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)
21650 Oxnard Street, 10th Floor, Woodland Hills, CA					91367
(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, 2016

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

SEMI-ANNUAL REPORT
SEPTEMBER 30, 2016

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	159
Seasons Select
Large Cap Growth Portfolio	165
Large Cap Value Portfolio	173
Mid Cap Growth Portfolio	182
Mid Cap Value Portfolio	197
Small Cap Portfolio	210
International Equity Portfolio	226
Diversified Fixed Income Portfolio	240
Real Return Portfolio	292
Seasons Focused
SA Columbia Focused Growth Portfolio	296
SA Columbia Focused Value Portfolio	299
Seasons Managed Allocation
Allocation Growth Portfolio	302
Allocation Moderate Growth Portfolio	304
Allocation Moderate Portfolio	306
Allocation Balanced Portfolio	308
Statements of Assets and Liabilities	310
Statements of Operations	318
Statements of Changes in Net Assets	322
Notes to Financial Statements	329
Financial Highlights	379
Proxy Vote	393

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 affiliated 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, 2016.

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

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

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

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  September 30, 2016

  (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, 2016 and held until September 30, 2016. 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 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, 2016" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 2016" 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, 2016" 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, 2016" 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, 2016" 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, 2016

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2016		Ending Account Value Using Actual Return at September 30, 2016		Expenses Paid During the Six Months Ended September 30, 2016*		Beginning Account Value at April 1, 2016		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2016		Expenses Paid During the Six Months Ended September 30, 2016*		Annualized Expense Ratio*
Multi-Managed Growth
Class 1	$	1,000.00	$	1,061.04	$	6.15	$	1,000.00	$	1,019.10	$	6.02		1.19	%
Class 2	$	1,000.00	$	1,060.45	$	6.92	$	1,000.00	$	1,018.35	$	6.78		1.34	%
Class 3	$	1,000.00	$	1,059.97	$	7.44	$	1,000.00	$	1,017.85	$	7.28		1.44	%
Multi-Managed Moderate Growth
Class 1	$	1,000.00	$	1,058.73	$	5.42	$	1,000.00	$	1,019.80	$	5.32		1.05	%
Class 2	$	1,000.00	$	1,058.02	$	6.19	$	1,000.00	$	1,019.05	$	6.07		1.20	%
Class 3	$	1,000.00	$	1,057.35	$	6.70	$	1,000.00	$	1,018.55	$	6.58		1.30	%
Multi-Managed Income/ Equity
Class 1	$	1,000.00	$	1,043.60	$	5.28	$	1,000.00	$	1,019.90	$	5.22		1.03	%
Class 2	$	1,000.00	$	1,042.77	$	6.04	$	1,000.00	$	1,019.15	$	5.97		1.18	%
Class 3	$	1,000.00	$	1,041.89	$	6.55	$	1,000.00	$	1,018.65	$	6.48		1.28	%
Multi-Managed Income
Class 1	$	1,000.00	$	1,042.65	$	5.33	$	1,000.00	$	1,019.85	$	5.27		1.04	%
Class 2	$	1,000.00	$	1,041.82	$	6.09	$	1,000.00	$	1,019.10	$	6.02		1.19	%
Class 3	$	1,000.00	$	1,041.89	$	6.60	$	1,000.00	$	1,018.60	$	6.53		1.29	%
Asset Allocation: Diversified Growth#
Class 1	$	1,000.00	$	1,056.62	$	5.26	$	1,000.00	$	1,019.95	$	5.16		1.02	%
Class 2	$	1,000.00	$	1,056.67	$	6.03	$	1,000.00	$	1,019.20	$	5.92		1.17	%
Class 3	$	1,000.00	$	1,055.89	$	6.55	$	1,000.00	$	1,018.70	$	6.43		1.27	%
Stock
Class 1	$	1,000.00	$	1,069.80	$	4.46	$	1,000.00	$	1,020.76	$	4.36		0.86	%
Class 2	$	1,000.00	$	1,068.95	$	5.24	$	1,000.00	$	1,020.00	$	5.11		1.01	%
Class 3	$	1,000.00	$	1,068.41	$	5.76	$	1,000.00	$	1,019.50	$	5.62		1.11	%
Large Cap Growth
Class 1	$	1,000.00	$	1,049.00	$	4.21	$	1,000.00	$	1,020.96	$	4.15		0.82	%
Class 2	$	1,000.00	$	1,047.42	$	4.98	$	1,000.00	$	1,020.21	$	4.91		0.97	%
Class 3	$	1,000.00	$	1,047.89	$	5.44	$	1,000.00	$	1,019.75	$	5.37		1.06	%
Large Cap Value
Class 1	$	1,000.00	$	1,068.97	$	3.99	$	1,000.00	$	1,021.21	$	3.90		0.77	%
Class 2	$	1,000.00	$	1,068.36	$	4.77	$	1,000.00	$	1,020.46	$	4.66		0.92	%
Class 3	$	1,000.00	$	1,067.75	$	5.29	$	1,000.00	$	1,019.95	$	5.16		1.02	%
Mid Cap Growth
Class 1	$	1,000.00	$	1,076.09	$	4.89	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Class 2	$	1,000.00	$	1,074.83	$	5.67	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 3	$	1,000.00	$	1,074.38	$	6.14	$	1,000.00	$	1,019.15	$	5.97		1.18	%
Mid Cap Value
Class 1	$	1,000.00	$	1,077.12	$	4.74	$	1,000.00	$	1,020.51	$	4.61		0.91	%
Class 2	$	1,000.00	$	1,076.68	$	5.52	$	1,000.00	$	1,019.75	$	5.37		1.06	%
Class 3	$	1,000.00	$	1,075.56	$	5.98	$	1,000.00	$	1,019.30	$	5.82		1.15	%
Small Cap
Class 1	$	1,000.00	$	1,101.34	$	4.85	$	1,000.00	$	1,020.46	$	4.66		0.92	%
Class 2	$	1,000.00	$	1,101.20	$	5.64	$	1,000.00	$	1,019.70	$	5.42		1.07	%
Class 3	$	1,000.00	$	1,100.00	$	6.11	$	1,000.00	$	1,019.25	$	5.87		1.16	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2016

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2016		Ending Account Value Using Actual Return at September 30, 2016		Expenses Paid During the Six Months Ended September 30, 2016*		Beginning Account Value at April 1, 2016		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2016		Expenses Paid During the Six Months Ended September 30, 2016*		Annualized Expense Ratio*
International Equity#
Class 1	$	1,000.00	$	1,042.15	$	4.76	$	1,000.00	$	1,020.41	$	4.71		0.93	%
Class 2	$	1,000.00	$	1,042.09	$	5.53	$	1,000.00	$	1,019.65	$	5.47		1.08	%
Class 3	$	1,000.00	$	1,042.25	$	5.99	$	1,000.00	$	1,019.20	$	5.92		1.17	%
Diversified Fixed Income
Class 1	$	1,000.00	$	1,030.66	$	3.41	$	1,000.00	$	1,021.71	$	3.40		0.67	%
Class 2	$	1,000.00	$	1,028.99	$	4.17	$	1,000.00	$	1,020.96	$	4.15		0.82	%
Class 3	$	1,000.00	$	1,029.16	$	4.68	$	1,000.00	$	1,020.46	$	4.66		0.92	%
Real Return
Class 1	$	1,000.00	$	1,024.08	$	3.20	$	1,000.00	$	1,021.91	$	3.19		0.63	%
Class 3	$	1,000.00	$	1,023.16	$	4.46	$	1,000.00	$	1,020.66	$	4.46		0.88	%
SA Columbia Focused Growth#
Class 1	$	1,000.00	$	1,127.76	$	4.00	$	1,000.00	$	1,021.31	$	3.80		0.75	%
Class 2	$	1,000.00	$	1,126.35	$	4.80	$	1,000.00	$	1,020.56	$	4.56		0.90	%
Class 3	$	1,000.00	$	1,125.31	$	5.33	$	1,000.00	$	1,020.05	$	5.06		1.00	%
SA Columbia Focused Value#
Class 1	$	1,000.00	$	1,096.97	$	3.73	$	1,000.00	$	1,021.51	$	3.60		0.71	%
Class 2	$	1,000.00	$	1,096.49	$	4.52	$	1,000.00	$	1,020.76	$	4.36		0.86	%
Class 3	$	1,000.00	$	1,096.06	$	5.04	$	1,000.00	$	1,020.26	$	4.86		0.96	%
Allocation Growth#
Class 1†	$	1,000.00	$	1,000.00	$	0.05	$	1,000.00	$	1,023.41	$	1.67		0.33	%
Class 3	$	1,000.00	$	1,052.47	$	1.29	$	1,000.00	$	1,023.82	$	1.27		0.25	%
Allocation Moderate Growth#
Class 1†	$	1,000.00	$	1,000.00	$	0.03	$	1,000.00	$	1,023.87	$	1.22		0.24	%
Class 3	$	1,000.00	$	1,049.07	$	1.03	$	1,000.00	$	1,024.07	$	1.01		0.20	%
Allocation Moderate#
Class 1†	$	1,000.00	$	1,000.00	$	0.03	$	1,000.00	$	1,023.82	$	1.27		0.25	%
Class 3	$	1,000.00	$	1,047.45	$	1.08	$	1,000.00	$	1,024.02	$	1.07		0.21	%
Allocation Balanced#
Class 1†	$	1,000.00	$	1,000.00	$	0.03	$	1,000.00	$	1,023.82	$	1.27		0.25	%
Class 3	$	1,000.00	$	1,043.35	$	1.08	$	1,000.00	$	1,024.02	$	1.07		0.21	%

*  Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period), except for Allocation Growth Class 1, Allocation Moderate Growth Class 1, Allocation Moderate Class 1, and Allocation Balanced Class 1, which were multiplied by 5 days then divided by 365. 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, 2016" 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, 2016" and the "Annualized Expense Ratio" would have been lower.

†  Commencement of operations on September 26, 2016.

5

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Diversified Financial Services	7.6	%
Federal National Mtg. Assoc.	7.5
Medical-Drugs	4.8
Medical-Biomedical/Gene	3.6
Real Estate Investment Trusts	3.0
Web Portals/ISP	2.9
Applications Software	2.6
Computers	2.2
Diversified Banking Institutions	2.1
Federal Home Loan Mtg. Corp.	2.1
Cable/Satellite TV	2.0
Government National Mtg. Assoc.	1.9
E-Commerce/Products	1.9
Finance-Credit Card	1.9
Banks-Commercial	1.8
Repurchase Agreements	1.8
Commercial Services	1.7
Internet Content-Entertainment	1.6
United States Treasury Notes	1.5
Retail-Restaurants	1.2
United States Treasury Bonds	1.1
Instruments-Controls	1.0
Sovereign	1.0
Retail-Discount	1.0
Medical-HMO	1.0
Oil Companies-Exploration & Production	1.0
Computer Services	1.0
Enterprise Software/Service	1.0
Tobacco	1.0
Aerospace/Defense	0.9
Medical-Hospitals	0.9
Retail-Building Products	0.9
Electronic Components-Semiconductors	0.9
Cosmetics & Toiletries	0.9
Electronic Connectors	0.9
Entertainment Software	0.8
E-Commerce/Services	0.8
Beverages-Non-alcoholic	0.8
Electronic Forms	0.7
Commercial Services-Finance	0.7
Industrial Gases	0.7
Cellular Telecom	0.7
Medical Instruments	0.7
Airlines	0.6
Retail-Apparel/Shoe	0.6
Food-Retail	0.6
Diversified Manufacturing Operations	0.6
Building Products-Cement	0.6
Telephone-Integrated	0.6
Electric-Integrated	0.6
Transport-Rail	0.5
Consulting Services	0.5
Athletic Footwear	0.5
Containers-Metal/Glass	0.5
Food-Confectionery	0.5
Containers-Paper/Plastic	0.5
Auto/Truck Parts & Equipment-Original	0.5
Brewery	0.5
Computer Aided Design	0.5
Electronic Design Automation	0.5

Electronic Components-Misc.	0.5	%
Multimedia	0.5
Medical Information Systems	0.5
Machinery-General Industrial	0.5
Pipelines	0.5
Savings & Loans/Thrifts	0.5
Finance-Consumer Loans	0.5
Finance-Other Services	0.4
Telecommunication Equipment	0.4
Chemicals-Diversified	0.4
Food-Wholesale/Distribution	0.4
Insurance-Property/Casualty	0.4
Recreational Vehicles	0.4
Hotels/Motels	0.4
Medical Products	0.4
Apparel Manufacturers	0.3
Wireless Equipment	0.3
Oil-Field Services	0.3
Finance-Investment Banker/Broker	0.3
Municipal Bonds & Notes	0.3
Cruise Lines	0.3
Metal Processors & Fabrication	0.3
Pharmacy Services	0.3
Banks-Super Regional	0.3
Oil Companies-Integrated	0.3
Retail-Auto Parts	0.3
Auto-Cars/Light Trucks	0.3
Machinery-Pumps	0.3
Data Processing/Management	0.3
Electronic Measurement Instruments	0.3
Electronic Security Devices	0.3
Computer Software	0.3
Satellite Telecom	0.3
Steel-Producers	0.3
Toys	0.3
Real Estate Management/Services	0.3
Retail-Gardening Products	0.3
Transport-Services	0.3
Medical-Generic Drugs	0.2
Energy-Alternate Sources	0.2
Engineering/R&D Services	0.2
Rubber-Tires	0.2
Therapeutics	0.2
Food-Misc./Diversified	0.2
Human Resources	0.2
Broadcast Services/Program	0.2
Retail-Catalog Shopping	0.2
Physicians Practice Management	0.2
Networking Products	0.2
Television	0.2
Insurance-Life/Health	0.2
Aerospace/Defense-Equipment	0.2
Office Supplies & Forms	0.2
Retail-Drug Store	0.2
Investment Management/Advisor Services	0.2
Printing-Commercial	0.2
Internet Application Software	0.2
Respiratory Products	0.2
Chemicals-Specialty	0.2
Real Estate Operations & Development	0.2

6

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Building-Heavy Construction	0.2	%
Semiconductor Equipment	0.1
Building & Construction Products-Misc.	0.1
Semiconductor Components-Integrated Circuits	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Medical-Wholesale Drug Distribution	0.1
Retail-Vitamins & Nutrition Supplements	0.1
Telecom Services	0.1
Gas-Distribution	0.1
Power Converter/Supply Equipment	0.1
Water	0.1
Rubber/Plastic Products	0.1
Schools	0.1
Transport-Truck	0.1
Independent Power Producers	0.1
Financial Guarantee Insurance	0.1
Retail-Hair Salons	0.1
Computers-Integrated Systems	0.1
Engines-Internal Combustion	0.1
Chemicals-Fibers	0.1
Trucking/Leasing	0.1
Poultry	0.1
Diagnostic Kits	0.1
Distribution/Wholesale	0.1
Rental Auto/Equipment	0.1
Web Hosting/Design	0.1
Retail-Pawn Shops	0.1
Central Bank	0.1
Medical-Outpatient/Home Medical	0.1
Food-Dairy Products	0.1
Gambling (Non-Hotel)	0.1
Retail-Home Furnishings	0.1
Housewares	0.1
Investment Companies	0.1
Food-Flour & Grain	0.1
Home Furnishings	0.1
Transactional Software	0.1
Electronic Parts Distribution	0.1
Building-Residential/Commercial	0.1
Publishing-Books	0.1
Insurance-Mutual	0.1
	107.5	%

*  Calculated as a percentage of net assets

7

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 73.0%
Aerospace/Defense — 0.9%
Northrop Grumman Corp.		1,359	$	290,758
Teledyne Technologies, Inc.†		2,070		223,415
				514,173
Aerospace/Defense-Equipment — 0.2%
AAR Corp.		650		20,358
Curtiss-Wright Corp.		525		47,833
Moog, Inc., Class A†		475		28,281
				96,472
Airlines — 0.6%
Alaska Air Group, Inc.		875		57,627
United Continental Holdings, Inc.†		5,610		294,357
				351,984
Apparel Manufacturers — 0.3%
Carter's, Inc.		1,916		166,136
Applications Software — 2.5%
Microsoft Corp.		18,874		1,087,142
MINDBODY, Inc., Class A†		1,300		25,558
Progress Software Corp.†		400		10,880
salesforce.com, Inc.†		3,774		269,200
				1,392,780
Athletic Footwear — 0.5%
NIKE, Inc., Class B		5,604		295,051
Auto-Truck Trailers — 0.0%
Wabash National Corp.†		400		5,696
Auto/Truck Parts & Equipment-Original — 0.5%
American Axle & Manufacturing Holdings, Inc.†		300		5,166
Dana, Inc.		1,950		30,400
Delphi Automotive PLC		3,078		219,523
Tenneco, Inc.†		600		34,962
				290,051
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		2,250		71,865
Banks-Commercial — 1.7%
1st Source Corp.		425		15,170
BancFirst Corp.		650		47,131
BancorpSouth, Inc.		1,700		39,440
Capital Bank Financial Corp., Class A		1,650		52,981
Cathay General Bancorp, Class B		675		20,776
Central Pacific Financial Corp.		2,400		60,456
Central Valley Community Bancorp		150		2,379
Chemical Financial Corp.		250		11,033
Citizens & Northern Corp.		175		3,845
City Holding Co.		425		21,373
CVB Financial Corp.		2,750		48,427
East West Bancorp, Inc.		24		881
FCB Financial Holdings, Inc., Class A†		3,050		117,211

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Commonwealth Financial Corp.		3,000	$	30,270
First Community Bancshares, Inc.		175		4,340
First Financial Bancorp		50		1,092
First Hawaiian, Inc.†		625		16,787
First Interstate BancSystem, Inc., Class A		175		5,514
Fulton Financial Corp.		725		10,527
Great Western Bancorp, Inc.		400		13,328
Guaranty Bancorp		275		4,909
Hope Bancorp, Inc.		1,369		23,780
Independent Bank Corp.		275		4,628
MainSource Financial Group, Inc.		200		4,990
OFG Bancorp		1,650		16,682
PacWest Bancorp		1,631		69,986
Park Sterling Corp.		550		4,466
Sierra Bancorp		200		3,752
Simmons First National Corp., Class A		275		13,723
Southside Bancshares, Inc.		132		4,248
Southwest Bancorp, Inc.		125		2,374
Suffolk Bancorp		850		29,554
TCF Financial Corp.		1,725		25,030
Trustmark Corp.		600		16,536
UMB Financial Corp.		250		14,863
Union Bankshares Corp.		2,266		60,661
Webster Financial Corp.		150		5,702
West Bancorporation, Inc.		475		9,310
Westamerica Bancorporation		1,825		92,856
				931,011
Banks-Mortgage — 0.0%
Walker & Dunlop, Inc.†		1,025		25,892
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		150		3,506
Beverages-Non-alcoholic — 0.8%
Coca-Cola Co.		10,557		446,772
Broadcast Services/Program — 0.2%
Nexstar Broadcasting Group, Inc., Class A		600		34,626
TiVo Corp.†		3,200		62,336
				96,962
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		975		36,221
Ply Gem Holdings, Inc.†		1,225		16,366
				52,587
Building Products-Cement — 0.6%
Continental Building Products, Inc.†		1,625		34,109
Vulcan Materials Co.		2,360		268,403
				302,512

8

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Heavy Construction — 0.1%
MasTec, Inc.†		900	$	26,766
Cable/Satellite TV — 1.3%
Comcast Corp., Class A		10,390		689,273
Casino Hotels — 0.0%
Boyd Gaming Corp.†		300		5,934
Casino Services — 0.0%
Scientific Games Corp., Class A†		475		5,353
Cellular Telecom — 0.6%
T-Mobile US, Inc.†		6,855		320,266
Chemicals-Diversified — 0.4%
Innophos Holdings, Inc.		100		3,903
Koppers Holdings, Inc.†		525		16,894
PPG Industries, Inc.		2,180		225,325
				246,122
Chemicals-Fibers — 0.1%
Rayonier Advanced Materials, Inc.		3,475		46,461
Chemicals-Specialty — 0.2%
Minerals Technologies, Inc.		875		61,854
OMNOVA Solutions, Inc.†		1,975		16,669
Valvoline, Inc.†		250		5,872
				84,395
Commercial Services — 1.7%
Aramark		7,688		292,375
CoStar Group, Inc.†		796		172,358
HMS Holdings Corp.†		1,300		28,821
Medifast, Inc.		100		3,779
Nielsen Holdings PLC		4,935		264,368
ServiceMaster Global Holdings, Inc.†		4,608		155,197
				916,898
Commercial Services-Finance — 0.7%
Equifax, Inc.		795		106,991
Euronet Worldwide, Inc.†		200		16,366
EVERTEC, Inc.		250		4,195
MarketAxess Holdings, Inc.		550		91,075
S&P Global, Inc.		1,168		147,822
				366,449
Computer Aided Design — 0.5%
ANSYS, Inc.†		1,786		165,401
Aspen Technology, Inc.†		2,550		119,315
				284,716
Computer Data Security — 0.0%
Qualys, Inc.†		375		14,321
Computer Services — 1.0%
Amdocs, Ltd.		3,801		219,888
Barracuda Networks, Inc.†		1,025		26,117
Cognizant Technology Solutions Corp., Class A†		2,796		133,397
Convergys Corp.		1,475		44,870
Insight Enterprises, Inc.†		325		10,579

Security Description	Shares		Value (Note 2)
Computer Services (continued)
Manhattan Associates, Inc.†		325	$	18,727
Science Applications International Corp.		325		22,545
Unisys Corp.†		5,625		54,787
				530,910
Computer Software — 0.3%
SS&C Technologies Holdings, Inc.		4,568		146,861
Computers — 2.1%
Apple, Inc.		9,475		1,071,149
Nutanix, Inc., Class A†		2,000		74,000
				1,145,149
Computers-Integrated Systems — 0.1%
Cray, Inc.†		2,425		57,085
Consulting Services — 0.5%
Franklin Covey Co.†		650		11,577
Huron Consulting Group, Inc.†		1,575		94,122
Verisk Analytics, Inc.†		2,337		189,951
				295,650
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		200		5,116
Containers-Metal/Glass — 0.5%
Crown Holdings, Inc.†		5,161		294,641
Containers-Paper/Plastic — 0.5%
Graphic Packaging Holding Co.		5,245		73,378
Sealed Air Corp.		4,392		201,241
				274,619
Cosmetics & Toiletries — 0.9%
Colgate-Palmolive Co.		2,318		171,857
e.l.f. Beauty, Inc.†		225		6,327
Estee Lauder Cos., Inc., Class A		3,386		299,864
				478,048
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		4,676		176,285
Data Processing/Management — 0.3%
CSG Systems International, Inc.		1,550		64,061
Fair Isaac Corp.		625		77,869
				141,930
Diagnostic Kits — 0.1%
Quidel Corp.†		1,975		43,628
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		150		8,970
Distribution/Wholesale — 0.1%
Essendant, Inc.		475		9,747
SiteOne Landscape Supply, Inc.†		175		6,288
Titan Machinery, Inc.†		2,250		23,400
				39,435

9

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Manufacturing Operations — 0.6%
A.O. Smith Corp.		1,687	$	166,658
Actuant Corp., Class A		2,000		46,480
Dover Corp.		1,384		101,918
				315,056
Drug Delivery Systems — 0.0%
Heron Therapeutics, Inc.†		400		6,892
Revance Therapeutics, Inc.†		575		9,321
				16,213
E-Commerce/Products — 1.9%
Amazon.com, Inc.†		1,250		1,046,637
E-Commerce/Services — 0.8%
Priceline Group, Inc.†		283		416,432
RetailMeNot, Inc.†		2,200		21,758
Trade Desk, Inc., Class A†		500		14,605
				452,795
Electric Products-Misc. — 0.0%
Graham Corp.		300		5,730
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		625		18,206
Electric-Generation — 0.0%
Atlantic Power Corp.		9,775		24,144
Electric-Integrated — 0.3%
Avista Corp.		200		8,358
El Paso Electric Co.		800		37,416
NorthWestern Corp.		225		12,944
PNM Resources, Inc.		600		19,632
Portland General Electric Co.		1,475		62,820
				141,170
Electronic Components-Misc. — 0.5%
Bel Fuse, Inc., Class B		775		18,709
Benchmark Electronics, Inc.†		1,700		42,415
Flex, Ltd.†		7,548		102,804
Sanmina Corp.†		1,050		29,893
Stoneridge, Inc.†		2,575		47,380
Vishay Intertechnology, Inc.		2,575		36,282
				277,483
Electronic Components-Semiconductors — 0.9%
Alpha & Omega Semiconductor, Ltd.†		2,475		53,757
Intersil Corp., Class A		1,425		31,250
InvenSense, Inc.†		10,125		75,127
Silicon Laboratories, Inc.†		150		8,820
Synaptics, Inc.†		775		45,400
Texas Instruments, Inc.		4,070		285,633
				499,987
Electronic Connectors — 0.9%
Amphenol Corp., Class A		7,286		473,007
Electronic Design Automation — 0.5%
Cadence Design Systems, Inc.†		8,813		224,996
Mentor Graphics Corp.		2,025		53,541
				278,537

Security Description	Shares		Value (Note 2)
Electronic Forms — 0.7%
Adobe Systems, Inc.†		3,656	$	396,822
Electronic Measurement Instruments — 0.3%
National Instruments Corp.		4,915		139,586
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		325		27,531
Electronic Security Devices — 0.3%
Allegion PLC		2,159		148,777
Energy-Alternate Sources — 0.2%
Renewable Energy Group, Inc.†		475		4,023
REX American Resources Corp.†		1,550		131,378
				135,401
Engineering/R&D Services — 0.2%
EMCOR Group, Inc.		1,725		102,844
VSE Corp.		825		28,042
				130,886
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		2,525		47,091
Enterprise Software/Service — 0.9%
Tyler Technologies, Inc.†		1,557		266,605
Ultimate Software Group, Inc.†		1,027		209,909
Xactly Corp.†		650		9,568
				486,082
Entertainment Software — 0.8%
Activision Blizzard, Inc.		6,850		303,455
Take-Two Interactive Software, Inc.†		3,525		158,907
				462,362
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		75		15,080
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		550		22,203
Synchrony Financial		5,291		148,148
				170,351
Finance-Credit Card — 1.8%
MasterCard, Inc., Class A		4,315		439,137
Visa, Inc., Class A		6,791		561,616
				1,000,753
Finance-Investment Banker/Broker — 0.3%
Cowen Group, Inc., Class A†		675		2,450
E*TRADE Financial Corp.†		5,171		150,580
KCG Holdings, Inc., Class A†		1,350		20,965
				173,995
Finance-Other Services — 0.4%
Intercontinental Exchange, Inc.		667		179,663
WageWorks, Inc.†		850		51,774
				231,437

10

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		4,025	$	31,355
MGIC Investment Corp.†		1,750		14,000
NMI Holdings, Inc., Class A†		1,675		12,763
				58,118
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		150		4,236
Food-Catering — 0.0%
US Foods Holding Corp.†		550		12,986
Food-Confectionery — 0.5%
Hershey Co.		3,038		290,433
Food-Dairy Products — 0.1%
Dean Foods Co.		2,025		33,210
Food-Flour & Grain — 0.1%
Post Holdings, Inc.†		400		30,868
Food-Misc./Diversified — 0.2%
Darling Ingredients, Inc.†		7,100		95,921
Snyder's-Lance, Inc.		203		6,817
				102,738
Food-Retail — 0.6%
Ingles Markets, Inc., Class A		700		27,678
Kroger Co.		9,638		286,056
				313,734
Food-Wholesale/Distribution — 0.4%
Sysco Corp.		4,248		208,194
Footwear & Related Apparel — 0.0%
Iconix Brand Group, Inc.†		200		1,624
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc.†		1,475		32,863
Gas-Distribution — 0.1%
Southwest Gas Corp.		400		27,944
Spire, Inc.		475		30,277
				58,221
Home Furnishings — 0.1%
Leggett & Platt, Inc.		675		30,767
Hotels/Motels — 0.4%
Hilton Worldwide Holdings, Inc.		7,789		178,602
La Quinta Holdings, Inc.†		2,275		25,434
				204,036
Housewares — 0.1%
NACCO Industries, Inc., Class A		475		32,281
Human Resources — 0.2%
Barrett Business Services, Inc.		1,050		52,090
Cross Country Healthcare, Inc.†		3,875		45,648
Insperity, Inc.		250		18,160
TriNet Group, Inc.†		225		4,867
				120,765

Security Description	Shares		Value (Note 2)
Independent Power Producers — 0.1%
Dynegy, Inc.†		3,225	$	39,958
Ormat Technologies, Inc.		150		7,261
				47,219
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		275		7,719
Industrial Gases — 0.7%
Air Products & Chemicals, Inc.		2,436		366,228
Instruments-Controls — 1.0%
Honeywell International, Inc.		2,929		341,492
Sensata Technologies Holding NV†		6,059		234,968
				576,460
Insurance-Life/Health — 0.2%
American Equity Investment Life Holding Co.		1,125		19,946
CNO Financial Group, Inc.		2,350		35,885
Primerica, Inc.		675		35,795
				91,626
Insurance-Multi-line — 0.0%
Kemper Corp.		550		21,626
Insurance-Property/Casualty — 0.3%
Ambac Financial Group, Inc.†		125		2,299
First American Financial Corp.		425		16,694
Global Indemnity PLC†		150		4,455
Navigators Group, Inc.		375		36,345
ProAssurance Corp.		550		28,864
Progressive Corp.		2,810		88,515
Stewart Information Services Corp.		100		4,445
				181,617
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		200		9,318
Internet Application Software — 0.2%
Bazaarvoice, Inc.†		14,975		88,502
Internet Content-Entertainment — 1.6%
Facebook, Inc., Class A†		6,651		853,124
Internet Content-Information/News — 0.0%
DHI Group, Inc.†		1,350		10,652
Internet Security — 0.0%
VASCO Data Security International, Inc.†		900		15,849
Zix Corp.†		825		3,383
				19,232
Investment Companies — 0.1%
Acacia Research Corp.		4,800		31,296
Investment Management/Advisor Services — 0.2%
BlackRock, Inc.		226		81,916
Federated Investors, Inc., Class B		250		7,407
				89,323

11

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Lasers-System/Components — 0.0%
Coherent, Inc.†		150	$	16,581
Leisure Games — 0.0%
Intrawest Resorts Holdings, Inc.†		175		2,839
Machine Tools & Related Products — 0.0%
Kennametal, Inc.		200		5,804
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		175		10,523
Joy Global, Inc.		150		4,161
				14,684
Machinery-General Industrial — 0.5%
Applied Industrial Technologies, Inc.		575		26,876
DXP Enterprises, Inc.†		1,275		35,942
Kadant, Inc.		550		28,660
Roper Technologies, Inc.		921		168,055
				259,533
Machinery-Pumps — 0.3%
Flowserve Corp.		3,230		155,815
Medical Information Systems — 0.5%
athenahealth, Inc.†		2,073		261,447
Medical Instruments — 0.6%
Boston Scientific Corp.†		12,313		293,049
Halyard Health, Inc.†		650		22,529
				315,578
Medical Labs & Testing Services — 0.0%
Medpace Holdings, Inc.†		350		10,451
Medical Products — 0.3%
Orthofix International NV†		1,350		57,739
Surmodics, Inc.†		1,425		42,878
Wright Medical Group NV†		1,875		45,994
				146,611
Medical-Biomedical/Gene — 3.6%
Aduro Biotech, Inc.†		125		1,554
Alder Biopharmaceuticals, Inc.†		4,835		158,443
Amgen, Inc.		3,323		554,310
Ardelyx, Inc.†		250		3,235
Arrowhead Pharmaceuticals, Inc.†		2,575		18,926
Audentes Therapeutics, Inc.†		175		3,117
Bellicum Pharmaceuticals, Inc.†		1,025		20,397
Biogen, Inc.†		940		294,248
Blueprint Medicines Corp.†		275		8,168
Cambrex Corp.†		200		8,892
Celgene Corp.†		3,601		376,413
Coherus Biosciences, Inc.†		550		14,729
Dimension Therapeutics, Inc.†		325		2,597
Edge Therapeutics, Inc.†		775		8,068
Exelixis, Inc.†		1,150		14,708
FibroGen, Inc.†		650		13,455
Five Prime Therapeutics, Inc.†		300		15,747
Halozyme Therapeutics, Inc.†		950		11,476

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene (continued)
Idera Pharmaceuticals, Inc.†		1,400	$	3,584
Infinity Pharmaceuticals, Inc.†		1,425		2,223
Karyopharm Therapeutics, Inc.†		1,125		10,946
Kite Pharma, Inc.†		275		15,361
Lexicon Pharmaceuticals, Inc.†		1,125		20,329
Prothena Corp. PLC†		575		34,483
PTC Therapeutics, Inc.†		2,300		32,223
Puma Biotechnology, Inc.†		250		16,762
Regeneron Pharmaceuticals, Inc.†		610		245,232
Sage Therapeutics, Inc.†		425		19,571
Selecta Biosciences, Inc.†		950		13,538
Spark Therapeutics, Inc.†		150		9,009
Tokai Pharmaceuticals, Inc.†		600		918
Trius Therapeutics, Inc. CVR†(1)(3)		3,700		0
Ultragenyx Pharmaceutical, Inc.†		350		24,829
Versartis, Inc.†		400		4,900
				1,982,391
Medical-Drugs — 4.5%
ACADIA Pharmaceuticals, Inc.†		875		27,834
Adamas Pharmaceuticals, Inc.†		700		11,487
Aimmune Therapeutics, Inc.†		1,125		16,875
Allergan PLC†		1,989		458,087
Amicus Therapeutics, Inc.†		1,225		9,065
Bristol-Myers Squibb Co.		7,739		417,287
Chimerix, Inc.†		300		1,662
Clovis Oncology, Inc.†		600		21,630
Eli Lilly & Co.		6,238		500,662
Global Blood Therapeutics, Inc.†		700		16,135
Horizon Pharma PLC†		550		9,971
Immune Design Corp.†		1,025		7,769
Ironwood Pharmaceuticals, Inc.†		14,266		226,544
Mallinckrodt PLC†		4,077		284,493
Ophthotech Corp.†		325		14,992
Pacira Pharmaceuticals, Inc.†		650		22,243
Pfizer, Inc.		10,052		340,461
Prestige Brands Holdings, Inc.†		225		10,861
Radius Health, Inc.†		400		21,636
Reata Pharmaceuticals, Inc., Class A†		450		11,862
Synergy Pharmaceuticals, Inc.†		4,925		27,137
TESARO, Inc.†		125		12,530
				2,471,223
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		775		14,702
AveXis, Inc.†		225		9,272
				23,974

