069		21,104
				537,812
Printing-Commercial — 0.3%
Deluxe Corp.		7,100		395,754
Ennis, Inc.		15,700		272,552
				668,306
Protection/Safety — 0.1%
Landauer, Inc.		5,903		218,352
Publishing-Books — 0.2%
Houghton Mifflin Harcourt Co.†		15,600		316,836
Scholastic Corp.		3,242		126,308
				443,144
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		14,443		212,745
Racetracks — 0.0%
Speedway Motorsports, Inc.		5,700		102,885
Real Estate Investment Trusts — 7.5%
Acadia Realty Trust		8,642		259,865
Agree Realty Corp.		2,167		64,685
American Assets Trust, Inc.		11,206		457,877
American Homes 4 Rent, Class A		35,940		577,915
Anworth Mtg. Asset Corp.		19,100		94,354
Armada Hoffler Properties, Inc.		900		8,793
Ashford Hospitality Prime, Inc.		730		10,242
Ashford Hospitality Trust, Inc.		2,700		16,470
BioMed Realty Trust, Inc.		22,900		457,542
Capstead Mtg. Corp.		62,031		613,487
CareTrust REIT, Inc.		6,044		68,599
CBL & Associates Properties, Inc.		6,900		94,875
Cedar Realty Trust, Inc.		9,392		58,324
Chambers Street Properties		8,400		54,516
Chesapeake Lodging Trust		7,491		195,216
CoreSite Realty Corp.		23,931		1,231,011
Corporate Office Properties Trust		24,810		521,754
Cousins Properties, Inc.		73,379		676,554
CYS Investments, Inc.		96,300		699,138
DCT Industrial Trust, Inc.		3,250		109,395
DiamondRock Hospitality Co.		31,904		352,539
EastGroup Properties, Inc.		19,044		1,031,804
Education Realty Trust, Inc.		6,073		200,105
Empire State Realty Trust, Inc., Class A		41,090		699,763
EPR Properties		11,257		580,524
Equity LifeStyle Properties, Inc.		2,400		140,568
FelCor Lodging Trust, Inc.		6,400		45,248
First Industrial Realty Trust, Inc.		3,400		71,230
First Potomac Realty Trust		42,600		468,600

229

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Franklin Street Properties Corp.		16,995	$	182,696
GEO Group, Inc.		9,375		278,813
Getty Realty Corp.		3,273		51,713
Gladstone Commercial Corp.		1,400		19,754
Government Properties Income Trust		8,925		142,800
Healthcare Realty Trust, Inc.		12,608		313,309
Hersha Hospitality Trust		9,265		209,945
Home Properties, Inc.		3,800		284,050
Hospitality Properties Trust		6,900		176,502
Inland Real Estate Corp.		11,360		92,016
Kite Realty Group Trust		19,472		463,628
Lexington Realty Trust		26,705		216,311
LTC Properties, Inc.		15,266		651,400
Medical Properties Trust, Inc.		29,369		324,821
Mid-America Apartment Communities, Inc.		6,960		569,815
National Retail Properties, Inc.		2,500		90,675
Parkway Properties, Inc.		10,225		159,101
Pebblebrook Hotel Trust		24,160		856,472
Pennsylvania Real Estate Investment Trust		15,384		305,065
Post Properties, Inc.		10,455		609,422
Potlatch Corp.		12,400		356,996
PS Business Parks, Inc.		3,638		288,784
RAIT Financial Trust		3,200		15,872
Ramco-Gershenson Properties Trust		12,400		186,124
Retail Opportunity Investments Corp.		12,401		205,113
Sabra Health Care REIT, Inc.		8,178		189,566
Saul Centers, Inc.		4,737		245,140
Strategic Hotels & Resorts, Inc.†		32,100		442,659
Summit Hotel Properties, Inc.		12,972		151,383
Taubman Centers, Inc.		2,200		151,976
Universal Health Realty Income Trust		1,538		72,194
Urstadt Biddle Properties, Inc., Class A		3,334		62,479
Washington Real Estate Investment Trust		10,980		273,731
				18,501,318
Real Estate Management/Services — 0.5%
CBRE Group, Inc., Class A†		7,500		240,000
HFF, Inc., Class A		11,758		396,950
Jones Lang LaSalle, Inc.		3,520		506,070
				1,143,020
Real Estate Operations & Development — 0.3%
Alexander & Baldwin, Inc.		8,700		298,671
Forestar Group, Inc.†		28,521		375,051
St. Joe Co.†		1,300		24,869
				698,591
Recreational Centers — 0.1%
Steiner Leisure, Ltd.†		2,000		126,360
Recreational Vehicles — 0.0%
Arctic Cat, Inc.		1,630		36,153
MCBC Holdings, Inc.†		3,400		44,064
				80,217

Security Description	Shares		Value (Note 2)
Research & Development — 0.2%
Albany Molecular Research, Inc.†		3,383	$	58,932
Arrowhead Research Corp.†		28,400		163,584
PAREXEL International Corp.†		4,600		284,832
				507,348
Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		3,439		234,333
Respiratory Products — 0.1%
Inogen, Inc.†		4,473		217,164
Retail-Apparel/Shoe — 1.8%
Abercrombie & Fitch Co., Class A		9,200		194,948
Ascena Retail Group, Inc.†		1,190		16,553
Buckle, Inc.		3,534		130,652
Burlington Stores, Inc.†		26,390		1,346,946
Caleres, Inc.		5,492		167,671
Cato Corp., Class A		3,304		112,435
Children's Place, Inc.		20,251		1,167,875
Express, Inc.†		34,214		611,404
Finish Line, Inc., Class A		5,634		108,736
Francesca's Holdings Corp.†		5,313		64,978
Genesco, Inc.†		3,018		172,237
Guess?, Inc.		5,000		106,800
Men's Wearhouse, Inc.		6,067		257,969
Stein Mart, Inc.		3,671		35,535
				4,494,739
Retail-Auto Parts — 0.0%
Pep Boys-Manny Moe & Jack†		6,763		82,441
Retail-Automobile — 0.9%
Group 1 Automotive, Inc.		2,877		244,976
Lithia Motors, Inc., Class A		2,980		322,168
Rush Enterprises, Inc., Class A†		60,120		1,454,904
Sonic Automotive, Inc., Class A		4,130		84,335
				2,106,383
Retail-Bookstores — 0.1%
Barnes & Noble Education, Inc.†		4,897		62,241
Barnes & Noble, Inc.		7,749		93,840
				156,081
Retail-Building Products — 0.0%
Lumber Liquidators Holdings, Inc.†		3,401		44,689
Retail-Discount — 0.2%
Big Lots, Inc.		9,100		436,072
Fred's, Inc., Class A		4,386		51,974
Ollie's Bargain Outlet Holdings, Inc.†		1,500		24,255
Tuesday Morning Corp.†		5,532		29,928
				542,229
Retail-Hair Salons — 0.3%
Regis Corp.†		55,523		727,351
Retail-Home Furnishings — 0.1%
Haverty Furniture Cos., Inc.		2,588		60,766
Kirkland's, Inc.		7,376		158,879
				219,645
Retail-Jewelry — 0.0%
Movado Group, Inc.		2,078		53,675

230

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Leisure Products — 0.1%
MarineMax, Inc.†		14,819	$	209,392
Retail-Pawn Shops — 0.2%
Cash America International, Inc.		7,038		196,853
Ezcorp, Inc., Class A†		6,508		40,154
First Cash Financial Services, Inc.†		3,515		140,811
				377,818
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		2,553		41,103
Retail-Regional Department Stores — 0.3%
Dillard's, Inc., Class A		7,100		620,469
Stage Stores, Inc.		4,011		39,468
				659,937
Retail-Restaurants — 1.4%
Biglari Holdings, Inc.†		132		48,278
BJ's Restaurants, Inc.†		2,636		113,427
Bloomin' Brands, Inc.		5,800		105,444
Bob Evans Farms, Inc.		7,709		334,185
Bravo Brio Restaurant Group, Inc.†		5,100		57,477
Dave & Buster's Entertainment, Inc.†		3,800		143,754
DineEquity, Inc.		2,733		250,507
Jack in the Box, Inc.		8,600		662,544
Papa John's International, Inc.		3,666		251,048
Popeyes Louisiana Kitchen, Inc.†		2,875		162,035
Red Robin Gourmet Burgers, Inc.†		1,779		134,741
Ruby Tuesday, Inc.†		26,279		163,192
Ruth's Hospitality Group, Inc.		4,421		71,797
Sonic Corp.		32,019		734,836
Texas Roadhouse, Inc.		7,918		294,550
				3,527,815
Retail-Sporting Goods — 0.1%
Big 5 Sporting Goods Corp.		2,340		24,289
Hibbett Sports, Inc.†		3,091		108,216
Zumiez, Inc.†		2,511		39,247
				171,752
Retail-Video Rentals — 0.4%
Outerwall, Inc.		16,876		960,751
Retail-Vitamins & Nutrition Supplements — 0.8%
Flex Pharma, Inc.†		4,100		49,241
GNC Holdings, Inc., Class A		33,000		1,333,860
Vitamin Shoppe, Inc.†		18,661		609,095
				1,992,196
Retirement/Aged Care — 0.1%
Brookdale Senior Living, Inc.†		10,660		244,754
Rubber-Tires — 0.5%
Cooper Tire & Rubber Co.		28,200		1,114,182
Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		4,880		65,392
Satellite Telecom — 0.0%
Iridium Communications, Inc.†		10,123		62,256
Savings & Loans/Thrifts — 1.7%
Astoria Financial Corp.		12,990		209,139
Bank Mutual Corp.		5,363		41,188

Security Description	Shares		Value (Note 2)
Savings & Loans/Thrifts (continued)
BankFinancial Corp.		1,200	$	14,916
Beneficial Bancorp, Inc.†		5,899		78,221
BofI Holding, Inc.†		1,787		230,219
Brookline Bancorp, Inc.		8,804		89,273
Capitol Federal Financial, Inc.		1,300		15,756
Charter Financial Corp.		6,900		87,492
Dime Community Bancshares, Inc.		3,829		64,710
Flushing Financial Corp.		5,700		114,114
Meridian Bancorp, Inc.		15,100		206,417
Northfield Bancorp, Inc.		60,348		917,893
Northwest Bancshares, Inc.		12,765		165,945
OceanFirst Financial Corp.		4,500		77,490
Oritani Financial Corp.		15,197		237,377
Provident Financial Services, Inc.		7,379		143,891
Sterling Bancorp		14,985		222,827
Westfield Financial, Inc.		168,870		1,291,855
				4,208,723
Schools — 0.4%
American Public Education, Inc.†		2,081		48,799
Capella Education Co.		1,379		68,288
Career Education Corp.†		8,531		32,077
K12, Inc.†		6,300		78,372
Strayer Education, Inc.†		14,885		818,228
Universal Technical Institute, Inc.		2,637		9,256
				1,055,020
Security Services — 0.1%
Brink's Co.		6,133		165,652
Seismic Data Collection — 0.0%
Geospace Technologies Corp.†		1,651		22,800
ION Geophysical Corp.†		16,130		6,291
				29,091
Semiconductor Components-Integrated Circuits — 0.7%
Cirrus Logic, Inc.†		7,973		251,229
Exar Corp.†		155,900		927,605
Integrated Device Technology, Inc.†		21,300		432,390
Pericom Semiconductor Corp.		2,525		46,081
Power Integrations, Inc.		3,655		154,132
				1,811,437
Semiconductor Equipment — 2.1%
Brooks Automation, Inc.		24,374		285,419
Cabot Microelectronics Corp.†		3,068		118,854
Cohu, Inc.		37,231		367,098
Kulicke & Soffa Industries, Inc.†		9,171		84,190
MKS Instruments, Inc.		6,702		224,718
Nanometrics, Inc.†		3,034		36,833
Rudolph Technologies, Inc.†		133,730		1,664,938
Teradyne, Inc.		61,390		1,105,634
Tessera Technologies, Inc.		6,151		199,354
Ultratech, Inc.†		3,436		55,045
Veeco Instruments, Inc.†		48,005		984,583
				5,126,666
Soap & Cleaning Preparation — 0.0%
Wausau Paper Corp.		5,219		33,402

231

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Steel Pipe & Tube — 0.0%
TimkenSteel Corp.		4,807	$	48,647
Steel-Producers — 1.0%
AK Steel Holding Corp.†		22,328		53,810
Carpenter Technology Corp.		14,265		424,669
Commercial Metals Co.		42,510		576,011
Steel Dynamics, Inc.		57,300		984,414
Worthington Industries, Inc.		11,500		304,520
				2,343,424
Storage/Warehousing — 0.1%
Mobile Mini, Inc.		5,701		175,534
Telecom Equipment-Fiber Optics — 0.2%
Harmonic, Inc.†		63,965		370,997
Viavi Solutions, Inc.†		29,547		158,667
				529,664
Telecom Services — 0.5%
Consolidated Communications Holdings, Inc.		6,342		122,210
EarthLink Holdings Corp.		50,900		396,002
Lumos Networks Corp.		2,875		34,960
Ooma, Inc.†		21,600		150,120
Premiere Global Services, Inc.†		12,600		173,124
Spok Holdings, Inc.		2,701		44,459
Vonage Holdings Corp.†		5,600		32,928
West Corp.		7,600		170,240
				1,124,043
Telecommunication Equipment — 0.7%
ADTRAN, Inc.		6,269		91,527
Comtech Telecommunications Corp.		2,024		41,715
Plantronics, Inc.		30,230		1,537,196
				1,670,438
Telephone-Integrated — 0.3%
Atlantic Tele-Network, Inc.		1,349		99,731
Cincinnati Bell, Inc.†		157,449		491,241
General Communication, Inc., Class A†		3,773		65,122
Windstream Holdings, Inc.		17,900		109,906
				766,000
Television — 0.2%
Sinclair Broadcast Group, Inc., Class A		18,700		473,484
Textile-Apparel — 0.1%
Perry Ellis International, Inc.†		1,470		32,281
Unifi, Inc.†		7,081		211,085
				243,366
Therapeutics — 0.4%
Anika Therapeutics, Inc.†		1,837		58,472
aTyr Pharma, Inc.†		10,600		108,756
Cara Therapeutics, Inc.†		3,200		45,728
Mirati Therapeutics, Inc.†		5,400		185,868
Neurocrine Biosciences, Inc.†		6,900		274,551
Seres Therapeutics, Inc.†		3,700		109,668

Security Description	Shares		Value (Note 2)
Therapeutics (continued)
Xencor, Inc.†		5,500	$	67,265
Zafgen, Inc.†		1,000		31,950
				882,258
Tobacco — 0.1%
Universal Corp.		6,246		309,614
Tools-Hand Held — 0.5%
Snap-on, Inc.		8,480		1,279,971
Transactional Software — 0.2%
ACI Worldwide, Inc.†		12,400		261,888
Bottomline Technologies de, Inc.†		4,890		122,299
Synchronoss Technologies, Inc.†		4,957		162,590
				546,777
Transport-Air Freight — 0.1%
Atlas Air Worldwide Holdings, Inc.†		8,046		278,070
Transport-Marine — 0.2%
Diana Shipping, Inc.†		45,010		291,665
Hornbeck Offshore Services, Inc.†		4,004		54,174
Tidewater, Inc.		5,897		77,487
				423,326
Transport-Services — 0.5%
Echo Global Logistics, Inc.†		3,222		63,151
Era Group, Inc.†		2,429		36,362
Hub Group, Inc., Class A†		4,516		164,427
Matson, Inc.		26,465		1,018,638
UTi Worldwide, Inc.†		11,579		53,148
				1,335,726
Transport-Truck — 1.1%
ArcBest Corp.		10,662		274,760
Celadon Group, Inc.		3,412		54,660
Forward Air Corp.		3,897		161,687
Heartland Express, Inc.		7,832		156,170
Knight Transportation, Inc.		7,760		186,240
Marten Transport, Ltd.		2,997		48,461
Old Dominion Freight Line, Inc.†		19,790		1,207,190
P.A.M. Transportation Services, Inc.†		1,598		52,814
Roadrunner Transportation Systems, Inc.†		3,795		69,828
Saia, Inc.†		3,134		96,997
Swift Transportation Co.†		8,100		121,662
USA Truck, Inc.†		15,200		261,896
				2,692,365
Veterinary Diagnostics — 0.1%
Neogen Corp.†		4,679		210,508
Phibro Animal Health Corp., Class A		2,700		85,401
				295,909
Vitamins & Nutrition Products — 0.2%
Herbalife, Ltd.†		1,200		65,400
USANA Health Sciences, Inc.†		3,600		482,508
				547,908
Water — 0.3%
American States Water Co.		19,276		798,026

232

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Web Hosting/Design — 0.1%
NIC, Inc.		7,662	$	135,694
Web Portals/ISP — 0.2%
Blucora, Inc.†		28,243		388,906
Wire & Cable Products — 0.1%
Encore Wire Corp.		2,605		85,105
General Cable Corp.		6,142		73,090
				158,195
Wireless Equipment — 1.3%
CalAmp Corp.†		4,553		73,258
InterDigital, Inc.		43,570		2,204,642
Ubiquiti Networks, Inc.		13,500		457,515
ViaSat, Inc.†		5,579		358,674
				3,094,089
Total Common Stocks (cost $223,702,885)				235,823,678
EXCHANGE-TRADED FUNDS — 2.7%
iShares Core S&P Small-Cap ETF		31,475		3,354,291
iShares Russell 2000 Value ETF		36,179		3,259,728
Total Exchange-Traded Funds (cost $7,221,523)				6,614,019
Total Long-Term Investment Securities (cost $230,924,408)				242,437,697

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.5%
Time Deposits — 0.5%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/01/15 (cost $1,378,000)	$	1,378,000		$	1,378,000
REPURCHASE AGREEMENTS — 1.0%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $1,712,000 and collateralized by $1,715,000 of United States Treasury Notes, bearing interest at 2.00%, due 02/15/2022 and having an approximate value of $1,749,300		1,712,000			1,712,000
State Street Bank and Trust Co. Joint Repurchase Agreement(3)		725,000			725,000
Total Repurchase Agreements (cost $2,437,000)					2,437,000
TOTAL INVESTMENTS (cost $234,739,408)(4)		100.0	%		246,252,697
Liabilities in excess of other assets		(0.0	)		(18,337	)
NET ASSETS		100.0	%	$	246,234,360

†  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, 2015, the aggregate value of these securities was $0 representing 0.0% of net assets.

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

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

CVR — Contingent Value Rights

ETF — Exchange Trade Fund

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	21	Long	Russell 2000 Mini Index	December 2015	$	2,415,431	$	2,301,390	$	(114,041	)

233

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Medical-Biomedical/Gene	$	3,216,153	$	—	$	0	$	3,216,153
Other Industries		232,607,525		—		—		232,607,525
Exchange-Traded Funds		6,614,019		—		—		6,614,019
Short-Term Investment Securities		—		1,378,000		—		1,378,000
Repurchase Agreements		—		2,437,000		—		2,437,000
Total Investment at Value	$	242,437,697	$	3,815,000	$	0	$	246,252,697
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	114,041	$	—	$	—	$	114,041

*  For a detailed presentation of investments, 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

234

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Medical-Drugs	9.7	%
Banks-Commercial	8.6
Diversified Banking Institutions	6.1
Insurance-Life/Health	4.0
Telephone-Integrated	3.9
Repurchase Agreements	3.1
Auto-Cars/Light Trucks	2.7
Oil Companies-Integrated	2.6
Cosmetics & Toiletries	2.1
Chemicals-Specialty	2.0
Insurance-Multi-line	2.0
Food-Misc./Diversified	1.9
Brewery	1.9
Electronic Components-Semiconductors	1.8
Beverages-Wine/Spirits	1.7
Real Estate Investment Trusts	1.6
Real Estate Operations & Development	1.5
Auto/Truck Parts & Equipment-Original	1.5
Exchange-Traded Funds	1.4
Cellular Telecom	1.3
Cable/Satellite TV	1.2
Oil Companies-Exploration & Production	1.2
Soap & Cleaning Preparation	1.2
Chemicals-Diversified	1.1
Electric-Integrated	1.1
Retail-Jewelry	1.1
Building-Residential/Commercial	1.1
Semiconductor Components-Integrated Circuits	0.9
Power Converter/Supply Equipment	0.9
Transport-Services	0.8
Diversified Minerals	0.8
Consumer Products-Misc.	0.8
Machinery-Electrical	0.8
Insurance-Property/Casualty	0.8
Optical Supplies	0.7
Food-Retail	0.7
Import/Export	0.7
Gas-Distribution	0.6
Water	0.6
Advertising Agencies	0.6
Electronic Measurement Instruments	0.6
Dialysis Centers	0.6
Electronic Components-Misc.	0.6
Tobacco	0.5
Insurance-Reinsurance	0.5
E-Commerce/Services	0.5
Finance-Investment Banker/Broker	0.5
Retail-Apparel/Shoe	0.5
Rubber-Tires	0.5
Transport-Rail	0.4
Diversified Manufacturing Operations	0.4
Machinery-General Industrial	0.4
Retail-Major Department Stores	0.4
Building Products-Cement	0.4
Retail-Drug Store	0.4
Audio/Video Products	0.4
Food-Catering	0.4
Aerospace/Defense	0.4
Internet Application Software	0.4

Transport-Marine	0.4	%
Electric Products-Misc.	0.4
Satellite Telecom	0.4
Finance-Other Services	0.4
Metal-Diversified	0.3
E-Commerce/Products	0.3
Semiconductor Equipment	0.3
Applications Software	0.3
Oil Refining & Marketing	0.3
Retail-Building Products	0.3
Networking Products	0.3
Registered Investment Companies	0.3
Wireless Equipment	0.3
Computer Services	0.2
Diversified Operations	0.2
Investment Management/Advisor Services	0.2
Building & Construction Products-Misc.	0.2
Web Portals/ISP	0.2
Medical-Biomedical/Gene	0.2
Apparel Manufacturers	0.2
Retail-Convenience Store	0.2
Office Automation & Equipment	0.2
Industrial Gases	0.2
Multimedia	0.2
Machine Tools & Related Products	0.2
Medical Products	0.2
Finance-Credit Card	0.2
Enterprise Software/Service	0.2
Steel-Specialty	0.2
Steel-Producers	0.2
Commercial Services	0.2
Medical Labs & Testing Services	0.2
Building-Heavy Construction	0.2
Finance-Leasing Companies	0.2
Medical-Generic Drugs	0.2
Machinery-Construction & Mining	0.2
Human Resources	0.1
Real Estate Management/Services	0.1
Medical Instruments	0.1
Retail-Misc./Diversified	0.1
Telecom Services	0.1
Internet Content-Information/News	0.1
Textile-Apparel	0.1
Aerospace/Defense-Equipment	0.1
Agricultural Chemicals	0.1
Casino Hotels	0.1
Instruments-Scientific	0.1
Public Thoroughfares	0.1
Machinery-Farming	0.1
Industrial Automated/Robotic	0.1
Metal Processors & Fabrication	0.1
Metal-Copper	0.1
Shipbuilding	0.1
Photo Equipment & Supplies	0.1
E-Marketing/Info	0.1
Athletic Footwear	0.1
Engineering/R&D Services	0.1
Toys	0.1
Electronics-Military	0.1

235

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited) (continued)

Industry Allocation*
Transactional Software	0.1	%
Commercial Services-Finance	0.1
Building Products-Air & Heating	0.1
	99.4	%
Country Allocation*
United Kingdom	19.6	%
Japan	19.4
France	10.7
Switzerland	7.8
Germany	7.6
United States	4.9
Australia	4.0
Italy	2.9
Denmark	2.2
Sweden	2.2
Hong Kong	2.1
Netherlands	2.0
Jersey	2.0
Cayman Islands	1.6
Luxembourg	1.4
Spain	1.3
Singapore	1.2
Taiwan	0.9
Canada	0.8
Ireland	0.8
China	0.8
Norway	0.8
Belgium	0.6
South Korea	0.4
Finland	0.4
Mexico	0.3
India	0.2
Israel	0.2
Brazil	0.1
Bermuda	0.1
Austria	0.1
	99.4	%

*  Calculated as a percentage of net assets

236

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 94.6%
Australia — 4.0%
AGL Energy, Ltd.(1)		11,822	$	132,898
Alumina, Ltd.(1)		44,387		35,174
Amcor, Ltd.(1)		21,185		196,809
AMP, Ltd.(1)		52,593		206,018
APA Group(1)		19,869		119,603
Aristocrat Leisure, Ltd.(1)		9,535		58,117
Asciano, Ltd.(1)		17,430		102,906
ASX, Ltd.(1)		3,387		90,341
Aurizon Holdings, Ltd.(1)		37,944		134,225
AusNet Services(1)		28,643		27,515
Australia & New Zealand Banking Group, Ltd.(1)		166,069		3,181,373
Bank of Queensland, Ltd.(1)		6,539		53,467
Beach Energy, Ltd.(1)		482,357		156,106
Bendigo & Adelaide Bank, Ltd.(1)		8,086		56,446
BGP Holdings PLC†(3)(4)		98,723		0
BHP Billiton, Ltd.(1)		84,080		1,326,085
Boral, Ltd.(1)		14,038		52,024
Brambles, Ltd.(1)		27,596		189,203
Caltex Australia, Ltd.(1)		4,734		104,761
Challenger, Ltd.†(1)		237,605		1,194,543
CIMIC Group, Ltd.(1)		1,826		30,196
Coca-Cola Amatil, Ltd.(1)		10,087		63,914
Cochlear, Ltd.(1)		1,028		60,327
Commonwealth Bank of Australia(1)		29,726		1,529,502
Computershare, Ltd.(1)		8,235		61,406
Crown Resorts, Ltd.(1)		6,324		44,066
CSL, Ltd.(1)		25,165		1,585,671
Dexus Property Group(1)		16,330		82,106
Federation Centres(1)		59,477		114,895
Flight Centre Travel Group, Ltd.(1)		1,022		25,958
Fortescue Metals Group, Ltd.(1)		27,662		35,547
Goodman Group(1)		31,240		128,656
GPT Group(1)		29,247		93,006
Harvey Norman Holdings, Ltd.†(1)		9,925		27,248
Healthscope, Ltd.(1)		20,031		35,921
Iluka Resources, Ltd.(1)		7,474		32,694
Incitec Pivot, Ltd.(1)		29,618		81,317
Insurance Australia Group, Ltd.(1)		41,737		142,773
Lend Lease Group(1)		9,762		86,268
Macquarie Group, Ltd.(1)		36,985		2,010,688
Medibank Private, Ltd.(1)		48,538		82,554
Mirvac Group(1)		64,836		78,499
National Australia Bank, Ltd.(1)		142,547		3,024,935
Newcrest Mining, Ltd.(1)		13,598		123,073
Orica, Ltd.(1)		6,578		69,677
Origin Energy, Ltd.(1)		19,673		93,699
Platinum Asset Management, Ltd.(1)		4,047		19,389
Qantas Airways, Ltd.(1)		9,707		25,416
QBE Insurance Group, Ltd.(1)		80,309		729,102
Ramsay Health Care, Ltd.(1)		2,328		95,830
REA Group, Ltd.(1)		939		29,303
Rio Tinto, Ltd.(1)		24,978		858,324
Santos, Ltd.(1)		17,561		49,317
Scentre Group(1)		385,386		1,057,805
Seek, Ltd.(1)		5,813		49,323

Security Description	Shares		Value (Note 2)
Australia (continued)
Sonic Healthcare, Ltd.(1)		6,760	$	86,784
South32, Ltd.(1)		678,047		655,251
Stockland†(1)		41,242		111,707
Suncorp Group, Ltd.(1)		22,764		196,140
Sydney Airport(1)		18,883		79,175
Tabcorp Holdings, Ltd.(1)		14,405		47,368
Tatts Group, Ltd.(1)		24,995		66,174
Telstra Corp., Ltd.(1)		795,821		3,141,694
TPG Telecom, Ltd.(1)		4,982		38,082
Transurban Group(1)		33,481		234,152
Treasury Wine Estates, Ltd.(1)		11,535		53,318
Wesfarmers, Ltd.(1)		19,944		551,585
Westfield Corp.(1)		34,959		245,249
Westpac Banking Corp.(1)		55,106		1,158,420
Woodside Petroleum, Ltd.(1)		13,190		269,688
Woolworths, Ltd.(1)		22,309		390,106
WorleyParsons, Ltd.(1)		72,040		300,106
				27,701,018
Austria — 0.1%
ANDRITZ AG(1)		1,278		57,663
Erste Group Bank AG(1)		4,938		143,555
OMV AG(1)		2,600		63,203
Raiffeisen Bank International AG(1)		2,059		26,977
voestalpine AG(1)		1,987		68,367
				359,765
Belgium — 0.6%
Ageas(1)		3,543		145,437
Anheuser-Busch InBev NV(1)		14,115		1,499,212
Colruyt SA(1)		1,222		58,820
Delhaize Group(1)		1,821		161,432
Groupe Bruxelles Lambert SA(1)		1,429		107,934
KBC Groep NV(1)		4,431		279,416
Proximus(1)		2,676		92,224
Solvay SA(1)		1,059		108,240
Telenet Group Holding NV(1)		927		53,154
UCB SA(1)		2,237		175,084
Umicore SA(1)		34,825		1,341,970
				4,022,923
Bermuda — 0.1%
Cheung Kong Infrastructure Holdings, Ltd.(1)		10,000		89,763
First Pacific Co., Ltd.(1)		42,000		25,787
Kerry Properties, Ltd.(1)		12,500		34,356
Li & Fung, Ltd.(1)		102,000		78,498
Noble Group, Ltd.(1)		79,000		23,109
NWS Holdings, Ltd.(1)		26,000		34,167
Seadrill, Ltd.(1)		6,985		40,818
Shangri-La Asia, Ltd.(1)		20,000		17,267
Yue Yuen Industrial Holdings, Ltd.(1)		13,000		48,603
				392,368
Brazil — 0.1%
Lojas Renner SA		120,000		556,943

237

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Canada — 0.8%
Agnico Eagle Mines, Ltd.		10,500	$	266,178
MEG Energy Corp.		62,818		387,876
National Bank of Canada		46,700		1,490,761
PrairieSky Royalty, Ltd.		75,688		1,438,327
Sun Life Financial, Inc.		67,900		2,189,896
				5,773,038
Cayman Islands — 1.6%
Alibaba Group Holding, Ltd. ADR		38,380		2,263,269
ASM Pacific Technology, Ltd.(1)		4,200		27,734
Baidu, Inc. ADR		6,700		920,647
Cheung Kong Property Holdings, Ltd.(1)		246,024		1,803,072
CK Hutchison Holdings, Ltd.(1)		216,024		2,824,471
MGM China Holdings, Ltd.(1)		17,200		20,023
Sands China, Ltd.(1)		43,600		132,324
Tencent Holdings, Ltd.(1)		151,200		2,546,896
WH Group, Ltd.*(1)		102,500		50,928
Wynn Macau, Ltd.(1)		325,600		373,365
				10,962,729
China — 0.8%
China Oilfield Services, Ltd., Class H(1)		306,000		308,562
Dalian Wanda Commercial Properties Co., Ltd. Class H*(1)		374,537		2,152,596
Ping An Insurance Group Co. of China, Ltd.†(1)		232,000		1,157,935
TravelSky Technology, Ltd.†(1)		1,554,000		1,982,296
				5,601,389
Denmark — 2.2%
AP Moeller – Maersk A/S, Series A(1)		71		107,006
AP Moeller – Maersk A/S, Series B(1)		1,151		1,775,853
Carlsberg A/S, Class B(1)		1,903		146,451
Coloplast A/S, Class B(1)		1,965		139,406
Danske Bank A/S(1)		77,073		2,331,216
DSV A/S(1)		3,129		117,104
GN Store Nord A/S†(1)		64,276		1,155,798
ISS A/S(1)		2,564		85,286
Novo Nordisk A/S, Class B(1)		162,319		8,736,703
Novozymes A/S, Class B(1)		4,228		184,637
Pandora A/S(1)		1,931		225,921
TDC A/S(1)		14,205		73,302
Tryg A/S(1)		1,850		36,005
Vestas Wind Systems A/S(1)		3,972		207,006
William Demant Holding A/S(1)		380		31,637
				15,353,331
Finland — 0.4%
Elisa Oyj(1)		2,553		86,420
Fortum Oyj†(1)		7,885		116,865
Kone Oyj, Class B(1)		5,899		224,768
Metso Oyj(1)		1,979		41,216
Neste Oyj(1)		2,254		51,942
Nokia Oyj†(1)		64,702		443,275
Nokian Renkaat Oyj(1)		2,017		65,385
Orion Oyj, Class B(1)		1,818		68,818

Security Description	Shares		Value (Note 2)
Finland (continued)
Outokumpu Oyj†(1)		473,854	$	1,096,533
Sampo Oyj, Class A(1)		7,960		386,047
Stora Enso Oyj, Class R(1)		9,785		74,125
UPM-Kymmene Oyj(1)		9,453		142,024
Wartsila Oyj Abp(1)		2,625		104,323
				2,901,741
France — 10.7%
Accor SA(1)		3,686		172,552
Aeroports de Paris(1)		515		58,446
Air Liquide SA(1)		6,084		720,945
Alcatel-Lucent(1)		49,856		183,551
Alstom SA(1)		3,835		118,553
Arkema SA(1)		1,164		75,534
Atos SE(1)		1,436		110,284
AXA SA(1)		182,511		4,430,847
BNP Paribas SA(1)		164,788		9,703,662
Bollore SA†(1)		15,243		74,319
Bouygues SA(1)		3,542		126,054
Bureau Veritas SA(1)		4,653		98,165
Cap Gemini SA(1)		2,719		242,279
Carrefour SA(1)		9,676		286,753
Casino Guichard Perrachon SA(1)		990		52,722
Christian Dior SE(1)		971		181,788
Cie de Saint-Gobain(1)		8,386		364,285
Cie Generale des Etablissements Michelin(1)		3,291		300,310
CNP Assurances(1)		2,981		41,402
Credit Agricole SA(1)		18,236		209,240
Danone SA(1)		10,273		649,705
Dassault Systemes(1)		2,250		166,123
Edenred(1)		3,660		59,867
Electricite de France SA(1)		4,285		75,688
Engie(1)		125,902		2,038,780
Essilor International SA(1)		38,028		4,645,033
Eurazeo SA(1)		715		47,577
Eutelsat Communications SA(1)		62,620		1,921,634
Fonciere Des Regions(1)		520		45,288
Gecina SA†(1)		610		74,332
Groupe Eurotunnel SE(1)		8,272		112,667
Hermes International(1)		472		171,843
ICADE(1)		666		45,195
Iliad SA(1)		466		94,346
Imerys SA(1)		626		40,239
Ingenico Group†(1)		960		115,959
JCDecaux SA(1)		1,178		42,701
Kering(1)		7,909		1,294,519
Klepierre(1)		3,292		149,326
L'Oreal SA(1)		17,421		3,029,284
Lafarge SA(1)		884		59,255
Lagardere SCA(1)		2,074		57,490
Legrand SA(1)		33,672		1,790,205
LVMH Moet Hennessy Louis Vuitton SE(1)		4,954		845,361
Natixis SA(1)		16,537		91,370
Numericable-SFR SAS(1)		1,721		79,711
Orange SA(1)		34,916		528,038

238

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
France (continued)
Pernod Ricard SA(1)		49,553	$	5,003,653
Peugeot SA(1)		7,614		115,027
Publicis Groupe SA(1)		3,340		228,189
Remy Cointreau SA(1)		444		29,175
Renault SA(1)		3,405		244,603
Rexel SA(1)		4,907		60,342
Safran SA(1)		5,146		388,281
Sanofi(1)		119,908		11,423,112
Schneider Electric SE(1)		103,649		5,812,524
SCOR SE(1)		2,735		98,234
Societe BIC SA(1)		501		77,880
Societe Generale SA(1)		63,528		2,841,737
Sodexo SA(1)		1,664		138,021
Suez Environnement Co.(1)		217,278		3,908,118
Technip SA(1)		1,821		86,035
Thales SA(1)		1,825		127,145
TOTAL SA(1)		93,477		4,214,418
Unibail-Rodamco SE (Euronext Amsterdam)(1)		3,472		900,372
Unibail-Rodamco SE (Euronext Paris)		3,731		964,294
Valeo SA(1)		1,336		180,922
Veolia Environnement SA(1)		7,443		170,566
Vinci SA(1)		8,370		532,227
Vivendi SA(1)		20,241		479,205
Wendel SA(1)		551		64,504
Zodiac Aerospace(1)		3,252		74,438
				73,986,249
Germany — 7.6%
adidas AG(1)		3,696		297,494
Allianz SE(1)		16,032		2,512,781
Axel Springer SE(1)		693		38,637
BASF SE†(1)		32,536		2,482,640
Bayer AG(1)		84,559		10,807,337
Bayerische Motoren Werke AG(1)		18,051		1,597,198
Bayerische Motoren Werke AG(1) (Preference Shares)		961		65,984
Beiersdorf AG(1)		1,786		158,031
Brenntag AG(1)		110,144		5,927,486
Commerzbank AG(1)		78,156		822,679
Continental AG(1)		1,948		413,793
Daimler AG(1)		16,921		1,226,587
Deutsche Bank AG(1)		43,347		1,165,327
Deutsche Boerse AG(1)		3,429		295,185
Deutsche Lufthansa AG(1)		4,080		56,635
Deutsche Post AG(1)		17,100		473,269
Deutsche Telekom AG(1)		201,976		3,585,486
Deutsche Wohnen AG (BR)(1)		5,915		158,078
E.ON SE(1)		113,868		976,861
Evonik Industries AG(1)		2,439		81,521
Fraport AG Frankfurt Airport Services Worldwide(1)		628		38,729
Fresenius Medical Care AG & Co. KGaA(1)		3,830		298,651
Fresenius SE & Co. KGaA(1)		50,294		3,373,275
Fuchs Petrolub SE(1) (Preference Shares)		1,213		53,534

Security Description	Shares		Value (Note 2)
Germany (continued)
GEA Group AG†(1)		3,256	$	123,746
Hannover Rueck SE(1)		1,058		108,168
HeidelbergCement AG(1)		2,505		171,527
Hella KGaA Hueck & Co.(1)		22,535		814,300
Henkel AG & Co. KGaA(1)		1,839		162,377
Henkel AG & Co. KGaA(1) (Preference Shares)		3,140		322,622
HUGO BOSS AG†(1)		1,173		131,542
Infineon Technologies AG(1)		19,933		224,009
K+S AG(1)		3,364		112,436
Kabel Deutschland Holding AG(1)		381		49,580
LANXESS AG(1)		1,624		75,873
Linde AG(1)		3,301		534,711
MAN SE(1)		637		64,786
Merck KGaA(1)		2,286		202,381
METRO AG(1)		2,865		79,036
Muenchener Rueckversicherungs- Gesellschaft AG(1)		12,799		2,384,395
OSRAM Licht AG(1)		1,577		81,480
Porsche Automobil Holding SE(1) (Preference Shares)		2,708		115,260
ProSiebenSat.1 Media(1)		3,883		190,150
RWE AG(1)		8,652		98,032
SAP SE(1)		17,282		1,118,083
Siemens AG(1)		34,345		3,068,493
Symrise AG(1)		2,204		132,392
Telefonica Deutschland Holding AG(1)		211,534		1,291,004
ThyssenKrupp AG(1)		6,458		113,085
TUI AG(1)		8,034		148,421
United Internet AG(1)		2,173		109,925
Volkswagen AG(1)		618		72,585
Volkswagen AG(1)(Preference Shares)		31,383		3,431,968
Vonovia SE(1)		8,193		263,349
				52,702,914
Hong Kong — 2.1%
AIA Group, Ltd.(1)		1,809,512		9,421,304
Bank of East Asia, Ltd.(1)		22,800		76,920
BOC Hong Kong Holdings, Ltd.(1)		65,000		191,856
Cathay Pacific Airways, Ltd.(1)		20,000		37,628
CLP Holdings, Ltd.(1)		32,500		277,375
Galaxy Entertainment Group, Ltd.(1)		41,000		105,293
Hang Lung Properties, Ltd.(1)		42,000		94,514
Hang Seng Bank, Ltd.(1)		13,100		236,621
Henderson Land Development Co., Ltd.(1)		20,350		122,060
HKT Trust & HKT, Ltd.(1)		46,000		54,694
Hong Kong & China Gas Co., Ltd.(1)		119,570		224,472
Hong Kong Exchanges and Clearing, Ltd.(1)		19,600		450,737
Hysan Development Co., Ltd.(1)		11,000		46,004
Link REIT(1)		40,000		219,968
Melco International Development, Ltd.†(1)		1,138,000		1,397,018
MTR Corp., Ltd.(1)		24,500		106,637
New World Development Co., Ltd.(1)		96,000		93,293
PCCW, Ltd.(1)		71,000		36,729

239

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hong Kong (continued)
Power Assets Holdings, Ltd.(1)		24,000	$	227,757
Sino Land Co., Ltd.(1)		58,000		88,969
SJM Holdings, Ltd.(1)		38,000		27,101
Sun Hung Kai Properties, Ltd.(1)		30,000		391,022
Swire Pacific, Ltd., Class A(1)		10,000		112,396
Swire Properties, Ltd.(1)		20,600		57,588
Techtronic Industries Co., Ltd.(1)		25,000		92,950
Wharf Holdings, Ltd.(1)		24,000		135,921
Wheelock & Co., Ltd.(1)		18,000		78,434
				14,405,261
India — 0.2%
Infosys, Ltd. ADR		86,900		1,658,921
Ireland — 0.8%
Bank of Ireland(1)		486,749		189,490
CRH PLC(1)		14,424		381,566
DCC PLC†(1)		22,812		1,725,678
James Hardie Industries PLC(1)		7,943		95,867
Kerry Group PLC, Class A(1)		2,791		209,875
Permanent TSB Group Holdings PLC†(1)		573,897		3,051,419
Ryanair Holdings PLC(1)		2,761		40,406
				5,694,301
Israel — 0.2%
Azrieli Group(1)		659		26,354
Bank Hapoalim BM(1)		18,467		92,961
Bank Leumi Le-Israel BM(1)		23,176		86,566
Bezeq The Israeli Telecommunication Corp., Ltd.(1)		34,453		65,905
Delek Group, Ltd.(1)		81		17,723
Israel Chemicals, Ltd.(1)		7,904		40,751
Israel Corp., Ltd.(1)		46		11,050
Mizrahi Tefahot Bank, Ltd.(1)		2,315		27,375
NICE-Systems, Ltd.(1)		991		55,534
Teva Pharmaceutical Industries, Ltd.(1)		15,211		860,071
				1,284,290
Italy — 2.9%
Assicurazioni Generali SpA(1)		20,603		377,890
Atlantia SpA(1)		7,337		205,424
Banca Monte dei Paschi di Siena SpA(1)		44,441		79,403
Banca Popolare di Milano Scarl(1)		2,290,707		2,264,059
Banco Popolare SC(1)		6,426		95,056
Enel Green Power SpA(1)		30,917		58,572
Enel SpA†(1)		123,846		553,765
Eni SpA(1)		119,689		1,883,228
EXOR SpA(1)		1,748		76,374
Finmeccanica SpA(1)		7,142		89,642
Intesa Sanpaolo SpA(1)		2,806,064		9,909,612
Intesa Sanpaolo SpA RSP(1)		16,405		52,849
Luxottica Group SpA(1)		2,973		206,666
Mediobanca SpA(1)		10,691		105,174
Moncler SpA†(1)		53,844		965,464
Pirelli & C. SpA(1)		4,229		70,771
Prysmian SpA(1)		3,613		74,740

Security Description	Shares		Value (Note 2)
Italy (continued)
Saipem SpA(1)		4,706	$	37,788
Snam SpA(1)		36,811		189,437
Telecom Italia SpA(1)		179,517		220,718
Telecom Italia SpA RSP(1)		1,199,702		1,231,186
Terna Rete Elettrica Nazionale SpA(1)		26,163		127,371
UniCredit SpA(1)		84,131		524,327
Unione di Banche Italiane SCpA(1)		15,127		107,330
UnipolSai SpA(1)		16,152		35,228
World Duty Free SpA†(1)		74,868		855,993
				20,398,067
Japan — 19.4%
ABC-Mart, Inc.(1)		500		27,939
Acom Co., Ltd.(1)		7,300		37,410
Aeon Co., Ltd.(1)		11,400		177,467
AEON Financial Service Co., Ltd.(1)		2,000		39,602
Aeon Mall Co., Ltd.(1)		2,000		30,793
Air Water, Inc.(1)		3,000		45,243
Aisin Seiki Co., Ltd.(1)		43,000		1,446,261
Ajinomoto Co., Inc.(1)		11,000		232,308
Alfresa Holdings Corp.†(1)		3,100		53,073
Alps Electric Co., Ltd.†(1)		3,025		85,834
Amada Holdings Co., Ltd.(1)		6,000		45,794
ANA Holdings, Inc.(1)		20,000		56,241
Aozora Bank, Ltd.(1)		20,000		69,534
Asahi Glass Co., Ltd.(1)		17,000		99,782
Asahi Group Holdings, Ltd.(1)		6,800		221,296
Asahi Kasei Corp.(1)		213,000		1,503,633
Asics Corp.(1)		2,800		67,001
Astellas Pharma, Inc.(1)		201,500		2,615,890
Bandai Namco Holdings, Inc.(1)		3,200		74,531
Bank of Kyoto, Ltd.(1)		6,000		61,251
Bank of Yokohama, Ltd.(1)		94,000		572,691
Benesse Holdings, Inc.(1)		1,100		29,487
Bridgestone Corp.(1)		11,400		396,332
Brother Industries, Ltd.(1)		4,400		53,199
Calbee, Inc.(1)		1,300		42,255
Canon, Inc.(1)		40,000		1,158,843
Casio Computer Co., Ltd.(1)		3,600		65,676
Central Japan Railway Co.(1)		13,700		2,215,638
Chiba Bank, Ltd.†(1)		13,000		92,524
Chubu Electric Power Co., Inc.(1)		11,300		167,094
Chugai Pharmaceutical Co., Ltd.(1)		4,000		123,112
Chugoku Bank, Ltd.†(1)		2,800		41,700
Chugoku Electric Power Co., Inc.†(1)		5,200		71,808
Citizen Holdings Co., Ltd.(1)		4,600		31,820
COLOPL, Inc.(1)		1,000		16,125
Credit Saison Co., Ltd.(1)		64,800		1,179,337
CyberAgent, Inc.†(1)		11,500		450,506
Dai Nippon Printing Co., Ltd.(1)		9,000		87,517
Dai-ichi Life Insurance Co., Ltd.(1)		19,200		307,053
Daicel Corp.(1)		7,000		86,108
Daihatsu Motor Co., Ltd.(1)		3,300		38,304
Daiichi Sankyo Co., Ltd.(1)		11,200		195,569
Daikin Industries, Ltd.(1)		4,100		230,525
Daito Trust Construction Co., Ltd.(1)		1,200		122,065
Daiwa House Industry Co., Ltd.(1)		11,000		273,035

240

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Daiwa Securities Group, Inc.(1)		29,000	$	187,944
Denso Corp.(1)		8,500		360,355
Dentsu, Inc.(1)		3,800		194,812
Don Quijote Holdings Co., Ltd.(1)		2,000		75,676
East Japan Railway Co.(1)		5,900		499,282
Eisai Co., Ltd.(1)		4,400		260,981
Electric Power Development Co., Ltd.(1)		2,500		76,688
FamilyMart Co., Ltd.(1)		30,400		1,391,316
FANUC Corp.(1)		3,600		555,009
Fast Retailing Co., Ltd.(1)		1,000		406,040
Fuji Electric Co., Ltd.(1)		9,000		32,763
Fuji Heavy Industries, Ltd.(1)		10,300		372,723
FUJIFILM Holdings Corp.(1)		8,100		303,919
Fujitsu, Ltd.(1)		32,000		139,549
Fukuoka Financial Group, Inc.(1)		13,000		62,038
GungHo Online Entertainment, Inc.(1)		7,100		21,063
Gunma Bank, Ltd.†(1)		6,000		38,370
Hachijuni Bank, Ltd.†(1)		7,000		49,508
Hakuhodo DY Holdings, Inc.(1)		4,200		40,052
Hamamatsu Photonics KK(1)		27,500		622,384
Hankyu Hanshin Holdings, Inc.(1)		20,000		122,227
Hikari Tsushin, Inc.(1)		300		21,009
Hino Motors, Ltd.(1)		4,500		45,966
Hirose Electric Co., Ltd.†(1)		500		54,603
Hiroshima Bank, Ltd.†(1)		8,000		46,361
Hisamitsu Pharmaceutical Co., Inc.(1)		1,000		33,418
Hitachi Chemical Co., Ltd.†(1)		1,800		24,887
Hitachi Construction Machinery Co., Ltd.(1)		2,100		28,155
Hitachi High-Technologies Corp.(1)		1,000		21,719
Hitachi Metals, Ltd.(1)		3,000		34,969
Hitachi, Ltd.(1)		85,000		429,599
Hokuhoku Financial Group, Inc.(1)		21,000		48,335
Hokuriku Electric Power Co.†(1)		2,900		39,091
Honda Motor Co., Ltd.(1)		76,900		2,293,058
Hoya Corp.(1)		7,500		246,448
Hulic Co., Ltd.†(1)		4,200		38,072
Ibiden Co., Ltd.(1)		2,400		31,582
Ichigo, Inc.		74,076		171,042
Idemitsu Kosan Co., Ltd.(1)		1,500		23,008
IHI Corp.†(1)		24,000		61,795
Iida Group Holdings Co., Ltd.(1)		2,800		43,856
Inpex Corp.(1)		518,700		4,634,145
Invincible Investment Corp.(1)		2,996		1,668,779
Isetan Mitsukoshi Holdings, Ltd.(1)		5,900		88,960
Isuzu Motors, Ltd.(1)		10,300		103,789
ITOCHU Corp.(1)		27,800		294,869
Itochu Techno-Solutions Corp.(1)		800		17,096
Iyo Bank, Ltd.†(1)		4,200		48,425
J. Front Retailing Co., Ltd.†(1)		3,900		63,648
Japan Airlines Co., Ltd.(1)		2,100		74,135
Japan Airport Terminal Co., Ltd.†(1)		700		30,245
Japan Exchange Group, Inc.(1)		9,200		134,969

Security Description	Shares		Value (Note 2)
Japan (continued)
Japan Prime Realty Investment Corp.(1)		14	$	45,450
Japan Real Estate Investment Corp.(1)		22		101,494
Japan Retail Fund Investment Corp.(1)		42		81,395
Japan Tobacco, Inc.(1)		19,400		603,492
JFE Holdings, Inc.(1)		8,700		114,398
JGC Corp.(1)		4,000		53,193
Joyo Bank, Ltd.(1)		11,000		58,122
JSR Corp.(1)		3,100		44,786
JTEKT Corp.(1)		3,600		50,516
JX Holdings, Inc.(1)		39,600		143,359
Kajima Corp.(1)		14,000		74,534
Kakaku.com, Inc.(1)		44,700		726,753
Kamigumi Co., Ltd.(1)		3,000		24,624
Kaneka Corp.(1)		5,000		36,963
Kansai Electric Power Co., Inc.(1)		12,400		138,807
Kansai Paint Co., Ltd.(1)		4,000		54,692
Kao Corp.(1)		8,800		399,813
Kawasaki Heavy Industries, Ltd.(1)		25,000		86,548
KDDI Corp.(1)		30,900		691,985
Keihan Electric Railway Co., Ltd.(1)		8,000		53,516
Keikyu Corp.(1)		8,000		63,819
Keio Corp.†(1)		10,000		71,210
Keisei Electric Railway Co., Ltd.†(1)		4,000		44,015
Kenedix Retail REIT Corp(1)		419		808,863
Keyence Corp.(1)		8,700		3,895,318
Kikkoman Corp.(1)		3,000		82,791
Kintetsu Group Holdings Co., Ltd.(1)		31,000		111,707
Kirin Holdings Co., Ltd.(1)		88,700		1,168,396
Kobe Steel, Ltd.(1)		54,000		58,784
Koito Manufacturing Co., Ltd.(1)		12,400		406,696
Komatsu, Ltd.(1)		16,100		236,958
Konami Holdings Corp.(1)		1,700		36,912
Konica Minolta, Inc.(1)		8,000		84,449
Kose Corp.(1)		540		49,464
Kubota Corp.(1)		20,000		275,423
Kuraray Co., Ltd.(1)		6,000		74,940
Kurita Water Industries, Ltd.(1)		1,700		36,156
Kyocera Corp.(1)		5,600		256,970
Kyowa Hakko Kirin Co., Ltd.(1)		4,000		59,734
Kyushu Electric Power Co., Inc.(1)		7,500		81,805
Lawson, Inc.(1)		1,100		81,345
LIXIL Group Corp.(1)		4,600		93,555
M3, Inc.†(1)		3,400		67,828
Mabuchi Motor Co., Ltd.(1)		800		34,955
Makita Corp.(1)		2,100		112,014
Marubeni Corp.(1)		29,000		142,373
Marui Group Co., Ltd.(1)		4,200		50,805
Maruichi Steel Tube, Ltd.(1)		800		18,139
Mazda Motor Corp.(1)		9,300		147,645
McDonald's Holdings Co. Japan, Ltd.(1)		1,100		24,700
Medipal Holdings Corp.†(1)		2,400		38,229
MEIJI Holdings Co., Ltd.(1)		2,000		147,166
Minebea Co., Ltd.(1)		5,000		53,234
Miraca Holdings, Inc.(1)		21,600		918,712