12

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-HMO — 0.8%
Aetna, Inc.		2,940	$	339,423
Molina Healthcare, Inc.†		900		52,488
Triple-S Management Corp., Class B†		875		19,189
WellCare Health Plans, Inc.†		250		29,272
				440,372
Medical-Hospitals — 0.8%
Community Health Systems, Inc.†		4,450		51,353
Quorum Health Corp.†		3,875		24,296
Surgical Care Affiliates, Inc.†		650		31,694
Universal Health Services, Inc., Class B		2,874		354,135
				461,478
Medical-Outpatient/Home Medical — 0.1%
Civitas Solutions, Inc.†		1,850		33,781
Medical-Wholesale Drug Distribution — 0.1%
Owens & Minor, Inc.		1,750		60,778
Metal Processors & Fabrication — 0.3%
Rexnord Corp.†		8,210		175,776
Metal Products-Distribution — 0.0%
Olympic Steel, Inc.		575		12,708
MRI/Medical Diagnostic Imaging — 0.0%
Alliance HealthCare Services, Inc.†		184		1,262
Multimedia — 0.4%
Walt Disney Co.		2,169		201,413
Networking Products — 0.1%
Black Box Corp.		1,025		14,247
NETGEAR, Inc.†		900		54,441
				68,688
Office Furnishings-Original — 0.0%
Interface, Inc.		511		8,529
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		9,950		95,918
Oil & Gas Drilling — 0.0%
Parker Drilling Co.†		2,425		5,262
Seadrill, Ltd.†		2,200		5,214
				10,476
Oil Companies-Exploration & Production — 0.5%
Anadarko Petroleum Corp.		2,463		156,056
Bill Barrett Corp.†		8,300		46,148
Denbury Resources, Inc.†		10,375		33,511
EP Energy Corp., Class A†		175		766
Sanchez Energy Corp.†		2,550		22,542
Unit Corp.†		950		17,670
				276,693
Oil Refining & Marketing — 0.0%
Adams Resources & Energy, Inc.		125		4,915
Western Refining, Inc.		300		7,938
				12,853

Security Description	Shares		Value (Note 2)
Oil-Field Services — 0.3%
Archrock, Inc.		500	$	6,540
Halliburton Co.		1,172		52,599
MRC Global, Inc.†		2,950		48,469
NOW, Inc.†		925		19,823
Pioneer Energy Services Corp.†		2,050		8,282
SEACOR Holdings, Inc.†		850		50,566
				186,279
Paper & Related Products — 0.0%
Domtar Corp.		325		12,067
Pharmacy Services — 0.3%
Diplomat Pharmacy, Inc.†		6,006		168,228
Physicians Practice Management — 0.2%
Healthways, Inc.†		4,175		110,470
Poultry — 0.1%
Pilgrim's Pride Corp.		1,300		27,456
Sanderson Farms, Inc.		175		16,858
				44,314
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		1,450		68,614
Printing-Commercial — 0.2%
Deluxe Corp.		825		55,126
Ennis, Inc.		2,000		33,700
				88,826
Protection/Safety — 0.0%
Landauer, Inc.		500		22,240
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		1,950		26,150
Racetracks — 0.0%
Speedway Motorsports, Inc.		675		12,056
Real Estate Investment Trusts — 2.8%
American Assets Trust, Inc.		725		31,450
American Tower Corp.		4,740		537,184
Armada Hoffler Properties, Inc.		100		1,340
Ashford Hospitality Trust, Inc.		325		1,914
Capstead Mtg. Corp.		4,675		44,085
CBL & Associates Properties, Inc.		800		9,712
CoreSite Realty Corp.		1,450		107,358
CubeSmart		525		14,312
CyrusOne, Inc.		150		7,136
CYS Investments, Inc.		10,675		93,086
DCT Industrial Trust, Inc.		625		30,344
DiamondRock Hospitality Co.		775		7,053
EastGroup Properties, Inc.		350		25,746
EPR Properties		25		1,969
Equity LifeStyle Properties, Inc.		200		15,436
Equity One, Inc.		175		5,357
First Industrial Realty Trust, Inc.		400		11,288
Franklin Street Properties Corp.		675		8,505

13

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Gladstone Commercial Corp.		150	$	2,795
Government Properties Income Trust		750		16,965
Gramercy Property Trust		975		9,399
Hersha Hospitality Trust		1,375		24,777
Highwoods Properties, Inc.		300		15,636
Hospitality Properties Trust		800		23,776
LTC Properties, Inc.		1,275		66,287
Mack-Cali Realty Corp.		700		19,054
Monogram Residential Trust, Inc.		700		7,448
National Retail Properties, Inc.		100		5,085
Pennsylvania Real Estate Investment Trust		425		9,788
Post Properties, Inc.		325		21,492
Potlatch Corp.		1,100		42,779
PS Business Parks, Inc.		150		17,035
Ramco-Gershenson Properties Trust		1,450		27,173
RLJ Lodging Trust		3,775		79,388
Saul Centers, Inc.		375		24,975
Silver Bay Realty Trust Corp.		175		3,068
Simon Property Group, Inc.		811		167,885
Summit Hotel Properties, Inc.		250		3,290
Taubman Centers, Inc.		250		18,602
				1,559,972
Real Estate Management/Services — 0.3%
Jones Lang LaSalle, Inc.		1,239		140,986
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		250		9,605
Forestar Group, Inc.†		3,175		37,179
St. Joe Co.†		150		2,757
				49,541
Recreational Vehicles — 0.4%
Polaris Industries, Inc.		2,649		205,139
Research & Development — 0.0%
INC Research Holdings, Inc., Class A†		500		22,290
Respiratory Products — 0.2%
Inogen, Inc.†		1,425		85,357
Retail-Apparel/Shoe — 0.6%
Abercrombie & Fitch Co., Class A		2,000		31,780
Children's Place, Inc.		1,550		123,799
L Brands, Inc.		2,452		173,528
				329,107
Retail-Auto Parts — 0.3%
AutoZone, Inc.†		202		155,205
Retail-Building Products — 0.8%
At Home Group, Inc.†		100		1,515
Lowe's Cos., Inc.		6,434		464,599
				466,114

Security Description	Shares		Value (Note 2)
Retail-Catalog Shopping — 0.2%
Liberty Interactive Corp. QVC Group, Class A†		5,555	$	111,156
Retail-Discount — 1.0%
Big Lots, Inc.		1,050		50,138
Costco Wholesale Corp.		1,740		265,367
Dollar Tree, Inc.†		3,124		246,577
				562,082
Retail-Gardening Products — 0.3%
Tractor Supply Co.		2,047		137,865
Retail-Hair Salons — 0.1%
Regis Corp.†		4,575		57,416
Retail-Home Furnishings — 0.1%
Pier 1 Imports, Inc.		7,650		32,436
Retail-Jewelry — 0.0%
Movado Group, Inc.		750		16,110
Retail-Misc./Diversified — 0.0%
FirstCash, Inc.		353		16,619
Retail-Pawn Shops — 0.1%
EZCORP, Inc., Class A†		3,500		38,710
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		125		7,876
Retail-Restaurants — 1.2%
Bloomin' Brands, Inc.		675		11,637
DineEquity, Inc.		75		5,939
Dunkin' Brands Group, Inc.		4,018		209,257
Jack in the Box, Inc.		1,000		95,940
Ruby Tuesday, Inc.†		2,150		5,375
Sonic Corp.		2,975		77,886
Starbucks Corp.		4,742		256,732
				662,766
Retail-Vitamins & Nutrition Supplements — 0.1%
GNC Holdings, Inc., Class A		3,425		69,938
Rubber-Tires — 0.2%
Cooper Tire & Rubber Co.		3,300		125,466
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		250		3,248
Trinseo SA		1,025		57,974
				61,222
Satellite Telecom — 0.3%
DigitalGlobe, Inc.†		5,250		144,375
Savings & Loans/Thrifts — 0.5%
BankFinancial Corp.		150		1,905
Beneficial Bancorp, Inc.		2,992		44,012
Capitol Federal Financial, Inc.		150		2,111
Charter Financial Corp.		500		6,440
First Defiance Financial Corp.		150		6,696
Flushing Financial Corp.		575		13,639
Investors Bancorp, Inc.		1,875		22,519
Meridian Bancorp, Inc.		4,250		66,172
Northfield Bancorp, Inc.		4,150		66,815
Oritani Financial Corp.		1,225		19,257
				249,566

14

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Schools — 0.1%
K12, Inc.†		725	$	10,404
Strayer Education, Inc.†		1,075		50,181
				60,585
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		1,000		23,170
Semiconductor Components-Integrated Circuits — 0.1%
Integrated Device Technology, Inc.†		2,350		54,285
MaxLinear, Inc., Class A†		900		18,243
				72,528
Semiconductor Equipment — 0.1%
Cohu, Inc.		2,425		28,469
Tessera Technologies, Inc.		450		17,298
Xcerra Corp.†		4,425		26,816
				72,583
Steel-Producers — 0.2%
AK Steel Holding Corp.†		4,475		21,614
Carpenter Technology Corp.		400		16,504
Commercial Metals Co.		400		6,476
Ryerson Holding Corp.†		1,000		11,290
Worthington Industries, Inc.		1,350		64,841
				120,725
Telecom Equipment-Fiber Optics — 0.0%
Harmonic, Inc.†		575		3,410
Telecom Services — 0.1%
EarthLink Holdings Corp.		5,675		35,185
West Corp.		1,550		34,224
				69,409
Telecommunication Equipment — 0.4%
CommScope Holding Co., Inc.†		5,695		171,476
Plantronics, Inc.		1,425		74,043
				245,519
Telephone-Integrated — 0.2%
Cincinnati Bell, Inc.†		4,450		18,156
General Communication, Inc., Class A†		200		2,750
Windstream Holdings, Inc.		7,600		76,380
				97,286
Television — 0.1%
ION Media Networks, Inc.†(1)(3)(12)		2		2,420
Sinclair Broadcast Group, Inc., Class A		2,200		63,536
				65,956
Therapeutics — 0.2%
Axsome Therapeutics, Inc.†		1,000		7,880
Cara Therapeutics, Inc.†		675		5,636
Flexion Therapeutics, Inc.†		750		14,655
Neurocrine Biosciences, Inc.†		775		39,246

Security Description	Shares/ Principal Amount(14)		Value (Note 2)
Therapeutics (continued)
Portola Pharmaceuticals, Inc.†		375	$	8,516
Proteostasis Therapeutics, Inc.†		1,075		16,759
Seres Therapeutics, Inc.†		325		3,994
Xencor, Inc.†		1,125		27,552
Zafgen, Inc.†		100		331
				124,569
Tobacco — 0.8%
Alliance One International, Inc.†		300		5,736
Altria Group, Inc.		6,078		384,312
Universal Corp.		750		43,665
				433,713
Toys — 0.3%
JAKKS Pacific, Inc.†		1,675		14,472
Mattel, Inc.		4,198		127,115
				141,587
Transactional Software — 0.1%
ACI Worldwide, Inc.†		1,450		28,101
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		225		9,635
Transport-Rail — 0.5%
CSX Corp.		8,859		270,199
Transport-Services — 0.2%
Matson, Inc.		2,100		83,748
Transport-Truck — 0.1%
ArcBest Corp.		900		17,118
Swift Transportation Co.†		950		20,397
USA Truck, Inc.†		2,175		22,272
				59,787
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		150		9,299
Water — 0.1%
American States Water Co.		1,700		68,085
Web Hosting/Design — 0.1%
Web.com Group, Inc.†		2,250		38,858
Web Portals/ISP — 2.9%
Alphabet, Inc., Class C†		2,080		1,616,763
Wireless Equipment — 0.3%
InterDigital, Inc.		1,325		104,940
Ubiquiti Networks, Inc.†		1,325		70,887
				175,827
Total Common Stocks (cost $34,073,870)				40,198,422
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.6%
Diversified Banking Institutions — 0.5%
Societe Generale SA FRS 8.25% due 11/29/2018(2)	$	270,000		273,701
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)(3)		6,000		1

15

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030	$	25,000	$	37,750
Total Preferred Securities/Capital Securities (cost $323,088)				311,452
ASSET BACKED SECURITIES — 7.6%
Diversified Financial Services — 7.6%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.70% due 01/25/2037(4)		17,398		15,855
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		5,000		5,048
Apidos CLO XXI FRS Series 2015-21A, Class A1 2.11% due 07/18/2027*(5)		255,000		255,554
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.10% due 10/25/2034(3)		2,774		2,625
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class A 2.23% due 08/05/2027*(5)		265,000		265,437
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.94% due 02/10/2051(6)		26,317		26,848
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)		100,000		106,343
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.88% due 02/25/2036(4)		39,774		35,904
Bear Stearns Commercial Mtg. Securities Trust Series 2006-PW14, Class A4 5.20% due 12/11/2038(6)		17,229		17,219
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		22,495		23,113
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		3,042		2,982
Cent CLO, Ltd. FRS Series 2014-22A, Class A1 2.27% due 11/07/2026*(5)		250,000		250,663
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048(6)		39,000		42,912
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6)		39,000		42,735

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(6)	$	20,000	$	21,975
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.33% due 12/10/2049(6)		8,228		8,485
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(4)		26,437		25,418
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(6)		17,250		17,323
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		27,861		28,561
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		35,000		36,922
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		45,267		48,840
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(6)		43,000		47,122
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		100,000		112,189
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		18,254		18,280
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.30% due 12/10/2049(6)		23,002		23,667
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		11,651		10,415
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(4)		793		714
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		42		42
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.03% due 06/15/2057(6)(7)		333,957		17,913
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(3)		14,652		15,067

16

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*	$	23,782	$	23,814
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.74% due 05/25/2035(4)		42,593		38,384
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		34,692		34,742
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		50,000		50,360
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		15,000		15,006
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		7,000		7,019
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6)		46,000		50,645
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		40,000		44,278
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.63% due 03/25/2037(3)		68,537		37,044
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.95% due 01/25/2036(4)		18,211		16,912
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.99% due 03/25/2047(4)		8,683		7,167
GSR Mtg. Loan Trust VRS Series 2005-AR2, Class 1A2 3.04% due 04/25/2035(4)		14,059		13,434
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		45,000		46,901
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.07% due 05/25/2035(4)		20,257		18,200
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)		14,039		14,041
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(6)		18,777		19,044

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(6)	$	22,439	$	23,014
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(6)		41,000		43,162
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(6)		39,000		42,178
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		25,000		27,282
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(6)		60,000		66,394
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		22,512		22,788
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.29% due 04/15/2041(6)		27,434		28,625
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.99% due 10/23/2025*(5)		250,000		249,693
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 2.13% due 07/25/2026*(5)		270,000		270,063
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.85% due 12/25/2034(4)		10,565		10,537
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		15,051		15,124
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		21,847		22,515
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.30% due 12/15/2047(6)(7)		98,859		5,854
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28, Class A4 3.54% due 01/15/2049(6)		39,000		42,341
Morgan Stanley Capital I Trust VRS Series 2007-T25, Class A3 5.51% due 11/12/2049(6)		10,048		10,074

17

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)	$	50,000	$	50,544
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		18,402		18,922
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		13,304		11,553
MortgageIT Trust FRS Series 2005-4, Class A1 0.81% due 10/25/2035(4)		53,170		48,566
Nomura Asset Acceptance Corp Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.81% due 06/25/2036(4)		39,266		29,433
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)		8,954		8,994
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		125,000		125,341
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		100,000		102,926
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.63% due 02/25/2037(3)		10,727		6,317
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(3)(8)		62,077		33,121
RFMSI Series Trust VRS Series 2005-SA3, Class 1A 3.25% due 08/25/2035(4)		34,813		25,813
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		1,420		1,408
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		9,651		9,669
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		25,000		25,187
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.66% due 05/25/2037(3)		29,710		23,035
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 2.87% due 02/20/2047(4)		34,590		29,528
Shackleton 2015-VIII CLO, Ltd. FRS Series 2015-8A, Class A1 2.21% due 10/20/2027*(5)		270,000		270,365

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.78% due 11/25/2036(3)	$	50,000	$	35,078
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.20% due 04/20/2027*(5)		275,000		275,550
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.19% due 11/25/2046(4)		36,827		32,756
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		30,000		32,843
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.86% due 01/25/2035(4)		32,711		32,653
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.88% due 03/25/2035(4)		24,082		24,283
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.93% due 11/25/2034(4)		1,564		1,563
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 3.03% due 10/25/2036(4)		16,244		15,361
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		14,008		14,013
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		35,000		38,751
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		36,000		40,064
Total Asset Backed Securities (cost $4,154,624)				4,206,443
U.S. CORPORATE BONDS & NOTES — 7.8%
Aerospace/Defense — 0.0%
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		10,000		10,323
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		5,000		5,940
				16,263
Apparel Manufacturers — 0.0%
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026*		5,000		5,113

18

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Apparel Manufacturers (continued)
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021	$	15,000	$	15,684
				20,797
Applications Software — 0.1%
Microsoft Corp. Senior Notes 1.55% due 08/08/2021		20,000		19,918
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		10,000		10,009
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		15,000		15,183
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		10,000		10,131
				55,241
Auto-Cars/Light Trucks — 0.3%
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		10,000		13,227
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		6,000		6,011
General Motors Co. Senior Notes 6.60% due 04/01/2036		20,000		24,064
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		25,000		25,180
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		30,000		30,906
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		40,000		41,082
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		15,000		16,474
				156,944
Banks-Super Regional — 0.3%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		25,000		26,082
PNC Funding Corp. Sub. Notes 5.63% due 02/01/2017		25,000		25,360
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		30,000		30,152
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		20,000		20,361

Security Description	Principal Amount(14)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045	$	35,000	$	38,535
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		20,000		23,892
				164,382
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		10,000		9,988
Brewery — 0.5%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		15,000		15,145
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		5,000		5,085
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		80,000		84,441
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		45,000		48,330
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		25,000		28,744
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		65,000		77,336
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		10,000		10,197
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		15,000		15,014
Molson Coors Brewing Co. Company Guar. Notes 4.20% due 07/15/2046		5,000		5,210
				289,502
Broadcast Services/Program — 0.0%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		20,000		21,500
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		5,000		5,150

19

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building & Construction Products-Misc. (continued)
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*	$	15,000	$	16,050
				21,200
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		9,000		10,260
Building-Heavy Construction — 0.1%
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		25,000		25,084
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		15,000		15,637
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		5,000		5,313
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,575
				26,525
Cable/Satellite TV — 0.7%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022		11,000		11,495
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		5,000		5,213
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020*		10,000		10,452
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022*		30,000		32,372
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025*		25,000		27,576
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045*		47,000		56,838

Security Description	Principal Amount(14)		Value (Note 2)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 1.63% due 01/15/2022	$	10,000	$	9,916
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		30,000		31,086
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		15,000		14,582
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		15,000		16,660
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		5,000		5,883
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		5,000		5,035
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		30,000		30,916
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,890
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		14,812
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		6,000		6,480
Time Warner Cable, Inc. Senior Sec. Notes 4.50% due 09/15/2042		15,000		14,314
Time Warner Cable, Inc. Senior Sec. Notes 5.88% due 11/15/2040		10,000		11,105
Time Warner Cable, Inc. Senior Sec. Notes 6.75% due 07/01/2018		15,000		16,298
Time Warner Cable, Inc. Senior Sec. Notes 8.75% due 02/14/2019		40,000		46,130
				371,053
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.38% due 03/15/2022		15,000		15,544
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		15,000		16,087
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		5,000		5,519
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		10,000		9,750

20

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		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	$	10,000	$	10,275
				41,631
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		10,000		10,225
Computers — 0.1%
Apple, Inc. Senior Notes 1.55% due 08/04/2021		20,000		19,965
Apple, Inc. Senior Notes 3.45% due 02/09/2045		15,000		14,332
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 3.48% due 06/01/2019*		10,000		10,285
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		5,000		5,987
				50,569
Containers-Paper/Plastic — 0.0%
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.13% due 07/15/2023*		15,000		15,488
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		10,300
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 4.75% due 08/01/2026*		5,000		5,063
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		15,000		15,362
Diversified Banking Institutions — 1.4%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		25,000		25,138
Bank of America Corp. Senior Notes 2.63% due 04/19/2021		15,000		15,239
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		50,000		53,374
Bank of America Corp. Senior Notes 5.65% due 05/01/2018		15,000		15,912

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 6.00% due 09/01/2017	$	10,000	$	10,398
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		50,000		52,324
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		15,000		16,930
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		45,000		51,320
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		10,000		10,164
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		40,000		40,973
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		10,000		10,256
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		20,000		21,810
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		37,000		40,971
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		9,000		11,341
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		15,000		19,614
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		15,000		18,536
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		28,000		35,653
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		10,000		10,022
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		40,000		40,452
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		10,000		10,103
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		35,662
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		15,000		16,094
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		10,000		10,980

21

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022	$	10,000	$	11,073
Morgan Stanley Senior Notes 1.88% due 01/05/2018		50,000		50,204
Morgan Stanley Senior Notes 2.65% due 01/27/2020		50,000		51,093
Morgan Stanley Senior Notes 3.13% due 07/27/2026		25,000		25,149
Morgan Stanley Senior Notes 3.70% due 10/23/2024		20,000		21,103
Morgan Stanley Senior Notes 3.88% due 01/27/2026		10,000		10,617
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		10,000		10,386
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		5,000		5,338
Morgan Stanley Senior Notes 4.75% due 03/22/2017		22,000		22,362
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		5,000		5,515
				786,106
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046*		5,000		5,366
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		4,000		4,060
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		15,609
AES Corp. Senior Notes 8.00% due 06/01/2020		10,000		11,775
Dominion Resources, Inc. Senior Notes 2.85% due 08/15/2026		10,000		9,946
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		10,000		9,990
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		15,000		14,627

Security Description	Principal Amount(14)		Value (Note 2)
Electric-Integrated (continued)
Exelon Corp. Senior Notes 2.85% due 06/15/2020	$	20,000	$	20,738
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		5,000		5,020
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		20,000		26,852
Southern Co. Senior Notes 1.85% due 07/01/2019		10,000		10,079
Southern Co. Senior Notes 2.95% due 07/01/2023		5,000		5,166
Southern Co. Senior Notes 4.40% due 07/01/2046		5,000		5,395
				139,257
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 4.10% due 05/19/2046		7,000		7,492
Electronic Measurement Instruments — 0.0%
Fortive Corp. Company Guar. Notes 2.35% due 06/15/2021*		10,000		10,123
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 1.90% due 09/15/2021		30,000		30,076
Finance-Commercial — 0.0%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		20,000		21,175
Finance-Consumer Loans — 0.2%
Navient Corp. Senior Notes 6.63% due 07/26/2021		5,000		5,037
Navient Corp. Senior Notes 7.25% due 09/25/2023		25,000		25,000
Navient Corp. Senior Notes 8.45% due 06/15/2018		25,000		26,875
Synchrony Financial Senior Notes 2.60% due 01/15/2019		20,000		20,236
				77,148
Finance-Credit Card — 0.1%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		10,000		10,483

22

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Credit Card (continued)
Visa, Inc. Senior Notes 4.30% due 12/14/2045	$	20,000	$	23,114
				33,597
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		10,000		10,739
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(3)		7,000		528
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(3)		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(3)		10,000		1
				11,269
Finance-Other Services — 0.0%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		15,000		15,583
Nasdaq, Inc. Senior Notes 3.85% due 06/30/2026		5,000		5,232
				20,815
Food-Misc./Diversified — 0.0%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018		5,000		5,046
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		10,000		10,364
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		5,000		5,290
				20,700
Food-Retail — 0.0%
Kroger Co. Senior Notes 1.50% due 09/30/2019		5,000		4,992
Kroger Co. Senior Notes 2.65% due 10/15/2026		10,000		9,925
				14,917
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		15,000		15,321

Security Description	Principal Amount(14)		Value (Note 2)
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020	$	10,000	$	10,225
Gas-Distribution — 0.0%
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		10,000		10,600
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		20,000		20,550
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		15,000		16,238
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,113
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026*		10,000		10,175
				12,288
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		5,000		5,281
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		5,000		4,963
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		15,000		23,605
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		5,000		5,231
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		10,000		10,450
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		5,000		5,171
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		10,000		11,332
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		5,000		5,875
				22,378

23

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Products — 0.1%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017	$	35,000	$	35,018
Medical-Biomedical/Gene — 0.0%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		5,000		5,271
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		5,000		5,309
				10,580
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 3.20% due 05/14/2026		5,000		5,062
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		25,000		25,772
				30,834
Medical-HMO — 0.2%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		5,000		5,106
Aetna, Inc. Senior Notes 4.25% due 06/15/2036		5,000		5,179
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		25,000		25,327
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		15,000		17,398
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		25,000		25,166
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		15,000		16,107
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		10,000		10,982
				105,265
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		5,000		4,963
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		10,000		10,337
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		4,000		4,260

Security Description	Principal Amount(14)		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020	$	15,000	$	16,612
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		5,000		5,188
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		10,000		10,150
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		15,000		15,862
				67,372
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		10,000		10,095
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		5,000		5,225
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 4.55% due 11/14/2024		10,000		9,063
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		25,000		31,620
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		30,000		39,329
				70,949
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 1.40% due 09/20/2019		25,000		25,022
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		15,000		15,348
				40,370
Oil Companies-Exploration & Production — 0.5%
Anadarko Petroleum Corp. Senior Notes 4.85% due 03/15/2021		5,000		5,368
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		15,000		16,951
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		15,000		18,251
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,596

24

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023	$	5,000	$	5,156
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		25,000		28,179
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		5,000		4,987
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		35,000		34,750
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		10,000		10,922
Hess Corp. Senior Notes 4.30% due 04/01/2027		10,000		10,078
Hess Corp. Senior Notes 5.80% due 04/01/2047		15,000		15,347
Hess Corp. Senior Notes 6.00% due 01/15/2040		10,000		10,219
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		20,000		24,043
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		10,000		9,801
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		10,000		9,262
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		25,000		27,113
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,712
				251,735
Oil Refining & Marketing — 0.0%
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		17,000		16,887
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		5,000		4,935
				21,822
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		3,000		3,004
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		10,000		10,187
				13,191

Security Description	Principal Amount(14)		Value (Note 2)
Pipelines — 0.5%
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023	$	10,000	$	9,550
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		23,000		25,243
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		5,000		4,921
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		15,000		15,151
Enterprise Products Operating LLC Company Guar. Notes 3.95% due 02/15/2027		5,000		5,239
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		20,000		19,045
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		5,000		5,696
MPLX LP Company Guar. Notes 4.50% due 07/15/2023		3,000		3,058
MPLX LP Company Guar. Notes 4.88% due 12/01/2024		5,000		5,172
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		15,000		14,216
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 3.65% due 06/01/2022		15,000		15,205
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		25,000		27,567
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		10,000		10,387
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019		10,000		10,650
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		4,120
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		10,000		10,675

25

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*	$	15,000	$	14,953
Williams Partners LP Senior Notes 3.60% due 03/15/2022		25,000		25,434
Williams Partners LP Senior Notes 4.00% due 11/15/2021		5,000		5,175
Williams Partners LP Senior Notes 4.30% due 03/04/2024		10,000		10,227
Williams Partners LP Senior Notes 5.25% due 03/15/2020		10,000		10,826
				252,510
Real Estate Investment Trusts — 0.2%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		30,000		31,171
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024		10,000		10,263
Crown Castle International Corp. Senior Notes 3.70% due 06/15/2026		10,000		10,434
HCP, Inc. Senior Notes 4.20% due 03/01/2024		5,000		5,198
HCP, Inc. Senior Notes 6.00% due 01/30/2017		10,000		10,143
Ventas Realty LP Company Guar. Notes 3.50% due 02/01/2025		10,000		10,317
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		5,000		5,460
				82,986
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		30,000		31,718
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 2.60% due 12/01/2021*		15,000		15,289
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		10,000		13,638
United Rentals North America, Inc. Sec. Notes 4.63% due 07/15/2023		5,000		5,125

Security Description	Principal Amount(14)		Value (Note 2)
Rental Auto/Equipment (continued)
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025	$	5,000	$	5,100
				39,152
Retail-Auto Parts — 0.0%
AutoZone, Inc. Senior Notes 1.63% due 04/21/2019		5,000		5,017
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		10,000		10,031
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		13,000		12,704
Lowe's Cos., Inc. Senior Notes 2.50% due 04/15/2026		25,000		25,091
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		15,000		15,498
				53,293
Retail-Drug Store — 0.2%
CVS Health Corp. Senior Notes 2.13% due 06/01/2021		5,000		5,051
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		25,000		25,901
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		9,000		9,798
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		20,000		24,473
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		4,237		4,927
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		7,929		9,375
Walgreens Boots Alliance, Inc. Senior Notes 2.60% due 06/01/2021		5,000		5,117
Walgreens Boots Alliance, Inc. Senior Notes 3.10% due 06/01/2023		5,000		5,157
				89,799
Retail-Restaurants — 0.0%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		5,000		5,288

26

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Semiconductor Equipment — 0.0%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021	$	10,000	$	10,264
Steel-Producers — 0.0%
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		5,000		4,975
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		5,000		5,150
Telephone-Integrated — 0.4%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		25,000		25,124
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		10,000		10,541
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		10,000		10,711
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		10,000		10,507
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		40,000		41,858
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		37,000		38,550
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		33,000		34,714
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		10,000		11,200
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		7,000		7,730
				190,935
Television — 0.1%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		5,000		5,303
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		20,000		20,525
TEGNA, Inc. Company Guar. Notes 6.38% due 10/15/2023		10,000		10,750
				36,578
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026		5,000		5,055

Security Description	Principal Amount(14)		Value (Note 2)
Tobacco (continued)
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046	$	5,000	$	5,187
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		12,000		12,625
				22,867
Transport-Rail — 0.0%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023		10,000		10,188
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		10,000		10,256
				20,444
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.20% due 02/01/2025		5,000		5,252
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		10,000		10,370
Ryder System, Inc. Senior Notes 2.65% due 03/02/2020		10,000		10,202
				25,824
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		5,073
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		36,000		40,172
				45,245
Total U.S. Corporate Bonds & Notes (cost $4,092,159)				4,291,687
FOREIGN CORPORATE BONDS & NOTES — 1.2%
Aerospace/Defense — 0.0%
BAE Systems PLC Senior Notes 4.75% due 10/11/2021*		10,000		11,120
Banks-Commercial — 0.1%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		20,000		21,310
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		19,000		20,768
				42,078
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		10,000		10,625

27

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions — 0.2%
HSBC Holdings PLC Senior Notes 4.00% due 03/30/2022	$	25,000	$	26,636
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		50,000		55,276
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		5,000		5,298
				87,210
Diversified Minerals — 0.0%
Teck Resources, Ltd. Company Guar. Notes 8.50% due 06/01/2024*		10,000		11,450
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		15,000		16,233
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021*		5,000		4,982
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		2,000		2,190
Medical-Drugs — 0.2%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		15,000		15,019
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		30,000		29,932
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		25,000		24,906
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		5,000		5,023
				74,880
Medical-Generic Drugs — 0.2%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		50,000		50,515
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		35,000		36,138
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		10,000		10,220

Security Description	Principal Amount(14)		Value (Note 2)
Medical-Generic Drugs (continued)
Mylan NV Company Guar. Notes 3.15% due 06/15/2021*	$	10,000	$	10,188
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		10,000		10,444
				117,505
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		5,000		5,379
Oil Companies-Exploration & Production — 0.0%
Encana Corp. Senior Notes 3.90% due 11/15/2021		5,000		5,010
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,747
				9,757
Oil Companies-Integrated — 0.3%
BP Capital Markets PLC Company Guar. Notes 2.11% due 09/16/2021		5,000		5,029
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		10,000		10,271
BP Capital Markets PLC Company Guar. Notes 2.75% due 05/10/2023		15,000		15,251
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		30,000		28,527
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		15,000		13,469
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		10,000		10,734
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		23,000		19,939
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		15,000		16,351
Shell International Finance BV Company Guar. Notes 3.25% due 05/11/2025		15,000		15,802
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		15,000		16,191
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		15,000		15,466
				167,030
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		10,000		10,125

28

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*	$	10,000	$	10,225
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		15,000		16,350
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		40,000		41,420
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		10,000		13,075
Wireless Equipment — 0.0%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		10,000		10,850
Total Foreign Corporate Bonds & Notes (cost $650,804)				662,484
MUNICIPAL BONDS & NOTES — 0.3%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		20,000		26,275
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(3)		75,000		28,500
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(3)		25,000		9,500
State of California General Obligation Bonds 7.55% due 04/01/2039		45,000		72,063
State of California General Obligation Bonds 7.63% due 03/01/2040		5,000		7,914
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		15,000		15,731
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		15,000		17,549
Total Municipal Bonds & Notes (cost $171,397)				177,532

Security Description	Principal Amount(14)		Value (Note 2)
U.S. GOVERNMENT AGENCIES — 11.5%
Federal Home Loan Mtg. Corp. — 2.1%
2.49% due 02/01/2037 FRS	$	1,901	$	1,978
2.50% due 01/01/2028		4,500		4,673
2.50% due 04/01/2028		12,988		13,491
3.00% due 10/01/2042		10,522		11,079
3.00% due 11/01/2042		5,854		6,097
3.00% due 02/01/2043		18,266		19,021
3.00% due 08/01/2043		88,982		92,956
3.50% due 03/01/2042		3,734		3,953
3.50% due 09/01/2043		37,833		40,317
3.50% due October TBA		300,000		316,373
4.00% due 09/01/2040		7,204		7,757
4.00% due October TBA		200,000		214,289
4.50% due 01/01/2039		835		913
5.00% due 07/01/2021		19,070		19,686
5.50% due 07/01/2034		4,116		4,682
6.00% due 08/01/2036		3,895		4,443
6.50% due 05/01/2029		757		892
7.50% due 08/01/2023		61		62
7.50% due 04/01/2028		797		951
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.72% due 03/25/2045*(6)		20,000		20,038
Series 2014-K503, Class B 3.08% due 10/25/2047*(6)		20,000		20,261
Series 2012-K706, Class B 4.17% due 11/25/2044*(6)		20,000		20,791
Series 2010-K8, Class B 5.42% due 09/25/2043*(6)		25,000		27,398
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series DNA3, Class M2 3.38% due 04/25/2028(4)		280,000		288,642
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)(4)		1,023		1,039
Series 1577, Class PK 6.50% due 09/15/2023(4)		2,021		2,203
Series 1226, Class Z 7.75% due 03/15/2022(4)		315		333
				1,144,318
Federal National Mtg. Assoc. — 7.5%
2.50% due 02/01/2043		81,928		83,033
2.50% due October TBA		100,000		103,575
2.62% due 05/01/2037 FRS		2,877		3,007
2.64% due 03/01/2027		24,322		25,323
2.64% due 10/01/2040 FRS		2,835		2,991
2.78% due 03/01/2027		21,000		22,124
2.97% due 06/01/2027		35,000		37,362
2.97% due 06/01/2030		40,000		42,168
3.00% due 01/01/2028		9,727		10,215
3.00% due October TBA		700,000		728,586
3.13% due 02/01/2027		45,000		48,654
3.50% due 08/01/2026		13,238		13,966

29

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
3.50% due 09/01/2026	$	12,675	$	13,410
3.50% due 10/01/2028		16,044		17,105
3.50% due October TBA		1,900,000		2,004,797
4.00% due 11/01/2025		2,424		2,576
4.00% due 09/01/2040		6,142		6,600
4.00% due 11/01/2040		1,909		2,055
4.00% due 12/01/2040		23,791		25,631
4.00% due 10/01/2041		7,399		7,949
4.00% due 11/01/2041		9,210		9,928
4.00% due 01/01/2042		9,749		10,506
4.00% due 12/01/2043		22,274		24,497
4.00% due October TBA		200,000		214,797
4.50% due 11/01/2022		7,583		7,880
4.50% due 01/01/2039		2,475		2,711
4.50% due 06/01/2039		25,966		28,443
4.50% due 09/01/2039		4,955		5,438
4.50% due 09/01/2040		10,045		11,011
4.50% due 05/01/2041		5,326		5,855
4.50% due October TBA		200,000		219,027
5.00% due 06/01/2019		343		354
5.00% due 05/01/2035		847		940
5.00% due 06/01/2040		40,121		44,592
5.00% due 07/01/2040		8,962		9,949
5.00% due October TBA		100,000		111,072
5.50% due 11/01/2020		2,891		3,043
5.50% due 04/01/2021		44,589		47,680
5.50% due 12/01/2029		1,481		1,667
5.50% due 06/01/2035		98,474		112,242
5.50% due 08/01/2037		14,727		16,670
5.50% due 06/01/2038		7,668		8,709
6.00% due 06/01/2017		280		283
6.00% due 12/01/2033		6,633		7,715
6.00% due 05/01/2034		504		583
6.00% due 06/01/2040		189		217
6.50% due 08/01/2017		491		493
6.50% due 10/01/2037		220		253
7.00% due 06/01/2037		6,885		7,714
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		9,382		9,484
				4,124,880
Government National Mtg. Assoc. — 1.9%
3.00% due October TBA		500,000		523,789
3.50% due October TBA		100,000		106,211
4.00% due 09/15/2041		236,304		256,871
4.50% due 06/15/2041		90,634		100,245
6.00% due 11/15/2031		47,320		54,210
7.00% due 05/15/2033		7,443		9,035
8.50% due 11/15/2017		20		20
9.00% due 11/15/2021		94		105
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(4)		158		184

Security Description	Principal Amount(14)		Value (Note 2)
Government National Mtg. Assoc. (continued)
Series 2005-74, Class HC 7.50% due 09/16/2035(4)	$	2,136	$	2,475
				1,053,145
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		6,000		6,101
Total U.S. Government Agencies (cost $6,245,697)				6,328,444
U.S. GOVERNMENT TREASURIES — 2.6%
United States Treasury Bonds — 1.1%
1.50% due 08/15/2026		312,000		308,965
2.88% due 08/15/2045(9)(11)		196,000		218,310
3.00% due 05/15/2045		16,000		18,243
3.00% due 11/15/2045		46,000		52,487
				598,005
United States Treasury Notes — 1.5%
0.13% due 07/15/2024 TIPS(10)		359,807		365,059
0.25% due 01/15/2025 TIPS(10)		341,400		347,726
1.13% due 09/30/2021		147,000		146,805
				859,590
Total U.S. Government Treasuries (cost $1,402,444)				1,457,595
FOREIGN GOVERNMENT OBLIGATIONS — 1.1%
Central Bank — 0.1%
Bank of Thailand Notes 1.49% due 02/23/2018	THB	1,275,000		36,753
Sovereign — 1.0%
Brazil Notas do Tesouro Nacional Notes 6.00% due 05/15/2017(10)	BRL	255,495		80,227
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(10)	BRL	105,722		32,817
Government of Japan zero coupon due 01/11/2017	JPY	20,000,000		197,365
Government of Romania 0.49% due 06/26/2017	RON	230,000		57,877
Government of Romania 0.51% due 08/28/2017	RON	110,000		27,638
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(10)	UYU	455,319		12,999
Republic of Argentina Senior Notes 2.26% due 12/31/2038(8)	EUR	25,000		18,423
Republic of Colombia 4.25% due 05/17/2017(10)	COP	121,484,850		42,319

30

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Indonesia Senior Notes 8.25% due 07/15/2021	IDR	310,000,000	$	25,059
Republic of Indonesia Senior Notes 8.38% due 03/15/2024	IDR	322,000,000		26,683
Republic of Turkey Bonds 10.60% due 02/11/2026	TRY	75,000		26,644
United Mexican States Senior Bonds 4.75% due 03/08/2044		6,000		6,217
United Mexican States Senior Notes 5.75% due 10/12/2110		20,000		21,150
				575,418
Total Foreign Government Obligations (cost $593,738)				612,171
OPTIONS — PURCHASED†(3)(13) — 0.0%
Put Options — Purchased		167,000		314
Put Options — Purchased	CNH	462,000		906
Total Options — Purchased (cost $2,631)				1,220
Total Long-Term Investment Securities (cost $51,710,452)				58,247,450
REPURCHASE AGREEMENTS — 1.8%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $204,000 and collateralized by $205,000 of United States Treasury Notes, bearing interest at 1.50%, due 11/30/2019 and having an approximate value of $209,869	$	204,000		204,000
Bank of America Securities LLC Joint Repurchase Agreement(15)		160,000		160,000
Barclays Capital, Inc. Joint Repurchase Agreement(15)		80,000		80,000
BNP Paribas SA Joint Repurchase Agreement(15)		160,000		160,000
Deutsche Bank AG Joint Repurchase Agreement(15)		320,000		320,000
RBS Securities, Inc. Joint Repurchase Agreement(15)		40,000		40,000
Total Repurchase Agreements (cost $964,000)				964,000

Security Description			Value (Note 2)
TOTAL INVESTMENTS (cost $52,674,452)(16)	107.5	%		59,211,450
Liabilities in excess of other assets	(7.5	)		(4,110,154	)
NET ASSETS	100.0	%	$	55,101,296

†  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, 2016, the aggregate value of these securities was $3,274,750 representing 5.9% 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, 2016, the aggregate value of these securities was $194,969 representing 0.4% 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. The rate reflected is as of September 30, 2016.

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

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

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

(12)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2016, 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.	03/05/2014		2	$	0	$	2,420	$	1,209.97		0.00	%

31

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

(13)  Purchased Options:

Over the Counter Put Options — Purchased

Issue	Expiration Month	Strike Price			Number of Contracts		Premiums Paid		Value at September 30, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016	$	47.79			42,000	$	309	$	63	$	(246	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.81			84,000		748		133		(615	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.91			41,000		343		118		(225	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.95	CNH		154,000		417		267		(150	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.93	CNH		154,000		425		255		(170	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		15.14	CNH		154,000		389		384		(5	)
							$	2,631	$	1,220	$	(1,411	)

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

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

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

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

CNH — Yuan Renminbi Offshore

CVR —Contingent Value Rights

DAC — Designated Activity Company

EUR — Euro Currency

IDR — Indonesian Rupiah

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2016 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, 2016		Unrealized Appreciation (Depreciation)
	2	Long	90 Day Eurodollar	December 2017	$	494,510	$	494,675	$	165
	2	Short	90 Day Eurodollar	September 2018		494,035		494,250		(215	)
	3	Long	Russell 2000 Mini Index	December 2016		375,626		374,490		(1,136	)
	15	Short	U.S. Treasury 10 Year Notes	December 2016		1,968,867		1,966,875		1,992
	1	Short	U.S. Treasury 10 Year Ultra Bonds	December 2016		144,450		144,156		294
	3	Short	U.S. Treasury 2 Year Notes	December 2016		655,687		655,406		281
	20	Long	U.S. Treasury 5 Year Notes	December 2016		2,429,844		2,430,313		469
	1	Long	U.S. Treasury Long Bonds	December 2016		170,790		168,156		(2,634	)
	1	Long	U.S. Treasury Ultra Bonds	December 2016		186,851		183,875		(2,976	)
									$	(3,760	)

32

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	15,000	USD	16,872	12/21/2016	$	—	$	(39	)
	TRY	45,000	USD	14,640	12/21/2016		—		(122	)
							—		(161	)
BNP Paribas SA	RON	40,000	USD	10,198	08/28/2017		21		—
Citibank N.A.	IDR	228,500,000	USD	17,631	10/21/2016		110		—
	JPY	20,000,000	USD	193,190	01/11/2017		—		(4,955	)
	RON	230,000	USD	57,422	06/26/2017		—		(1,039	)
	USD	17,469	IDR	228,500,000	10/21/2016		51		—
							161		(5,994	)
Credit Suisse AG	USD	17,495	RUB	1,120,000	10/21/2016		275		—
Goldman Sachs International	BRL	110,000	USD	33,033	12/02/2016		—		(228	)
	USD	17,198	COP	50,400,000	10/21/2016		224		—
	USD	35,289	ZAR	480,000	10/21/2016		—		(422	)
	USD	21,052	ZAR	300,000	12/21/2016		482		—
	ZAR	300,000	USD	20,750	12/21/2016		—		(785	)
							706		(1,435	)
JPMorgan Chase Bank	RON	70,000	USD	17,866	08/28/2017		57		—
	RUB	2,240,000	USD	35,334	10/21/2016		—		(205	)
	USD	17,473	RUB	1,120,000	10/21/2016		297		—
							354		(205	)
Morgan Stanley and Co., Inc.	BRL	256,000	USD	77,115	12/02/2016		—		(293	)
Standard Chartered Bank	COP	100,800,000	USD	34,792	10/21/2016		—		(54	)
	IDR	695,013,000	USD	52,049	12/21/2016		—		(836	)
	THB	1,285,000	USD	36,783	12/21/2016		—		(264	)
							—		(1,154	)
State Street Bank and Trust Co.	COP	124,300,000	USD	41,800	12/21/2016		—		(742	)
	USD	17,418	COP	50,400,000	10/21/2016		4		—
							4		(742	)
Net Unrealized Appreciation(Depreciation)						$	1,521	$	(9,984	)

BRL — Brazilian Real
COP — Colombian Peso
EUR — Euro Currency
IDR — Indonesian Rupiah
JPY — Japanese Yen
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	168	09/29/2026	1 Year USD- Federal Funds — H.15-OIS-COMPOUND		1.00	%	$	236	$	6

33

Seasons Series Trust Multi-Managed Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Over the Counter Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio			Payments Made by the Portfolio	Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
INR	1,870	09/12/2021		6.26	%	6 Month INR-MIBOR- OIS-COMPOUND	$	—	$	53

INR — Indian Rupee

OIS — Overnight Index Swap

MIBOR — Mumbai Interbank Offered Rate

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	1,982,391	$	—	$	0	$	1,982,391
Television		63,536		—		2,420		65,956
Other Industries		38,150,075		—		—		38,150,075
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		1		1
Other Industries		—		311,451		—		311,451
Asset Backed Securities		—		4,206,443		—		4,206,443
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		11,267		2		11,269
Other Industries		—		4,280,418		—		4,280,418
Foreign Corporate Bonds & Notes		—		662,484		—		662,484
Municipal Bond & Notes		—		177,532		—		177,532
U.S. Government Agencies		—		6,328,444		—		6,328,444
U.S. Government Treasuries		—		1,457,595		—		1,457,595
Foreign Government Obligations		—		612,171		—		612,171
Options — Purchased		—		1,220		—		1,220
Repurchase Agreements		—		964,000		—		964,000
Total Investments at Value	$	40,196,002	$	19,013,025	$	2,423	$	59,211,450
Other Financial Instruments:†
Futures Contracts	$	3,201	$	—	$	—	$	3,201
Forward Foreign Currency Contracts		—		1,521		—		1,521
Centrally Cleared Interest Rate Swap Contracts		—		6		—		6
Over the Counter Interest Rate Swap Contracts		—		53		—		53
Total Other Financial Instruments	$	3,201	$	1,580	$	—	$	4,781
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	6,961	$	—	$	—	$	6,961
Forward Foreign Currency Contracts		—		9,984		—		9,984
Total Other Financial Instruments	$	6,961	$	9,984	$	—	$	16,945

*  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

34

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Diversified Financial Services	13.2	%
Federal National Mtg. Assoc.	11.6
United States Treasury Notes	4.2
Medical-Drugs	3.7
Diversified Banking Institutions	3.3
Federal Home Loan Mtg. Corp.	3.0
Medical-Biomedical/Gene	2.9
Government National Mtg. Assoc.	2.7
Real Estate Investment Trusts	2.6
Banks-Commercial	2.6
Web Portals/ISP	2.2
Applications Software	2.1
Cable/Satellite TV	2.1
Computers	1.8
Repurchase Agreements	1.5
Finance-Credit Card	1.5
E-Commerce/Products	1.4
Commercial Services	1.3
Internet Content-Entertainment	1.2
Oil Companies-Exploration & Production	1.1
Retail-Restaurants	1.0
Medical-HMO	0.9
Medical-Hospitals	0.9
Brewery	0.8
Tobacco	0.8
Instruments-Controls	0.8
Retail-Discount	0.8
Pipelines	0.8
Aerospace/Defense	0.8
Computer Services	0.8
Sovereign	0.8
Enterprise Software/Service	0.8
Telephone-Integrated	0.8
Retail-Building Products	0.7
Electronic Components-Semiconductors	0.7
Entertainment Software	0.7
United States Treasury Bonds	0.7
Foreign Government Obligations	0.7
Cosmetics & Toiletries	0.7
E-Commerce/Services	0.7
Electronic Connectors	0.6
Electric-Integrated	0.6
Time Deposits	0.6
Municipal Bonds & Notes	0.6
Beverages-Non-alcoholic	0.6
Transport-Rail	0.6
Commercial Services-Finance	0.5
Cellular Telecom	0.5
Electronic Forms	0.5
Airlines	0.5
Medical Instruments	0.5
Industrial Gases	0.5
Retail-Apparel/Shoe	0.5
Oil Companies-Integrated	0.5
Multimedia	0.5
Finance-Consumer Loans	0.5
Food-Retail	0.4
Diversified Manufacturing Operations	0.4
Building Products-Cement	0.4
Consulting Services	0.4

Containers-Paper/Plastic	0.4	%
Electronic Components-Misc.	0.4
Auto/Truck Parts & Equipment-Original	0.4
Savings & Loans/Thrifts	0.4
Electronic Design Automation	0.4
Auto-Cars/Light Trucks	0.4
Banks-Super Regional	0.4
Containers-Metal/Glass	0.4
Athletic Footwear	0.4
Computer Aided Design	0.4
Food-Confectionery	0.4
Finance-Other Services	0.4
Insurance-Property/Casualty	0.4
Medical Information Systems	0.4
Machinery-General Industrial	0.4
Medical Products	0.4
Medical-Generic Drugs	0.3
Food-Wholesale/Distribution	0.3
Telecommunication Equipment	0.3
Chemicals-Diversified	0.3
Wireless Equipment	0.3
Apparel Manufacturers	0.3
Hotels/Motels	0.3
Oil-Field Services	0.3
Recreational Vehicles	0.3
Steel-Producers	0.3
Finance-Investment Banker/Broker	0.3
Retail-Drug Store	0.3
Metal Processors & Fabrication	0.3
Food-Misc./Diversified	0.3
Building-Heavy Construction	0.3
Broadcast Services/Program	0.3
Data Processing/Management	0.2
Cruise Lines	0.2
Satellite Telecom	0.2
Networking Products	0.2
Energy-Alternate Sources	0.2
Retail-Auto Parts	0.2
Transport-Services	0.2
Pharmacy Services	0.2
Engineering/R&D Services	0.2
Electronic Measurement Instruments	0.2
Machinery-Pumps	0.2
Rubber-Tires	0.2
Therapeutics	0.2
Television	0.2
Electronic Security Devices	0.2
Retail-Gardening Products	0.2
Real Estate Management/Services	0.2
Toys	0.2
Computer Software	0.2
Human Resources	0.2
Physicians Practice Management	0.2
Real Estate Operations & Development	0.2
Insurance-Life/Health	0.2
Aerospace/Defense-Equipment	0.2
Office Supplies & Forms	0.2
Building & Construction Products-Misc.	0.2
Retail-Catalog Shopping	0.2
Internet Application Software	0.2

35

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Printing-Commercial	0.2	%
Semiconductor Equipment	0.1
Respiratory Products	0.1
Chemicals-Specialty	0.1
Building Societies	0.1
Trucking/Leasing	0.1
Gas-Distribution	0.1
Medical-Wholesale Drug Distribution	0.1
Investment Management/Advisor Services	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Semiconductor Components-Integrated Circuits	0.1
Rental Auto/Equipment	0.1
Retail-Vitamins & Nutrition Supplements	0.1
Telecom Services	0.1
Power Converter/Supply Equipment	0.1
Water	0.1
Independent Power Producers	0.1
Central Bank	0.1
Financial Guarantee Insurance	0.1
Electric-Generation	0.1
Rubber/Plastic Products	0.1
Building-Residential/Commercial	0.1
Schools	0.1
Transport-Truck	0.1
Retail-Hair Salons	0.1
Computers-Integrated Systems	0.1
Oil Refining & Marketing	0.1
Engines-Internal Combustion	0.1
Chemicals-Fibers	0.1
Diagnostic Kits	0.1
Poultry	0.1
Finance-Commercial	0.1
Distribution/Wholesale	0.1
Web Hosting/Design	0.1
Retail-Pawn Shops	0.1
Insurance-Mutual	0.1
Medical-Outpatient/Home Medical	0.1
Food-Dairy Products	0.1
Investment Companies	0.1
Housewares	0.1
Retail-Home Furnishings	0.1
Home Furnishings	0.1
Food-Flour & Grain	0.1
Gambling (Non-Hotel)	0.1
Diagnostic Equipment	0.1
Transactional Software	0.1
Electronic Parts Distribution	0.1
Publishing-Books	0.1
Banks-Mortgage	0.1
	113.7	%

*  Calculated as a percentage of net assets

36

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description Shares Value
(Note 2)

COMMON STOCKS — 58.0%

Aerospace/Defense — 0.7%

Northrop Grumman Corp.	1,784	$	381,687
Teledyne Technologies, Inc.†	2,679		289,144
			670,831
Aerospace/Defense-Equipment — 0.2%
AAR Corp.	1,000		31,320
Curtiss-Wright Corp.	825		75,166
Moog, Inc., Class A†	750		44,655
			151,141
Airlines — 0.5%
Alaska Air Group, Inc.	1,375		90,558
United Continental Holdings, Inc.†	7,490		393,000
			483,558
Apparel Manufacturers — 0.2%
Carter's, Inc.	2,606		225,966
Applications Software — 1.9%
Microsoft Corp.	24,546		1,413,849
MINDBODY, Inc., Class A†	2,000		39,320
Progress Software Corp.†	650		17,680
salesforce.com, Inc.†	4,757		339,317
			1,810,166
Athletic Footwear — 0.4%
NIKE, Inc., Class B	7,183		378,185
Auto-Truck Trailers — 0.0%
Wabash National Corp.†	625		8,900
Auto/Truck Parts & Equipment-Original — 0.4%
American Axle & Manufacturing Holdings, Inc.†	450		7,749
Dana, Inc.	3,050		47,549
Delphi Automotive PLC	4,034		287,705
Tenneco, Inc.†	1,000		58,270
			401,273
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.	3,550		113,387
Banks-Commercial — 1.5%
1st Source Corp.	660		23,559
BancFirst Corp.	1,000		72,510
BancorpSouth, Inc.	2,650		61,480
Capital Bank Financial Corp., Class A	2,600		83,486
Cathay General Bancorp Class B	1,025		31,549
Central Pacific Financial Corp.	3,800		95,722
Central Valley Community Bancorp	225		3,569
Chemical Financial Corp.	400		17,652
Citizens & Northern Corp.	275		6,042
City Holding Co.	650		32,688
CVB Financial Corp.	4,275		75,283
East West Bancorp, Inc.	43		1,579
FCB Financial Holdings, Inc., Class A†	4,750		182,542

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Commonwealth Financial Corp.		4,725	$	47,675
First Community Bancshares, Inc.		275		6,820
First Financial Bancorp		75		1,638
First Hawaiian, Inc.†		950		25,517
First Interstate BancSystem, Inc., Class A		275		8,665
Fulton Financial Corp.		1,100		15,972
Great Western Bancorp, Inc.		650		21,658
Guaranty Bancorp		450		8,032
Hope Bancorp, Inc.		2,108		36,616
Independent Bank Corp.		425		7,153
MainSource Financial Group, Inc.		325		8,109
OFG Bancorp		2,600		26,286
PacWest Bancorp		2,234		95,861
Park Sterling Corp.		875		7,105
Sierra Bancorp		300		5,628
Simmons First National Corp., Class A		425		21,207
Southside Bancshares, Inc.		198		6,372
Southwest Bancorp, Inc.		225		4,273
Suffolk Bancorp		1,322		45,966
TCF Financial Corp.		2,675		38,814
Trustmark Corp.		925		25,493
UMB Financial Corp.		400		23,780
Union Bankshares Corp.		3,584		95,944
Webster Financial Corp.		250		9,502
West Bancorporation, Inc.		750		14,700
Westamerica Bancorporation		2,875		146,280
				1,442,727
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		1,600		40,416
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		255		5,959
Beverages-Non-alcoholic — 0.6%
Coca-Cola Co.		13,444		568,950
Broadcast Services/Program — 0.2%
Nexstar Broadcasting Group, Inc., Class A		925		53,382
TiVo Corp.†		4,975		96,913
				150,295
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		1,525		56,654
Ply Gem Holdings, Inc.†		1,900		25,384
				82,038
Building Products-Cement — 0.4%
Continental Building Products, Inc.†		2,500		52,475
Vulcan Materials Co.		3,097		352,222
				404,697

37

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Heavy Construction — 0.1%
MasTec, Inc.†		1,425	$	42,379
Cable/Satellite TV — 1.0%
Comcast Corp., Class A		13,637		904,679
Casino Hotels — 0.0%
Boyd Gaming Corp.†		450		8,901
Casino Services — 0.0%
Scientific Games Corp., Class A†		750		8,453
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		8,574		400,577
Chemicals-Diversified — 0.3%
Innophos Holdings, Inc.		150		5,855
Koppers Holdings, Inc.†		800		25,744
PPG Industries, Inc.		2,804		289,821
				321,420
Chemicals-Fibers — 0.1%
Rayonier Advanced Materials, Inc.		5,400		72,198
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		1,350		95,431
OMNOVA Solutions, Inc.†		3,100		26,164
Valvoline, Inc.†		400		9,396
				130,991
Commercial Services — 1.3%
Aramark		9,865		375,166
CoStar Group, Inc.†		984		213,066
HMS Holdings Corp.†		2,025		44,894
Medifast, Inc.		175		6,613
Nielsen Holdings PLC		6,317		338,402
ServiceMaster Global Holdings, Inc.†		5,886		198,240
				1,176,381
Commercial Services-Finance — 0.5%
Equifax, Inc.		1,035		139,291
Euronet Worldwide, Inc.†		325		26,595
EVERTEC, Inc.		400		6,712
MarketAxess Holdings, Inc.		875		144,891
S&P Global, Inc.		1,463		185,157
				502,646
Computer Aided Design — 0.4%
ANSYS, Inc.†		2,018		186,887
Aspen Technology, Inc.†		3,975		185,990
				372,877
Computer Data Security — 0.0%
Qualys, Inc.†		575		21,959
Computer Services — 0.8%
Amdocs, Ltd.		4,597		265,936
Barracuda Networks, Inc.†		1,600		40,768
Cognizant Technology Solutions Corp., Class A†		3,849		183,636
Convergys Corp.		2,300		69,966
Insight Enterprises, Inc.†		500		16,275
Manhattan Associates, Inc.†		525		30,251

Security Description	Shares		Value (Note 2)
Computer Services (continued)
Science Applications International Corp.		525	$	36,419
Unisys Corp.†		8,775		85,468
				728,719
Computer Software — 0.2%
SS&C Technologies Holdings, Inc.		5,511		177,179
Computers — 1.6%
Apple, Inc.		12,313		1,391,985
Nutanix, Inc., Class A†		3,100		114,700
				1,506,685
Computers-Integrated Systems — 0.1%
Cray, Inc.†		3,750		88,275
Consulting Services — 0.4%
Franklin Covey Co.†		1,000		17,810
Huron Consulting Group, Inc.†		2,300		137,448
Verisk Analytics, Inc.†		3,185		258,877
				414,135
Consumer Products-Misc. — 0.0%
CSS Industries, Inc.		325		8,314
Containers-Metal/Glass — 0.4%
Crown Holdings, Inc.†		6,417		366,347
Containers-Paper/Plastic — 0.4%
Graphic Packaging Holding Co.		8,150		114,018
Sealed Air Corp.		5,552		254,393
				368,411
Cosmetics & Toiletries — 0.7%
Colgate-Palmolive Co.		2,965		219,825
e.l.f. Beauty, Inc.†		375		10,545
Estee Lauder Cos., Inc., Class A		4,307		381,428
				611,798
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		5,974		225,220
Data Processing/Management — 0.2%
CSG Systems International, Inc.		2,425		100,225
Fair Isaac Corp.		950		118,361
				218,586
Diagnostic Kits — 0.1%
Quidel Corp.†		3,125		69,031
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		225		13,455
Distribution/Wholesale — 0.1%
Essendant, Inc.		725		14,877
SiteOne Landscape Supply, Inc.†		275		9,881
Titan Machinery, Inc.†		3,550		36,920
				61,678
Diversified Manufacturing Operations — 0.4%
A.O. Smith Corp.		2,150		212,399
Actuant Corp., Class A		3,100		72,044
Dover Corp.		1,777		130,858
				415,301

38

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Drug Delivery Systems — 0.0%
Heron Therapeutics, Inc.†		625	$	10,769
Revance Therapeutics, Inc.†		900		14,589
				25,358
E-Commerce/Products — 1.4%
Amazon.com, Inc.†		1,618		1,354,768
E-Commerce/Services — 0.7%
Priceline Group, Inc.†		376		553,280
RetailMeNot, Inc.†		3,400		33,626
Trade Desk, Inc., Class A†		775		22,638
				609,544
Electric Products-Misc. — 0.0%
Graham Corp.		425		8,118
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		950		27,674
Electric-Generation — 0.0%
Atlantic Power Corp.		14,800		36,556
Electric-Integrated — 0.2%
Avista Corp.		300		12,537
El Paso Electric Co.		1,250		58,462
NorthWestern Corp.		350		20,136
PNM Resources, Inc.		925		30,266
Portland General Electric Co.		2,200		93,698
				215,099
Electronic Components-Misc. — 0.4%
Bel Fuse, Inc., Class B		1,225		29,572
Benchmark Electronics, Inc.†		2,650		66,117
Flex, Ltd.†		9,595		130,684
Sanmina Corp.†		1,625		46,264
Stoneridge, Inc.†		4,025		74,060
Vishay Intertechnology, Inc.		4,000		56,360
				403,057
Electronic Components-Semiconductors — 0.7%
Alpha & Omega Semiconductor, Ltd.†		3,850		83,622
Intersil Corp., Class A		2,225		48,794
InvenSense, Inc.†		15,775		117,051
Silicon Laboratories, Inc.†		225		13,230
Synaptics, Inc.†		1,200		70,296
Texas Instruments, Inc.		5,158		361,988
				694,981
Electronic Connectors — 0.6%
Amphenol Corp., Class A		9,234		599,471
Electronic Design Automation — 0.4%
Cadence Design Systems, Inc.†		11,995		306,232
Mentor Graphics Corp.		3,175		83,947
				390,179
Electronic Forms — 0.5%
Adobe Systems, Inc.†		4,625		501,997
Electronic Measurement Instruments — 0.2%
National Instruments Corp.		6,166		175,114

Security Description	Shares		Value (Note 2)
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		500	$	42,355
Electronic Security Devices — 0.2%
Allegion PLC		2,709		186,677
Energy-Alternate Sources — 0.2%
Renewable Energy Group, Inc.†		725		6,141
REX American Resources Corp.†		2,400		203,424
				209,565
Engineering/R&D Services — 0.2%
EMCOR Group, Inc.		2,675		159,483
VSE Corp.		1,300		44,187
				203,670
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		3,925		73,201
Enterprise Software/Service — 0.7%
Tyler Technologies, Inc.†		1,973		337,837
Ultimate Software Group, Inc.†		1,294		264,480
Xactly Corp.†		886		13,042
				615,359
Entertainment Software — 0.7%
Activision Blizzard, Inc.		8,640		382,752
Take-Two Interactive Software, Inc.†		5,475		246,813
				629,565
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		125		25,134
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		875		35,324
Synchrony Financial		6,867		192,276
				227,600
Finance-Credit Card — 1.4%
MasterCard, Inc., Class A		5,530		562,788
Visa, Inc., Class A		8,896		735,699
				1,298,487
Finance-Investment Banker/Broker — 0.2%
Cowen Group, Inc., Class A†		1,025		3,721
E*TRADE Financial Corp.†		6,244		181,825
KCG Holdings, Inc., Class A†		2,075		32,225
				217,771
Finance-Other Services — 0.3%
Intercontinental Exchange, Inc.		866		233,266
WageWorks, Inc.†		1,325		80,706
				313,972
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		6,275		48,882
MGIC Investment Corp.†		2,725		21,800
NMI Holdings, Inc., Class A†		2,600		19,812
				90,494
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		250		7,060

39

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Catering — 0.0%
US Foods Holding Corp.†		850	$	20,069
Food-Confectionery — 0.4%
Hershey Co.		3,887		371,597
Food-Dairy Products — 0.1%
Dean Foods Co.		3,150		51,660
Food-Flour & Grain — 0.1%
Post Holdings, Inc.†		600		46,302
Food-Misc./Diversified — 0.2%
Darling Ingredients, Inc.†		11,050		149,286
Snyder's-Lance, Inc.		337		11,316
				160,602
Food-Retail — 0.4%
Ingles Markets, Inc., Class A		1,100		43,494
Kroger Co.		12,368		367,082
				410,576
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		5,973		292,737
Footwear & Related Apparel — 0.0%
Iconix Brand Group, Inc.†		300		2,436
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc.†		2,073		46,186
Gas-Distribution — 0.1%
Southwest Gas Corp.		625		43,663
Spire, Inc.		725		46,211
				89,874
Home Furnishings — 0.1%
Leggett & Platt, Inc.		1,025		46,719
Hotels/Motels — 0.3%
Hilton Worldwide Holdings, Inc.		9,964		228,475
La Quinta Holdings, Inc.†		3,525		39,409
				267,884
Housewares — 0.1%
NACCO Industries, Inc., Class A		750		50,970
Human Resources — 0.2%
Barrett Business Services, Inc.		1,625		80,616
Cross Country Healthcare, Inc.†		6,050		71,269
Insperity, Inc.		225		16,344
TriNet Group, Inc.†		350		7,571
				175,800
Independent Power Producers — 0.1%
Dynegy, Inc.†		5,000		61,950
Ormat Technologies, Inc.		225		10,892
				72,842
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		450		12,632
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		3,156		474,473
Instruments-Controls — 0.8%
Honeywell International, Inc.		3,868		450,970