241

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Mitsubishi Chemical Holdings Corp.(1)		23,800	$	124,836
Mitsubishi Corp.(1)		70,900		1,165,690
Mitsubishi Electric Corp.(1)		287,000		2,635,152
Mitsubishi Estate Co., Ltd.(1)		22,000		450,898
Mitsubishi Gas Chemical Co., Inc.(1)		6,000		27,755
Mitsubishi Heavy Industries, Ltd.(1)		53,000		237,521
Mitsubishi Logistics Corp.†(1)		2,000		23,158
Mitsubishi Materials Corp.(1)		19,000		57,960
Mitsubishi Motors Corp.(1)		120,000		919,515
Mitsubishi Tanabe Pharma Corp.(1)		4,000		70,408
Mitsubishi UFJ Financial Group, Inc.(1)		884,100		5,343,374
Mitsubishi UFJ Lease & Finance Co., Ltd.†(1)		134,800		595,363
Mitsui & Co., Ltd.(1)		30,200		340,107
Mitsui Chemicals, Inc.(1)		14,000		45,007
Mitsui Fudosan Co., Ltd.(1)		33,000		907,523
Mitsui OSK Lines, Ltd.(1)		19,000		45,685
Mixi, Inc.(1)		700		24,078
Mizuho Financial Group, Inc.(1)		409,600		769,375
Mori Hills REIT Investment Corp(1)		3,183		3,750,068
MS&AD Insurance Group Holdings, Inc.(1)		9,200		247,459
Murata Manufacturing Co., Ltd.(1)		3,500		454,538
Nabtesco Corp.(1)		2,000		36,561
Nagoya Railroad Co., Ltd.(1)		15,000		59,060
NEC Corp.(1)		48,000		147,954
Nexon Co., Ltd.(1)		2,300		30,806
NGK Insulators, Ltd.(1)		5,000		95,965
NGK Spark Plug Co., Ltd.(1)		189,512		4,351,751
NH Foods, Ltd.†(1)		4,000		81,866
NHK Spring Co., Ltd.(1)		2,700		26,245
Nidec Corp.(1)		3,800		261,807
Nikon Corp.(1)		6,000		72,623
Nintendo Co., Ltd.(1)		1,900		320,989
Nippon Building Fund, Inc.(1)		24		116,425
Nippon Electric Glass Co., Ltd.(1)		8,000		38,759
Nippon Express Co., Ltd.(1)		14,000		67,018
Nippon Paint Holdings Co., Ltd.(1)		3,000		52,525
Nippon Prologis REIT, Inc.(1)		26		47,180
Nippon Steel & Sumitomo Metal Corp.(1)		13,400		244,791
Nippon Telegraph & Telephone Corp.(1)		277,500		9,745,722
Nippon Yusen KK(1)		207,000		480,342
Nissan Motor Co., Ltd.(1)		43,900		404,383
Nisshin Seifun Group, Inc.†(1)		3,600		52,430
Nissin Foods Holdings Co., Ltd.(1)		1,000		46,113
Nitori Holdings Co., Ltd.(1)		1,300		102,370
Nitto Denko Corp.(1)		2,900		174,177
NOK Corp.†(1)		1,700		36,805
Nomura Holdings, Inc.(1)		64,600		374,823
Nomura Real Estate Holdings, Inc.(1)		2,400		48,391
Nomura Research Institute, Ltd.(1)		2,090		80,518
NSK, Ltd.(1)		9,000		87,379

Security Description	Shares		Value (Note 2)
Japan (continued)
NTT Data Corp.(1)		2,200	$	111,085
NTT DOCOMO, Inc.(1)		25,200		422,495
NTT Urban Development Corp.(1)		2,200		20,310
Obayashi Corp.(1)		11,000		93,980
Odakyu Electric Railway Co., Ltd.(1)		11,000		99,209
Oji Holdings Corp.†(1)		14,000		60,125
Olympus Corp.(1)		4,800		149,475
Omron Corp.(1)		3,400		102,767
Ono Pharmaceutical Co., Ltd.(1)		1,400		166,522
Oracle Corp. Japan(1)		600		25,400
Oriental Land Co., Ltd.(1)		3,600		202,177
ORIX Corp.(1)		23,700		306,566
Osaka Gas Co., Ltd.(1)		32,000		121,788
Otsuka Corp.(1)		800		39,058
Otsuka Holdings Co., Ltd.(1)		6,900		221,770
Panasonic Corp.(1)		154,600		1,569,509
Park24 Co., Ltd.(1)		1,600		30,103
Rakuten, Inc.(1)		16,400		210,326
Recruit Holdings Co., Ltd.(1)		24,600		739,986
Resona Holdings, Inc.(1)		39,000		199,260
Ricoh Co., Ltd.(1)		12,800		129,438
Rinnai Corp.(1)		600		45,867
Rohm Co., Ltd.(1)		1,700		76,007
Ryohin Keikaku Co., Ltd.(1)		420		85,990
Sankyo Co., Ltd.(1)		800		28,512
Sanrio Co., Ltd.(1)		800		21,891
Santen Pharmaceutical Co., Ltd.(1)		6,500		87,602
SBI Holdings, Inc.†(1)		3,900		44,109
Secom Co., Ltd.(1)		3,600		216,935
Sega Sammy Holdings, Inc.(1)		3,300		32,312
Seibu Holdings, Inc.(1)		2,100		42,646
Seiko Epson Corp.(1)		5,000		70,780
Sekisui Chemical Co., Ltd.(1)		453,000		4,771,469
Sekisui House, Ltd.(1)		10,500		164,977
Seven & i Holdings Co., Ltd.(1)		13,300		609,374
Seven Bank, Ltd.(1)		407,303		1,771,588
Sharp Corp.(1)		27,000		31,064
Shikoku Electric Power Co., Inc.(1)		3,100		50,716
Shimadzu Corp.(1)		4,000		57,804
Shimamura Co., Ltd.(1)		300		32,374
Shimano, Inc.(1)		1,400		197,309
Shimizu Corp.(1)		10,000		86,077
Shin-Etsu Chemical Co., Ltd.(1)		105,800		5,438,012
Shinsei Bank, Ltd.(1)		32,000		66,099
Shionogi & Co., Ltd.(1)		5,300		190,511
Shiseido Co., Ltd.(1)		6,300		138,075
Shizuoka Bank, Ltd.†(1)		9,000		90,194
Showa Shell Sekiyu KK(1)		3,300		26,144
SMC Corp.(1)		1,000		219,634
SoftBank Group Corp.(1)		38,100		1,752,996
Sompo Japan Nipponkoa Holdings, Inc.(1)		5,800		169,115
Sony Corp.(1)		50,000		1,222,572
Sony Financial Holdings, Inc.(1)		64,400		1,060,536
Stanley Electric Co., Ltd.(1)		2,500		50,080
Sumco Corp.†(1)		374,686		3,363,036
Sumitomo Chemical Co., Ltd.(1)		26,000		132,067

242

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Sumitomo Corp.(1)		187,300	$	1,808,114
Sumitomo Dainippon Pharma Co., Ltd.(1)		2,800		28,039
Sumitomo Electric Industries, Ltd.(1)		13,400		172,157
Sumitomo Heavy Industries, Ltd.(1)		9,000		35,702
Sumitomo Metal Mining Co., Ltd.(1)		197,000		2,243,204
Sumitomo Mitsui Financial Group, Inc.(1)		22,500		856,519
Sumitomo Mitsui Trust Holdings, Inc.(1)		577,000		2,128,279
Sumitomo Realty & Development Co., Ltd.(1)		6,000		191,655
Sumitomo Rubber Industries, Ltd.(1)		72,200		1,004,296
Suntory Beverage & Food, Ltd.(1)		2,400		92,360
Suruga Bank, Ltd.†(1)		3,000		55,905
Suzuken Co., Ltd.(1)		1,300		43,442
Suzuki Motor Corp.(1)		51,200		1,581,999
Sysmex Corp.(1)		2,500		132,197
T&D Holdings, Inc.(1)		10,200		120,812
Taiheiyo Cement Corp.(1)		20,000		60,175
Taisei Corp.(1)		18,000		117,750
Taisho Pharmaceutical Holdings Co., Ltd.(1)		500		28,790
Taiyo Nippon Sanso Corp.(1)		3,000		28,578
Takashimaya Co., Ltd.(1)		5,000		40,569
Takeda Pharmaceutical Co., Ltd.(1)		46,600		2,053,989
TDK Corp.(1)		2,100		119,449
Teijin, Ltd.(1)		16,000		48,710
Terumo Corp.(1)		5,400		153,112
THK Co., Ltd.†(1)		66,100		1,051,761
Tobu Railway Co., Ltd.†(1)		17,000		73,141
Toho Co., Ltd.(1)		1,900		43,453
Toho Gas Co., Ltd.(1)		7,000		41,428
Tohoku Electric Power Co., Inc.(1)		7,900		107,553
Tokio Marine Holdings, Inc.(1)		63,600		2,380,190
Tokyo Electric Power Co., Inc.(1)		25,900		173,798
Tokyo Electron, Ltd.(1)		16,300		770,440
Tokyo Gas Co., Ltd.(1)		41,000		199,303
Tokyo Tatemono Co., Ltd.(1)		3,500		41,920
Tokyu Corp.(1)		19,000		139,605
Tokyu Fudosan Holdings Corp.(1)		8,500		56,772
TonenGeneral Sekiyu KK(1)		4,000		38,839
Toppan Printing Co., Ltd.(1)		9,000		72,629
Toray Industries, Inc.(1)		25,000		216,668
Toshiba Corp.(1)		71,000		179,298
Tosoh Corp.(1)		58,000		280,801
TOTO, Ltd.(1)		2,500		78,252
Toyo Seikan Group Holdings, Ltd.†(1)		2,800		44,499
Toyo Suisan Kaisha, Ltd.(1)		1,000		37,968
Toyoda Gosei Co., Ltd.†(1)		1,100		21,720
Toyota Industries Corp.(1)		2,800		133,464
Toyota Motor Corp.(1)		91,600		5,387,394
Toyota Tsusho Corp.(1)		3,800		80,266
Trend Micro, Inc.(1)		1,800		63,752
Unicharm Corp.(1)		6,500		115,341
United Urban Investment Corp.(1)		44		58,859

Security Description	Shares		Value (Note 2)
Japan (continued)
USS Co., Ltd.(1)		3,800	$	63,528
Wacom Co., Ltd.(1)		51,000		188,587
West Japan Railway Co.(1)		2,800		175,288
Yahoo Japan Corp.(1)		25,100		95,831
Yakult Honsha Co., Ltd.(1)		1,500		75,132
Yamada Denki Co., Ltd.(1)		11,800		47,650
Yamaguchi Financial Group, Inc.(1)		3,000		36,839
Yamaha Corp.(1)		2,900		64,370
Yamaha Motor Co., Ltd.(1)		4,800		96,811
Yamato Holdings Co., Ltd.(1)		6,100		116,964
Yamazaki Baking Co., Ltd.(1)		2,000		30,859
Yaskawa Electric Corp.(1)		4,200		42,899
Yokogawa Electric Corp.(1)		3,700		38,778
Yokohama Rubber Co., Ltd.(1)		1,500		26,508
				134,689,519
Jersey — 2.0%
Experian PLC(1)		17,594		282,367
Glencore PLC(1)		195,598		272,566
Kennedy Wilson Europe Real Estate PLC(1)		259,417		4,470,218
Petrofac, Ltd.(1)		4,581		53,396
Randgold Resources, Ltd.(1)		1,555		91,530
Shire PLC(1)		35,040		2,391,621
Shire PLC ADR		7,400		1,518,702
Wolseley PLC(1)		4,608		269,565
WPP PLC(1)		201,200		4,189,954
				13,539,919
Luxembourg — 1.4%
ArcelorMittal(1)		17,669		92,321
BRAAS Monier Building Group SA(1)		29,161		780,833
L'Occitane International SA(1)		1,262,230		2,641,643
Millicom International Cellular SA SDR(1)		1,162		72,694
RTL Group SA(1)		910		78,335
Samsonite International SA(1)		1,685,000		5,519,679
SES SA FDR(1)		5,328		168,125
Subsea 7 SA(1)		4,922		37,028
Tenaris SA(1)		8,368		100,689
				9,491,347
Mauritius — 0.0%
Golden Agri-Resources, Ltd.(1)		123,000		28,587
Mexico — 0.3%
America Movil SAB de CV, Series L ADR		47,400		784,470
Cemex SAB de CV ADR		227,325		1,589,002
				2,373,472
Netherlands — 2.0%
Aegon NV(1)		32,014		184,361
Airbus Group SE(1)		10,409		618,253
Akzo Nobel NV(1)		4,348		282,666
Altice NV, Class A		4,611		96,477
Altice NV, Class B		1,537		34,289
ASML Holding NV(1)		17,830		1,563,203

243

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Netherlands (continued)
Boskalis Westminster NV(1)		1,520	$	66,540
CNH Industrial NV(1)		36,620		239,046
Delta Lloyd NV(1)		3,472		29,220
Fiat Chrysler Automobiles NV(1)		15,919		207,493
Gemalto NV(1)		1,398		90,737
Heineken Holding NV(1)		1,795		127,991
Heineken NV(1)		4,071		329,502
ING Groep NV CVA(1)		251,665		3,572,558
Koninklijke Ahold NV(1)		15,862		309,585
Koninklijke DSM NV(1)		3,031		139,957
Koninklijke KPN NV(1)		56,697		212,521
Koninklijke Philips NV(1)		70,895		1,671,687
Koninklijke Vopak NV(1)		1,243		49,697
LyondellBasell Industries NV, Class A		24,817		2,068,745
NN Group NV(1)		3,361		96,414
OCI NV(1)		1,485		38,091
QIAGEN NV(1)		4,660		120,194
Randstad Holding NV(1)		2,231		133,128
RELX NV(1)		17,874		291,821
STMicroelectronics NV(1)		11,298		76,930
TNT Express NV(1)		7,705		58,702
Unilever NV CVA(1)		28,825		1,160,041
Wolters Kluwer NV†(1)		5,343		164,735
				14,034,584
New Zealand — 0.0%
Auckland International Airport, Ltd.(1)		16,188		50,622
Contact Energy, Ltd.(1)		12,569		39,865
Fletcher Building, Ltd.(1)		12,179		53,079
Meridian Energy, Ltd.(1)		22,369		30,142
Mighty River Power, Ltd.(1)		12,240		19,692
Ryman Healthcare, Ltd.(1)		6,815		31,898
Spark New Zealand, Ltd.(1)		32,961		62,827
				288,125
Norway — 0.8%
DNB ASA(1)		192,386		2,507,171
Gjensidige Forsikring ASA(1)		3,495		47,122
Norsk Hydro ASA(1)		23,862		79,700
Orkla ASA(1)		14,490		107,637
Statoil ASA(1)		119,801		1,747,530
Storebrand ASA†(1)		218,307		717,924
Telenor ASA(1)		13,290		248,605
Yara International ASA(1)		3,185		127,276
				5,582,965
Portugal — 0.0%
Banco Comercial Portugues SA(1)		621,807		30,269
Banco Espirito Santo SA(3)		59,101		3,963
EDP – Energias de Portugal SA(1)		41,021		150,366
Galp Energia SGPS SA(1)		6,877		67,843
Jeronimo Martins SGPS SA(1)		4,444		60,016
				312,457
Singapore — 1.2%
Ascendas Real Estate Investment Trust(1)		36,000		59,383
Avago Technologies, Ltd.		15,600		1,950,156

Security Description	Shares		Value (Note 2)
Singapore (continued)
CapitaLand Commercial Trust, Ltd.(1)		37,000	$	34,941
CapitaLand Mall Trust(1)		42,000		56,107
CapitaLand, Ltd.(1)		45,000		85,018
City Developments, Ltd.(1)		7,000		37,906
ComfortDelGro Corp., Ltd.(1)		35,000		70,857
DBS Group Holdings, Ltd.(1)		147,300		1,682,917
Genting Singapore PLC(1)		108,000		55,063
Global Logistic Properties, Ltd.(1)		57,000		81,987
Hutchison Port Holdings Trust(1)		99,000		54,555
Jardine Cycle & Carriage, Ltd.(1)		2,000		38,179
Keppel Corp., Ltd.(1)		26,000		124,653
Oversea-Chinese Banking Corp., Ltd.(1)		52,000		321,958
Sembcorp Industries, Ltd.(1)		176,400		429,334
Sembcorp Marine, Ltd.(1)		15,000		24,161
Singapore Airlines, Ltd.(1)		9,000		67,794
Singapore Exchange, Ltd.(1)		15,000		74,231
Singapore Press Holdings, Ltd.(1)		26,000		70,274
Singapore Technologies Engineering, Ltd.(1)		26,000		54,576
Singapore Telecommunications, Ltd.(1)		140,000		351,327
StarHub, Ltd.(1)		10,000		24,354
Suntec Real Estate Investment Trust(1)		43,000		45,348
United Overseas Bank, Ltd.(1)		149,300		1,947,809
UOL Group, Ltd.(1)		9,000		38,034
Wilmar International, Ltd.(1)		410,900		744,774
Yangzijiang Shipbuilding Holdings, Ltd.(1)		36,000		28,788
				8,554,484
South Korea — 0.4%
NAVER Corp.†(1)		974		423,053
Samsung Electronics Co., Ltd.(1)		2,606		2,506,182
				2,929,235
Spain — 1.3%
Abertis Infraestructuras SA(1)		7,885		124,750
Acerinox SA(1)		46,633		416,661
ACS Actividades de Construccion y Servicios SA(1)		3,116		89,602
Aena SA*(1)		1,191		131,521
Amadeus IT Holding SA, Class A(1)		7,929		339,038
Banco Bilbao Vizcaya Argentaria SA(1)		110,393		936,321
Banco de Sabadell SA(1)		86,055		158,072
Banco Popular Espanol SA(1)		31,834		116,086
Banco Santander SA(1)		252,419		1,344,052
Bankia SA(1)		81,553		105,676
Bankinter SA(1)		11,895		87,486
CaixaBank SA(1)		45,955		177,139
Distribuidora Internacional de Alimentacion SA(1)		10,927		66,044
Enagas SA(1)		3,576		102,493
Endesa SA(1)		5,540		116,727
Ferrovial SA†(1)		7,337		175,164
Gas Natural SDG SA(1)		6,178		120,471
Grifols SA(1)		2,646		109,449
Iberdrola SA(1)		95,323		634,216
Industria de Diseno Textil SA(1)		19,319		647,179

244

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Spain (continued)
International Consolidated Airlines Group SA(1)		14,490	$	129,500
Mapfre SA(1)		16,463		43,014
Red Electrica Corp. SA(1)		1,908		158,494
Repsol SA(1)		18,494		215,505
Telefonica SA(1)		194,521		2,357,661
Zardoya Otis SA(1)		3,001		32,475
				8,934,796
Sweden — 2.2%
Alfa Laval AB(1)		5,547		90,841
Assa Abloy AB, Class B(1)		17,745		318,732
Atlas Copco AB, Class A(1)		11,877		286,331
Atlas Copco AB, Class B(1)		6,902		154,744
Boliden AB(1)		4,836		75,709
Electrolux AB, Series B(1)		4,277		121,011
Elekta AB, Series B(1)		94,159		626,563
Getinge AB, Class B(1)		3,557		79,432
Hennes & Mauritz AB, Class B(1)		16,848		616,023
Hexagon AB, Class B(1)		71,123		2,176,681
Husqvarna AB, Class B(1)		7,236		47,491
ICA Gruppen AB(1)		1,369		46,315
Industrivarden AB, Class C†(1)		2,908		51,075
Investment AB Kinnevik, Class B(1)		4,170		119,386
Investor AB, Class B(1)		8,094		278,578
Lundin Petroleum AB(1)		3,827		49,346
Nordea Bank AB†(1)		221,668		2,475,635
Sandvik AB(1)		18,887		161,128
Securitas AB, Class B(1)		5,481		67,026
Skandinaviska Enskilda Banken AB, Class A(1)		26,993		288,484
Skanska AB, Class B(1)		6,735		132,265
SKF AB, Class B(1)		6,970		128,413
Svenska Cellulosa AB SCA, Class B(1)		10,444		292,662
Svenska Handelsbanken AB, Class A(1)		142,727		2,050,434
Swedbank AB, Class A(1)		91,103		2,014,977
Swedish Match AB(1)		3,564		107,895
Tele2 AB, Class B(1)		5,553		54,168
Telefonaktiebolaget LM Ericsson, Class B(1)		181,903		1,791,840
TeliaSonera AB(1)		46,152		248,909
Volvo AB, Class B(1)		27,216		261,269
				15,213,363
Switzerland — 7.8%
ABB, Ltd.(1)		103,802		1,838,288
Actelion, Ltd.†(1)		1,823		231,899
Adecco SA(1)		3,026		221,881
Aryzta AG(1)		1,544		65,525
Baloise Holding AG†(1)		843		96,845
Barry Callebaut AG(1)		40		43,578
Chocoladefabriken Lindt & Spruengli AG(1)		3		213,146
Chocoladefabriken Lindt & Spruengli AG(1)		17		99,847
Cie Financiere Richemont SA(1)		93,598		7,292,005
Coca-Cola HBC AG CDI(1)		3,533		74,914

Security Description	Shares		Value (Note 2)
Switzerland (continued)
Credit Suisse Group AG(1)		85,607	$	2,059,507
Dufry AG(1)		711		83,374
EMS-Chemie Holding AG(1)		146		60,195
GAM Holding AG(1)		76,759		1,354,486
Geberit AG(1)		678		207,582
Givaudan SA(1)		163		265,597
Julius Baer Group, Ltd.(1)		3,962		180,263
Kuehne & Nagel International AG(1)		954		122,775
LafargeHolcim, Ltd.(1)		7,989		419,721
Lonza Group AG(1)		936		123,094
Nestle SA(1)		134,296		10,113,362
Novartis AG(1)		92,620		8,531,668
Panalpina Welttransport Holding AG(1)		43,148		4,722,785
Pargesa Holding SA(1)		549		32,256
Partners Group Holding AG(1)		306		103,965
Roche Holding AG(1)		29,140		7,703,276
Schindler Holding AG (SIX)(1)		779		112,157
Schindler Holding AG (AQXE)(1)		350		51,421
SGS SA(1)		96		167,844
Sika AG(1)		37		114,474
Sonova Holding AG(1)		4,912		633,432
Sulzer AG(1)		433		42,469
Swatch Group AG (XEGT)(1)		549		203,889
Swatch Group AG (TRQX)(1)		891		64,427
Swiss Life Holding AG(1)		566		126,539
Swiss Prime Site AG(1)		988		72,311
Swiss Re AG(1)		6,233		535,785
Swisscom AG(1)		454		226,957
Syngenta AG(1)		1,650		529,953
Transocean, Ltd.(1)		7,080		91,591
UBS Group AG(1)		241,829		4,481,362
Zurich Insurance Group AG(1)		2,655		653,184
				54,369,629
Taiwan — 0.9%
Taiwan Semiconductor Manufacturing Co., Ltd.(1)		1,510,000		6,025,663
United Arab Emirates — 0.0%
Orascom Construction, Ltd.(1)		742		8,196
United Kingdom — 19.6%
3i Group PLC(1)		17,284		122,253
Aberdeen Asset Management PLC(1)		16,352		73,545
Admiral Group PLC(1)		3,466		78,909
Aggreko PLC(1)		4,561		65,785
Amec Foster Wheeler PLC(1)		6,909		75,074
Anglo American PLC(1)		24,727		206,858
Antofagasta PLC(1)		64,939		492,434
ARM Holdings PLC(1)		322,266		4,644,245
Ashtead Group PLC(1)		8,893		125,515
Associated British Foods PLC(1)		6,323		320,457
AstraZeneca PLC(1)		22,195		1,408,569
Auto Trader Group PLC*(1)		593,075		3,047,317
Aviva PLC(1)		351,925		2,412,468
Babcock International Group PLC(1)		4,363		60,356
BAE Systems PLC(1)		55,947		379,837
Barclays PLC(1)		291,348		1,077,129

245

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
Barclays PLC ADR		72,100	$	1,065,638
Barratt Developments PLC(1)		17,416		170,368
BG Group PLC(1)		60,421		871,254
BHP Billiton PLC(1)		118,169		1,803,984
BP PLC(1)		320,798		1,626,021
British American Tobacco PLC(1)		32,724		1,808,545
British Land Co. PLC(1)		17,204		218,737
BT Group PLC(1)		147,184		936,577
Bunzl PLC(1)		5,873		157,642
Burberry Group PLC(1)		7,862		163,167
Capita PLC(1)		11,711		212,698
Carnival PLC(1)		3,250		167,754
Centrica PLC(1)		87,250		303,192
Close Brothers Group PLC†(1)		15,594		352,868
Cobham PLC(1)		20,111		87,090
Compass Group PLC(1)		161,966		2,585,802
Croda International PLC(1)		2,416		99,232
Diageo PLC(1)		248,115		6,676,893
Direct Line Insurance Group PLC(1)		364,870		2,073,671
Dixons Carphone PLC(1)		17,307		111,377
easyJet PLC(1)		2,815		75,865
Fresnillo PLC(1)		3,956		35,464
G4S PLC(1)		27,548		96,343
GKN PLC(1)		461,269		1,876,496
GlaxoSmithKline PLC(1)		85,402		1,637,132
GlaxoSmithKline PLC ADR		31,000		1,191,950
Hammerson PLC(1)		14,065		132,973
Hargreaves Lansdown PLC(1)		4,184		76,609
HSBC Holdings PLC(1)		342,457		2,590,615
ICAP PLC(1)		9,661		66,976
IMI PLC(1)		4,851		69,749
Imperial Tobacco Group PLC(1)		16,758		867,364
Indivior PLC(1)		948,624		3,262,935
Informa PLC(1)		63,360		539,372
Inmarsat PLC(1)		7,493		111,532
InterContinental Hotels Group PLC(1)		4,161		143,900
Intertek Group PLC(1)		2,876		106,015
Intu Properties PLC(1)		16,195		80,941
Investec PLC(1)		9,813		75,220
ITV PLC(1)		67,841		253,126
J Sainsbury PLC(1)		22,159		87,700
Johnson Matthey PLC(1)		3,638		135,137
Kingfisher PLC(1)		324,066		1,762,198
Land Securities Group PLC(1)		13,927		265,866
Legal & General Group PLC(1)		105,161		379,746
Liberty Global PLC, Class A		146,918		6,308,659
Lloyds Banking Group PLC(1)		5,860,904		6,681,273
London Stock Exchange Group PLC(1)		27,478		1,008,491
Lonmin PLC(1)		2,012		496
Marks & Spencer Group PLC(1)		190,967		1,451,169
Meggitt PLC(1)		14,141		102,103
Melrose Industries PLC(1)		17,526		70,213
Merlin Entertainments PLC*(1)		11,582		65,247
Mondi PLC(1)		6,443		135,222

Security Description	Shares		Value (Note 2)
United Kingdom (continued)
National Grid PLC(1)		260,256	$	3,624,522
Next PLC(1)		2,566		296,152
Old Mutual PLC(1)		87,024		249,709
Pearson PLC(1)		14,466		247,239
Persimmon PLC(1)		70,703		2,154,283
Prudential PLC(1)		404,618		8,553,850
Reckitt Benckiser Group PLC(1)		81,561		7,403,381
RELX PLC(1)		20,153		345,838
Rexam PLC(1)		12,564		99,598
Rio Tinto PLC(1)		22,218		745,386
Rolls-Royce Holdings PLC(1)		182,991		1,879,025
Rolls-Royce Holdings PLC, Class C (Preference Shares)(1)		7,336,413		11,098
Royal Bank of Scotland Group PLC(1)		626,439		2,993,467
Royal Dutch Shell PLC ADR		63,700		3,024,476
Royal Dutch Shell PLC, Class A (TRQX)(1)		68,518		1,615,771
Royal Dutch Shell PLC, Class A(1)		87,633		2,080,910
Royal Dutch Shell PLC, Class B(1)		42,770		1,014,489
Royal Mail PLC(1)		14,021		97,489
RSA Insurance Group PLC(1)		174,483		1,065,274
SABMiller PLC†(1)		153,690		8,709,066
Sage Group PLC(1)		18,932		143,248
Schroders PLC(1)		2,230		94,898
Segro PLC(1)		12,988		84,467
Severn Trent PLC(1)		4,214		139,518
Sky PLC(1)		134,659		2,130,860
Smith & Nephew PLC(1)		15,805		276,390
Smiths Group PLC(1)		7,043		107,309
Sports Direct International PLC(1)		4,745		54,437
SSE PLC(1)		77,343		1,754,029
St James's Place PLC(1)		9,133		117,573
Standard Chartered PLC(1)		118,383		1,150,907
Standard Life PLC(1)		34,627		203,781
Tate & Lyle PLC(1)		8,358		74,641
Taylor Wimpey PLC(1)		57,088		169,364
Tesco PLC(1)		558,016		1,550,568
Travis Perkins PLC(1)		4,377		130,487
Tullow Oil PLC(1)		16,094		41,355
Unilever PLC(1)		129,231		5,264,294
United Utilities Group PLC(1)		12,015		168,432
Vodafone Group PLC(1)		1,717,957		5,432,246
Vodafone Group PLC ADR		66,700		2,117,058
Weir Group PLC(1)		3,776		66,975
Whitbread PLC(1)		3,213		227,260
William Hill PLC(1)		15,378		81,749
WM Morrison Supermarkets PLC(1)		36,813		92,742
				135,712,969
United States — 0.1%
Autoliv, Inc. SDR†(1)		6,000		652,746
Total Common Stocks (cost $699,372,743)				656,497,304

246

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
EXCHANGE-TRADED FUNDS — 1.4%
iShares MSCI EAFE Index Fund		147,887		$	8,476,883
WisdomTree India Earnings Fund		78,830			1,570,294
Total Exchange-Traded Funds (cost $11,374,476)					10,047,177
Total Long-Term Investment Securities (cost $710,747,219)					666,544,481
SHORT-TERM INVESTMENT SECURITIES — 0.3%
T. Rowe Price Reserve Investment Fund 0.10%(6) (cost $1,732,356)		1,732,356			1,732,356
REPURCHASE AGREEMENTS — 3.1%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount $7,557,000 collateralized by $7,560,000 of United States Treasury Notes, bearing interest at 2.00% due 02/15/2022 and having an approximate value of $7,711,200 .	$	7,557,000			7,557,000
State Street Bank and Trust Co. Joint Repurchase Agreement(2) .		14,084,000			14,084,000
Total Repurchase Agreements (cost $21,641,000)					21,641,000
TOTAL INVESTMENTS (cost $734,120,575)(5)		99.4	%		689,917,837
Other assets less liabilities		0.6			3,882,462
NET ASSETS		100.0	%	$	693,800,299

†  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, 2015, the aggregate value of these securities was $5,447,609 representing 0.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security was valued using fair value procedures at September 30, 2015. The aggregate value of these securities was $622,435,565 representing 89.7% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

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

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

(4) Illiquid security. At September 30, 2015 the aggregate value of these securities was $0 representing 0.0% of net assets.

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

(6) The rate shown is the 7-day yield as of September 30, 2015

ADR — American Depositary Receipt

AQXE — Aquis Exchange

CDI — Chess Depositary Receipt

CVA — Certification Van Aandelen (Dutch Cert.)

FDR — Fiduciary Depositary Receipt

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

SDR — Swedish Depositary Receipy

SIX — Swiss Stock Exchange

TRQX — Turquoise Stock Exchange

XEGT — Equiduct Stock Exchange

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	154	Long	S&P 500 E-Mini Index	December 2015	$	13,175,726	$	12,701,150	$	(474,576	)

247

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks:
Australia	$	—	$	27,701,018	$	0	$	27,701,018
Brazil		556,943		—		—		556,943
Canada		5,773,038		—		—		5,773,038
Cayman Islands		3,183,916		7,778,813		—		10,962,729
France		964,294		73,021,955		—		73,986,249
India		1,658,921		—		—		1,658,921
Japan		171,042		134,518,477		—		134,689,519
Jersey		1,518,702		12,021,217		—		13,539,919
Mexico		2,373,472		—		—		2,373,472
Netherlands		2,199,511		11,835,073		—		14,034,584
Portugal		—		308,494		3,963		312,457
Singapore		1,950,156		6,604,328		—		8,554,484
United Kingdom		13,707,781		122,005,188		—		135,712,969
Other Countries		—		226,641,002		—		226,641,002
Exchange-Traded Funds		10,047,177		—		—		10,047,177
Short-Term Investment Securities		1,732,356		—		—		1,732,356
Repurchase Agreements		—		21,641,000		—		21,641,000
Total Investments at Value	$	45,837,309	$	644,076,565	$	3,963	$	689,917,837
LIABILITIES:
Other Financial Instruments:+
Futures Contracts	$	474,576	$	—	$	—	$	474,576

*  For a detailed presentation of investments, 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

248

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
United States Treasury Notes	31.6	%
Diversified Financial Services	12.1
Federal National Mtg. Assoc.	11.4
United States Treasury Bonds	6.8
Diversified Banking Institutions	5.8
Repurchase Agreements	5.7
Federal Home Loan Mtg. Corp.	4.4
Banks-Commercial	2.4
Electric-Integrated	1.7
Government National Mtg. Assoc.	1.6
Cable/Satellite TV	1.4
Telephone-Integrated	1.4
Sovereign	1.3
Real Estate Investment Trusts	1.1
Pipelines	1.0
Banks-Super Regional	1.0
Oil Companies-Exploration & Production	0.9
Medical-Drugs	0.9
Auto-Cars/Light Trucks	0.8
Oil Companies-Integrated	0.8
Medical-HMO	0.7
Medical-Generic Drugs	0.5
Medical-Biomedical/Gene	0.5
Retail-Drug Store	0.5
Municipal Bonds & Notes	0.5
Multimedia	0.5
Insurance-Multi-line	0.4
Tobacco	0.4
Medical Instruments	0.4
Transport-Rail	0.4
Computers	0.3
Food-Misc./Diversified	0.3
Federal Home Loan Bank	0.3
Retail-Building Products	0.3
Insurance Brokers	0.3
Retail-Discount	0.3
Insurance-Property/Casualty	0.3
Aerospace/Defense-Equipment	0.3
Banks-Fiduciary	0.2
Computer Services	0.2
Medical-Wholesale Drug Distribution	0.2
Exchange-Traded Funds	0.2
Enterprise Software/Service	0.2
Insurance-Life/Health	0.2
Medical Products	0.2
Agricultural Chemicals	0.2
Insurance-Mutual	0.2
Brewery	0.2
Medical Labs & Testing Services	0.2
Gas-Distribution	0.2
Cellular Telecom	0.2
Diversified Minerals	0.2
Electronic Components-Semiconductors	0.2
Diversified Manufacturing Operations	0.1
Semiconductor Components-Integrated Circuits	0.1
Aerospace/Defense	0.1
Retail-Auto Parts	0.1
Trucking/Leasing	0.1
Non-Ferrous Metals	0.1
Real Estate Operations & Development	0.1

Transport-Services	0.1	%
Banks-Money Center	0.1
Paper & Related Products	0.1
Metal-Copper	0.1
Diversified Operations	0.1
Finance-Consumer Loans	0.1
Food-Confectionery	0.1
Applications Software	0.1
Building Societies	0.1
Savings & Loans/Thrifts	0.1
Investment Management/Advisor Services	0.1
Diagnostic Equipment	0.1
Commercial Services	0.1
Beverages-Non-alcoholic	0.1
Finance-Other Services	0.1
Medical-Hospitals	0.1
Banks-Export/Import	0.1
Metal-Diversified	0.1
Building Products-Cement	0.1
Data Processing/Management	0.1
Gold Mining	0.1
Television	0.1
Non-Hazardous Waste Disposal	0.1
Containers-Paper/Plastic	0.1
Satellite Telecom	0.1
Machinery-General Industrial	0.1
Finance-Credit Card	0.1
Machinery-Farming	0.1
E-Commerce/Products	0.1
Networking Products	0.1
Advertising Services	0.1
Metal Processors & Fabrication	0.1
Pharmacy Services	0.1
Instruments-Scientific	0.1
Cosmetics & Toiletries	0.1
Professional Sports	0.1
Rental Auto/Equipment	0.1
	108.7	%
Credit Quality†#
Aaa	60.3	%
Aa	2.8
A	11.0
Baa	15.5
Ba	2.7
B	1.2
Caa	1.3
Ca	0.3
Not Rated@	4.9
	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.

249

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES — 11.6%
Diversified Financial Services — 11.6%
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 0.46% due 11/25/2035(1)	$	293,030	$	266,842
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6a21 0.69% due 01/25/2036(1)		181,596		157,245
Alternative Loan Trust FRS Series 2006-29T1, Class 1A4 0.59% due 10/25/2036(1)		317,030		222,476
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1)		290,549		254,041
American Express Credit Account Master Trust Series 2014-3, Class A 1.49% due 04/15/2020		219,000		220,694
American Home Mtg. Assets FRS Series 2006-2, Class 2A1 0.38% due 09/25/2046(1)		225,601		159,452
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.14% due 10/25/2046(1)		81,154		58,480
AmeriCredit Automobile Receivables Trust Series 2015-2,Class C 2.40% due 01/08/2021		178,000		178,794
AmeriCredit Automobile Receivables Trust Series 2013-3, Class D 3.00% due 07/08/2019		160,000		163,107
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 1.75% due 07/27/2026*(2)		1,190,000		1,180,480
Apidos CLO XVI FRS Series 2013-16A, Class A1 1.74% due 01/19/2025*(2)		795,000		788,322
Apidos CLO XVII FRS Series 2014-17A, Class A1A 1.79% due 04/17/2026*(2)		1,315,000		1,307,373
Apidos CLO XX FRS Series 2015-20A, Class A1 1.84% due 01/16/2027*(2)		1,305,000		1,300,171
Apidos CLO XXI FRS*(2) Series 2015-21A, Class A1 1.71% due 07/18/2027		1,500,000		1,483,500
Applebee's Funding LLC/IHOP Funding LLC Series 2014-1, Class A2 4.28% due 09/05/2044*		124,000		126,868
Ares XXIX CLO, Ltd. FRS Series 2014-1A, Class A1 1.81% due 04/17/2026*(2)		1,215,000		1,208,439
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.14% due 04/20/2023*(2)		952,474		947,331

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 1.77% due 10/25/2034	$	228,021	$	213,061
Atlas Senior Loan Fund V, Ltd. FRS Series 2014-1A, Class A 1.84% due 07/16/2026*(2)		540,000		535,680
Atlas Senior Loan Fund VI, Ltd. FRS Series 2014-6A, Class A 1.83% due 10/15/2026*(2)		1,705,000		1,693,065
Atrium VII FRS Series 7AR, Class BR 2.07% due 11/16/2022*(2)		505,000		496,870
Atrium XI FRS Series 11-A, Class B 2.44% due 10/23/2025*(2)		1,520,000		1,497,960
Avalon IV Capital, Ltd. FRS Series 2012-1AR, Class BR 2.14% due 04/17/2023*(2)		485,000		477,483
Aventura Mall Trust VRS Series 2013-AVM, Class A 3.74% due 12/05/2032*(3)		1,425,000		1,521,421
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class A 1.82% due 04/25/2026*(2)		1,205,000		1,197,167
B2R Mtg. Trust Series 2015-1,Class A1 2.52% due 05/15/2048*		150,460		149,959
BA Credit Card Trust Series 2015-A2,Class A 1.36% due 09/15/2020		191,000		191,349
Babson CLO, Ltd. FRS Series 2014-IA, Class A1 1.78% due 07/20/2025*(2)		295,000		292,788
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.93% due 02/10/2051(3)		755,204		804,164
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 0.25% due 01/25/2037(1)		24,908		16,062
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 0.45% due 02/20/2047(1)		588,798		479,872
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(3)		1,155,000		1,178,859
BCAP LLC Trust FRS Series 2006-AA2, Class A1 0.36% due 01/25/2037(1)		31,251		24,998
Bear Stearns ALT-A Trust FRS Series 2006-3, Class 1A1 0.57% due 05/25/2036(1)		156,286		127,355

250

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 0.67% due 02/25/2036(1)	$	86,149	$	70,817
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 0.69% due 01/25/2036(1)		266,953		222,414
Bear Stearns Alt-A Trust FRS Series 2005-9, Class 11A1 0.71% due 11/25/2035(1)		134,482		110,611
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-T26, Class A4 5.47% due 01/12/2045(3)		26,827		28,094
Bear Stearns Commercial Mtg. Securities Trust Series 2006-T24, Class A4 5.54% due 10/12/2041(3)		265,304		272,738
Bear Stearns Mtg. Funding FRS Series 2006-AR3, Class 1A1 0.37% due 10/25/2036(1)		120,849		99,986
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 0.39% due 02/25/2037(1)		271,972		208,154
BlueMountain CLO 2015-3, Ltd. FRS Series 2015-3A, Class A1 1.81% due 10/20/2027*(2)		2,115,000		2,093,427
Capital Auto Receivables Asset Trust Series 2015-2, Class A2 1.39% due 09/20/2018		319,000		319,636
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 1.74% due 04/27/2027*(2)		1,355,000		1,344,566
CarMax Auto Owner Trust Series 2014-2, Class C 2.08% due 01/15/2020		329,000		333,272
Cent CLO, Ltd. FRS Series 2013-20A, Class A 1.78% due 01/25/2026*(2)		1,500,000		1,491,750
Cent CLO, Ltd. FRS Series 2014-21A, Class A1A 1.79% due 07/27/2026*(2)		820,000		811,718
Chase Mortgage Finance Trust FRS Series 2005-A1, Class 2A2 2.43% due 12/25/2035(1)		283,227		261,182
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1)		320,000		314,867
CHL Mtg. Pass-Through Trust FRS Series 2007-HY1, Class 1A1 2.63% due 04/25/2037(1)		55,347		51,739

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
CHL Mtg. Pass-Through Trust Series 2007-12, Class A9 5.75% due 08/25/2037(1)	$	222,506	$	209,829
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 1.79% due 04/18/2025*(2)		1,285,000		1,274,720
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 1.81% due 05/24/2026*(2)		1,495,000		1,481,993
CIFC Funding, Ltd. FRS Series 2012-1AR, Class A2R 2.41% due 08/14/2024*(2)		1,085,000		1,073,607
Citibank Credit Card Issuance Trust Series 2014-A2, Class A2 1.02% due 02/22/2019		214,000		214,219
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.29% due 07/10/2047(3)(4)		4,374,517		313,500
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.31% due 04/10/2048(3)(4)		3,709,444		293,870
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(3)		303,000		312,314
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(3)		494,000		510,801
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A2 2.96% due 11/10/2046(3)		602,000		622,650
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(3)		610,000		649,544
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(3)		615,000		662,998
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(3)		1,110,000		1,204,069
Citigroup Commercial Mtg. Trust VRS Series 2013-GC15, Class A4 4.37% due 09/10/2046(3)		870,000		960,772
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.35% due 12/10/2049(3)		315,131		336,471

251

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(3)	$	1,190,000	$	1,228,706
Commercial Mtg. Trust Series 2012-CR5, Class A4 2.77% due 12/10/2045(3)		45,000		45,326
Commercial Mtg. Trust Series 2014-UBS2, Class A2 2.82% due 03/10/2047(3)		348,000		359,109
Commercial Mtg. Trust Series 2012-CR4, Class A3 2.85% due 10/15/2045(3)		1,065,000		1,079,430
Commercial Mtg. Trust Series 2015-DC1, Class A2 2.87% due 02/10/2048(3)		454,000		469,550
Commercial Mtg. Trust Series 2013-CR8, Class A4 3.33% due 06/10/2046(3)		425,000		442,836
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(3)		775,000		815,576
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(3)(5)		1,205,000		1,241,135
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(3)		1,135,000		1,189,906
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(3)		660,000		708,025
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(3)		605,000		650,222
Commercial Mtg. Trust Series 2014-LC15, Class A4 4.01% due 04/10/2047(3)		900,000		969,166
Commercial Mtg. Trust Series 2013-CR9, Class A3 4.02% due 07/10/2045(3)		130,000		140,804
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(3)		675,000		728,125
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(3)		845,000		920,948
Commercial Mtg. Trust VRS Series 2006-C7, Class A4 5.95% due 06/10/2046(3)		97,528		98,967
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.23% due 12/10/2049(3)		821,979		854,634
Consumer Credit Origination Loan Trust Series 2015-1, CALW, Class A 2.82% due 03/15/2021*		265,351		266,409

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
Core Industrial Trust Series 2015-1, Class A 3.04% due 02/10/2034*(3)	$	398,000	$	404,618
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 0.46% due 01/25/2036(1)		100,172		89,306
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 0.51% due 11/25/2035(1)		88,718		72,843
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 0.99% due 12/25/2035(1)		193,602		160,053
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1)		283,502		246,394
Countrywide Alternative Loan Trust Series 2007-19, Class 2A1 6.50% due 08/25/2037(1)		374,287		258,899
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 0.53% due 03/25/2035(1)		110,370		89,247
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB3, Class 2A2A 2.48% due 06/20/2035(1)		204,824		196,346
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB7, Class 6A1 4.28% due 11/20/2035(1)		56,152		50,050
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(1)		35,943		36,274
Credit Acceptance Auto Loan Trust Series 2014-1A, Class A 1.55% due 10/15/2021*		625,000		624,029
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(3)		12,369		12,364
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.05% due 06/15/2057(3)(4)		10,405,054		629,589
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(3)		1,443,000		1,509,775
CW Capital Cobalt, Ltd. Series 2006-C1, Class A4 5.22% due 08/15/2048(3)		73,840		75,913

252

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
CWHL Mtg. Pass Through Trust FRS Series 2007-HY4, Class 1A1 2.67% due 09/25/2047(1)	$	373,278	$	333,436
DB Master Finance LLC Series 2015-1A, Class A2II 3.98% due 02/20/2045*		95,520		96,342
Dell Equipment Finance Trust Series 2015-1,Class A3 1.30% due 03/23/2020*		190,000		189,707
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 0.34% due 03/25/2037(1)		28,567		20,453
Dryden 33 Senior Loan Fund FRS Series 2014-33A, Class A 1.77% due 07/15/2026*(2)		1,370,000		1,363,424
Dryden Senior Loan Fund FRS Series 2014-36A, Class B 2.66% due 11/09/2025*(2)		1,050,000		1,043,385
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 1.64% due 04/18/2026*(2)		1,260,000		1,245,888
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.10% due 03/19/2046(1)		425,655		320,269
First Franklin Mtg. Loan Trust FRS Series 2006-FF15, Class A5 0.35% due 11/25/2036		249,172		217,674
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		175,000		175,304
Flagship Credit Auto Trust Series 2014-1, Class A 1.21% due 04/15/2019*		164,758		164,575
Flatiron CLO, Ltd. FRS Series 2014-1A, Class A2 2.19% due 07/17/2026*(2)		290,000		285,186
Ford Credit Auto Owner Trust Series 2014-C,Class B 1.97% due 04/15/2020		164,000		165,655
Ford Credit Auto Owner Trust Series 2015-2, Class A 2.44% due 01/15/2027*		180,000		182,921
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		190,000		190,452
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		242,000		242,472

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
GE Capital Commercial Mtg. Corp. VRS Series 2005-C4, Class A4 5.54% due 11/10/2045(3)	$	268,429	$	268,147
GM Financial Automobile Leasing Trust Series 2014-2A, Class B 1.96% due 03/20/2018*		190,000		190,865
GMACM Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1 3.03% due 04/19/2036(1)		473,325		423,461
GMACM Mtg. Loan Trust FRS Series 2005-AR5, Class 4A1 3.13% due 09/19/2035(1)		81,748		76,203
Greenwich Capital Commercial Funding Corp. Series 2007-GG11, Class A4 5.74% due 12/10/2049(3)		282,457		296,526
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(3)		1,285,000		1,297,874
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(3)		155,000		182,575
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(3)		1,225,000		1,285,802
GS Mtg. Securities Trust Series 2013-GC12, Class A4 3.14% due 06/10/2046(3)		1,050,000		1,072,617
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(3)		615,000		661,433
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 0.24% due 12/25/2046		60,733		41,850
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 0.27% due 02/25/2037		541,571		287,457
GSAA Home Equity Trust FRS Series 2006-19, Class A1 0.28% due 12/25/2036		18,030		8,961
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 0.43% due 11/25/2036		144,742		87,749
GSAA Home Equity Trust FRS Series 2006-3, Class A3 0.49% due 03/25/2036		31,841		22,470
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 0.51% due 04/25/2047		239,830		157,266
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)		131,764		74,307
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036		420,916		228,768

253

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GSAA Trust FRS Series 2007-3, Class 1A2 0.36% due 03/25/2047	$	100,350	$	50,428
GSAA Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)		365,000		345,072
GSR Mtg. Loan Trust FRS Series 2005-8F, Class 3A2 0.69% due 11/25/2035(1)		21,074		14,951
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 2.74% due 10/25/2035(1)		217,161		192,901
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A1 2.74% due 01/25/2036(1)		22,284		20,659
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A4 2.74% due 01/25/2036(1)		264,869		241,608
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 0.41% due 01/19/2038(1)		16,310		13,761
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 0.46% due 12/19/2036(1)		365,565		249,516
HarborView Mtg. Loan Trust FRS Series 2004-11, Class 1A 0.92% due 01/19/2035(1)		59,355		40,327
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(3)		1,305,000		1,308,073
HSI Asset Securitization Corp. FRS Series 2006-OPT3, Class 3A4 0.46% due 02/25/2036		200,000		173,295
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 0.47% due 07/25/2035(1)		8,264		6,817
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR13, Class 1A1 2.66% due 08/25/2035(1)		120,203		96,252
IndyMac Index Mtg. Loan Trust FRS Series 2006-AR3, Class 1A1 2.67% due 12/25/2036(1)		462,365		405,857
ING IM CLO, Ltd. FRS Series 2012-1RA, Class A2R 2.19% due 03/14/2022*(2)		1,000,000		987,500
Invitation Homes Trust FRS Series 2014-SFR1, Class A 1.21% due 06/17/2031*		170,000		166,935

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Corp. Series 2012-LC9, Class A5 2.84% due 12/15/2047(3)	$	855,000	$	865,427
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(3)		1,000,000		1,022,508
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(3)		1,202,573		1,269,109
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(3)		985,000		1,074,049
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP8, Class A4 5.40% due 05/15/2045(3)		54,294		55,138
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(3)		815,199		854,963
JP Morgan Mtg. Trust FRS Series 2006-A3, Class 3A2 2.65% due 05/25/2036(1)		239,842		212,831
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(3)		290,000		306,588
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(3)		1,355,000		1,428,642
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(3)		610,000		656,121
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C14, Class A4 4.13% due 08/15/2046(3)		1,165,000		1,268,671
JPMBB Commercial Mtg. Securities Trust Series 2013-C17, Class A4 4.20% due 01/15/2047(3)		335,000		365,665
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(3)		640,545		667,724
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.27% due 04/15/2041(3)		92,433		99,757
Lehman XS Trust FRS Series 2006-16N, Class A4A 0.38% due 11/25/2046(1)		357,579		287,441

254

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Lehman XS Trust FRS Series 2007-7N, Class 1A2 0.43% due 06/25/2047(1)	$	39,651	$	26,603
Lehman XS Trust FRS Series 2005-6, Class 1A1 0.45% due 11/25/2035		78,159		53,838
Lehman XS Trust FRS Series 2007-16N, Class 2A2 1.04% due 09/25/2047(1)		348,369		283,605
Limerock CLO II, Ltd. FRS Series 2014-2A, Class A 1.79% due 04/18/2026*(2)		1,295,000		1,286,064
Luminent Mtg. Trust FRS Series 2006-6, Class A1 0.39% due 10/25/2046(1)		145,870		124,410
Luminent Mtg. Trust FRS Series 2005-1, Class A1 0.45% due 11/25/2035(1)		319,990		288,612
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 1.79% due 07/20/2026*(2)		1,290,000		1,280,196
Madison Park Funding XIII, Ltd. FRS Series 2014-13A, Class A 1.74% due 01/19/2025*(2)		750,000		742,650
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 1.72% due 07/25/2026*(2)		2,515,000		2,490,353
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.25% due 07/25/2026*(2)		895,000		879,964
Magnetite VIII, Ltd. FRS Series 2014-8A, Class A 1.77% due 04/15/2026*(2)		835,000		828,236
Magnetite XII, Ltd. FRS Series 2015-12A, Class A 1.79% due 04/15/2027*(2)		930,000		921,258
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A4, Class 1A 2.63% due 07/25/2035(1)		401,941		325,815
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(3)		910,239		944,071
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(3)		625,000		661,258
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(3)		606,309		640,104
Morgan Stanley ABS Capital I Trust FRS Series 2006-NC4, Class A2C 0.34% due 06/25/2036		42,387		38,551

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.31% due 12/15/2047(3)(4)	$	2,797,395	$	191,412
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(3)		500,000		519,685
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class A2 3.10% due 12/15/2047(3)		389,000		406,378
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(3)		791,000		798,660
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(3)		1,065,000		1,147,442
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(3)		755,000		786,601
Morgan Stanley Capital I Trust Series 2006-IQ12, Class A4 5.33% due 12/15/2043(3)		1,019,785		1,050,270
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(3)		1,255,000		1,309,330
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(3)		1,036,065		1,101,970
Morgan Stanley Mtg. Loan Trust FRS Series 2006-6AR, Class 3A1 2.79% due 05/25/2036(1)		102,128		73,642
Neuberger Berman CLO XVI, Ltd. FRS Series 2014-16A, Class A1 1.76% due 04/15/2026*(2)		955,000		948,506
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 1.78% due 08/04/2025*(2)		1,085,000		1,076,754
Newcastle Mtg. Securities Trust FRS Series 2007-1, Class 2A3 0.42% due 04/25/2037		375,000		255,634
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		230,000		230,044
Nomura Asset Acceptance Corp Alternative Loan Trust FRS Series 2006-AF1, Class 3A1 3.65% due 06/25/2036(1)		245,666		186,880