Security Description	Shares		Value (Note 2)
Instruments-Controls (continued)
Sensata Technologies Holding NV†		7,725	$	299,576
				750,546
Insurance-Life/Health — 0.2%
American Equity Investment Life Holding Co.		1,750		31,028
CNO Financial Group, Inc.		3,725		56,881
Primerica, Inc.		1,050		55,681
				143,590
Insurance-Multi-line — 0.0%
Kemper Corp.		850		33,422
Insurance-Property/Casualty — 0.3%
Ambac Financial Group, Inc.†		200		3,678
First American Financial Corp.		675		26,514
Global Indemnity PLC†		250		7,425
Navigators Group, Inc.		575		55,729
ProAssurance Corp.		875		45,920
Progressive Corp.		3,640		114,660
Stewart Information Services Corp.		175		7,779
				261,705
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		300		13,977
Internet Application Software — 0.2%
Bazaarvoice, Inc.†		23,300		137,703
Internet Content-Entertainment — 1.2%
Facebook, Inc., Class A†		8,605		1,103,763
Internet Content-Information/News — 0.0%
DHI Group, Inc.†		2,100		16,569
Internet Security — 0.0%
VASCO Data Security International, Inc.†		1,375		24,214
Zix Corp.†		1,275		5,227
				29,441
Investment Companies — 0.1%
Acacia Research Corp.		7,859		51,241
Investment Management/Advisor Services — 0.1%
BlackRock, Inc.		293		106,201
Federated Investors, Inc., Class B		375		11,111
				117,312
Lasers-System/Components — 0.0%
Coherent, Inc.†		225		24,872
Leisure Games — 0.0%
Intrawest Resorts Holdings, Inc.†		275		4,461
Machine Tools & Related Products — 0.0%
Kennametal, Inc.		325		9,432
Machinery-Construction & Mining — 0.0%
Hyster-Yale Materials Handling, Inc.		275		16,536
Joy Global, Inc.		225		6,241
				22,777

40

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-General Industrial — 0.4%
Applied Industrial Technologies, Inc.		900	$	42,066
DXP Enterprises, Inc.†		2,000		56,380
Kadant, Inc.		875		45,596
Roper Technologies, Inc.		1,144		208,746
				352,788
Machinery-Pumps — 0.2%
Flowserve Corp.		4,118		198,652
Medical Information Systems — 0.4%
athenahealth, Inc.†		2,798		352,884
Medical Instruments — 0.4%
Boston Scientific Corp.†		15,280		363,664
Halyard Health, Inc.†		1,025		35,526
				399,190
Medical Labs & Testing Services — 0.0%
Medpace Holdings, Inc.†		500		14,930
Medical Products — 0.3%
Orthofix International NV†		2,125		90,887
SurModics, Inc.†		2,225		66,950
Wright Medical Group NV†		2,925		71,750
				229,587
Medical-Biomedical/Gene — 2.8%
Aduro Biotech, Inc.†		175		2,175
Alder Biopharmaceuticals, Inc.†		6,380		209,073
Amgen, Inc.		4,275		713,113
Ardelyx, Inc.†		375		4,853
Arrowhead Pharmaceuticals, Inc.†		4,025		29,584
Audentes Therapeutics, Inc.†		250		4,453
Bellicum Pharmaceuticals, Inc.†		1,600		31,840
Biogen, Inc.†		1,201		375,949
Blueprint Medicines Corp.†		425		12,622
Cambrex Corp.†		300		13,338
Celgene Corp.†		4,601		480,943
Coherus Biosciences, Inc.†		875		23,432
Dimension Therapeutics, Inc.†		525		4,195
Edge Therapeutics, Inc.†		1,200		12,492
Exelixis, Inc.†		1,775		22,702
FibroGen, Inc.†		1,000		20,700
Five Prime Therapeutics, Inc.†		475		24,933
Halozyme Therapeutics, Inc.†		1,475		17,818
Idera Pharmaceuticals, Inc.†		2,175		5,568
Infinity Pharmaceuticals, Inc.†		2,225		3,471
Karyopharm Therapeutics, Inc.†		1,750		17,027
Kite Pharma, Inc.†		450		25,137
Lexicon Pharmaceuticals, Inc.†		1,750		31,622
Prothena Corp. PLC†		900		53,973
PTC Therapeutics, Inc.†		3,575		50,086
Puma Biotechnology, Inc.†		400		26,820
Regeneron Pharmaceuticals, Inc.†		807		324,430
Sage Therapeutics, Inc.†		675		31,084
Selecta Biosciences, Inc.†		1,500		21,375
Spark Therapeutics, Inc.†		225		13,513

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene (continued)
Tokai Pharmaceuticals, Inc.†		950	$	1,454
Trius Therapeutics, Inc. CVR†(1)(4)		6,700		0
Ultragenyx Pharmaceutical, Inc.†		550		39,017
Versartis, Inc.†		625		7,656
				2,656,448
Medical-Drugs — 3.4%
ACADIA Pharmaceuticals, Inc.†		1,350		42,944
Adamas Pharmaceuticals, Inc.†		1,075		17,641
Aimmune Therapeutics, Inc.†		1,775		26,625
Allergan PLC†		2,586		595,582
Amicus Therapeutics, Inc.†		1,925		14,245
Bristol-Myers Squibb Co.		9,882		532,837
Chimerix, Inc.†		450		2,493
Clovis Oncology, Inc.†		950		34,248
Eli Lilly & Co.		7,966		639,351
Global Blood Therapeutics, Inc.†		1,075		24,779
Horizon Pharma PLC†		850		15,411
Immune Design Corp.†		1,600		12,128
Ironwood Pharmaceuticals, Inc.†		17,486		277,678
Mallinckrodt PLC†		5,312		370,671
Ophthotech Corp.†		500		23,065
Pacira Pharmaceuticals, Inc.†		1,000		34,220
Pfizer, Inc.		12,858		435,500
Prestige Brands Holdings, Inc.†		375		18,101
Radius Health, Inc.†		625		33,806
Reata Pharmaceuticals, Inc., Class A†		700		18,452
Synergy Pharmaceuticals, Inc.†		7,675		42,289
TESARO, Inc.†		200		20,048
				3,232,114
Medical-Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		1,200		22,764
AveXis, Inc.†		350		14,424
				37,188
Medical-HMO — 0.6%
Aetna, Inc.		3,761		434,207
Molina Healthcare, Inc.†		1,425		83,106
Triple-S Management Corp., Class B†		1,375		30,154
WellCare Health Plans, Inc.†		400		46,836
				594,303
Medical-Hospitals — 0.7%
Community Health Systems, Inc.†		6,925		79,914
Quorum Health Corp.†		6,025		37,777
Surgical Care Affiliates, Inc.†		1,025		49,979
Universal Health Services, Inc., Class B		3,757		462,938
				630,608
Medical-Outpatient/Home Medical — 0.1%
Civitas Solutions, Inc.†		2,875		52,497

41

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Wholesale Drug Distribution — 0.1%
Owens & Minor, Inc.		2,725	$	94,639
Metal Processors & Fabrication — 0.3%
Rexnord Corp.†		11,046		236,495
Metal Products-Distribution — 0.0%
Olympic Steel, Inc.		900		19,890
MRI/Medical Diagnostic Imaging — 0.0%
Alliance HealthCare Services, Inc.†		639		4,384
Multimedia — 0.3%
Walt Disney Co.		2,777		257,872
Networking Products — 0.1%
Black Box Corp.		1,625		22,587
NETGEAR, Inc.†		1,400		84,686
				107,273
Office Furnishings-Original — 0.0%
Interface, Inc.		782		13,052
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		15,500		149,420
Oil & Gas Drilling — 0.0%
Parker Drilling Co.†		3,800		8,246
Seadrill, Ltd.†		3,450		8,177
				16,423
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp.		3,171		200,915
Bill Barrett Corp.†		12,925		71,863
Denbury Resources, Inc.†		16,150		52,164
EP Energy Corp., Class A†		250		1,095
Sanchez Energy Corp.†		3,950		34,918
Unit Corp.†		1,475		27,435
				388,390
Oil Refining & Marketing — 0.0%
Adams Resources & Energy, Inc.		175		6,881
Western Refining, Inc.		475		12,569
				19,450
Oil-Field Services — 0.3%
Archrock, Inc.		775		10,137
Halliburton Co.		1,509		67,724
MRC Global, Inc.†		4,600		75,578
NOW, Inc.†		1,450		31,073
Pioneer Energy Services Corp.†		3,200		12,928
SEACOR Holdings, Inc.†		1,300		77,337
				274,777
Paper & Related Products — 0.0%
Domtar Corp.		500		18,565
Pharmacy Services — 0.2%
Diplomat Pharmacy, Inc.†		7,290		204,193
Physicians Practice Management — 0.2%
Healthways, Inc.†		6,500		171,990
Poultry — 0.1%
Pilgrim's Pride Corp.		2,025		42,768
Sanderson Farms, Inc.		250		24,082
				66,850

Security Description	Shares		Value (Note 2)
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		2,250	$	106,470
Printing-Commercial — 0.2%
Deluxe Corp.		1,275		85,195
Ennis, Inc.		3,050		51,393
				136,588
Protection/Safety — 0.0%
Landauer, Inc.		800		35,584
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		3,050		40,900
Racetracks — 0.0%
Speedway Motorsports, Inc.		1,050		18,753
Real Estate Investment Trusts — 2.4%
American Assets Trust, Inc.		1,150		49,887
American Tower Corp.		6,065		687,346
Armada Hoffler Properties, Inc.		175		2,345
Ashford Hospitality Trust, Inc.		500		2,945
Capstead Mtg. Corp.		7,300		68,839
CBL & Associates Properties, Inc.		1,250		15,175
CoreSite Realty Corp.		2,275		168,441
CubeSmart		825		22,489
CyrusOne, Inc.		250		11,893
CYS Investments, Inc.		16,600		144,752
DCT Industrial Trust, Inc.		993		48,210
DiamondRock Hospitality Co.		1,225		11,148
EastGroup Properties, Inc.		550		40,458
EPR Properties		50		3,937
Equity LifeStyle Properties, Inc.		325		25,083
Equity One, Inc.		275		8,418
First Industrial Realty Trust, Inc.		625		17,637
Franklin Street Properties Corp.		1,050		13,230
Gladstone Commercial Corp.		250		4,658
Government Properties Income Trust		1,150		26,013
Gramercy Property Trust		1,525		14,701
Hersha Hospitality Trust		2,150		38,743
Highwoods Properties, Inc.		450		23,454
Hospitality Properties Trust		1,250		37,150
LTC Properties, Inc.		1,975		102,680
Mack-Cali Realty Corp.		1,100		29,942
Monogram Residential Trust, Inc.		1,075		11,438
National Retail Properties, Inc.		150		7,628
Pennsylvania Real Estate Investment Trust		650		14,970
Post Properties, Inc.		500		33,065
Potlatch Corp.		1,725		67,085
PS Business Parks, Inc.		225		25,553
Ramco-Gershenson Properties Trust		2,250		42,165
RLJ Lodging Trust		5,900		124,077
Saul Centers, Inc.		600		39,960
Silver Bay Realty Trust Corp.		275		4,821
Simon Property Group, Inc.		1,067		220,880

42

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Summit Hotel Properties, Inc.		400	$	5,264
Taubman Centers, Inc.		400		29,764
				2,246,244
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		1,581		179,902
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		375		14,408
Forestar Group, Inc.†		4,950		57,964
St. Joe Co.†		250		4,595
				76,967
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		3,486		269,956
Research & Development — 0.0%
INC Research Holdings, Inc., Class A†		750		33,435
Respiratory Products — 0.1%
Inogen, Inc.†		2,225		133,277
Retail-Apparel/Shoe — 0.5%
Abercrombie & Fitch Co., Class A		3,100		49,259
Children's Place, Inc.		2,395		191,289
L Brands, Inc.		3,146		222,642
				463,190
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		250		192,085
Retail-Building Products — 0.6%
At Home Group, Inc.†		100		1,515
Lowe's Cos., Inc.		8,231		594,361
				595,876
Retail-Catalog Shopping — 0.2%
Liberty Interactive Corp. QVC Group, Class A†		6,882		137,709
Retail-Discount — 0.8%
Big Lots, Inc.		1,650		78,787
Costco Wholesale Corp.		2,225		339,335
Dollar Tree, Inc.†		3,991		315,010
				733,132
Retail-Gardening Products — 0.2%
Tractor Supply Co.		2,758		185,751
Retail-Hair Salons — 0.1%
Regis Corp.†		7,250		90,987
Retail-Home Furnishings — 0.1%
Pier 1 Imports, Inc.		11,900		50,456
Retail-Jewelry — 0.0%
Movado Group, Inc.		1,150		24,702
Retail-Misc./Diversified — 0.0%
FirstCash, Inc.		563		26,506
Retail-Pawn Shops — 0.1%
EZCORP, Inc., Class A†		5,450		60,277
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		200		12,602

Security Description	Shares		Value (Note 2)
Retail-Restaurants — 1.0%
Bloomin' Brands, Inc.		1,050	$	18,102
DineEquity, Inc.		125		9,899
Dunkin' Brands Group, Inc.		4,979		259,306
Jack in the Box, Inc.		1,550		148,707
Ruby Tuesday, Inc.†		3,350		8,375
Sonic Corp.		4,650		121,737
Starbucks Corp.		6,077		329,009
				895,135
Retail-Vitamins & Nutrition Supplements — 0.1%
GNC Holdings, Inc., Class A		5,325		108,736
Rubber-Tires — 0.2%
Cooper Tire & Rubber Co.		5,125		194,852
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		375		4,871
Trinseo SA		1,600		90,496
				95,367
Satellite Telecom — 0.2%
DigitalGlobe, Inc.†		8,175		224,812
Savings & Loans/Thrifts — 0.4%
BankFinancial Corp.		225		2,858
Beneficial Bancorp, Inc.		4,667		68,652
Capitol Federal Financial, Inc.		250		3,517
Charter Financial Corp.		800		10,304
First Defiance Financial Corp.		250		11,160
Flushing Financial Corp.		875		20,755
Investors Bancorp, Inc.		2,900		34,829
Meridian Bancorp, Inc.		6,725		104,708
Northfield Bancorp, Inc.		6,575		105,857
Oritani Financial Corp.		1,900		29,868
				392,508
Schools — 0.1%
K12, Inc.†		1,150		16,502
Strayer Education, Inc.†		1,650		77,022
				93,524
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		1,550		35,914
Semiconductor Components-Integrated Circuits — 0.1%
Integrated Device Technology, Inc.†		3,650		84,315
MaxLinear, Inc., Class A†		1,400		28,378
				112,693
Semiconductor Equipment — 0.1%
Cohu, Inc.		3,800		44,612
Tessera Technologies, Inc.		700		26,908
Xcerra Corp.†		7,000		42,420
				113,940
Steel-Producers — 0.2%
AK Steel Holding Corp.†		6,975		33,689
Carpenter Technology Corp.		625		25,787
Commercial Metals Co.		600		9,714
Ryerson Holding Corp.†		1,575		17,782
Worthington Industries, Inc.		2,100		100,863
				187,835

43

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Telecom Equipment-Fiber Optics — 0.0%
Harmonic, Inc.†		900	$	5,337
Telecom Services — 0.1%
EarthLink Holdings Corp.		8,850		54,870
West Corp.		2,400		52,992
				107,862
Telecommunication Equipment — 0.3%
CommScope Holding Co., Inc.†		6,283		189,181
Plantronics, Inc.		2,225		115,611
				304,792
Telephone-Integrated — 0.2%
Cincinnati Bell, Inc.†		6,925		28,254
General Communication, Inc., Class A†		300		4,125
Windstream Holdings, Inc.		11,825		118,841
				151,220
Television — 0.1%
ION Media Networks, Inc.†(1)(2)(4)		4		4,840
Sinclair Broadcast Group, Inc., Class A		3,400		98,192
				103,032
Therapeutics — 0.2%
Axsome Therapeutics, Inc.†		1,550		12,214
Cara Therapeutics, Inc.†		1,025		8,559
Flexion Therapeutics, Inc.†		1,150		22,471
Neurocrine Biosciences, Inc.†		1,200		60,768
Portola Pharmaceuticals, Inc.†		575		13,058
Proteostasis Therapeutics, Inc.†		1,675		26,113
Seres Therapeutics, Inc.†		500		6,145
Xencor, Inc.†		1,750		42,858
Zafgen, Inc.†		100		331
				192,517
Tobacco — 0.6%
Alliance One International, Inc.†		475		9,082
Altria Group, Inc.		7,775		491,613
Universal Corp.		1,175		68,409
				569,104
Toys — 0.2%
JAKKS Pacific, Inc.†		2,575		22,248
Mattel, Inc.		5,200		157,456
				179,704
Transactional Software — 0.1%
ACI Worldwide, Inc.†		2,250		43,605
Transport-Air Freight — 0.0%
Atlas Air Worldwide Holdings, Inc.†		350		14,987
Transport-Rail — 0.4%
CSX Corp.		10,862		331,291
Transport-Services — 0.1%
Matson, Inc.		3,275		130,607

Security Description	Shares/ Principal Amount(14)		Value (Note 2)
Transport-Truck — 0.1%
ArcBest Corp.		1,375	$	26,153
Swift Transportation Co.†		1,475		31,668
USA Truck, Inc.†		3,450		35,328
				93,149
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		225		13,948
Water — 0.1%
American States Water Co.		2,650		106,132
Web Hosting/Design — 0.1%
Web.com Group, Inc.†		3,500		60,445
Web Portals/ISP — 2.2%
Alphabet, Inc., Class C†		2,676		2,080,028
Wireless Equipment — 0.3%
InterDigital, Inc.		2,075		164,340
Ubiquiti Networks, Inc.†		2,050		109,675
				274,015
Total Common Stocks (cost $46,703,069)				54,535,372
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.2%
Banks-Commercial — 0.3%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(3)	EUR	200,000		208,960
Banco Santander SA FRS 6.25% due 03/12/2019(3)	EUR	100,000		100,540
				309,500
Building Societies — 0.1%
Nationwide Building Society FRS 6.88% due 06/20/2019(3)	GBP	100,000		123,490
Diversified Banking Institutions — 0.7%
Credit Agricole SA FRS 8.13% due 12/23/2025*(3)		200,000		212,000
Credit Suisse Group AG FRS 6.25% due 12/18/2024(3)		225,000		212,906
Societe Generale SA FRS 8.25% due 11/29/2018(3)		200,000		202,742
				627,648
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)(4)		8,000		1
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		65,000		98,150
Total Preferred Securities/Capital Securities (cost $1,285,248)				1,158,789
ASSET BACKED SECURITIES — 13.2%
Diversified Financial Services — 13.2%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.70% due 01/25/2037(5)		60,894		55,491

44

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020	$	8,000	$	8,076
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.16% due 07/27/2026*(6)		250,000		250,131
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.55% due 04/20/2023*(6)		158,724		157,791
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.10% due 10/25/2034(4)		11,094		10,501
Atrium XI FRS Series 11-A, Class B 2.86% due 10/23/2025*(6)		250,000		249,323
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.94% due 02/10/2051(7)		88,983		90,781
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(7)		200,000		212,686
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.88% due 02/25/2036(5)		135,231		122,073
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(7)		62,986		64,716
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.91% due 06/11/2040(7)		32,072		32,570
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		12,775		12,524
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.20% due 04/27/2027*(6)		250,000		250,205
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 3.13% due 10/15/2026*(6)		250,000		249,317
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 2.17% due 04/17/2026*(6)		250,000		249,718
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.31% due 05/24/2026*(6)		250,000		249,734
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(7)		101,000		110,674

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7)	$	65,000	$	72,194
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.33% due 12/10/2049(7)		28,797		29,696
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(5)		72,703		69,901
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(7)		58,218		58,467
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(7)		94,031		96,394
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7)		90,000		94,942
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7)		105,000		111,957
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7)		125,267		135,153
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7)		123,000		135,534
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7)		60,000		66,425
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(7)		63,887		63,981
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.30% due 12/10/2049(7)		72,292		74,381
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		47,918		42,835
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(5)		2,631		2,368
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(7)		169		169
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.03% due 06/15/2057(7)(8)		1,031,426		55,324
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(4)		45,127		46,407

45

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*	$	67,384	$	67,474
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.74% due 05/25/2035(5)		119,261		107,474
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		16,041		16,047
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		113,989		114,151
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		2,511		2,512
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		155,000		156,115
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,004
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		40,000		40,015
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		12,000		12,032
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 2.26% due 01/24/2027*(6)		250,000		250,619
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7)		110,000		114,103
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7)		30,000		36,215
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(7)		90,000		96,303
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(7)		120,000		132,117
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7)		115,000		127,299
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.63% due 03/25/2037(4)		210,689		113,876
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 2.89% due 04/25/2036(5)		10,384		8,660
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.95% due 01/25/2036(5)		49,574		46,040

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.99% due 03/25/2047(5)	$	33,493	$	27,645
GSR Mtg. Loan Trust VRS Series 2005-AR2, Class 1A2 3.04% due 04/25/2035(5)		46,864		44,779
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		135,000		140,704
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(7)		160,000		159,972
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.07% due 05/25/2035(5)		72,024		64,713
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(7)		97,441		104,904
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7)		64,000		71,570
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(7)		46,328		46,335
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(7)		71,351		72,368
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(7)		76,293		78,248
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(7)		106,000		111,591
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7)		60,000		65,477
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(7)		27,107		27,331
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(7)		75,041		75,958
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.29% due 04/15/2041(7)		97,979		102,233
LSTAR Securities Investment Trust FRS Series 2015-4, Class A1 2.52% due 04/01/2020*(5)		74,883		73,947

46

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment Trust FRS Series 2015-2, Class A 2.52% due 01/01/2020*(5)	$	81,992	$	81,286
LSTAR Securities Investment Trust FRS Series 2015-9, Class A1 2.52% due 10/01/2020*(5)		129,953		127,983
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.99% due 10/23/2025*(6)		250,000		249,693
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.65% due 02/25/2035(5)		55,232		55,213
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.85% due 12/25/2034(5)		34,335		34,244
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(7)		75,256		75,620
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(7)		43,775		45,114
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(7)		60,740		61,755
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.30% due 12/15/2047(7)(8)		291,635		17,270
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7)		20,000		22,358
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(7)		100,000		105,932
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(7)		95,000		96,034
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(7)		47,846		49,198
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.48% due 01/11/2043(7)		44,520		46,599
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		44,004		38,214
MortgageIT Trust FRS Series 2005-4, Class A1 0.81% due 10/25/2035(5)		167,782		153,253

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 2.24% due 08/04/2025*(6)	$	250,000	$	250,533
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/25/2035*(5)		114,000		118,421
Nomura Asset Acceptance Corp Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.81% due 06/25/2036(5)		122,212		91,609
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)		16,280		16,352
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		370,000		371,009
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.37% due 02/15/2026*(6)		250,000		250,663
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.21% due 04/17/2027*(6)		215,000		215,317
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 2.23% due 11/20/2023*(6)		200,000		200,693
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		135,000		138,950
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.63% due 02/25/2037(4)		41,120		24,215
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.23% due 04/17/2026*(6)		250,000		250,564
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.21% due 04/30/2027*(6)		250,000		249,695
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.19% due 04/15/2027*(6)		250,000		249,812
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(4)(9)		195,780		104,458
RFMSI Series Trust VRS Series 2005-SA3, Class 1A 3.25% due 08/25/2035(5)		120,629		89,444
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		2,840		2,817
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.66% due 05/25/2037(4)		97,962		75,953
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 2.87% due 02/20/2047(5)		91,881		78,434

47

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.21% due 04/15/2027*(6)	$	250,000	$	250,493
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.78% due 11/25/2036(4)		160,000		112,250
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(4)		51,723		51,891
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 08/25/2055*(5)		100,564		100,519
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.20% due 04/20/2027*(6)		250,000		250,500
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.16% due 04/18/2027*(6)		250,000		250,098
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 3.07% due 10/14/2026*(6)		250,000		249,294
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.19% due 11/25/2046(5)		115,416		102,659
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.34% due 09/15/2057(7)(8)		994,627		66,184
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7)		65,000		71,161
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.86% due 01/25/2035(5)		105,144		104,955
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.88% due 03/25/2035(5)		76,435		77,071
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.93% due 11/25/2034(5)		2,737		2,736
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 3.03% due 10/25/2036(5)		50,279		47,545
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		50,030		50,046
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7)		120,000		132,861

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7)	$	110,000	$	121,712
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7)		50,111		55,768
Total Asset Backed Securities (cost $12,295,384)				12,383,718
U.S. CORPORATE BONDS & NOTES — 12.6%
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		10,000		10,236
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		20,000		20,645
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		15,000		17,822
				48,703
Apparel Manufacturers — 0.1%
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026*		10,000		10,225
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		45,000		47,053
				57,278
Applications Software — 0.2%
Microsoft Corp. Senior Notes 1.55% due 08/08/2021		55,000		54,775
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		25,000		25,021
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		35,000		35,427
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		30,000		30,394
				145,617
Auto-Cars/Light Trucks — 0.4%
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		15,000		19,840
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		11,021
General Motors Co. Senior Notes 6.60% due 04/01/2036		60,000		72,191
General Motors Co. Senior Notes 6.75% due 04/01/2046		5,000		6,268

48

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018	$	50,000	$	50,361
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		80,000		82,416
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		110,000		112,975
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		30,000		32,949
				388,021
Banks-Commercial — 0.3%
Capital One NA Senior Notes 1.65% due 02/05/2018		250,000		250,293
Banks-Super Regional — 0.4%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		10,000		10,433
PNC Funding Corp. Sub. Notes 5.63% due 02/01/2017		60,000		60,863
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		75,000		75,380
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		25,000		25,235
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		50,000		50,903
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		60,000		66,061
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		75,000		89,595
				378,470
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		30,000		29,962
Brewery — 0.8%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		45,000		45,435
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		10,000		10,171
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		210,000		221,657

Security Description	Principal Amount(14)		Value (Note 2)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026	$	115,000	$	123,510
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		65,000		74,735
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		195,000		232,007
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		20,000		20,395
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		40,000		40,037
Molson Coors Brewing Co. Company Guar. Notes 4.20% due 07/15/2046		20,000		20,839
				788,786
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		50,000		53,750
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		60,000		64,200
Building Products-Cement — 0.0%
Eagle Materials, Inc. Company Guar. Notes 4.50% due 08/01/2026		10,000		10,134
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		15,000		17,100
Building-Heavy Construction — 0.2%
SBA Tower Trust Mtg. Notes 2.90% due 10/15/2044*		80,000		81,124
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		85,000		85,285
				166,409
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		60,000		62,550
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		25,000		26,562
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,575
				94,687

49

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV — 1.1%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022	$	46,000	$	48,070
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020*		25,000		26,130
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022*		40,000		43,163
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025*		85,000		93,760
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045*		135,000		163,259
Comcast Corp. Company Guar. Notes 1.63% due 01/15/2022		20,000		19,833
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		75,000		77,714
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		40,000		38,884
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		55,000		61,087
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		5,000		5,883
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		35,000		35,243
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		70,000		72,136
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,890
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		60,000		64,800
Time Warner Cable, Inc. Senior Sec. Notes 4.50% due 09/15/2042		35,000		33,399

Security Description	Principal Amount(14)		Value (Note 2)
Cable/Satellite TV (continued)
Time Warner Cable, Inc. Senior Sec. Notes 5.88% due 11/15/2040	$	40,000	$	44,420
Time Warner Cable, Inc. Senior Sec. Notes 6.75% due 07/01/2018		45,000		48,895
Time Warner Cable, Inc. Senior Sec. Notes 8.75% due 02/14/2019		90,000		103,793
				984,359
Casino Hotels — 0.0%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.38% due 03/15/2022		35,000		36,269
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		20,000		21,450
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		20,000		22,075
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		40,000		39,000
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		20,000		20,550
				103,075
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		25,000		25,562
Computers — 0.2%
Apple, Inc. Senior Notes 1.55% due 08/04/2021		55,000		54,905
Apple, Inc. Senior Notes 3.45% due 02/09/2045		30,000		28,664
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		10,228
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 3.48% due 06/01/2019*		20,000		20,569
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 4.42% due 06/15/2021*		15,000		15,677
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		10,000		11,973
				142,016

50

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*	$	15,000	$	16,125
Containers-Paper/Plastic — 0.0%
Crown Americas LLC/Crown Americas Capital Corp. V Company Guar. Notes 4.25% due 09/30/2026*		5,000		5,006
Graphic Packaging International, Inc. Company Guar. Notes 4.13% due 08/15/2024		5,000		5,038
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.13% due 07/15/2023*		25,000		25,812
				35,856
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		30,000		30,900
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,586
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		5,000		5,338
				15,924
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,924
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		35,000		35,845
				45,769
Diversified Banking Institutions — 2.3%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		50,000		50,277
Bank of America Corp. Senior Notes 2.63% due 04/19/2021		40,000		40,636
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		30,000		31,056
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		40,000		43,243
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		105,000		112,085
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		10,000		11,772

Security Description	Principal Amount(14)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 6.88% due 04/25/2018	$	55,000	$	59,337
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		150,000		157,318
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		115,000		120,344
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		40,000		45,146
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		15,000		17,107
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		45,000		44,896
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		55,000		55,608
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		45,000		45,736
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		75,000		76,824
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		20,000		20,513
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		20,000		20,684
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		65,000		70,883
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		27,000		29,898
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		17,000		21,422
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		45,000		58,841
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		50,000		61,788
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		46,000		58,572
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		30,000		30,065
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		100,000		101,129

51

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023	$	25,000	$	25,258
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		16,782
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		40,000		43,358
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		45,000		48,282
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		30,000		32,941
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		19,203
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		30,000		33,420
Morgan Stanley Senior Notes 1.88% due 01/05/2018		115,000		115,470
Morgan Stanley Senior Notes 2.50% due 04/21/2021		45,000		45,563
Morgan Stanley Senior Notes 2.65% due 01/27/2020		20,000		20,437
Morgan Stanley Senior Notes 3.13% due 07/27/2026		105,000		105,628
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		41,546
Morgan Stanley Senior Notes 4.00% due 07/23/2025		15,000		16,130
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		38,000		40,569
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		5,000		5,515
Morgan Stanley Senior Notes 6.63% due 04/01/2018		125,000		133,935
				2,129,217
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021*		5,000		5,117
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046*		10,000		10,732
				15,849

Security Description	Principal Amount(14)		Value (Note 2)
Electric-Integrated — 0.4%
AES Corp. Senior Notes 4.88% due 05/15/2023	$	3,000	$	3,045
AES Corp. Senior Notes 5.50% due 03/15/2024		5,000		5,203
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		58,875
Dominion Resources, Inc. Senior Notes 2.85% due 08/15/2026		25,000		24,866
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		25,000		24,976
Duke Energy Corp. Senior Notes 2.65% due 09/01/2026		10,000		9,813
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		40,000		39,004
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		5,100
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		51,844
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		15,000		15,059
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		67,131
Southern Co. Senior Notes 1.85% due 07/01/2019		30,000		30,236
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,332
Southern Co. Senior Notes 4.40% due 07/01/2046		15,000		16,185
				361,669
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		12,670
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 4.10% due 05/19/2046		20,000		21,406
Electronic Measurement Instruments — 0.0%
Fortive Corp. Company Guar. Notes 2.35% due 06/15/2021*		25,000		25,308

52

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 1.90% due 09/15/2021	$	75,000	$	75,190
Finance-Commercial — 0.1%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		60,000		63,525
Finance-Consumer Loans — 0.2%
Navient Corp. Senior Notes 5.50% due 01/15/2019		15,000		15,225
Navient Corp. Senior Notes 6.63% due 07/26/2021		10,000		10,075
Navient Corp. Senior Notes 7.25% due 09/25/2023		40,000		40,000
Navient Corp. Senior Notes 8.45% due 06/15/2018		45,000		48,375
Synchrony Financial Senior Notes 2.60% due 01/15/2019		60,000		60,707
				174,382
Finance-Credit Card — 0.1%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		35,000		36,691
Visa, Inc. Senior Notes 4.30% due 12/14/2045		50,000		57,784
				94,475
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		40,000		42,956
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(4)		10,000		755
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(4)		11,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(4)		15,000		2
				43,714
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		35,000		36,361
Nasdaq, Inc. Senior Notes 3.85% due 06/30/2026		10,000		10,464
				46,825

Security Description	Principal Amount(14)		Value (Note 2)
Financial Guarantee Insurance — 0.0%
Radian Group, Inc. Senior Notes 7.00% due 03/15/2021	$	5,000	$	5,606
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018		10,000		10,092
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		35,000		36,272
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		10,000		10,580
				56,944
Food-Retail — 0.0%
Kroger Co. Senior Notes 1.50% due 09/30/2019		15,000		14,975
Kroger Co. Senior Notes 2.65% due 10/15/2026		20,000		19,851
Kroger Co. Senior Notes 3.88% due 10/15/2046		5,000		5,031
				39,857
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		35,000		35,750
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		40,900
Gas-Distribution — 0.0%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		20,000		21,200
Southern Co. Gas Capital Corp. Company Guar. Notes 2.45% due 10/01/2023		10,000		10,056
				31,256
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		40,000		41,100
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./ KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		25,000		27,062
Hotels/Motels — 0.0%
Hilton Domestic Operating Co., Inc. Senior Notes 4.25% due 09/01/2024*		10,000		10,200

53

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*	$	2,000	$	2,112
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		4,000		4,190
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026*		20,000		20,350
				26,652
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		15,844
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		10,000		9,925
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		35,000		55,078
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,694
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		25,000		26,125
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		40,000		41,371
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		15,000		16,998
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		15,000		17,625
				75,994
Medical Products — 0.1%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		85,000		85,043
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		15,000		15,811
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		5,000		5,053
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		26,547
				47,411

Security Description	Principal Amount(14)		Value (Note 2)
Medical-Drugs — 0.1%
AbbVie, Inc. Senior Notes 3.20% due 05/14/2026	$	20,000	$	20,247
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		5,000		5,253
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		65,000		67,007
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		10,000		10,275
				102,782
Medical-HMO — 0.3%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		15,000		15,317
Aetna, Inc. Senior Notes 4.25% due 06/15/2036		5,000		5,179
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,196
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		26,321
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		26,963
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		11,599
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		35,000		35,233
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		35,000		37,583
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		60,399
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		15,000		17,988
				251,778
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		20,000		19,850
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		20,000		20,675
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,513