255

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(1)	$	298,030	$	295,777
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class A 1.76% due 07/20/2026*(2)		405,000		401,031
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 1.87% due 02/15/2026*(2)		1,325,000		1,317,315
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 1.80% due 04/17/2027*(2)		1,160,000		1,150,836
Octagon Investment Partners XVI, Ltd. FRS Series 2013-A, Class 1A 1.41% due 07/17/2025*(2)		705,000		691,111
Ocwen Master Advance Receivables Trust Series 2015-1, Class AT1 2.54% due 09/17/2046*(5)		1,265,000		1,265,000
OZLM Funding V, Ltd. FRS Series 2013-5A, Class A1 1.79% due 01/17/2026*(2)		2,110,000		2,096,918
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 1.84% due 04/17/2026*(2)		1,265,000		1,259,181
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 1.74% due 04/30/2027*(2)		2,100,000		2,074,170
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 1.77% due 04/15/2027*(2)		1,565,000		1,550,445
RALI Series 2005-QS17 Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1)		139,392		121,740
RALI Series Trust FRS Series 2006-QA3, Class A2 0.49% due 04/25/2036(1)		347,101		237,069
RALI Series Trust FRS Series 2006-QO7, Class 1A1 1.00% due 09/25/2046(1)		267,988		188,455
RALI Series Trust FRS Series 2007-QH9, Class A1 1.44% due 11/25/2037(1)		114,278		73,571
Renaissance Home Equity Loan Trust(6) Series 2007-1, Class AF5 5.91% due 04/25/2037		352,289		196,505
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)		167,745		107,196
RFMSI Series Trust FRS Series 2005-SA3, Class 1A 2.86% due 08/25/2035(1)		164,537		128,358

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
RFMSI Trust FRS Series 2007-SA2, Class 2A1 3.09% due 04/25/2037(1)	$	47,146	$	41,020
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		285,000		287,000
Santander Drive Auto Receivables Trust Series 2015-2, Class B 1.83% due 01/15/2020		1,295,000		1,293,296
Santander Drive Auto Receivables Trust Series 2014-5, Class C 2.46% due 06/15/2020		164,000		164,788
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 0.28% due 07/25/2036		219,181		105,205
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class A 1.77% due 07/17/2026*(2)		955,000		947,360
Sequoia Mtg. Trust FRS Series 2007-3, Class 2AA1 2.63% due 07/20/2037(1)		34,779		29,766
Shackleton CLO, Ltd. FRS Series 2014-6A, Class A2 1.77% due 07/17/2026*(2)		1,585,000		1,573,588
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A 2.05% due 06/20/2031*		85,507		86,167
Sierra Timeshare Receivables Funding LLC Series 2015-2A, Class A 2.43% due 06/20/2032*		123,186		122,826
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 0.37% due 07/25/2037		50,000		31,012
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.44% due 11/25/2036		290,000		200,174
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*		873,025		874,219
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		755,000		755,323
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.49% due 09/25/2034(1)		42,629		36,767
Structured Asset Mortgage Investments II Trust FRS Series 2006-AR1, Class 3A1 0.42% due 02/25/2036(1)		167,359		134,201

256

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Symphony CLO XV, Ltd. FRS Series 2014-15A, Class A 1.74% due 10/17/2026*(2)	$	1,150,000	$	1,138,385
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2 1.77% due 07/14/2026*(2)		1,130,000		1,126,045
Symphony CLO, Ltd. FRS Series 2012-BR, Class 8AR 2.03% due 01/09/2023*(2)		1,200,000		1,181,760
Synchrony Credit Card Master Note Trust Series 2015-3, Class A 1.74% due 09/15/2021(5)		103,000		103,185
Thacher Park CLO, Ltd. FRS Series 2014-A, Class 1A 1.76% due 10/20/2026*(2)		810,000		804,168
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(1)(5)		725,000		724,722
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 1.76% due 04/20/2027*(2)		1,325,000		1,312,412
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(3)		700,000		717,874
UBS-Barclays Commercial Mtg. Trust Series 2013-C6, Class A4 3.24% due 04/10/2046(3)		101,000		103,913
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(3)		1,195,000		1,210,509
Voya CLO 2014-2, Ltd. FRS Series 2014-2A, Class A1 1.74% due 07/17/2026*(2)		250,000		247,650
Voya CLO 2014-4 Ltd Series 2014-4A, Class A1 1.79% due 10/14/2026*(2)		350,000		347,970
Voya CLO, Ltd. FRS Series 2014-1A, Class A1 1.79% due 04/18/2026*(2)		1,250,000		1,239,875
WaMu Mtg. Pass Through Certs. FRS Series 2006-AR15, Class 2A 2.16% due 11/25/2046(1)(10)		100,673		90,390
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2007-HY1, Class A1 0.28% due 02/25/2037(1)		584,223		379,978
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-AR9, Class 1A 1.03% due 11/25/2046(1)		219,543		150,658
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.35% due 09/15/2057(3)(4)(5)		9,738,000		720,885

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Commercial Mtg. Trust Series 2015-NXS1, Class XA 1.35% due 05/15/2048(3)(4)	$	3,773,426	$	290,614
Wells Fargo Commercial Mtg. Trust Series BH3-C26, Class A2 2.66% due 02/15/2048(3)		140,000		143,302
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)		75,000		63,132
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.68% due 11/25/2034(1)		59,743		59,989
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR16, Class A1 2.73% due 10/25/2036(1)		290,765		275,401
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR16, Class 4A8 2.73% due 10/25/2035(1)		325,000		311,810
Wendys Funding LLC Series 2015-1A, Class A2I 3.37% due 06/15/2045*		140,000		140,688
Wendys Funding LLC Series 2015-1A, Class A23 4.50% due 06/15/2045*		140,000		140,327
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		1,250,000		1,253,209
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 1.22% due 02/15/2044*(3)(4)		908,157		22,412
WF-RBS Commercial Mtg. Trust Series 2014-C21, Class A2 2.92% due 08/15/2047(3)		351,000		363,036
WF-RBS Commercial Mtg. Trust Series 2013-C15, Class A3 3.88% due 08/15/2046(3)		505,000		540,610
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(3)		480,000		519,996
Total Asset Backed Securities (cost $140,722,591)				140,853,781

257

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 24.7%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024	$	94,000	$	94,397
Advertising Services — 0.0%
Visant Corp. Company Guar. Notes 10.00% due 10/01/2017		23,000		18,803
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		247,000		249,972
BAE Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		38,000		37,692
Boeing Co. Senior Notes 0.95% due 05/15/2018		212,000		210,336
Lockheed Martin Corp. Senior Notes 2.90% due 03/01/2025		200,000		193,764
Lockheed Martin Corp. Senior Notes 5.72% due 06/01/2040		400,000		452,698
Raytheon Co. Senior Notes 3.13% due 10/15/2020		500,000		523,869
				1,668,331
Aerospace/Defense-Equipment — 0.2%
Harris Corp. Senior Notes 4.85% due 04/27/2035		166,000		160,221
Harris Corp. Senior Notes 5.05% due 04/27/2045		157,000		151,535
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		39,000		39,000
Orbital ATK, Inc. Company Guar. Notes 5.25% due 10/01/2021		94,000		95,175
Orbital ATK, Inc. Company Guar. Notes 5.50% due 10/01/2023*		123,000		123,307
United Technologies Corp. Senior Notes 6.13% due 07/15/2038		1,036,000		1,276,178
				1,845,416
Agricultural Chemicals — 0.1%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		500,000		459,168
CF Industries, Inc. Company Guar. Notes 5.38% due 03/15/2044		1,275,000		1,237,889
				1,697,057

Security Description	Principal Amount(19)		Value (Note 2)
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019	$	108,000	$	108,202
American Airlines Pass Through Trust Pass Through Certs. Series 2015-A, Class A 4.00% due 03/22/2029		123,000		122,385
Atlas Air, Inc. Pass Through Certs. Series 1999-1, Class B 7.63% due 07/02/2016(5)		14,593		14,739
United Airlines Pass Through Trust Pass Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		140,000		139,300
United Airlines Pass Through Trust Pass Through Certs. Series 2013-1, Class B 5.38% due 02/15/2023		90,964		93,238
				477,864
Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		34,000		33,915
Applications Software — 0.1%
Microsoft Corp. Senior Notes 3.50% due 02/12/2035		950,000		883,350
Auto-Cars/Light Trucks — 0.8%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		236,000		235,841
American Honda Finance Corp. Senior Notes 1.60% due 02/16/2018*		275,000		275,400
Daimler Finance North America LLC Company Guar. Notes 1.38% due 08/01/2017*		306,000		302,083
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		287,000		280,556
Daimler Finance North America LLC Company Guar. Notes 2.63% due 09/15/2016*		150,000		151,691
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		375,000		465,829
Ford Motor Credit Co. LLC Senior Notes 1.46% due 03/27/2017		465,000		462,351

258

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017	$	115,000	$	114,601
Ford Motor Credit Co. LLC Senior Notes 1.68% due 09/08/2017		1,000,000		993,484
Ford Motor Credit Co. LLC Senior Notes 2.24% due 06/15/2018		300,000		299,126
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025		275,000		273,754
Ford Motor Credit Co. LLC Senior Notes 5.88% due 08/02/2021		1,225,000		1,386,705
Ford Motor Credit Co. LLC Senior Notes 6.63% due 08/15/2017		375,000		404,834
General Motors Co. Senior Notes 4.00% due 04/01/2025		900,000		853,386
General Motors Co. Senior Notes 4.88% due 10/02/2023		1,315,000		1,333,656
General Motors Co. Senior Notes 6.25% due 10/02/2043		750,000		797,758
Toyota Motor Credit Corp. Senior Notes 1.55% due 07/13/2018		118,000		118,537
Volkswagen Group of America Finance LLC Company Guar. Notes 1.60% due 11/20/2017*		785,000		753,167
				9,502,759
Auto-Heavy Duty Trucks — 0.0%
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		94,000		98,935
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		264,000		266,885
				365,820
Auto/Truck Parts & Equipment-Original — 0.0%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		97,000		101,850
Omega US Sub LLC Senior Notes 8.75% due 07/15/2023*		60,000		52,950
				154,800
Banks-Commercial — 0.9%
BB&T Corp. Sub. Notes 4.90% due 06/30/2017		250,000		263,908

Security Description	Principal Amount(19)		Value (Note 2)
Banks-Commercial (continued)
Branch Banking & Trust Co. Senior Notes 1.45% due 10/03/2016	$	600,000	$	602,750
Branch Banking & Trust Co. Sub. Notes 3.63% due 09/16/2025		2,315,000		2,316,873
Capital One NA Senior Notes 1.50% due 09/05/2017		1,500,000		1,493,002
Capital One NA Senior Notes 1.50% due 03/22/2018		360,000		355,073
Capital One NA Senior Notes 2.35% due 08/17/2018		1,400,000		1,403,899
Capital One NA/Mclean VA Senior Notes 1.65% due 02/05/2018		350,000		346,533
Discover Bank Senior Notes 4.20% due 08/08/2023		250,000		257,410
Fifth Third Bank Senior Notes 2.15% due 08/20/2018		600,000		604,587
Fifth Third Bank Senior Notes 2.88% due 10/01/2021		255,000		257,622
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		258,000		260,777
HSBC USA, Inc. Senior Notes 2.75% due 08/07/2020		525,000		526,903
KeyBank NA Senior Notes 2.25% due 03/16/2020		258,000		257,176
MUFG Union Bank NA Senior Notes 3.00% due 06/06/2016		595,000		603,793
National City Bank Sub. Notes 5.80% due 06/07/2017		250,000		266,366
PNC Bank NA Senior Notes 2.40% due 10/18/2019		755,000		761,668
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		299,000		377,912
				10,956,252
Banks-Fiduciary — 0.2%
Bank of New York Mellon Corp. Senior Notes 2.20% due 03/04/2019		1,075,000		1,085,635
Bank of New York Mellon Corp. Senior Notes 2.60% due 08/17/2020		1,155,000		1,172,003

259

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Fiduciary (continued)
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*	$	260,000	$	266,403
State Street Corp. Senior Sub. Notes 3.10% due 05/15/2023		165,000		162,498
				2,686,539
Banks-Super Regional — 0.9%
Bank of America NA Senior Notes 1.65% due 03/26/2018		275,000		274,783
Capital One Financial Corp. Senior Notes 1.00% due 11/06/2015		430,000		430,104
Fifth Third Bancorp Senior Notes 3.63% due 01/25/2016		225,000		226,982
Fifth Third Bancorp Sub. Notes 5.45% due 01/15/2017		225,000		235,422
Fifth Third Bancorp Sub. Notes 8.25% due 03/01/2038		125,000		180,876
JPMorgan Chase Bank NA Sub. Notes 6.00% due 10/01/2017		625,000		675,381
National City Corp. Sub. Notes 6.88% due 05/15/2019		169,000		194,822
PNC Financial Services Group, Inc. Senior Notes 2.85% due 11/09/2022(9)		190,000		189,349
PNC Funding Corp. Company Guar. Notes 2.70% due 09/19/2016		500,000		507,126
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		1,335,000		1,367,773
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035		600,000		676,356
Wells Fargo & Co. Senior Notes 1.40% due 09/08/2017		241,000		241,166
Wells Fargo & Co. Senior Notes 2.13% due 04/22/2019		1,325,000		1,334,466
Wells Fargo & Co. Senior Notes 2.60% due 07/22/2020		800,000		808,070
Wells Fargo & Co. Senior Notes 3.30% due 09/09/2024		650,000		645,067
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		1,046,000		1,055,239

Security Description	Principal Amount(19)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027	$	151,000	$	153,890
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		1,045,000		1,169,008
				10,365,880
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		99,000		96,030
Beverages-Non-alcoholic — 0.1%
PepsiCo, Inc. Senior Notes 3.10% due 07/17/2022		675,000		691,328
Brewery — 0.2%
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 1.38% due 07/15/2017		707,000		706,796
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		170,000		145,948
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.38% due 01/15/2020		425,000		474,696
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		500,000		703,299
				2,030,739
Broadcast Services/Program — 0.0%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 6.50% due 11/15/2022		68,000		67,660
Building & Construction Products-Misc. — 0.0%
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*		34,000		34,340
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		100,000		92,750
Building Products-Cement — 0.0%
Vulcan Materials Co. Senior Notes 4.50% due 04/01/2025		158,000		154,840

260

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 4.45% due 04/01/2025	$	221,000	$	223,762
Building-Residential/Commercial — 0.0%
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		100,000		107,875
Cable/Satellite TV — 1.2%
Altice US Finance I Corp Senior Sec. Notes 5.38% due 07/15/2023*		200,000		192,000
Cable One, Inc. Company Guar. Notes 5.75% due 06/15/2022*		85,000		83,767
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		2,295,000		2,278,095
CCO Safari II LLC Senior Sec. Notes 4.46% due 07/23/2022*		455,000		455,240
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		1,730,000		1,721,701
CCO Safari II LLC Senior Sec. Notes 6.38% due 10/23/2035*		96,000		97,128
CCO Safari II LLC Senior Sec. Notes 6.48% due 10/23/2045*		1,409,000		1,421,470
Comcast Corp. Company Guar. Notes 2.85% due 01/15/2023		800,000		797,013
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		570,000		594,742
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038		250,000		313,158
Comcast Corp. Company Guar. Notes 6.95% due 08/15/2037		500,000		658,101
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		215,000		283,458
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		325,000		308,765
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		725,000		686,766
Cox Communications, Inc. Senior Notes 5.50% due 10/01/2015		315,000		315,000
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		200,000		219,050

Security Description	Principal Amount(19)		Value (Note 2)
Cable/Satellite TV (continued)
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 1.75% due 01/15/2018	$	700,000	$	697,777
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 2.40% due 03/15/2017		625,000		633,262
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 5.00% due 03/01/2021		150,000		163,492
DIRECTV Holdings LLC/ DIRECTV Financing Co., Inc. Company Guar. Notes 6.38% due 03/01/2041		100,000		107,141
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		375,000		314,062
Time Warner Cable, Inc. Company Guar. Notes 4.00% due 09/01/2021		315,000		321,300
Time Warner Cable, Inc. Company Guar. Notes 4.50% due 09/15/2042		310,000		245,093
Time Warner Cable, Inc. Company Guar. Notes 5.00% due 02/01/2020		320,000		343,342
Time Warner Cable, Inc. Company Guar. Notes 5.85% due 05/01/2017		300,000		317,503
Time Warner Cable, Inc. Company Guar. Notes 5.88% due 11/15/2040		125,000		118,978
Time Warner Cable, Inc. Company Guar. Notes 6.55% due 05/01/2037		365,000		358,642
Time Warner Cable, Inc. Company Guar. Notes 6.75% due 07/01/2018		300,000		333,824
Time Warner Cable, Inc. Company Guar. Notes 8.75% due 02/14/2019		190,000		223,129
				14,602,999
Casino Hotels — 0.0%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020		64,000		60,800
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021		118,000		107,085

261

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Hotels (continued)
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*	$	50,000	$	52,125
Golden Nugget Escrow, Inc. Senior Notes 8.50% due 12/01/2021*		100,000		100,500
Seminole Hard Rock Entertainment, Inc./ Seminole Hard Rock International LLC Company Guar. Notes 5.88% due 05/15/2021*		50,000		49,250
				369,760
Cellular Telecom — 0.1%
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		109,000		83,886
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		77,000		63,044
Sprint Corp. Company Guar. Notes 7.63% due 02/15/2025		253,000		195,917
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		40,000		38,400
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		135,000		130,866
				512,113
Chemicals-Specialty — 0.0%
Chemtura Corp. Company Guar. Notes 5.75% due 07/15/2021		80,000		79,000
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		108,000		135,987
Tronox Finance LLC Company Guar. Notes 7.50% due 03/15/2022*		83,000		52,498
				267,485
Coal — 0.0%
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		145,000		128,296
Coatings/Paint — 0.0%
RPM International, Inc. Senior Notes 5.25% due 06/01/2045		284,000		270,314
Sherwin-Williams Co. Senior Notes 4.55% due 08/01/2045		76,000		79,092

Security Description	Principal Amount(19)		Value (Note 2)
Coatings/Paint (continued)
Valspar Corp. Senior Notes 3.95% due 01/15/2026	$	75,000	$	76,577
				425,983
Commercial Services-Finance — 0.0%
Automatic Data Processing, Inc. Senior Notes 2.25% due 09/15/2020		92,000		92,564
Automatic Data Processing, Inc. Senior Notes 3.38% due 09/15/2025		108,000		109,683
Global Cash Access, Inc. Senior Notes 10.00% due 01/15/2022*		93,000		86,490
Harland Clarke Holdings Corp. Senior Sec. Notes 6.88% due 03/01/2020*		40,000		36,000
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		96,000		79,800
				404,537
Computer Services — 0.2%
Hewlett Packard Enterprise Co. Company Guar. Notes 2.45% due 10/05/2017*		910,000		909,490
Hewlett Packard Enterprise Co. Company Guar. Notes 2.85% due 10/05/2018*		910,000		908,835
Hewlett Packard Enterprise Co. Company Guar. Notes 4.90% due 10/15/2025*		175,000		174,519
Hewlett Packard Enterprise Co. Company Guar. Notes 6.20% due 10/15/2035*		204,000		203,882
Hewlett Packard Enterprise Co. Company Guar. Notes 6.35% due 10/15/2045*		186,000		184,735
International Business Machines Corp. Senior Notes 3.38% due 08/01/2023		200,000		203,695
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042		278,000		256,383
International Business Machines Corp. Senior Notes 5.60% due 11/30/2039		16,000		18,065
Leidos, Inc. Company Guar. Notes 7.13% due 07/01/2032		10,000		10,532
				2,870,136
Computers — 0.3%
Apple, Inc. Senior Notes 2.85% due 05/06/2021		254,000		260,497

262

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Apple, Inc. Senior Notes 3.45% due 02/09/2045	$	936,000	$	792,398
Apple, Inc. Senior Notes 4.45% due 05/06/2044		475,000		472,764
Dell, Inc. Senior Notes 4.63% due 04/01/2021		142,000		139,160
Hewlett-Packard Co. Senior Notes 2.75% due 01/14/2019		615,000		624,672
Hewlett-Packard Co. Senior Notes 3.00% due 09/15/2016		600,000		611,194
Hewlett-Packard Co. Senior Notes 3.75% due 12/01/2020		200,000		206,780
Hewlett-Packard Co. Senior Notes 4.38% due 09/15/2021		230,000		240,373
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		376,000		369,624
				3,717,462
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 1.85% due 03/01/2020		60,000		59,937
Containers-Metal/Glass — 0.0%
Ball Corp. Company Guar. Notes 5.00% due 03/15/2022		46,000		46,115
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		113,000		123,170
				169,285
Containers-Paper/Plastic — 0.0%
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		68,000		57,120
Cosmetics & Toiletries — 0.1%
First Quality Finance Co., Inc. Senior Notes 4.63% due 05/15/2021*		109,000		101,370
Procter & Gamble Co. Senior Notes 3.10% due 08/15/2023		400,000		411,049
				512,419
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		25,000		24,750

Security Description	Principal Amount(19)		Value (Note 2)
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*	$	27,000	$	27,203
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 2.40% due 09/15/2020		405,000		408,771
Danaher Corp. Senior Notes 3.35% due 09/15/2025		354,000		361,105
Danaher Corp. Senior Notes 4.38% due 09/15/2045		140,000		144,804
				914,680
Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		100,000		98,200
Disposable Medical Products — 0.0%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*		115,000		114,137
Distribution/Wholesale — 0.0%
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022		100,000		97,000
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		165,000		158,812
				255,812
Diversified Banking Institutions — 4.2%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		1,200,000		1,182,277
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		2,027,000		2,047,594
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		1,693,000		1,647,010
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		625,000		612,541
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		715,000		742,878
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		1,015,000		1,014,273
Bank of America Corp. Sub. Notes 4.25% due 10/22/2026		212,000		209,586
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		200,000		210,616

263

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 5.63% due 07/01/2020	$	525,000	$	592,134
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		694,000		798,267
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		900,000		1,005,872
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		23,000		28,417
Citigroup, Inc. Senior Notes 1.70% due 04/27/2018		600,000		596,882
Citigroup, Inc. Sub. Notes 3.88% due 03/26/2025		104,000		101,068
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		2,210,000		2,188,545
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		2,047,000		2,058,740
Citigroup, Inc. Senior Notes 4.45% due 01/10/2017		410,000		426,335
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		1,070,000		1,064,229
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		1,125,000		1,122,127
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		85,000		92,453
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		99,000		113,070
Citigroup, Inc. Senior Notes 6.13% due 11/21/2017		480,000		523,223
Citigroup, Inc. Senior Notes 6.13% due 05/15/2018		600,000		663,201
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		800,000		810,449
Goldman Sachs Group, Inc. Senior Notes 2.55% due 10/23/2019		836,000		841,421
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		820,000		822,231
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		475,000		477,420

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023	$	206,000	$	208,685
Goldman Sachs Group, Inc. Senior Notes 3.85% due 07/08/2024		655,000		667,701
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		1,135,000		1,168,212
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		1,501,000		1,473,317
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		850,000		948,161
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		89,000		106,441
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		610,000		735,564
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		385,000		449,454
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		1,616,000		1,927,755
JPMorgan Chase & Co. Senior Notes 2.20% due 10/22/2019		302,000		300,501
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		1,060,000		1,069,071
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		1,814,000		1,815,302
JPMorgan Chase & Co. Senior Notes 3.63% due 05/13/2024		270,000		273,750
JPMorgan Chase & Co. Sub. Notes 4.13% due 12/15/2026		200,000		199,209
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		45,000		48,236
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		2,725,000		2,713,849
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		450,000		484,953
JPMorgan Chase & Co. Senior Notes 4.63% due 05/10/2021		525,000		571,601
JPMorgan Chase & Co. Sub. Notes 4.95% due 06/01/2045		541,000		542,622

264

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041	$	125,000	$	143,053
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		505,000		555,661
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		357,000		390,086
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		360,000		409,326
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		930,000		1,271,598
Morgan Stanley Senior Notes 1.75% due 02/25/2016		115,000		115,368
Morgan Stanley Senior Notes 1.88% due 01/05/2018		1,464,000		1,467,779
Morgan Stanley Senior Notes 2.13% due 04/25/2018		1,700,000		1,710,011
Morgan Stanley Senior Notes 2.50% due 01/24/2019		425,000		430,801
Morgan Stanley Senior Notes 2.80% due 06/16/2020		106,000		106,600
Morgan Stanley Senior Notes 3.70% due 10/23/2024		510,000		512,433
Morgan Stanley Senior Notes 3.75% due 02/25/2023		400,000		409,694
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		1,115,000		1,073,832
Morgan Stanley Senior Notes 4.00% due 07/23/2025		980,000		1,001,553
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		456,000		461,524
Morgan Stanley Senior Notes 4.30% due 01/27/2045		730,000		693,776
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		470,000		472,419
Morgan Stanley Senior Notes 4.75% due 03/22/2017		207,000		216,849
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		213,000		226,466

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 5.50% due 07/24/2020	$	200,000	$	224,531
Morgan Stanley Senior Notes 5.55% due 04/27/2017		240,000		254,685
Morgan Stanley Senior Notes 6.25% due 08/28/2017		150,000		162,768
Morgan Stanley Senior Notes 6.63% due 04/01/2018		1,225,000		1,364,079
Morgan Stanley Senior Notes 7.30% due 05/13/2019		125,000		145,954
				51,518,089
Diversified Financial Services — 0.5%
Associates Corp. of North America Senior Notes 6.95% due 11/01/2018		241,000		274,855
General Electric Capital Corp. Company Guar. Notes 1.25% due 05/15/2017		311,000		312,695
General Electric Capital Corp. Company Guar. Notes 2.30% due 04/27/2017		400,000		408,184
General Electric Capital Corp. Company Guar. Notes 4.65% due 10/17/2021		570,000		641,129
General Electric Capital Corp. Company Guar. Notes 5.30% due 02/11/2021		255,000		293,329
General Electric Capital Corp. Company Guar. Notes 5.50% due 01/08/2020		245,000		280,374
General Electric Capital Corp. Company Guar. Notes 5.88% due 01/14/2038		649,000		809,354
General Electric Capital Corp. Company Guar. Notes 6.00% due 08/07/2019		1,100,000		1,272,209
General Electric Capital Corp. Company Guar. Notes 6.75% due 03/15/2032		225,000		304,688
General Electric Capital Corp. Company Guar. Notes 6.88% due 01/10/2039		1,000,000		1,400,116
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		275,000		276,857
				6,273,790
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		152,000		152,384

265

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Manufacturing Operations (continued)
General Electric Co. Senior Notes 4.13% due 10/09/2042	$	160,000	$	157,845
General Electric Co. Senior Notes 4.50% due 03/11/2044		730,000		756,497
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		199,000		218,650
Textron, Inc. Senior Notes 4.63% due 09/21/2016		234,000		240,765
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		134,000		126,580
				1,652,721
Diversified Operations — 0.0%
MUFG Americas Holdings Corp. Senior Notes 1.63% due 02/09/2018		88,000		87,775
E-Commerce/Services — 0.0%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025*		116,000		119,190
Electric-Distribution — 0.0%
Connecticut Light & Power Co. 1st Mtg. Notes 2.50% due 01/15/2023		345,000		336,326
Electric-Generation — 0.0%
Terraform Global Operating LLC Company Guar. Notes 9.75% due 08/15/2022*		85,000		68,213
Electric-Integrated — 1.7%
AES Corp. Senior Notes 4.88% due 05/15/2023		93,000		81,607
AES Corp. Senior Notes 5.50% due 03/15/2024		63,000		55,849
Arizona Public Service Co. Senior Notes 2.20% due 01/15/2020		96,000		95,904
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		505,000		608,089
Commonwealth Edison Co. 1st Mtg. Bonds 5.80% due 03/15/2018		235,000		259,010
Consolidated Edison Co. of New York, Inc. Senior Notes 3.30% due 12/01/2024		350,000		352,989

Security Description	Principal Amount(19)		Value (Note 2)
Electric-Integrated (continued)
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042	$	300,000	$	292,316
Dominion Resources, Inc. Senior Notes 1.40% due 09/15/2017		125,000		124,552
Dominion Resources, Inc. Senior Notes 4.45% due 03/15/2021		486,000		523,683
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		336,000		362,147
Dominion Resources, Inc. Senior Notes 7.00% due 06/15/2038		255,000		316,463
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		78,688
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		50,209
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		50,000		62,340
Duke Energy Corp. Senior Notes 1.63% due 08/15/2017		320,000		321,131
Duke Energy Corp. Senior Notes 3.55% due 09/15/2021		450,000		468,225
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024		1,705,000		1,755,352
Duke Energy Corp. Senior Notes 3.95% due 10/15/2023		905,000		944,768
Duke Energy Indiana, Inc. 1st Mtg. Notes 4.90% due 07/15/2043		195,000		214,462
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044		900,000		905,493
Edison International Senior Notes 3.75% due 09/15/2017		1,525,000		1,588,510
Entergy Arkansas, Inc. 1st Mtg. Bonds 4.95% due 12/15/2044		140,000		141,082
Entergy Louisiana LLC 1st Mtg. Bonds 4.95% due 01/15/2045		125,000		126,269
Exelon Corp. Senior Notes 2.85% due 06/15/2020		565,000		569,948
Exelon Corp. Senior Notes 4.95% due 06/15/2035		80,000		80,629

266

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Exelon Corp. Senior Notes 5.10% due 06/15/2045	$	82,000	$	83,728
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		129,000		130,710
Exelon Generation Co. LLC Senior Notes 4.25% due 06/15/2022		350,000		358,195
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		171,000		206,377
Georgia Power Co. Senior Notes 3.00% due 04/15/2016		48,000		48,567
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		350,000		346,122
Great Plains Energy, Inc. Senior Notes 4.85% due 06/01/2021		91,000		99,815
Louisville Gas & Electric Co. 1st Mtg. Notes 4.38% due 10/01/2045		23,000		23,782
MidAmerican Energy Holdings Co. Senior Notes 5.75% due 04/01/2018		450,000		493,387
Nevada Power Co. General Refunding Mtg. 7.13% due 03/15/2019		200,000		232,706
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 6.00% due 03/01/2019		250,000		278,390
NiSource Finance Corp. Company Guar. Notes 3.85% due 02/15/2023		275,000		285,295
NiSource Finance Corp. Company Guar. Notes 5.25% due 02/15/2043		275,000		298,866
NiSource Finance Corp. Company Guar. Notes 6.40% due 03/15/2018		32,000		35,533
Northeast Utilities Senior Notes 2.80% due 05/01/2023		825,000		791,936
Pacific Gas & Electric Co. Senior Notes 2.45% due 08/15/2022		450,000		435,584
Pacific Gas & Electric Co. Senior Notes 3.25% due 09/15/2021		172,000		177,785
Pacific Gas & Electric Co. Senior Notes 3.75% due 02/15/2024		260,000		268,061

Security Description	Principal Amount(19)		Value (Note 2)
Electric-Integrated (continued)
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044	$	470,000	$	494,820
PacifiCorp 1st Mtg. Bonds 3.60% due 04/01/2024		500,000		516,635
PacifiCorp 1st Mtg. Bonds 4.10% due 02/01/2042		275,000		270,544
Pepco Holdings, Inc. Senior Notes 2.70% due 10/01/2015		175,000		175,000
Progress Energy, Inc. Senior Notes 3.15% due 04/01/2022		86,000		85,832
Progress Energy, Inc. Senior Notes 7.05% due 03/15/2019		180,000		208,327
PSEG Power LLC Company Guar. Notes 8.63% due 04/15/2031		100,000		135,656
San Diego Gas & Electric Co. 1st Mtg. Notes 3.60% due 09/01/2023		575,000		602,219
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065		102,000		107,363
Southern California Edison Co. 1st Mtg. Bonds 1.13% due 05/01/2017		235,000		234,814
Southern Co. Senior Notes 1.30% due 08/15/2017		201,000		200,190
Southern Power Co. Senior Notes 5.25% due 07/15/2043		170,000		175,042
Talen Energy Supply LLC Senior Notes 6.50% due 06/01/2025*		100,000		86,000
Trans-Allegheny Interstate Line Co. Senior Notes 3.85% due 06/01/2025*		100,000		100,454
Union Electric Co. Senior Sec. Notes 6.40% due 06/15/2017		165,000		179,028
Virginia Electric & Power Co. Senior Notes 1.20% due 01/15/2018		350,000		348,796
Virginia Electric & Power Co. Senior Notes 2.95% due 01/15/2022		165,000		166,465
Virginia Electric & Power Co. Senior Notes 5.40% due 04/30/2018		100,000		109,608

267

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Xcel Energy, Inc. Senior Notes 0.75% due 05/09/2016	$	1,100,000	$	1,099,900
				20,271,247
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		70,000		73,575
Electronic Components-Misc. — 0.0%
Corning, Inc. Senior Notes 1.50% due 05/08/2018		112,000		112,096
Corning, Inc. Senior Notes 2.90% due 05/15/2022		112,000		112,261
				224,357
Electronic Components-Semiconductors — 0.1%
Intel Corp. Senior Notes 1.35% due 12/15/2017		380,000		379,321
Micron Technology, Inc. Senior Notes 5.63% due 01/15/2026*		200,000		180,000
				559,321
Electronics-Military — 0.0%
L-3 Communications Corp. Company Guar. Notes 3.95% due 05/28/2024		50,000		47,932
Energy-Alternate Sources — 0.0%
TerraForm Power Operating LLC Company Guar. Notes 5.88% due 02/01/2023*		47,000		41,478
Enterprise Software/Service — 0.2%
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*		80,000		79,600
Oracle Corp. Senior Notes 2.50% due 05/15/2022		1,035,000		1,019,948
Oracle Corp. Senior Notes 2.80% due 07/08/2021		425,000		430,914
Oracle Corp. Senior Notes 3.90% due 05/15/2035		170,000		161,293
Oracle Corp. Senior Notes 5.38% due 07/15/2040		400,000		445,356
Oracle Corp. Senior Notes 5.75% due 04/15/2018		250,000		276,066

Security Description	Principal Amount(19)		Value (Note 2)
Enterprise Software/Service (continued)
Oracle Corp. Senior Notes 6.13% due 07/08/2039	$	160,000	$	194,484
				2,607,661
Finance-Auto Loans — 0.0%
Ally Financial, Inc. Senior Notes 5.13% due 09/30/2024		194,000		191,575
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023*		100,000		102,250
				293,825
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021		157,000		127,170
OneMain Financial Holdings, Inc. Company Guar. Notes 6.75% due 12/15/2019*		42,000		43,470
Synchrony Financial Senior Notes 2.70% due 02/03/2020		885,000		874,986
Synchrony Financial Senior Notes 4.25% due 08/15/2024		194,000		193,277
				1,238,903
Finance-Credit Card — 0.1%
American Express Credit Corp. Senior Notes 1.55% due 09/22/2017		74,000		74,205
American Express Credit Corp. Senior Notes 2.38% due 05/26/2020		185,000		184,905
Discover Financial Services Senior Notes 3.75% due 03/04/2025		192,000		185,942
Discover Financial Services Senior Notes 5.20% due 04/27/2022		160,000		170,691
Discover Financial Services Senior Notes 6.45% due 06/12/2017		40,000		43,091
				658,834
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Senior Notes 7.25% due 02/01/2018		215,000		240,702
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(10)		131,000		13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(10)		99,000		10

268

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker (continued)
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022	$	123,000	$	123,865
				364,590
Finance-Leasing Companies — 0.0%
Air Lease Corp. Senior Notes 4.75% due 03/01/2020		151,000		160,815
Finance-Mortgage Loan/Banker — 0.0%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		150,000		140,812
Finance-Other Services — 0.1%
National Rural Utilities Cooperative Finance Corp. Senior Notes 0.95% due 04/24/2017		92,000		91,867
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		365,000		366,036
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.00% due 01/27/2020		184,000		182,242
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.35% due 06/15/2020		195,000		195,611
				835,756
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		75,000		57,000
Food-Confectionery — 0.1%
JM Smucker Co. Company Guar. Notes 2.50% due 03/15/2020*		200,000		200,609
JM Smucker Co. Company Guar. Notes 3.50% due 03/15/2025*		1,000,000		993,780
				1,194,389
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		100,000		101,500
Food-Flour & Grain — 0.0%
Post Holdings, Inc. Company Guar. Notes 7.75% due 03/15/2024*		93,000		95,325

Security Description	Principal Amount(19)		Value (Note 2)
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Senior Notes 5.88% due 07/15/2024*	$	75,000	$	70,313
Food-Misc./Diversified — 0.3%
Darling Ingredients, Inc. Company Guar. Notes 5.38% due 01/15/2022		57,000		55,860
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018*		1,175,000		1,176,637
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020*		1,270,000		1,278,321
Kraft Heinz Foods Co. Company Guar. Notes 5.20% due 07/15/2045*		425,000		450,096
Mondelez International, Inc. Senior Notes 4.00% due 02/01/2024		500,000		518,132
				3,479,046
Food-Retail — 0.0%
SUPERVALU, Inc. Senior Notes 7.75% due 11/15/2022		119,000		119,000
Food-Wholesale/Distribution — 0.0%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*		39,000		35,490
Gambling (Non-Hotel) — 0.0%
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		39,000		38,415
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		100,000		87,250
Waterford Gaming LLC/Waterford Gaming Financial Corp Escrow Notes 8.63% due 09/15/2014*† (5)(10)		1,320		13
				125,678
Gas-Distribution — 0.2%
CenterPoint Energy Resources Corp. Senior Notes 4.50% due 01/15/2021		210,000		224,942
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		95,000		105,629

269

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Gas-Distribution (continued)
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043	$	74,000	$	72,741
Sempra Energy Senior Notes 3.55% due 06/15/2024		1,200,000		1,207,718
Sempra Energy Senior Notes 9.80% due 02/15/2019		100,000		123,756
				1,734,786
Gold Mining — 0.1%
Barrick North America Finance LLC Company Guar. Notes 5.75% due 05/01/2043		725,000		617,372
Hotels/Motels — 0.0%
Interval Acquisition Corp. Company Guar. Notes 5.63% due 04/15/2023*		80,000		78,800
Independent Power Producers — 0.0%
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		65,000		65,569
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		55,000		50,875
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		126,000		114,660
				231,104
Industrial Gases — 0.0%
Airgas, Inc. Senior Notes 3.05% due 08/01/2020		62,000		62,956
Instruments-Scientific — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 1.30% due 02/01/2017		515,000		514,727
Insurance Brokers — 0.2%
AON Corp. Company Guar. Bonds 3.13% due 05/27/2016		125,000		126,770
AON Corp. Company Guar. Notes 5.00% due 09/30/2020		275,000		304,944
Marsh & McLennan Cos., Inc. Senior Notes 2.30% due 04/01/2017		1,450,000		1,472,429
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		289,758
Marsh & McLennan Cos., Inc. Senior Notes 4.80% due 07/15/2021		250,000		275,747
				2,469,648

Security Description	Principal Amount(19)		Value (Note 2)
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025	$	46,000	$	46,690
Lincoln National Corp. Senior Notes 8.75% due 07/01/2019		335,000		409,180
Pacific Life Insurance Co. Sub. Notes 9.25% due 06/15/2039*		225,000		335,401
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		185,000		208,869
Pricoa Global Funding I Senior Sec. Notes 1.35% due 08/18/2017*		251,000		250,289
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		70,000		70,434
Principal Financial Group, Inc. Company Guar. Notes 8.88% due 05/15/2019		100,000		122,047
Prudential Financial, Inc. Senior Notes 5.10% due 08/15/2043		400,000		424,158
Prudential Financial, Inc. Senior Notes 5.70% due 12/14/2036		320,000		363,874
				2,230,942
Insurance-Multi-line — 0.4%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		351,000		421,741
Hartford Financial Services Group, Inc. Senior Notes 6.10% due 10/01/2041		275,000		326,861
MetLife, Inc. Senior Notes 6.38% due 06/15/2034		350,000		433,379
Metropolitan Life Global Funding I Sec. Notes 1.30% due 04/10/2017*		591,000		592,380
Metropolitan Life Global Funding I Sec. Notes 1.50% due 01/10/2018*		340,000		339,454
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019*		2,200,000		2,224,526
Nationwide Mutual Insurance Co. Sub. Notes 9.38% due 08/15/2039*		295,000		446,818
				4,785,159

270

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*	$	115,000	$	105,795
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		495,000		734,140
MassMutual Global Funding II Senior Sec. Notes 2.00% due 04/05/2017*		237,000		240,062
MassMutual Global Funding II Senior Sec. Notes 2.10% due 08/02/2018*		280,000		283,861
MassMutual Global Funding II Senior Sec. Notes 3.60% due 04/09/2024*		548,000		559,656
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		222,000		223,582
				2,147,096
Insurance-Property/Casualty — 0.1%
ACE INA Holdings, Inc. Company Guar. Notes 3.15% due 03/15/2025		1,225,000		1,194,696
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		325,000		313,080
Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		98,000		94,815
Zayo Group LLC/Zayo Capital, Inc. Company Guar. Notes 6.00% due 04/01/2023*		91,000		88,270
				183,085
Investment Management/Advisor Services — 0.0%
Ameriprise Financial, Inc. Senior Notes 5.30% due 03/15/2020		305,000		344,122
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		134,000		129,310
				473,432
Machinery-Farming — 0.1%
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		275,000		274,849
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		339,000		340,820
				615,669

Security Description	Principal Amount(19)		Value (Note 2)
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 7.38% due 02/01/2019	$	75,000	$	75,188
Medical Instruments — 0.4%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		1,865,000		1,890,120
Medtronic, Inc. Company Guar. Notes 3.15% due 03/15/2022		970,000		983,859
Medtronic, Inc. Company Guar. Notes 3.50% due 03/15/2025		500,000		510,172
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		1,130,000		1,142,309
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		360,000		371,195
				4,897,655
Medical Labs & Testing Services — 0.2%
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022		50,000		49,767
Laboratory Corp. of America Holdings Senior Notes 3.60% due 02/01/2025		163,000		157,795
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		84,000		76,754
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		351,000		352,674
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019*		278,000		282,261
Roche Holdings, Inc. Company Guar. Notes 3.35% due 09/30/2024*		810,000		828,420
				1,747,671
Medical Products — 0.2%
Becton Dickinson and Co. Senior Notes 3.13% due 11/08/2021		55,000		55,377
Universal Hospital Services, Inc. Sec. Notes 7.63% due 08/15/2020		80,000		75,000
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		2,155,000		2,150,671
				2,281,048
Medical-Biomedical/Gene — 0.5%
Amgen, Inc. Senior Notes 3.63% due 05/22/2024		1,170,000		1,173,430

271

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Amgen, Inc. Senior Notes 3.88% due 11/15/2021	$	400,000	$	421,489
Amgen, Inc. Senior Notes 5.15% due 11/15/2041		225,000		231,243
Amgen, Inc. Senior Notes 6.40% due 02/01/2039		480,000		569,369
Biogen, Inc. Senior Notes 4.05% due 09/15/2025		151,000		152,538
Biogen, Inc. Senior Notes 5.20% due 09/15/2045		148,000		149,339
Celgene Corp. Senior Notes 4.63% due 05/15/2044		1,125,000		1,067,374
Celgene Corp. Senior Notes 5.00% due 08/15/2045		165,000		163,663
Gilead Sciences, Inc. Senior Notes 1.85% due 09/04/2018		650,000		654,539
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		610,000		614,783
Gilead Sciences, Inc. Senior Notes 3.65% due 03/01/2026		30,000		30,140
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		526,982
Gilead Sciences, Inc. Senior Notes 4.50% due 02/01/2045		380,000		365,197
Gilead Sciences, Inc. Senior Notes 4.60% due 09/01/2035		305,000		305,263
Gilead Sciences, Inc. Senior Notes 4.75% due 03/01/2046		104,000		104,480
				6,529,829
Medical-Drugs — 0.7%
AbbVie, Inc. Senior Notes 1.20% due 11/06/2015		195,000		195,083
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018		700,000		698,057
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018		940,000		943,585
AbbVie, Inc. Senior Notes 4.50% due 05/14/2035		490,000		472,999

Security Description	Principal Amount(19)		Value (Note 2)
Medical-Drugs (continued)
Baxalta, Inc. Senior Notes 3.60% due 06/23/2022*	$	156,000	$	157,501
Baxalta, Inc. Senior Notes 4.00% due 06/23/2025*		81,000		81,126
Bayer US Finance LLC Company Guar. Notes 2.38% due 10/08/2019*		810,000		820,493
Bayer US Finance LLC Company Guar. Notes 3.00% due 10/08/2021*		1,000,000		1,015,690
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		655,000		647,206
Endo Finance LLC Company Guar. Notes 5.75% due 01/15/2022*		61,000		60,390
Forest Laboratories LLC Company Guar. Notes 4.88% due 02/15/2021*		181,000		195,487
Merck & Co., Inc. FRS Senior Notes 0.69% due 02/10/2020		1,570,000		1,557,504
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		100,000		99,000
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034		750,000		944,942
				7,889,063
Medical-Generic Drugs — 0.0%
Mylan, Inc. Company Guar. Notes 5.40% due 11/29/2043		87,000		86,015
Medical-HMO — 0.7%
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		500,000		502,118
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		785,000		777,072
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		400,000		394,131
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		325,000		337,790
Coventry Health Care, Inc. Senior Notes 5.45% due 06/15/2021		80,000		89,795
Humana, Inc. Senior Notes 3.85% due 10/01/2024		1,525,000		1,534,202
UnitedHealth Group, Inc. Senior Notes 1.40% due 10/15/2017		500,000		502,809

272

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-HMO (continued)
UnitedHealth Group, Inc. Senior Notes 1.40% due 12/15/2017	$	153,000	$	152,843
UnitedHealth Group, Inc. Senior Notes 1.90% due 07/16/2018		700,000		707,258
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		1,636,000		1,688,514
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		485,000		501,314
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		400,000		422,246
WellPoint, Inc. Senior Notes 6.38% due 06/15/2037		260,000		311,598
				7,921,690
Medical-Hospitals — 0.1%
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		29,000		28,927
HCA, Inc. Senior Sec. Notes 4.75% due 05/01/2023		40,000		40,140
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		24,000		23,760
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		150,000		148,500
IASIS Healthcare LLC/IASIS Capital Corp. Company Guar. Notes 8.38% due 05/15/2019		120,000		123,450
Memorial Sloan-Kettering Cancer Center Senior Notes 5.00% due 07/01/2042		211,000		233,361
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		100,000		101,000
Tenet Healthcare Corp. Senior Notes 6.75% due 06/15/2023		68,000		67,490
				766,628
Medical-Wholesale Drug Distribution — 0.2%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		895,000		895,963
Cardinal Health, Inc. Senior Notes 3.50% due 11/15/2024		1,025,000		1,024,520

Security Description	Principal Amount(19)		Value (Note 2)
Medical-Wholesale Drug Distribution (continued)
McKesson Corp. Senior Notes 1.40% due 03/15/2018	$	765,000	$	758,161
				2,678,644
Metal-Copper — 0.1%
Freeport-McMoRan, Inc. Company Guar. Notes 2.30% due 11/14/2017		100,000		90,250
Freeport-McMoRan, Inc Company Guar. Notes 4.00% due 11/14/2021		720,000		561,600
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043		550,000		382,250
Southern Copper Corp. Senior Notes 5.25% due 11/08/2042		200,000		151,298
Southern Copper Corp. Senior Notes 5.88% due 04/23/2045		355,000		288,207
				1,473,605
Multimedia — 0.5%
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022		380,000		374,492
21st Century Fox America, Inc. Company Guar. Notes 4.75% due 09/15/2044		111,000		109,266
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041		790,000		900,975
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035		150,000		174,128
21st Century Fox America, Inc. Company Guar. Notes 6.90% due 03/01/2019		150,000		172,517
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028		95,000		114,988
21st Century Fox America, Inc. Company Guar. Notes 8.88% due 04/26/2023		70,000		92,534
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		50,000		61,123
NBCUniversal Media LLC Company Guar. Notes 5.15% due 04/30/2020		125,000		141,094
Time Warner Entertainment Co. LP Company Guar. Notes 8.38% due 03/15/2023		175,000		214,326
Time Warner, Inc. Company Guar. Notes 3.60% due 07/15/2025		358,000		350,554

273

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Multimedia (continued)
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045	$	575,000	$	564,315
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		840,000		1,072,645
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		625,000		811,603
Viacom, Inc. Senior Notes 3.88% due 04/01/2024		62,000		58,124
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		81,000		69,979
Viacom, Inc. Senior Notes 5.25% due 04/01/2044		165,000		144,045
Walt Disney Co. Senior Notes 1.50% due 09/17/2018		158,000		158,541
				5,585,249
Music — 0.0%
WMG Acquisition Corp. Company Guar. Notes 6.75% due 04/15/2022*		100,000		94,000
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		316,000		319,963
Cisco Systems, Inc. Senior Notes 5.50% due 01/15/2040		200,000		233,180
				553,143
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc. Company Guar. Notes 3.55% due 06/01/2022		625,000		640,759
Waste Management, Inc. Company Guar. Notes 6.10% due 03/15/2018		100,000		110,335
				751,094
Oil & Gas Drilling — 0.0%
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		29,000		24,940
Oil Companies-Exploration & Production — 0.5%
Anadarko Petroleum Corp. Senior Notes 5.95% due 09/15/2016		300,000		311,766
Anadarko Petroleum Corp. Senior Notes 6.20% due 03/15/2040		200,000		211,595

Security Description	Principal Amount(19)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Anadarko Petroleum Corp. Senior Notes 6.38% due 09/15/2017	$	125,000	$	134,891
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		492,000		541,270
Atlas Energy Holdings Operating Co. LLC/Atlas Resource Finance Corp. Company Guar. Notes 7.75% due 01/15/2021		74,000		31,080
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023		90,000		78,363
ConocoPhillips Company Guar. Notes 5.90% due 10/15/2032		300,000		338,592
ConocoPhillips Company Guar. Notes 6.50% due 02/01/2039		400,000		483,876
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		210,000		183,750
Devon Financing Corp. LLC Company Guar. Bonds 7.88% due 09/30/2031		150,000		183,532
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		97,000		77,600
EV Energy Partners LP/EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		115,000		78,200
Halcon Resources Corp. Sec. Notes 8.63% due 02/01/2020*		60,000		49,875
Halcon Resources Corp. Company Guar. Notes 9.75% due 07/15/2020		60,000		20,400
Hess Corp. Senior Notes 1.30% due 06/15/2017		485,000		480,990
Hess Corp. Senior Notes 5.60% due 02/15/2041		538,000		501,360
Hess Corp. Senior Notes 7.30% due 08/15/2031		150,000		168,300
Hess Corp. Senior Notes 7.88% due 10/01/2029		326,000		384,862
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		69,000		58,650

274

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024	$	425,000	$	497,522
Legacy Reserves LP/Legacy Reserves Finance Corp. Company Guar. Notes 6.63% due 12/01/2021		59,000		40,120
Memorial Production Partners LP/Memorial Production Finance Corp. Company Guar. Notes 7.63% due 05/01/2021		79,000		53,325
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		90,000		82,350
Noble Energy, Inc. Senior Notes 3.90% due 11/15/2024		112,000		104,161
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044		95,000		82,268
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020		174,000		129,413
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		75,000		59,423
Occidental Petroleum Corp. Senior Notes 3.50% due 06/15/2025		76,000		75,786
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		60,000		13,500
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022		68,000		27,200
Rice Energy, Inc. Company Guar. Notes 7.25% due 05/01/2023*		100,000		93,750
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023		73,000		48,910
SM Energy Co. Senior Notes 5.63% due 06/01/2025		56,000		48,160
Southwestern Energy Co. Senior Notes 3.30% due 01/23/2018		50,000		49,130
Southwestern Energy Co. Senior Notes 4.95% due 01/23/2025		233,000		208,242
				5,932,212
Oil Companies-Integrated — 0.2%
Chevron Corp. Senior Notes 1.37% due 03/02/2018		200,000		200,181

Security Description	Principal Amount(19)		Value (Note 2)
Oil Companies-Integrated (continued)
Chevron Corp. Senior Notes 1.96% due 03/03/2020	$	110,000	$	109,540
ConocoPhillips Co. Company Guar. Notes 1.50% due 05/15/2018		524,000		523,516
ConocoPhillips Co. Company Guar. Notes 3.35% due 11/15/2024		405,000		395,652
Exxon Mobil Corp. Senior Notes 1.31% due 03/06/2018		202,000		202,477
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		595,000		576,581
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		137,000		137,281
				2,145,228
Oil Refining & Marketing — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		83,000		84,868
Valero Energy Corp. Senior Notes 6.13% due 02/01/2020		325,000		368,512
				453,380
Oil-Field Services — 0.0%
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. Company Guar. Notes 6.63% due 05/01/2021		81,000		71,280
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. Company Guar. Notes 6.88% due 02/15/2023		136,000		120,326
				191,606
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		89,000		82,325
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		83,000		83,136
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025*		373,000		372,673
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		396,000		403,785
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		127,000		142,311
International Paper Co. Senior Notes 7.30% due 11/15/2039		200,000		244,772

275

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Paper & Related Products (continued)
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020	$	66,000	$	66,825
				1,395,827
Pharmacy Services — 0.1%
Express Scripts Holding Co. Company Guar. Notes 3.13% due 05/15/2016		520,000		525,918
Pipelines — 1.0%
Columbia Pipeline Group, Inc. Company Guar. Notes 2.45% due 06/01/2018*		41,000		41,079
Columbia Pipeline Group, Inc. Company Guar. Notes 4.50% due 06/01/2025*		198,000		192,201
Duke Energy Field Services LLC Senior Notes 5.38% due 10/15/2015*		200,000		200,200
El Paso Natural Gas Co. LLC Company Guar. Notes 5.95% due 04/15/2017		370,000		390,353
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		260,000		234,068
Energy Transfer Partners LP Senior Notes 4.05% due 03/15/2025		275,000		243,027
Energy Transfer Partners LP Senior Notes 4.15% due 10/01/2020		425,000		429,894
Energy Transfer Partners LP Senior Notes 4.75% due 01/15/2026		540,000		496,846
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035		186,000		150,245
Energy Transfer Partners LP Senior Notes 5.15% due 02/01/2043		260,000		204,740
Energy Transfer Partners LP Senior Notes 5.15% due 03/15/2045		69,000		53,826
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		175,000		175,817
Energy Transfer Partners LP Senior Notes 6.13% due 02/15/2017		300,000		315,285
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		270,000		256,880
Energy Transfer Partners LP Senior Notes 9.00% due 04/15/2019		47,000		55,201

Security Description	Principal Amount(19)		Value (Note 2)
Pipelines (continued)
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045	$	91,000	$	77,100
Enterprise Products Operating LLC Company Guar. Notes 5.95% due 02/01/2041		200,000		206,037
Enterprise Products Operating LLC Company Guar. Notes 6.50% due 01/31/2019		700,000		785,086
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		93,000		79,980
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023		100,000		88,000
Kinder Morgan Energy Partners LP Company Guar. Notes 4.70% due 11/01/2042		88,000		66,294
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042		675,000		533,395
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		277,000		306,659
Kinder Morgan, Inc. Company Guar. Notes 4.30% due 06/01/2025		760,000		682,745
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*		225,000		229,915
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		975,000		773,610
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 2.60% due 12/15/2019		1,225,000		1,210,220
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		110,000		100,912
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 4.90% due 02/15/2045		250,000		223,273
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 5.75% due 01/15/2020		250,000		274,758

276

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Regency Energy Partners LP/Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022	$	425,000	$	435,527
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		77,000		67,760
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		320,000		291,065
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		59,000		57,230
Williams Partners LP Senior Notes 3.60% due 03/15/2022		1,100,000		1,015,565
Williams Partners LP Senior Notes 3.90% due 01/15/2025		350,000		301,379
Williams Partners LP Senior Notes 4.00% due 09/15/2025		78,000		67,557
Williams Partners LP Senior Notes 4.30% due 03/04/2024		600,000		544,370
Williams Partners LP Senior Notes 6.30% due 04/15/2040		150,000		134,878
Williams Partners LP/ACMP Finance Corp. Senior Notes 4.88% due 05/15/2023		101,000		93,425
				12,086,402
Printing-Commercial — 0.0%
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		139,000		142,127
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022		75,000		67,125
				209,252
Publishing-Newspapers — 0.0%
Lee Enterprises, Inc. Senior Sec. Notes 9.50% due 03/15/2022*		130,000		118,625
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022		95,000		85,500
				204,125

Security Description	Principal Amount(19)		Value (Note 2)
Publishing-Periodicals — 0.0%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*	$	150,000	$	150,000
Time, Inc. Company Guar. Notes 5.75% due 04/15/2022*		60,000		56,100
				206,100
Radio — 0.0%
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 04/15/2025*		70,000		66,850
Real Estate Investment Trusts — 1.1%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		470,000		483,806
American Tower Corp. Senior Notes 3.45% due 09/15/2021		800,000		803,612
American Tower Corp. Senior Notes 5.00% due 02/15/2024		380,000		399,247
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		335,000		328,008
Brandywine Operating Partnership LP Company Guar. Notes 4.95% due 04/15/2018		200,000		211,581
Brandywine Operating Partnership LP Company Guar. Notes 5.70% due 05/01/2017		315,000		331,831
Communications Sales & Leasing, Inc./CSL Capital LLC Senior Sec. Notes 6.00% due 04/15/2023*		54,000		48,060
Communications Sales & Leasing, Inc./CSL Capital LLC Company Guar. Notes 8.25% due 10/15/2023		56,000		47,880
Duke Realty LP Company Guar. Notes 3.63% due 04/15/2023		450,000		443,967
Duke Realty LP Company Guar. Notes 5.95% due 02/15/2017		2,000		2,120
DuPont Fabros Technology LP Company Guar. Notes 5.63% due 06/15/2023		100,000		100,500
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		80,000		78,600
HCP, Inc. Senior Notes 3.15% due 08/01/2022		800,000		778,638

277

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
HCP, Inc. Senior Notes 3.75% due 02/01/2016	$	72,000	$	72,613
HCP, Inc. Senior Notes 3.75% due 02/01/2019		615,000		642,141
HCP, Inc. Senior Notes 4.20% due 03/01/2024		60,000		59,943
HCP, Inc. Senior Notes 4.25% due 11/15/2023		570,000		573,675
HCP, Inc. Senior Notes 6.30% due 09/15/2016		300,000		312,974
Health Care REIT, Inc. Senior Notes 4.13% due 04/01/2019		815,000		861,464
Kimco Realty Corp. Senior Notes 3.13% due 06/01/2023		590,000		572,618
Kimco Realty Corp. Senior Notes 4.30% due 02/01/2018		150,000		157,604
Liberty Property LP Senior Notes 3.75% due 04/01/2025		300,000		292,921
Liberty Property LP Senior Notes 4.13% due 06/15/2022		300,000		307,372
Liberty Property LP Senior Notes 4.75% due 10/01/2020		80,000		86,431
Liberty Property LP Senior Notes 5.50% due 12/15/2016		110,000		115,133
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027*		217,000		206,521
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		174,000		175,892
Omega Healthcare Investors, Inc. Company Guar. Notes 5.25% due 01/15/2026*		230,000		233,802
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		530,000		517,611
Realty Income Corp. Senior Notes 6.75% due 08/15/2019		160,000		185,220
RHP Hotel Properties LP/RHP Finance Corp. Company Guar. Notes 5.00% due 04/15/2023		83,000		82,585

Security Description	Principal Amount(19)		Value (Note 2)
Real Estate Investment Trusts (continued)
Simon Property Group LP Senior Notes 1.50% due 02/01/2018*	$	375,000	$	374,382
UDR, Inc. Company Guar. Notes 4.25% due 06/01/2018		70,000		74,041
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.00% due 02/15/2018		1,050,000		1,053,739
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 3.25% due 08/15/2022		320,000		313,361
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		550,000		575,232
Welltower, Inc. Senior Notes 5.25% due 01/15/2022		300,000		328,766
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		500,000		628,457
				12,862,348
Real Estate Management/Services — 0.0%
American Campus Communities Operating Partnership LP Company Guar. Notes 3.35% due 10/01/2020		48,000		48,573
American Campus Communities Operating Partnership LP Company Guar. Notes 4.13% due 07/01/2024		128,000		128,678
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		125,000		122,187
				299,438
Real Estate Operations & Development — 0.1%
Greystar Real Estate Partners LLC Senior Sec. Notes 8.25% due 12/01/2022*		83,000		86,735
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		200,000		202,732
Prologis LP Company Guar. Notes 4.00% due 01/15/2018		185,000		193,269
Prologis LP Company Guar. Notes 4.25% due 08/15/2023		775,000		802,788
Prologis LP Company Guar. Notes 4.50% due 08/15/2017		85,000		89,186
				1,374,710

278

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 2.80% due 11/01/2018*	$	110,000	$	112,504
ERAC USA Finance LLC Company Guar. Notes 3.30% due 10/15/2022*		10,000		9,987
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		215,000		267,359
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		50,000		48,438
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		50,000		46,750
				485,038
Retail-Appliances — 0.0%
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022		101,000		96,960
Retail-Auto Parts — 0.1%
AutoZone, Inc. Senior Notes 3.70% due 04/15/2022		1,148,000		1,181,086
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020		425,000		451,463
				1,632,549
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 4.50% due 10/01/2025		106,000		108,037
Retail-Building Products — 0.3%
Home Depot, Inc. Senior Notes 2.70% due 04/01/2023		425,000		422,150
Home Depot, Inc. Senior Notes 3.35% due 09/15/2025		370,000		376,795
Home Depot, Inc. Senior Notes 4.25% due 04/01/2046		360,000		362,589
Home Depot, Inc. Senior Notes 4.40% due 04/01/2021		720,000		793,959
Home Depot, Inc. Senior Notes 5.88% due 12/16/2036		470,000		577,662
Lowe's Cos, Inc. Senior Notes 3.38% due 09/15/2025		400,000		404,139
Lowe's Cos., Inc. Senior Notes 4.38% due 09/15/2045		269,000		272,107
				3,209,401

Security Description	Principal Amount(19)		Value (Note 2)
Retail-Computer Equipment — 0.0%
GameStop Corp. Company Guar. Notes 5.50% due 10/01/2019*	$	75,000	$	77,272
Retail-Discount — 0.2%
Costco Wholesale Corp. Senior Notes 2.25% due 02/15/2022		206,000		204,070
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		168,000		173,227
Wal-Mart Stores, Inc. Senior Notes 5.25% due 09/01/2035		500,000		577,590
Wal-Mart Stores, Inc. Senior Notes 5.63% due 04/15/2041		580,000		700,932
Wal-Mart Stores, Inc. Senior Notes 6.20% due 04/15/2038		275,000		352,830
				2,008,649
Retail-Drug Store — 0.5%
CVS Caremark Corp. Senior Notes 2.75% due 12/01/2022		600,000		590,141
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		1,935,000		1,965,968
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		1,025,000		1,056,578
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		1,230,000		1,322,192
CVS Health Corp. Senior Notes 5.75% due 05/15/2041		480,000		554,413
CVS Pass-Through Trust Pass Through Certs. 4.70% due 01/10/2036*		91,681		95,628
CVS Pass-Through Trust Pass Through Certs. 5.77% due 01/10/2033*		65,932		72,593
CVS Pass-Through Trust Pass Through Certs. 5.93% due 01/10/2034*		120,029		137,766
CVS Pass-Through Trust Pass Through Certs. 6.04% due 12/10/2028		167,989		189,762
				5,985,041
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		54,000		31,860
Kohl's Corp. Senior Notes 5.55% due 07/17/2045		109,000		106,781
				138,641

279

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Restaurants — 0.0%
Landry's, Inc. Company Guar. Notes 9.38% due 05/01/2020*	$	94,000	$	100,345
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		73,000		70,992
				171,337
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 7.63% due 06/15/2021		72,000		77,130
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		164,000		171,780
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		489,000		551,590
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		332,000		373,248
				1,096,618
Schools — 0.0%
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		76,000		74,382
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		79,000		76,095
				150,477
Semiconductor Components-Integrated Circuits — 0.1%
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025		850,000		802,635
QUALCOMM, Inc. Senior Notes 4.65% due 05/20/2035		800,000		730,212
				1,532,847
Semiconductor Equipment — 0.0%
Applied Materials, Inc. Senior Notes 3.90% due 10/01/2025		95,000		94,679
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		120,000		112,950
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc. Company Guar. Notes 5.25% due 10/01/2054		239,000		210,354

Security Description	Principal Amount(19)		Value (Note 2)
Steel-Producers — 0.0%
AK Steel Corp. Company Guar. Notes 8.38% due 04/01/2022	$	59,000	$	29,779
AK Steel Corp. Senior Sec. Notes 8.75% due 12/01/2018		50,000		48,632
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		58,000		54,955
				133,366
Steel-Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021		128,000		115,200
Telecommunication Equipment — 0.0%
CommScope Technologies Finance LLC Senior Sec. Notes 6.00% due 06/15/2025*		100,000		95,938
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		100,000		100,250
				196,188
Telephone-Integrated — 1.2%
AT&T, Inc. Senior Notes 3.00% due 06/30/2022		1,792,000		1,748,282
AT&T, Inc. Senior Notes 3.40% due 05/15/2025		100,000		95,450
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		192,000		164,799
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		609,000		557,123
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		632,000		579,100
AT&T, Inc. Senior Notes 5.35% due 09/01/2040		806,000		796,190
AT&T, Inc. Senior Notes 5.80% due 02/15/2019		96,000		106,747
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2025*		22,000		17,490
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		85,000		72,675
Consolidated Communications, Inc. Company Guar. Notes 6.50% due 10/01/2022*		49,000		43,855

280

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020	$	56,000	$	54,460
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		51,000		49,114
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*		145,000		140,287
Verizon Communications, Inc. Senior Notes 2.63% due 02/21/2020		1,115,000		1,118,308
Verizon Communications, Inc. Senior Notes 3.00% due 11/01/2021		181,000		180,503
Verizon Communications, Inc. Senior Notes 4.15% due 03/15/2024		450,000		465,471
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		1,560,000		1,414,742
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		79,000		73,506
Verizon Communications, Inc. Senior Notes 4.50% due 09/15/2020		21,000		22,749
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		2,486,000		2,184,667
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		1,720,000		1,481,092
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		1,069,000		1,002,415
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		1,630,000		1,800,645
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		11,000		12,602
				14,182,272
Theaters — 0.0%
Carmike Cinemas, Inc. Sec. Notes 6.00% due 06/15/2023*		100,000		101,000
National CineMedia LLC Senior Sec. Notes 6.00% due 04/15/2022		56,000		56,560
				157,560
Tobacco — 0.2%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		675,000		659,491

Security Description	Principal Amount(19)		Value (Note 2)
Tobacco (continued)
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019	$	31,000	$	38,636
Altria Group, Inc. Company Guar. Notes 9.95% due 11/10/2038		41,000		65,560
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		660,000		678,832
Reynolds American, Inc. Company Guar. Notes 3.25% due 11/01/2022		1,045,000		1,039,670
Reynolds American, Inc. Company Guar. Notes 7.75% due 06/01/2018		175,000		199,804
				2,681,993
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 4.70% due 10/01/2019		500,000		549,387
Union Pacific Corp. Senior Notes 3.88% due 02/01/2055		114,000		102,457
				651,844
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		215,000		194,751
Ryder System, Inc. Senior Notes 2.45% due 09/03/2019		1,035,000		1,038,161
United Parcel Service, Inc. Senior Notes 2.45% due 10/01/2022		215,000		211,031
				1,443,943
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		118,000		116,230
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 03/15/2016*		180,000		181,099
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		150,000		152,050
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.05% due 01/09/2020*		62,000		62,547

281

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Trucking/Leasing (continued)
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.38% due 02/01/2022*	$	69,000	$	67,437
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.25% due 01/17/2023*		15,000		15,296
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		1,060,000		1,126,408
				1,604,837
Wire & Cable Products — 0.0%
Belden, Inc. Company Guar. Notes 5.25% due 07/15/2024*		96,000		88,800
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		87,000		73,950
				162,750
Total U.S. Corporate Bonds & Notes (cost $301,790,855)				300,231,345
FOREIGN CORPORATE BONDS & NOTES — 5.3%
Agricultural Chemicals — 0.1%
Agrium, Inc. Senior Notes 3.38% due 03/15/2025		295,000		279,288
Agrium, Inc. Senior Notes 4.90% due 06/01/2043		200,000		195,163
Agrium, Inc. Senior Notes 7.70% due 02/01/2017		100,000		107,038
				581,489
Airlines — 0.0%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		80,000		83,808
Auto-Cars/Light Trucks — 0.0%
Hyundai Capital Services, Inc. Senior Notes 4.38% due 07/27/2016*		252,000		258,314
Volkswagen International Finance NV Company Guar. Notes 2.38% due 03/22/2017*		114,000		112,336
				370,650
Banks-Commercial — 1.1%
Abbey National Treasury Services PLC Company Guar. Notes 2.35% due 09/10/2019		1,175,000		1,189,266

Security Description	Principal Amount(19)		Value (Note 2)
Banks-Commercial (continued)
ANZ New Zealand Int'l, Ltd. Company Guar. Notes 1.13% due 03/24/2016*	$	487,000	$	488,242
Bank of Tokyo-Mitsubishi UFJ, Ltd. Senior Notes 1.45% due 09/08/2017*		247,000		245,340
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		2,240,000		2,422,441
Barclays Bank PLC VRS Sub. Notes 7.75% due 04/10/2023		200,000		214,250
BPCE SA Company Guar. Notes 4.00% due 04/15/2024		600,000		623,457
BPCE SA Sub. Notes 4.50% due 03/15/2025*		248,000		238,661
BPCE SA Sub. Notes 5.15% due 07/21/2024*		780,000		792,779
BPCE SA Sub. Notes 5.70% due 10/22/2023*		725,000		764,478
Credit Suisse Senior Notes 1.38% due 05/26/2017		740,000		739,326
Credit Suisse Senior Notes 1.70% due 04/27/2018		188,000		187,260
Credit Suisse AG FRS Sub. Notes 5.75% due 09/18/2025	EUR	260,000		321,591
Credit Suisse New York Senior Notes 3.00% due 10/29/2021		300,000		300,619
Credit Suisse New York Sub. Notes 5.40% due 01/14/2020		193,000		213,944
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		260,000		261,558
Industrial & Commercial Bank of China, Ltd. Sub. Notes 4.88% due 09/21/2025*		905,000		890,187
Kookmin Bank Senior Notes 1.63% due 07/14/2017*		606,000		605,452
National Bank of Canada Company Guar. Notes 1.45% due 11/07/2017		389,000		388,618
Rabobank Nederland Bank Guar. Notes 5.25% due 08/04/2045		815,000		824,773

282

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Santander UK Group Holdings PLC Sub. Notes 4.75% due 09/15/2025*	$	735,000	$	728,851
Standard Chartered PLC Senior Notes 2.25% due 04/17/2020*		297,000		295,026
Sumitomo Mitsui Banking Corp. Company Guar. Notes 1.45% due 07/19/2016		575,000		577,141
				13,313,260
Banks-Export/Import — 0.1%
Export-Import Bank of China/The via Avi Funding Co., Ltd. Senior Notes 2.85% due 09/16/2020*		905,000		899,548
Banks-Money Center — 0.1%
Mizuho Bank, Ltd. Company Guar. Notes 2.45% due 04/16/2019*		590,000		594,008
Mizuho Bank, Ltd. Company Guar. Notes 3.75% due 04/16/2024*		875,000		897,566
				1,491,574
Beverages-Non-alcoholic — 0.0%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		294,000		296,176
Beverages-Wine/Spirits — 0.0%
Diageo Capital PLC Company Guar. Notes 5.75% due 10/23/2017		207,000		224,869
Building Products-Cement — 0.1%
Cemex SAB de CV Senior Sec. Notes 4.38% due 03/05/2023	EUR	125,000		125,708
Cemex SAB de CV Senior Sec. Notes 4.38% due 03/05/2023*	EUR	190,000		191,075
West China Cement, Ltd. Company Guar. Notes 6.50% due 09/11/2019		250,000		243,748
				560,531
Building-Residential/Commercial — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*		108,000		104,760
Cable/Satellite TV — 0.1%
Altice SA Company Guar. Notes 7.75% due 05/15/2022*		200,000		182,000

Security Description	Principal Amount(19)		Value (Note 2)
Cable/Satellite TV (continued)
British Sky Broadcasting Group PLC Company Guar. Notes 2.63% due 09/16/2019*	$	765,000	$	769,800
British Sky Broadcasting Group PLC Company Guar. Notes 6.10% due 02/15/2018*		200,000		218,493
				1,170,293
Cellular Telecom — 0.1%
America Movil SAB de CV Company Guar. Notes 2.38% due 09/08/2016		340,000		343,373
Digicel Group, Ltd. Senior Notes 7.13% due 04/01/2022		525,000		452,812
				796,185
Chemicals-Diversified — 0.0%
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		70,000		65,800
Chemicals-Plastics — 0.0%
Mexichem SAB de CV Company Guar. Notes 5.88% due 09/17/2044*		207,000		174,915
Consumer Products-Misc. — 0.0%
Kimberly-Clark de Mexico SAB de CV Senior Notes 3.25% due 03/12/2025*		180,000		173,968
Cruise Lines — 0.0%
Viking Cruises, Ltd. Senior Notes 6.25% due 05/15/2025*		100,000		97,750
Diversified Banking Institutions — 0.9%
BNP Paribas SA Senior Notes 2.38% due 09/14/2017		915,000		928,778
BNP Paribas SA Company Guar. Notes 2.40% due 12/12/2018		190,000		192,552
BNP Paribas SA Company Guar. Notes 3.25% due 03/03/2023		250,000		251,662
Credit Agricole SA Sub. Notes 4.38% due 03/17/2025*		515,000		497,300
Credit Agricole SA FRS Sub. Notes 8.13% due 09/19/2033*		225,000		245,745
Credit Suisse Group Guernsey I, Ltd. FRS Company Guar. Notes 7.88% due 02/24/2041		230,000		236,831

283

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Deutsche Bank AG Senior Notes 1.35% due 05/30/2017	$	1,225,000	$	1,218,018
Deutsche Bank AG Senior Notes 1.88% due 02/13/2018		618,000		616,294
Deutsche Bank AG Sub. Notes 4.50% due 04/01/2025		1,215,000		1,177,181
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		1,405,000		1,384,481
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		200,000		221,460
HSBC Holdings PLC Sub. Notes 5.25% due 03/14/2044		235,000		238,439
HSBC Holdings PLC Sub. Notes 6.80% due 06/01/2038		1,550,000		1,896,310
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022		505,000		544,879
Royal Bank of Scotland Group PLC Sub. Notes 5.13% due 05/28/2024		195,000		196,549
UBS AG Senior Notes 1.80% due 03/26/2018		386,000		385,804
UBS AG Sub. Notes 5.88% due 07/15/2016		535,000		553,815
				10,786,098
Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Luxembourg Finance SA Company Guar. Notes 4.65% due 11/01/2044		75,000		71,167
Siemens Financieringsmaatschappij NV Company Guar. Notes 4.40% due 05/27/2045*		265,000		271,227
				342,394
Diversified Minerals — 0.1%
Anglo American Capital PLC Company Guar. Notes 4.13% due 04/15/2021*		218,000		185,753
Anglo American Capital PLC Company Guar. Notes 4.88% due 05/14/2025*		83,000		66,465

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Minerals (continued)
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 6.88% due 04/01/2022*	$	64,000	$	41,280
FMG Resources August 2006 Pty, Ltd. Senior Sec. Notes 9.75% due 03/01/2022*		55,000		51,219
Teck Resources, Ltd. Company Guar. Notes 2.50% due 02/01/2018		151,000		122,216
Xstrata Finance Canada, Ltd. Company Guar. Notes 3.60% due 01/15/2017*		150,000		139,416
				606,349
Diversified Operations — 0.1%
Hutchison Whampoa International 09/19, Ltd. Company Guar. Notes 5.75% due 09/11/2019*		230,000		258,380
Hutchison Whampoa International 11, Ltd. Company Guar. Notes 3.50% due 01/13/2017*		955,000		979,392
				1,237,772
E-Commerce/Products — 0.1%
Alibaba Group Holding, Ltd. Company Guar. Notes 3.13% due 11/28/2021		605,000		581,001
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		85,000		89,630
Electronic Components-Misc. — 0.0%
Flextronics International, Ltd. Company Guar. Notes 4.75% due 06/15/2025*		55,000		53,280
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 4.63% due 12/15/2018		9,000		9,168
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		64,000		64,640
				73,808
Gold Mining — 0.0%
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		125,000		115,703
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024		65,000		52,821
				168,524

284

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Insurance-Multi-line — 0.0%
XLIT, Ltd. Company Guar. Notes 4.45% due 03/31/2025	$	93,000	$	93,067
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045		208,000		195,771
				288,838
Internet Application Software — 0.0%
Tencent Holdings, Ltd. Senior Notes 2.88% due 02/11/2020*		525,000		521,063
Investment Management/Advisor Services — 0.0%
Intercorp Peru, Ltd. Senior Notes 5.88% due 02/12/2025*		55,000		52,250
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		133,000		133,333
Medical-Drugs — 0.1%
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037		315,000		407,155
Takeda Pharmaceutical Co., Ltd. Senior Notes 1.63% due 03/17/2017*		248,000		249,426
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		27,000		25,650
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*		71,000		67,849
				750,080
Medical-Generic Drugs — 0.5%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		3,925,000		3,940,618
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		1,238,000		1,239,084
Actavis Funding SCS Company Guar. Notes 3.85% due 06/15/2024		166,000		162,604
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		800,000		726,363
Perrigo Co. PLC Company Guar. Notes 1.30% due 11/08/2016		320,000		317,592
Perrigo Finance PLC Company Guar. Notes 3.50% due 12/15/2021		205,000		202,398
				6,588,659

Security Description	Principal Amount(19)		Value (Note 2)
Metal-Diversified — 0.1%
Glencore Canada Corp. Company Guar. Notes 6.00% due 10/15/2015	$	225,000	$	225,000
Rio Tinto Finance USA PLC Company Guar. Notes 1.38% due 06/17/2016		500,000		499,195
Vedanta Resources PLC Senior Notes 8.25% due 06/07/2021		205,000		143,586
				867,781
Non-Ferrous Metals — 0.1%
Corp Nacional del Cobre de Chile Senior Notes 4.50% due 09/16/2025*		1,665,000		1,599,439
Oil Companies-Exploration & Production — 0.4%
Baytex Energy Corp. Company Guar. Notes 5.13% due 06/01/2021*		15,000		11,925
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		80,000		63,200
Canadian Natural Resources, Ltd. Senior Notes 3.80% due 04/15/2024		500,000		462,381
Canadian Natural Resources, Ltd. Senior Notes 5.70% due 05/15/2017		400,000		422,126
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		400,000		398,446
CNPC General Capital, Ltd. Company Guar. Notes 2.75% due 04/19/2017*		450,000		455,987
CNPC HK Overseas Capital, Ltd. Company Guar. Notes 4.50% due 04/28/2021*		255,000		271,101
Encana Corp. Senior Notes 3.90% due 11/15/2021		1,025,000		944,321
Encana Corp. Senior Notes 5.15% due 11/15/2041		145,000		114,412
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		49,000		38,343
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		75,000		61,500
Nexen Energy ULC Company Guar. Notes 6.40% due 05/15/2037		355,000		417,530

285

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Nexen, Inc. Company Guar. Notes 6.20% due 07/30/2019	$	100,000	$	111,539
Talisman Energy, Inc. Senior Notes 5.50% due 05/15/2042		250,000		193,128
Zhaikmunai LLP Company Guar. Notes 7.13% due 11/13/2019		275,000		220,000
				4,185,939
Oil Companies-Integrated — 0.6%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017		25,000		24,962
BP Capital Markets PLC Company Guar. Notes 2.24% due 09/26/2018		1,350,000		1,368,623
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		30,000		30,407
BP Capital Markets PLC Company Guar. Notes 3.54% due 11/04/2024		122,000		121,052
BP Capital Markets PLC Company Guar. Notes 4.74% due 03/11/2021		95,000		105,097
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		850,000		799,246
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		525,000		458,045
Ecopetrol SA Senior Notes 5.88% due 05/28/2045		555,000		423,187
Petrobras Global Finance BV Company Guar. Notes 5.38% due 10/01/2029	GBP	450,000		414,131
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041		590,000		384,975
Petroleos de Venezuela SA Company Guar. Notes 9.75% due 05/17/2035		715,000		259,188
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		61,000		48,953
Petroleos Mexicanos Company Guar. Notes 7.47% due 11/12/2026	MXN	12,500,000		680,276
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020		152,000		152,157
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		675,000		667,475

Security Description	Principal Amount(19)		Value (Note 2)
Oil Companies-Integrated (continued)
Shell International Finance BV Company Guar. Notes 4.55% due 08/12/2043	$	300,000	$	301,877
Statoil ASA Company Guar. Notes 1.95% due 11/08/2018		1,030,000		1,036,440
Suncor Energy, Inc. Senior Notes 3.60% due 12/01/2024		300,000		297,431
				7,573,522
Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		100,000		95,500
Printing-Commercial — 0.0%
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022*		150,000		144,750
Real Estate Operations & Development — 0.0%
Agile Property Holdings, Ltd. Company Guar. Notes 8.88% due 04/28/2017		165,000		165,825
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		110,000		101,475
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		75,000		49,500
				150,975
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		46,000		41,975
Semiconductor Components-Integrated Circuits — 0.0%
TSMC Global, Ltd. Company Guar. Notes 1.63% due 04/03/2018*		450,000		445,920
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 7.00% due 02/25/2022		31,000		28,210
ArcelorMittal Senior Notes 7.50% due 03/01/2041		50,000		40,250
				68,460
Telecom Services — 0.0%
Virgin Media Secured Finance PLC Senior Sec. Notes 5.25% due 01/15/2026*		200,000		184,000
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Notes 3.13% due 04/11/2016*		250,000		252,850

286

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
Deutsche Telekom International Finance BV Company Guar. Notes 8.75% due 06/15/2030	$	420,000	$	600,464
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		315,000		341,775
Telefonos de Mexico SAB de CV Company Guar. Notes 5.50% due 11/15/2019		270,000		298,701
				1,493,790
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		490,000		499,420
Imperial Tobacco Finance PLC Company Guar. Notes 2.05% due 07/20/2018*		400,000		399,766
Imperial Tobacco Finance PLC Company Guar. Notes 2.95% due 07/21/2020*		1,050,000		1,056,239
Imperial Tobacco Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		310,000		312,936
				2,268,361
Transport-Rail — 0.3%
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037		285,000		327,003
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		165,000		173,304
Canadian Pacific Railway, Ltd. Senior Notes 4.50% due 01/15/2022		425,000		457,507
Kansas City Southern de Mexico SA de CV Senior Notes 3.00% due 05/15/2023		2,100,000		2,031,790
				2,989,604
Total Foreign Corporate Bonds & Notes (cost $66,328,378)				64,954,496
U.S. GOVERNMENT AGENCIES — 17.7%
Federal Home Loan Bank — 0.3%
0.38% due 06/24/2016 2,365,000 2,362,7321.88% due 12/09/2022		1,000,000		988,936
				3,351,668
Federal Home Loan Mtg. Corp. — 4.4%
0.88% due 03/07/2018		8,000,000		8,006,784
1.25% due 10/02/2019		1,272,000		1,269,423
1.89% due 02/01/2037 FRS		75,000		78,939
2.00% due 08/25/2016		8,055,000		8,169,921
2.38% due 01/13/2022		1,097,000		1,129,810
2.50% due 01/01/2028		223,347		229,940

Security Description	Principal Amount(19)		Value (Note 2)
2.50% due 04/01/2028	$	757,541	$	779,920
2.54% due 11/01/2037 FRS		463,757		494,867
3.00% due 08/01/2027		736,726		767,839
3.00% due 10/01/2042		405,832		412,530
3.00% due 11/01/2042		593,601		602,065
3.00% due 02/01/2043		1,300,246		1,319,425
3.00% due 04/01/2043		439,554		445,565
3.00% due 08/01/2043		1,753,747		1,777,756
3.00% due 07/01/2045		444,166		449,166
3.50% due 11/01/2041		463,650		484,304
3.50% due 03/01/2042		200,459		209,479
3.50% due 08/01/2042		1,094,890		1,144,591
3.50% due 09/01/2043		177,647		185,947
3.50% due 03/01/2045		1,357,149		1,413,773
3.50% due 07/01/2045		463,489		482,944
3.50% due 08/01/2045		609,161		635,807
3.50% due October TBA		6,000,000		6,242,813
3.75% due 03/27/2019		796,000		866,464
4.00% due 10/01/2043		988,817		1,054,013
4.00% due October TBA		2,700,000		2,874,160
4.50% due 01/01/2039		20,253		21,940
4.50% due October TBA		2,600,000		2,813,687
5.00% due 11/01/2043		749,999		826,343
5.00% due October TBA		2,000,000		2,190,938
5.50% due 01/01/2036		350,188		393,175
6.00% due 03/01/2040		26,043		29,434
6.25% due 07/15/2032		206,000		291,032
6.75% due 03/15/2031		100,000		146,086
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN2, Class M2 1.84% due 04/25/2024(1)		535,000		530,693
Series 2014-HQ1, Class M1 1.84% due 08/25/2024(1)		384,483		385,777
Series 2015-DNA1, Class M2 2.04% due 10/25/2027(1)		460,000		457,766
Series 2014-DN1, Class M2 2.39% due 02/25/2024		867,000		873,230
Series 2014-DN4, Class M2 2.59% due 10/25/2024		380,000		382,896
Series 2015-DN1, Class M2 2.59% due 01/25/2025(1)		530,000		536,421
Series 2015-DNA2, Class M2 2.79% due 12/25/2027(1)		680,000		685,709
Series 2015-HQA1, Class M2 2.84% due 03/25/2028(1)		1,135,000		1,134,999
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(1)		33,959		34,307
Federal Home Loan Mtg. Corp., Structured Pass Through Certs VRS Series K701, Class X1 0.41% due 11/25/2017(3)(4)		2,297,674		11,309
Series K013, Class X1 0.81% due 01/25/2021(3)(4)		2,315,022		58,084

287

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Freddie Mac Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.08% due 10/25/2047*(3)	$	730,000	$	742,527
Series 2012-K19, Class B 4.18% due 05/25/2045*(3)		20,037		21,337
				54,095,935
Federal National Mtg. Assoc. — 11.4%
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C01, Class M1 1.79% due 01/25/2024(1)		697,976		700,431
Series 2014-C02, Class 2M2 2.79% due 05/25/2024(1)		60,000		53,897
Series 2014-C03, Class 2M2 3.09% due 07/25/2024(1)		255,000		231,395
Series 2014-C03, Class 1M2 3.19% due 07/25/2024(1)		345,000		312,067
Series 2014-C04, Class 1M2 5.09% due 11/25/2024(1)		150,000		150,469
Federal National Mtg. Assoc. zero coupon due 10/09/2019		7,452,000		6,920,151
0.88% due 10/26/2017		1,700,000		1,705,098
0.88% due 05/21/2018		5,955,000		5,951,421
1.63% due 10/26/2015		750,000		750,749
2.01% due 09/01/2035 FRS		426,961		447,529
2.23% due 05/01/2037 FRS		124,895		131,703
2.32% due 05/01/2040 FRS		460,727		490,974
2.35% due 07/01/2039 FRS		320,402		337,935
2.38% due 04/11/2016		1,245,000		1,258,885
2.42% due 10/01/2035 FRS		437,191		465,374
2.50% due 11/01/2036 FRS		204,140		218,117
2.50% due 04/01/2028		484,744		498,806
2.50% due October TBA		5,400,000		5,402,106
2.59% due 10/01/2040 FRS		128,880		136,838
2.61% due 08/01/2035 FRS		257,971		275,601
2.63% due 09/06/2024		2,025,000		2,073,709
2.64% due 03/01/2027		307,269		302,992
2.78% due 03/01/2027		593,000		589,305
2.97% due October TBA		2,325,000		2,329,639
3.00% due 10/01/2027		747,380		781,872
3.00% due 11/01/2027		283,513		296,583
3.00% due 03/01/2042		719,135		731,886
3.00% due 12/01/2042		209,070		212,600
3.00% due 05/01/2043		546,583		555,646
3.00% due 02/01/2045		485,013		492,031
3.00% due October TBA		9,417,000		9,635,579
3.03% due 10/01/2040 FRS		252,360		268,429
3.13% due 02/01/2027		402,000		411,357
3.50% due 08/01/2026		301,932		319,463
3.50% due 09/01/2026		372,286		394,830
3.50% due 08/01/2027		83,551		88,321
3.50% due 10/01/2028		118,230		125,783
3.50% due 03/01/2042		481,764		503,847
3.50% due 06/01/2042		326,525		341,344
3.50% due 07/01/2042		85,421		88,239
3.50% due 08/01/2042		1,178,718		1,228,530

Security Description	Principal Amount(19)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
3.50% due 08/01/2043	$	816,039	$	852,886
3.50% due October TBA		52,523,000		54,806,715
4.00% due 06/01/2039		236,707		256,903
4.00% due 10/01/2040		308,475		329,736
4.00% due 11/01/2040		448,524		479,324
4.00% due 10/01/2041		385,949		412,738
4.00% due 11/01/2041		401,984		429,294
4.00% due 10/01/2043		114,870		123,007
4.00% due 11/01/2043		364,075		388,616
4.00% due 12/01/2043		424,234		459,164
4.00% due 10/01/2044		1,217,260		1,300,022
4.00% due 11/01/2044		433,968		463,631
4.00% due October TBA		7,400,000		7,869,291
4.50% due 10/01/2024		84,067		88,619
4.50% due 01/01/2039		23,246		25,237
4.50% due 06/01/2039		290,730		318,205
4.50% due 09/01/2039		201,083		218,458
4.50% due 05/01/2041		221,324		240,609
4.50% due 07/01/2041		135,889		147,799
4.50% due 03/01/2042		555,318		603,564
4.50% due October TBA		9,236,000		10,011,968
5.00% due 03/15/2016		55,000		56,194
5.00% due 05/01/2040		364,228		401,105
5.00% due 06/01/2040		47,430		52,376
5.00% due 07/01/2040		872,181		962,936
5.00% due October TBA		970,000		1,068,762
5.50% due 12/01/2029		72,623		81,022
5.50% due 08/01/2037		262,752		293,067
5.50% due 06/01/2038		182,640		205,453
5.50% due October TBA		1,900,000		2,122,248
6.00% due 11/01/2038		20,756		23,430
6.00% due 06/01/2040		168,103		189,664
6.50% due 10/01/2037		2,047		2,339
6.63% due 11/15/2030		871,000		1,257,559
7.25% due 05/15/2030		2,260,000		3,412,390
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(1)		680,798		680,792
				138,846,654
Government National Mtg. Assoc. — 1.6%
3.00% due 02/20/2045		535,687		547,447
3.00% due 05/20/2045		399,566		408,338
3.00% due 07/20/2045		2,393,313		2,445,855
3.00% due October TBA		446,000		455,120
3.50% due 03/20/2045		425,066		446,077
3.50% due 04/20/2045		646,727		678,694
3.50% due 10/21/2045		3,699,000		3,871,253
4.00% due 03/15/2039		200,205		213,573
4.00% due 04/15/2039		16,733		17,846
4.00% due 05/15/2039		69,290		73,919
4.00% due 08/15/2039		20,873		22,303
4.00% due 10/15/2039		73,186		78,074
4.00% due 03/15/2040		72,623		77,622
4.00% due 09/15/2040		43,361		46,265
4.00% due 10/15/2040		44,325		47,324
4.00% due 12/15/2040		30,523		32,616

288

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
4.00% due 01/15/2041	$	36,071	$	38,563
4.00% due 02/15/2041		21,256		22,671
4.00% due 06/15/2041		194,793		209,005
4.00% due 07/15/2041		70,192		74,931
4.00% due 08/15/2041		585,522		626,076
4.00% due 09/15/2041		132,354		141,372
4.00% due 10/15/2041		243,339		260,011
4.00% due 11/15/2041		253,553		270,547
4.00% due 12/15/2041		266,401		284,133
4.00% due 01/15/2042		63,906		68,157
4.00% due 02/15/2042		20,733		22,144
4.00% due 03/15/2042		153,814		164,053
4.00% due 04/15/2042		11,941		12,737
4.00% due 03/20/2044		306,578		327,486
4.50% due 04/15/2018		16,766		17,404
4.50% due 05/15/2018		102,846		106,275
4.50% due 08/15/2018		5,768		5,972
4.50% due 09/15/2018		57,515		59,487
4.50% due 10/15/2018		232,431		241,272
4.50% due 09/15/2033		92,772		101,498
4.50% due 03/15/2039		159,182		173,068
4.50% due 05/15/2039		99,100		107,592
4.50% due 07/15/2039		59,493		64,675
4.50% due 10/15/2039		219,891		239,252
4.50% due 11/15/2039		5,443		5,906
4.50% due 01/15/2040		76,656		83,400
4.50% due 02/15/2040		104,754		114,298
4.50% due 03/15/2040		74,591		81,212
4.50% due 04/15/2040		4,196		4,550
4.50% due 05/15/2040		17,415		18,881
4.50% due 07/15/2040		59,700		65,647
4.50% due 04/15/2041		30,008		32,534
4.50% due 05/15/2041		202,264		221,408
4.50% due 06/15/2041		36,550		40,075
4.50% due 07/15/2041		194,981		211,643
4.50% due 08/15/2041		170,542		185,081
5.00% due 06/15/2033		4,669		5,211
5.00% due 08/15/2033		29,055		32,485
5.00% due 09/15/2033		57,073		63,902
5.00% due 10/15/2033		32,786		36,612
5.00% due 11/15/2033		6,225		7,008
5.00% due 06/15/2034		128,270		143,657
5.00% due 05/15/2035		4,547		5,068
5.00% due 09/15/2035		4,114		4,608
5.00% due 11/15/2035		173,331		192,206
5.00% due 02/15/2036		74,511		82,648
5.00% due 02/20/2036		236,374		262,204
5.00% due 03/15/2036		27,303		30,036
5.00% due 05/15/2036		91,862		102,742
5.00% due 06/15/2036		45,084		49,618
5.00% due 08/15/2036		2,983		3,283
5.00% due 08/15/2038		357,357		394,128
5.50% due 02/15/2032		3,782		4,232
5.50% due 03/15/2032		7,279		8,278
5.50% due 12/15/2032		7,105		8,136
5.50% due 01/15/2033		3,947		4,498

Security Description	Principal Amount(19)		Value (Note 2)
Government National Mtg. Assoc. (continued)
5.50% due 02/15/2033	$	23,029	$	26,020
5.50% due 03/15/2033		100,556		114,167
5.50% due 04/15/2033		86,311		98,086
5.50% due 05/15/2033		718		720
5.50% due 06/15/2033		96,039		108,828
5.50% due 07/15/2033		343,959		388,492
5.50% due 08/15/2033		67,761		77,031
5.50% due 09/15/2033		12,480		14,209
5.50% due 11/15/2033		71,810		80,410
5.50% due 12/15/2033		3,769		4,261
5.50% due 01/15/2034		143,566		163,502
5.50% due 02/15/2034		56,416		63,159
6.00% due 04/15/2028		170,263		196,591
6.00% due 01/15/2029		27,627		31,040
6.00% due 03/15/2029		24,585		27,622
6.00% due 11/15/2031		12,893		14,485
6.00% due 12/15/2031		20,619		23,454
6.00% due 04/15/2032		21,694		25,059
6.00% due 09/15/2032		17,795		20,567
6.00% due 10/15/2032		90,930		105,041
6.00% due 11/15/2032		28,827		33,214
6.00% due 01/15/2033		4,316		4,985
6.00% due 02/15/2033		43,537		49,773
6.00% due 03/15/2033		15,166		17,112
6.00% due 09/15/2033		21,779		24,470
6.00% due 01/15/2034		188,158		211,404
6.00% due 03/15/2034		17,220		19,347
6.00% due 05/15/2034		6,540		7,348
6.00% due 07/15/2034		16,189		18,650
6.00% due 08/15/2034		191,976		221,776
6.00% due 09/15/2034		17,351		19,838
6.00% due 11/15/2034		75,129		84,410
6.00% due 03/15/2035		53,779		60,783
6.00% due 08/15/2035		131,635		149,374
6.00% due 01/15/2036		46,952		52,970
6.00% due 02/15/2036		39,805		44,723
6.00% due 04/15/2036		127,653		145,946
6.00% due 05/15/2036		47,030		53,677
6.00% due 06/15/2036		127,383		146,788
6.00% due 07/15/2036		10,289		11,560
6.00% due 08/15/2036		104,427		117,924
6.00% due 09/15/2036		84,535		94,979
6.00% due 10/15/2036		203,820		231,599
6.00% due 11/15/2036		82,568		92,768
6.00% due 12/15/2036		15,707		17,970
6.50% due 09/15/2028		5,892		6,756
6.50% due 09/15/2031		11,614		13,345
6.50% due 10/15/2031		6,360		7,293
6.50% due 11/15/2031		2,602		2,983
6.50% due 12/15/2031		6,700		7,682
7.50% due 09/15/2030		21,794		22,499
				19,182,592

289

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018	$	105,000	$	107,049
4.25% due 09/15/2065		86,000		86,428
				193,477
Total U.S. Government Agencies (cost $213,097,421)				215,670,326
U.S. GOVERNMENT TREASURIES — 38.4%
United States Treasury Bonds — 6.8%
2.50% due 02/15/2045		12,569,000		11,571,009
2.75% due 08/15/2042		5,928,000		5,779,954
2.75% due 11/15/2042		1,812,000		1,764,152
2.88% due 05/15/2043		5,218,000		5,201,287
2.88% due 08/15/2045		1,428,000		1,427,293
3.00% due 11/15/2044		3,061,000		3,125,807
3.00% due 05/15/2045		1,368,000		1,399,955
3.13% due 11/15/2041		1,919,000		2,023,545
3.13% due 02/15/2042		547,000		575,675
3.13% due 02/15/2043		1,770,000		1,853,615
3.13% due 08/15/2044		1,728,000		1,808,551
3.38% due 05/15/2044		869,000		953,750
3.50% due 02/15/2039		1,764,000		1,989,737
3.63% due 08/15/2043		3,158,000		3,634,662
3.63% due 02/15/2044		3,144,000		3,615,518
3.75% due 08/15/2041		427,000		501,191
3.88% due 08/15/2040		1,626,000		1,936,634
4.25% due 05/15/2039		67,000		84,441
4.25% due 11/15/2040		1,100,000		1,386,802
4.38% due 02/15/2038		1,183,000		1,521,265
4.38% due 11/15/2039		1,271,000		1,630,918
4.38% due 05/15/2040		953,000		1,223,091
4.50% due 02/15/2036		1,604,000		2,103,203
4.63% due 02/15/2040		1,187,000		1,577,381
4.75% due 02/15/2041		1,123,000		1,523,010
5.25% due 11/15/2028		1,297,000		1,735,750
5.25% due 02/15/2029		1,966,000		2,639,304
5.38% due 02/15/2031		853,000		1,183,827
6.13% due 11/15/2027		544,000		771,984
6.25% due 08/15/2023		1,613,000		2,133,151
6.38% due 08/15/2027		1,217,000		1,753,399
6.75% due 08/15/2026		377,000		547,700
7.88% due 02/15/2021		1,267,000		1,685,373
8.13% due 08/15/2019		39,000		49,301
8.13% due 05/15/2021		13,000		17,616
8.75% due 05/15/2017		1,725,000		1,952,978
8.75% due 05/15/2020		1,035,000		1,378,585
8.75% due 08/15/2020		1,389,000		1,872,039
9.00% due 11/15/2018		3,770,000		4,698,902
9.13% due 05/15/2018		32,000		38,933
				82,671,288
United States Treasury Notes — 31.6%
0.13% due 04/15/2018 TIPS(12)		463,557		463,019
0.25% due 10/31/2015		143,000		143,006
0.25% due 01/15/2025 TIPS(12)		19,814,454		18,991,698

Security Description	Principal Amount(19)		Value (Note 2)
United States Treasury Notes (continued)
0.38% due 01/31/2016	$	5,371,000	$	5,376,038
0.38% due 03/15/2016		1,813,000		1,814,818
0.38% due 07/15/2025 TIPS(12)		19,905,999		19,390,473
0.50% due 03/31/2017		2,500,000		2,499,578
0.50% due 04/30/2017		1,000,000		999,245
0.50% due 07/31/2017		3,421,000		3,414,675
0.63% due 05/31/2017		4,793,000		4,796,556
0.63% due 07/31/2017		560,000		560,212
0.63% due 08/31/2017		12,809,000		12,808,501
0.63% due 11/30/2017		4,916,000		4,907,038
0.63% due 04/30/2018		2,441,000		2,428,478
0.75% due 06/30/2017		10,430,000		10,458,651
0.75% due 12/31/2017		50,000		50,021
0.88% due 11/30/2016		10,404,000		10,456,696
0.88% due 01/31/2017		10,928,000		10,984,629
0.88% due 02/28/2017		4,356,000		4,378,573
0.88% due 07/31/2019		4,664,000		4,612,379
1.00% due 08/31/2016		13,077,000		13,150,048
1.00% due 09/30/2016		10,153,000		10,214,476
1.00% due 10/31/2016		6,506,000		6,547,677
1.00% due 03/31/2017		6,007,000		6,050,803
1.00% due 06/30/2019		6,919,000		6,884,945
1.13% due 05/31/2019		5,211,000		5,211,610
1.13% due 12/31/2019		1,985,000		1,973,576
1.25% due 11/30/2018		6,968,000		7,023,890
1.25% due 01/31/2019		18,191,000		18,311,806
1.25% due 02/29/2020		7,778,000		7,762,405
1.38% due 07/31/2018		1,587,000		1,608,263
1.38% due 09/30/2018		7,787,000		7,887,787
1.38% due 12/31/2018		3,941,000		3,985,541
1.38% due 02/28/2019		6,215,000		6,278,847
1.38% due 03/31/2020		722,000		724,181
1.38% due 04/30/2020		261,000		261,693
1.38% due 05/31/2020		4,553,000		4,561,182
1.50% due 08/31/2018		4,979,000		5,063,409
1.50% due 01/31/2022		13,912,000		13,756,213
1.63% due 07/31/2020		500,000		506,107
1.63% due 08/15/2022		9,967,000		9,882,639
1.63% due 11/15/2022		8,502,000		8,419,633
1.75% due 10/31/2020		3,843,000		3,903,047
1.75% due 05/15/2022		4,641,000		4,648,008
1.75% due 05/15/2023		18,737,000		18,577,436
1.88% due 08/31/2017		3,079,000		3,150,922
1.88% due 10/31/2017		984,000		1,008,139
2.00% due 01/31/2016		1,737,000		1,747,992
2.00% due 05/31/2021		3,075,000		3,148,431
2.00% due 11/15/2021		4,434,000		4,524,760
2.00% due 07/31/2022		87,000		88,493
2.00% due 02/15/2023		4,961,000		5,026,500
2.00% due 02/15/2025		2,549,000		2,539,044
2.00% due 08/15/2025		7,114,000		7,076,395
2.13% due 12/31/2015		159,000		159,814
2.13% due 06/30/2021		6,094,000		6,278,246
2.13% due 08/15/2021		7,667,000		7,891,620
2.13% due 06/30/2022		950,000		974,740
2.13% due 05/15/2025		3,018,000		3,036,156

290

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
2.25% due 11/15/2024	$	4,164,000	$	4,241,859
2.38% due 05/31/2018		4,163,000		4,331,256
2.38% due 08/15/2024		5,657,000		5,826,416
2.50% due 08/15/2023		6,555,000		6,851,509
2.50% due 05/15/2024		478,000		497,904
2.63% due 04/30/2016		4,372,000		4,432,740
2.63% due 08/15/2020		922,000		975,747
2.63% due 11/15/2020		2,646,000		2,798,007
2.75% due 12/31/2017		318,000		332,236
2.75% due 02/15/2019		1,649,000		1,740,983
3.13% due 05/15/2019		2,092,000		2,240,511
3.13% due 05/15/2021		7,000		7,590
3.38% due 11/15/2019		816,000		886,316
3.50% due 05/15/2020		699,000		766,288
3.63% due 08/15/2019		19,000		20,751
3.63% due 02/15/2020		3,814,000		4,189,988
3.63% due 02/15/2021		3,869,000		4,292,725
4.00% due 08/15/2018		29,000		31,578
4.25% due 11/15/2017		69,000		74,157
4.50% due 05/15/2017		30,000		31,909
				383,951,228
Total U.S. Government Treasuries (cost $457,012,340)				466,622,516
MUNICIPAL BONDS & NOTES — 0.5%
Bay Area Toll Authority Revenue Bonds Series F-2 6.26% due 04/01/2049		325,000		432,897
California State Public Works Board Revenue Bonds Series G2 8.36% due 10/01/2034		125,000		178,492
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		690,000		773,014
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		90,000		100,823
Metropolitan Transportation Authority Revenue Bonds Series A2 6.09% due 11/15/2040		130,000		165,048
New Jersey Turnpike Authority Revenue Bonds Series F 7.41% due 01/01/2040		125,000		173,835
New York State Dormitory Authority Revenue Bonds Series F 5.63% due 03/15/2039		30,000		35,905

Security Description	Principal Amount(19)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111	$	258,000	$	252,154
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		190,000		183,848
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		185,000		199,027
Port Authority of New York & New Jersey Revenue Bonds Series 158 5.86% due 12/01/2024		150,000		183,604
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		1,675,000		519,250
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039		785,000		243,350
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058		290,000		89,900
State of California General Obligation Bonds 7.55% due 04/01/2039		590,000		849,836
State of California General Obligation Bonds 7.60% due 11/01/2040		155,000		226,841
State of California General Obligation Bonds 7.63% due 03/01/2040		310,000		444,813
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		295,000		276,356
University of California Revenue Bonds Series H 6.55% due 05/15/2048		450,000		579,703
Total Municipal Bonds & Notes (cost $6,264,831)				5,908,696