54

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals (continued)
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023	$	10,000	$	10,650
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		35,000		38,762
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		20,000		20,750
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		60,000		63,450
				179,650
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		25,000		25,236
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		10,000		10,450
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 4.55% due 11/14/2024		15,000		13,594
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043		10,000		8,025
				21,619
Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		70,000		88,536
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		35,000		45,884
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		40,000		56,711
Viacom, Inc. Senior Notes 3.45% due 10/04/2026		5,000		4,997
				196,128
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 1.40% due 09/20/2019		65,000		65,057
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		40,000		40,927
				105,984
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp. Senior Notes 4.85% due 03/15/2021		20,000		21,470

Security Description	Principal Amount(14)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026	$	40,000	$	45,202
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		45,000		54,754
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		10,000		11,064
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		5,094
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		15,000		15,469
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		60,000		67,630
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		15,000		14,962
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		75,000		74,464
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		10,000		12,388
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		20,000		21,844
Hess Corp. Senior Notes 4.30% due 04/01/2027		30,000		30,234
Hess Corp. Senior Notes 5.60% due 02/15/2041		20,000		19,935
Hess Corp. Senior Notes 5.80% due 04/01/2047		30,000		30,695
Hess Corp. Senior Notes 6.00% due 01/15/2040		20,000		20,437
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		60,000		72,128
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		15,000		14,702
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		30,000		27,785
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		5,000		4,748
Pioneer Natural Resources Co. Senior Notes 3.95% due 07/15/2022		5,000		5,321

55

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026	$	65,000	$	70,493
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,713
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		9,981
				655,513
Oil Refining & Marketing — 0.1%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		5,000		5,150
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		45,000		44,700
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		15,000		14,806
				64,656
Paper & Related Products — 0.0%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		4,005
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		25,000		25,469
				29,474
Pipelines — 0.8%
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		5,560
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		25,000		23,875
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		70,000		76,825
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		85,000		83,653
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		80,000		80,806
Enterprise Products Operating LLC Company Guar. Notes 3.95% due 02/15/2027		15,000		15,718
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		10,000		10,789
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		10,000		11,348

Security Description	Principal Amount(14)		Value (Note 2)
Pipelines (continued)
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046	$	50,000	$	47,612
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		10,000		11,393
MPLX LP Company Guar. Notes 4.50% due 07/15/2023		6,000		6,117
MPLX LP Company Guar. Notes 4.88% due 12/01/2024		10,000		10,343
MPLX LP Company Guar. Notes 4.88% due 06/01/2025		10,000		10,333
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		35,000		33,171
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 3.65% due 06/01/2022		45,000		45,615
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		25,000		25,969
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019		15,000		15,975
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		25,000		26,687
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		35,000		34,890
Williams Partners LP Senior Notes 3.60% due 03/15/2022		110,000		111,911
Williams Partners LP Senior Notes 4.00% due 11/15/2021		20,000		20,699
Williams Partners LP Senior Notes 5.25% due 03/15/2020		20,000		21,652
				730,941
Real Estate Investment Trusts — 0.2%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		75,000		77,928
Corrections Corp of America Company Guar. Notes 4.13% due 04/01/2020		10,000		9,400
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		5,000		5,233

56

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Crown Castle International Corp. Senior Notes 3.70% due 06/15/2026	$	20,000	$	20,868
HCP, Inc. Senior Notes 6.00% due 01/30/2017		65,000		65,929
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		10,000		10,535
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		36,000		39,969
				229,862
Real Estate Operations & Development — 0.1%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		75,000		79,295
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 2.60% due 12/01/2021*		40,000		40,771
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		25,000		34,096
United Rentals North America, Inc. Sec. Notes 4.63% due 07/15/2023		15,000		15,375
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		20,400
				110,642
Retail-Auto Parts — 0.0%
AutoZone, Inc. Senior Notes 1.63% due 04/21/2019		15,000		15,051
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		25,000		25,078
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		35,000		34,203
Lowe's Cos., Inc. Senior Notes 2.50% due 04/15/2026		55,000		55,201
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		45,000		46,493
				135,897

Security Description	Principal Amount(14)		Value (Note 2)
Retail-Drug Store — 0.3%
CVS Health Corp. Senior Notes 2.13% due 06/01/2021	$	20,000	$	20,203
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		75,000		77,704
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		18,000		19,595
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		55,000		67,300
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		8,474		9,853
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		11,453		13,542
Walgreens Boots Alliance, Inc. Senior Notes 2.60% due 06/01/2021		15,000		15,351
Walgreens Boots Alliance, Inc. Senior Notes 3.10% due 06/01/2023		15,000		15,472
				239,020
Retail-Restaurants — 0.0%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		10,000		10,575
Semiconductor Equipment — 0.0%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		35,000		35,925
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		10,387
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		10,000		10,475
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		15,000		14,925
				35,787
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		20,600
Telephone-Integrated — 0.6%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		50,000		50,248
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		25,000		25,146

57

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 3.60% due 02/17/2023	$	40,000	$	42,164
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		25,000		26,777
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		25,000		26,267
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		110,000		115,110
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		10,000		10,600
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		74,000		77,101
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		10,000		10,582
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		100,000		105,193
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		35,000		39,202
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		9,000		9,938
				538,328
Television — 0.1%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		15,000		15,909
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		70,000		71,838
				87,747
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026		15,000		15,166
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		15,000		15,562
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		38,000		39,979
				70,707
Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023		15,000		15,282
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		30,000		30,768
				46,050

Security Description	Principal Amount(14)		Value (Note 2)
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026	$	15,000	$	15,820
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		20,000		22,216
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		35,000		35,690
				73,726
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.50% due 06/15/2019*		5,000		5,073
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		105,000		117,169
				122,242
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,612
Total U.S. Corporate Bonds & Notes (cost $11,359,608)				11,901,291
FOREIGN CORPORATE BONDS & NOTES — 2.2%
Aerospace/Defense — 0.0%
BAE Systems PLC Senior Notes 4.75% due 10/11/2021*		10,000		11,120
Banks-Commercial — 0.5%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		50,000		53,273
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		100,000		104,566
BPCE SA Sub. Notes 5.15% due 07/21/2024*		200,000		210,370
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		47,000		51,374
				419,583
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		30,000		31,875
Diversified Banking Institutions — 0.3%
HSBC Holdings PLC Senior Notes 3.60% due 05/25/2023		200,000		206,559
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		25,000		26,491
				233,050

58

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Minerals — 0.0%
Teck Resources, Ltd. Company Guar. Notes 8.50% due 06/01/2024*	$	10,000	$	11,450
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		40,000		43,288
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021*		10,000		9,963
Fortis, Inc. Senior Notes 3.06% due 10/04/2026*		10,000		9,958
				19,921
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,388
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,285
				8,673
Medical-Drugs — 0.2%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		40,000		40,051
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		75,000		74,830
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		60,000		59,774
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		10,000		10,046
				184,701
Medical-Generic Drugs — 0.3%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		135,000		136,392
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		95,000		98,089
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		25,000		25,551
Mylan NV Company Guar. Notes 3.15% due 06/15/2021*		25,000		25,469
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		25,000		26,110
				311,611

Security Description	Principal Amount(14)		Value (Note 2)
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025	$	15,000	$	16,138
Oil Companies-Exploration & Production — 0.0%
Encana Corp. Senior Notes 3.90% due 11/15/2021		20,000		20,040
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,747
				24,787
Oil Companies-Integrated — 0.5%
BP Capital Markets PLC Company Guar. Notes 2.11% due 09/16/2021		15,000		15,087
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		25,000		25,677
BP Capital Markets PLC Company Guar. Notes 2.75% due 05/10/2023		40,000		40,668
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		75,000		71,316
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		10,000		9,894
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		45,000		40,408
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		20,000		21,468
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		25,000		26,363
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		60,000		52,014
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		30,000		32,703
Shell International Finance BV Company Guar. Notes 3.25% due 05/11/2025		40,000		42,139
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		35,000		37,779
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		5,000		5,434
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		35,000		36,087
				457,037

59

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*	$	25,000	$	25,312
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		20,000		20,450
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		40,000		43,600
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		115,000		119,083
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		25,000		32,686
Wireless Equipment — 0.0%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		25,000		27,125
Total Foreign Corporate Bonds & Notes (cost $1,993,742)				2,041,490
MUNICIPAL BONDS & NOTES — 0.6%
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		5,000		6,663
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		70,000		91,961
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(4)		175,000		66,500
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(4)		85,000		32,300
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(4)		25,000		9,500
State of California General Obligation Bonds 7.35% due 11/01/2039		10,000		15,295

Security Description	Principal Amount(14)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of California General Obligation Bonds 7.55% due 04/01/2039	$	60,000	$	96,085
State of California General Obligation Bonds 7.63% due 03/01/2040		65,000		102,878
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		5,000		4,820
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		55,000		57,681
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		75,000		87,745
Total Municipal Bonds & Notes (cost $549,712)				571,428
U.S. GOVERNMENT AGENCIES — 17.3%
Federal Home Loan Mtg. Corp. — 3.0%
2.49% due 02/01/2037 FRS		3,486		3,626
2.50% due 01/01/2028		6,750		7,010
2.50% due 04/01/2028		22,728		23,608
3.00% due 08/01/2027		9,698		10,191
3.00% due 10/01/2042		17,099		18,004
3.00% due 11/01/2042		13,905		14,486
3.00% due 02/01/2043		36,532		38,042
3.00% due 08/01/2043		166,884		174,381
3.00% due October TBA		300,000		311,742
3.50% due 03/01/2042		8,536		9,036
3.50% due 08/01/2042		48,053		50,859
3.50% due 09/01/2043		34,393		36,651
3.50% due October TBA		700,000		738,123
4.00% due 03/01/2023		5,989		6,173
4.00% due 10/01/2043		42,058		45,144
4.00% due October TBA		500,000		535,723
4.50% due 01/01/2039		1,431		1,566
5.00% due 05/01/2020		70,547		72,557
5.00% due 05/01/2034		23,109		25,757
5.50% due 07/01/2034		6,174		7,023
5.50% due 05/01/2037		3,114		3,525
6.00% due 08/01/2026		20,355		23,219
6.50% due 05/01/2029		1,515		1,783
7.50% due 08/01/2023		61		62
7.50% due 08/01/2025		1,289		1,294
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2013-K502, Class B
2.72% due 03/25/2045*(7)		100,000		100,189
Series 2014-K503, Class B 3.08% due 10/25/2047*(7)		70,000		70,913
Series 2012-K706, Class B 4.17% due 11/25/2044*(7)		60,000		62,373
Series 2010-K8, Class B 5.42% due 09/25/2043*(7)		80,000		87,672

60

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(14)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4)(5)	$	5,114	$	5,196
Series 1577, Class PK 6.50% due 09/15/2023(5)		4,042		4,406
Series 1226, Class Z 7.75% due 03/15/2022(5)		424		449
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series DNA3, Class M2 3.38% due 04/25/2028(5)		280,000		288,642
				2,779,425
Federal National Mtg. Assoc. — 11.6%
Federal National Mtg. Assoc. 2.50% due 02/01/2043		81,928		83,033
2.50% due 03/01/2043		162,208		164,397
2.50% due October TBA		100,000		103,575
2.62% due 05/01/2037 FRS		5,247		5,483
2.64% due 03/01/2027		29,186		30,387
2.64% due 10/01/2040 FRS		5,197		5,483
2.78% due 03/01/2027		63,000		66,372
2.97% due 06/01/2027		110,000		117,422
2.97% due 06/01/2030		124,000		130,722
3.00% due 12/01/2027		12,572		13,214
3.00% due 01/01/2028		14,590		15,323
3.00% due October TBA		2,100,000		2,188,477
3.50% due 08/01/2026		22,063		23,277
3.50% due 09/01/2026		12,675		13,410
3.50% due 10/01/2028		76,521		80,904
3.50% due October TBA		5,200,000		5,486,812
4.00% due 11/01/2040		19,086		20,551
4.00% due 12/01/2040		47,583		51,261
4.00% due 11/01/2041		6,188		6,669
4.00% due 01/01/2042		16,248		17,510
4.00% due 11/01/2043		25,965		27,894
4.00% due 12/01/2043		14,850		16,332
4.00% due October TBA		600,000		644,391
4.50% due 01/01/2039		4,125		4,518
4.50% due 06/01/2039		42,844		46,932
4.50% due 09/01/2039		10,572		11,601
4.50% due 05/01/2041		11,279		12,398
4.50% due October TBA		600,000		657,079
5.00% due 03/01/2018		1,027		1,055
5.00% due 06/01/2019		877		905
5.00% due 03/01/2020		3,623		3,814
5.00% due 05/01/2035		2,979		3,306
5.00% due 07/01/2040		62,545		69,481
5.00% due October TBA 5.00% due 10/13/2046		300,000		333,217
5.50% due 05/01/2020		19,989		20,836
5.50% due 06/01/2020		15,822		16,412
5.50% due 12/01/2029		2,962		3,334
5.50% due 06/01/2035		189,714		216,240
5.50% due 06/01/2036		85,314		96,974
5.50% due 08/01/2037		15,779		17,861
5.50% due 06/01/2038		13,145		14,931

Security Description	Principal Amount(14)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
6.00% due 06/01/2017	$	400	$	404
6.00% due 06/01/2021		45,411		47,879
6.00% due 12/01/2033		10,424		12,123
6.00% due 05/01/2034		8,690		10,056
6.00% due 08/01/2034		1,855		2,143
6.00% due 11/01/2038		2,604		2,986
7.00% due 06/01/2037		19,842		22,229
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		9,382		9,484
				10,951,097
Government National Mtg. Assoc. — 2.7%
3.00% due October TBA		1,000,000		1,047,578
3.50% due October TBA		400,000		424,844
4.00% due 07/15/2041		43,495		46,813
4.00% due 08/15/2041		13,228		14,266
4.00% due 10/15/2041		29,872		32,109
4.00% due October TBA		600,000		644,894
4.50% due 06/15/2041		209,284		231,478
6.00% due 11/15/2028		25,170		28,879
7.00% due 07/15/2033		11,274		13,491
8.50% due 11/15/2017		36		36
9.00% due 11/15/2021		140		155
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(5)		971		1,132
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		6,541		7,577
				2,493,252
Tennessee Valley Authority — 0.0%
Tennessee Valley Authority 1.75% due 10/15/2018		10,000		10,169
Total U.S. Government Agencies (cost $16,055,517)				16,233,943
U.S. GOVERNMENT TREASURIES — 4.9%
United States Treasury Bonds — 0.7%
1.50% due 08/15/2026		424,000		419,876
2.50% due 02/15/2045		5,000		5,167
3.00% due 05/15/2045(10)		58,000		66,129
4.38% due 11/15/2039(11)		99,200		138,322
				629,494
United States Treasury Notes — 4.2%
0.13% due 07/15/2024 TIPS(10)(12)		988,202		1,002,628
0.25% due 01/15/2025 TIPS(12)		930,720		947,968
1.13% due 08/31/2021		763,000		762,225
1.13% due 09/30/2021		801,000		799,936
1.63% due 05/15/2026		468,000		468,622
				3,981,379
Total U.S. Government Treasuries (cost $4,476,428)				4,610,873

61

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares/ Principal Amount(14)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 0.9%
Central Bank — 0.1%
Bank of Thailand Notes 1.49% due 02/23/2018	THB	3,405,000	$	98,152
Sovereign — 0.8%
Brazil Notas do Tesouro Nacional Notes 6.00% due 05/15/2017(12)	BRL	693,068		217,628
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(12)	BRL	278,989		86,600
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(12)	UYU	1,200,386		34,270
Republic of Argentina Senior Notes 2.26% due 12/31/2038(9)	EUR	60,000		44,215
Republic of Colombia 4.25% due 05/17/2017(12)	COP	170,078,790		59,246
Republic of Indonesia Senior Notes 8.25% due 07/15/2021	IDR	839,000,000		67,822
Republic of Indonesia Senior Notes 8.38% due 03/15/2024	IDR	872,000,000		72,260
Republic of Turkey Bonds 10.60% due 02/11/2026	TRY	210,000		74,602
United Mexican States Senior Bonds 4.75% due 03/08/2044		10,000		10,363
United Mexican States Senior Notes 5.75% due 10/12/2110		56,000		59,220
				726,226
Total Foreign Government Obligations (cost $763,906)				824,378
OPTIONS — PURCHASED†(4)(13) — 0.0%
Put Options – Purchased		458,000		863
Put Options – Purchased	CNH	1,266,000		2,481
Total Options — Purchased (cost $7,211)				3,344
Total Long-Term Investment Securities (cost $95,489,825)				104,264,626
SHORT-TERM INVESTMENT SECURITIES — 1.3%
Foreign Government Obligations — 0.7%
Government of Japan zero coupon due 01/11/2017	JPY	40,000,000		394,730
Government of Romania 0.49% due 06/26/2017	RON	625,000		157,274
Government of Romania 0.51% due 08/28/2017	RON	305,000		76,633
				628,637

Security Description	Principal Amount(14)			Value (Note 2)
Time Deposits — 0.6%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/03/16	$	586,000		$	586,000
Total Short-Term Investment Securities (cost $1,197,799)					1,214,637
REPURCHASE AGREEMENTS — 1.5%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $188,000 and collateralized by $190,000 of United States Treasury Notes, bearing interest at 1.50%, due 11/30/2019 and having an approximate value of $194,513		188,000			188,000
Bank of America Securities LLC Joint Repurchase Agreement (15)		270,000			270,000
Barclays Capital, Inc. Joint Repurchase Agreement (15)		135,000			135,000
BNP Paribas SA Joint Repurchase Agreement (15)		270,000			270,000
Deutsche Bank AG Joint Repurchase Agreement (15)		520,000			520,000
RBS Securities, Inc. Joint Repurchase Agreement (15)		65,000			65,000
Total Repurchase Agreements (cost $1,448,000)					1,448,000
TOTAL INVESTMENTS (cost $98,135,624)(16)		113.7	%		106,927,263
Liabilities in excess of other assets		(13.7	)		(12,889,767	)
NET ASSETS		100.0	%	$	94,037,496

†  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, 2016, the aggregate value of these securities was $10,157,225 representing 10.8% 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)  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

62

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

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, 2016, the 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.	03/05/2014		4	$	0	$	4,840	$	1,209.97		0.01	%

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

(4)  Illiquid security. At September 30, 2016, the aggregate value of these securities was $661,235 representing 0.7% of net assets.

(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. The rate reflected is as of September 30, 2016.

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

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

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

(13)  Options Purchased

Over the Counter Put Options — Purchased

Issue	Expiration Month	Strike Price			Number of Contracts		Premiums Paid		Value at September 30, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016	$	47.81			229,000	$	2,040	$	363	$	(1,677	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.79			115,000		846		173		(673	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.91			114,000		952		327		(625	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.95	CNH		422,000		1,142		730		(412	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.93	CNH		422,000		1,166		700		(466	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		15.14	CNH		422,000		1,065		1,051		(14	)
							$	7,211	$	3,344	$	(3,867	)

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

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

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

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

CNH — Yuan Renminbi Offshore

COP — Colombian Peso

CVR — Contingent Value Rights

DAC — Designated Activity Company

EUR — Euro Currency

GBP — Pound Sterling

IDR — Indonesian Rupiah

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Lue

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

63

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	6	Long	90 Day Eurodollar	December 2017	$	1,483,529	$	1,484,025	$	496
	6	Short	90 Day Eurodollar	September 2018		1,482,104		1,482,750		(646	)
	3	Long	Russell 2000 Mini Index	December 2016		374,476		374,490		14
	62	Short	U.S. Treasury 10 Year Notes	December 2016		8,137,984		8,129,750		8,234
	4	Short	U.S. Treasury 2 Year Notes	December 2016		874,250		873,875		375
	54	Long	U.S. Treasury 5 Year Notes	December 2016		6,560,578		6,561,844		1,266
	9	Long	U.S. Treasury Ultra Bonds	December 2016		1,681,661		1,654,875		(26,786	)
									$	(17,047	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	35,000	USD	39,368	12/21/2016	$	—	$	(91	)
	EUR	120,000	USD	129,009	03/15/2017		—		(6,812	)
	TRY	115,000	USD	37,414	12/21/2016		—		(313	)
	USD	96,131	EUR	85,000	03/15/2017		76		—
							76		(7,216	)
BNP Paribas SA	RON	115,000	USD	29,318	08/28/2017		60		—
Citibank N.A.	IDR	624,500,000	USD	48,187	10/21/2016		301		—
	JPY	40,000,000	USD	386,380	01/11/2017		—		(9,910	)
	RON	625,000	USD	156,037	06/26/2017		—		(2,824	)
	USD	47,745	IDR	624,500,000	10/21/2016		141		—
							442		(12,734	)
Commonwealth Bank of Australia Sydney	USD	40,047	EUR	35,000	03/15/2017		—		(432	)
Credit Suisse AG	USD	47,719	RUB	3,055,000	10/21/2016		750		—
Goldman Sachs International	BRL	290,000	USD	87,087	12/02/2016		—		(602	)
	USD	46,972	COP	137,650,000	10/21/2016		612		—
	USD	95,573	ZAR	1,300,000	10/21/2016		—		(1,144	)
	USD	56,841	ZAR	810,000	12/21/2016		1,301		—
	ZAR	810,000	USD	56,024	12/21/2016		—		(2,117	)
							1,913		(3,863	)
JPMorgan Chase Bank	RON	190,000	USD	48,494	08/28/2017		155		—
	RUB	6,110,000	USD	96,380	10/21/2016		—		(559	)
	USD	47,660	RUB	3,055,000	10/21/2016		809		—
							964		(559	)
Morgan Stanley and Co. Inc.	BRL	695,000	USD	209,356	12/02/2016		—		(795	)
Standard Chartered Bank	COP	275,300,000	USD	95,021	10/21/2016		—		(146	)
	IDR	1,881,611,000	USD	140,913	12/21/2016		—		(2,264	)
	THB	3,418,000	USD	97,839	12/21/2016		—		(702	)
							—		(3,112	)
State Street Bank and Trust Co.	COP	174,000,000	USD	57,953	12/21/2016		—		(1,599	)
	USD	47,572	COP	137,650,000	10/21/2016		11		—
							11		(1,599	)
UBS AG	EUR	286,000	USD	321,370	10/31/2016		—		(312	)
	GBP	100,000	USD	129,562	10/31/2016		—		(125	)
							—		(437	)
Net Unrealized Appreciation (Depreciation)						$	4,216	$	(30,747	)

64

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

BRL — Brazilian Real
COP — Colombian Peso
EUR — Euro Currency
GBP — Pound Sterling
IDR — Indonesian Rupiah
JPY — Japanese Yen
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	419	09/29/2026	1 Year USD-Federal Funds — H.15-OIS-COMPOUND		1.00	%	$	589	$	15

Over the Counter Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio			Payments Made by the Portfolio	Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
INR	5,110	09/12/2021		6.26	%	6 Month INR-MIBOR- OIS-COMPOUND	$	—	$	145

INR — Indian Rupee

OIS — Overnight Index Swap

MIBOR — Mumbai Interbank Offered Rate

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	2,656,448	$	—	$	0	$	2,656,448
Television		98,192		—		4,840		103,032
Other Industries		51,775,892		—		—		51,775,892
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		1		1
Other Industries		—		1,158,788		—		1,158,788
Asset Backed Securities		—		12,383,718		—		12,383,718
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		43,711		3		43,714
Other Industries		—		11,857,577		—		11,857,577
Foreign Corporate Bonds & Notes		—		2,041,490		—		2,041,490
Municipal Bonds & Notes		—		571,428		—		571,428
U.S. Government Agencies		—		16,233,943		—		16,233,943
U.S. Government Treasuries		—		4,610,873		—		4,610,873
Foreign Government Obligations		—		824,378		—		824,378
Options — Purchased		—		3,344		—		3,344
Short-Term Investment Securities		—		1,214,637		—		1,214,637
Repurchase Agreements		—		1,448,000		—		1,448,000
Total Investments at Value	$	54,530,532	$	52,391,887	$	4,844	$	106,927,263

65

Seasons Series Trust Multi-Managed Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:†
Futures Contracts	$	10,385	$	—	$	—	$	10,385
Forward Foreign Currency Contracts		—		4,216		—		4,216
Centrally Cleared Interest Rate Swap Contracts		—		15		—		15
Over the Counter Interest Rate Swap Contracts		—		145		—		145
Total Other Financial Instruments	$	10,385	$	4,376	$	—	$	14,761
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	27,432	$	—	$	—	$	27,432
Forward Foreign Currency Contracts		—		30,747		—		30,747
Total Other Financial Instruments	$	27,432	$	30,747	$	—	$	58,179

*  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, 2016 — (unaudited)

Industry Allocation*
Diversified Financial Services	22.3	%
Federal National Mtg. Assoc.	19.1
Diversified Banking Institutions	5.2
Federal Home Loan Mtg. Corp.	5.1
United States Treasury Notes	4.8
Government National Mtg. Assoc.	4.5
Repurchase Agreements	4.2
Medical-Drugs	2.9
Cable/Satellite TV	2.5
Sovereign	2.4
Medical-Biomedical/Gene	1.9
Applications Software	1.8
Web Portals/ISP	1.7
Oil Companies-Exploration & Production	1.5
Banks-Commercial	1.5
Computers	1.4
Brewery	1.4
Pipelines	1.3
United States Treasury Bonds	1.3
Finance-Credit Card	1.3
Real Estate Investment Trusts	1.2
E-Commerce/Products	1.1
Municipal Bonds & Notes	1.1
Telephone-Integrated	1.0
Commercial Services	1.0
Internet Content-Entertainment	0.9
Medical-HMO	0.9
Oil Companies-Integrated	0.8
Retail-Building Products	0.7
Tobacco	0.7
Auto-Cars/Light Trucks	0.7
Banks-Super Regional	0.7
Medical-Hospitals	0.7
Electric-Integrated	0.7
Aerospace/Defense	0.7
Enterprise Software/Service	0.6
Instruments-Controls	0.6
Medical-Generic Drugs	0.6
Cellular Telecom	0.6
Retail-Discount	0.5
Retail-Restaurants	0.5
Cosmetics & Toiletries	0.5
Electronic Connectors	0.5
Finance-Consumer Loans	0.5
Beverages-Non-alcoholic	0.5
E-Commerce/Services	0.5
Transport-Rail	0.5
Medical Instruments	0.4
Retail-Drug Store	0.4
Electronic Forms	0.4
Industrial Gases	0.4
Food-Retail	0.4
Computer Services	0.4
Multimedia	0.4
Containers-Metal/Glass	0.3
Electronic Components-Semiconductors	0.3
Entertainment Software	0.3
Athletic Footwear	0.3
Commercial Services-Finance	0.3
Airlines	0.3

Food-Confectionery	0.3	%
Food-Wholesale/Distribution	0.3
Building Products-Cement	0.3
Medical Information Systems	0.3
Apparel Manufacturers	0.3
Diversified Manufacturing Operations	0.3
Finance-Other Services	0.3
Containers-Paper/Plastic	0.3
Building-Heavy Construction	0.3
Insurance-Property/Casualty	0.3
Electronic Design Automation	0.3
Finance-Investment Banker/Broker	0.3
Chemicals-Diversified	0.2
Auto/Truck Parts & Equipment-Original	0.2
Recreational Vehicles	0.2
Consulting Services	0.2
Trucking/Leasing	0.2
Hotels/Motels	0.2
Metal Processors & Fabrication	0.2
Telecommunication Equipment	0.2
Cruise Lines	0.2
Retail-Apparel/Shoe	0.2
Retail-Auto Parts	0.2
Networking Products	0.2
Building Societies	0.2
Machinery-General Industrial	0.2
Rental Auto/Equipment	0.2
Central Bank	0.2
Pharmacy Services	0.2
Television	0.2
Machinery-Pumps	0.2
Building-Residential/Commercial	0.2
Medical Products	0.2
Retail-Gardening Products	0.2
Electronic Security Devices	0.2
Real Estate Operations & Development	0.2
Steel-Producers	0.2
Electronic Measurement Instruments	0.1
Real Estate Management/Services	0.1
Computer Software	0.1
Toys	0.1
Transport-Services	0.1
Retail-Catalog Shopping	0.1
Oil Refining & Marketing	0.1
Electronic Components-Misc.	0.1
Broadcast Services/Program	0.1
Building & Construction Products-Misc.	0.1
Finance-Commercial	0.1
Paper & Related Products	0.1
Semiconductor Equipment	0.1
Insurance-Mutual	0.1
Building Products-Wood	0.1
Electric-Generation	0.1
Food-Misc./Diversified	0.1
Investment Management/Advisor Services	0.1
Diagnostic Equipment	0.1
Hazardous Waste Disposal	0.1
Independent Power Producers	0.1
Casino Hotels	0.1
Funeral Services & Related Items	0.1

67

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Oil-Field Services	0.1	%
Gas-Distribution	0.1
Data Processing/Management	0.1
Batteries/Battery Systems	0.1
	123.3	%
Credit Quality†#
Aaa	53.4	%
Aa	2.6
A	8.8
Baa	13.6
Ba	8.7
B	1.1
Caa	1.5
Ca	0.8
Not Rated@	9.5
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

@  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, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.9%
Aerospace/Defense — 0.6%
Northrop Grumman Corp.		1,027	$	219,727
Teledyne Technologies, Inc.†		1,516		163,622
				383,349
Airlines — 0.3%
United Continental Holdings, Inc.†		4,127		216,544
Apparel Manufacturers — 0.2%
Carter's, Inc.		1,516		131,452
Applications Software — 1.5%
Microsoft Corp.		14,113		812,909
salesforce.com, Inc.†		2,769		197,513
				1,010,422
Athletic Footwear — 0.3%
NIKE, Inc., Class B		4,126		217,234
Auto/Truck Parts & Equipment-Original — 0.2%
Delphi Automotive PLC		2,314		165,034
Banks-Commercial — 0.1%
PacWest Bancorp		888		38,104
Beverages-Non-alcoholic — 0.5%
Coca-Cola Co.		7,739		327,514
Building Products-Cement — 0.3%
Vulcan Materials Co.		1,783		202,781
Cable/Satellite TV — 0.8%
Comcast Corp., Class A		7,850		520,769
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		5,241		244,860
Chemicals-Diversified — 0.2%
PPG Industries, Inc.		1,611		166,513
Commercial Services — 1.0%
Aramark		5,713		217,266
CoStar Group, Inc.†		559		121,040
Nielsen Holdings PLC		3,684		197,352
ServiceMaster Global Holdings, Inc.†		3,384		113,973
				649,631
Commercial Services-Finance — 0.3%
Equifax, Inc.		592		79,671
S&P Global, Inc.		843		106,690
				186,361
Computer Services — 0.4%
Amdocs, Ltd.		2,595		150,121
Cognizant Technology Solutions Corp., Class A†		2,198		104,866
				254,987
Computer Software — 0.1%
SS&C Technologies Holdings, Inc.		3,190		102,559
Computers — 1.2%
Apple, Inc.		7,079		800,281
Consulting Services — 0.2%
Verisk Analytics, Inc.†		1,820		147,930

Security Description	Shares		Value (Note 2)
Containers-Metal/Glass — 0.3%
Crown Holdings, Inc.†		3,896	$	222,423
Containers-Paper/Plastic — 0.2%
Sealed Air Corp.		3,297		151,069
Cosmetics & Toiletries — 0.5%
Colgate-Palmolive Co.		1,703		126,260
Estee Lauder Cos., Inc., Class A		2,518		222,994
				349,254
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		3,434		129,462
Diversified Manufacturing Operations — 0.3%
A.O. Smith Corp.		1,238		122,302
Dover Corp.		1,021		75,186
				197,488
E-Commerce/Products — 1.1%
Amazon.com, Inc.†		928		777,024
E-Commerce/Services — 0.5%
Priceline Group, Inc.†		213		313,427
Electronic Components-Misc. — 0.1%
Flex, Ltd.†		5,529		75,305
Electronic Components-Semiconductors — 0.3%
Texas Instruments, Inc.		2,965		208,084
Electronic Connectors — 0.5%
Amphenol Corp., Class A		5,305		344,401
Electronic Design Automation — 0.3%
Cadence Design Systems, Inc.†		6,829		174,344
Electronic Forms — 0.4%
Adobe Systems, Inc.†		2,660		288,716
Electronic Measurement Instruments — 0.1%
National Instruments Corp.		3,443		97,781
Electronic Security Devices — 0.2%
Allegion PLC		1,560		107,500
Enterprise Software/Service — 0.5%
Tyler Technologies, Inc.†		1,134		194,175
Ultimate Software Group, Inc.†		747		152,679
				346,854
Entertainment Software — 0.3%
Activision Blizzard, Inc.		4,972		220,260
Finance-Consumer Loans — 0.2%
Synchrony Financial		3,974		111,272
Finance-Credit Card — 1.1%
MasterCard, Inc., Class A		3,181		323,731
Visa, Inc., Class A		5,149		425,822
				749,553
Finance-Investment Banker/Broker — 0.2%
E*TRADE Financial Corp.†		3,614		105,240
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		501		134,949
Food-Confectionery — 0.3%
Hershey Co.		2,232		213,379