291

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
LOANS(7)(8)(13) — 1.9%
Advertising Services — 0.1%
Advantage Sales & Marketing, Inc. FRS 1st Lien 4.25% due 07/23/2021	$	526,137	$	518,903
Aerospace/Defense-Equipment — 0.1%
TransDigm, Inc. FRS BTL-E 3.50% due 05/16/2022		671,787		661,430
Applications Software — 0.0%
SS&C European Holdings SARL FRS BTL-B2 4.00% due 07/08/2022		23,902		23,928
SS&C Technologies, Inc. FRS BTL-B1 4.00% due 07/08/2022		155,604		155,771
Verint Systems, Inc. FRS BTL 3.50% due 09/06/2019		130,729		130,500
				310,199
Auto-Cars/Light Trucks — 0.0%
FCA US LLC FRS BTL-B 3.25% due 12/31/2018		221,625		219,520
Auto/Truck Parts & Equipment-Original — 0.0%
Tower Automotive Holdings USA, LLC FRS BTL 4.00% due 04/23/2020		111,533		110,046
Broadcast Services/Program — 0.0%
Univision Communications, Inc. FRS BTL-C4 4.00% due 03/01/2020		244,914		242,533
Building Products-Cement — 0.0%
Summit Materials LLC FRS BTL-B 7.25% due 07/18/2022		99,750		99,334
Cable/Satellite TV — 0.1%
CCO Safari III LLC FRS BTL 3.50% due 01/24/2023		200,000		198,625
CSC Holdings, Inc. FRS BTL 5.00% due 09/23/2022		230,000		228,234
Numericable US LLC FRS BTL-B1 4.50% due 05/21/2020		58,535		58,041
Numericable US LLC FRS BTL-B2 4.50% due 05/21/2020		50,640		50,213
Ziggo BV FRS BTL-B1 3.50% due 01/15/2022		129,425		127,214
Ziggo NV FRS BTL-B2 3.50% due 01/15/2022		83,404		81,979

Security Description	Principal Amount(19)		Value (Note 2)
Cable/Satellite TV (continued)
Ziggo NV FRS BTL-B3 3.50% due 01/15/2022	$	137,171	$	134,828
				879,134
Casino Hotels — 0.0%
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 1.50% due 03/01/2017(14)(21)		100,616		93,627
MGM Resorts International FRS BTL-B 3.50% due 12/20/2019		244,962		242,742
				336,369
Cellular Telecom — 0.0%
LTS Buyer LLC FRS 1st Lien 4.00% due 04/13/2020		167,084		163,742
Chemicals-Specialty — 0.0%
Chemours Co. FRS BTL-B 3.75% due 05/12/2022		144,638		125,593
Minerals Technologies, Inc. FRS Term Loan B 3.75% due 05/10/2021		95,551		94,835
				220,428
Coal — 0.0%
Arch Coal, Inc. FRS BTL-B 6.25% due 05/16/2018		244,948		136,355
Commercial Services — 0.1%
Brand Energy & Infrastructure Services, Inc. FRS BTL-B 4.75% due 11/26/2020		186,675		170,714
Brickman Group, Ltd. FRS 1st Lien 4.00% due 12/18/2020		196,506		193,477
ON Assignment, Inc. FRS BTL 3.75% due 06/03/2022		210,206		210,075
ServiceMaster Co. LLC FRS BTL-B 4.25% due 07/01/2021		443,245		443,165
				1,017,431
Commercial Services-Finance — 0.0%
Interactive Data Corp. FRS BTL 4.75% due 05/02/2021		98,750		98,454
TransUnion LLC FRS BTL-B2 3.50% due 04/09/2021		137,545		136,170
				234,624

292

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
LOANS(7)(8)(13) (continued)
Computers-Periphery Equipment — 0.0%
CDW LLC FRS BTL-B 3.25% due 04/29/2020	$	247,463	$	245,435
Containers-Metal/Glass — 0.0%
BWAY Holding Co. FRS BTL-B 5.50% due 08/14/2020		133,313		132,729
Owens-Illinois, Inc. BTL-B 3.50% due 09/01/2022		119,700		119,974
				252,703
Containers-Paper/Plastic — 0.1%
Berry Plastics Group, Inc. FRS BTL-E 3.75% due 01/06/2021		577,179		573,091
Coveris Holdings SA FRS BTL-B1 4.50% due 05/08/2019		119,008		118,859
				691,950
Data Processing/Management — 0.1%
First Data Corp. FRS BTL 3.69% due 03/23/2018		250,000		247,695
First Data Corp. FRS BTL 3.94% due 07/08/2022		530,000		526,290
				773,985
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. FRS BTL-B 4.75% due 06/30/2021		138,250		136,176
Direct Marketing — 0.0%
Acosta, Inc. FRS BTL 4.25% due 09/26/2021		129,027		127,543
Distribution/Wholesale — 0.0%
Beacon Roofing Supply, Inc. FRS BTL-B 4.25% due 10/01/2022		165,000		164,587
Univar, Inc. FRS BTL 4.25% due 07/01/2022		165,000		162,216
				326,803
Diversified Minerals — 0.1%
American Rock Salt Co. LLC FRS BTL 4.75% due 05/20/2021		124,370		122,474
American Rock Salt Co. LLC FRS 1st Lien 4.75% due 05/20/2021		177,750		176,269

Security Description	Principal Amount(19)		Value (Note 2)
Diversified Minerals (continued)
FMG Resources August 2006 Pty, Ltd. FRS BTL-B 3.75% due 06/30/2019	$	386,763	$	316,372
				615,115
Electric-Integrated — 0.0%
Texas Competitive Electric Holdings Co. LLC FRS 1st Lien DIP 3.75% due 05/05/2016(14)		155,198		154,907
Electronic Components-Semiconductors — 0.1%
Avago Technologies Cayman, Ltd. FRS BTL-B 3.75% due 05/06/2021		171,703		171,489
Freescale Semiconductor, Inc. FRS BTL-B4 4.25% due 02/28/2020		245,008		244,587
NXP BV FRS BTL-D 3.25% due 01/11/2020		186,200		185,641
				601,717
Entertainment Software — 0.0%
Activision Blizzard, Inc. FRS BTL-B 3.25% due 10/13/2020		186,875		186,719
Extended Service Contracts — 0.0%
Sedgwick Claims Management Services, Inc. FRS 1st Lien 3.75% due 03/01/2021		265,950		261,296
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 6.75% due 02/28/2022		125,000		116,875
				378,171
Food-Meat Products — 0.0%
JBS USA, LLC FRS BTL-B 1.50% due 09/19/2022		460,000		459,226
Food-Misc./Diversified — 0.0%
New HB Acquisition LLC FRS BTL 4.50% due 08/03/2022		135,000		135,041
Food-Retail — 0.0%
Albertsons LLC FRS BTL-B4 5.50% due 08/25/2021		178,682		178,702
Gambling (Non-Hotel) — 0.0%
Scientific Games International, Inc. FRS BTL-B2 6.00% due 10/01/2021		153,838		151,780

293

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
LOANS(7)(8)(13) (continued)
Hotels/Motels — 0.0%
La Quinta Intermediate Holdings LLC FRS BTL-B 3.75% due 04/14/2021	$	116,470	$	115,086
Independent Power Producers — 0.0%
Calpine Corp. FRS Delayed Draw 4.00% due 10/31/2020		127,725		127,337
NRG Energy, Inc. FRS BTL-B 2.75% due 07/01/2018		244,975		239,837
				367,174
Insurance Brokers — 0.1%
HUB International, Ltd. FRS BTL-B 4.00% due 10/02/2020		344,750		336,418
USI, Inc. FRS BTL-B 4.25% due 12/27/2019		329,160		325,320
				661,738
Insurance-Property/Casualty — 0.1%
Asurion LLC FRS BTL-B2 4.25% due 07/08/2020		318,484		298,897
Asurion LLC FRS 2nd Lien 8.50% due 03/03/2021		305,000		274,424
				573,321
Internet Connectivity Services — 0.0%
Zayo Group LLC FRS BTL-B 3.75% due 05/06/2021		489,951		486,583
Investment Management/Advisor Services — 0.1%
SAM Finance Lux Sarl FRS BTL 4.25% due 12/17/2020		566,423		566,954
Leisure Games — 0.0%
Aristocrat International Pty, Ltd. FRS BTL-B 4.75% due 10/20/2021		131,885		131,885
Machinery-General Industrial — 0.1%
Gardner Denver, Inc. FRS BTL 4.25% due 07/30/2020		245,000		231,389
RBS Global, Inc. FRS 1st Lien 4.00% due 08/21/2020		343,000		339,876
				571,265
Medical Labs & Testing Services — 0.0%
American Renal Holdings, Inc. FRS 1st Lien 4.50% due 08/20/2019		192,529		191,166

Security Description	Principal Amount(19)		Value (Note 2)
Medical-Biomedical/Gene — 0.0%
Medpace Holdings, Inc. FRS 1st Lien 4.75% due 04/01/2021	$	83,019	$	82,535
Medical-Drugs — 0.1%
Endo Luxembourg Finance Co. FRS BTL-B 3.75% due 09/26/2022		365,000		363,631
PRA Holdings, Inc. FRS 1st Lien 4.50% due 09/23/2020		166,444		166,117
Valeant Pharmaceuticals International, Inc. FRS BTL-B 4.00% due 04/01/2022		114,425		113,081
				642,829
Medical-Hospitals — 0.0%
CHS/Community Health Systems, Inc. FRS BTL-G 3.75% due 12/31/2019		36,419		36,363
CHS/Community Health Systems, Inc. FRS BTL-H 4.00% due 01/27/2021		172,717		172,765
				209,128
Metal Processors & Fabrication — 0.1%
AFGlobal Corp FRS 1st Lien 5.00% due 12/19/2019		98,008		66,645
Crosby US Acquisition Corp. FRS 1st Lien 3.75% due 11/23/2020		535,463		463,175
				529,820
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.25% due 07/06/2021		178,200		168,733
Oil & Gas Drilling — 0.0%
Paragon Offshore Finance Co. FRS BTL-B 3.75% due 07/16/2021		99,000		36,960
Seadrill Operating LP FRS BTL-B 4.00% due 02/21/2021		216,396		131,461
				168,421
Oil Companies-Exploration & Production — 0.0%
American Energy-Marcellus LLC FRS 1st Lien 5.25% due 08/04/2020		100,000		56,000

294

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
LOANS(7)(8)(13) (continued)
Oil Companies-Exploration & Production (continued)
Templar Energy LLC FRS 2nd Lien 8.50% due 11/25/2020	$	100,000	$	44,500
				100,500
Oil Companies-Integrated — 0.0%
Power Buyer LLC FRS BTL 4.25% due 05/06/2020		249,395		246,277
Oil Refining & Marketing — 0.0%
Western Refining, Inc. FRS BTL-B 4.25% due 11/12/2020		117,900		116,868
Pipelines — 0.0%
Energy Transfer Equity LP FRS BTL 3.25% due 12/02/2019		280,500		270,402
Professional Sports — 0.1%
Delta 2 Lux Sarl FRS BTL-B3 4.75% due 07/30/2021		400,000		394,357
Delta 2 Lux Sarl FRS 2nd Lien 7.75% due 07/29/2022		120,000		115,200
				509,557
Real Estate Investment Trusts — 0.0%
Crown Castle Operating Co. FRS BTL-B2 3.00% due 01/31/2021		191,588		190,953
Real Estate Management/Services — 0.0%
DTZ U.S. Borrower LLC FRS 1st Lien 4.25% due 11/04/2021		249,375		246,725
Recreational Centers — 0.0%
Town Sports International LLC FRS BTL-B 4.50% due 11/15/2020		178,862		107,317
Research & Development — 0.0%
Pharmaceutical Product Development LLC FRS BTL-B 4.25% due 08/18/2022		209,475		207,599
Retail-Apparel/Shoe — 0.0%
Kate Spade & Co. FRS BTL-B 4.00% due 04/09/2021		183,150		181,490
Retail-Arts & Crafts — 0.0%
Michaels Stores, Inc. FRS BTL-B2 4.00% due 01/28/2020		99,000		98,918

Security Description	Principal Amount(19)		Value (Note 2)
Retail-Bedding — 0.0%
Serta Simmons Bedding LLC FRS BTL 4.25% due 10/01/2019	$	190,315	$	190,244
Retail-Consumer Discretionary — 0.0%
Party City Holdings Inc. 2015 FRS BTL-B 4.25% due 08/19/2022		286,000		285,404
Retail-Discount — 0.1%
BJ's Wholesale Club, Inc. FRS 1st Lien 4.50% due 09/26/2019		619,508		615,566
Retail-Office Supplies — 0.0%
Staples, Inc. Term Loan FRS BTL-B 3.50% due 04/23/2021		145,000		144,329
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc. FRS BTL-B 4.25% due 03/11/2022		463,838		462,823
Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL 4.00% due 06/05/2020		154,225		153,390
Satellite Telecom — 0.1%
Intelsat Jackson Holdings SA FRS BTL-B2 3.75% due 06/30/2019		532,591		518,876
Specified Purpose Acquisitions — 0.0%
Opal Acquisition, Inc. FRS 1st Lien 5.00% due 11/27/2020		307,159		300,555
Steel-Specialty — 0.0%
Signode Industrial Group US, Inc. FRS BTL-B 3.75% due 05/01/2021		105,796		104,507
Telecom Services — 0.0%
Altice Financing SA FRS BTL 5.25% due 02/04/2022		109,725		109,771
Telecommunication Equipment — 0.0%
CommScope Finance LLC FRS BTL-B 3.75% due 12/29/2022		120,000		119,663
Telephone-Integrated — 0.1%
Level 3 Financing, Inc. FRS BTL-B2 3.50% due 05/31/2022		425,000		421,724
Level 3 Financing, Inc. FRS BTL-B 4.00% due 01/15/2020		200,000		199,350
				621,074

295

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
LOANS(7)(8)(13) (continued)
Television — 0.1%
ION Media Networks, Inc. FRS BTL-B 4.75% due 12/18/2020	$	142,833	$	142,000
Tribune Media Co. FRS BTL 3.75% due 12/28/2020		620,871		617,378
				759,378
Transport-Equipment & Leasing — 0.0%
Fly Funding II Sarl FRS BTL-B 3.50% due 08/09/2019		118,625		117,921
Transport-Services — 0.0%
Kenan Advantage Group, Inc. FRS BTL Delayed Draw 1.50% due 01/31/2017(15)		10,000		9,967
Kenan Advantage Group, Inc. FRS BTL 4.00% due 07/29/2022		65,000		64,783
Kenan Advantage Group, Inc. FRS BTL 4.00% due 07/29/2022		20,000		19,933
				94,683
Total Loans (cost $23,709,377)				22,907,449
FOREIGN GOVERNMENT OBLIGATIONS — 1.3%
Central Bank — 0.0%
Republic of Tunisie Senior Notes 5.75% due 01/30/2025		560,000		533,400
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		159,000		160,353
Sovereign — 1.3%
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 05/15/2019(12)	BRL	2,569,677		625,178
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2016(12)	BRL	2,572,376		650,033
Commonwealth of Jamaica Senior Notes 6.75% due 04/28/2028		515,000		517,575
Dominican Republic Senior Notes 5.50% due 01/27/2025*		535,000		516,275
Federal Republic of Nigeria Bonds 12.15% due 07/18/2034	NGN	29,730,000		121,450

Security Description	Principal Amount(19)		Value (Note 2)
Sovereign (continued)
Government of Canada Senior Notes 0.88% due 02/14/2017	$	181,000	$	181,666
Government of Romania Bonds 5.85% due 04/26/2023	RON	410,000		119,931
Kingdom of Thailand Senior Notes 3.85% due 12/12/2025	THB	11,573,000		347,905
Malaysia Government Bond Senior Notes 3.49% due 03/31/2020	MYR	1,760,000		395,495
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(12)	UYU	16,686,635		384,524
Oriental Republic of Uruguay Notes 4.25% due 04/05/2027(12)	UYU	23,826,268		667,054
Oriental Republic of Uruguay Senior Notes 4.38% due 12/15/2028(12)	UYU	5,521,316		152,489
Republic of Colombia Bonds 3.00% due 03/25/2033(12)	COP	1,242,731,790		337,270
Republic of Colombia Bonds 3.50% due 03/10/2021(12)	COP	704,535,569		231,051
Republic of Costa Rica Bonds 9.20% due 03/27/2019*	CRC	124,600,000		243,236
Republic of Hungary Bonds 5.50% due 06/24/2025	HUF	27,110,000		113,666
Republic of Kazakhstan Notes 5.13% due 07/21/2025*		450,000		433,215
Republic of Poland Bonds 3.25% due 07/25/2025	PLN	2,610,000		710,674
Republic of South Africa Bonds 7.75% due 02/28/2023	ZAR	9,135,000		639,058
Republic of South Africa Bonds 8.50% due 01/31/2037	ZAR	8,230,000		562,523
Republic of Turkey Bonds 2.50% due 05/04/2016(12)	TRY	4,872,316		1,589,560
Republic of Turkey Senior Notes 4.88% due 04/16/2043		590,000		491,175
Russian Federation Bonds 7.50% due 02/27/2019	RUB	12,580,000		173,836
Russian Federation Senior Notes 7.85% due 03/10/2018	RUB	85,000,000		1,212,743

296

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Shares/ Principal Amount(19)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
United Mexican States Senior Notes 3.00% due 03/06/2045	EUR	310,000	$	284,476
United Mexican States FRS Bonds 3.07% due 05/28/2020	MXN	26,928,500		1,578,017
United Mexican States Senior Notes 3.50% due 01/21/2021		310,000		315,425
United Mexican States Senior Notes 3.60% due 01/30/2025		210,000		205,537
United Mexican States Senior Notes 4.75% due 03/08/2044		222,000		202,575
United Mexican States Senior Notes 5.63% due 03/19/2114	GBP	300,000		435,729
United Mexican States Bonds 10.00% due 12/05/2024	MXN	7,597,800		572,525
				15,011,866
Total Foreign Government Obligations (cost $17,589,294)				15,705,619
COMMON STOCKS — 0.0%
Insurance-Reinsurance — 0.0%
WMIH Corp.†		1,989		5,131
Television — 0.0%
ION Media Networks, Inc.†(5)(10)		22		14,233
Total Common Stocks (cost $0)				19,364
PREFERRED SECURITIES — 0.0%
Electric-Integrated — 0.0%
Entergy Louisiana LLC 4.70%		7,606		180,186
Telecom Services — 0.0%
Qwest Corp. 6.13%		14,710		353,040
Total Preferred Securities (cost $557,871)				533,226
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.4%
Banks-Commercial — 0.4%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(16)	EUR	1,200,000		1,304,005
Banco Bilbao Vizcaya Argentaria SA FRS 9.00% due 05/19/2018(16)		600,000		633,750
Banco do Brasil SA FRS 6.25% due 04/15/2024(16)		455,000		213,850
Banco Santander SA FRS 6.25% due 03/19/2019(16)	EUR	1,400,000		1,474,409
Banco Santander SA FRS 6.25% due 09/11/2021(16)	EUR	200,000		207,836

Security Description	Principal Amount(19)		Value (Note 2)
Banks-Commercial (continued)
ING Groep NV FRS 6.00% due 04/16/2020(16)	$	320,000	$	314,000
KBC Groep NV FRS 5.63% due 03/19/2019(16)	EUR	170,000		185,209
Rabobank Nederland FRS 5.50% due 06/29/2020(16)	EUR	200,000		222,363
Standard Chartered PLC FRS 6.50% due 04/02/2020*(16)		270,000		251,166
				4,806,588
Banks-Fiduciary — 0.0%
Bank of New York Mellon Corp. FRS Series E 4.95% due 06/20/2020(16)		177,000		174,345
State Street Capital Trust IV FRS 1.34% due 06/01/2077		300,000		241,500
				415,845
Banks-Super Regional — 0.1%
Capital One Financial Corp. FRS Series E 5.55% due 06/01/2020(16)		97,000		95,788
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(16)		209,000		195,937
Wells Fargo & Co. FRS Series U 5.88% due 06/15/2025(16)		163,000		166,871
Wells Fargo Capital X 5.95% due 12/01/2086(16)		84,000		84,210
				542,806
Building Societies — 0.1%
Nationwide Building Society FRS 6.88% due 06/20/2019(16)	GBP	770,000		1,139,948
Diversified Banking Institutions — 0.7%
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(16)		283,000		275,925
Barclays PLC FRS 8.00% due 12/15/2020(16)	EUR	310,000		365,879
Barclays PLC FRS 8.25% due 12/15/2018(16)		570,000		593,682
Citigroup, Inc. FRS Series N 5.80% due 11/15/2019(16)		302,000		297,243
Credit Agricole SA FRS 6.50% due 06/23/2021(16)	EUR	410,000		455,270
Credit Agricole SA FRS 6.63% due 09/23/2019*(16)		408,000		392,190
Credit Suisse Group AG FRS 6.25% due 12/18/2024*(16)		417,000		390,937
Deutsche Bank AG FRS 7.50% due 04/30/2025(16)		400,000		381,000
Goldman Sachs Group, Inc. FRS Series M 5.38% due 05/10/2020(16)		100,000		97,688

297

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Diversified Banking Institutions (continued)
HSBC Holdings PLC FRS 5.25% due 09/16/2022(16)	EUR	200,000	$	212,027
HSBC Holdings PLC FRS 5.63% due 01/17/2020(16)		600,000		577,500
HSBC Holdings PLC FRS 6.38% due 03/30/2025(16)		206,000		196,473
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(16)		192,000		191,760
Lloyds Banking Group PLC FRS 6.38% due 06/27/2020(16)	EUR	710,000		812,339
Lloyds Banking Group PLC FRS 7.00% due 06/27/2019(16)	GBP	450,000		672,163
Royal Bank of Scotland Group PLC FRS 7.50% due 08/10/2020(16)		720,000		718,423
Societe Generale SA FRS 6.00% due 01/27/2020*(16)		377,000		347,782
Societe Generale SA FRS 8.25% due 11/29/2018(16)		740,000		770,303
UBS Group AG FRS 5.75% due 02/19/2022(16)	EUR	200,000		223,569
UniCredit SpA FRS 8.00% due 06/03/2024(16)		210,000		200,209
				8,172,362
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		123,000		126,229
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(10)		58,000		6
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		142,000		140,793
Food-Dairy Products — 0.0%
Land O'Lakes Capital Trust I 7.45% due 03/15/2028*		230,000		241,500
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.38% due 05/15/2045		65,000		64,512
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		167,000		172,344
				236,856
Insurance-Multi-line — 0.0%
MetLife Capital Trust IV 7.88% due 12/15/2067*		150,000		183,750
MetLife, Inc. 6.40% due 12/15/2066		189,000		206,010
				389,760

Security Description	Shares/ Principal Amount(19)		Value (Note 2)
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030	$	250,000	$	369,375
Sompo Japan Insurance, Inc. FRS 5.33% due 03/28/2073*		450,000		473,535
				842,910
Pipelines — 0.0%
TransCanada Trust FRS 5.63% due 05/20/2075		83,000		79,473
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		284,000		300,046
Total Preferred Securities/Capital Securities (cost $19,027,633)				17,435,122
EXCHANGE-TRADED FUNDS — 0.2%
iShares Barclays 1-3 Year Treasury Bond Fund		9,400		798,906
iShares Barclays 10-20 Year Treasury Bond Fund		2,000		274,520
iShares Barclays 20+ Year Treasury Bond Fund		3,600		444,744
iShares Barclays 3-7 Year Treasury Bond Fund		6,200		772,830
iShares Barclays 7-10 Year Treasury Bond Fund		3,400		366,758
Total Exchange-Traded Funds (cost $2,516,260)				2,657,758
OPTIONS — PURCHASED†(10)(17) — 0.0%
Call Options — Purchased (cost $5,015)	HKD	11,470,000		6,619
Total Long-Term Investment Securities (cost $1,248,621,866)				1,253,506,317
REPURCHASE AGREEMENTS — 5.7%
Bank of America Securities LLC Joint Repurchase Agreement(20)	$	6,450,000		6,450,000
Barclays Capital, Inc. Joint Repurchase Agreement(20)		8,930,000		8,930,000
BNP Paribas SA Joint Repurchase Agreement(20)		8,930,000		8,930,000
Deutsche Bank AG Joint Repurchase Agreement(20)		6,375,000		6,375,000
RBS Securities, Inc. Joint Repurchase Agreement(20)		9,940,000		9,940,000

298

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(19)			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Agreement with State Street Bank and Trust Co, bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount $4,343,000 collateralized by $4,343,000 of United States Treasury Notes, bearing interest at 3.13% due 05/15/2021 and having an approximate value of $4,431,172 (cost $4,343,000)	$	4,343,000		$	4,343,000
Agreement with State Street Bank and Trust Co, bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount $23,969,000 collateralized by $23,969,000 of United States Treasury Notes, bearing interest at 2.00% due 02/15/2022 and having an approximate value of $24,449,400 (cost $23,969,000)		23,969,000			23,969,000
Total Repurchase Agreements (cost $68,937,000)					68,937,000
TOTAL INVESTMENTS (cost $1,317,558,866)(18)		108.7	%		1,322,443,317
Liabilities in excess of other assets		(8.7	)		(106,154,369	)
NET ASSETS		100.0	%	$	1,216,288,948

*  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, 2015, the aggregate value of these securities was $144,357,521 representing 11.9% 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-up" security where the rate increases ("steps-up") at a predetermined rate. Rate shown reflects the increased rate.

(7)  The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. The rates shown are the current rates at September 30, 2015. 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.

(8)  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.

(9)  "Step-down" security where the rate decreases ("steps-down") at a predetermined rate. Rate shown reflects the decreased rate.

(10)  Illiquid security. At September 30, 2015, the aggregate value of these securities was $111,284 representing 0.0% of net assets.

(11)  Security in default of interest and principal at maturity.

(12)  Principal Amount of security is adjusted for inflation.

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

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

(15)  All or a portion of this holding is subject to unfunded loan commitments. Interest rate will be determined at the time of funding. See Note 13.

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

299

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

(17)  Options — Purchased

Options — Purchased

Issue	Expiration Month	Strike Price		Notional Amount		Premiums Paid		Value at September 30, 2015		Unrealized Appreciation (Depreciation)
Call option to buy Hong Kong Dollar in exchange for U.S. dollars with Goldman Sachs International.	March 2016	$	7.75	HKD	11,470,000	$	5,015	$	6,619	$	1,604

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

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

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

(21)  Security in default.

BR — Bearer Shares

BRL — Brazilian Real

BTL — Bank Term Loan

CLO — Collateralized Loan Obligation

COP — Colombian Peso

CRC — Costa Rican Colon

DIP — Debtors in Possession Financing

EUR — Euro Currency

GBP — Pound Sterling

HKD — Hong Kong Dollar

HUF — Hungarian Forint

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

PLN — Polish Zloty

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

RUB — Russian Ruble

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.

THB — Thailand Baht

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

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, 2015 and unless noted otherwise, the dates shown are the original maturity dates.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	940,000	USD	1,010,567	03/15/2017	$	—	$	(55,398	)
	PLN	2,730,000	USD	719,989	12/16/2015		3,142		—
	TRY	1,235,000	USD	396,367	12/16/2015		—		(2,479	)
	USD	423,881	EUR	370,000	03/15/2017		—		(4,299	)
							3,142		(62,176	)
Barclays Bank PLC	IDR	3,774,000,000	USD	261,448	05/18/2016		24,412		—
	KES	9,896,000	USD	90,374	12/16/2015		—		(2,810	)
	USD	742,417	MYR	3,133,000	12/16/2015		—		(30,977	)
							24,412		(33,787	)
BNP Paribas SA	COP	68,896,000	USD	21,969	12/16/2015		—		(148	)
	CZK	13,790,000	USD	574,201	12/16/2015		6,179		—
	RUB	23,331,000	USD	342,348	12/16/2015		—		(5,287	)
	USD	795,388	NGN	144,363,000	10/08/2015		—		(71,329	)
	ZAR	7,928,000	USD	564,138	12/17/2015		—		(379	)
							6,179		(77,143	)
Citibank N.A.	CRC	134,528,000	USD	247,476	12/16/2015		—		(1,887	)
	EUR	5,442,000	USD	6,119,725	10/30/2015		36,286		—
	GBP	1,236,000	USD	1,877,260	10/30/2015		7,749		—
	NGN	144,363,000	USD	657,465	10/08/2015		—		(66,595	)
	NGN	36,120,000	USD	161,250	12/16/2015		—		(14,738	)
	THB	12,730,000	USD	347,008	12/16/2015		—		(2,780	)
	USD	452,294	KES	49,481,000	12/16/2015		13,638		—
	USD	439,663	RSD	47,000,000	12/16/2015		—		(3,133	)
	UYU	13,210,000	USD	444,706	12/16/2015		7,940		—
	ZAR	11,020,000	USD	789,067	12/17/2015		4,382		—
							69,995		(89,133	)

300

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Credit Suisse International	RUB	46,618,000	USD	685,347	12/16/2015	$	—	$	(9,267	)
Deutsche Bank AG	CNY	2,695,000	USD	408,953	07/28/2016		—		(3,784	)
	HKD	11,755,000	USD	1,516,296	12/16/2015		—		(415	)
	MYR	6,265,000	USD	1,421,602	12/16/2015		—		(1,052	)
	USD	582,020	INR	39,330,000	12/16/2015		10,490		—
							10,490		(5,251	)
Goldman Sachs International	CNY	470,000	USD	71,483	07/28/2016		—		(497	)
	COP	733,300,000	USD	236,931	12/16/2015		1,519		—
	HKD	5,735,000	USD	739,599	03/03/2016		—		(249	)
	HUF	65,200,000	USD	231,181	12/16/2015		—		(1,174	)
	USD	718,578	MYR	3,133,000	12/16/2015		—		(7,138	)
	USD	132,695	RSD	14,209,000	12/16/2015		—		(723	)
	USD	1,011,118	ZAR	14,365,000	12/17/2015		11,750		—
	USD	482,265	IDR	7,451,000,000	05/18/2016		—		(14,287	)
	ZAR	7,696,000	USD	540,808	12/17/2015		—		(7,190	)
							13,269		(31,258	)
HSBC Bank USA, N.A.	BRL	965,000	USD	240,229	12/02/2015		2,037		—
	MYR	8,035,000	USD	1,853,151	12/16/2015		28,567		—
	TRY	1,490,000	USD	476,023	12/16/2015		—		(5,176	)
	USD	1,124	EUR	1,000	12/16/2015		—		(5	)
	USD	119,056	HUF	33,000,000	12/16/2015		—		(1,453	)
	UYU	25,535,000	USD	858,526	12/02/2015		8,633		—
							39,237		(6,634	)
JPMorgan Chase Bank	GBP	680,000	USD	1,044,162	12/16/2015		15,812		—
	IDR	3,677,000,000	USD	254,024	05/18/2016		23,081		—
	INR	39,330,000	USD	586,227	12/16/2015		—		(6,283	)
	MXN	9,920,000	USD	584,286	12/16/2015		950		—
	RON	480,000	USD	120,788	12/16/2015		—		(438	)
	RUB	20,858,000	USD	307,942	12/16/2015		—		(2,845	)
	TRY	1,813,000	USD	588,600	12/16/2015		3,088		—
	USD	1,124	EUR	1,000	12/16/2015		—		(5	)
	USD	703,820	MYR	3,132,000	12/16/2015		7,393		—
	USD	504,865	CNY	3,165,000	07/28/2016		—		(20,148	)
	ZAR	11,026,000	USD	782,463	12/17/2015		—		(2,649	)
							50,324		(32,368	)
Morgan Stanley and Co., Inc.	BRL	10,263,000	USD	2,488,472	12/02/2015		—		(44,757	)
	COP	326,706,000	USD	106,108	12/16/2015		1,225		—
	TRY	232,000	USD	74,237	12/16/2015		—		(688	)
							1,225		(45,445	)
National Australia Bank, Ltd.	USD	2,247	EUR	2,000	12/16/2015		—		(9	)
Royal Bank of Canada	MXN	43,799,000	USD	2,581,864	12/16/2015		6,308		—
Standard Chartered Bank	KES	39,585,000	USD	359,867	12/16/2015		—		(12,880	)
	USD	294,794	MXN	5,000,000	12/16/2015		—		(774	)
							—		(13,654	)
State Street Bank and Trust Co.	COP	172,898,000	USD	54,967	12/16/2015		—		(539	)
	USD	520,149	BRL	2,184,000	12/02/2015		18,931		—
							18,931		(539	)
UBS AG	USD	229,324	EUR	200,000	03/15/2017		—		(2,523	)
Net Unrealized Appreciation(Depreciation)						$	243,512	$	(409,187	)

301

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

BRL — Brazilian Real
CNY — Chinese Yuan
COP — Colombina Peso
CRC — Costa Rican Colon
CZK — Czech Republic Koruna
EUR — Euro Currency
GBP — Pound Sterling
HKD — Hong Kong Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
KES — Kenyan Shilling
MXN — Mexican Peso
MYR — Malaysian Ringgit
NGN — Nigerian Naira
PLN — Polish Zloty
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguayan Peso
ZAR — South African Rand

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2015		Unrealized Appreciation (Depreciation)
	39	Long	U.S. Long Bonds	December 2015	$	6,049,282	$	6,136,406	$	87,124
	37	Long	U.S. Treasury 2YR Notes	December 2015		8,087,391		8,104,156		16,765
	596	Long	U.S. Treasury 5YR Notes	December 2015		71,330,801		71,827,313		496,512
	521	Short	U.S. Treasury 10YR Notes	December 2015		66,470,399		67,070,609		(600,210	)
	25	Long	U.S. Treasury Ultra Long Bonds	December 2015		4,009,448		4,010,156		708
									$	899

Over the Counter Credit Default Swaps on Credit Indicies and Sovereign Issues — Buy Protection(1)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
Federative Republic of Brazil Senior Notes 4.25% due 01/07/2025		(1.00	)%	09/20/2020	Goldman Sachs International		4.73	%	$	820,000	$	130,182	$	98,839	$	31,343
Markit CDX Emerging Market Index		(1.00	)	06/20/2020	Goldman Sachs International		3.94			5,390,000		655,419		493,673		161,746
Markit CDX Emerging Market Index		(1.00	)	06/20/2020	Goldman Sachs International		3.94			15,375,000		1,869,586		1,943,911		(74,325	)
United Mexican States Senior Notes 5.95% due 03/19/2019		(1.00	)	09/20/2020	Goldman Sachs International		1.73			1,370,000		46,847		40,762		6,085
											$	2,702,034	$	2,577,185	$	124,849

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, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Markit CDX North America High Yield Index		(5.00	)%	06/20/2020	Goldman Sachs International		4.29	%	$	6,152,850	$	(176,837	)	$	(298,012	)	$	121,175

302

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Centrally Cleared Credit Default Swaps on Credit Indicies — Sell Protection(5)

Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Counterparty	Implied Credit Spread at September 30, 2015(2)			Notional Amount(3)		Value at September 30, 2015(4)			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Markit CDX North America Investment Grade Index		(1.00	)%	6/20/2020	Goldman Sachs International		0.88	%	$	1,957,000	$	(10,456	)	$	(14,475	)	$	4,019

(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.

(5)  If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

303

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Asset Backed Securities:
Diversified Financial Services	$	—	$	136,798,854	$	4,054,927	$	140,853,781
U.S. Corporate Bonds & Notes:
Airlines		—		463,125		14,739		477,864
Gambling (Non-Hotel)		—		125,665		13		125,678
Other Industries		—		299,627,803		—		299,627,803
Foreign Corporate Bonds & Notes		—		64,954,496		—		64,954,496
U.S. Government Agencies		—		215,670,326		—		215,670,326
U.S. Government Treasuries		—		466,622,516		—		466,622,516
Municipal Bond & Notes		—		5,908,696		—		5,908,696
Loans		—		22,907,449		—		22,907,449
Foreign Government Obligations		—		15,705,619		—		15,705,619
Common Stocks:
Insurance-Reinsurance		5,131		—		—		5,131
Television		—		—		14,233		14,233
Preferred Securities		533,226		—		—		533,226
Preferred Securities/Capital Securities		—		17,435,122		—		17,435,122
Exchange-Traded Funds		2,657,758		—		—		2,657,758
Options - Purchased		6,619		—		—		6,619
Repurchase Agreements		—		68,937,000		—		68,937,000
Total Investments at Value	$	3,202,734	$	1,315,156,671	$	4,083,912	$	1,322,443,317
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	243,512	$	—	$	243,512
Futures Contracts		601,109		—		—		601,109
Over the Counter Credit Default Swaps on Credit Indicies and
Sovereign Issues — Buy Protection		—		199,174		—		199,174
Centrally Cleared Credit Default Swaps on Credit Indices —
Buy Protection		—		121,175		—		121,175
Centrally Cleared Credit Default Swaps on Credit Indices —
Sell Protection		—		4,019		—		4,019
Total Other Financial Instruments	$	601,109	$	567,880	$	—	$	1,168,989
LIABILITIES:
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	409,187	$	—	$	409,187
Futures Contracts		600,210		—		—		600,210
Over the Counter Credit Default Swaps on Credit Indicies and
Sovereign Issues — Buy Protection		—		74,325		—		74,325
Total Other Financial Instruments	$	600,210	$	483,512	$	—	$	1,083,722

*  For a detailed presentation of investments, 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 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

304

Seasons Series Trust Real Return Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
United States Treasury Notes	55.3	%
Sovereign	41.2
Repurchase Agreements	6.4
	102.9	%
Credit Quality†#
Aaa	68.9	%
Aa	24.6
Baa	6.5
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

305

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS(1) — 41.2%
Sovereign — 41.2%
Bundesrepublik Deutschland Bonds 0.10% due 04/15/2023	EUR	11,725,912	$	13,717,850
Bundesrepublik Deutschland Bonds 1.75% due 04/15/2020	EUR	13,810,939		17,057,332
Government of Australia Senior Bonds 1.04% due 11/21/2018	AUD	5,932,818		4,267,156
Government of Australia Bonds 3.00% due 09/20/2025	AUD	3,344,869		2,880,322
Government of Australia Senior Bonds 4.00% due 08/20/2020	AUD	18,200,000		15,085,957
Government of Canada Bonds 4.25% due 12/01/2021	CAD	13,637,203		13,124,007
Government of France Bonds 0.25% due 07/25/2024	EUR	15,466,926		18,143,071
Government of France Bonds 1.10% due 07/25/2022	EUR	15,748,047		19,562,431
Government of France Bonds 1.30% due 07/25/2019	EUR	11,122,016		13,427,000
Government of France Bonds 2.10% due 07/25/2023	EUR	6,566,465		8,800,290
Government of New Zealand Senior Bonds 2.00% due 09/20/2025	NZD	3,093,600		1,969,455
Government of Spain Senior Notes 1.80% due 11/30/2024*	EUR	5,445,150		6,526,257
Government of Sweden Notes 0.25% due 06/01/2022	SEK	55,152,742		7,054,159
Italy Buoni Poliennali Del Tesoro Bonds 2.10% due 09/15/2021	EUR	2,837,599		3,493,829
Italy Buoni Poliennali Del Tesoro Senior Notes 2.35% due 09/15/2024*	EUR	18,971,273		23,956,417
Italy Buoni Poliennali Del Tesoro Senior Notes 2.60% due 09/15/2023	EUR	2,648,477		3,406,231
United Kingdom Inflation Linked Gilt Treasury Bonds 0.13% due 11/22/2019	GBP	7,867,824		12,593,555
United Kingdom Inflation Linked Gilt Treasury Bonds 1.25% due 11/22/2017	GBP	3,938,044		6,295,646

Security Description	Shares/ Principal Amount(7)		Value (Note 2)
Sovereign (continued)
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022	GBP	11,411,631	$	20,908,871
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024	GBP	10,361,922		20,123,179
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020	GBP	11,061,217		19,457,350
Total Foreign Government Obligations (cost $272,312,660)				251,850,365
U.S. GOVERNMENT TREASURIES — 55.3%
United States Treasury Notes — 55.3%
0.13% due 04/15/2016 TIPS(1)	$	2,600,286		2,574,756
0.13% due 04/15/2017 TIPS(1)		25,916,255		25,821,765
0.13% due 04/15/2018 TIPS(1)		16,214,156		16,195,364
0.13% due 04/15/2019 TIPS(1)		25,966,658		25,878,085
0.13% due 01/15/2022 TIPS(1)		21,151,866		20,611,774
0.13% due 07/15/2022 TIPS(1)		22,867,703		22,299,280
0.13% due 01/15/2023 TIPS(1)		26,039,527		25,104,422
0.13% due 07/15/2024 TIPS(1)		14,985,892		14,298,264
0.25% due 01/15/2025 TIPS(1)		11,375,804		10,903,447
0.38% due 07/15/2023 TIPS(1)		20,033,338		19,686,140
0.38% due 07/15/2025 TIPS(1)		17,012,685		16,572,090
0.63% due 07/15/2021 TIPS(1)		19,261,027		19,531,125
0.63% due 01/15/2024 TIPS(1)		21,852,336		21,746,767
1.13% due 01/15/2021 TIPS(1)		18,601,039		19,329,585
1.38% due 07/15/2018 TIPS(1)		18,377,086		19,109,302
1.38% due 01/15/2020 TIPS(1)		9,584,940		10,057,448
1.63% due 06/30/2020		16,270,000		16,475,279
1.88% due 07/15/2019 TIPS(1)		3,202,268		3,419,881
2.38% due 01/15/2025 TIPS(1)		14,078,921		16,201,755
2.50% due 07/15/2016 TIPS(1)		12,573,714		12,780,325
Total U.S. Government Treasuries (cost $347,093,497)				338,596,854
COMMON STOCKS — 0.0%
Food-Misc./Diversified — 0.0%
Wornick Co.†(2)(3) (cost $3,866)		765		3,684
WARRANTS — 0.0%
Television — 0.0%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		117		75,691
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		116		75,044
Total Warrants (cost $0)				150,735
Total Long-Term Investment Securities (cost $619,410,023)				590,601,638

306

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Security Description	Principal Amount(7)			Value (Note 2)
REPURCHASE AGREEMENTS — 6.4%
Bank of America Securities LLC Joint Repurchase Agreement(5)	$	6,220,000		$	6,220,000
Barclays Capital, Inc. Joint Repurchase Agreement(5)		8,615,000			8,615,000
BNP Paribas SA Joint Repurchase Agreement(5)		8,615,000			8,615,000
Deutsche Bank AG Joint Repurchase Agreement(5)		6,155,000			6,155,000
RBS Securities, Inc. Joint Repurchase Agreement(5)		9,590,000			9,590,000
Total Repurchase Agreements (cost $39,195,000)					39,195,000
TOTAL INVESTMENTS (cost $658,605,023)(6)		102.9	%		629,796,638
Liabilities in excess of other assets		(2.9	)		(17,560,561	)
NET ASSETS		100.0	%	$	612,236,077

*  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, 2015, the aggregate value of these securities was $30,482,674 representing 5.0% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

†  Non-income producing security

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

(2)  Illiquid security. At September 30, 2015, the aggregate value of these securities was $154,419 representing 0.0% of net assets.

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

(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,

2015, 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	$	0	$	75,691	$	646.93		0.01	%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)	11/11/10		116		0		75,044		646.93		0.01
						$	150,735				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

EUR — Euro Dollar

GBP — Pound Sterling

NZD — New Zealand Dollar

SEK — Swedish Krona

TIPS — Treasury Inflation Protected Securities

307

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Citibank N.A.	GBP	52,414,000	USD	79,605,568	10/30/2015	$	326,801	$	—
Deutsche Bank AG	AUD	4,090,000	USD	2,871,344	10/30/2015		4,938		—
	CAD	17,841,000	USD	13,358,791	10/30/2015		—		(8,337	)
							4,938		(8,337	)
JPMorgan Chase Bank	SEK	60,538,000	USD	7,201,761	10/30/2015		—		(35,424	)
National Australia Bank, Ltd.	AUD	27,670,000	USD	19,197,723	10/30/2015		—		(194,314	)
State Street Bank and Trust Co.	EUR	114,697,000	USD	128,254,071	10/30/2015		37,928		—
Westpac Banking Corp.	NZD	2,971,000	USD	1,865,841	10/30/2015		—		(29,604	)
Net Unrealized Appreciation(Depreciation)						$	369,667	$	(267,679	)

AUD — Australian Dollar

CAD — Canadian Dollar

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, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Foreign Government Obligations	$	—	$	251,850,365	$	—	$	251,850,365
U.S. Government Treasuries		—		338,596,854		—		338,596,854
Common Stocks		—		—		3,684		3,684
Warrants		—		—		150,735		150,735
Repurchase Agreements		—		39,195,000		—		39,195,000
Total Investments at Value	$	—	$	629,642,219	$	154,419	$	629,796,638
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	369,667	$	—	$	369,667
LIABILITIES:
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	267,679	$	—	$	267,679

*  For a detailed presentation of investments, 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 transfers between Levels during the reporting period.

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

See Notes to Financial Statements

308

Seasons Series Trust SA Columbia Focused Growth Portfolio@

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	21.4	%
Medical-Drugs	7.0
E-Commerce/Services	6.4
Beverages-Non-alcoholic	4.7
Athletic Footwear	4.6
Internet Content-Information/News	4.6
Internet Content-Entertainment	4.4
Finance-Credit Card	4.2
E-Commerce/Products	4.1
Electronic Forms	3.7
Computer Services	3.7
Internet Application Software	3.6
Auto/Truck Parts & Equipment-Original	3.6
Applications Software	3.5
Repurchase Agreements	3.3
Retail-Drug Store	3.2
Auto-Cars/Light Trucks	3.1
Finance-Other Services	2.7
Electronic Measurement Instruments	2.5
Electronic Components-Semiconductors	2.1
Lighting Products & Systems	2.1
Drug Delivery Systems	1.9
	100.4	%

*  Calculated as a percentage of net assets

@  See Note 1

309

Seasons Series Trust SA Columbia Focused Growth Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.1%
Applications Software — 3.5%
ServiceNow, Inc.†		93,860	$	6,518,577
Athletic Footwear — 4.6%
NIKE, Inc., Class B		68,980		8,482,471
Auto-Cars/Light Trucks — 3.1%
Tesla Motors, Inc.†		23,410		5,815,044
Auto/Truck Parts & Equipment-Original — 3.6%
Mobileye NV†		145,190		6,603,241
Beverages-Non-alcoholic — 4.7%
Monster Beverage Corp.†		63,540		8,586,796
Computer Services — 3.7%
Cognizant Technology Solutions Corp., Class A†		108,600		6,799,446
Drug Delivery Systems — 1.9%
DexCom, Inc.†		41,080		3,527,129
E-Commerce/Products — 4.1%
Amazon.com, Inc.†		14,780		7,565,734
E-Commerce/Services — 6.4%
MercadoLibre, Inc.		55,570		5,060,204
Priceline Group, Inc.†		5,470		6,765,624
				11,825,828
Electronic Components-Semiconductors — 2.1%
Skyworks Solutions, Inc.		47,140		3,969,659
Electronic Forms — 3.7%
Adobe Systems, Inc.†		84,070		6,912,235
Electronic Measurement Instruments — 2.5%
Fitbit, Inc., Class A†		122,993		4,635,606
Finance-Credit Card — 4.2%
Visa, Inc., Class A		110,810		7,719,025
Finance-Other Services — 2.7%
Intercontinental Exchange, Inc.		21,000		4,934,790
Internet Application Software — 3.6%
Splunk, Inc.†		120,730		6,682,405
Internet Content-Entertainment — 4.4%
Facebook, Inc., Class A†		89,930		8,084,707
Internet Content-Information/News — 4.6%
LinkedIn Corp., Class A†		44,520		8,464,588

Security Description	Shares/ Principal Amount			Value (Note 2)
Lighting Products & Systems — 2.1%
Acuity Brands, Inc.		21,670		$	3,804,819
Medical-Biomedical/Gene — 21.4%
Alexion Pharmaceuticals, Inc.†		52,430			8,199,528
Biogen, Inc.†		23,120			6,746,647
Celgene Corp.†		56,820			6,146,220
Illumina, Inc.†		40,690			7,154,116
Intercept Pharmaceuticals, Inc.†		22,540			3,738,484
Vertex Pharmaceuticals, Inc.†		71,080			7,402,271
					39,387,266
Medical-Drugs — 7.0%
Bristol-Myers Squibb Co.		128,980			7,635,616
Novo Nordisk A/S ADR		97,480			5,287,315
					12,922,931
Retail-Drug Store — 3.2%
CVS Health Corp.		61,490			5,932,555
Total Long-Term Investment Securities (cost $193,536,340)					179,174,852
REPURCHASE AGREEMENTS — 3.3%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $6,061,000 and collateralized by $6,065,000 of United States Treasury Notes, bearing interest at 2.00% due 02/15/2022 and having an approximate value of $6,186,300 (cost $6,061,000)	$	6,061,000			6,061,000
TOTAL INVESTMENTS (cost $199,597,340)(1)		100.4	%		185,235,852
Liabilities in excess of other assets		(0.4	)		(814,154	)
NET ASSETS		100.0	%	$	184,421,698

@  See Note 1

†  Non-income producing security

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

ADR — American Depositary Receipt

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	179,174,852	$	—	$	—	$	179,174,852
Repurchase Agreements		—		6,061,000		—		6,061,000
Total Investment at Value	$	179,174,852	$	6,061,000	$	—	$	185,235,852

*  For a detailed presentation of investments, 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

310

Seasons Series Trust SA Columbia Focused Value Portfolio@

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Diversified Banking Institutions	11.9	%
Insurance-Life/Health	6.0
Tobacco	5.4
Food-Meat Products	4.8
Medical-Drugs	4.5
Repurchase Agreements	4.3
Telephone-Integrated	4.0
Oil Companies-Exploration & Production	3.8
Oil Refining & Marketing	3.5
Banks-Super Regional	3.4
Transport-Rail	3.4
Semiconductor Equipment	3.3
Medical-HMO	3.1
Retail-Building Products	3.0
Instruments-Controls	3.0
Chemicals-Diversified	2.9
Oil Companies-Integrated	2.7
Electric-Integrated	2.5
Telecommunication Equipment	2.5
Insurance-Multi-line	2.5
Retail-Major Department Stores	2.4
Computer Services	2.4
Electronic Components-Misc.	2.1
Retail-Discount	2.1
Pharmacy Services	2.1
Aerospace/Defense	2.0
Aerospace/Defense-Equipment	1.7
Pipelines	1.6
Medical Products	1.2
Metal-Copper	0.9
	99.0	%

*  Calculated as a percentage of net assets

@  See Note 1

311

Seasons Series Trust SA Columbia Focused Value Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 94.7%
Aerospace/Defense — 2.0%
General Dynamics Corp.		44,400	$	6,124,980
Aerospace/Defense-Equipment — 1.7%
United Technologies Corp.		55,900		4,974,541
Banks-Super Regional — 3.4%
Wells Fargo & Co.		200,000		10,270,000
Chemicals-Diversified — 2.9%
E.I. du Pont de Nemours & Co.		125,000		6,025,000
FMC Corp.		78,000		2,644,980
				8,669,980
Computer Services — 2.4%
Teradata Corp.†		243,000		7,037,280
Diversified Banking Institutions — 11.9%
Bank of America Corp.		675,000		10,516,500
Citigroup, Inc.		175,000		8,681,750
JPMorgan Chase & Co.		155,000		9,450,350
Morgan Stanley		221,300		6,970,950
				35,619,550
Electric-Integrated — 2.5%
AES Corp.		775,000		7,587,250
Electronic Components-Misc. — 2.1%
Corning, Inc.		375,000		6,420,000
Food-Meat Products — 4.8%
Tyson Foods, Inc., Class A		330,000		14,223,000
Instruments-Controls — 3.0%
Honeywell International, Inc.		93,200		8,825,108
Insurance-Life/Health — 6.0%
Prudential Financial, Inc.		100,000		7,621,000
Unum Group		325,000		10,426,000
				18,047,000
Insurance-Multi-line — 2.5%
MetLife, Inc.		156,200		7,364,830
Medical Products — 1.2%
Baxter International, Inc.		104,700		3,439,395
Medical-Drugs — 4.5%
Baxalta, Inc.		129,000		4,064,790
Bristol-Myers Squibb Co.		159,700		9,454,240
				13,519,030
Medical-HMO — 3.1%
Humana, Inc.		52,500		9,397,500
Metal-Copper — 0.9%
Freeport-McMoRan, Inc.		277,800		2,691,882
Oil Companies-Exploration & Production — 3.8%
Anadarko Petroleum Corp.		124,100		7,494,399
ConocoPhillips		78,000		3,740,880
				11,235,279
Oil Companies-Integrated — 2.7%
Chevron Corp.		55,000		4,338,400
Marathon Oil Corp.		250,000		3,850,000
				8,188,400

Security Description	Shares/ Principal Amount			Value (Note 2)
Oil Refining & Marketing — 3.5%
Marathon Petroleum Corp.		101,500		$	4,702,495
Valero Energy Corp.		96,200			5,781,620
					10,484,115
Pharmacy Services — 2.1%
Express Scripts Holding Co.†		78,000			6,314,880
Pipelines — 1.6%
Williams Cos., Inc.		130,000			4,790,500
Retail-Building Products — 3.0%
Lowe's Cos., Inc.		129,600			8,932,032
Retail-Discount — 2.1%
Costco Wholesale Corp.		43,800			6,332,166
Retail-Major Department Stores — 2.4%
Nordstrom, Inc.		102,100			7,321,591
Semiconductor Equipment — 3.3%
Applied Materials, Inc.		675,000			9,915,750
Telecommunication Equipment — 2.5%
Juniper Networks, Inc.		287,900			7,401,909
Telephone-Integrated — 4.0%
Verizon Communications, Inc.		275,700			11,995,707
Tobacco — 5.4%
Altria Group, Inc.		161,000			8,758,400
Philip Morris International, Inc.		95,000			7,536,350
					16,294,750
Transport-Rail — 3.4%
CSX Corp.		181,100			4,871,590
Union Pacific Corp.		59,800			5,286,918
					10,158,508
Total Long-Term Investment Securities (cost $310,356,710)					283,576,913
REPURCHASE AGREEMENTS — 4.3%
Agreement with State Street Bank and Trust Co., bearing interest at 0.00%, dated 09/30/2015, to be repurchased 10/01/2015 in the amount of $13,063,000 and collateralized by $13,065,000 of United States Treasury Notes, bearing interest at 2.00% due 02/15/2022 and having an approximate value of $13,326,300 (cost $13,063,000)	$	13,063,000			13,063,000
TOTAL INVESTMENTS (cost $323,419,710)(1)		99.0	%		296,639,913
Other assets less liabilities		1.0			2,921,460
NET ASSETS		100.0	%	$	299,561,373

@  See Note 1

†  Non-income producing security

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

312

Seasons Series Trust SA Columbia Focused Value Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Common Stocks	$	283,576,913	$	—	$	—	$	283,576,913
Repurchase Agreements		—		13,063,000		—		13,063,000
Total Investment at Value	$	283,576,913	$	13,063,000	$	—	$	296,639,913

*  For a detailed presentation of investments, 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

313

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	54.1	%
International Equity Investment Companies	25.0
Domestic Fixed Income Investment Companies	20.9
	100.0	%

*  Calculated as a percentage of net assets

314

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.0%
Domestic Equity Investment Companies — 54.1%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		1,251,316	$	15,876,146
Seasons Series Trust Large Cap Value Portfolio, Class 3		984,150		15,135,167
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		389,584		6,012,118
Seasons Series Trust Mid Cap Value Portfolio, Class 3		287,456		5,244,791
Seasons Series Trust Multi-Managed Growth Portfolio, Class 3		107,374		1,936,897
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		176,939		1,658,469
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		100,219		1,610,497
Seasons Series Trust Small Cap Portfolio, Class 3		355,311		4,366,485
Total Domestic Equity Investment Companies (cost $44,592,964)				51,840,570

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies — 20.9%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		1,456,142		$	17,036,650
Seasons Series Trust Real Return Portfolio, Class 3†		200,721			1,948,025
SunAmerica Series Trust High Yield Bond Portfolio		176,088			986,230
Total Domestic Fixed Income Investment Companies (cost $20,092,813)					19,970,905
International Equity Investment Companies — 25.0%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $22,437,832)		3,043,458			23,976,246
TOTAL INVESTMENTS (cost $87,123,609)(1)		100.0	%		95,787,721
Liabilities in excess of other assets		(0.0	)		(42,131	)
NET ASSETS		100.0	%	$	95,745,590

#  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, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	95,787,721	$	—	$	—	$	95,787,721

*  For a detailed presentation of investments, 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

315

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	45.9	%
Domestic Fixed Income Investment Companies	34.4
International Equity Investment Companies	19.7
	100.0	%

*  Calculated as a percentage of net assets

316

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.0%
Domestic Equity Investment Companies — 45.9%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		6,116,368	$	77,601,806
Seasons Series Trust Large Cap Value Portfolio, Class 3		4,792,937		73,710,204
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		1,613,040		24,892,678
Seasons Series Trust Mid Cap Value Portfolio, Class 3		1,180,120		21,531,893
Seasons Series Trust Multi-Managed Moderate Growth Portfolio, Class 3		1,145,470		16,222,909
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		871,271		8,166,545
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		515,889		8,290,246
Seasons Series Trust Small Cap Portfolio, Class 3		1,393,478		17,124,739
Total Domestic Equity Investment Companies (cost $202,705,851)				247,541,020

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies — 34.4%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		14,032,548		$	164,178,768
Seasons Series Trust Real Return Portfolio, Class 3†		1,915,924			18,594,276
SunAmerica Series Trust High Yield Bond Portfolio		528,263			2,958,689
Total Domestic Fixed Income Investment Companies (cost $187,355,668)					185,731,733
International Equity Investment Companies — 19.7%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $99,344,762)		13,525,296			106,551,770
TOTAL INVESTMENTS (cost $489,406,281)(1)		100.0	%		539,824,523
Liabilities in excess of other assets		(0.0	)		(127,619	)
NET ASSETS		100.0	%	$	539,696,904

#  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, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affliated Registered Invesment Companies	$	539,824,523	$	—	$	—	$	539,824,523

*  For a detailed presentation of investments, 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

317

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	46.4	%
Domestic Equity Investment Companies	38.0
International Equity Investment Companies	15.6
	100.0	%

*  Calculated as a percentage of net assets

318

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.0%
Domestic Equity Investment Companies — 38.0%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		3,186,761	$	40,432,229
Seasons Series Trust Large Cap Value Portfolio, Class 3		2,574,192		39,588,303
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		935,844		14,442,089
Seasons Series Trust Mid Cap Value Portfolio, Class 3		681,556		12,435,347
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		461,645		4,327,062
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		276,789		4,447,940
Seasons Series Trust Small Cap Portfolio, Class 3		961,954		11,821,648
Total Domestic Equity Investment Companies (cost $104,324,942)				127,494,618
Domestic Fixed Income Investment Companies — 46.4%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		10,694,964		125,129,512
Seasons Series Trust Multi-Managed Income/Equity, Class 3		1,120,936		13,602,010
Seasons Series Trust Real Return Portfolio, Class 3†		1,535,956		14,906,641
SunAmerica Series Trust High Yield Bond Portfolio		352,175		1,972,460
Total Domestic Fixed Income Investment Companies (cost $157,059,142)				155,610,623

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 15.6%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $50,897,793)		6,657,148		$	52,444,760
TOTAL INVESTMENTS (cost $312,281,877)(1)		100.0	%		335,550,001
Liabilities in excess of other assets		(0.0	)		(86,644	)
NET ASSETS		100.0	%	$	335,463,357

#  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, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	335,550,001	$	—	$	—	$	335,550,001

*  For a detailed presentation of investments, 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

319

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO PROFILE — September 30, 2015 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	60.3	%
Domestic Equity Investment Companies	28.4
International Equity Investment Companies	11.3
	100.0	%

*  Calculated as a percentage of net assets

320

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2015 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES# — 100.0%
Domestic Equity Investment Companies — 28.4%
Seasons Series Trust Large Cap Growth Portfolio, Class 3		2,163,644	$	27,451,366
Seasons Series Trust Large Cap Value Portfolio, Class 3		1,659,741		25,525,026
Seasons Series Trust Mid Cap Growth Portfolio, Class 3		392,800		6,061,755
Seasons Series Trust Mid Cap Value Portfolio, Class 3		308,336		5,625,745
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 3		305,443		2,862,956
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 3		174,521		2,804,523
Seasons Series Trust Small Cap Portfolio, Class 3		415,771		5,109,502
Total Domestic Equity Investment Companies (cost $63,283,667)				75,440,873
Domestic Fixed Income Investment Companies — 60.3%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 3		11,306,675		132,286,443
Seasons Series Trust Multi-Managed Income Portfolio, Class 3		925,969		10,859,460
Seasons Series Trust Real Return Portfolio, Class 3†		1,622,386		15,745,459
SunAmerica Series Trust High Yield Bond Portfolio		264,131		1,479,345
Total Domestic Fixed Income Investment Companies (cost $161,457,847)				160,370,707

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 11.3%
Seasons Series Trust International Equity Portfolio, Class 3 (cost $28,774,011)		3,826,312		$	30,143,541
TOTAL INVESTMENTS (cost $253,515,525)(1)		100.0	%		265,955,121
Liabilities in excess of other assets		(0.0	)		(73,607	)
NET ASSETS		100.0	%	$	265,881,514

#  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, 2015 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affliated Registered Invesment Companies	$	265,955,121	$	—	$	—	$	265,955,121

*  For a detailed presentation of investments, 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

321

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

September 30, 2015 (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)*	$	65,382,579	$	126,461,162	$	98,410,107	$	83,225,128	$	128,495,738
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		360,000		3,240,000		3,535,000		3,573,000		9,619,000
Total investments		65,742,579		129,701,162		101,945,107		86,798,128		138,114,738
Cash		—		40,650		—		149,543		204,233
Foreign cash*		3,611		15		6		107		230,847
Due from broker		30,004		91,039		9,997		—		—
Receivable for:
Fund shares sold		12,121		3,280		14,285		11,853		14,598
Dividends and interest		149,866		388,481		433,183		422,821		424,005
Investments sold		1,767,290		2,892,090		2,241,873		1,462,332		2,345,102
Receipts on swap contracts		782		14,862		25,813		26,595		1,062
Prepaid expenses and other assets		2,646		2,723		2,336		2,222		3,471
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		11,035
Variation margin on future contracts		4,656		14,297		11,078		8,734		62,394
Unrealized appreciation on forward foreign currency contracts		5,747		21,723		29,912		28,874		126,291
Swap premiums paid		1,799		13,087		21,823		21,824		—
Unrealized appreciation on swap contracts		473		3,875		6,595		6,594		234,428
Total assets		67,721,574		133,187,284		104,742,008		88,939,627		141,772,204
LIABILITIES:
Payable for:
Fund shares redeemed		26,413		58,634		73,508		52,017		71,816
Investments purchased		4,530,886		15,568,674		16,199,234		16,953,935		5,273,182
Payments on swap contracts		8		42		64		64		64,960
Investment advisory and management fees		47,622		85,715		61,585		47,384		93,796
Service fees — Class 2		2,596		5,930		5,013		4,077		7,674
Service fees — Class 3		6,630		12,966		8,500		6,950		10,990
Transfer agent fees and expenses		277		277		292		277		860
Trustees' fees and expenses		1,007		1,956		1,463		1,174		2,181
Other accrued expenses		73,780		85,780		72,787		70,334		115,515
Accrued foreign tax on capital gains		—		—		—		—		3
Line of credit		368,631		581,268		—		—		—
Variation margin on future contracts		1,250		6,563		12,344		8,718		113,918
Due to custodian		42,856		—		28,625		—		—
Due to broker		—		—		—		87		309
Unrealized depreciation on forward foreign currency contracts		11,369		42,458		49,754		50,219		177,459
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		215,864
Commitments (Note 13)		—		—		—		—		—
Total liabilities		5,113,325		16,450,263		16,513,169		17,195,236		6,148,527
NET ASSETS	$	62,608,249	$	116,737,021	$	88,228,839	$	71,744,391	$	135,623,677
* Cost
Investments (unaffiliated)	$	61,421,531	$	122,256,935	$	97,093,635	$	83,091,287	$	128,906,846
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	3,608	$	15	$	5	$	106	$	231,689

See Notes to Financial Statements

322

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (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	$	46,516,819		$	92,070,534		$	75,858,830		$	65,109,231		$	105,627,287
Accumulated undistributed net investment income (loss)		420,068			1,658,315			2,089,102			1,952,880			4,819,691
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		11,727,393			18,865,249			8,992,431			4,568,924			25,465,886
Unrealized appreciation (depreciation) on investments		3,961,048			4,204,227			1,316,472			133,841			(411,108	)
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		(11,255	)		(39,995	)		(7,055	)		2,071			178,493
Unrealized foreign exchange gain (loss) on other assets and liabilities		(5,824	)		(21,309	)		(20,941	)		(22,556	)		(56,569	)
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			(3	)
NET ASSETS	$	62,608,249		$	116,737,021		$	88,228,839		$	71,744,391		$	135,623,677
Class 1 (unlimited shares authorized):
Net assets	$	11,497,362		$	11,116,492		$	10,141,613		$	7,771,485		$	18,695,615
Shares of beneficial interest issued and outstanding		634,248			779,895			830,520			658,590			1,445,551
Net asset value, offering and redemption price per share	$	18.13		$	14.25		$	12.21		$	11.80		$	12.93
Class 2 (unlimited shares authorized):
Net assets	$	20,468,677		$	46,840,005		$	39,523,218		$	32,229,254		$	63,012,559
Shares of beneficial interest issued and outstanding		1,131,081			3,293,861			3,244,485			2,738,097			4,877,780
Net asset value, offering and redemption price per share	$	18.10		$	14.22		$	12.18		$	11.77		$	12.92
Class 3 (unlimited shares authorized):
Net assets	$	30,642,210		$	58,780,524		$	38,564,008		$	31,743,652		$	53,915,503
Shares of beneficial interest issued and outstanding		1,698,693			4,150,429			3,178,086			2,706,772			4,183,062
Net asset value, offering and redemption price per share	$	18.04		$	14.16		$	12.13		$	11.73		$	12.89

See Notes to Financial Statements

323

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (unaudited)

	Stock Portfolio		Large Cap Growth Portfolio		Large Cap Value Portfolio		Mid Cap Growth Portfolio		Mid Cap Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	448,311,590	$	436,703,483	$	877,977,200	$	213,907,495	$	315,294,058
Investments at value (affiliated)*		—		—		2,683,836		—		128,747
Repurchase agreements (cost approximates value)		—		2,946,000		7,372,000		4,554,000		2,810,000
Total investments		448,311,590		439,649,483		888,033,036		218,461,495		318,232,805
Cash		—		86,455		42,546		30,352		19,895
Foreign cash*		—		—		—		1		—
Due from broker		—		65,000		55,000		77,000		153,000
Receivable for:
Fund shares sold		11,026		433,838		1,251,992		321,625		480,924
Dividends and interest		171,394		368,640		1,610,199		94,086		550,548
Investments sold		6,659,961		1,849,808		1,281,966		965,225		1,274,360
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		2,457		3,181		3,029		2,289		4,407
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		—
Variation margin on future contracts		—		23,400		13,500		7,720		7,720
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		455,156,428		442,479,805		892,291,268		219,959,793		320,723,659
LIABILITIES:
Payable for:
Fund shares redeemed		57,701		577,630		268,596		142,048		147,493
Investments purchased		3,284,961		2,929,093		3,690,364		577,933		3,730,507
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		316,801		285,519		545,736		158,071		222,291
Service fees — Class 2		6,239		4,544		3,714		3,021		3,557
Service fees — Class 3		9,315		38,511		36,041		14,617		13,705
Transfer agent fees and expenses		938		543		519		528		503
Trustees' fees and expenses		6,188		6,039		12,801		2,842		4,562
Other accrued expenses		78,024		83,589		127,237		64,325		87,345
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on future contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Total liabilities		3,760,167		3,925,468		4,685,008		963,385		4,209,963
NET ASSETS	$	451,396,261	$	438,554,337	$	887,606,260	$	218,996,408	$	316,513,696
* Cost
Investments (unaffiliated)	$	372,440,914	$	379,145,046	$	882,172,656	$	194,055,067	$	324,058,398
Investments (affiliated)	$	—	$	—	$	2,079,823	$	—	$	106,902
Foreign cash	$	—	$	—	$	—	$	1	$	—

See Notes to Financial Statements

324

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (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	$	310,280,226		$	318,795,185		$	807,864,777		$	175,494,394		$	253,081,089
Accumulated undistributed net investment income (loss)		(708,635	)		2,694,278			20,737,133			(228,897	)		3,263,628
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		65,954,727			59,523,452			62,605,470			23,892,263			68,925,217
Unrealized appreciation (depreciation) on investments		75,870,676			57,558,437			(3,591,443	)		19,852,428			(8,742,495	)
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			(17,017	)		(8,870	)		(13,767	)		(13,767	)
Unrealized foreign exchange gain (loss) on other assets and liabilities		(733	)		2			(807	)		(13	)		24
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
NET ASSETS	$	451,396,261		$	438,554,337		$	887,606,260		$	218,996,408		$	316,513,696
Class 1 (unlimited shares authorized):
Net assets	$	358,769,080		$	220,206,883		$	686,244,574		$	127,319,163		$	223,680,833
Shares of beneficial interest issued and outstanding		14,771,997			16,915,857			44,435,583			7,840,174			12,193,658
Net asset value, offering and redemption price per share	$	24.29		$	13.02		$	15.44		$	16.24		$	18.34
Class 2 (unlimited shares authorized):
Net assets	$	48,927,137		$	35,769,998		$	29,539,750		$	23,584,754		$	28,048,161
Shares of beneficial interest issued and outstanding		2,049,056			2,795,499			1,916,552			1,500,461			1,533,693
Net asset value, offering and redemption price per share	$	23.88		$	12.80		$	15.41		$	15.72		$	18.29
Class 3 (unlimited shares authorized):
Net assets	$	43,700,044		$	182,577,456		$	171,821,936		$	68,092,491		$	64,784,702
Shares of beneficial interest issued and outstanding		1,848,946			14,390,267			11,172,572			4,412,434			3,550,718
Net asset value, offering and redemption price per share	$	23.64		$	12.69		$	15.38		$	15.43		$	18.25

See Notes to Financial Statements

325

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (unaudited)

	Small Cap Portfolio		International Equity Portfolio		Diversified Fixed Income Portfolio		Real Return Portfolio		SA Columbia Focused Growth Portfolio@
ASSETS:
Investments at value (unaffiliated)*	$	243,815,697	$	668,276,837	$	1,253,506,317	$	590,601,638	$	179,174,852
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		2,437,000		21,641,000		68,937,000		39,195,000		6,061,000
Total investments		246,252,697		689,917,837		1,322,443,317		629,796,638		185,235,852
Cash		3,296		66,069		855,871		1,511		48
Foreign cash*		—		1,520,579		24,538		17		—
Due from broker		324,999		730,000		2,605,571		—		—
Receivable for:
Fund shares sold		448,619		1,423,631		1,587,567		39,347		966,501
Dividends and interest		322,859		2,434,401		6,971,450		1,487,965		106,101
Investments sold		1,895,864		119,214		1,984,416		—		482,898
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		7,291		2,652		2,135		2,135		2,569
Due from investment adviser for expense reimbursements/fee waivers		—		23,119		—		—		46,046
Variation margin on future contracts		36,750		244,090		19,993		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		243,512		369,667		—
Swap premiums paid		—		—		2,577,185		—		—
Unrealized appreciation on swap contracts		—		—		324,368		—		—
Total assets		249,292,375		696,481,592		1,339,639,923		631,697,280		186,840,015
LIABILITIES:
Payable for:
Fund shares redeemed		89,980		222,591		1,048,696		15,777,330		18,244
Investments purchased		2,696,231		1,701,664		116,971,527		2,890,821		2,187,300
Payments on swap contracts		—		—		3,563,189		—		—
Investment advisory and management fees		175,571		522,022		619,145		303,712		148,536
Service fees — Class 2		2,423		3,057		4,359		—		3,640
Service fees — Class 3		10,933		49,176		94,803		94,968		8,698
Transfer agent fees and expenses		519		515		519		602		491
Trustees' fees and expenses		3,358		9,268		14,577		9,486		2,409
Other accrued expenses		79,000		173,000		203,911		116,605		48,999
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on future contracts		—		—		24,250		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		409,187		267,679		—
Swap premiums received		—		—		312,487		—		—
Unrealized depreciation on swap contracts		—		—		74,325		—		—
Commitments (Note 13)		—		—		10,000		—		—
Total liabilities		3,058,015		2,681,293		123,350,975		19,461,203		2,418,317
NET ASSETS	$	246,234,360	$	693,800,299	$	1,216,288,948	$	612,236,077	$	184,421,698
*Cost
Investments (unaffiliated)	$	232,302,408	$	712,479,575	$	1,248,621,866	$	619,410,023	$	193,536,340
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	—	$	1,536,613	$	24,308	$	17	$	—

@ See Note 1

See Notes to Financial Statements

326

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (unaudited)

	Small Cap Portfolio			International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			SA Columbia Focused Growth Portfolio@
NET ASSETS REPRESENTED BY:
Capital paid-in	$	213,070,879		$	783,149,126		$	1,182,651,855		$	625,690,801		$	157,980,728
Accumulated undistributed net investment income (loss)		1,113,718			15,593,957			33,349,670			24,846,574			(502,180	)
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		20,650,515			(60,180,352	)		(4,674,491	)		(9,577,264	)		41,307,140
Unrealized appreciation (depreciation) on investments		11,513,289			(44,202,738	)		4,884,451			(28,808,385	)		(14,361,488	)
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		(114,041	)		(474,576	)		250,942			—			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—			(85,118	)		(173,479	)		84,351			(2,502	)
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
NET ASSETS	$	246,234,360		$	693,800,299		$	1,216,288,948		$	612,236,077		$	184,421,698
Class 1 (unlimited shares authorized):
Net assets	$	175,572,697		$	436,361,382		$	720,046,537		$	165,299,975		$	115,241,638
Shares of beneficial interest issued and outstanding		13,766,530			55,211,080			61,085,491			16,918,116			11,697,899
Net asset value, offering and redemption price per share	$	12.75		$	7.90		$	11.79		$	9.77		$	9.85
Class 2 (unlimited shares authorized):
Net assets	$	19,138,611		$	24,267,958		$	35,075,412		$	—		$	28,524,779
Shares of beneficial interest issued and outstanding		1,534,959			3,068,941			2,982,203			—			2,988,001
Net asset value, offering and redemption price per share	$	12.47		$	7.91		$	11.76					$	9.55
Class 3 (unlimited shares authorized):
Net assets	$	51,523,052		$	233,170,959		$	461,166,999		$	446,936,102		$	40,655,281
Shares of beneficial interest issued and outstanding		4,192,612			29,597,810			39,417,126			46,051,699			4,337,425
Net asset value, offering and redemption price per share	$	12.29		$	7.88		$	11.70		$	9.71		$	9.37

@ See Note 1

See Notes to Financial Statements

327

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (unaudited)

	SA Columbia Focused Value Portfolio@		Allocation Growth Portfolio		Allocation Moderate Growth Portfolio		Allocation Moderate Portfolio		Allocation Balanced Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	283,576,913	$	—	$	—	$	—	$	—
Investments at value (affiliated)*		—		95,787,721		539,824,523		335,550,001		265,955,121
Repurchase agreements (cost approximates value)		13,063,000		—		—		—		—
Total investments		296,639,913		95,787,721		539,824,523		335,550,001		265,955,121
Cash		776		—		—		—		—
Foreign cash*		—		—		—		—		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		625,460		298,116		113,420		72,303		31,700
Dividends and interest		371,006		—		—		—		—
Investments sold		2,178,621		—		526,990		257,664		508,007
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		2,137		2,135		2,135		2,135		2,135
Due from investment adviser for expense reimbursements/fee waivers		80,143		801		4,515		2,797		2,210
Variation margin on future contracts		—		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		299,898,056		96,088,773		540,471,583		335,884,900		266,499,173
LIABILITIES:
Payable for:
Fund shares redeemed		17,642		5,728		640,393		329,954		539,696
Investments purchased		—		292,380		—		—		—
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		247,397		8,002		45,147		27,973		22,101
Service fees — Class 2		1,784		—		—		—		—
Service fees — Class 3		6,193		—		—		—		—
Transfer agent fees and expenses		547		222		221		221		222
Trustees' fees and expenses		4,222		1,588		8,624		5,281		4,251
Other accrued expenses		58,898		35,263		80,294		58,114		51,389
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on future contracts				—		—		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Total liabilities		336,683		343,183		774,679		421,543		617,659
NET ASSETS	$	299,561,373	$	95,745,590	$	539,696,904	$	335,463,357	$	265,881,514
* Cost
Investments (unaffiliated)	$	310,356,710	$	—	$	—	$	—	$	—
Investments (affiliated)	$	—	$	87,123,609	$	489,406,281	$	312,281,877	$	253,515,525
Foreign cash	$	—	$	—	$	—	$	—	$	—

@ See Note 1

See Notes to Financial Statements

328

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2015 (unaudited)

	SA Columbia Focused Value Portfolio@			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio		Allocation Moderate Portfolio		Allocation Balanced Portfolio
NET ASSETS REPRESENTED BY:
Capital paid-in	$	286,470,488		$	96,838,235		$	425,128,277	$	280,809,563	$	221,901,030
Accumulated undistributed net investment income (loss)		4,854,470			1,302,720			7,198,880		4,169,566		3,298,497
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		35,016,212			(11,059,477	)		56,951,505		27,216,104		28,242,391
Unrealized appreciation (depreciation) on investments		(26,779,797	)		8,664,112			50,418,242		23,268,124		12,439,596
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			—			—		—		—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—			—			—		—		—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—		—		—
NET ASSETS	$	299,561,373		$	95,745,590		$	539,696,904	$	335,463,357	$	265,881,514
Class 1 (unlimited shares authorized):
Net assets	$	256,005,645		$	—		$	—	$	—	$	—
Shares of beneficial interest issued and outstanding		15,855,432			—			—		—		—
Net asset value, offering and redemption price per share	$	16.15
Class 2 (unlimited shares authorized):
Net assets	$	14,183,751		$	—		$	—	$	—	$	—
Shares of beneficial interest issued and outstanding		880,193			—			—		—		—
Net asset value, offering and redemption price per share	$	16.11
Class 3 (unlimited shares authorized):
Net assets	$	29,371,977		$	95,745,590		$	539,696,904	$	335,463,357	$	265,881,514
Shares of beneficial interest issued and outstanding		1,827,773			7,792,005			41,926,372		27,352,158		22,382,545
Net asset value, offering and redemption price per share	$	16.07		$	12.29		$	12.87	$	12.26	$	11.88

@ See Note 1

See Notes to Financial Statements

329

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

September 30, 2015 (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)	$	310,133		$	467,845		$	187,841		$	78,172		$	1,313,250
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		300,536			879,368			1,087,108			1,114,073			483,171
Total investment income*		610,669			1,347,213			1,274,949			1,192,245			1,796,421
Expenses:
Investment advisory and management fees		307,066			558,853			395,502			304,421			625,363
Service Fees:
Class 2		16,744			38,215			31,990			25,953			50,875
Class 3		42,682			85,099			54,798			44,176			73,220
Transfer agent fees and expenses		540			540			536			540			1,773
Custodian and accounting fees		49,143			57,324			45,725			43,264			82,799
Reports to shareholders		4,516			8,701			6,380			5,144			9,580
Audit and tax fees		23,408			23,408			23,389			23,389			26,615
Legal fees		4,076			4,103			4,147			3,691			5,079
Trustees' fees and expenses		966			1,868			1,388			1,117			2,089
Interest expense		143			396			243			47			5
Other expenses		14,825			16,216			11,723			11,069			18,623
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		464,109			794,723			575,821			462,811			896,021
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			(73,572	)
Fees paid indirectly (Note 5)		(770	)		(978	)		(303	)		(125	)		(2,600	)
Net expenses		463,339			793,745			575,518			462,686			819,849
Net investment income (loss)		147,330			553,468			699,431			729,559			976,572
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		2,849,284			4,823,345			1,543,019			645,810			10,810,680
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		4,022			(54,594	)		(8,996	)		55,155			398,075
Net realized foreign exchange gain (loss) on other assets and liabilities		9,831			9,902			27,564			29,781			290,035
Net realized gain (loss) on investments and foreign currencies		2,863,137			4,778,653			1,561,587			730,746			11,498,790
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(7,248,263	)		(12,203,563	)		(5,418,966	)		(3,447,815	)		(23,154,566	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		6,761			(28,706	)		7,574			(5,743	)		257,017
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(3,809	)		(22,364	)		(20,661	)		(21,926	)		(343,230	)
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		7			22			27			27			(3	)
Net unrealized gain (loss) on investments and foreign currencies		(7,245,304	)		(12,254,611	)		(5,432,026	)		(3,475,457	)		(23,240,782	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(4,382,167	)		(7,475,958	)		(3,870,439	)		(2,744,711	)		(11,741,992	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(4,234,837	)	$	(6,922,490	)	$	(3,171,008	)	$	(2,015,152	)	$	(10,765,420	)
* Net of foreign withholding taxes on interest and dividends of	$	307		$	610		$	248		$	242		$	43,056
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	3

See Notes to Financial Statements

330

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

September 30, 2015 (unaudited)

	Stock Portfolio			Large Cap Growth Portfolio			Large Cap Value Portfolio			Mid Cap Growth Portfolio			Mid Cap Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,695,087		$	2,946,134		$	12,416,210		$	901,382		$	3,316,955
Dividends (affiliated)		—			—			20,068			—			1,766
Interest (unaffiliated)		1,757			789			7,381			1,688			—
Total investment income*		1,696,844			2,946,923			12,443,659			903,070			3,318,721
Expenses:
Investment advisory and management fees		2,018,499			1,728,974			3,622,630			964,411			1,473,883
Service Fees:
Class 2		40,706			29,824			25,934			20,312			24,238
Class 3		60,949			242,535			302,068			71,907			123,811
Transfer agent fees and expenses		1,849			1,121			1,134			1,125			1,170
Custodian and accounting fees		39,993			36,209			72,657			26,814			51,010
Reports to shareholders		28,519			26,692			58,486			13,016			21,763
Audit and tax fees		17,325			17,346			17,390			17,470			17,413
Legal fees		3,603			2,924			5,182			2,795			4,350
Trustees' fees and expenses		6,283			5,969			12,761			2,857			4,460
Interest expense		—			114			2,309			—			412
Other expenses		22,102			24,092			42,802			22,459			20,598
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		2,239,828			2,115,800			4,163,353			1,143,166			1,743,108
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			—
Fees paid indirectly (Note 5)		(2,211	)		(5,661	)		(1,183	)		(723	)		(10,981	)
Net expenses		2,237,617			2,110,139			4,162,170			1,142,443			1,732,127
Net investment income (loss)		(540,773	)		836,784			8,281,489			(239,373	)		1,586,594
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		31,967,923			13,777,940			21,883,234			10,347,471			16,472,746
Net realized gain (loss) on investments (affiliated)**		—			—			157,122			—			8,833
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			(44,025	)		(66,680	)		(39,834	)		(39,808	)
Net realized foreign exchange gain (loss) on other assets and liabilities		(6,163	)		—			(666	)		(2,264	)		236
Net realized gain (loss) on investments and foreign currencies		31,961,760			13,733,915			21,973,010			10,305,373			16,442,007
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(49,023,989	)		(41,998,878	)		(121,774,973	)		(32,222,809	)		(54,220,218	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			(33,410	)		—			(15,390	)
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		—			(10,200	)		(7,150	)		(18,702	)		(18,720	)
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		194			—			(208	)		66			27
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		(49,023,795	)		(42,009,078	)		(121,815,741	)		(32,241,445	)		(54,254,301	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(17,062,035	)		(28,275,163	)		(99,842,731	)		(21,936,072	)		(37,812,294	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(17,602,808	)	$	(27,438,379	)	$	(91,561,242	)	$	(22,175,445	)	$	(36,225,700	)
* Net of foreign withholding taxes on interest and dividends of	$	3,706		$	222		$	83,692		$	3,089		$	8,229
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

331

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

September 30, 2015 (unaudited)

	Small Cap Portfolio			International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			SA Columbia Focused Growth Portfolio@
Investment Income:
Dividends (unaffiliated)	$	1,714,304		$	11,429,501		$	35,081		$	—		$	447,012
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		87			2,491			15,064,918			9,245,395			1,336
Total investment income*		1,714,391			11,431,992			15,099,999			9,245,395			448,348
Expenses:
Investment advisory and management fees		1,097,095			3,277,282			3,583,755			1,908,733			909,221
Service Fees:
Class 2		16,662			21,028			27,555			—			24,481
Class 3		93,300			321,475			528,158			605,283			51,282
Transfer agent fees and expenses		1,134			1,148			1,134			1,215			999
Custodian and accounting fees		46,033			132,028			163,172			49,296			14,466
Reports to shareholders		15,613			43,551			65,957			35,232			11,249
Audit and tax fees		17,541			24,162			24,925			23,259			16,258
Legal fees		2,825			6,744			8,087			3,497			6,004
Trustees' fees and expenses		3,322			9,280			14,225			9,150			2,366
Interest expense		150			309			—			—			—
Other expenses		23,633			34,903			51,867			12,675			13,523
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,317,308			3,871,910			4,468,835			2,648,340			1,049,849
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			(145,402	)		—			—			(98,544	)
Fees paid indirectly (Note 5)		(8,124	)		(4,112	)		—			—			(777	)
Net expenses		1,309,184			3,722,396			4,468,835			2,648,340			950,528
Net investment income (loss)		405,207			7,709,596			10,631,164			6,597,055			(502,180	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		4,578,822			612,962			(1,795,558	)		(1,439,395	)		21,788,711
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		(124,484	)		(185,940	)		1,345,133			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(34	)		(154,802	)		66,591			(4,730,176	)		246
Net realized gain (loss) on investments and foreign currencies		4,454,304			272,220			(383,834	)		(6,169,571	)		21,788,957
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(33,925,464	)		(85,827,647	)		(23,016,736	)		(12,275,192	)		(37,828,770	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts		(165,289	)		(400,055	)		227,851			—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—			33,047			(206,307	)		457,488			117
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			212			—			—
Net unrealized gain (loss) on investments and foreign currencies		(34,090,753	)		(86,194,655	)		(22,994,980	)		(11,817,704	)		(37,828,653	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(29,636,449	)		(85,922,435	)		(23,378,814	)		(17,987,275	)		(16,039,696	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(29,231,242	)	$	(78,212,839	)	$	(12,747,650	)	$	(11,390,220	)	$	(16,541,876	)
* Net of foreign withholding taxes on interest and dividends of	$	2,303		$	994,135		$	1,942		$	—		$	3,487
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	872		$	—		$	—

@  See Note 1

See Notes to Financial Statements

332

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

September 30, 2015 (unaudited)

	SA Columbia Focused Value Portfolio@			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			Allocation Balanced Portfolio
Investment Income:
Dividends (unaffiliated)	$	3,230,882		$	—		$	—		$	—		$	—
Dividends (affiliated)
Interest (unaffiliated)		412			—			—			—			—
Total investment income*		3,231,294			—			—			—			—
Expenses:
Investment advisory and management fees		1,601,643			53,505			293,815			181,691			144,453
Service Fees:
Class 2		12,184			—			—			—			—
Class 3		41,405			—			—			—			—
Transfer agent fees and expenses		1,107			432			432			432			432
Custodian and accounting fees		24,214			6,053			6,053			6,017			6,036
Reports to shareholders		19,331			7,048			38,051			23,328			18,649
Audit and tax fees		16,261			12,136			12,136			12,136			12,136
Legal fees		6,829			5,204			7,754			6,572			6,178
Trustees' fees and expenses		4,238			1,511			8,219			5,048			4,056
Interest expense		—			262			1,206			695			753
Other expenses		15,662			6,843			7,057			5,334			4,610
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,742,874			92,994			374,723			241,253			197,303
Fees waived and expenses reimbursed by investment advisor (Note 3)		(228,393	)		(1,764	)		(9,852	)		(6,114	)		(4,848	)
Fees paid indirectly (Note 5)		(9,668	)		—			—			—			—
Net expenses		1,504,813			91,230			364,871			235,139			192,455
Net investment income (loss)		1,726,481			(91,230	)		(364,871	)		(235,139	)		(192,455	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		32,067,953			—			—			—			—
Net realized gain (loss) on investments (affiliated)**		—			8,211,841			36,845,378			20,398,114			17,398,480
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		81			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		32,068,034			8,211,841			36,845,378			20,398,114			17,398,480
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(68,045,562	)		—			—			—			—
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			(16,112,060	)		(74,673,301	)		(40,834,306	)		(30,218,422	)
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		(96	)		—			—			—			—
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		(68,045,658	)		(16,112,060	)		(74,673,301	)		(40,834,306	)		(30,218,422	)
Net realized and unrealized gain (loss) on investments and foreign currencies		(35,977,624	)		(7,900,219	)		(37,827,923	)		(20,436,192	)		(12,819,942	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(34,251,143	)	$	(7,991,449	)	$	(38,192,794	)	$	(20,671,331	)	$	(13,012,397	)
* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

@  See Note 1

See Notes to Financial Statements

333

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS

	Multi-Managed Growth						Multi-Managed Moderate Growth						Multi-Managed Income/Equity
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	147,330		$	327,939		$	553,468		$	1,128,448		$	699,431		$	1,337,003
Net realized gain (loss) on investments and foreign currencies		2,863,137			9,072,052			4,778,653			14,734,909			1,561,587			8,217,967
Net unrealized gain (loss) on investments and foreign currencies		(7,245,304	)		(994,788	)		(12,254,611	)		(1,752,371	)		(5,432,026	)		(1,472,353	)
Net increase (decrease) in net assets resulting from operations		(4,234,837	)		8,405,203			(6,922,490	)		14,110,986			(3,171,008	)		8,082,617
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(60,164	)		—			(110,611	)		—			(167,365	)
Net investment income — Class 2		—			(73,292	)		—			(348,960	)		—			(567,412	)
Net investment income — Class 3		—			(82,744	)		—			(444,104	)		—			(566,714	)
Net realized gain on investments — Class 1		—			(1,819,437	)		—			(1,423,080	)		—			(874,403	)
Net realized gain on investments — Class 2		—			(3,285,247	)		—			(5,541,223	)		—			(3,345,586	)
Net realized gain on investments — Class 3		—			(5,197,288	)		—			(7,975,950	)		—			(3,525,633	)
Total distributions to shareholders		—			(10,518,172	)		—			(15,843,928	)		—			(9,047,113	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(4,725,118	)		(1,791,994	)		(14,246,903	)		(7,653,178	)		(10,844,712	)		(4,254,673	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(8,959,955	)		(3,904,963	)		(21,169,393	)		(9,386,120	)		(14,015,720	)		(5,219,169	)
NET ASSETS:
Beginning of period		71,568,204			75,473,167			137,906,414			147,292,534			102,244,559			107,463,728
End of period†	$	62,608,249		$	71,568,204		$	116,737,021		$	137,906,414		$	88,228,839		$	102,244,559
† Includes accumulated undistributed net investment income (loss)	$	420,068		$	272,738		$	1,658,315		$	1,104,847		$	2,089,102		$	1,389,671

See Notes to Financial Statements

334

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Multi-Managed Income						Asset Allocation: Diversified Growth						Stock
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	729,559		$	1,363,956		$	976,572		$	1,869,507		$	(540,773	)	$	(818,942	)
Net realized gain (loss) on investments and foreign currencies		730,746			4,440,509			11,498,790			17,302,269			31,961,760			34,984,899
Net unrealized gain (loss) on investments and foreign currencies		(3,475,457	)		(831,016	)		(23,240,782	)		(3,687,704	)		(49,023,795	)		30,843,590
Net increase (decrease) in net assets resulting from operations		(2,015,152	)		4,973,449			(10,765,420	)		15,484,072			(17,602,808	)		65,009,547
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(169,084	)		—			(389,289	)		—			—
Net investment income — Class 2		—			(560,443	)		—			(1,143,720	)		—			—
Net investment income — Class 3		—			(531,579	)		—			(933,536	)		—			—
Net realized gain on investments — Class 1		—			(414,645	)		—			(154,029	)		—			(16,764,477	)
Net realized gain on investments — Class 2		—			(1,516,780	)		—			(497,444	)		—			(2,881,721	)
Net realized gain on investments — Class 3		—			(1,527,729	)		—			(435,648	)		—			(2,644,794	)
Total distributions to shareholders		—			(4,720,260	)		—			(3,553,666	)		—			(22,290,992	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(8,547,331	)		(4,680,248	)		(8,217,206	)		(20,055,272	)		(19,415,362	)		96,140,773
TOTAL INCREASE (DECREASE) IN NET ASSETS		(10,562,483	)		(4,427,059	)		(18,982,626	)		(8,124,866	)		(37,018,170	)		138,859,328
NET ASSETS:
Beginning of period		82,306,874			86,733,933			154,606,303			162,731,169			488,414,431			349,555,103
End of period†	$	71,744,391		$	82,306,874		$	135,623,677		$	154,606,303		$	451,396,261		$	488,414,431
† Includes accumulated undistributed net investment income (loss)	$	1,952,880		$	1,223,321		$	4,819,691		$	3,843,119		$	(708,635	)	$	(167,862	)

See Notes to Financial Statements

335

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Large Cap Growth						Large Cap Value						Mid Cap Growth
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	836,784		$	1,846,262		$	8,281,489		$	12,395,153		$	(239,373	)	$	(413,157	)
Net realized gain (loss) on investments and foreign currencies		13,733,915			46,940,608			21,973,010			50,964,474			10,305,373			15,005,167
Net unrealized gain (loss) on investments and foreign currencies		(42,009,078	)		15,404,302			(121,815,741	)		(8,178,883	)		(32,241,445	)		11,105,634
Net increase (decrease) in net assets resulting from operations		(27,438,379	)		64,191,172			(91,561,242	)		55,180,744			(22,175,445	)		25,697,644
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(723,958	)		—			(6,566,523	)		—			—
Net investment income — Class 2		—			(95,865	)		—			(354,385	)		—			—
Net investment income — Class 3		—			(242,037	)		—			(2,258,500	)		—			—
Net realized gain on investments — Class 1		—			(25,211,895	)		—			(724,685	)		—			(9,414,815	)
Net realized gain on investments — Class 2		—			(5,520,326	)		—			(45,637	)		—			(2,248,411	)
Net realized gain on investments — Class 3		—			(25,792,643	)		—			(322,503	)		—			(4,665,696	)
Total distributions to shareholders		—			(57,586,724	)		—			(10,272,233	)		—			(16,328,922	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		12,488,458			35,270,699			(1,611,540	)		224,210,942			18,781,846			49,679,502
TOTAL INCREASE (DECREASE) IN NET ASSETS		(14,949,921	)		41,875,147			(93,172,782	)		269,119,453			(3,393,599	)		59,048,224
NET ASSETS:
Beginning of period		453,504,258			411,629,111			980,779,042			711,659,589			222,390,007			163,341,783
End of period†	$	438,554,337		$	453,504,258		$	887,606,260		$	980,779,042		$	218,996,408		$	222,390,007
† Includes accumulated undistributed net investment income (loss)	$	2,694,278		$	1,857,494		$	20,737,133		$	12,455,644		$	(228,897	)	$	10,476

See Notes to Financial Statements

336

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Mid Cap Value						Small Cap						International Equity
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,586,594		$	1,665,248		$	405,207		$	744,848		$	7,709,596		$	9,428,050
Net realized gain (loss) on investments and foreign currencies		16,442,007			54,815,407			4,454,304			18,907,846			272,220			15,128,952
Net unrealized gain (loss) on investments and foreign currencies		(54,254,301	)		(20,674,153	)		(34,090,753	)		(5,488,931	)		(86,194,655	)		(26,919,471	)
Net increase (decrease) in net assets resulting from operations		(36,225,700	)		35,806,502			(29,231,242	)		14,163,763			(78,212,839	)		(2,362,469	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(1,396,766	)		—			(271,551	)		—			(5,776,920	)
Net investment income — Class 2		—			(233,054	)		—			(11,007	)		—			(386,061	)
Net investment income — Class 3		—			(638,014	)		—			—			—			(3,445,547	)
Net realized gain on investments — Class 1		—			(13,575,916	)		—			(5,069,902	)		—			—
Net realized gain on investments — Class 2		—			(2,793,720	)		—			(959,375	)		—			—
Net realized gain on investments — Class 3		—			(10,001,795	)		—			(3,592,953	)		—			—
Total distributions to shareholders		—			(28,639,265	)		—			(9,904,788	)		—			(9,608,528	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		10,717,264			269,829			18,904,295			32,890,036			55,735,015			163,788,806
TOTAL INCREASE (DECREASE) IN NET ASSETS		(25,508,436	)		7,437,066			(10,326,947	)		37,149,011			(22,477,824	)		151,817,809
NET ASSETS:
Beginning of period		342,022,132			334,585,066			256,561,307			219,412,296			716,278,123			564,460,314
End of period†	$	316,513,696		$	342,022,132		$	246,234,360		$	256,561,307		$	693,800,299		$	716,278,123
† Includes accumulated undistributed net investment income (loss)	$	3,263,628		$	1,677,034		$	1,113,718		$	708,511		$	15,593,957		$	7,884,361

See Notes to Financial Statements

337

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Diversified Fixed Income						Real Return						SA Columbia Focused Growth*
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	10,631,164		$	18,085,941		$	6,597,055		$	(5,958,050	)	$	(502,180	)	$	(801,008	)
Net realized gain (loss) on investments and foreign currencies		(383,834	)		9,659,254			(6,169,571	)		35,251,270			21,788,957			20,945,051
Net unrealized gain (loss) on investments and foreign currencies		(22,994,980	)		17,251,408			(11,817,704	)		(18,161,543	)		(37,828,653	)		(1,791,625	)
Net increase (decrease) in net assets resulting from operations		(12,747,650	)		44,996,603			(11,390,220	)		11,131,677			(16,541,876	)		18,352,418
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(9,947,864	)		—			—			—			—
Net investment income — Class 2		—			(625,050	)		—			—			—			—
Net investment income — Class 3		—			(6,039,794	)		—			—			—			—
Net realized gain on investments — Class 1		—			—			—			—			—			(17,354,199	)
Net realized gain on investments — Class 2		—			—			—			—			—			(6,502,484	)
Net realized gain on investments — Class 3		—			—			—			—			—			(8,295,360	)
Total distributions to shareholders		—			(16,612,708	)		—			—			—			(32,152,043	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		147,374,595			144,130,047			(65,368,578	)		41,867,976			21,926,118			28,811,618
TOTAL INCREASE (DECREASE) IN NET ASSETS		134,626,945			172,513,942			(76,758,798	)		52,999,653			5,384,242			15,011,993
NET ASSETS:
Beginning of period		1,081,662,003			909,148,061			688,994,875			635,995,222			179,037,456			164,025,463
End of period†	$	1,216,288,948		$	1,081,662,003		$	612,236,077		$	688,994,875		$	184,421,698		$	179,037,456
† Includes accumulated undistributed net investment income (loss)	$	33,349,670		$	22,718,506		$	24,846,574		$	18,249,519		$	(502,180	)	$	—

* See Note 1

See Notes to Financial Statements

338

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	SA Columbia Focused Value*						Allocation Growth						Allocation Moderate Growth
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,726,481		$	3,127,987		$	(91,230	)	$	644,813		$	(364,871	)	$	4,338,965
Net realized gain (loss) on investments and foreign currencies		32,068,034			14,967,162			8,211,841			12,996,065			36,845,378			54,095,934
Net unrealized gain (loss) on investments and foreign currencies		(68,045,658	)		9,182,958			(16,112,060	)		(5,918,939	)		(74,673,301	)		(20,024,462	)
Net increase (decrease) in net assets resulting from operations		(34,251,143	)		27,278,107			(7,991,449	)		7,721,939			(38,192,794	)		38,410,437
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(1,508,667	)		—			—			—			—
Net investment income — Class 2		—			(78,996	)		—			—			—			—
Net investment income — Class 3		—			(115,582	)		—			(723,183	)		—			(6,087,464	)
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		—			(1,703,245	)		—			(723,183	)		—			(6,087,464	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		5,470,872			65,951,219			(7,032,290	)		(15,500,732	)		(27,343,051	)		(79,357,234	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(28,780,271	)		91,526,081			(15,023,739	)		(8,501,976	)		(65,535,845	)		(47,034,261	)
NET ASSETS:
Beginning of period		328,341,644			236,815,563			110,769,329			119,271,305			605,232,749			652,267,010
End of period†	$	299,561,373		$	328,341,644		$	95,745,590		$	110,769,329		$	539,696,904		$	605,232,749
† Includes accumulated undistributed net investment income (loss)	$	4,854,470		$	3,127,989		$	1,302,720		$	1,393,950		$	7,198,880		$	7,563,751

* See Note 1

See Notes to Financial Statements

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SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Allocation Moderate						Allocation Balanced
	For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015			For the six months ended September 30, 2015 (unaudited)			For the year ended March 31, 2015
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	(235,139	)	$	2,833,592		$	(192,455	)	$	2,347,464
Net realized gain (loss) on investments and foreign currencies		20,398,114			28,690,691			17,398,480			20,319,274
Net unrealized gain (loss) on investments and foreign currencies		(40,834,306	)		(8,727,498	)		(30,218,422	)		(5,019,104	)
Net increase (decrease) in net assets resulting from operations		(20,671,331	)		22,796,785			(13,012,397	)		17,647,634
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			—			—			—
Net investment income — Class 2		—			—			—			—
Net investment income — Class 3		—			(4,082,422	)		—			(3,565,216	)
Net realized gain on investments — Class 1		—			—			—			—
Net realized gain on investments — Class 2		—			—			—			—
Net realized gain on investments — Class 3		—			(8,872,181	)		—			(18,605,664	)
Total distributions to shareholders		—			(12,954,603	)		—			(22,170,880	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(17,850,799	)		(28,653,144	)		(20,165,554	)		(10,695,792	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(38,522,130	)		(18,810,962	)		(33,177,951	)		(15,219,038	)
NET ASSETS:
Beginning of period		373,985,487			392,796,449			299,059,465			314,278,503
End of period†	$	335,463,357		$	373,985,487		$	265,881,514		$	299,059,465
† Includes accumulated undistributed net investment income (loss)	$	4,169,566		$	4,404,705		$	3,298,497		$	3,490,952

See Notes to Financial Statements

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SEASONS SERIES TRUST
NOTES TO FINANCIALS 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. The Trust consists of 20 separate series or portfolios (each, a "Portfolio," and collectively, the "Portfolios"). Shares of the Portfolios are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they participate through Variable Contracts offered by life insurance companies affiliated with the Trust's adviser, SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser"). SAAMCo and the life companies are indirect wholly-owned subsidiaries of American International Group, Inc., a Delaware corporation ("AIG"). SAAMCo serves as investment adviser for all the Portfolios of the Trust. Shares of the Trust are held by separate accounts of American General Life Insurance Company ("AGL"), a Texas life insurer, The Variable Annuity Life Insurance Company ("VALIC"), a Texas life insurer and The United States Life Insurance Company in The City of New York ("USL"), a New York life insurer. AGL, VALIC and USL are wholly-owned subsidiaries of AIG. Each of the life insurance companies listed above are collectively referred to as the "Life Companies."

Each of the Portfolios represents a separate managed portfolio of securities with its own investment objectives. The Board of Trustees may establish additional portfolios or classes in the future. Six of the Portfolios, called the "Seasons Strategies Portfolios," are available only through the selection of one of four 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. Fourteen 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 Contract 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.

Effective July 29, 2015, the names of the Seasons Focus Growth Portfolio and Seasons Focus Value Portfolio changed to the "SA Columbia Focused Growth Portfolio" and "SA Columbia Focused Value Portfolio," respectively.

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 GrowthPortfolio seeks capital appreciation by investing, under normal circumstances, through strategic allocation of approximately 80% (with a range of 65-95%) of its assets in equity securities and approximately 20% (with a range of 5-35%) of its assets in fixed income securities.

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The 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.

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 capitalization 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 capitalization 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.

Seasons Focused Portfolios

The SA Columbia Focused Growth Portfolio (f/k/a Focus Growth Portfolio) seeks long-term growth of capital by investing in equity securities selected on the basis of growth criteria. The Portfolio invests primarily in common stock of large-cap companies.

The SA Columbia Focused Value Portfolio (f/k/a Focus Value Portfolio) seeks long-term growth of capital by investing in equity securities selected on the basis of value criteria. The Portfolio invests primarily in common stock of large-cap companies.

Seasons Managed Allocation Portfolios

The Allocation Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 70% of its net assets in equity portfolios.

The Allocation Moderate Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 30% and no more than 90% of its net assets in equity portfolios and at least 10% and no more than 70% of its net assets in fixed income portfolios.

The Allocation Moderate Portfolio seeks long-term capital appreciation and moderate current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 20% and no more than 80% of its net assets in equity portfolios and at least 20% and no more than 80% of its net assets in fixed income portfolios.

The Allocation Balanced Portfolio seeks long-term capital appreciation and current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests no more than 70% of its net assets in equity portfolios.

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Each Portfolio is diversified with the exception of SA Columbia Focused Growth Portfolio and SA Columbia 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 two or three distinct Managed Components, each managed by a separate Manager ("Manager" or collectively "Managers"). As of September 30, 2015, the three Managers of the Multi-Managed Seasons Portfolios are J.P.Morgan Investment Management, Inc. ("J.P.Morgan"), Janus Capital Management LLC ("Janus"), 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:

Portfolio	Small Cap Growth component J.P.Morgan			Growth component Janus			Fixed Income component WMC
Multi-Managed Growth		20	%		54	%		26	%
Multi-Managed Moderate Growth		18			40.6			41.4
Multi-Managed Income/Equity		0			32			68
Multi-Managed Income		0			16.5			83.5

Differences in investment returns among the Managed Components will cause the actual percentages to vary over the course of a calendar quarter from the 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 Real Return Portfolio (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 will be allocated equally among the Managers, unless SAAMCo determines, subject to the review of the Board of Trustees (the "Board"), that a different allocation of assets would be in the best interest of the Portfolio and its shareholders.

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 be significant. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:

Security Valuation: In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon

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selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 1 — Unadjusted quoted prices in active markets for identical securities

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board, etc.)

Level 3 — Significant unobservable inputs (includes inputs that reflect the Portfolios' own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment's assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of each Portfolio's assets and liabilities classified in the fair value hierarchy as of September 30, 2015, is reported on a schedule following each Portfolio's Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange ("NYSE"), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security's price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio's shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date,

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option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Senior floating rate loans ("Loans") are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in over the counter ("OTC") market are 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 are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC Procedures") for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Derivative Instruments

Forward Foreign Currency Contracts: During the period, the 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 the value of securities and related receivable and payables against changes in future foreign exchange rates, to manage and/or gain exposure to certain foreign currencies and to enhance total return.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized appreciation or depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to a Portfolio of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio's maximum exposure due to counterparty risk could extend to the notional amount

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of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Futures: During the period, the Large Cap Growth, Large Cap Value, Mid Cap Growth, Mid Cap Value, Small Cap and International Equity Portfolios used futures contracts to increase or decrease 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.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the "broker"). Subsequent payments are made or received by a Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statement of Assets and Liabilities as variation margin for changes in the value of the contracts and as due to/from broker for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to a Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(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 a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.