69

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Retail — 0.3%
Kroger Co.		7,163	$	212,598
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		3,431		168,153
Hotels/Motels — 0.2%
Hilton Worldwide Holdings, Inc.		5,723		131,228
Industrial Gases — 0.4%
Air Products & Chemicals, Inc.		1,817		273,168
Instruments-Controls — 0.6%
Honeywell International, Inc.		2,227		259,646
Sensata Technologies Holding NV†		4,448		172,493
				432,139
Insurance-Property/Casualty — 0.1%
Progressive Corp.		2,105		66,308
Internet Content-Entertainment — 0.9%
Facebook, Inc., Class A†		4,909		629,677
Investment Management/Advisor Services — 0.1%
BlackRock, Inc.		170		61,618
Machinery-General Industrial — 0.2%
Roper Technologies, Inc.		672		122,620
Machinery-Pumps — 0.2%
Flowserve Corp.		2,372		114,425
Medical Information Systems — 0.3%
athenahealth, Inc.†		1,603		202,170
Medical Instruments — 0.3%
Boston Scientific Corp.†		9,292		221,150
Medical-Biomedical/Gene — 1.8%
Alder Biopharmaceuticals, Inc.†		3,563		116,759
Amgen, Inc.		2,454		409,352
Biogen, Inc.†		685		214,426
Celgene Corp.†		2,626		274,496
Regeneron Pharmaceuticals, Inc.†		448		180,105
				1,195,138
Medical-Drugs — 2.4%
Allergan PLC†		1,469		338,325
Bristol-Myers Squibb Co.		5,638		304,001
Eli Lilly & Co.		4,564		366,307
Ironwood Pharmaceuticals, Inc.†		10,695		169,836
Mallinckrodt PLC†		3,069		214,155
Pfizer, Inc.		7,339		248,572
				1,641,196
Medical-HMO — 0.4%
Aetna, Inc.		2,146		247,756
Medical-Hospitals — 0.4%
Universal Health Services, Inc., Class B		2,142		263,937
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		6,353		136,018

Security Description	Shares		Value (Note 2)
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp.		1,822	$	115,442
Oil-Field Services — 0.1%
Halliburton Co.		867		38,911
Pharmacy Services — 0.2%
Diplomat Pharmacy, Inc.†		4,198		117,586
Real Estate Investment Trusts — 0.8%
American Tower Corp.		3,491		395,635
Simon Property Group, Inc.		612		126,690
				522,325
Real Estate Management/Services — 0.1%
Jones Lang LaSalle, Inc.		907		103,208
Recreational Vehicles — 0.2%
Polaris Industries, Inc.		1,980		153,331
Retail-Apparel/Shoe — 0.2%
L Brands, Inc.		1,822		128,943
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		145		111,409
Retail-Building Products — 0.5%
Lowe's Cos., Inc.		4,728		341,409
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		4,001		80,060
Retail-Discount — 0.5%
Costco Wholesale Corp.		1,278		194,908
Dollar Tree, Inc.†		2,295		181,144
				376,052
Retail-Gardening Products — 0.2%
Tractor Supply Co.		1,604		108,029
Retail-Restaurants — 0.5%
Dunkin' Brands Group, Inc.		2,895		150,771
Starbucks Corp.		3,491		189,003
				339,774
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		3,721		112,039
Television — 0.0%
ION Media Networks, Inc.†(1)(2)(11)		10		12,100
Tobacco — 0.4%
Altria Group, Inc.		4,466		282,385
Toys — 0.1%
Mattel, Inc.		3,023		91,536
Transport-Rail — 0.3%
CSX Corp.		6,276		191,418
Web Portals/ISP — 1.7%
Alphabet, Inc., Class C†		1,531		1,190,031
Total Common Stocks (cost $19,128,300)				21,619,397

70

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.9%
Banks-Commercial — 0.3%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(2)(3)	EUR	200,000	$	208,960
Building Societies — 0.2%
Nationwide Building Society FRS 6.88% due 06/20/2019(3)	GBP	100,000		123,491
Diversified Banking Institutions — 1.2%
Credit Agricole SA FRS 8.13% due 12/23/2025*(3)		200,000		212,000
Credit Suisse Group AG FRS 6.25% due 12/18/2024*(3)		200,000		189,250
Societe Generale SA FRS 8.25% due 11/29/2018(3)		200,000		202,742
UBS Group AG FRS 5.75% due 02/19/2022(3)	EUR	200,000		231,205
				835,197
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)(2)		16,000		1
Insurance-Property/Casualty — 0.2%
ACE Capital Trust II 9.70% due 04/01/2030		80,000		120,800
Total Preferred Securities/Capital Securities (cost $1,383,157)				1,288,449
ASSET BACKED SECURITIES — 22.3%
Diversified Financial Services — 22.3%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.70% due 01/25/2037(4)		69,593		63,419
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		15,000		15,143
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.16% due 07/27/2026*(5)		250,000		250,131
Apidos CLO XVII FRS Series 2014-17A, Class A1A 2.18% due 04/17/2026*(5)		250,000		250,542
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.55% due 04/20/2023*(5)		158,724		157,791
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.10% due 10/25/2034(2)		22,189		21,002
Atrium XI FRS Series 11-A, Class B 2.86% due 10/23/2025*(5)		250,000		249,323
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.94% due 02/10/2051(6)		98,851		100,849

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(6)	$	210,000	$	223,320
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.88% due 02/25/2036(4)		156,823		141,564
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(6)		71,985		73,961
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.91% due 06/11/2040(6)		35,636		36,189
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		15,208		14,910
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.80% due 07/15/2025*(5)		250,000		248,724
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.20% due 04/27/2027*(5)		250,000		250,204
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 3.13% due 10/15/2026*(5)		250,000		249,317
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 2.17% due 04/17/2026*(5)		250,000		249,718
Cent CLO, Ltd. FRS Series 2013-20A, Class A 2.19% due 01/25/2026*(5)		250,000		249,537
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.31% due 05/24/2026*(5)		250,000		249,734
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6)		122,000		133,685
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.33% due 12/10/2049(6)		32,911		33,938
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(4)		90,642		87,149
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(6)		62,530		62,797
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(6)		111,444		114,245

71

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6)	$	65,000	$	71,961
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6)		125,105		131,974
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6)		140,000		149,276
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6)		155,000		167,233
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6)		150,000		165,286
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6)		195,000		218,769
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(6)		76,056		76,168
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.30% due 12/10/2049(6)		78,864		81,143
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4)		61,071		54,594
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(4)		3,480		3,132
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(6)		190		190
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.03% due 06/15/2057(6)(7)		1,252,094		67,161
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(2)		48,057		49,421
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		83,239		83,350
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 2.16% due 07/15/2026*(5)		250,000		250,445
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 2.03% due 04/18/2026*(5)		250,000		249,812
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.74% due 05/25/2035(4)		149,076		134,343

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*	$	16,041	$	16,047
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		3,139		3,140
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		191,366
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		12,000		12,008
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		45,000		45,017
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		23,000		23,062
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 2.26% due 01/24/2027*(5)		250,000		250,619
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6)		125,000		129,662
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6)		30,445		36,752
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6)		100,000		108,031
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6)		146,000		160,742
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6)		140,000		154,972
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.63% due 03/25/2037(2)		256,450		138,610
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 2.89% due 04/25/2036(4)		11,538		9,622
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.95% due 01/25/2036(4)		60,703		56,375
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.99% due 03/25/2047(4)		39,695		32,765
GSR Mtg. Loan Trust VRS Series 2005-AR2, Class 1A2 3.04% due 04/25/2035(4)		60,923		58,213
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		160,000		166,760

72

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(6)	$	175,000	$	174,969
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.07% due 05/25/2035(4)		94,531		84,935
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(6)		116,929		125,884
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6)		68,000		76,043
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(6)		56,155		56,164
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(6)		78,862		79,986
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(6)		89,756		92,057
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(6)		127,000		133,698
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6)		65,000		70,933
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(6)		32,035		32,300
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(6)		82,545		83,554
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.29% due 04/15/2041(6)		113,655		118,591
LSTAR Securities Investment Trust FRS Series 2015-4, Class A1 2.52% due 04/01/2020*(4)		149,766		147,894
LSTAR Securities Investment Trust FRS Series 2015-2, Class A 2.52% due 01/01/2020*(4)		81,992		81,286
LSTAR Securities Investment Trust FRS Series 2015-9, Class A1 2.52% due 10/01/2020*(4)		160,010		157,584

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.99% due 10/23/2025*(5)	$	250,000	$	249,693
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.65% due 02/25/2035(4)		27,949		27,939
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.85% due 12/25/2034(4)		43,579		43,463
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(6)		81,276		81,670
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(6)		48,064		49,534
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(6)		90,464		91,976
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.30% due 12/15/2047(6)(7)		355,894		21,075
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(6)		105,000		111,229
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(6)		105,000		106,143
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(6)		55,206		56,767
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.48% due 01/11/2043(6)		48,568		50,836
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4)		51,167		44,435
MortgageIT Trust FRS Series 2005-4, Class A1 0.81% due 10/25/2035(4)		220,952		201,819
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/25/2035*(4)		136,800		142,105
Nomura Asset Acceptance Corp Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.81% due 06/25/2036(4)		149,113		111,774
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)		31,746		31,887

73

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*	$	450,000	$	451,228
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.37% due 02/15/2026*(5)		250,000		250,663
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.21% due 04/17/2027*(5)		215,000		215,317
OHA Loan Funding 2015-1, Ltd. FRS Series 2015-1A, Class A 2.32% due 02/15/2027*(5)		250,000		251,030
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		170,000		174,974
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.63% due 02/25/2037(2)		42,908		25,268
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.23% due 04/17/2026*(5)		250,000		250,564
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.21% due 04/30/2027*(5)		250,000		249,695
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.19% due 04/15/2027*(5)		250,000		249,811
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(2)(8)		238,756		127,388
RFMSI Series Trust VRS Series 2005-SA3, Class 1A 3.25% due 08/25/2035(4)		137,631		102,050
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4)		5,680		5,633
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.66% due 05/25/2037(2)		110,007		85,292
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 2.87% due 02/20/2047(4)		114,581		97,812
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(2)		100,000		100,197
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.21% due 04/15/2027*(5)		250,000		250,493
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.78% due 11/25/2036(2)		200,000		140,312

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(2)	$	57,691	$	57,878
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		51,239		51,305
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 08/25/2055*(4)		124,508		124,451
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(4)		97,389		98,681
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.20% due 04/20/2027*(5)		250,000		250,500
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6)		80,000		84,534
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.16% due 04/18/2027*(5)		250,000		250,098
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 3.07% due 10/14/2026*(5)		250,000		249,294
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.19% due 11/25/2046(4)		140,507		124,976
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.34% due 09/15/2057(6)(7)		994,627		66,184
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6)		105,000		114,952
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(6)		10,000		8,193
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.86% due 01/25/2035(4)		140,192		139,940
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.88% due 03/25/2035(4)		99,994		100,826
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.93% due 11/25/2034(4)		5,408		5,406
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 3.03% due 10/25/2036(4)		61,882		58,517

74

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*	$	56,034	$	56,052
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.99% due 02/15/2044*(6)(7)		563,925		15,727
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6)		145,280		160,850
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6)		55,111		61,333
Total Asset Backed Securities (cost $15,024,119)				15,120,860
U.S. CORPORATE BONDS & NOTES — 21.1%
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		15,000		15,354
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		26,000		26,839
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		20,000		23,762
				65,955
Apparel Manufacturers — 0.1%
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026*		15,000		15,338
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		50,000		52,281
				67,619
Applications Software — 0.3%
Microsoft Corp. Senior Notes 1.55% due 08/08/2021		70,000		69,714
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		25,000		25,021
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		45,000		45,548
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		35,000		35,460
				175,743
Auto-Cars/Light Trucks — 0.7%
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		35,000		46,294

Security Description	Principal Amount(13)		Value (Note 2)
Auto-Cars/Light Trucks (continued)
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017	$	22,000	$	22,041
General Motors Co. Senior Notes 6.60% due 04/01/2036		70,000		84,223
General Motors Co. Senior Notes 6.75% due 04/01/2046		10,000		12,537
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018		100,000		100,722
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		75,000		77,265
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		115,000		118,110
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		30,000		32,948
				494,140
Banks-Commercial — 0.4%
Capital One NA Senior Notes 1.65% due 02/05/2018		250,000		250,293
Banks-Super Regional — 0.7%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		40,000		41,732
PNC Funding Corp. Sub. Notes 5.63% due 02/01/2017		75,000		76,079
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		95,000		95,481
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		30,282
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		60,000		61,083
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		10,000		11,010
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		70,000		81,267
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		80,000		95,568
				492,502
Batteries/Battery Systems — 0.1%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		35,000		34,956

75

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery — 1.4%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019	$	45,000	$	45,434
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		15,000		15,257
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		255,000		269,155
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		140,000		150,360
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		80,000		91,982
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		220,000		261,752
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		25,000		25,494
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		50,046
Molson Coors Brewing Co. Company Guar. Notes 4.20% due 07/15/2046		25,000		26,048
				935,528
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		70,000		75,250
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		70,000		74,900
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		29,000		33,060
Building-Heavy Construction — 0.3%
SBA Tower Trust Mtg. Notes 2.90% due 10/15/2044*		90,000		91,265

Security Description	Principal Amount(13)		Value (Note 2)
Building-Heavy Construction (continued)
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*	$	100,000	$	100,335
				191,600
Building-Residential/Commercial — 0.2%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		70,000		72,975
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		31,875
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,575
				110,425
Cable/Satellite TV — 1.7%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022		50,000		52,250
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020*		25,000		26,130
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022*		50,000		53,953
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025*		85,000		93,760
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045*		160,000		193,491
Comcast Corp. Company Guar. Notes 1.63% due 01/15/2022		25,000		24,791
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		95,000		98,438
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		50,000		48,605
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		60,000		66,641

76

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044	$	15,000	$	17,649
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		40,000		40,278
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		70,000		72,136
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		9,725
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		66,000		71,280
Time Warner Cable, Inc. Senior Sec. Notes 4.50% due 09/15/2042		45,000		42,942
Time Warner Cable, Inc. Senior Sec. Notes 5.88% due 11/15/2040		45,000		49,972
Time Warner Cable, Inc. Senior Sec. Notes 6.75% due 07/01/2018		50,000		54,328
Time Warner Cable, Inc. Senior Sec. Notes 8.75% due 02/14/2019		120,000		138,391
				1,154,760
Casino Hotels — 0.1%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.38% due 03/15/2022		40,000		41,450
Cellular Telecom — 0.2%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		30,000		32,175
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		20,000		22,075
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		45,000		43,875
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		25,000		25,687
				123,812
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		30,000		30,675
Computers — 0.2%
Apple, Inc. Senior Notes 1.55% due 08/04/2021		50,000		49,914

Security Description	Principal Amount(13)		Value (Note 2)
Computers (continued)
Apple, Inc. Senior Notes 3.45% due 02/09/2045	$	45,000	$	42,996
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		10,228
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 3.48% due 06/01/2019*		25,000		25,712
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 4.42% due 06/15/2021*		20,000		20,902
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		15,000		17,960
				167,712
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*		15,000		16,125
Containers-Paper/Plastic — 0.1%
Crown Americas LLC/Crown Americas Capital Corp. V Company Guar. Notes 4.25% due 09/30/2026*		5,000		5,006
Graphic Packaging International, Inc. Company Guar. Notes 4.13% due 08/15/2024		5,000		5,038
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.13% due 07/15/2023*		30,000		30,975
				41,019
Data Processing/Management — 0.1%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		35,000		36,050
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,587
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		10,000		10,675
				21,262
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,924

77

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diagnostic Equipment (continued)
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023	$	45,000	$	46,086
				56,010
Diversified Banking Institutions — 3.7%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		45,000		45,249
Bank of America Corp. Senior Notes 2.63% due 04/19/2021		50,000		50,796
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		130,000		138,771
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		35,000		41,203
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		115,000		124,069
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		80,000		83,903
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		235,000		245,921
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		45,000		50,789
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		15,000		17,107
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		45,000		44,896
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		50,000		50,553
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		35,000		35,572
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		70,000		71,703
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		50,000		51,282
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		75,000		81,788
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		49,000		54,260
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		32,000		40,323

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041	$	55,000	$	71,917
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		60,000		74,146
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		79,000		100,591
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		35,000		35,076
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		115,000		116,298
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		30,000		30,309
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		34,613
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		50,000		54,197
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		50,000		53,647
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		35,000		38,431
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		19,203
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		35,000		38,990
Morgan Stanley Senior Notes 1.88% due 01/05/2018		125,000		125,510
Morgan Stanley Senior Notes 2.50% due 04/21/2021		30,000		30,375
Morgan Stanley Senior Notes 2.65% due 01/27/2020		15,000		15,328
Morgan Stanley Senior Notes 3.13% due 07/27/2026		110,000		110,658
Morgan Stanley Senior Notes 3.88% due 01/27/2026		10,000		10,617
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		41,546
Morgan Stanley Senior Notes 4.00% due 07/23/2025		20,000		21,507

78

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Sub. Notes 4.35% due 09/08/2026	$	36,000	$	38,434
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		10,000		11,030
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,063
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		107,148
				2,519,819
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021*		10,000		10,234
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046*		10,000		10,732
				20,966
Electric-Integrated — 0.7%
AES Corp. Senior Notes 4.88% due 05/15/2023		8,000		8,120
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		15,609
AES Corp. Senior Notes 8.00% due 06/01/2020		50,000		58,875
Dominion Resources, Inc. Senior Notes 2.85% due 08/15/2026		30,000		29,839
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		30,000		29,971
Duke Energy Corp. Senior Notes 2.65% due 09/01/2026		15,000		14,719
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		50,000		48,756
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		5,100
Exelon Corp. Senior Notes 2.85% due 06/15/2020		70,000		72,582
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		20,000		20,079
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		60,000		80,557

Security Description	Principal Amount(13)		Value (Note 2)
Electric-Integrated (continued)
Southern Co. Senior Notes 1.85% due 07/01/2019	$	35,000	$	35,275
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,332
Southern Co. Senior Notes 4.40% due 07/01/2046		15,000		16,185
				445,999
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		12,670
Electronic Components-Semiconductors — 0.0%
Intel Corp. Senior Notes 4.10% due 05/19/2046		25,000		26,758
Electronic Measurement Instruments — 0.0%
Fortive Corp. Company Guar. Notes 2.35% due 06/15/2021*		30,000		30,369
Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 1.90% due 09/15/2021		90,000		90,228
Finance-Commercial — 0.1%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		70,000		74,112
Finance-Consumer Loans — 0.3%
Navient Corp. Senior Notes 5.50% due 01/15/2019		10,000		10,150
Navient Corp. Senior Notes 6.63% due 07/26/2021		20,000		20,150
Navient Corp. Senior Notes 7.25% due 09/25/2023		55,000		55,000
Navient Corp. Senior Notes 8.45% due 06/15/2018		65,000		69,875
Synchrony Financial Senior Notes 2.60% due 01/15/2019		70,000		70,825
				226,000
Finance-Credit Card — 0.2%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		40,000		41,933
Visa, Inc. Senior Notes 4.30% due 12/14/2045		60,000		69,341
				111,274

79

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018	$	50,000	$	53,695
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(2)		19,000		1,434
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(2)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(2)		26,000		3
				55,134
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		45,000		46,750
Nasdaq, Inc. Senior Notes 3.85% due 06/30/2026		10,000		10,464
				57,214
Financial Guarantee Insurance — 0.0%
Radian Group, Inc. Senior Notes 7.00% due 03/15/2021		10,000		11,213
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018		30,000		30,277
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		25,000		25,908
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		10,000		10,580
				66,765
Food-Retail — 0.1%
Kroger Co. Senior Notes 1.50% due 09/30/2019		20,000		19,967
Kroger Co. Senior Notes 2.65% due 10/15/2026		25,000		24,813
Kroger Co. Senior Notes 3.88% due 10/15/2046		5,000		5,031
				49,811
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		40,857

Security Description	Principal Amount(13)		Value (Note 2)
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020	$	40,000	$	40,900
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		25,000		26,500
Southern Co. Gas Capital Corp. Company Guar. Notes 2.45% due 10/01/2023		10,000		10,056
				36,556
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		50,000		51,375
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		25,000		27,063
Hotels/Motels — 0.0%
Hilton Domestic Operating Co., Inc. Senior Notes 4.25% due 09/01/2024*		10,000		10,200
Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,169
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		14,000		14,665
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026*		25,000		25,437
				43,271
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		25,000		26,407
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		10,000		9,925
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		70,815
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		20,925

80

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020	$	30,000	$	31,350
Medical Instruments — 0.1%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		40,000		41,372
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		19,000		21,530
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		20,000		23,500
				86,402
Medical Products — 0.2%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		110,000		110,055
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		21,082
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		10,000		10,106
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		35,000		37,165
				68,353
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 3.20% due 05/14/2026		25,000		25,309
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		5,000		5,253
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		75,000		77,316
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		15,000		15,412
				123,290
Medical-HMO — 0.5%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		20,000		20,423
Aetna, Inc. Senior Notes 4.25% due 06/15/2036		10,000		10,357
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,196

Security Description	Principal Amount(13)		Value (Note 2)
Medical-HMO (continued)
Anthem, Inc. Senior Notes 3.50% due 08/15/2024	$	25,000	$	26,321
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		53,926
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		35,000		35,232
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		65,000		69,798
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		60,399
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		15,000		17,988
				309,640
Medical-Hospitals — 0.3%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		25,000		24,813
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		50,000		51,687
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		10,000		11,025
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,650
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		10,000		11,075
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		25,000		25,938
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		75,000		79,312
				214,500
Medical-Wholesale Drug Distribution — 0.0%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,284
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		10,000		10,450
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 4.55% due 11/14/2024		20,000		18,125

81

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Metal-Copper (continued)
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043	$	15,000	$	12,037
				30,162
Multimedia — 0.4%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		85,000		107,508
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		60,000		78,659
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		35,000		49,622
Viacom, Inc. Senior Notes 3.45% due 10/04/2026		5,000		4,997
				240,786
Networking Products — 0.2%
Cisco Systems, Inc. Senior Notes 1.40% due 09/20/2019		75,000		75,066
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		50,000		51,159
				126,225
Oil Companies-Exploration & Production — 1.2%
Anadarko Petroleum Corp. Senior Notes 4.85% due 03/15/2021		20,000		21,470
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		45,000		50,852
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		55,000		66,922
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,596
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		5,094
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		20,000		20,625
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		80,000		90,173
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		20,000		19,950
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		95,000		94,321

Security Description	Principal Amount(13)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031	$	10,000	$	12,388
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		25,000		27,305
Hess Corp. Senior Notes 4.30% due 04/01/2027		35,000		35,273
Hess Corp. Senior Notes 5.60% due 02/15/2041		25,000		24,919
Hess Corp. Senior Notes 5.80% due 04/01/2047		35,000		35,810
Hess Corp. Senior Notes 6.00% due 01/15/2040		25,000		25,547
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		75,000		90,160
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		20,000		19,603
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		40,000		37,047
Pioneer Natural Resources Co. Senior Notes 3.95% due 07/15/2022		10,000		10,641
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		70,000		75,916
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,712
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		9,981
				795,305
Oil Refining & Marketing — 0.1%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		10,300
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		55,000		54,634
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		15,000		14,805
				79,739
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		11,000		11,014

82

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Paper & Related Products (continued)
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*	$	30,000	$	30,562
				41,576
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		5,000		5,256
Pipelines — 1.3%
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		5,560
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		5,000		4,875
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,550
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		5,094
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		86,000		94,385
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		75,000		73,811
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		100,000		101,007
Enterprise Products Operating LLC Company Guar. Notes 3.95% due 02/15/2027		25,000		26,197
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		15,000		16,184
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		5,000		5,613
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		10,000		11,348
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		60,000		57,135
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		15,000		17,089
MPLX LP Company Guar. Notes 4.50% due 07/15/2023		15,000		15,291

Security Description	Principal Amount(13)		Value (Note 2)
Pipelines (continued)
MPLX LP Company Guar. Notes 4.88% due 12/01/2024	$	15,000	$	15,515
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		50,000		47,387
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 3.65% due 06/01/2022		50,000		50,684
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		5,000		5,513
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		30,000		31,162
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019		15,000		15,975
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		4,120
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		25,000		26,688
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		45,000		44,859
Williams Partners LP Senior Notes 3.60% due 03/15/2022		135,000		137,345
Williams Partners LP Senior Notes 4.00% due 11/15/2021		20,000		20,699
Williams Partners LP Senior Notes 5.25% due 03/15/2020		25,000		27,065
				870,151
Real Estate Investment Trusts — 0.4%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		90,000		93,514
Corrections Corp of America Company Guar. Notes 4.13% due 04/01/2020		10,000		9,400
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		5,000		5,233
Crown Castle International Corp. Senior Notes 3.70% due 06/15/2026		25,000		26,085

83

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
HCP, Inc. Senior Notes 6.00% due 01/30/2017	$	80,000	$	81,144
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		15,000		15,802
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		41,000		45,520
				276,698
Real Estate Operations & Development — 0.2%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		105,727
Rental Auto/Equipment — 0.2%
ERAC USA Finance LLC Company Guar. Notes 2.60% due 12/01/2021*		45,000		45,867
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		30,000		40,915
United Rentals North America, Inc. Sec. Notes 4.63% due 07/15/2023		15,000		15,375
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		20,400
				122,557
Retail-Auto Parts — 0.0%
AutoZone, Inc. Senior Notes 1.63% due 04/21/2019		15,000		15,051
Retail-Automobile — 0.0%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		25,000		25,078
Retail-Building Products — 0.2%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		40,000		39,089
Lowe's Cos., Inc. Senior Notes 2.50% due 04/15/2026		70,000		70,255
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		55,000		56,825
				166,169
Retail-Drug Store — 0.4%
CVS Health Corp. Senior Notes 2.13% due 06/01/2021		20,000		20,203

Security Description	Principal Amount(13)		Value (Note 2)
Retail-Drug Store (continued)
CVS Health Corp. Senior Notes 2.80% due 07/20/2020	$	110,000	$	113,966
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		9,000		9,798
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		65,000		79,537
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		12,709		14,777
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		21,143		25,001
Walgreens Boots Alliance, Inc. Senior Notes 2.60% due 06/01/2021		20,000		20,467
Walgreens Boots Alliance, Inc. Senior Notes 3.10% due 06/01/2023		15,000		15,472
				299,221
Retail-Restaurants — 0.0%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		15,000		15,863
Semiconductor Equipment — 0.1%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		45,000		46,189
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		10,000		10,388
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,712
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		17,000		16,915
				43,015
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		20,600
Telephone-Integrated — 1.0%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		50,000		50,248
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		50,000		50,292

84

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 3.60% due 02/17/2023	$	45,000	$	47,434
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		20,000		21,422
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		25,000		26,267
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		145,000		151,736
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		10,000		10,600
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		86,000		89,604
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		50,000		52,907
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		31,000		32,777
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		74,000		77,843
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		42,000		46,378
				657,508
Television — 0.2%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		15,000		15,909
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		75,000		76,969
TEGNA, Inc. Company Guar. Notes 6.38% due 10/15/2023		10,000		10,750
				103,628
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026		15,000		15,166
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		20,749
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		46,000		48,395
				84,310

Security Description	Principal Amount(13)		Value (Note 2)
Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023	$	20,000	$	20,376
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		40,000		41,024
				61,400
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026		15,000		15,819
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		25,000		27,770
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		40,000		40,789
				84,378
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		145,066
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,613
Total U.S. Corporate Bonds & Notes (cost $13,658,559)				14,324,067
FOREIGN CORPORATE BONDS & NOTES — 3.4%
Aerospace/Defense — 0.0%
BAE Systems PLC Senior Notes 4.75% due 10/11/2021*		10,000		11,120
Banks-Commercial — 0.7%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		60,000		63,928
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		105,000		109,794
BPCE SA Sub. Notes 5.15% due 07/21/2024*		200,000		210,370
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020		57,000		62,305
				446,397
Building Products-Wood — 0.1%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		35,000		37,187

85

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions — 0.3%
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021	$	200,000	$	206,852
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		30,000		31,789
				238,641
Diversified Minerals — 0.0%
Teck Resources, Ltd. Company Guar. Notes 8.50% due 06/01/2024*		10,000		11,450
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		45,000		48,699
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021*		15,000		14,945
Fortis, Inc. Senior Notes 3.06% due 10/04/2026*		10,000		9,958
				24,903
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,387
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		6,000		6,570
				11,957
Medical-Drugs — 0.3%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		50,000		50,063
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		90,000		89,796
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		75,000		74,717
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		15,000		15,070
				229,646
Medical-Generic Drugs — 0.6%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		175,000		176,805

Security Description	Principal Amount(13)		Value (Note 2)
Medical-Generic Drugs (continued)
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020	$	105,000	$	108,414
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		25,000		25,551
Mylan NV Company Guar. Notes 3.15% due 06/15/2021*		35,000		35,657
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		30,000		31,331
				377,758
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		20,000		21,517
Oil Companies-Exploration & Production — 0.1%
Encana Corp. Senior Notes 3.90% due 11/15/2021		25,000		25,049
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,748
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		5,000		4,081
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		5,000		3,950
				37,828
Oil Companies-Integrated — 0.8%
BP Capital Markets PLC Company Guar. Notes 2.11% due 09/16/2021		15,000		15,087
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		30,000		30,813
BP Capital Markets PLC Company Guar. Notes 2.75% due 05/10/2023		50,000		50,835
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		90,000		85,580
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		10,000		9,894
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		55,000		49,388
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		20,000		21,468

86

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*	$	40,000	$	42,180
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		70,000		60,683
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		20,000		21,802
Shell International Finance BV Company Guar. Notes 3.25% due 05/11/2025		45,000		47,406
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		45,000		48,573
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		10,000		10,868
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		40,000		41,242
				535,819
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*		5,000		5,081
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		25,000		25,313
				30,394
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		25,000		25,562
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		50,000		54,500
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		125,000		129,438
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		39,225
Wireless Equipment — 0.0%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		25,000		27,125
Total Foreign Corporate Bonds & Notes (cost $2,292,797)				2,339,166

Security Description	Principal Amount(13)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 1.1%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040	$	90,000	$	118,236
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		5,000		6,750
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(2)		300,000		114,000
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(2)		90,000		34,200
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(2)		25,000		9,500
State of California General Obligation Bonds 7.55% due 04/01/2039		55,000		88,077
State of California General Obligation Bonds 7.30% due 10/01/2039		5,000		7,594
State of California General Obligation Bonds 7.63% due 03/01/2040		105,000		166,186
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		5,000		4,820
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		65,000		68,169
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		90,000		105,294
Total Municipal Bonds & Notes (cost $710,678)				722,826
U.S. GOVERNMENT AGENCIES — 28.7%
Federal Home Loan Mtg. Corp. — 5.1%
2.49% due 02/01/2037 FRS		6,338		6,592
2.50% due 01/01/2028		15,749		16,356
2.50% due 04/01/2028		38,963		40,472
3.00% due 08/01/2027		59,144		62,148
3.00% due 10/01/2042		38,800		40,855
3.00% due 11/01/2042		19,024		19,816
3.00% due 08/01/2043		324,273		338,878
3.00% due October TBA		200,000		207,828
3.50% due 03/01/2042		13,337		14,119

87

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.50% due 08/01/2042	$	84,093	$	89,003
3.50% due 09/01/2043		61,908		65,973
3.50% due October TBA		800,000		843,500
4.00% due 03/01/2023		11,978		12,346
4.00% due 09/01/2040		7,204		7,757
4.00% due 10/01/2043		84,116		90,287
4.00% due October TBA		700,000		750,012
4.50% due 01/01/2039		2,790		3,053
5.00% due 12/01/2020		5,632		5,956
5.00% due 05/01/2021		69,689		73,307
5.00% due 07/01/2021		20,150		20,801
5.00% due 05/01/2034		42,145		46,892
5.50% due 05/01/2037		9,764		11,052
5.50% due 06/01/2037		4,871		5,556
6.00% due 08/01/2036		7,303		8,331
6.50% due 05/01/2029		2,272		2,674
6.50% due 07/01/2035		2,596		3,003
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.72% due 03/25/2045*(6)		100,000		100,189
Series 2014-K503, Class B 3.08% due 10/25/2047*(6)		80,000		81,043
Series 2012-K706, Class B 4.17% due 11/25/2044*(6)		70,000		72,769
Series 2010-K8, Class B 5.42% due 09/25/2043*(6)		90,000		98,632
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series DNA3, Class M2 3.38% due 04/25/2028(4)		280,000		288,642
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(2)(4)		9,888		10,045
Series 1577, Class PK 6.50% due 09/15/2023(4)		6,063		6,609
Series 1226, Class Z 7.75% due 03/15/2022(4)		605		641
				3,445,137
Federal National Mtg. Assoc. — 19.1%
2.50% due 04/01/2028		64,183		66,540
2.50% due October TBA		100,000		103,575
2.50% due 02/01/2043		81,928		83,034
2.50% due 03/01/2043		160,059		162,218
2.62% due 05/01/2037 FRS		9,309		9,729
2.64% due 03/01/2027		38,914		40,516
2.64% due 10/01/2040 FRS		9,921		10,467
2.66% due 03/01/2027		410,000		427,650
2.78% due 03/01/2027		78,000		82,175
3.00% due 10/01/2027		26,630		27,966
3.00% due 12/01/2027		15,086		15,856
3.00% due 01/01/2028		38,908		40,861
3.00% due October TBA		2,500,000		2,604,211
3.50% due 08/01/2026		27,579		29,097