Future currency contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Options:  During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth 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.

An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put option, it receives a premium which is equal to the current market value of the option written. The premiums on written options are recorded as a liability on the Statement of Assets and Liabilities. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option and which is included on the Portfolio's Statement of Assets and Liabilities as an investment. The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the

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proceeds from such sale are increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.

Risks to a Portfolio of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed 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.

Written option contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Transactions in options written during the period ended September 30, 2015 are summarized as follows:

	Written Options
	Asset Allocation: Diversified Growth Portfolio
	Notional Amounts			Premiums Received
Options outstanding as of March 31, 2015	$	93,670		$	37,962
Options written		—			—
Options terminated in closing purchase transactions		—			—
Options exercised		—			—
Options expired		(93,670	)		(37,962	)
Options outstanding as of September 30, 2015	$	—		$	—

Swap Contracts: Certain Portfolios may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract ("centrally cleared swaps"). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and a Portfolio faces the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as due from broker. Unlike a bilateral swap contract, for centrally cleared swaps, a Portfolio has no credit exposure to the counterparty as the CCP stands between the Portfolios and the counterparty. Swaps are marked-to-market daily 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, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolio's basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Portfolio are included as part of realized gain (loss).

Credit Default Swap Agreements: During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income and Diversified Fixed Income Portfolios used credit default swaps to manage credit risk (i.e., hedging), as a substitute for physical securities and to enhance returns.

Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer of protection a fixed rate of income

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throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional amount of the swap. If a Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a Portfolio will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Portfolio for future potential losses as a result of a credit event on the reference bond or other asset. A Portfolio effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection's right to choose the deliverable obligation with the lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer's default.

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation's default.

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

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Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule following each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Portfolio is the seller of protection, if any, are disclosed on a schedule following each Portfolio's Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Equity Swap Agreements: During the period, the Asset Allocation: Diversified Growth Portfolio used equity swaps, a type of total return swap, to hedge the portfolio's sector exposure, to gain exposure to certain sectors and to enhance total return.

Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.

The counterparty to an equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks.

Therefore, the return to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a Portfolio may agree to pay the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).

A Portfolio will generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets.

Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio's risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.

Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the

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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 sub-adviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss.

Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements ("Master Agreements") with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio's net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when the Portfolio's net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline the Portfolio's net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty's long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty's credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio's counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio's financial statements. The 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, 2015, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the period ended September 30, 2015. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of September 30, 2015, please refer to a schedule following each Portfolio's Portfolio of Investments.

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	Asset Derivatives
	Interest Rate Contracts						Equity Contracts						Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Swap Contracts(2)		Foreign Exchange Contracts(4)		Options Purchased(3)		Total
Multi-Managed Growth Portfolio	$	2,906	$	—	$	—	$	1,750	$	—	$	—	$	473	$	5,747	$	228	$	11,104
Multi-Managed Moderate Growth Portfolio				5,547		—				8,750		—		3,875		21,723		704		40,599
Multi-Managed Income/Equity Portfolio		11,078		—		—		—		—		—		6,595		29,912		857		48,442
Multi-Managed Income Portfolio		8,734		—		—		—		—		—		6,594		28,874		863		45,065
Asset Allocation: Diversified Growth Portfolio		4,344		—		—		58,050		234,428		—		—		126,291		—		423,113
Large Cap Growth Portfolio		—		—		—		23,400		—		—		—		—		—		23,400
Large Cap Value Portfolio		—		—		—		13,500		—		—		—		—		—		13,500
Mid Cap Growth Portfolio		—		—		—		7,720		—		—		—		—		—		7,720
Mid Cap Value Portfolio		—		—		—		7,720		—		—		—		—		—		7,720
Small Cap Portfolio		—		—		—		36,750		—		—		—		—		—		36,750
International Equity Portfolio		—		—		—		244,090		—		—		—		—		—		244,090
Diversified Fixed Income Portfolio		19,993		—		—		—		—		—		324,368		243,512		6,619		594,492
Real Return Portfolio		—		—		—		—		—		—		—		369,667		—		369,667

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	Liability Derivatives
	Interest Rate Contracts						Equity Contracts						Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Futures Contracts(1)(8)		Swap Contracts(5)		Options Written(6)		Swap Contracts(5)		Foreign Exchange Contracts(7)		Options Purchased(3)		Total
Multi-Managed Growth Portfolio	$	1,250	$	—	$	—	$	—	$	—	$	—	$	—	$	11,369	$	—	$	12,619
Multi-Managed Moderate Growth Portfolio		6,563		—		—		—		—		—		—		42,458		—		49,021
Multi-Managed Income/Equity Portfolio		12,344		—		—		—		—		—		—		49,754		—		62,098
Multi-Managed Income Portfolio		8,718		—		—		—		—		—		—		50,219		—		58,937
Asset Allocation: Diversified Growth Portfolio		1,328		—		—		112,590		215,864		—		—		177,459		—		507,241
Large Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Large Cap Value Portfolio		—		—		—		—		—		—		—		—		—		—
Mid Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Mid Cap Value Portfolio		—		—		—		—		—		—		—		—		—		—
Small Cap Portfolio		—		—		—		—		—		—		—		—		—		—
International Equity Portfolio		—		—		—		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		24,250		—		—		—		—		—		74,325		409,187		—		507,762
Real Return Portfolio		—		—		—		—		—		—		—		267,679		—		267,679

Statement of Assets and Liabilities Location:

(1)  Variation margin on futures contracts

(2)  Unrealized appreciation on swap contracts

(3)  Investments, at value

(4)  Unrealized appreciation on forward foreign currency contracts

(5)  Unrealized depreciation on swap contracts

(6)  Call and put options written, at value

(7)  Unrealized depreciation on forward foreign currency contracts

(8)  The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio's Portfolio of Investments in the following amounts:

Portfolio	Cumulative Appreciation (Depreciation)
Multi-Managed Growth Portfolio	$	(11,728	)
Multi-Managed Moderate Growth Portfolio		(43,870	)
Multi-Managed Income/Equity Portfolio		(13,650	)
Multi-Managed Income Portfolio		(4,523	)
Asset Allocation: Diversified Growth Portfolio		159,929
Large Cap Growth Portfolio		(17,017	)

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Portfolio	Cumulative Appreciation (Depreciation)
Large Cap Value Portfolio	$	(8,870	)
Mid Cap Growth Portfolio		(13,767	)
Mid Cap Value Portfolio		(13,767	)
Small Cap Portfolio		(114,041	)
International Equity Portfolio		(474,576	)
Diversified Fixed Income Portfolio		899

	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts								Equity Contracts									Credit Contracts			Foreign Exchange Contracts
Portfolio	Futures Contracts(1)			Swap Contracts(1)		Options Purchased(6)			Futures Contracts(1)			Swap Contracts(1)			Options*			Swap Contracts(1)			Foreign Exchange Contracts(2)			Swap Contracts(1)		Options Purchased(6)			Total
Multi-Managed Growth Portfolio	$	21,538		$	—	$	—		$	(14,057	)	$	—		$	—		$	(3,512	)	$	10,798		$	53	$	(3,160	)	$	11,660
Multi-Managed Moderate Growth Portfolio		(12,043	)		—		—			(36,853	)		—			—			(5,861	)		15,202			163		(10,746	)		(50,138	)
Multi-Managed Income/Equity Portfolio		(5,986	)		—		—			—			—			—			(3,208	)		35,555			198		(12,261	)		14,298
Multi-Managed Income Portfolio		57,481			—		—			—			—			—			(2,524	)		37,114			198		(12,897	)		79,372
Asset Allocation: Diversified Growth Portfolio		(39,177	)		—		—			401,674			(2,384	)		(19,541	)		—			303,746			—		—			644,318
Large Cap Growth Portfolio		—			—		—			(44,025	)		—			—			—			—			—		—			(44,025	)
Large Cap Value Portfolio		—			—		—			(66,680	)		—			—			—			—			—		—			(66,680	)
Mid Cap Growth Portfolio		—			—		—			(39,834	)		—			—			—			—			—		—			(39,834	)
Mid Cap Value Portfolio		—			—		—			(39,808	)		—			—			—			—			—		—			(39,808	)
Small Cap Portfolio		—			—		—			(124,484	)		—			—			—			—			—		—			(124,484	)
International Equity Portfolio		—			—		—			(185,940	)		—			—			—			—			—		—			(185,940	)
Diversified Fixed Income Portfolio		1,615,556			—		(116,049	)		—			—			—			(272,087	)		142,554			1,664		(95,331	)		1,276,307
Real Return Portfolio		—			—		—			—			—			—			—			(4,503,642	)		—		—			(4,503,642	)

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	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts							Equity Contracts							Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(3)			Swap Contracts(3)		Options Purchased(5)		Futures Contracts(3)			Swap Contracts(3)		Options*		Swap Contracts(3)		Foreign Exchange Contracts(4)			Swap Contracts(3)		Options Purchased(5)		Total
Multi-Managed Growth Portfolio	$	20,528		$	—	$	—	$	(17,167	)	$	—	$	—	$	3,400	$	(3,688	)	$	—	$	1,740	$	4,813
Multi-Managed Moderate Growth Portfolio		6,238			—		—		(46,423	)		—		—		11,479		(22,159	)		—		6,452		(44,413	)
Multi-Managed Income/Equity Portfolio		(651	)		—		—		—			—		—		8,225		(20,226	)		—		7,225		(5,427	)
Multi-Managed Income Portfolio		(13,575	)		—		—		—			—		—		7,832		(21,440	)		—		7,808		(19,375	)
Asset Allocation: Diversified Growth Portfolio		(68,356	)		—		—		335,800			6,583		17,520		—		(343,505	)		—		—		(51,958	)
Large Cap Growth Portfolio		—			—		—		(10,200	)		—		—		—		—			—		—		(10,200	)
Large Cap Value Portfolio		—			—		—		(7,150	)		—		—		—		—			—		—		(7,150	)
Mid Cap Growth Portfolio		—			—		—		(18,702	)		—		—		—		—			—		—		(18,702	)
Mid Cap Value Portfolio		—			—		—		(18,720	)		—		—		—		—			—		—		(18,720	)
Small Cap Portfolio		—			—		—		(165,289	)		—		—		—		—			—		—		(165,289	)
International Equity Portfolio		—			—		—		(400,055	)		—		—		—		—			—		—		(400,055	)
Diversified Fixed Income Portfolio		(73,336	)		—		116,048		—			—		—		301,187		(209,608	)		—		54,126		188,417
Real Return Portfolio		—			—		—		—			—		—		—		380,094			—		—		380,094

*  Includes amounts relating to purchased and written options as follows:

	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				Equity Contracts					Interest Rate Contracts				Equity Contracts
	Options Purchased(6)		Options Written(1)		Options Purchased(6)			Options Written(1)		Options Purchased(5)		Options Written(3)		Options Purchased(5)		Options Written(3)
Asset Allocation: Diversified Growth Portfolio	$	—	$	—	$	(57,503	)	$	37,962	$	—	$	—	$	34,530	$	(17,010	)

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Statement of Operations Location:

(1)  Net realized gain (loss) on futures contracts, written options contracts and swap contracts

(2)  Net realized foreign exchange gain (loss) on other assets and liabilities

(3)  Change in unrealized appreciation (depreciation) on futures contracts, written options contracts and swap contracts

(4)  Change in unrealized foreign exchange gain (loss) on other assets and liabilities

(5)  Change in unrealized appreciation (depreciation) on investments (unaffiliated)

(6)  Net realized gain (loss) on investments (unaffiliated)

The following table represents the average monthly balances of derivatives held during the six months ended September 30, 2015.

	Average Amount Outstanding During the Period
Portfolio	Futures Contracts(1)		Foreign Exchange Contracts(2)		Purchased Options Contracts on Currency Contracts(1)		Interest Rate Swap Contracts(1)		Credit Default Swap Contracts(1)		Total Return Swap Contracts(1)		Written Call Option Contracts(1)		Written Put Option Contracts(1)
Multi-Managed Growth Portfolio	$	9,324,498	$	968,974	$	930	$	—	$	37,155	$	—	$	—	$	—
Multi-Managed Moderate Growth Portfolio		22,418,557		3,952,039		2,886		—		119,345		—		—		—
Multi-Managed Income/ Equity Portfolio		23,373,051		5,290,405		3,498		—		175,008		—		—		—
Multi-Managed Income Portfolio		25,932,931		5,281,022		3,497		—		165,003		—		—		—
Asset Allocation: Diversified Growth Portfolio		46,406,972		17,254,952		1,071		—		—		14,081,465		817		—
Large Cap Growth Portfolio		1,139,867		—		—		—		—		—		—		—
Large Cap Value Portfolio		893,317		—		—		—		—		—		—		—
Mid Cap Growth Portfolio		586,300		—		—		—		—		—		—		—
Mid Cap Value Portfolio		586,300		—		—		—		—		—		—		—
Small Cap Portfolio		3,233,117		—		—		—		—		—		—		—
International Equity Portfolio		7,103,058		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		249,436,767		42,118,739		25,919		—		25,573,284		—		—		—
Real Return Portfolio		—		267,977,409		—		—		—		—		—		—

(1)  Amounts represent values in US dollars.

(2)  Amounts represent notional amounts in US dollars.

355

The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of September 30, 2015. The repurchase agreements held by the Portfolios as of September 30, 2015, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments and the Notes to the Financial Statements for more information about the Portfolios' holdings in repurchase agreements.

	Multi-Managed Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	92	$	—	$	—	$	92	$	70	$	—	$	—	$	70	$	22		$	—	$	22
Barclays Bank PLC		796		—		—		796		1,024		—		—		1,024		(228	)		—		(228	)
BNP Paribas SA		202		—		—		202		3,116		—		—		3,116		(2,914	)		—		(2,914	)
Citibank N.A.		783		—		—		783		3,266		—		—		3,266		(2,483	)		—		(2,483	)
Deutsche Bank AG		317		—		—		317		157		—		—		157		160			—		160
Goldman Sachs International		402		473		228		1,103		1,009		—		—		1,009		94			—		94
HSBC Bank USA, N.A.		1,224		—		—		1,224		200		—		—		200		1,024			—		1,024
JPMorgan Chase Bank		1,083		—		—		1,083		949		—		—		949		134			—		134
Morgan Stanley and Co., Inc.		41		—		—		41		1,144		—		—		1,144		(1,103	)		—		(1,103	)
Royal Bank of Canada		216		—		—		216		—		—		—		—		216			—		216
Standard Chartered Bank		—		—		—		—		413		—		—		413		(413	)		—		(413	)
State Street Bank and Trust Co.		591		—		—		591		21		—		—		21		570			—		570
Total	$	5,747	$	473	$	228	$	6,448	$	11,369	$	—	$	—	$	11,369	$	(4,921	)	$	—	$	(4,921	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

356

	Multi-Managed Moderate Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
Bank of America, N.A.	$	542	$	—	$	—	$	542	$	7,293	$	—	$	—	$	7,293	$	(6,751	)	$	—	$	(6,751	)
Barclays Bank PLC		2,452		—		—		2,452		3,021		—		—		3,021		(569	)		—		(569	)
BNP Paribas SA		618		—		—		618		9,350		—		—		9,350		(8,732	)		—		(8,732	)
Citibank N.A.		6,530		—		—		6,530		11,265		—		—		11,265		(4,735	)		—		(4,735	)
Commonwealth Bank of Australia Sydney		—		—		—		—		357		—		—		357		(357	)		—		(357	)
Deutsche Bank AG		944		—		—		944		468		—		—		468		476			—		476
Goldman Sachs International		1,204		3,875		704		5,783		2,951		—		—		2,951		2,832			—		2,832
HSBC Bank USA, N.A.		3,638		—		—		3,638		632		—		—		632		3,006			—		3,006
JPMorgan Chase Bank		3,320		—		—		3,320		2,875		—		—		2,875		445			—		445
Morgan Stanley and Co., Inc.		128		—		—		128		2,962		—		—		2,962		(2,834	)		—		(2,834	)
Royal Bank of Canada		579		—		—		579		—		—		—		—		579			—		579
Standard Chartered Bank		—		—		—		—		1,228		—		—		1,228		(1,228	)		—		(1,228	)
State Street Bank and Trust Co.		1,768		—		—		1,768		56		—		—		56		1,712			—		1,712
Total	$	21,723	$	3,875	$	704	$	26,302	$	42,458	$	—	$	—	$	42,458	$	(16,156	)	$	—	$	(16,156	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

357

	Multi-Managed Income/Equity Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	391	$	—	$	—	$	391	$	7,343	$	—	$	—	$	7,343	$	(6,952	)	$	—	$	(6,952	)
Barclays Bank PLC		2,976		—		—		2,976		3,649		—		—		3,649		(673	)		—		(673	)
BNP Paribas SA		753		—		—		753		10,133		—		—		10,133		(9,380	)		—		(9,380	)
Citibank N.A.		9,048		—		—		9,048		12,630		—		—		12,630		(3,582	)		—		(3,582	)
Deutsche Bank AG		1,144		—		—		1,144		572		—		—		572		572			—		572
Goldman Sachs International		1,452		6,595		857		8,904		3,620		—		—		3,620		5,284			—		5,284
HSBC Bank USA, Inc.		4,297		—		—		4,297		762		—		—		762		3,535			—		3,535
JPMorgan Chase Bank		5,963		—		—		5,963		3,490		—		—		3,490		2,473			—		2,473
Morgan Stanley and Co., Inc.		155		—		—		155		3,561		—		—		3,561		(3,406	)		—		(3,406	)
Royal Bank of Canada		1,163		—		—		1,163		481		—		—		481		682			—		682
Standard Chartered Bank		—		—		—		—		1,489		—		—		1,489		(1,489	)		—		(1,489	)
State Street Bank and Trust Company		2,124		—		—		2,124		69		—		—		69		2,055			—		2,055
UBS AG		446		—		—		446		1,955		—		—		1,955		(1,509	)		—		(1,509	)
Total	$	29,912	$	6,595	$	857	$	37,364	$	49,754	$	—	$	—	$	49,754	$	(12,390	)	$	—	$	(12,390	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

358

	Multi-Managed Income Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	380	$	—	$	—	$	380	$	7,343	$	—	$	—	$	7,343	$	(6,963	)	$	—	$	(6,963	)
Barclays Bank PLC		2,917		—		—		2,917		3,594		—		—		3,594		(677	)		—		(677	)
BNP Paribas SA		757		—		—		757		11,013		—		—		11,013		(10,256	)		—		(10,256	)
Citibank N.A.		8,159		—		—		8,159		13,788		—		—		13,788		(5,629	)		—		(5,629	)
Deutsche Bank AG		1,128		—		—		1,128		563		—		—		563		565			—		565
Goldman Sachs International		1,442		6,594		863		8,899		3,533		—		—		3,533		5,366			—		5,366
HSBC Bank USA, N.A.		4,367		—		—		4,367		762		—		—		762		3,605			—		3,605
JPMorgan Chase Bank		5,914		—		—		5,914		3,474		—		—		3,474		2,440			—		2,440
Morgan Stanley and Co., Inc.		156		—		—		156		3,438		—		—		3,438		(3,282	)		—		(3,282	)
Royal Bank of Canada		1,102		—		—		1,102		481		—		—		481		621			—		621
Standard Chartered Bank		—		—		—		—		1,468		—		—		1,468		(1,468	)		—		(1,468	)
State Street Bank and Trust Co.		2,106		—		—		2,106		68		—		—		68		2,038			—		2,038
UBS AG		446		—		—		446		694		—		—		694		(248	)		—		(248	)
Total	$	28,874	$	6,594	$	863	$	36,331	$	50,219	$	—	$	—	$	50,219	$	(13,888	)	$	—	$	(13,888	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

359

	Asset Allocation: Diversified Growth Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	42,044	$	—	$	—	$	42,044	$	—	$	—	$	—	$	—	$	42,044		$	—	$	42,044
Barclays Bank PLC		44		—		—		44		755		—		—		755		(711	)		—		(711	)
Citibank N.A.		846		234,428		—		235,274		974		215,601		—		216,575		18,699			—		18,699
Credit Suisse AG		20,792		—		—		20,792		67,338		—		—		67,338		(46,546	)		—		(46,546	)
Deutsche Bank AG		—		—		—		—		14,808		—		—		14,808		(14,808	)		—		(14,808	)
Goldman Sachs International		—		—		—		—		13,810		263		—		14,073		(14,073	)		—		(14,073	)
HSBC Bank USA, N.A.		18,825		—		—		18,825		6,427		—		—		6,427		12,398			—		12,398
JPMorgan Chase Bank		25,855		—		—		25,855		34,566		—		—		34,566		(8,711	)		—		(8,711	)
State Street Bank and Trust Co.		9,483		—		—		9,483		459		—		—		459		9,024			—		9,024
UBS AG		8,402		—		—		8,402		37,172		—		—		37,172		(28,770	)		—		(28,770	)
Westpac Banking Corp.		—		—		—		—		1,150		—		—		1,150		(1,150	)		—		(1,150	)
Total	$	126,291	$	234,428	$	—	$	360,719	$	177,459	$	215,864	$	—	$	393,323	$	(32,604	)	$	—	$	(32,604	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

360

	Diversified Fixed Income Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Bank of America, N.A.	$	3,142	$	—	$	—	$	3,142	$	62,176	$	—	$	—	$	62,176	$	(59,034	)	$	—	$	(59,034	)
Barclays Bank PLC		24,412		—		—		24,412		33,787		—		—		33,787		(9,375	)		—		(9,375	)
BNP Paribas SA		6,179		—		—		6,179		77,143		—		—		77,143		(70,964	)		—		(70,964	)
Citibank N.A.		69,995		—		—		69,995		89,133		—		—		89,133		(19,138	)		—		(19,138	)
Credit Suisse International		—		—		—		—		9,267		—		—		9,267		(9,267	)		—		(9,267	)
Deutsche Bank AG		10,490		—		—		10,490		5,251		—		—		5,251		5,239			—		5,239
Goldman Sachs International		13,269		199,174		6,619		219,062		31,258		74,325		—		105,583		113,479			—		113,479
HSBC Bank USA, N.A.		39,237		—		—		39,237		6,634		—		—		6,634		32,603			—		32,603
JPMorgan Chase Bank		50,324		—		—		50,324		32,368		—		—		32,368		17,956			—		17,956
Morgan Stanley and Co., Inc.		1,225		—		—		1,225		45,445		—		—		45,445		(44,220	)		—		(44,220	)
National Australia Bank, Ltd.		—		—		—		—		9		—		—		9		(9	)		—		(9	)
Royal Bank of Canada		6,308		—		—		6,308		—		—		—		—		6,308			—		6,308
Standard Chartered Bank		—		—		—		—		13,654		—		—		13,654		(13,654	)		—		(13,654	)
State Street Bank and Trust Co.		18,931		—		—		18,931		539		—		—		539		18,392			—		18,392
UBS AG		—		—		—		—		2,523		—		—		2,523		(2,523	)		—		(2,523	)
Total	$	243,512	$	199,174	$	6,619	$	449,305	$	409,187	$	74,325	$	—	$	483,512	$	(34,207	)	$	—	$	(34,207	)

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

361

	Real Return Portfolio
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amounts(3)
Citibank N.A.	$	326,801	$	—	$	—	$	326,801	$	—	$	—	$	—	$	—	$	326,801		$	—	$	326,801
Deutsche Bank AG		4,938		—		—		4,938		8,337		—		—		8,337		(3,399	)		—		(3,399	)
JPMorgan Chase Bank		—		—		—		—		35,424		—		—		35,424		(35,424	)		—		(35,424	)
National Australia Bank, Ltd.		—		—		—		—		194,314		—		—		194,314		(194,314	)		—		(194,314	)
State Street Bank and Trust Co.		37,928		—		—		37,928		—		—		—		—		37,928			—		37,928
Westpac Banking Corp.		—		—		—		—		29,604		—		—		29,604		(29,604	)		—		(29,604	)
Total	$	369,667	$	—	$	—	$	369,667	$	267,679	$	—	$	—	$	267,679	$	101,988		$	—	$	101,988

(1)  Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.

(2)  For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.

(3)  Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.

Inflation-Indexed Bonds: Certain Portfolios may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statement of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statement of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.

In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust's custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.

362

As of September 30, 2015, 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		0.08	%	$	55,000
Multi-Managed Moderate Growth		0.79			510,000
Multi-Managed Income/Equity		0.80			520,000
Multi-Managed Income		0.82			530,000
Large Cap Value		1.55			1,005,000
Mid Cap Growth		0.98			635,000
Diversified Fixed Income		9.93			6,450,000
Real Return		9.57			6,220,000

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, 2015, bearing interest at a rate of 0.10% per annum, with a principal amount of $64,965,000, a repurchase price of $64,965,180, and a maturity date of October 1, 2015. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.38	%	03/31/20	$	15,249,000	$	15,295,967
U.S. Treasury Notes		1.88	%	08/31/22		50,515,300		51,038,133

As of September 30, 2015, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.08	%	$	75,000
Multi-Managed Moderate Growth		0.79			710,000
Multi-Managed Income/Equity		0.80			720,000
Multi-Managed Income		0.81			730,000
Large Cap Value		1.55			1,395,000
Mid Cap Growth		0.98			880,000
Diversified Fixed Income		9.93			8,930,000
Real Return		9.58			8,615,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

Barclays Capital, Inc., dated September 30, 2015, bearing interest at a rate of 0.10% per annum, with a principal amount of $89,950,000, a repurchase price of $89,950,250, and a maturity date of October 1, 2015. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.63	%	07/31/19	$	90,111,000	$	91,889,791

363

As of September 30, 2015, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.08	%	$	75,000
Multi-Managed Moderate Growth		0.79			710,000
Multi-Managed Income/Equity		0.80			720,000
Multi-Managed Income		0.81			730,000
Large Cap Value		1.55			1,395,000
Mid Cap Growth		0.98			880,000
Diversified Fixed Income		9.93			8,930,000
Real Return		9.58			8,615,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

BNP Paribas SA, dated September 30, 2015, bearing interest at a rate of 0.07% per annum, with a principal amount of $89,950,000, a repurchase price of $89,950,175, and a maturity date of October 1, 2015. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.38	%	02/29/20	$	91,343,300	$	91,871,264

As of September 30, 2015, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.09	%	$	55,000
Multi-Managed Moderate Growth		0.79			505,000
Multi-Managed Income/Equity		0.79			510,000
Multi-Managed Income		0.81			520,000
Large Cap Value		1.55			995,000
Mid Cap Growth		0.97			625,000
Diversified Fixed Income		9.93			6,375,000
Real Return		9.58			6,155,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

Deutsche Bank AG, dated September 30, 2015, bearing interest at a rate of 0.10% per annum, with a principal amount of $64,215,000, a repurchase price of $64,215,178, and a maturity date of October 1, 2015. The repurchase agreement collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.63	%	04/30/19	$	63,988,000	$	65,571,063

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As of September 30, 2015, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.10	%	$	100,000
Multi-Managed Moderate Growth		0.80			805,000
Multi-Managed Income/Equity		0.80			805,000
Multi-Managed Income		0.83			830,000
Large Cap Value		1.56			1,560,000
Mid Cap Growth		0.99			990,000
Diversified Fixed Income		9.92			9,940,000
Real Return		9.57			9,590,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

RBS Securities, Inc., dated September 30, 2015, bearing interest at a rate of 0.09% per annum, with a principal amount of $100,190,000, a repurchase price of $100,190,250, and a maturity date of October 1, 2015. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.38	%	08/15/24	$	98,711,000	$	101,995,115

As of September 30, 2015, the following Portfolios held an undivided interest in the joint repurchase agreement with State Street Bank and Trust Co.:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Growth		0.29	%	$	1,050,000
Large Cap Value		0.28			1,022,000
Mid Cap Growth		0.15			544,000
Mid Cap Value		0.12			420,000
Small Cap		0.20			725,000
International Equity		3.91			14,084,000

As of such date, the repurchase agreement in that joint account and the collateral therefore were as follows:

State Street Bank and Trust Co., dated September 30, 2015, bearing interest at a rate of 0.00% per annum, with a principal amount of $359,908,000, a repurchase price of $359,908,000, and a maturity date of October 1, 2015. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.63	%	12/31/19	$	100,000,000	$	101,625,000
U.S. Treasury Notes		1.75		05/15/23		92,165,000		91,819,381
U.S. Treasury Notes		2.63		08/15/20		112,160,000		118,749,400
U.S. Treasury Notes		3.38		11/15/19		50,000,000		54,914,050

Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities ("SMBS") are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the "principal only" class) from the mortgage pool, while the other class will receive all or most of the interest (the "interest only" class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio's yield.

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Mortgage-Backed Dollar Rolls: During the six months ended September 30, 2015, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios entered into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. The Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, 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. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolios' obligation to repurchase the securities. The return earned by a Portfolio with the proceeds of the TBA Roll transaction may not exceed the transaction costs.

When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when- issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the six months ended September 30, 2015, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth and Diversified Fixed Income Portfolios purchased and/or sold when-issued securities.

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.

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Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and other countries' tax regulations require that taxes be paid on capital gains realized by a Portfolio.

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).

Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.

For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio in connection with its investment in the Underlying Portfolio.

Distributions received from Real Estate Investment Trust ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.

For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2011-2013 or expected to be taken in each Portfolio's 2014 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 2011.

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

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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	%
Mid Cap Growth, Mid Cap Value, Small Cap	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
International Equity(2)	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	%
SA Columbia Focused Growth(3)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
SA Columbia Focused Value Portfolio(4)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
Allocation Growth, Allocation Moderate Growth,
Allocation Moderate, Allocation Balanced(5)	>0		0.10	%

(1)  The Adviser voluntarily agreed, until further notice, to waive 0.10% of advisory fees for the Asset Allocation: Diversified Growth Portfolio. For the six months ended September 30, 2015, the amount of advisory fees waived was $73,572.

(2)  Effective December 1, 2014, the Adviser contractually agreed to waive 0.04% of advisory fees for the International Equity Portfolio. For the six months ended September 30, 2015, the amount of advisory fees waived was $145,402.

(3)  Effective July 29, 2015, the Adviser contractually agreed to waive its advisory fees for the SA Columbia Focused Growth Portfolio so that the advisory fee payable to SAAMCo equals 0.69% of average daily net assets. For the period ended September 30, 2015, the amount of advisory fees waived was $98,544.

(4)  Effective July 29, 2015, the Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Value Portfolio so that the advisory fee payable to SAAMCo equals 0.67% of average daily net assets. Prior to July 29, 2015, the Adviser voluntarily waived 0.05% of advisory fees. For the period ended September 30, 2015, the amount of advisory fees waived was $228,393.

(5)  Effective July 29, 2015, the Adviser contractually agreed to waive its advisory fee for the Allocation Growth, Allocation Moderate Growth, Allocation Moderate and Allocation Balanced Portfolios so that the advisory fee payable to SAMMCo equals 0.09% of average daily net assets. For the period ended September 30, 2015, the amount of advisory fees waived was $1,764, $9,852, $6,114 and $4,848, respectively.

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The Agreement authorizes SAAMCo to retain one or more subadvisers to make the investment decisions for the Portfolios, and to place the purchase and sale orders for portfolio transactions. The organizations described below act as Subadvisers (with the exception of SAAMCo, which acts as Adviser) to the Trust and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Each of the Subadvisers is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trust and the oversight and supervision of SAAMCo, which pays the Subadvisers' fees. All subadvisory fees are payable by the Adviser to the respective Subadviser and do not increase Portfolio expenses. Portfolio management is allocated among the following Managers:

Portfolio	Subadviser/Adviser
Multi-Managed Growth	Janus J.P. Morgan WMC
Multi-Managed Moderate Growth	Janus J.P. Morgan WMC
Multi-Managed Income/Equity	Janus WMC
Multi-Managed Income	Janus 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(1) WMC
Mid Cap Growth	SAAMCo T. Rowe Price WMC
Mid Cap Value	Goldman Sachs Asset Management, L.P. Massachusetts Financial Services Company SAAMCo
Small Cap	ClearBridge Investments, LLC ("ClearBridge") J.P. Morgan SAAMCo
International Equity	Janus T. Rowe Price SAAMCo
Diversified Fixed Income	PineBridge WMC
Real Return	WMC
SA Columbia Focused Growth(2)	Columbia Management Investment Advisers LLC ("Columbia")
SA Columbia Focused Value(3)	Columbia
Allocation Growth(4)	SAAMCo
Allocation Moderate Growth(4)	SAAMCo
Allocation Moderate(4)	SAAMCo
Allocation Balanced(4)	SAAMCo

(1)  Effective October 26, 2015, American Century Investment Management, Inc. replaced T. Rowe Price as a subadviser to a portion of the Large Cap Value Portfolio.

(2)  Effective July 29, 2015, Janus and Marsico ceased to be subadvisors for the SA Columbia Focused Growth Portfolio. The assets were reallocated to Columbia.

(3)  Effective July 29, 2015, Northern Trust Investments, N.A. and J.P. Morgan ceased to be subadvisors for the SA Columbia Focused Value Portfolio. The assets were reallocated to Columbia.

(4)  Effective July 29, 2015, SAAMCo began to directly manage the assets of the Allocation Growth, Allocation Moderate Growth, Allocation Moderate, and Allocation Balanced Portfolios, and Ibbotson Associates, Inc. ceased to subadvise the Portfolios.

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The Adviser 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. As of September 30, 2015, except for the advisory fee waivers, none of the Portfolios voluntarily waived or reimbursed expenses and none of the Portfolios had balances subject to recoupment.

The Trust has entered into a Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a wholly-owned subsidiary of VALIC, which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their "institutional" shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust, 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, which is allocated based on shareholder accounts. For the six months ended September 30, 2015, 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. For the six months ended September 30, 2015, service fees were paid (see Statement of Operations) based on the aforementioned rates.

Note 4.  Federal Income Taxes: The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies and investments in partnerships, treatment of defaulted securities and derivative transactions.

	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2015
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-term Capital Gains
Multi-Managed Growth	$	2,021,499	$	7,303,631		$	11,104,251		$	2,200,087	$	8,318,085
Multi-Managed Moderate Growth		4,361,318		11,202,604			16,138,929			4,010,296		11,833,632
Multi-Managed Income/Equity		3,391,481		5,750,159			6,556,885			2,215,266		6,831,847
Multi-Managed Income		2,832,787		2,522,646			3,425,118			1,699,174		3,021,086
Asset Allocation: Diversified Growth		5,576,021		13,131,335			22,489,794			2,466,545		1,087,121
Stock		—		34,289,340			124,597,364			2,826,439		19,464,553
Large Cap Growth		10,773,649		37,625,512			98,798,374			12,217,940		45,368,784
Large Cap Value		24,267,990		38,703,526			108,331,203			9,179,408		1,092,825
Mid Cap Growth		640,809		13,461,364			51,575,281			4,404,870		11,924,052
Mid Cap Value		13,811,029		42,400,564			43,446,716			2,267,834		26,371,431
Small Cap		2,731,766		16,965,986			42,696,971			282,558		9,622,230
International Equity		8,894,137		(55,765,227	)		35,889,726			9,608,528		—
Diversified Fixed Income		24,771,192		6,543,524			26,701,811			16,612,708		—
Real Return		23,607,543		(1,518,621	)		(18,970,495	)		—		—
SA Columbia Focused Growth		188,686		19,329,499			23,464,663			8,741,723		23,410,320
SA Columbia Focused Value		3,127,987		3,014,072			41,199,965			1,703,245		—
Allocation Growth		1,393,950		(10,616,469	)		16,121,322			723,183		—
Allocation Moderate Growth		7,563,752		43,890,397			101,307,271			6,087,464		—
Allocation Moderate		4,415,304		23,414,382			47,495,439			4,082,422		8,872,181
Allocation Balanced		3,490,952		17,983,880			35,518,046			3,569,551		18,601,329

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

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As of March 31, 2015, 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:

	Capital Loss Carryforward†						Unlimited†
Fund	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		—		55,765,227		—		—		—
Diversified Fixed Income		—		—		—		—		—
Real Return		—		—		—		1,518,621		—
SA Columbia Focused Growth		—		—		—		—		—
SA Columbia Focused Value		—		—		—		—		—
Allocation Growth		—		—		10,616,469		—		—
Allocation Moderate Growth		—		—		—		—		—
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.

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, 2015, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:

Portfolio	Deferred Late Year Ordinary Losses		Deferred Post-October Short-Term Capital Loss		Deferred Post-October Long-Term Capital Loss
Multi-Managed Growth	$	—	$	—	$	—
Multi-Managed Moderate Growth		—		—		—
Multi-Managed Income/Equity		—		—		—
Multi-Managed Income		—		—		—
Asset Allocation: Diversified Growth		—		—		—
Stock		167,860		—		—
Large Cap Growth		—		—		—
Large Cap Value		—		—		—
Mid Cap Growth		—		—		—
Mid Cap Value		—		—		—
Small Cap		—		—		—
International Equity		—		—		—
Diversified Fixed Income		—		—		—
Real Return		—		—		—
SA Columbia Focused Growth		—		—		—
SA Columbia Focused Value		—		—		—
Allocation Growth		—		—		—

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Portfolio	Deferred Late Year Ordinary Losses		Deferred Post-October Short-Term Capital Loss		Deferred Post-October Long-Term Capital Loss
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	$	7,030,707		$	(3,168,577	)	$	3,862,130		$	61,880,449
Multi-Managed Moderate Growth		9,682,627			(5,723,482	)		3,959,145			125,742,017
Multi-Managed Income/Equity		4,280,478			(3,116,718	)		1,163,760			100,781,347
Multi-Managed Income		2,362,257			(2,355,626	)		6,631			86,791,497
Asset Allocation: Diversified Growth		10,263,355			(10,931,732	)		(668,377	)		138,783,115
Stock		87,335,506			(11,761,204	)		75,574,302			372,737,288
Large Cap Growth		72,852,942			(16,053,448	)		56,799,494			382,849,989
Large Cap Value		81,351,066			(94,828,482	)		(13,477,416	)		901,510,452
Mid Cap Growth		35,143,517			(15,790,966	)		19,352,551			199,108,944
Mid Cap Value		21,126,441			(31,915,330	)		(10,788,889	)		329,021,694
Small Cap		33,027,096			(24,255,589	)		8,771,507			237,481,190
International Equity		35,643,719			(85,475,084	)		(49,831,365	)		739,749,202
Diversified Fixed Income		20,627,809			(16,712,743	)		3,915,066			1,318,528,251
Real Return		(1,490,243	)		(29,660,413	)		(31,150,656	)		660,947,294
SA Columbia Focused Growth		5,682,266			(20,043,754	)		(14,361,488	)		199,597,340
SA Columbia Focused Value		3,737,092			(30,582,785	)		(26,845,693	)		323,485,606
Allocation Growth		9,025,207			(9,015,945	)		9,262			95,778,459
Allocation Moderate Growth		53,128,010			(26,494,040	)		26,633,970			513,190,553
Allocation Moderate		25,352,255			(18,691,122	)		6,661,133			328,888,868
Allocation Balanced		13,712,808			(8,413,184	)		5,299,624			260,655,497

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, 2015, 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	$	770
Multi-Managed Moderate Growth		978
Multi-Managed Income/Equity		303
Multi-Managed Income		125
Asset Allocation:Diversified Growth		2,600
Stock		2,211
Large Cap Growth		5,661
Large Cap Value		1,183
Mid Cap Growth		723
Mid Cap Value		10,981
Small Cap		8,124
International Equity		4,112
SA Columbia Focused Growth		777
SA Columbia Focused Value		9,668

372

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, 2015 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	$	18,995,157	$	20,352,504	$	1,408,227	$	1,712,630
Multi-Managed Moderate Growth		32,436,134		39,195,241		2,482,614		1,882,592
Multi-Managed Income/Equity		20,841,708		23,837,598		2,894,212		2,495,599
Multi-Managed Income		16,161,959		18,513,845		2,999,888		2,504,457
Asset Allocation: Diversified Growth		71,853,625		78,170,830		8,920,412		8,940,652
Stock		105,492,190		119,538,230		—		—
Large Cap Growth		111,906,871		99,903,221		—		—
Large Cap Value		132,172,038		109,371,729		—		—
Mid Cap Growth		78,066,963		58,305,854		—		—
Mid Cap Value		134,842,660		118,894,147		—		—
Small Cap		73,217,223		50,371,308		—		—
International Equity		162,089,254		107,753,705		—		—
Diversified Fixed Income		213,611,811		145,279,565		133,474,637		37,052,649
Real Return		10,297,542		10,136,171		108,415,926		101,446,220
SA Columbia Focused Growth Portfolio		246,279,567		224,136,920		—		—
SA Columbia Focused Value Portfolio		299,465,814		284,166,166		—		—
Allocation Growth		14,867,566		22,054,289		—		—
Allocation Moderate Growth		62,863,824		90,669,785		—		—
Allocation Moderate		42,997,208		61,131,850		—		—
Allocation Balanced		43,339,530		63,598,802		—		—

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, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		20,248		$	389,942			8,980		$	180,440			14,206		$	276,381			50,951		$	1,022,027
Reinvested dividends		—			—			103,783			1,879,602			—			—			185,540			3,358,538
Shares redeemed		(44,703	)		(856,461	)		(108,804	)		(2,175,980	)		(77,240	)		(1,471,907	)		(235,457	)		(4,720,292	)
Net increase (decrease)		(24,455	)	$	(466,519	)		3,959		$	(115,938	)		(63,034	)	$	(1,195,526	)		1,034		$	(339,727	)
	Multi-Managed Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		103,178		$	1,970,727			71,130		$	1,408,402
Reinvested dividends		—			—			292,395			5,280,032
Shares redeemed		(266,392	)		(5,033,800	)		(403,974	)		(8,024,763	)
Net increase (decrease)		(163,214	)	$	(3,063,073	)		(40,449	)	$	(1,336,329	)

373

	Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		8,739		$	132,441			14,640		$	224,848			39,345		$	594,853			103,266		$	1,569,446
Reinvested dividends		—			—			107,575			1,533,691			—			—			413,624			5,890,183
Shares redeemed		(109,107	)		(1,625,517	)		(129,322	)		(1,976,886	)		(262,151	)		(3,885,506	)		(595,162	)		(9,143,481	)
Net increase (decrease)		(100,368	)	$	(1,493,076	)		(7,107	)	$	(218,347	)		(222,806	)	$	(3,290,653	)		(78,272	)	$	(1,683,852	)
	Multi-Managed Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		62,912		$	938,788			124,635		$	1,901,634
Reinvested dividends		—			—			593,223			8,420,054
Shares redeemed		(709,826	)		(10,401,962	)		(1,061,682	)		(16,072,667	)
Net increase (decrease)		(646,914	)	$	(9,463,174	)		(343,824	)	$	(5,750,979	)
	Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		28,941		$	$362,671			23,878		$	302,035			98,785		$	1,224,931			222,347		$	2,879,554
Reinvested dividends		—			—			85,469			1,041,768			—			—			321,428			3,912,998
Shares redeemed		(143,982	)		(1,799,535	)		(114,922	)		(1,486,648	)		(386,974	)		(4,807,653	)		(616,078	)		(7,919,161	)
Net increase (decrease)		(115,041	)	$	(1,436,864	)		(5,575	)	$	(142,845	)		(288,189	)	$	(3,582,722	)		(72,303	)	$	(1,126,609	)
	Multi-Managed Income/Equity Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		70,237		$	873,532			125,569		$	1,603,482
Reinvested dividends		—			—			337,203			4,092,347
Shares redeemed		(544,004	)		(6,698,658	)		(680,329	)		(8,681,048	)
Net increase (decrease)		(473,767	)	$	(5,825,126	)		(217,557	)	$	(2,985,219	)

374

	Multi-Managed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		21,769		$	260,212			28,392		$	343,474			99,524		$	1,190,372			211,432		$	2,571,369
Reinvested dividends		—			—			49,424			583,729			—			—			176,110			2,077,223
Shares redeemed		(187,690	)		(2,250,032	)		(131,239	)		(1,611,571	)		(348,512	)		(4,154,431	)		(497,543	)		(6,089,517	)
Net increase (decrease)		(165,921	)	$	(1,989,820	)		(53,423	)	$	(684,368	)		(248,988	)	$	(2,964,059	)		(110,001	)	$	(1,440,925	)
	Multi-Managed Income Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		161,011		$	1,924,087			217,534		$	2,640,333
Reinvested dividends		—			—			175,095			2,059,308
Shares redeemed		(465,726	)		(5,517,539	)		(595,191	)		(7,254,596	)
Net increase (decrease)		(304,715	)	$	(3,593,452	)		(202,562	)	$	(2,554,955	)
	Asset Allocation: Diversified Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		74,594		$	992,228			21,587		$	293,977			238,777		$	3,136,382			207,919		$	2,798,827
Reinvested dividends		—			—			41,169			543,318			—			—			124,352			1,641,165
Shares redeemed		(198,757	)		(2,793,980	)		(257,458	)		(3,473,848	)		(424,113	)		(5,933,488	)		(981,832	)		(13,193,004	)
Net increase (decrease)		(124,163	)	$	(1,801,752	)		(194,702	)	$	(2,636,553	)		(185,336	)	$	(2,797,106	)		(649,561	)	$	(8,753,012	)
	Asset Allocation: Diversified Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		284,873		$	3,817,898			217,505		$	2,922,293
Reinvested dividends		—			—			103,897			1,369,183
Shares redeemed		(532,857	)		(7,436,246	)		(967,535	)		(12,957,183	)
Net increase (decrease)		(247,984	)	$	(3,618,348	)		(646,133	)	$	(8,665,707	)

375

	Stock Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		901,709		$	23,361,657			4,144,974		$	99,295,575			18,522		$	460,549			73,405		$	1,727,489
Reinvested dividends		—			—			718,011			16,764,477			—			—			125,388			2,881,721
Shares redeemed		(1,234,251	)		(32,559,316	)		(147,147	)		(3,551,583	)		(212,628	)		(5,416,942	)		(540,506	)		(12,789,877	)
Net increase (decrease)		(332,542	)	$	(9,197,659	)		4,715,838		$	112,508,469			(194,106	)	$	(4,956,393	)		(341,713	)	$	(8,180,667	)
	Stock Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		64,675		$	1,636,325			73,233		$	1,702,995
Reinvested dividends		—			—			116,169			2,644,794
Shares redeemed		(273,908	)		(6,897,635	)		(535,322	)		(12,534,818	)
Net increase (decrease)		(209,233	)	$	(5,261,310	)		(345,920	)	$	(8,187,029	)
	Large Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,287,552		$	60,513,111			3,940,045		$	55,740,209			29,210		$	386,621			149,093		$	2,059,997
Reinvested dividends		—			—			1,996,294			25,935,853			—			—			439,265			5,616,191
Shares redeemed		(3,077,412	)		(43,442,552	)		(1,787,690	)		(24,704,123	)		(273,345	)		(3,706,646	)		(624,994	)		(8,633,272	)
Net increase (decrease)		1,210,140		$	17,070,559			4,148,649		$	56,971,939			(244,135	)	$	(3,320,025	)		(36,636	)	$	(957,084	)
	Large Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,088,455		$	15,020,924			535,196		$	7,155,200
Reinvested dividends		—			—			2,051,981			26,034,680
Shares redeemed		(1,207,203	)		(16,283,000	)		(3,831,400	)		(53,934,036	)
Net increase (decrease)		(118,748	)	$	(1,262,076	)		(1,244,223	)	$	(20,744,156	)

376

	Large Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,034,815		$	85,063,146			14,707,296		$	246,803,617			8,622		$	139,869			98,291		$	1,639,913
Reinvested dividends		—			—			439,370			7,291,208			—			—			24,125			400,022
Shares redeemed		(74,868	)		(1,227,769	)		(25,415	)		(426,930	)		(255,642	)		(4,286,321	)		(408,549	)		(6,859,811	)
Net increase (decrease)		4,959,947		$	83,835,377			15,121,251		$	253,667,895			(247,020	)	$	(4,146,452	)		(286,133	)	$	(4,819,876	)
	Large Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		132,057		$	2,186,493			692,445		$	11,732,589
Reinvested dividends		—			—			155,876			2,581,003
Shares redeemed		(4,918,707	)		(83,486,958	)		(2,336,649	)		(38,950,669	)
Net increase (decrease)		(4,786,650	)	$	(81,300,465	)		(1,488,328	)	$	(24,637,077	)
	Mid Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		671,552		$	11,902,726			2,497,628		$	43,322,487			14,617		$	248,962			29,428		$	499,766
Reinvested dividends		—			—			575,089			9,414,815			—			—			141,724			2,248,411
Shares redeemed		(690,429	)		(12,375,855	)		(41,504	)		(720,678	)		(146,424	)		(2,524,931	)		(388,925	)		(6,496,273	)
Net increase (decrease)		(18,877	)	$	(473,129	)		3,031,213		$	52,016,624			(131,807	)	$	(2,275,969	)		(217,773	)	$	(3,748,096	)
	Mid Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,621,607		$	27,787,816			637,898		$	10,503,311
Reinvested dividends		—			—			299,313			4,665,696
Shares redeemed		(372,820	)		(6,256,872	)		(834,030	)		(13,758,033	)
Net increase (decrease)		1,248,787		$	21,530,944			103,181		$	1,410,974

377

	Mid Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,477,850		$	90,514,464			3,421,179		$	70,483,247			11,373		$	223,622			49,476		$	1,008,975
Reinvested dividends		—			—			779,538			14,972,682			—			—			157,880			3,026,774
Shares redeemed		(1,749,557	)		(35,255,272	)		(2,859,654	)		(60,632,318	)		(172,078	)		(3,434,249	)		(335,604	)		(6,895,127	)
Net increase (decrease)		2,728,293		$	55,259,192			1,341,063		$	24,823,611			(160,705	)	$	(3,210,627	)		(128,248	)	$	(2,859,378	)
	Mid Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		46,207		$	903,261			214,139		$	4,424,016
Reinvested dividends		—			—			555,835			10,639,809
Shares redeemed		(2,109,028	)		(42,234,562	)		(1,803,554	)		(36,758,229	)
Net increase (decrease)		(2,062,821	)	$	(41,331,301	)		(1,033,580	)	$	(21,694,404	)
	Small Cap Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,537,824		$	63,656,708			3,171,401		$	43,840,980			18,904		$	244,072			63,231		$	851,827
Reinvested dividends		—			—			404,249			5,341,454			—			—			75,030			970,381
Shares redeemed		(1,088,372	)		(15,243,810	)		(17,066	)		(233,944	)		(188,998	)		(2,564,505	)		(424,338	)		(5,734,674	)
Net increase (decrease)		3,449,452		$	48,412,898			3,558,584		$	48,948,490			(170,094	)	$	(2,320,433	)		(286,077	)	$	(3,912,466	)
	Small Cap Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		53,473		$	708,705			212,957		$	2,826,443
Reinvested dividends		—			—			281,640			3,592,953
Shares redeemed		(2,059,221	)		(27,896,875	)		(1,392,285	)		(18,565,384	)
Net increase (decrease)		(2,005,748	)	$	(27,188,170	)		(897,688	)	$	(12,145,988	)

378

	International Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,740,599		$	85,542,313			17,393,870		$	154,914,285			83,519		$	719,829			377,495		$	3,284,884
Reinvested dividends		—			—			693,739			5,776,920			—			—			46,282			386,060
Shares redeemed		(2,350,074	)		(21,585,081	)		(31,282	)		(274,996	)		(280,720	)		(2,480,439	)		(528,527	)		(4,690,797	)
Net increase (decrease)		7,390,525		$	63,957,232			18,056,327		$	160,416,209			(197,201	)	$	(1,760,610	)		(104,750	)	$	(1,019,853	)
	International Equity Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		2,244,309		$	19,557,290			4,500,464		$	38,760,997
Reinvested dividends		—			—			414,285			3,445,548
Shares redeemed		(2,937,235	)		(26,018,897	)		(4,237,238	)		(37,814,095	)
Net increase (decrease)		(692,926	)	$	(6,461,607	)		677,511		$	4,392,450
	Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,645,571		$	90,419,989			17,964,756		$	212,046,997			55,283		$	650,345			341,964		$	4,025,795
Reinvested dividends		—			—			846,906			9,947,864			—			—			53,267			625,050
Shares redeemed		(67,147	)		(791,799	)		(38,343	)		(451,579	)		(326,918	)		(3,842,021	)		(754,495	)		(8,885,475	)
Net increase (decrease)		7,578,424		$	89,628,190			18,773,319		$	221,543,282			(271,635	)	$	(3,191,676	)		(359,264	)	$	(4,234,630	)
	Diversified Fixed Income Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		7,055,418		$	82,314,012			1,068,545		$	12,515,498
Reinvested dividends		—			—			517,030			6,039,794
Shares redeemed		(1,830,751	)		(21,375,931	)		(7,813,052	)		(91,733,897	)
Net increase (decrease)		5,224,667		$	60,938,081			(6,227,477	)	$	(73,178,605	)