Security Description	Principal Amount(13)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
3.50% due 10/01/2028	$	104,659	$	110,768
3.50% due October TBA		6,300,000		6,647,484
4.00% due 11/01/2025		9,091		9,661
4.00% due 09/01/2040		6,142		6,600
4.00% due 12/01/2040		107,061		115,338
4.00% due 11/01/2041		10,192		10,985
4.00% due 01/01/2042		32,496		35,021
4.00% due 12/01/2043		30,442		33,480
4.00% due October TBA		500,000		536,992
4.50% due 01/01/2039		8,249		9,036
4.50% due 09/01/2039		19,822		21,751
4.50% due 09/01/2040		39,666		43,480
4.50% due 05/01/2041		20,991		23,075
4.50% due October TBA		800,000		876,106
5.00% due 03/01/2018		5,817		5,978
5.00% due 06/01/2019		2,669		2,756
5.00% due 05/01/2035		402		447
5.00% due 07/01/2040		31,047		34,466
5.00% due October TBA		300,000		333,217
5.50% due 10/01/2021		8,940		9,551
5.50% due 06/01/2022		3,522		3,748
5.50% due 12/01/2029		6,121		6,890
5.50% due 05/01/2034		23,282		26,461
5.50% due 08/01/2037		31,559		35,723
5.50% due 06/01/2038		8,216		9,332
6.00% due 06/01/2017		799		807
6.00% due 06/01/2026		18,827		21,552
6.00% due 04/01/2027		104,751		119,914
6.00% due 12/01/2033		28,428		33,062
6.00% due 05/01/2034		18,337		21,219
6.50% due 06/01/2035		52,462		60,428
6.50% due 10/01/2037		3,923		4,519
7.00% due 06/01/2037		20,625		23,105
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4)		13,603		13,752
				12,950,599
Government National Mtg. Assoc. — 4.5%
3.00% October TBA		1,200,000		1,257,094
3.50% October TBA		500,000		531,055
4.00% due 09/15/2040		30,092		32,336
4.00% due 11/15/2040		92,657		99,896
4.00% October TBA		700,000		750,066
4.50% due 02/15/2039		8,143		8,999
4.50% due 08/15/2041		221,978		245,139
5.50% due 05/15/2036		10,739		12,151
6.00% due 09/15/2032		11,561		13,853
6.00% due 12/15/2033		45,313		53,190
7.00% due 07/15/2033		11,691		13,989
7.00% due 11/15/2033		12,576		15,267
8.00% due 11/15/2031		4,268		4,389
8.50% due 11/15/2017		42		43
9.00% due 11/15/2021		151		168

88

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(4)	$	162	$	182
Series 2005-74, Class HB 7.50% due 09/16/2035(4)		9,696		11,301
				3,049,118
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		25,000		25,422
Total U.S. Government Agencies (cost $19,257,632)				19,470,276
U.S. GOVERNMENT TREASURIES — 6.1%
United States Treasury Bonds — 1.3%
1.50% due 08/15/2026		654,000		648,099
2.50% due 02/15/2045(14)		213,000		220,122
				868,221
United States Treasury Notes — 4.8%
0.13% due 07/15/2024 TIPS(9)(10)		1,201,045		1,218,579
0.25% due 01/15/2025 TIPS(10)		1,127,838		1,148,739
1.63% due 05/15/2026		933,000		934,239
				3,301,557
Total U.S. Government Treasuries (cost $4,043,923)				4,169,778
FOREIGN GOVERNMENT OBLIGATIONS — 2.6%
Central Bank — 0.2%
Bank of Thailand Notes 1.49% due 02/23/2018	THB	4,150,000		119,627
Sovereign — 2.4%
Brazil Notas do Tesouro Nacional Notes 6.00% due 05/15/2017(10)	BRL	836,968		262,814
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(10)	BRL	331,850		103,008
Government of Japan zero coupon due 01/11/2017	JPY	50,000,000		493,413
Government of Romania 0.49% due 06/26/2017	RON	755,000		189,987
Government of Romania 0.51% due 08/28/2017	RON	370,000		92,964
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(10)	UYU	1,469,438		41,951
Republic of Argentina Senior Notes 2.26% due 12/31/2038(8)	EUR	75,000		55,269
Republic of Colombia 4.25% due 05/17/2017(10)	COP	194,375,760		67,710

Security Description	Principal Amount(13)			Value (Note 2)
Sovereign (continued)
Republic of Indonesia Senior Notes 8.25% due 07/15/2021	IDR	1,014,000,000		$	81,968
Republic of Indonesia Senior Notes 8.38% due 03/15/2024	IDR	1,054,000,000			87,342
Republic of Turkey Bonds 10.60% due 02/11/2026	TRY	250,000			88,812
United Mexican States Senior Bonds 4.75% due 03/08/2044	$	6,000			6,218
United Mexican States Senior Notes 5.75% due 10/12/2110		70,000			74,025
					1,645,481
Total Foreign Government Obligations (cost $1,711,089)					1,765,108
OPTIONS — PURCHASED†(2)(12) — 0.0%
Put Options — Purchased		548,000			1,034
Put Options — Purchased	CNH	1,515,000			2,969
Total Options — Purchased (cost $8,629)					4,003
Total Long-Term Investment Securities (cost $77,218,883)					80,823,930
REPURCHASE AGREEMENTS — 4.2%
Bank of America Securities LLC Joint Repurchase Agreement (15)		610,000			610,000
Barclays Capital, Inc. Joint Repurchase Agreement (15)		305,000			305,000
BNP Paribas SA Joint Repurchase Agreement (15)		610,000			610,000
Deutsche Bank AG Joint Repurchase Agreement (15)		1,155,000			1,155,000
RBS Securities, Inc. Joint Repurchase Agreement (15)		150,000			150,000
Total Repurchase Agreements (cost $2,830,000)					2,830,000
TOTAL INVESTMENTS (cost $80,048,883)(16)		123.3	%		83,653,930
Liabilities in excess of other assets		(23.3	)		(15,784,351	)
NET ASSETS		100.0	%	$	67,869,579

†  Non-income producing security

89

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

*  Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2016, the aggregate value of these securities was $12,743,891 representing 18.8% 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)  Illiquid security. At September 30, 2016, the aggregate value of these securities was $1,138,182 representing 1.7% of net assets.

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

(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. The rate reflected is as of September 30, 2016.

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

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

(11)  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, 2016, 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.	03/05/2014		10	$	0	$	12,100		1,209.97		0.02	%

(12)  Purchased Options:

Over the Counter Put Options — Purchased

Issue	Expiration Month	Strike Price			Number of Contracts		Premiums Paid		Value at September 30, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016	$	47.79		$	137,000	$	1,008	$	206	$	(802	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.81			274,000		2,441		434		(2,007	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.91			137,000		1,144		394		(750	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.95	CNH		505,000		1,366		874		(492	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.93	CNH		505,000		1,396		837		(559	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		15.14	CNH		505,000		1,274		1,258		(16	)
							$	8,629	$	4,003	$	(4,626	)

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

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

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

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

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

COP — Colombian Peso

CNH — Yuan Renminbi Offshore

DAC — Designated Activity Company

EUR — Euro Currency

GBP — Pound Sterling

IDR — Indonesian Rupiah

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

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

FRS — Floating Rate Security

VRS — Variable Rate Security

90

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The rates shown on FRS and VRS are the current interest rates at September 30, 2016 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, 2016		Unrealized Appreciation (Depreciation)
	7	Long	90 Day Eurodollar	December 2017	$	1,730,813	$	1,731,362	$	549
	7	Short	90 Day Eurodollar	September 2018		1,729,151		1,729,875		(724	)
	60	Short	U.S. Treasury 10 Year Notes	December 2016		7,875,469		7,867,500		7,969
	6	Short	U.S. Treasury 10 Year Ultra Bonds	December 2016		866,700		864,938		1,762
	8	Short	U.S. Treasury 2 Year Notes	December 2016		1,748,500		1,747,750		750
	64	Long	U.S. Treasury 5 Year Notes	December 2016		7,775,500		7,777,000		1,500
	10	Long	U.S. Treasury Ultra Bonds	December 2016		1,868,512		1,838,750		(29,762	)
									$	(17,956	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	45,000	USD	50,616	12/21/2016	$	—	$	(117	)
	EUR	215,000	USD	233,936	03/15/2017		—		(9,409	)
	TRY	140,000	USD	45,548	12/21/2016		—		(381	)
	USD	16,964	EUR	15,000	03/15/2017		13		—
							13		(9,907	)
BNP Paribas SA	RON	140,000	USD	35,692	08/28/2017		73		—
Citibank N.A.	IDR	746,500,000	USD	57,600	10/21/2016		360		—
	JPY	50,000,000	USD	482,975	01/11/2017		—		(12,388	)
	RON	755,000	USD	188,493	06/26/2017		—		(3,411	)
	USD	57,072	IDR	746,500,000	10/21/2016		168		—
	USD	49,950	EUR	45,000	03/15/2017		983		—
							1,511		(15,799	)
Credit Suisse AG	USD	57,013	RUB	3,650,000	10/21/2016		896		—
Goldman Sachs International	BRL	345,000	USD	103,604	12/02/2016		—		(716	)
	USD	56,168	COP	164,600,000	10/21/2016		732		—
	USD	114,688	ZAR	1,560,000	10/21/2016		—		(1,372	)
	USD	68,771	ZAR	980,000	12/21/2016		1,574		—
	ZAR	980,000	USD	67,782	12/21/2016		—		(2,563	)
							2,306		(4,651	)
JPMorgan Chase Bank	RON	230,000	USD	58,703	08/28/2017		188		—
	RUB	7,300,000	USD	115,151	10/21/2016		—		(668	)
	USD	56,942	RUB	3,650,000	10/21/2016		967		—
							1,155		(668	)
Morgan Stanley and Co., Inc.	BRL	839,000	USD	252,734	12/02/2016		—		(960	)
Standard Chartered Bank	COP	329,200,000	USD	113,625	10/21/2016		—		(175	)
	IDR	2,274,202,000	USD	170,314	12/21/2016		—		(2,737	)
	THB	4,162,000	USD	119,136	12/21/2016		—		(855	)
							—		(3,767	)
State Street Bank and Trust Co.	COP	199,000,000	USD	66,200	12/21/2016		—		(1,907	)
	USD	56,886	COP	164,600,000	10/21/2016		15		—
							15		(1,907	)

91

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Forward Foreign Currency Contracts (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
UBS AG	EUR	403,000	USD	452,839	10/31/2016	$	—	$	(439	)
	GBP	100,000	USD	129,562	10/31/2016		—		(125	)
	USD	177,726	EUR	155,000	03/15/2017		—		(2,291	)
							—		(2,855	)
Net Unrealized Appreciation (Depreciation)						$	5,969	$	(40,514	)

BRL — Brazilian Real
COP — Colombian Peso
EUR — Euro Currency
GBP — Pound Sterling
IDR — Indonesian Rupiah
JPY — Japanese Yen
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	535	09/29/2026	1 Year USD-Federal Funds — H.15-OIS-COMPOUND		1.00	%	$	751	$	19

Over the Counter Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio			Payments Made by the Portfolio	Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
INR	6,110	09/12/2021		6.26	%	6 Month INR-MIBOR- OIS-COMPOUND	$	—	$	173

INR — Indian Rupee

OIS — Overnight Index Swap

MIBOR — Mumbai Interbank Offered Rate

USD — United States Dollar

92

Seasons Series Trust Multi-Managed Income/Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	—	$	—	$	12,100	$	12,100
Other Industries		21,607,297		—		—		21,607,297
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		1		1
Other Industries		—		1,288,448		—		1,288,448
Asset Backed Securities		—		15,120,860		—		15,120,860
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		55,129		5		55,134
Other Industries		—		14,268,933		—		14,268,933
Foreign Corporate Bonds & Notes		—		2,339,166		—		2,339,166
Municipal Bond & Notes		—		722,826		—		722,826
U.S. Government Agencies		—		19,470,276		—		19,470,276
U.S. Government Treasuries		—		4,169,778		—		4,169,778
Foreign Government Obligations		—		1,765,108		—		1,765,108
Options — Purchased		—		4,003		—		4,003
Repurchase Agreements		—		2,830,000		—		2,830,000
Total Investments at Value	$	21,607,297	$	62,034,527	$	12,106	$	83,653,930
Other Financial Instruments:†
Futures Contracts	$	12,530	$	—	$	—	$	12,530
Forward Foreign Currency Contracts		—		5,969		—		5,969
Centrally Cleared Interest Rate Swap Contracts		—		19		—		19
Over the Counter Interest Rate Swap Contracts		—		173		—		173
Total Other Financial Instruments	$	12,530	$	6,161	$	—	$	18,691
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	30,486	$	—	$	—	$	30,486
Forward Foreign Currency Contracts		—		40,514		—		40,514
Total Other Financial Instruments	$	30,486	$	40,514	$	—	$	71,000

*  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, 2016 — (unaudited)

Industry Allocation*
Diversified Financial Services	27.7	%
Federal National Mtg. Assoc.	19.3
Government National Mtg. Assoc.	6.5
Diversified Banking Institutions	6.3
Repurchase Agreements	6.0
Federal Home Loan Mtg. Corp.	5.8
United States Treasury Notes	4.2
Sovereign	3.0
Cable/Satellite TV	2.4
United States Treasury Bonds	2.0
Medical-Drugs	1.8
Banks-Commercial	1.8
Brewery	1.7
Pipelines	1.6
Oil Companies-Exploration & Production	1.6
Municipal Bonds & Notes	1.3
Telephone-Integrated	1.2
Applications Software	1.1
Medical-Biomedical/Gene	1.0
Oil Companies-Integrated	1.0
Web Portals/ISP	0.9
Real Estate Investment Trusts	0.9
Banks-Super Regional	0.9
Computers	0.8
Electric-Integrated	0.8
Auto-Cars/Light Trucks	0.8
Finance-Credit Card	0.8
Medical-HMO	0.7
Medical-Generic Drugs	0.7
Medical-Hospitals	0.6
Tobacco	0.6
E-Commerce/Products	0.6
Retail-Building Products	0.5
Multimedia	0.5
Retail-Drug Store	0.5
Commercial Services	0.5
Internet Content-Entertainment	0.5
Finance-Consumer Loans	0.5
Enterprise Software/Service	0.5
Aerospace/Defense	0.4
Building-Heavy Construction	0.4
Cellular Telecom	0.4
Building Societies	0.4
Medical Instruments	0.4
Instruments-Controls	0.3
Transport-Rail	0.3
Retail-Discount	0.3
Insurance-Property/Casualty	0.3
Electronic Connectors	0.3
Trucking/Leasing	0.3
Cosmetics & Toiletries	0.3
Food-Retail	0.3
Electronic Components-Semiconductors	0.3
Retail-Restaurants	0.2
Beverages-Non-alcoholic	0.2
E-Commerce/Services	0.2
Networking Products	0.2
Apparel Manufacturers	0.2
Electronic Forms	0.2
Rental Auto/Equipment	0.2

Building-Residential/Commercial	0.2	%
Central Bank	0.2
Finance-Other Services	0.2
Industrial Gases	0.2
Commercial Services-Finance	0.2
Medical Products	0.2
Containers-Metal/Glass	0.2
Containers-Paper/Plastic	0.2
Television	0.2
Computer Services	0.2
Real Estate Operations & Development	0.2
Food-Wholesale/Distribution	0.2
Steel-Producers	0.2
Entertainment Software	0.2
Airlines	0.2
Athletic Footwear	0.2
Transport-Services	0.2
Food-Confectionery	0.2
Electronic Measurement Instruments	0.2
Paper & Related Products	0.2
Building Products-Cement	0.1
Medical Information Systems	0.1
Diversified Manufacturing Operations	0.1
Oil Refining & Marketing	0.1
Building & Construction Products-Misc.	0.1
Finance-Commercial	0.1
Telecommunication Equipment	0.1
Electronic Design Automation	0.1
Semiconductor Equipment	0.1
Insurance-Mutual	0.1
Chemicals-Diversified	0.1
Electric-Generation	0.1
Food-Misc./Diversified	0.1
Auto/Truck Parts & Equipment-Original	0.1
Hotels/Motels	0.1
Recreational Vehicles	0.1
Retail-Auto Parts	0.1
Consulting Services	0.1
Broadcast Services/Program	0.1
Finance-Investment Banker/Broker	0.1
Diagnostic Equipment	0.1
Metal Processors & Fabrication	0.1
Cruise Lines	0.1
Retail-Apparel/Shoe	0.1
Building Products-Wood	0.1
Pharmacy Services	0.1
Hazardous Waste Disposal	0.1
Funeral Services & Related Items	0.1
Machinery-General Industrial	0.1
Electronic Security Devices	0.1
Machinery-Pumps	0.1
Retail-Gardening Products	0.1
Computer Software	0.1
Real Estate Management/Services	0.1
Casino Hotels	0.1
Toys	0.1
Independent Power Producers	0.1
Gas-Distribution	0.1
Data Processing/Management	0.1
Batteries/Battery Systems	0.1

94

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Retail-Catalog Shopping	0.1	%
Wireless Equipment	0.1
Electronic Components-Misc.	0.1
Machinery-Farming	0.1
Medical-Wholesale Drug Distribution	0.1
Metal-Copper	0.1
Retail-Automobile	0.1
Hospital Beds/Equipment	0.1
	124.8	%
Credit Quality†#
Aaa	52.4	%
Aa	3.2
A	9.2
Baa	14.1
Ba	9.3
B	1.1
Caa	1.6
Ca	0.6
Not Rated@	8.5
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

@  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, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 16.5%
Aerospace/Defense — 0.3%
Northrop Grumman Corp.		431	$	92,213
Teledyne Technologies, Inc.†		640		69,075
				161,288
Airlines — 0.2%
United Continental Holdings, Inc.†		1,795		94,184
Apparel Manufacturers — 0.1%
Carter's, Inc.		646		56,015
Applications Software — 0.8%
Microsoft Corp.		6,037		347,731
salesforce.com, Inc.†		1,173		83,670
				431,401
Athletic Footwear — 0.2%
NIKE, Inc., Class B		1,720		90,558
Auto/Truck Parts & Equipment-Original — 0.1%
Delphi Automotive PLC		934		66,613
Banks-Commercial — 0.0%
PacWest Bancorp		379		16,263
Beverages-Non-alcoholic — 0.2%
Coca-Cola Co.		3,225		136,482
Building Products-Cement — 0.1%
Vulcan Materials Co.		748		85,070
Cable/Satellite TV — 0.4%
Comcast Corp., Class A		3,248		215,472
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		2,094		97,832
Chemicals-Diversified — 0.1%
PPG Industries, Inc.		678		70,078
Commercial Services — 0.5%
Aramark		2,369		90,093
CoStar Group, Inc.†		231		50,018
Nielsen Holdings PLC		1,529		81,909
ServiceMaster Global Holdings, Inc.†		1,413		47,590
				269,610
Commercial Services-Finance — 0.1%
Equifax, Inc.		249		33,510
S&P Global, Inc.		353		44,676
				78,186
Computer Services — 0.2%
Amdocs, Ltd.		1,108		64,098
Cognizant Technology Solutions Corp., Class A†		908		43,320
				107,418
Computer Software — 0.1%
SS&C Technologies Holdings, Inc.		1,363		43,820
Computers — 0.5%
Apple, Inc.		2,620		296,191
Consulting Services — 0.1%
Verisk Analytics, Inc.†		764		62,098

Security Description	Shares		Value (Note 2)
Containers-Metal/Glass — 0.2%
Crown Holdings, Inc.†		1,633	$	93,228
Containers-Paper/Plastic — 0.1%
Sealed Air Corp.		1,363		62,453
Cosmetics & Toiletries — 0.3%
Colgate-Palmolive Co.		711		52,713
Estee Lauder Cos., Inc., Class A		1,030		91,217
				143,930
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		1,434		54,062
Diversified Manufacturing Operations — 0.1%
A.O. Smith Corp.		519		51,272
Dover Corp.		430		31,665
				82,937
E-Commerce/Products — 0.6%
Amazon.com, Inc.†		395		330,737
E-Commerce/Services — 0.2%
Priceline Group, Inc.†		91		133,906
Electronic Components-Misc. — 0.1%
Flex, Ltd.†		2,369		32,266
Electronic Components-Semiconductors — 0.2%
Texas Instruments, Inc.		1,268		88,988
Electronic Connectors — 0.3%
Amphenol Corp., Class A		2,269		147,303
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		2,822		72,046
Electronic Forms — 0.2%
Adobe Systems, Inc.†		1,131		122,759
Electronic Measurement Instruments — 0.1%
National Instruments Corp.		1,650		46,860
Electronic Security Devices — 0.1%
Allegion PLC		717		49,408
Enterprise Software/Service — 0.3%
Tyler Technologies, Inc.†		485		83,047
Ultimate Software Group, Inc.†		337		68,879
				151,926
Entertainment Software — 0.2%
Activision Blizzard, Inc.		2,130		94,359
Finance-Consumer Loans — 0.1%
Synchrony Financial		1,699		47,572
Finance-Credit Card — 0.6%
MasterCard, Inc., Class A		1,359		138,305
Visa, Inc., Class A		2,201		182,023
				320,328
Finance-Investment Banker/Broker — 0.1%
E*TRADE Financial Corp.†		1,545		44,990
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc.		214		57,643

96

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Confectionery — 0.2%
Hershey Co.		932	$	89,099
Food-Retail — 0.2%
Kroger Co.		2,970		88,150
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		1,305		63,958
Hotels/Motels — 0.1%
Hilton Worldwide Holdings, Inc.		2,388		54,757
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		762		114,559
Instruments-Controls — 0.3%
Honeywell International, Inc.		934		108,895
Sensata Technologies Holding NV†		1,865		72,325
				181,220
Insurance-Property/Casualty — 0.1%
Progressive Corp.		900		28,350
Internet Content-Entertainment — 0.5%
Facebook, Inc., Class A†		2,074		266,032
Investment Management/Advisor Services — 0.0%
BlackRock, Inc.		72		26,097
Machinery-General Industrial — 0.1%
Roper Technologies, Inc.		280		51,092
Machinery-Pumps — 0.1%
Flowserve Corp.		994		47,951
Medical Information Systems — 0.1%
athenahealth, Inc.†		661		83,365
Medical Instruments — 0.2%
Boston Scientific Corp.†		3,799		90,416
Medical-Biomedical/Gene — 0.9%
Alder Biopharmaceuticals, Inc.†		1,501		49,188
Amgen, Inc.		1,027		171,314
Biogen, Inc.†		288		90,152
Celgene Corp.†		1,104		115,401
Regeneron Pharmaceuticals, Inc.†		188		75,580
				501,635
Medical-Drugs — 1.2%
Allergan PLC†		624		143,714
Bristol-Myers Squibb Co.		2,385		128,599
Eli Lilly & Co.		1,922		154,260
Ironwood Pharmaceuticals, Inc.†		3,917		62,202
Mallinckrodt PLC†		1,289		89,946
Pfizer, Inc.		3,086		104,523
				683,244
Medical-HMO — 0.2%
Aetna, Inc.		903		104,251
Medical-Hospitals — 0.2%
Universal Health Services, Inc., Class B		905		111,514

Security Description	Shares		Value (Note 2)
Metal Processors & Fabrication — 0.1%
Rexnord Corp.†		2,615	$	55,987
Multimedia — 0.1%
Walt Disney Co.		672		62,402
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp.		767		48,597
Oil-Field Services — 0.0%
Halliburton Co.		365		16,381
Pharmacy Services — 0.1%
Diplomat Pharmacy, Inc.†		1,857		52,015
Real Estate Investment Trusts — 0.4%
American Tower Corp.		1,482		167,955
Simon Property Group, Inc.		271		56,100
				224,055
Real Estate Management/Services — 0.1%
Jones Lang LaSalle, Inc.		371		42,216
Recreational Vehicles — 0.1%
Polaris Industries, Inc.		822		63,656
Retail-Apparel/Shoe — 0.1%
L Brands, Inc.		756		53,502
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		62		47,637
Retail-Building Products — 0.2%
Lowe's Cos., Inc.		1,973		142,470
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		1,707		34,157
Retail-Discount — 0.3%
Costco Wholesale Corp.		533		81,288
Dollar Tree, Inc.†		958		75,615
				156,903
Retail-Gardening Products — 0.1%
Tractor Supply Co.		684		46,067
Retail-Restaurants — 0.2%
Dunkin' Brands Group, Inc.		1,235		64,319
Starbucks Corp.		1,455		78,773
				143,092
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		1,712		51,548
Television — 0.0%
ION Media Networks, Inc.†(1)(12)(13)		4		4,840
Tobacco — 0.2%
Altria Group, Inc.		1,864		117,861
Toys — 0.1%
Mattel, Inc.		1,289		39,031
Transport-Rail — 0.1%
CSX Corp.		2,627		80,124
Web Portals/ISP — 0.9%
Alphabet, Inc., Class C†		647		502,907
Total Common Stocks (cost $8,091,241)				9,127,418

97

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.4%
Banks-Commercial — 0.5%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(2)	EUR	200,000	$	208,960
Banco Santander SA FRS 6.25% due 03/12/2019(2)	EUR	100,000		100,540
				309,500
Building Societies — 0.4%
Nationwide Building Society FRS 6.88% due 06/20/2019(2)	GBP	175,000		216,109
Diversified Banking Institutions — 1.3%
Credit Agricole SA FRS 8.13% due 12/23/2025(2)		200,000		212,000
Credit Suisse Group AG FRS 6.25% due 12/18/2024(2)		275,000		260,218
Societe Generale SA FRS 8.25% due 11/29/2018(2)		225,000		228,085
				700,303
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(1)(12)		8,000		1
Insurance-Property/Casualty — 0.2%
ACE Capital Trust II 9.70% due 04/01/2030		80,000		120,800
Total Preferred Securities/Capital Securities (cost $1,512,140)				1,346,713
ASSET BACKED SECURITIES — 27.7%
Diversified Financial Services — 27.7%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 0.70% due 01/25/2037(3)		83,264		75,876
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		7,000		7,067
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.16% due 07/27/2026*(4)		250,000		250,131
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.55% due 04/20/2023*(4)		158,724		157,791
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.10% due 10/25/2034(12)		4,438		4,200
Atrium XI FRS Series 11-A, Class B 2.86% due 10/23/2025*(4)		250,000		249,323
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.94% due 02/10/2051(5)		118,424		120,817

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(5)	$	235,000	$	249,906
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.88% due 02/25/2036(3)		186,369		168,235
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW17, Class A4 5.69% due 06/11/2050(5)		85,482		87,829
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-PW16, Class A4 5.91% due 06/11/2040(5)		42,763		43,427
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		18,250		17,892
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 1.80% due 07/15/2025*(4)		250,000		248,725
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.20% due 04/27/2027*(4)		250,000		250,205
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class B 3.13% due 10/15/2026*(4)		250,000		249,317
Cent CLO, Ltd. FRS Series 2015-23A, Class A1 2.17% due 04/17/2026*(4)		250,000		249,718
Cent CLO, Ltd. FRS Series 2013-20A, Class A 2.19% due 01/25/2026*(4)		250,000		249,537
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.31% due 05/24/2026*(4)		250,000		249,734
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(5)		120,000		131,493
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(5)		75,000		83,301
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.33% due 12/10/2049(5)		37,025		38,181
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.04% due 03/25/2036(3)		100,084		96,227
Citigroup/Deutsche Bank Commercial Mtg. Trust Series 2007-CD4, Class A4 5.32% due 12/11/2049(5)		71,155		71,459

98

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup/Deutsche Bank Commercial Mtg. Trust VRS Series 2007-CD5, Class A4 5.89% due 11/15/2044(5)	$	139,305	$	142,806
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(5)		75,000		83,032
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5)		110,000		116,040
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(5)		155,000		165,270
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5)		155,059		167,297
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(5)		149,000		164,184
Commercial Mtg. Trust Series 2007-GG9, Class A4 5.44% due 03/10/2039(5)		94,310		94,449
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.30% due 12/10/2049(5)		88,722		91,286
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3)		66,709		59,633
Countrywide Home Loan Mtg. Pass Through Trust Series 2006-14, Class A3 6.25% due 09/25/2036(3)		3,786		3,407
CPS Auto Receivables Trust Series 2012-D, Class A 1.48% due 03/16/2020*		12,955		12,955
Credit Suisse First Boston Mtg. Securities Corp. Series 2005-C3, Class AJ 4.77% due 07/15/2037(5)		211		211
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.03% due 06/15/2057(5)(6)		1,242,243		66,632
Domino's Pizza Master Issuer LLC Series 2012-1A, Class A2 5.22% due 01/25/2042*(12)		39,852		40,983
Drive Auto Receivables Trust Series 2015-BA, Class B 2.12% due 06/17/2019*		83,239		83,350
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 2.03% due 04/18/2026*(4)		250,000		249,812

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
First Horizon Alternative Mtg. Securities Trust FRS Series 2005-AA3, Class 3A1 2.74% due 05/25/2035(3)	$	166,113	$	149,697
First Investors Auto Owner Trust Series 2014-1A, Class A3 1.49% due 01/15/2020*		18,333		18,339
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		3,139		3,140
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		191,366
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,004
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		50,000		50,019
Ford Credit Floorplan Master Owner Trust Series 2014-4, Class A1 1.40% due 08/15/2019		11,000		11,029
Galaxy XIX CLO, Ltd. FRS Series 2015-19A, Class A1A 2.26% due 01/24/2027*(4)		250,000		250,619
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(5)		160,000		165,968
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(5)		40,000		48,286
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(5)		100,000		108,031
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(5)		145,000		159,641
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5)		140,000		154,972
GSAA Home Equity Trust FRS Series 2007-4, Class A1 0.63% due 03/25/2037(12)		255,181		137,924
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 2.89% due 04/25/2036(3)		13,845		11,547
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.95% due 01/25/2036(3)		67,785		62,952
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.99% due 03/25/2047(3)		39,695		32,765
GSR Mtg. Loan Trust VRS Series 2005-AR2, Class 1A2 3.04% due 04/25/2035(3)		64,047		61,198
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		160,000		166,760

99

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(5)	$	195,000	$	194,966
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.07% due 05/25/2035(3)		99,033		88,980
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(5)		141,289		152,110
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(5)		78,250		87,506
JP Morgan Chase Commercial Mtg. Securities Trust Series 2006-LDP9, Class A3 5.34% due 05/15/2047(5)		54,751		54,759
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.88% due 02/12/2049(5)		86,372		87,603
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(5)		89,756		92,057
JPMBB Commercial Mtg. Securities Trust Series 2015-C28, Class A4 3.23% due 10/15/2048(5)		126,000		132,646
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5)		64,000		69,842
LB-UBS Commercial Mtg. Trust Series 2007-C2, Class A3 5.43% due 02/15/2040(5)		14,786		14,908
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(5)		93,801		94,948
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.29% due 04/15/2041(5)		47,030		49,072
LSTAR Securities Investment Trust FRS Series 2015-2, Class A 2.52% due 01/01/2020*(3)		81,992		81,286
LSTAR Securities Investment Trust FRS Series 2015-4, Class A1 2.52% due 04/01/2020*(3)		149,766		147,894
LSTAR Securities Investment Trust FRS Series 2015-9, Class A1 2.52% due 10/01/2020*(3)		160,010		157,585

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.99% due 10/23/2025*(4)	$	250,000	$	249,693
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.66% due 07/25/2026*(4)		250,000		249,374
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.65% due 02/25/2035(3)		26,618		26,609
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.85% due 12/25/2034(3)		46,221		46,098
ML-CFC Commercial Mtg. Trust Series 2007-5, Class A4 5.38% due 08/12/2048(5)		90,307		90,744
ML-CFC Commercial Mtg. Trust Series 2007-9, Class A4 5.70% due 09/12/2049(5)		52,513		54,119
ML-CFC Commercial Mtg. Trust VRS Series 2007-7, Class A4 5.81% due 06/12/2050(5)		77,540		78,837
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.30% due 12/15/2047(5)(6)		355,894		21,075
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(5)		25,000		27,948
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(5)		105,000		111,229
Morgan Stanley Capital I Trust VRS Series 2007-IQ14, Class A4 5.69% due 04/15/2049(5)		115,000		116,252
Morgan Stanley Capital I Trust Series 2007-IQ16, Class A4 5.81% due 12/12/2049(5)		58,975		60,642
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.48% due 01/11/2043(5)		56,662		59,308
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3)		47,074		40,880
MortgageIT Trust FRS Series 2005-4, Class A1 0.81% due 10/25/2035(3)		230,405		210,453
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/25/2035*(3)		132,240		137,368
Nomura Asset Acceptance Corp Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.81% due 06/25/2036(3)		149,113		111,774

100

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		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*(3)	$	15,466	$	15,535
NRZ Advance Receivables Trust Series 2015-T2, Class AT2 3.30% due 08/17/2048*		440,000		441,200
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.37% due 02/15/2026*(4)		250,000		250,663
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.21% due 04/17/2027*(4)		215,000		215,317
OHA Credit Partners VII, Ltd. FRS Series 2012-7A, Class A 2.23% due 11/20/2023*(4)		200,000		200,693
OHA Loan Funding 2015-1, Ltd. FRS Series 2015-1A, Class A 2.32% due 02/15/2027*(4)		250,000		251,030
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		170,000		174,974
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.63% due 02/25/2037(12)		51,847		30,532
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.23% due 04/17/2026*(4)		250,000		250,564
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.21% due 04/30/2027*(4)		250,000		249,695
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.19% due 04/15/2027*(4)		250,000		249,812
RFMSI Series Trust VRS Series 2005-SA3, Class 1A 3.25% due 08/25/2035(3)		137,631		102,050
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3)		2,485		2,464
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.66% due 05/25/2037(12)		127,672		98,988
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 2.87% due 02/20/2047(3)		126,471		107,962
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(12)		100,000		100,197
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.21% due 04/15/2027*(4)		250,000		250,493
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.78% due 11/25/2036(12)		195,000		136,804

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(12)	$	63,659	$	63,866
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		56,363		56,435
Springleaf Mtg. Loan Trust VRS Series 2013-2A, Class M1 3.52% due 12/25/2065*(3)		100,000		100,439
Thornburg Mtg. Securities Trust FRS Series 2005-1, Class A3 2.53% due 04/25/2045(3)		95,686		95,846
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 08/25/2055*(3)		119,719		119,665
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3)		97,389		98,681
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.20% due 04/20/2027*(4)		250,000		250,500
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.16% due 04/18/2027*(4)		250,000		250,098
Voya CLO, Ltd. FRS Series 2014-4A, Class A2A 3.07% due 10/14/2026*(4)		250,000		249,294
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.19% due 11/25/2046(3)		138,862		123,512
Wells Fargo Commercial Mtg.Trust VRS Series 2015-NXS3, Class XA 1.34% due 09/15/2057(5)(6)		994,627		66,184
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5)		80,000		87,582
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(5)		10,000		8,193
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-BB, Class A2 2.86% due 01/25/2035(3)		151,874		151,602
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR2, Class 2A2 2.88% due 03/25/2035(3)		104,706		105,577
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.93% due 11/25/2034(3)		2,606		2,605
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR14, Class 2A1 3.03% due 10/25/2036(3)		65,750		62,174
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		62,037		62,058
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.99% due 02/15/2044*(5)(6)		637,640		17,782
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5)		145,000		160,540