379

	Real Return Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,390,249		$	13,717,204			6,804,049		$	67,331,060			2,140,289		$	20,921,646			7,596,940		$	74,800,257
Reinvested dividends		—			—			—			—			—			—			—			—
Shares redeemed		(3,519,074	)		(35,132,757	)		(5,108,234	)		(50,000,000	)		(6,652,711	)		(64,874,671	)		(5,100,444	)		(50,263,341	)
Net increase (decrease)		(2,128,825	)	$	(21,415,553	)		1,695,815		$	17,331,060			(4,512,422	)	$	(43,953,025	)		2,496,496		$	24,536,916
	SA Columbia Focused Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,087,129		$	21,830,100			2,074,244		$	24,517,854			22,391		$	230,972			36,179		$	408,167
Reinvested dividends		—			—			1,684,756			17,354,199			—			—			650,661			6,502,484
Shares redeemed		(11,613	)		(123,055	)		(24,660	)		(301,543	)		(312,187	)		(3,293,205	)		(633,961	)		(7,387,400	)
Net increase (decrease)		2,075,516		$	21,707,045			3,734,340		$	41,570,510			(289,796	)	$	(3,062,233	)		52,879		$	(476,749	)
	SA Columbia Focused Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		798,978		$	8,423,411			152,686		$	1,759,679
Reinvested dividends		—			—			844,740			8,295,360
Shares redeemed		(502,015	)		(5,142,105	)		(1,916,164	)		(22,337,182	)
Net increase (decrease)		296,963		$	3,281,306			(918,738	)	$	(12,282,143	)
	SA Columbia Focused Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015						For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,336,760		$	23,800,618			5,177,294		$	88,734,755			14,649		$	240,310			42,203		$	720,556
Reinvested dividends		—			—			87,158			1,508,667			—			—			4,567			78,996
Shares redeemed		(834,826	)		(15,203,108	)		(722,041	)		(12,000,000	)		(99,162	)		(1,785,421	)		(237,597	)		(4,053,080	)
Net increase (decrease)		501,934		$	8,597,510			4,542,411		$	78,243,422			(84,513	)	$	(1,545,111	)		(190,827	)	$	(3,253,528	)

380

	SA Columbia Focused Value Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		98,503		$	1,746,028			61,832		$	1,055,493
Reinvested dividends		—			—			6,696			115,582
Shares redeemed		(186,959	)		(3,327,555	)		(595,387	)		(10,209,750	)
Net increase (decrease)		(88,456	)	$	(1,581,527	)		(526,859	)	$	(9,038,675	)
	Allocation Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		259,878		$	3,418,882			841,817		$	10,812,371
Reinvested dividends		—			—			57,064			723,183
Shares redeemed		(789,957	)		(10,451,172	)		(2,102,258	)		(27,036,286	)
Net increase (decrease)		(530,079	)	$	(7,032,290	)		(1,203,377	)	$	(15,500,732	)
	Allocation Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		1,025,672		$	13,908,777			1,264,111		$	16,993,435
Reinvested dividends		—			—			460,089			6,087,464
Shares redeemed		(3,023,710	)		(41,251,828	)		(7,643,711	)		(102,438,133	)
Net increase (decrease)		(1,998,038	)	$	(27,343,051	)		(5,919,511	)	$	(79,357,234	)
	Allocation Moderate Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		651,716		$	8,426,783			1,550,960		$	20,017,339
Reinvested dividends		—			—			1,031,978			12,954,603
Shares redeemed		(2,039,204	)		(26,277,582	)		(4,767,478	)		(61,625,086	)
Net increase (decrease)		(1,387,488	)	$	(17,850,799	)		(2,184,540	)	$	(28,653,144	)

381

	Allocation Balanced Portfolio
	Class 3
	For the six months ended September 30, 2015 (unaudited)						For the year ended March 31, 2015
	Shares			Amount			Shares			Amount
Shares sold		712,827		$	8,780,189			1,773,609		$	22,709,838
Reinvested dividends		—			—			1,838,181			22,170,880
Shares redeemed		(2,362,943	)		(28,945,743	)		(4,359,868	)		(55,576,510	)
Net increase (decrease)		(1,650,116	)	$	(20,165,554	)		(748,078	)	$	(10,695,792	)

Note 8.  Transactions with Affiliates: The following Portfolio incurred brokerage commissions with affiliated brokers for the six months ended September 30, 2015:

Portfolio	J.P. Morgan Securities, Inc.
Multi-Managed Growth	$	78

As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various SunAmerica Mutual Funds and/or Seasons Series Trust Portfolios and securities issued by AIG or an affiliate thereof. For the six months ended September 30, 2015, transactions in these securities were as follows:

Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2015
American International Group, Inc.	$	20,068	$	—	$	2,721,364	$	121,002	$	282,242	$	157,122	$	(33,410	)	$	2,683,836

Mid Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2015
Allied World Assurance Co. Holdings AG	$	1,766	$	—	$	142,612	$	8,639	$	15,947	$	8,833	$	(15,390	)	$	128,747

Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2015
Seasons Series Trust
Large Cap Growth Portfolio, Class 3	$	—	$	—	$	17,998,716	$	214,588	$	1,367,477	$	471,528		$	(1,441,209	)	$	15,876,146
Large Cap Value Portfolio, Class 3		—		—		23,578,042		108,876		6,968,464		3,814,152			(5,397,439	)		15,135,167
Mid Cap Growth Portfolio, Class 3		—		—		4,751,753		2,353,524		450,971		184,875			(827,063	)		6,012,118
Mid Cap Value Portfolio, Class 3		—		—		10,932,987		65,237		5,051,726		1,724,575			(2,426,282	)		5,244,791
Multi-Managed Growth Portfolio, Class 3		—		—		3,342,097		35,985		1,254,410		(36,178	)		(150,597	)		1,936,897
SA Columbia Focused Growth Portfolio, Class 3		—		—		1,175,563		862,132		200,551		32,438			(211,113	)		1,658,469
SA Columbia Focused Value Portfolio, Class 3		—		—		1,941,646		12,132		154,584		57,681			(246,378	)		1,610,497
Small Cap Portfolio, Class 3		—		—		8,154,717		52,285		3,269,131		1,084,616			(1,656,002	)		4,366,485

382

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2015
Diversified Fixed Income Portfolio, Class 3	$	—	$	—	$	10,557,101	$	7,224,092	$	625,397	$	(19,691	)	$	(99,455	)	$	17,036,650
Real Return Portfolio, Class 3		—		—		—		2,012,806		53,993		(335	)		(10,453	)		1,948,025
International Equity Portfolio, Class 3		—		—		28,442,041		925,909		2,657,585		898,180			(3,632,299	)		23,976,246
SunAmerica Series Trust High Yield Bond Portfolio		—		—		—		1,000,000		—		—			(13,770	)		986,230
	$	—	$	—	$	110,874,663	$	14,867,566	$	22,054,289	$	8,211,841		$	(16,112,060	)	$	95,787,721

Allocation Moderate Growth Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2015
Seasons Series Trust
Large Cap Growth Portfolio, Class 3	$	—	$	—	$	74,467,002	$	12,667,863	$	4,421,230	$	1,535,630		$	(6,647,459	)	$	77,601,806
Large Cap Value Portfolio, Class 3		—		—		110,372,145		490,724		29,455,283		16,247,891			(23,945,273	)		73,710,204
Mid Cap Growth Portfolio, Class 3		—		—		18,315,941		10,676,033		1,421,306		516,488			(3,194,478	)		24,892,678
Mid Cap Value Portfolio, Class 3		—		—		42,883,206		190,824		18,819,489		6,343,244			(9,065,892	)		21,531,893
Multi-Managed Moderate Growth Portfolio, Class 3		—		—		21,288,409		142,066		4,122,757		(191,951	)		(892,858	)		16,222,909
SA Columbia Focused Growth Portfolio, Class 3		—		—		6,032,169		3,559,115		559,852		110,052			(974,939	)		8,166,545
SA Columbia Focused Value Portfolio, Class 3		—		—		9,083,069		760,046		583,940		310,363			(1,279,292	)		8,290,246
Small Cap Portfolio, Class 3		—		—		32,197,102		161,645		12,936,470		7,844,498			(10,142,036	)		17,124,739
Diversified Fixed Income Portfolio, Class 3		—		—		150,239,550		19,818,847		4,068,623		(49,561	)		(1,761,445	)		164,178,768
Real Return Portfolio, Class 3		—		—		22,686,203		169,851		3,866,931		177,216			(572,063	)		18,594,276
International Equity Portfolio, Class 3		—		—		117,893,611		11,226,810		10,413,904		4,001,508			(16,156,255	)		106,551,770
SunAmerica Series Trust High Yield Bond Portfolio		—		—		—		3,000,000		—		—			(41,311	)		2,958,689
	$	—	$	—	$	605,458,407	$	62,863,824	$	90,669,785	$	36,845,378		$	(74,673,301	)	$	539,824,523

Allocation Moderate Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2015
Seasons Series Trust
Large Cap Growth Portfolio, Class 3	$	—	$	—	$	43,184,439	$	1,783,646	$	1,997,488	$	718,828	$	(3,257,196	)	$	40,432,229
Large Cap Value Portfolio, Class 3		—		—		65,162,952		337,830		21,766,346		11,792,565		(15,938,698	)		39,588,303
Mid Cap Growth Portfolio, Class 3		—		—		6,630,791		10,029,105		734,981		278,883		(1,761,709	)		14,442,089
Mid Cap Value Portfolio, Class 3		—		—		21,766,103		219,961		8,013,023		2,776,473		(4,314,167	)		12,435,347
SA Columbia Focused Growth Portfolio, Class 3		—		—		2,806,321		2,310,769		317,376		50,327		(522,979	)		4,327,062
SA Columbia Focused Value Portfolio, Class 3		—		—		4,673,343		618,068		321,850		182,069		(703,690	)		4,447,940

383

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2015
Small Cap Portfolio, Class 3	$	—	$	—	$	19,004,930	$	89,026	$	5,770,233	$	2,934,212		$	(4,436,287	)	$	11,821,648
Diversified Fixed Income Portfolio, Class 3		—		—		113,058,284		19,196,497		5,781,599		(59,986	)		(1,283,684	)		125,129,512
Multi-Managed Income/Equity		—		—		16,861,517		33,494		2,753,721		(120,643	)		(418,637	)		13,602,010
Real Return Portfolio, Class 3		—		—		22,310,287		77,176		7,103,436		(23,364	)		(354,022	)		14,906,641
International Equity Portfolio, Class 3		—		—		58,661,868		6,301,636		6,571,797		1,868,750			(7,815,697	)		52,444,760
SunAmerica Series Trust High Yield Bond Portfolio		—		—		—		2,000,000		—		—			(27,540	)		1,972,460
	$	—	$	—	$	374,120,835	$	42,997,208	$	61,131,850	$	20,398,114		$	(40,834,306	)	$	335,550,001

Allocation Balanced Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2015		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2015
Seasons Series Trust
Large Cap Growth Portfolio, Class 3	$	—	$	—	$	33,360,178	$	236,089	$	4,464,823	$	1,761,583		$	(3,441,661	)	$	27,451,366
Large Cap Value Portfolio, Class 3		—		—		50,269,083		220,190		22,239,378		10,842,559			(13,567,428	)		25,525,026
Mid Cap Growth Portfolio, Class 3		—		—		3,013,724		4,204,598		468,646		173,527			(861,448	)		6,061,755
Mid Cap Value Portfolio, Class 3		—		—		13,610,193		88,182		7,296,906		2,990,918			(3,766,642	)		5,625,745
SA Columbia Focused Growth Portfolio, Class 3		—		—		2,240,213		1,224,588		294,874		43,557			(350,528	)		2,862,956
SA Columbia Focused Value Portfolio, Class 3		—		—		3,726,730		25,196		611,524		167,138			(503,017	)		2,804,523
Small Cap Portfolio, Class 3		—		—		9,062,120		52,833		3,320,243		1,044,131			(1,729,339	)		5,109,502
Diversified Fixed Income Portfolio, Class 3		—		—		104,638,688		35,158,964		6,262,300		52,464			(1,301,373	)		132,286,443
Multi-Managed Income		—		—		13,519,532		97,404		2,414,778		(90,193	)		(252,505	)		10,859,460
Real Return Portfolio, Class 3		—		—		29,267,853		122,611		13,186,108		(279,114	)		(179,783	)		15,745,459
International Equity Portfolio, Class 3		—		—		36,326,021		408,875		3,039,222		691,910			(4,244,043	)		30,143,541
SunAmerica Series Trust High Yield Bond Portfolio		—		—		—		1,500,000		—		—			(20,655	)		1,479,345
	$	—	$	—	$	299,034,335	$	43,339,530	$	63,598,802	$	17,398,480		$	(30,218,422	)	$	265,955,121

†  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, 2015, each Managed Allocation 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 36% of the outstanding Class 3 shares of any underlying Seasons Series Trust Portfolio.

At September 30, 2015, the following affiliates owned outstanding shares of the following Portfolios:

Portfolio	Holder	Percentage
Diversified Fixed Income	Allocation Moderate Growth Portfolio		14	%
SA Columbia Focused Growth	Allocation Moderate Growth Portfolio		5	%
International Equity	Allocation Moderate Growth Portfolio		15	%

384

Portfolio	Holder	Percentage
Large Cap Growth	Allocation Moderate Growth Portfolio		18	%
Large Cap Value	Allocation Moderate Growth Portfolio		8	%
Mid Cap Growth	Allocation Moderate Growth Portfolio		12	%
Mid Cap Value	Allocation Moderate Growth Portfolio		7	%
Multi-Managed Moderate Growth	Allocation Moderate Growth Portfolio		14	%
Small Cap	Allocation Moderate Growth Portfolio		7	%
Diversified Fixed Income	Allocation Moderate Portfolio		10	%
International Equity	Allocation Moderate Portfolio		8	%
Large Cap Growth	Allocation Moderate Portfolio		9	%
Mid Cap Growth	Allocation Moderate Portfolio		7	%
Multi-Managed Income/Equity	Allocation Moderate Portfolio		15	%
Small Cap	Allocation Moderate Portfolio		5	%
Diversified Fixed Income	Allocation Balanced Portfolio		11	%
Large Cap Growth	Allocation Balanced Portfolio		6	%
Multi-Managed Income	Allocation Balanced Portfolio		15	%
Diversified Fixed Income	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		51	%
SA Columbia Focused Growth	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		60	%
SA Columbia Focused Value	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		55	%
International Equity	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		39	%
Large Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		28	%
Large Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		37	%
Mid Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		38	%
Mid Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		52	%
Real Return	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		19	%
Small Cap	SunAmerica Series Trust - SunAmerica Dynamic Allocation Portfolio		33	%
SA Columbia Focused Value	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		30	%
Diversified Fixed Income	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		8	%
International Equity	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		23	%
Large Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		21	%
Large Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		40	%
Mid Cap Growth	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		20	%
Mid Cap Value	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		18	%
Real Return .	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		8	%
Small Cap	SunAmerica Series Trust - SunAmerica Dynamic Strategy Portfolio		37	%

Note 9.  Investment Concentration: The International Equity Portfolio invests internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaulted, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, and Diversified Fixed Income Portfolios' concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.

Note 10.  Line of Credit: The Trust, along with certain other funds managed by the Adviser, has access to a $75 million committed unsecured line of credit and a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company, the Trust's custodian. Interest is currently payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street Bank and Trust Company's discretionary bid rate on the uncommitted line of credit. There is also a commitment fee of 20 basis points per annum on the daily unused portion of the committed line of credit and a one-time closing fee of 5 basis points

385

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, 2015, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
Multi-Managed Growth		23	$	143	$	159,013		1.39	%
Multi-Managed Moderate Growth		63		396		162,399		1.39
Multi-Managed Income/Equity		36		243		175,641		1.39
Multi-Managed Income		20		47		60,865		1.39
Asset Allocation: Diversified Growth		1		5		138,802		1.38
Large Cap Growth		1		4		109,069		1.39
Large Cap Value		11		2,225		5,278,406		1.39
Mid Cap Value		2		412		5,298,207		1.40
Small Cap		7		99		362,982		1.40
International Equity		1		10		248,898		1.38
Allocation Growth		74		262		92,104		1.38
Allocation Moderate Growth		106		1,206		296,172		1.38
Allocation Moderate		92		695		196,909		1.38
Allocation Balanced		87		753		225,440		1.38

As of September 30, 2015, the following Portfolios had outstanding borrowings:

Portfolio	Amount
Multi-Managed Growth	$	368,631
Multi-Managed Moderate Growth		581,268

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, 2015, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain(Loss)
Stock	$	162,045	$	—	$	—
Large Cap Value		—		85,550		(46,362	)
Mid Cap Growth		836,440		—		—
Mid Cap Value		—		19,951		3,891
International Equity		—		62,608		8,389

Note 12.  Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the six months ended September 30, 2015, none of the Portfolios participated in this program.

Note 13.  Unfunded Loan Commitments: At September 30, 2015, the Diversified Fixed Income Portfolio had the following unfunded loan commitment which could be extended at the option of the Borrower:

Borrower	Principal Type	Maturity Date	Amount		Value
Kenan Advantage Group, Inc.	Strip Delayed Draw	01/31/2017	$	10,000	$	9,967

386

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Growth Portfolio Class 1
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
03/31/15		20.16		0.13		2.19			2.32			(0.10	)		(3.07	)		(3.17	)		19.31		12.54			12,718		1.17			0.62			67
09/30/15@		19.31		0.06		(1.24	)		(1.18	)		—			—			—			18.13		(6.11	)		11,497		1.17	#		0.60	#		29
Multi-Managed Growth Portfolio Class 2
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
03/31/15		20.15		0.10		2.18			2.28			(0.07	)		(3.07	)		(3.14	)		19.29		12.31			23,033		1.32			0.47			67
09/30/15@		19.29		0.04		(1.23	)		(1.19	)		—			—			—			18.10		(6.17	)		20,469		1.32	#		0.45	#		29
Multi-Managed Growth Portfolio Class 3
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
03/31/15		20.10		0.07		2.19			2.26			(0.05	)		(3.07	)		(3.12	)		19.24		12.23			35,817		1.42			0.37			67
09/30/15@		19.24		0.03		(1.23	)		(1.20	)		—			—			—			18.04		(6.24	)		30,642		1.42	#		0.35	#		29

  *  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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
Multi-Managed Growth Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Multi-Managed Growth Portfolio Class 2		0.01			0.00			0.00			0.01			0.00			0.00
Multi-Managed Growth Portfolio Class 3		0.01			0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

387

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Moderate Growth Portfolio Class 1
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
03/31/15		15.35		0.15		1.39			1.54			(0.13	)		(1.71	)		(1.84	)		15.05		10.74			13,247		1.02			0.98			71
09/30/15@		15.05		0.08		(0.88	)		(0.80	)		—			—			—			14.25		(5.32	)		11,116		1.02	#		1.03	#		25
Multi-Managed Moderate Growth Portfolio Class 2
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
03/31/15		15.33		0.13		1.38			1.51			(0.11	)		(1.71	)		(1.82	)		15.02		10.51			52,837		1.17			0.83			71
09/30/15@		15.02		0.07		(0.87	)		(0.80	)		—			—			—			14.22		(5.33	)		46,840		1.17	#		0.88	#		25
Multi-Managed Moderate Growth Portfolio Class 3
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
03/31/15		15.28		0.11		1.39			1.50			(0.10	)		(1.71	)		(1.81	)		14.97		10.46			71,822		1.27			0.73			71
09/30/15@		14.97		0.06		(0.87	)		(0.81	)		—			—			—			14.16		(5.41	)		58,781		1.27	#		0.78	#		25

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.00			0.00			0.01			0.00			0.00
Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

388

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Income/Equity Portfolio Class 1
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
03/31/15		12.79		0.19		0.82			1.01			(0.19	)		(1.00	)		(1.19	)		12.61		8.20			11,927		1.00			1.45			86
09/30/15@		12.61		0.10		(0.50	)		(0.40	)		—			—			—			12.21		(3.17	)		10,142		1.00	#		1.61	#		22
Multi-Managed Income/Equity Portfolio Class 2
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
03/31/15		12.77		0.17		0.82			0.99			(0.17	)		(1.00	)		(1.17	)		12.59		8.03			44,486		1.15			1.31			86
09/30/15@		12.59		0.09		(0.50	)		(0.41	)		—			—			—			12.18		(3.26	)		39,523		1.15	#		1.46	#		22
Multi-Managed Income/Equity Portfolio Class 3
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
03/31/15		12.73		0.16		0.82			0.98			(0.16	)		(1.00	)		(1.16	)		12.55		7.98			45,831		1.25			1.21			86
09/30/15@		12.55		0.09		(0.51	)		(0.42	)		—			—			—			12.13		(3.35	)		38,564		1.25	#		1.36	#		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 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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
Multi-Managed Income/Equity Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Multi-Managed Income/Equity Portfolio Class 2		0.00			0.00			0.00			0.01			0.00			0.00
Multi-Managed Income/Equity Portfolio Class 3		0.00			0.00			0.00			0.01			0.00			0.00

See Notes to Financial Statements

389

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Multi-Managed Income Portfolio Class 1
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
03/31/15		12.10		0.22		0.53			0.75			(0.22	)		(0.53	)		(0.75	)		12.10		6.30			9,975		1.00			1.81			87
09/30/15@		12.10		0.12		(0.42	)		(0.30	)		—			—			—			11.80		(2.48	)		7,771		0.99	#		2.02	#		22
Multi-Managed Income Portfolio Class 2
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
03/31/15		12.08		0.20		0.53			0.73			(0.20	)		(0.53	)		(0.73	)		12.08		6.13			36,076		1.15			1.65			87
09/30/15@		12.08		0.11		(0.42	)		(0.31	)		—			—			—			11.77		(2.57	)		32,229		1.14	#		1.87	#		22
Multi-Managed Income Portfolio Class 3
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
03/31/15		12.04		0.19		0.52			0.71			(0.18	)		(0.53	)		(0.71	)		12.04		6.06			36,255		1.25			1.55			87
09/30/15@		12.04		0.11		(0.42	)		(0.31	)		—			—			—			11.73		(2.57	)		31,744		1.24	#		1.77	#		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 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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
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

390

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)(2)			Ratio of net investment income to average net assets(1)(2)			Portfolio turnover
Asset Allocation: Diversified Growth Portfolio Class 1
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
03/31/15		12.98		0.18		1.17			1.35			(0.24	)		(0.10	)		(0.34	)		13.99		10.56			21,958		0.99			1.36			79
09/30/15@		13.99		0.10		(1.16	)		(1.06	)		—			—			—			12.93		(7.58	)		18,696		0.95	#		1.49	#		58
Asset Allocation: Diversified Growth Portfolio Class 2
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
03/31/15		12.97		0.16		1.17			1.33			(0.22	)		(0.10	)		(0.32	)		13.98		10.39			70,798		1.14			1.21			79
09/30/15@		13.98		0.09		(1.15	)		(1.06	)		—			—			—			12.92		(7.58	)		63,013		1.10	#		1.34	#		58
Asset Allocation: Diversified Growth Portfolio Class 3
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
03/31/15		12.95		0.15		1.17			1.32			(0.21	)		(0.10	)		(0.31	)		13.96		10.28			61,850		1.24			1.11			79
09/30/15@		13.96		0.09		(1.16	)		(1.07	)		—			—			—			12.89		(7.66	)		53,916		1.20	#		1.24	#		58

  *  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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
Asset Allocation: Diversified Growth Portfolio Class 1		0.01	%		0.01	%		0.01	%		0.00	%		0.00	%		0.00	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.01			0.01			0.01			0.00			0.00			0.00
Asset Allocation: Diversified Growth Portfolio Class 3		0.01			0.01			0.01			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
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

391

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income		Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Stock Portfolio Class 1
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
03/31/15		22.86		(0.03	)		3.70			3.67			—		(1.25	)		(1.25	)		25.28		16.53			381,906		0.88			(0.15	)		32
09/30/15@		25.28		(0.02	)		(0.97	)		(0.99	)		—		—			—			24.29		(3.92	)		358,769		0.87	#		(0.18	)#		22
Stock Portfolio Class 2
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
03/31/15		22.55		(0.07	)		3.65			3.58			—		(1.25	)		(1.25	)		24.88		16.36			55,803		1.03			(0.30	)		32
09/30/15@		24.88		(0.04	)		(0.96	)		(1.00	)		—		—			—			23.88		(4.02	)		48,927		1.02	#		(0.33	)#		22
Stock Portfolio Class 3
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
03/31/15		22.36		(0.09	)		3.62			3.53			—		(1.25	)		(1.25	)		24.64		16.27			50,706		1.13			(0.40	)		32
09/30/15@		24.64		(0.05	)		(0.95	)		(1.00	)		—		—			—			23.64		(4.06	)		43,700		1.12	#		(0.43	)#		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 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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
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

392

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Large Cap Growth Portfolio Class 1
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
03/31/15		13.72		0.08		2.07			2.15			(0.06	)		(2.01	)		(2.07	)		13.80		16.61			216,793		0.84			0.57			43
09/30/15@		13.80		0.03		(0.81	)		(0.78	)		—			—			—			13.02		(5.65	)		220,207		0.83	#		0.50	#		23
Large Cap Growth Portfolio Class 2
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
03/31/15		13.52		0.06		2.04			2.10			(0.03	)		(2.01	)		(2.04	)		13.58		16.52			41,272		0.98			0.41			43
09/30/15@		13.58		0.02		(0.80	)		(0.78	)		—			—			—			12.80		(5.74	)		35,770		0.98	#		0.34	#		23
Large Cap Growth Portfolio Class 3
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
03/31/15		13.43		0.04		2.03			2.07			(0.02	)		(2.01	)		(2.03	)		13.47		16.35			195,439		1.08			0.31			43
09/30/15@		13.47		0.02		(0.80	)		(0.78	)		—			—			—			12.69		(5.79	)		182,577		1.08	#		0.25	#		23

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
Large Cap Growth Portfolio Class 1		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Large Cap Growth Portfolio Class 2		0.00			0.00			0.00			0.01			0.00			0.00
Large Cap Growth Portfolio Class 3		0.00			0.00			0.00			0.01			0.00			0.00

  (2)  Includes the effect of a merger.

See Notes to Financial Statements

393

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Large Cap Value Portfolio Class 1
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
03/31/15		16.10		0.25			0.90			1.15			(0.19	)		(0.02	)		(0.21	)		17.04		7.16			672,766		0.79			1.55			27
09/30/15@		17.04		0.15			(1.75	)		(1.60	)		—			—			—			15.44		(9.39	)		686,245		0.78	#		1.77	#		12
Large Cap Value Portfolio Class 2
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
03/31/15		16.08		0.23			0.89			1.12			(0.16	)		(0.02	)		(0.18	)		17.02		7.00			36,827		0.94			1.39			27
09/30/15@		17.02		0.14			(1.75	)		(1.61	)		—			—			—			15.41		(9.46	)		29,540		0.93	#		1.60	#		12
Large Cap Value Portfolio Class 3
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
03/31/15		16.05		0.22			0.88			1.10			(0.14	)		(0.02	)		(0.16	)		16.99		6.91			271,186		1.04			1.29			27
09/30/15@		16.99		0.13			(1.74	)		(1.61	)		—			—			—			15.38		(9.48	)		171,822		1.03	#		1.47	#		12
Mid Cap Growth Portfolio Class 1
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
03/31/15		17.09		(0.02	)		2.21			2.19			—			(1.42	)		(1.42	)		17.86		13.56			140,381		0.94			(0.13	)		48
09/30/15@		17.86		(0.01	)		(1.61	)		(1.62	)		—			—			—			16.24		(9.07	)		127,319		0.93	#		(0.14	)#		26
Mid Cap Growth Portfolio Class 2
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
03/31/15		16.62		(0.05	)		2.15			2.10			—			(1.42	)		(1.42	)		17.30		13.40			28,242		1.09			(0.29	)		48
09/30/15@		17.30		(0.02	)		(1.56	)		(1.58	)		—			—			—			15.72		(9.13	)		23,585		1.07	#		(0.29	)#		26
Mid Cap Growth Portfolio Class 3
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
03/31/15		16.37		(0.06	)		2.11			2.05			—			(1.42	)		(1.42	)		17.00		13.30			53,768		1.19			(0.38	)		48
09/30/15@		17.00		(0.03	)		(1.54	)		(1.57	)		—			—			—			15.43		(9.24	)		68,092		1.18	#		(0.36	)#		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 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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
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

394

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Mid Cap Value Portfolio Class 1
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
03/31/15		20.20		0.13			1.99			2.12			(0.18	)		(1.72	)		(1.90	)		20.42		11.09			193,319		0.91			0.64			95
09/30/15@		20.42		0.10			(2.18	)		(2.08	)		—			—			—			18.34		(10.19	)		223,681		0.91	#		1.01	#		35
Mid Cap Value Portfolio Class 2
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
03/31/15		20.16		0.09			1.99			2.08			(0.14	)		(1.72	)		(1.86	)		20.38		10.93			34,526		1.06			0.45			95
09/30/15@		20.38		0.08			(2.17	)		(2.09	)		—			—			—			18.29		(10.26	)		28,048		1.05	#		0.81	#		35
Mid Cap Value Portfolio Class 3
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
03/31/15		20.11		0.07			1.99			2.06			(0.11	)		(1.72	)		(1.83	)		20.34		10.83			114,177		1.16			0.34			95
09/30/15@		20.34		0.07			(2.16	)		(2.09	)		—			—			—			18.25		(10.28	)		64,785		1.15	#		0.65	#		35
Small Cap Portfolio Class 1
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
03/31/15		14.10		0.06			0.71			0.77			(0.03	)		(0.56	)		(0.59	)		14.28		5.78			147,337		0.94			0.46			40
09/30/15@		14.28		0.03			(1.56	)		(1.53	)		—			—			—			12.75		(10.71	)		175,573		0.94	#		0.41	#		20
Small Cap Portfolio Class 2
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
03/31/15		13.80		0.03			0.71			0.74			(0.01	)		(0.56	)		(0.57	)		13.97		5.65			23,823		1.09			0.25			40
09/30/15@		13.97		0.02			(1.52	)		(1.50	)		—			—			—			12.47		(10.74	)		19,139		1.08	#		0.23	#		20
Small Cap Portfolio Class 3
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
03/31/15		13.62		0.02			0.70			0.72			—			(0.56	)		(0.56	)		13.78		5.60			85,401		1.19			0.15			40
09/30/15@		13.78		0.01			(1.50	)		(1.49	)		—			—			—			12.29		(10.81	)		51,523		1.18	#		0.10	#		20

  *  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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
Mid Cap Value Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%
Mid Cap Value Class 2		0.01			0.01			0.00			0.00			0.00			0.01
Mid Cap Value Class 3		0.01			0.00			0.00			0.00			0.00			0.01
Small Cap Portfolio Class 1		0.01			0.00			0.00			0.00			0.00			0.01
Small Cap Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.01
Small Cap Portfolio Class 3		0.01			0.00			0.00			0.00			0.00			0.01

  (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

395

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover
International Equity Portfolio Class 1
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
03/31/15		9.01		0.14		(0.20	)		(0.06	)		(0.14	)		—			(0.14	)		8.81		(0.62	)		421,202		0.99	(1)(2)		1.58	(1)(2)		64
09/30/15@		8.81		0.10		(1.01	)		(0.91	)		—			—			—			7.90		(10.33	)		436,361		0.93	#(1)(2)		2.21	#(1)(2)		15
International Equity Portfolio Class 2
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
03/31/15		9.01		0.13		(0.20	)		(0.07	)		(0.12	)		—			(0.12	)		8.82		(0.68	)		28,805		1.13	(1)(2)		1.46	(1)(2)		64
09/30/15@		8.82		0.09		(1.00	)		(0.91	)		—			—			—			7.91		(10.32	)		24,268		1.08	#(1)(2)		2.08	#(1)(2)		15
International Equity Portfolio Class 3
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
03/31/15		8.98		0.12		(0.20	)		(0.08	)		(0.11	)		—			(0.11	)		8.79		(0.80	)		266,271		1.23	(1)(2)		1.35	(1)(2)		64
09/30/15@		8.79		0.09		(1.00	)		(0.91	)		—			—			—			7.88		(10.35	)		233,171		1.18	#(1)(2)		1.97	#(1)(2)		15
Diversified Fixed Income Portfolio Class 1
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
03/31/15		11.58		0.22		0.33			0.55			(0.21	)		—			(0.21	)		11.92		4.75			637,855		0.69			1.92			56
09/30/15@		11.92		0.11		(0.24	)		(0.13	)		—			—			—			11.79		(1.09	)		720,047		0.68	#		1.96	#		16
Diversified Fixed Income Portfolio Class 2
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
03/31/15		11.56		0.21		0.32			0.53			(0.19	)		—			(0.19	)		11.90		4.58			38,732		0.84			1.78			56
09/30/15@		11.90		0.11		(0.25	)		(0.14	)		—			—			—			11.76		(1.18	)		35,075		0.83	#		1.80	#		16
Diversified Fixed Income Portfolio Class 3
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
03/31/15		11.51		0.20		0.31			0.51			(0.17	)		—			(0.17	)		11.85		4.48			405,074		0.94			1.68			56
09/30/15@		11.85		0.10		(0.25	)		(0.15	)		—			—			—			11.70		(1.27	)		461,167		0.93	#		1.70	#		16

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
International Equity Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.01	%		0.01	%		0.00	%
International Equity Portfolio Class 2		0.00			0.00			0.01			0.01			0.01			0.00
International Equity Portfolio Class 3		0.00			0.00			0.01			0.01			0.01			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
International Equity Portfolio Class 1		—	%		—	%		—	%		—	%		0.01	%		0.04	%
International Equity Portfolio Class 2		—			—			—			—			0.01			0.04
International Equity Portfolio Class 3		—			—			—			—			0.01			0.04

See Notes to Financial Statements

396

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets			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	%(1)		0.38	%(1)		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
03/31/15		9.74		(0.09	)		0.29			0.20			—			—		—			9.94		2.05			189,273		0.64			(0.95	)		128
09/30/15#		9.94		0.11			(0.28	)		(0.17	)		—			—		—			9.77		(1.71	)		165,300		0.63	(1)		2.18	(1)		19
Real Return Portfolio Class 3
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
03/31/15		9.71		(0.09	)		0.26			0.17			—			—		—			9.88		1.75			499,722		0.89			(0.92	)		128
09/30/15#		9.88		0.10			(0.27	)		(0.17	)		—			—		—			9.71		(1.72	)		446,936		0.88	(1)		1.98	(1)		19

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Unaudited

  @  Commencement of operations.

  (1)  Annualized

See Notes to Financial Statements

397

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(2)			Ratio of net investment income to average net assets(2)			Portfolio turnover
SA Columbia Focused Growth Portfolio## Class 1
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
03/31/15		11.87		(0.04	)		1.29			1.25			—			(2.37	)		(2.37	)		10.75		11.44			103,468		1.07			(0.36	)		90
09/30/2015@		10.75		(0.02	)		(0.88	)		(0.90	)		—			—			—			9.85		(8.37	)		115,242		0.96	#(3)		(0.47	)#(3)		131
SA Columbia Focused Growth Portfolio## Class 2
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
03/31/15		11.60		(0.06	)		1.26			1.20			—			(2.37	)		(2.37	)		10.43		11.28			34,180		1.22			(0.52	)		90
09/30/2015@		10.43		(0.03	)		(0.85	)		(0.88	)		—			—			—			9.55		(8.44	)		28,525		1.12	#(3)		(0.62	)#(3)		131
SA Columbia Focused Growth Portfolio## Class 3
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
03/31/15		11.44		(0.07	)		1.24			1.17			—			(2.37	)		(2.37	)		10.24		11.15			41,389		1.32			(0.62	)		90
09/30/2015@		10.24		(0.04	)		(0.83	)		(0.87	)		—			—			—			9.37		(8.50	)		40,655		1.21	#(3)		(0.72	)#(3)		131

  *  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

  ##  See Note 1

  (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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#@
SA Columbia Focused Growth Portfolio Class 1		0.01	%		0.01	%		0.01	%		0.00	%		0.00	%		0.00	%
SA Columbia Focused Growth Portfolio Class 2		0.01			0.01			0.01			0.00			0.00			0.00
SA Columbia Focused Growth Portfolio Class 3		0.01			0.01			0.01			0.00			0.00			0.00

  (3)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	09/30/15#@
SA Columbia Focused Growth Portfolio Class 1		0.11	%
SA Columbia Focused Growth Portfolio Class 2		0.10
SA Columbia Focused Growth Portfolio Class 3		0.11

See Notes to Financial Statements

398

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*		Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments		Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(2)			Ratio of net investment income to average net assets(2)			Portfolio turnover
SA Columbia Focused 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
03/31/15		16.45		0.19		1.48			1.67			(0.11	)		—		(0.11	)		18.01		10.17			276,585		1.00	(3)		1.14	(3)		28
09/30/2015#		18.01		0.10		(1.96	)		(1.86	)		—			—		—			16.15		(10.33	)		256,006		0.90	(1)(3)		1.09	(1)(3)		95
SA Columbia Focused Value Portfolio## Class 2
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
03/31/15		16.42		0.17		1.48			1.65			(0.08	)		—		(0.08	)		17.99		10.06			17,357		1.15	(3)		0.97	(3)		28
09/30/2015#		17.99		0.08		(1.96	)		(1.88	)		—			—		—			16.11		(10.45	)		14,184		1.05	(1)(3)		0.94	(1)(3)		95
SA Columbia Focused Value Portfolio## Class 3
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
03/31/15		16.38		0.15		1.48			1.63			(0.06	)		—		(0.06	)		17.95		9.95			34,399		1.25	(3)		0.86	(3)		28
09/30/2015#		17.95		0.08		(1.96	)		(1.88	)		—			—		—			16.07		(10.47	)		29,372		1.15	(1)(3)		0.84	(1)(3)		95

  @  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 expense reductions.

  #  Unaudited

  ##  See Note 1

  (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:

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#(1)
SA Columbia Focused Value Portfolio Class 1		—	%		0.00	%		0.01	%		0.01	%		0.00	%		0.01	%
SA Columbia Focused Value Portfolio Class 2		0.01			0.01			0.01			0.01			0.00			0.01
SA Columbia Focused Value Portfolio Class 3		0.01			0.01			0.01			0.01			0.00			0.01

  (3)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/11			03/31/12			03/31/13			03/31/14			03/31/15			09/30/15#(1)
SA Columbia Focused Value Portfolio Class 1		—	%		—	%		—	%		0.03	%		0.05	%		0.14	%
SA Columbia Focused Value Portfolio Class 2		—			—			—			0.02			0.05			0.14
SA Columbia Focused Value Portfolio Class 3		—			—			—			0.02			0.05			0.14

See Notes to Financial Statements

399

SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)

Select data for a share of beneficial interest outstanding throughout each period

Period ended	Net Asset Value beginning of period		Net investment income (loss)*			Net realized & unrealized gain (loss) on investments			Total from investment operations			Dividends from net invest- ment income			Dividends from net realized gain on investments			Total distributions			Net Asset Value end of period		Total Return**			Net Assets end of period (000's)		Ratio of expenses to average net assets(1)			Ratio of net investment income to average net assets(1)			Portfolio turnover
Allocation Growth Portfolio Class 3
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
03/31/15		12.52		0.07			0.80			0.87			(0.08	)		—			(0.08	)		13.31		6.99			110,769		0.17			0.56			10
09/30/15@		13.31		(0.01	)		(1.01	)		(1.02	)		—			—			—			12.29		(7.66	)		95,746		0.17	#(2)		(0.17	)#(2)		14
Allocation Moderate Growth Portfolio Class 3
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
03/31/15		13.09		0.09			0.74			0.83			(0.14	)		—			(0.14	)		13.78		6.35			605,233		0.13			0.70			6
09/30/15@		13.78		(0.01	)		(0.90	)		(0.91	)		—			—			—			12.87		(6.60	)		539,697		0.12	#(2)		(0.12	)#(2)		11
Allocation Moderate Portfolio Class 3
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
03/31/15		12.70		0.10			0.66			0.76			(0.14	)		(0.31	)		(0.45	)		13.01		6.15			373,985		0.14			0.74			7
09/30/15@		13.01		(0.01	)		(0.74	)		(0.75	)		—			—			—			12.26		(5.76	)		335,463		0.13	#(2)		(0.13	)#(2)		12
Allocation Balanced Portfolio Class 3
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
03/31/15		12.68		0.10			0.62			0.72			(0.15	)		(0.81	)		(0.96	)		12.44		5.93			299,059		0.14			0.77			8
09/30/15@		12.44		(0.01	)		(0.55	)		(0.56	)		—			—			—			11.88		(4.50	)		265,882		0.13	#(2)		(0.13	)#(2)		15

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.

  #  Annualized

  @  Unaudited

  (1)  Does not include underlying fund expenses that the Portfolios bear indirectly.

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	09/30/15#@
Allocation Growth Portfolio Class 3		0.00	%
Allocation Moderate Growth Portfolio Class 3		0.00
Allocation Moderate Portfolio Class 3		0.00
Allocation Balanced Portfolio Class 3		0.00

See Notes to Financial Statements

400

SEASONS SERIES TRUST
Supplement dated October 20, 2015 to the Prospectus dated
July 29, 2015, as supplemented and amended to date

Large Cap Value Portfolio
(the "Portfolio")

On October 13, 2015, the Board of Trustees (the "Board") of Seasons Series Trust (the "Trust") approved a new Subadvisory Agreement between SunAmerica Asset Management, LLC ("SunAmerica") and American Century Investment Management Inc. ("American Century") with respect to the Portfolio. The Board also terminated the current Subadvisory Agreement between SunAmerica and T. Rowe Price Associates, Inc. ("T. Rowe Price") with respect to the Portfolio. American Century will replace T. Rowe Price as a subadviser to a portion of the Portfolio effective October 26, 2015. SunAmerica will send a notice to shareholders of record as of October 26, 2015 that will explain how to access an Information Statement, which will include more information about American Century and the new Subadvisory Agreement.

On October 26, 2015, the following changes to the Prospectus will become effective:

Change in Subadviser and Portfolio Managers

The first paragraph and the table under the section entitled "Portfolio Summary: Large Cap Value Portfolio — Investment Adviser" are deleted in their entirety and replaced with the following:

The Portfolio's investment adviser is SAAMCo. The Portfolio is subadvised by American Century Investment Management Inc. ("American Century") and Wellington Management Company LLP ("Wellington Management"). SAAMCo directly manages a portion of the Portfolio. The portfolio managers are noted below.

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
American Century
Brendan Healy, CFA		2015	Vice President and Portfolio Manager
Matt Titus, CFA		2015	Vice President and Portfolio Manager
Wellington Management
Ian R. Link, CFA		2008	Senior Managing Director and Equity Portfolio Manager

* Not Part of Financial Statements *

401

SEASONS SERIES TRUST
Supplement dated October 20, 2015 to the Prospectus dated
July 29, 2015, as supplemented and amended to date

In the section entitled "Management — Information about the Subadvisers," under the subheading T. Rowe Price Associates Inc., all reference to the Portfolio is deleted in its entirety. In addition, the following subsection is added after the third paragraph:

American Century Investment Management, Inc. ("American Century") has been managing mutual funds since 1958 and is headquartered at 4500 Main Street, Kansas City, Missouri 64111. American Century is wholly-owned by American Century Companies, Inc. ("ACC"). The Stowers Institute for Medical Research ("SIMR") controls ACC by virtue of its beneficial ownership of more than 25% of the voting securities of ACC. SIMR is part of a not-for-profit biomedical research organization dedicated to finding the keys to the causes, treatments and prevention of disease. As of September 30, 2015, American Century had approximately $141.5 billion in total assets under management.

A portion of the Large Cap Value Portfolio is managed by Brendan Healy and Matt Titus. Mr. Healy, Vice President and Portfolio Manager, joined American Century in 2000 and became a portfolio manager in 2004. He has a bachelor's degree in mechanical engineering from the University of Arizona and an MBA from the University of Texas — Austin. He is a CFA charterholder. Mr. Titus, Vice President and Portfolio Manager, joined American Century as an equity analyst in 2004 and became a portfolio manager in 2010. He has a bachelor's degree in accounting and economics from Luther College and an MBA from Ohio State University. He is a CFA charterholder.

Version: Combined Master

PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.

* Not Part of Financial Statements *

402

SEASONS SERIES TRUST
APPROVAL OF SUBADVISORY CONTRACTS
September 30, 2015 (unaudited)

At an in-person meeting held on May 27, 2015 (the "Meeting"), the Board, including a majority of the Trustees who are not "interested persons" of the Trust, as defined under Section 2(a)(19) of the Investment Company Act of 1940, as amended (the "1940 Act") (the "Disinterested Trustees"), approved (1) a change in the name of the "Focus Growth Portfolio" and "Focus Value Portfolio" to the "SA Columbia Focused Growth Portfolio" and "SA Columbia Focused Value Portfolio," respectively (each a "Portfolio," and collectively, the "Portfolios"); (2) a new subadvisory agreement (the "Subadvisory Agreement") between SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser") and Columbia Management Investment Advisers, LLC ("Columbia" or the "Subadviser") with respect to each Portfolio; (3) the termination of each of the subadvisory agreements between SAAMCo and Janus Capital Management, LLC ("Janus") and SAAMCo and Marsico Capital Management, LLC ("Marsico") with respect to the SA Columbia Focused Growth Portfolio; and (4) the termination of each of the subadvisory agreements between SAAMCo and J.P. Morgan Investment Management, Inc. ("JPMorgan") and SAAMCo and Northern Trust Investments, Inc. ("Northern Trust" and collectively with Janus, Marsico and JPMorgan, the "Previous Subadvisers") with respect to the SA Columbia Focused Value Portfolio. As a result, effective July 29, 2015, Columbia assumed portfolio management responsibilities for each Portfolio.

In accordance with Section 15(c) of the 1940 Act, the Board requested, and SAAMCo and Columbia provided, materials relating to the Board's consideration of whether to approve the Subadvisory Agreement. The Board also took into account presentations made at the Meeting by members of management as well as presentations made by representatives of Columbia who responded to questions posed by the Board and management. The Disinterested Trustees were separately represented by independent counsel in connection with their consideration of the approval of the Subadvisory Agreement. In determining whether to approve the Subadvisory Agreement, the Board, including the Disinterested Trustees, also considered the following information:

Nature, Extent and Quality of Services Provided by Columbia. The Board, including the Disinterested Trustees, considered the nature, extent and quality of services expected to be provided by Columbia with respect to each Portfolio, including investment management services such as investment research, advice and supervision, and determining which securities will be purchased or sold by each Portfolio, subject to the oversight and review of SAAMCo. In addition, the Board reviewed Columbia's history, structure, size, visibility and resources, which are needed to attract and retain highly qualified investment professionals. The Board also reviewed the personnel that would be responsible for providing portfolio management services to the Portfolios. The Board concluded, based on the materials provided, discussions with Columbia representatives, and diligence conducted by management, that: (i) Columbia would be able to retain high quality portfolio managers and other investment personnel; (ii) Columbia would exhibit a high level of diligence and attention to detail in carrying out its responsibilities as a subadviser; and (iii) Columbia would be responsive to requests of the Board and of SAAMCo. The Board also considered that Columbia has developed internal policies and procedures for monitoring compliance with the investment objectives, policies and restrictions of each Portfolio. The Board further considered SAAMCo's assessment of Columbia's code of ethics, compliance and regulatory history and risk management processes. The Board also reviewed and considered Columbia's compliance and regulatory history, including information about whether it has been involved in any litigation, regulatory actions or investigations that could impair its ability to serve as subadviser to the Portfolios. The Board concluded that there was no information provided that would potentially have a material adverse effect on Columbia's ability to serve as a subadviser to the Portfolios.

The Board concluded that the nature and extent of services expected to be provided by Columbia under the Subadvisory Agreement were reasonable and appropriate in relation to the proposed subadvisory fees and that the quality of services was reasonably expected to be high.

Consideration of the Subadvisory Fee and the Cost of the Services to be Provided by Columbia. The Board, including the Disinterested Trustees, also received and reviewed information regarding the fees to be paid by SAAMCo to Columbia pursuant to the Subadvisory Agreement. The Board noted that the subadvisory fee to be paid by SAAMCo to Columbia pursuant to the Subadvisory Agreement would be lower than the aggregate subadvisory fees that were paid to the Previous Subadvisers pursuant to each respective subadvisory agreement between SAAMCo and each subadviser with respect to each Portfolio.

403

SEASONS SERIES TRUST
APPROVAL OF SUBADVISORY CONTRACTS — (unaudited) (continued)

To assist in analyzing the reasonableness of the management fee for the Portfolios, the Board received reports independently prepared by Lipper, Inc. ("Lipper"), an independent third-party provider of mutual fund data, which contained comparative fee and expense information with respect to each Portfolio (which is based on estimated expense amounts) and a representative group of similar funds as determined by Lipper. In considering the reasonableness of the management fee to be paid by the Portfolios to SAAMCo, the Board reviewed a number of expense comparisons, including: (i) contractual and actual advisory fees; and (ii) total operating expenses. In considering the Portfolios' projected total operating expenses, the Board analyzed the level of fee waivers and expense reimbursements contractually agreed upon by SAAMCo with respect to the Portfolios. The Board further considered that, unlike the funds in the Peer Group and Peer Universe, the fee waivers and/or reimbursements anticipated to be made by SAAMCo with respect to the Portfolio are only reflected in the total expenses category of the Lipper report, rather than also being reflected as specific management fee waivers in the actual management fees category of the Lipper report. As a result, the Board took into account that the actual management fees presented by Lipper for the funds in the Peer Group and Peer Universe may appear lower on a relative basis. The Board also considered the various expense components of each Portfolio and compared each Portfolio's net expense ratio to those of other funds within its Peer Group and Peer Universe as a guide to help assess the reasonableness of the management fee for the Portfolio. The Board acknowledged that it was difficult to make precise comparisons with other funds in the Peer Group and Peer Universe since the exact nature of services provided under the various fund agreements is often not apparent. The Board noted, however, that the comparative fee information provided by Lipper, as a whole, was useful in assessing whether SAAMCo would be providing services at a cost that was competitive with other, similar funds. The Board took into account management's discussion of the Portfolios' proposed fees and anticipated expenses.

The Board also received and reviewed information regarding the subadvisory fee to be paid by SAAMCo to Columbia pursuant to the Subadvisory Agreement. To assist in analyzing the reasonableness of the subadvisory fee, the Board received a report prepared independently by Lipper. The report showed comparative fee information of each Portfolio's Peer Group and Peer Universe that the Board used as a guide to help assess the reasonableness of the subadvisory fees. The Board noted that the Peer Group and Peer Universe information, as a whole, was useful in assessing whether Columbia was providing services at a cost that was competitive with other similar funds. The Board also considered that the subadvisory fee was paid by SAAMCo out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a peer group for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further noted that, at current asset levels, the subadvisory fee to be paid by SAAMCo to Columbia pursuant to the Subadvisory Agreement would be lower than the aggregate subadvisory fee paid to the Previous Subadvisers pursuant to the current subadvisory agreements between SAAMCo and the Previous Subadvisers with respect to each Portfolio. The Board also considered the amount of the subadvisory fees to be paid out by SAAMCo and the amount of the advisory fee that it would retain and determined that these amounts were reasonable in light of the services to be performed by SAAMCo and Columbia, respectively.

The Board also considered fees received by Columbia with respect to other mutual funds and accounts for which it serves as adviser or subadviser that have similar investment strategies to each Portfolio, and reviewed any relevant distinctions or differences with respect to such other mutual Portfolios or accounts.

Investment Performance. The Board, including the Disinterested Trustees, also considered performance data with respect to any other mutual funds or other accounts advised or subadvised by Columbia with similar investment objectives and/or strategies, as applicable. In considering this comparative performance, however, the Board also reviewed any relevant distinctions and differences, and acknowledged that past performance is not necessarily indicative of future results.

Profitability. The Board also considered SAAMCo's profitability and the benefits SAAMCo and its affiliates would receive from its relationship with each Portfolio. The Board was provided with a profitability analysis that detailed the revenues that would be earned and the expenses that would be incurred by SAAMCo and its affiliates that provide services to the Portfolios. In particular, the Board considered the contractual fee waivers and/or expense reimbursements agreed to by SAAMCo with respect to the Portfolios.

404

SEASONS SERIES TRUST
APPROVAL OF SUBADVISORY CONTRACTS — (unaudited) (continued)

The Board also reviewed financial statements and/or other reports from Columbia and considered whether Columbia had the financial resources necessary to attract and retain high quality investment management personnel and to provide high quality services to each Portfolio. The Board concluded that Columbia had the financial resources necessary to perform its obligations under the Subadvisory Agreement and would provide each Portfolio with high quality services. The Board also concluded that the subadvisory fees were reasonable in light of the factors discussed above.

Economies of Scale. The Board did not review specific information regarding whether there would be economies of scale with respect to Columbia's management of the Portfolios because it regards that information as less relevant at the subadviser level. Rather, the Board noted that it considered information regarding economies of scale in the context of the renewal of the Advisory Agreement between the Trust and SAAMCo with respect to the Portfolios.

Other Factors. In consideration of the Subadvisory Agreement, the Board also received information regarding Columbia's brokerage practices. The Board considered that SAAMCo and Columbia would be responsible for decisions to buy and sell securities for the Portfolios, selection of broker-dealers and negotiation of commission rates. The Board also considered that Columbia does not have any soft dollar arrangements and does not anticipate entering into any in the foreseeable future.

Conclusion. After a full and complete discussion, the Board approved the Subadvisory Agreement, for an initial term of two years beginning July 29, 2015. Based upon its evaluation of all these factors in their totality, the Board, including the Disinterested Trustees, was satisfied that the terms of the Subadvisory Agreement were fair and reasonable and in the best interests of the Portfolios and their shareholders. In arriving at a decision to approve the Subadvisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and each Disinterested Trustee may have attributed different weights to different factors. The Disinterested Trustees were also assisted by the advice of independent legal counsel in making this determination.

405

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.

406

(This page has been left blank intentionally)

(This page has been left blank intentionally)

PRESORTED STD
U.S. POSTAGE PAID
MERRILL
CORPORATION
ZIP CODE 10105

ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570

CHANGE SERVICE REQUESTED

J1906SAR.12 (11/15)

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Included in Item 1 to the Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by Item 22(b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item 10.

Item 11. Controls and Procedures.

(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the 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, 2015

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, 2015
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: December 8, 2015