101

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		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(5)	$	130,000	$	143,841
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5)		60,000		66,774
Total Asset Backed Securities (cost $15,201,341)				15,352,781
U.S. CORPORATE BONDS & NOTES — 25.7%
Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		15,000		15,353
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		25,000		25,807
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		15,000		17,822
				58,982
Apparel Manufacturers — 0.1%
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026*		15,000		15,338
William Carter Co. Company Guar. Notes 5.25% due 08/15/2021		50,000		52,281
				67,619
Applications Software — 0.3%
Microsoft Corp. Senior Notes 1.55% due 08/08/2021		70,000		69,714
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		25,000		25,021
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		45,000		45,548
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		35,000		35,460
				175,743
Auto-Cars/Light Trucks — 0.8%
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		35,000		46,294
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		11,000		11,021
General Motors Co. Senior Notes 6.60% due 04/01/2036		50,000		60,159
General Motors Co. Senior Notes 6.75% due 04/01/2046		10,000		12,537

Security Description	Principal Amount(10)		Value (Note 2)
Auto-Cars/Light Trucks (continued)
General Motors Financial Co., Inc. Company Guar. Notes 2.40% due 04/10/2018	$	75,000	$	75,541
General Motors Financial Co., Inc. Company Guar. Notes 3.50% due 07/10/2019		100,000		103,020
General Motors Financial Co., Inc. Company Guar. Notes 4.75% due 08/15/2017		115,000		118,110
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		30,000		32,949
				459,631
Banks-Commercial — 0.5%
Capital One NA Senior Notes 1.65% due 02/05/2018		250,000		250,293
Banks-Super Regional — 0.9%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		30,000		31,299
PNC Funding Corp. Sub. Notes 5.63% due 02/01/2017		75,000		76,079
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		91,000		91,461
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		30,282
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		60,000		61,083
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		110,000		121,111
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		50,000		59,730
				471,045
Batteries/Battery Systems — 0.1%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		35,000		34,956
Brewery — 1.7%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		65,000		65,627
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		15,000		15,257
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		250,000		263,877

102

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026	$	135,000	$	144,990
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		80,000		91,982
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		225,000		267,701
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		25,000		25,494
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		50,046
Molson Coors Brewing Co. Company Guar. Notes 4.20% due 07/15/2046		25,000		26,048
				951,022
Broadcast Services/Program — 0.1%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		55,000		59,125
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		70,000		74,900
Building Products-Wood — 0.0%
Masco Corp. Senior Notes 5.95% due 03/15/2022		14,000		15,960
Building-Heavy Construction — 0.4%
SBA Tower Trust Mtg. Notes 2.90% due 10/15/2044*		100,000		101,405
SBA Tower Trust Mtg. Notes 3.60% due 04/15/2043*		120,000		120,403
				221,808
Building-Residential/Commercial — 0.2%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		80,000		83,400
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		31,875
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,575
				120,850

Security Description	Principal Amount(10)		Value (Note 2)
Cable/Satellite TV — 2.0%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022	$	55,000	$	57,475
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020*		25,000		26,130
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022*		55,000		59,348
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025*		85,000		93,760
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045*		160,000		193,492
Comcast Corp. Company Guar. Notes 1.63% due 01/15/2022		25,000		24,791
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		80,000		82,895
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		50,000		48,605
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		65,000		72,194
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		10,000		11,766
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		40,000		40,278
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		80,000		82,441
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		3,890
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		75,000		81,000
Time Warner Cable, Inc. Senior Sec. Notes 4.50% due 09/15/2042		45,000		42,942

103

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Time Warner Cable, Inc. Senior Sec. Notes 5.88% due 11/15/2040	$	45,000	$	49,972
Time Warner Cable, Inc. Senior Sec. Notes 6.75% due 07/01/2018		40,000		43,462
Time Warner Cable, Inc. Senior Sec. Notes 8.75% due 02/14/2019		105,000		121,092
				1,135,533
Casino Hotels — 0.1%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.38% due 03/15/2022		40,000		41,450
Cellular Telecom — 0.2%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		20,000		21,450
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		25,000		27,594
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		50,000		48,750
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		25,000		25,687
				123,481
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		35,000		35,787
Computers — 0.3%
Apple, Inc. Senior Notes 1.55% due 08/04/2021		55,000		54,905
Apple, Inc. Senior Notes 3.45% due 02/09/2045		45,000		42,996
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		10,228
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 3.48% due 06/01/2019*		25,000		25,712
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 4.42% due 06/15/2021*		20,000		20,902
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		15,000		17,960
				172,703

Security Description	Principal Amount(10)		Value (Note 2)
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*	$	15,000	$	16,125
Containers-Paper/Plastic — 0.1%
Crown Americas LLC/Crown Americas Capital Corp. V Company Guar. Notes 4.25% due 09/30/2026*		10,000		10,012
Graphic Packaging International, Inc. Company Guar. Notes 4.13% due 08/15/2024		5,000		5,038
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Senior Sec. Notes 5.13% due 07/15/2023*		30,000		30,975
				46,025
Data Processing/Management — 0.1%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		35,000		36,050
Decision Support Software — 0.0%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*		10,000		10,587
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		10,000		10,675
				21,262
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,924
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		45,000		46,086
				56,010
Diversified Banking Institutions — 4.6%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		25,000		25,138
Bank of America Corp. Senior Notes 2.63% due 04/19/2021		50,000		50,795
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		125,000		133,434
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		35,000		41,203
Bank of America Corp. Senior Notes 6.00% due 09/01/2017		35,000		36,394

104

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 6.88% due 04/25/2018	$	125,000	$	134,857
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,853
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		110,000		115,367
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		200,000		209,295
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		45,000		50,789
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		20,000		22,809
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		70,000		69,838
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		50,000		50,553
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		20,000		20,327
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		40,000		40,973
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		40,000		41,026
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		60,000		62,051
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		120,000		130,862
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		38,000		42,079
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		15,000		18,901
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		71,916
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		35,000		43,252
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		56,000		71,305
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		35,000		35,076

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021	$	85,000	$	85,959
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		75,000		75,774
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		15,000		15,733
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		55,000		59,012
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		55,000		60,392
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		19,203
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		110,000		116,217
Morgan Stanley Senior Notes 1.88% due 01/05/2018		105,000		105,429
Morgan Stanley Senior Notes 2.50% due 04/21/2021		25,000		25,313
Morgan Stanley Senior Notes 3.13% due 07/27/2026		91,000		91,544
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		41,546
Morgan Stanley Senior Notes 4.00% due 07/23/2025		50,000		53,768
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		52,000		55,515
Morgan Stanley Sub. Notes 4.88% due 11/01/2022		10,000		11,030
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		112,063
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		107,148
				2,558,739
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021*		10,000		10,234
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046*		10,000		10,732
				20,966

105

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated — 0.8%
AES Corp. Senior Notes 4.88% due 05/15/2023	$	3,000	$	3,045
AES Corp. Senior Notes 5.50% due 03/15/2024		5,000		5,203
AES Corp. Senior Notes 8.00% due 06/01/2020		60,000		70,650
Dominion Resources, Inc. Senior Notes 2.85% due 08/15/2026		30,000		29,839
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		30,000		29,971
Duke Energy Corp. Senior Notes 2.65% due 09/01/2026		15,000		14,719
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		50,000		48,755
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		5,100
Exelon Corp. Senior Notes 2.85% due 06/15/2020		70,000		72,582
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		20,000		20,079
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		60,000		80,557
Southern Co. Senior Notes 1.85% due 07/01/2019		35,000		35,275
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,332
Southern Co. Senior Notes 4.40% due 07/01/2046		15,000		16,185
				442,292
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		12,670
Electronic Components-Semiconductors — 0.1%
Intel Corp. Senior Notes 4.10% due 05/19/2046		25,000		26,758
Electronic Measurement Instruments — 0.1%
Fortive Corp. Company Guar. Notes 2.35% due 06/15/2021*		30,000		30,369

Security Description	Principal Amount(10)		Value (Note 2)
Enterprise Software/Service — 0.2%
Oracle Corp. Senior Notes 1.90% due 09/15/2021	$	90,000	$	90,228
Finance-Commercial — 0.1%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		70,000		74,112
Finance-Consumer Loans — 0.4%
Navient Corp. Senior Notes 5.50% due 01/15/2019		25,000		25,375
Navient Corp. Senior Notes 6.63% due 07/26/2021		10,000		10,075
Navient Corp. Senior Notes 7.25% due 09/25/2023		45,000		45,000
Navient Corp. Senior Notes 8.45% due 06/15/2018		50,000		53,750
Synchrony Financial Senior Notes 2.60% due 01/15/2019		70,000		70,825
				205,025
Finance-Credit Card — 0.2%
Visa, Inc. Senior Notes 2.80% due 12/14/2022		40,000		41,933
Visa, Inc. Senior Notes 4.30% due 12/14/2045		60,000		69,341
				111,274
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		10,000		10,739
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(12)		10,000		755
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(12)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(12)		11,000		1
				11,496
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		45,000		46,750
Nasdaq, Inc. Senior Notes 3.85% due 06/30/2026		10,000		10,464
				57,214

106

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Financial Guarantee Insurance — 0.0%
Radian Group, Inc. Senior Notes 7.00% due 03/15/2021	$	10,000	$	11,213
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018		25,000		25,231
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		30,000		31,090
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		10,000		10,580
				66,901
Food-Retail — 0.1%
Kroger Co. Senior Notes 1.50% due 09/30/2019		20,000		19,967
Kroger Co. Senior Notes 2.65% due 10/15/2026		25,000		24,813
Kroger Co. Senior Notes 3.88% due 10/15/2046		5,000		5,031
				49,811
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		40,857
Funeral Services & Related Items — 0.1%
Service Corp. International Senior Notes 4.50% due 11/15/2020		40,000		40,900
Service Corp. International Senior Notes 5.38% due 01/15/2022		10,000		10,400
				51,300
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		25,000		26,500
Southern Co. Gas Capital Corp. Company Guar. Notes 2.45% due 10/01/2023		10,000		10,056
				36,556
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 5.25% due 08/01/2020		50,000		51,375

Security Description	Principal Amount(10)		Value (Note 2)
Hospital Beds/Equipment — 0.1%
Kinetic Concepts, Inc./ KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*	$	25,000	$	27,062
Hotels/Motels — 0.0%
Hilton Domestic Operating Co., Inc. Senior Notes 4.25% due 09/01/2024*		10,000		10,200
Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		2,000		2,113
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		10,000		10,475
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026*		25,000		25,437
				38,025
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		15,844
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		10,000		9,925
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		70,815
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		20,925
Machinery-Farming — 0.1%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020		30,000		31,350
Medical Instruments — 0.2%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		40,000		41,372
Medtronic, Inc. Company Guar. Notes 4.38% due 03/15/2035		24,000		27,196
Medtronic, Inc. Company Guar. Notes 4.63% due 03/15/2045		20,000		23,500
				92,068
Medical Products — 0.2%
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		110,000		110,055

107

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 4.63% due 05/15/2044	$	20,000	$	21,082
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		10,000		10,106
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		35,000		37,165
				68,353
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 3.20% due 05/14/2026		25,000		25,309
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		6,000		6,304
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		75,000		77,316
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		15,000		15,412
				124,341
Medical-HMO — 0.5%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		20,000		20,423
Aetna, Inc. Senior Notes 4.25% due 06/15/2036		10,000		10,357
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		53,926
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		11,599
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		35,000		35,232
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		65,000		69,798
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		60,399
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		20,000		23,984
				285,718
Medical-Hospitals — 0.4%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		30,000		29,775

Security Description	Principal Amount(10)		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019	$	30,000	$	31,012
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		5,000		5,513
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		10,000		10,650
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		40,000		44,300
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		25,000		25,938
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		75,000		79,312
				226,500
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,284
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		10,000		10,450
Metal-Copper — 0.1%
Freeport-McMoRan, Inc. Company Guar. Notes 4.55% due 11/14/2024		20,000		18,125
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043		15,000		12,037
				30,162
Multimedia — 0.4%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		85,000		107,508
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		95,000		124,543
Viacom, Inc. Senior Notes 3.45% due 10/04/2026		5,000		4,997
				237,048
Networking Products — 0.2%
Cisco Systems, Inc. Senior Notes 1.40% due 09/20/2019		75,000		75,066
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		50,000		51,159
				126,225

108

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production — 1.4%
Anadarko Petroleum Corp. Senior Notes 4.85% due 03/15/2021	$	20,000	$	21,470
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		55,000		62,152
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		50,000		60,838
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,596
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		5,094
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		20,000		20,625
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		80,000		90,173
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		20,000		19,950
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		95,000		94,321
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		10,000		12,388
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026		25,000		27,305
Hess Corp. Senior Notes 4.30% due 04/01/2027		40,000		40,311
Hess Corp. Senior Notes 5.60% due 02/15/2041		25,000		24,919
Hess Corp. Senior Notes 5.80% due 04/01/2047		30,000		30,695
Hess Corp. Senior Notes 6.00% due 01/15/2040		25,000		25,547
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		75,000		90,160
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		20,000		19,603
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		40,000		37,047
Pioneer Natural Resources Co. Senior Notes 3.95% due 07/15/2022		10,000		10,641

Security Description	Principal Amount(10)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026	$	70,000	$	75,916
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		5,000		4,713
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		9,981
				800,445
Oil Refining & Marketing — 0.1%
Tesoro Corp. Company Guar. Notes 5.13% due 04/01/2024		10,000		10,300
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		55,000		54,634
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		15,000		14,805
				79,739
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		4,000		4,005
Clearwater Paper Corp. Company Guar. Notes 5.38% due 02/01/2025*		35,000		35,656
				39,661
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		5,000		5,256
Pipelines — 1.6%
DCP Midstream LLC Senior Notes 9.75% due 03/15/2019*		5,000		5,560
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		5,000		4,875
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,550
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		5,094
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		86,000		94,385
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		125,000		126,259
Enterprise Products Operating LLC Company Guar. Notes 3.95% due 02/15/2027		25,000		26,197

109

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020	$	15,000	$	16,184
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		5,000		5,613
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		10,000		11,348
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		60,000		57,135
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		15,000		17,089
MPLX LP Company Guar. Notes 4.50% due 07/15/2023		5,000		5,097
MPLX LP Company Guar. Notes 4.88% due 12/01/2024		20,000		20,687
MPLX LP Company Guar. Notes 4.88% due 06/01/2025		10,000		10,333
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		50,000		47,387
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 3.65% due 06/01/2022		50,000		50,684
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		60,000		66,161
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		30,000		31,162
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.50% due 10/15/2019		15,000		15,975
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		4,000		4,120
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		25,000		26,687
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		45,000		44,859

Security Description	Principal Amount(10)		Value (Note 2)
Pipelines (continued)
Williams Partners LP Senior Notes 3.60% due 03/15/2022	$	130,000	$	132,258
Williams Partners LP Senior Notes 4.00% due 11/15/2021		20,000		20,699
Williams Partners LP Senior Notes 5.25% due 03/15/2020		25,000		27,064
				882,462
Real Estate Investment Trusts — 0.5%
American Tower Corp. Senior Notes 3.40% due 02/15/2019		85,000		88,319
Corrections Corp of America Company Guar. Notes 4.13% due 04/01/2020		10,000		9,400
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		10,000		10,465
Crown Castle International Corp. Senior Notes 3.70% due 06/15/2026		25,000		26,085
HCP, Inc. Senior Notes 6.00% due 01/30/2017		50,000		50,715
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		15,000		15,802
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 4.75% due 06/01/2021		50,000		55,513
				256,299
Real Estate Operations & Development — 0.2%
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		100,000		105,727
Rental Auto/Equipment — 0.2%
ERAC USA Finance LLC Company Guar. Notes 2.60% due 12/01/2021*		45,000		45,867
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		30,000		40,915
United Rentals North America, Inc. Sec. Notes 4.63% due 07/15/2023		15,000		15,375
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		20,400
				122,557

110

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Auto Parts — 0.0%
AutoZone, Inc. Senior Notes 1.63% due 04/21/2019	$	15,000	$	15,051
Retail-Automobile — 0.1%
Group 1 Automotive, Inc. Company Guar. Notes 5.00% due 06/01/2022		30,000		30,094
Retail-Building Products — 0.3%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		40,000		39,089
Lowe's Cos., Inc. Senior Notes 2.50% due 04/15/2026		70,000		70,255
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		55,000		56,825
				166,169
Retail-Drug Store — 0.5%
CVS Health Corp. Senior Notes 2.13% due 06/01/2021		15,000		15,152
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		100,000		103,606
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		23,000		25,038
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		65,000		79,537
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		8,474		9,853
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		12,334		14,584
Walgreens Boots Alliance, Inc. Senior Notes 2.60% due 06/01/2021		20,000		20,467
Walgreens Boots Alliance, Inc. Senior Notes 3.10% due 06/01/2023		15,000		15,472
				283,709
Retail-Restaurants — 0.0%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		15,000		15,863
Semiconductor Equipment — 0.1%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		45,000		46,189

Security Description	Principal Amount(10)		Value (Note 2)
Steel-Producers — 0.1%
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021	$	10,000	$	10,388
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,712
United States Steel Corp. Senior Notes 7.38% due 04/01/2020		17,000		16,915
				43,015
Telecommunication Equipment — 0.0%
CommScope, Inc. Senior Sec. Notes 4.38% due 06/15/2020*		20,000		20,600
Telephone-Integrated — 1.2%
AT&T, Inc. Senior Notes 1.75% due 01/15/2018		50,000		50,248
AT&T, Inc. Senior Notes 2.40% due 03/15/2017		75,000		75,438
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		45,000		47,434
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		30,000		31,521
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		145,000		151,736
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		10,000		10,600
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		69,000		71,891
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		60,000		63,488
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		26,000		27,491
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		71,000		74,687
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		52,000		57,420
				661,954
Television — 0.2%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		15,000		15,909
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		85,000		87,231
				103,140

111

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Tobacco — 0.2%
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026	$	15,000	$	15,166
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		20,749
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		49,000		51,552
				87,467
Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023		20,000		20,376
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		40,000		41,024
				61,400
Transport-Services — 0.2%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026		15,000		15,819
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		25,000		27,770
Ryder System, Inc. Senior Notes 2.55% due 06/01/2019		45,000		45,888
				89,477
Trucking/Leasing — 0.3%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		130,000		145,066
X-Ray Equipment — 0.0%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		10,000		10,613
Total U.S. Corporate Bonds & Notes (cost $13,571,620)				14,232,819
FOREIGN CORPORATE BONDS & NOTES — 4.2%
Aerospace/Defense — 0.0%
BAE Systems PLC Senior Notes 4.75% due 10/11/2021*		10,000		11,120
Banks-Commercial — 0.8%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		60,000		63,928
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		120,000		125,479
BPCE SA Sub. Notes 5.15% due 07/21/2024*		200,000		210,370

Security Description	Principal Amount(10)		Value (Note 2)
Banks-Commercial (continued)
Credit Suisse AG Sub. Notes 5.40% due 01/14/2020	$	51,000	$	55,746
				455,523
Building Products-Wood — 0.1%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		35,000		37,187
Diversified Banking Institutions — 0.4%
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		200,000		206,852
Royal Bank of Scotland Group PLC Sub. Notes 6.13% due 12/15/2022		30,000		31,789
				238,641
Diversified Minerals — 0.0%
Teck Resources, Ltd. Company Guar. Notes 8.50% due 06/01/2024*		10,000		11,450
Electric-Generation — 0.1%
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		45,000		48,699
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021*		15,000		14,945
Fortis, Inc. Senior Notes 3.06% due 10/04/2026*		10,000		9,958
				24,903
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		5,000		5,387
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		3,000		3,285
				8,672
Medical-Drugs — 0.4%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		50,000		50,063
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		90,000		89,796
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		75,000		74,717

112

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Drugs (continued)
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026	$	15,000	$	15,070
				229,646
Medical-Generic Drugs — 0.7%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		165,000		166,702
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		115,000		118,739
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*		25,000		25,551
Mylan NV Company Guar. Notes 3.15% due 06/15/2021*		35,000		35,657
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		30,000		31,331
				377,980
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		20,000		21,517
Oil Companies-Exploration & Production — 0.1%
Encana Corp. Senior Notes 3.90% due 11/15/2021		25,000		25,049
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		6,000		4,748
				29,797
Oil Companies-Integrated — 1.0%
BP Capital Markets PLC Company Guar. Notes 2.11% due 09/16/2021		15,000		15,087
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		30,000		30,813
BP Capital Markets PLC Company Guar. Notes 2.75% due 05/10/2023		50,000		50,835
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		95,000		90,334
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		10,000		9,894
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		55,000		49,388

Security Description	Principal Amount(10)		Value (Note 2)
Oil Companies-Integrated (continued)
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019	$	25,000	$	26,836
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		40,000		42,180
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		76,000		65,884
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		20,000		21,802
Shell International Finance BV Company Guar. Notes 3.25% due 05/11/2025		45,000		47,406
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		45,000		48,573
Statoil ASA Company Guar. Notes 3.70% due 03/01/2024		10,000		10,868
Statoil ASA Company Guar. Notes 3.95% due 05/15/2043		40,000		41,242
				551,142
Paper & Related Products — 0.1%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*		5,000		5,081
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		25,000		25,313
				30,394
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		25,000		25,562
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		50,000		54,500
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		125,000		129,438
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		39,225
Wireless Equipment — 0.1%
Nokia Oyj Senior Notes 6.63% due 05/15/2039		30,000		32,550
Total Foreign Corporate Bonds & Notes (cost $2,308,716)				2,357,946

113

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
MUNICIPAL BONDS & NOTES — 1.3%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040	$	90,000	$	118,236
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		5,000		6,750
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(12)		250,000		95,000
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(12)		110,000		41,800
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(12)		25,000		9,500
State of California General Obligation Bonds 7.30% due 10/01/2039		5,000		7,594
State of California General Obligation Bonds 7.35% due 11/01/2039		5,000		7,647
State of California General Obligation Bonds 7.55% due 04/01/2039		110,000		176,155
State of California General Obligation Bonds 7.60% due 11/01/2040		5,000		8,106
State of California General Obligation Bonds 7.63% due 03/01/2040		35,000		55,395
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		5,000		4,820
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		75,000		78,656
University of California Revenue Bonds Series AJ 4.60% due 05/15/2031		105,000		122,843
Total Municipal Bonds & Notes (cost $697,679)				732,502

Security Description	Principal Amount(10)		Value (Note 2)
U.S. GOVERNMENT AGENCIES — 31.6%
Federal Home Loan Mtg. Corp. — 5.8%
2.49% due 02/01/2037 FRS	$	3,011	$	3,131
2.50% due 01/01/2028		9,000		9,346
2.50% due 04/01/2028		19,481		20,236
3.00% due 08/01/2027		12,122		12,738
3.00% due 10/01/2042		21,702		22,851
3.00% due 11/01/2042		8,049		8,384
3.00% due 02/01/2043		36,532		38,042
3.00% due 08/01/2043		75,088		78,838
3.00% due 04/01/2045		454,638		472,868
3.50% due 02/01/2042		9,977		10,526
3.50% due 03/01/2042		5,335		5,648
3.50% due 09/01/2043		34,393		36,651
3.50% due October TBA		500,000		527,490
3.50% due November TBA		500,000		526,885
4.00% due 03/01/2023		5,989		6,173
4.00% due 10/01/2043		16,176		17,363
4.00% due November TBA		600,000		642,867
4.50% due 01/01/2039		1,264		1,383
5.00% due 12/01/2020		1,930		2,052
5.00% due 07/01/2021		8,836		9,332
5.00% due 05/01/2034		13,706		15,177
5.50% due 07/01/2034		7,203		8,194
5.50% due 07/01/2035		9,114		10,363
5.50% due 04/01/2037		3,589		4,054
5.50% due 05/01/2037		3,433		3,885
5.50% due 08/01/2037		17,384		19,801
6.00% due 08/01/2036		2,434		2,777
6.50% due 05/01/2029		3,037		3,575
6.50% due 11/01/2034		4,157		4,762
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2013-K502, Class B 2.72% due 03/25/2045*(5)		100,000		100,189
Series 2014-K503, Class B 3.08% due 10/25/2047*(5)		90,000		91,173
Series 2012-K706, Class B 4.17% due 11/25/2044*(5)		75,000		77,967
Series 2010-K8, Class B 5.42% due 09/25/2043*(5)		100,000		109,591
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series DNA3, Class M2 3.38% due 04/25/2028(3)		280,000		288,642
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)(12)		1,364		1,386
Series 1577, Class PK 6.50% due 09/15/2023(3)		9,700		10,574
Series 1226, Class 7.75% due 03/15/2022(3)		847		898
				3,205,812

114

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. — 19.3%
2.50% due 02/01/2043	$	163,856	$	166,067
2.50% due 03/01/2043		162,208		164,397
2.50% due October TBA		200,000		207,151
2.62% due 05/01/2037 FRS		4,570		4,776
2.64% due 03/01/2027		38,914		40,516
2.64% due 10/01/2040 FRS		4,724		4,984
2.66% due 03/01/2027		210,000		219,040
2.78% due 03/01/2027		76,000		80,068
2.97% due 06/01/2027		135,000		144,109
3.00% due 01/01/2028		14,590		15,323
3.00% due October TBA		2,300,000		2,394,676
3.00% due November TBA		300,000		314,520
3.50% due 08/01/2026		1,986		2,095
3.50% due 10/01/2028		30,238		31,899
3.50% due October TBA		3,700,000		3,904,078
4.00% due 11/01/2040		76,342		82,204
4.00% due 11/01/2041		4,004		4,315
4.00% due 10/01/2043		75,874		81,702
4.00% due 11/01/2043		9,273		9,962
4.00% due 12/01/2043		45,291		49,812
4.00% due October TBA		700,000		751,789
4.50% due 01/01/2039		3,300		3,614
4.50% due 06/01/2039		42,844		46,932
4.50% due 05/01/2041		10,965		12,054
4.50% due October TBA		800,000		876,106
5.00% due 03/01/2018		2,172		2,232
5.00% due 06/01/2019		1,335		1,378
5.00% due 07/01/2040		31,790		35,299
5.50% due 06/01/2020		58,521		61,625
5.50% due 07/01/2020		9,547		9,913
5.50% due 03/01/2021		22,578		24,113
5.50% due 04/01/2021		17,563		18,553
5.50% due 06/01/2021		56,585		60,375
5.50% due 10/01/2021		31,531		33,741
5.50% due 12/01/2021		61,048		64,343
5.50% due 06/01/2022		65,389		69,950
5.50% due 12/01/2029		1,975		2,223
5.50% due 05/01/2034		4,622		5,253
5.50% due 08/01/2037		10,520		11,907
5.50% due 06/01/2038		986		1,120
5.50% due October TBA		200,000		225,375
6.00% due 06/01/2017		400		404
6.00% due 06/01/2026		18,828		21,553
6.00% due 03/01/2027		24,316		27,836
6.00% due 12/01/2033		2,524		2,936
6.00% due 05/01/2034		10,428		12,067
6.00% due 08/01/2034		864		998
6.00% due 06/01/2040		5,673		6,504
6.00% due October TBA		300,000		343,880
6.50% due 11/01/2035		8,459		10,244
6.50% due 10/01/2037		2,230		2,568
7.00% due 06/01/2037		20,625		23,105
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3)		9,382		9,484
				10,701,168

Security Description	Principal Amount(10)		Value (Note 2)
Government National Mtg. Assoc. — 6.5%
3.00% due October TBA	$	1,200,000	$	1,257,094
3.50% due October TBA		500,000		531,055
4.00% due 10/15/2040		23,945		25,742
4.00% due 02/15/2041		19,147		20,651
4.00% due 09/15/2041		19,670		21,206
4.00% due 10/15/2041		11,973		12,865
4.00% due October TBA		700,000		750,066
4.50% due 06/15/2041		247,415		273,653
5.00% due 01/15/2033		2,730		3,073
5.00% due 01/15/2040		56,460		64,238
5.00% due October TBA		300,000		333,967
5.50% due 04/15/2036		86,795		98,610
6.00% due 02/15/2033		17,723		20,304
6.50% due 07/15/2028		90,722		104,622
6.50% due 08/15/2028		5,618		6,479
6.50% due 09/15/2028		13,070		15,073
6.50% due 11/15/2028		18,553		21,396
7.00% due 01/15/2033		7,566		9,226
7.00% due 05/15/2033		10,815		13,128
7.00% due 11/15/2033		4,917		5,969
8.00% due 02/15/2030		1,878		2,140
8.50% due 11/15/2017		44		44
9.00% due 11/15/2021		170		189
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(3)		348		390
Series 2005-74, Class HB 7.50% due 09/16/2035(3)		3,555		4,144
Series 2005-74, Class HC 7.50% due 09/16/2035(3)		2,319		2,686
				3,598,010
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		12,000		12,202
Total U.S. Government Agencies (cost $17,299,209)				17,517,192
U.S. GOVERNMENT TREASURIES — 6.2%
United States Treasury Bonds — 2.0%
1.50% due 08/15/2026		403,000		399,364
2.50% due 02/15/2045(14)		150,000		155,016
3.00% due 05/15/2045(7)		370,000		421,858
3.00% due 11/15/2045		97,000		110,678
				1,086,916
United States Treasury Notes — 4.2%
0.13% due 07/15/2024 TIPS(8)		1,004,418		1,019,082
0.25% due 01/15/2025 TIPS(8)		1,306,666		1,330,881
				2,349,963
Total U.S. Government Treasuries (cost $3,276,127)				3,436,879

115

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 3.2%
Central Bank — 0.2%
Bank of Thailand Notes 1.49% due 02/23/2018	THB	4,120,000	$	118,762
Sovereign — 3.0%
Brazil Notas do Tesouro Nacional Notes 6.00% due 05/15/2017(8)	BRL	828,157		260,047
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(8)	BRL	334,787		103,919
Government of Japan Bills zero coupon due 01/11/2017	JPY	50,000,000		493,413
Government of Romania Bills 0.49% due 06/26/2017	RON	750,000		188,729
Government of Romania Bills 0.51% due 08/28/2017	RON	370,000		92,964
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(8)	UYU	1,459,090		41,656
Republic of Argentina Senior Notes 2.26% due 12/31/2038(9)	EUR	75,000		55,269
Republic of Colombia Bonds 4.25% due 05/17/2017(8)	COP	194,375,760		67,710
Republic of Indonesia Senior Notes 8.25% due 07/15/2021	IDR	1,007,000,000		81,403
Republic of Indonesia Senior Notes 8.38% due 03/15/2024	IDR	1,046,000,000		86,679
Republic of Turkey Bonds 10.60% due 02/11/2026	TRY	250,000		88,812
United Mexican States Senior Notes 4.75% due 03/08/2044	$	6,000		6,217
United Mexican States Senior Notes 5.75% due 10/12/2110		70,000		74,025
				1,640,843
Total Foreign Government Obligations (cost $1,710,320)				1,759,605
OPTIONS — PURCHASED†(11)(12) — 0.0%
Put Options — Purchased		551,000		1,037
Put Options — Purchased	CNH	1,521,000		2,982
Total Options — Purchased (cost $8,671)				4,019
Total Long-Term Investment Securities (cost $63,677,064)				65,867,874

Security Description	Principal Amount(10)			Value (Note 2)
REPURCHASE AGREEMENTS — 6.0%
Bank of America Securities LLC Joint Repurchase Agreement (15)	$	720,000		$	720,000
Barclays Capital, Inc. Joint Repurchase Agreement (15)		360,000			360,000
BNP Paribas SA Joint Repurchase Agreement (15)		720,000			720,000
Deutsche Bank AG Joint Repurchase Agreement (15)		1,360,000			1,360,000
RBS Securities, Inc. Joint Repurchase Agreement (15)		180,000			180,000
Total Repurchase Agreements (cost $3,340,000)					3,340,000
TOTAL INVESTMENTS (cost $67,017,064)(16)		124.8	%		69,207,874
Liabilities in excess of other assets		(24.8	)		(13,756,758	)
NET ASSETS		100.0	%	$	55,451,116

†  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, 2016, the aggregate value of these securities was $12,367,260 representing 22.3% 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)  Collateralized Mortgage Obligation

(4)  Collateralized Loan Obligation

(5)  Commercial Mortgage Backed Security

(6)  Interest Only

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

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

(9)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2016.

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

(11)  Options — Purchased

116

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Over the Counter Put Options — Purchased

Issue	Expiration Month	Strike Price			Notional Amount		Premiums Paid		Value at September 30, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016	$	47.79			138,000	$	1,016	$	207	$	(809	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.81			276,000		2,459		437		(2,022	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.91			137,000		1,143		393		(750	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.93	CNH		507,000		1,401		841		(560	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.95	CNH		507,000		1,372		878		(494	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		15.14	CNH		507,000		1,279		1,263		(16	)
							$	8,670	$	4,019	$	(4,651	)

(12)  Illiquid security. At September 30, 2016, the aggregate value of these securities was $770,042 representing 1.4% of net assets.

(13)  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, 2016, 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.	03/05/2014		4	$	0	$	4,840	$	1,209.97		0.00	%

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

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

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

BRL — Brazilian Real

CLO — Collateralized Loan Obligation

CNH — Yuan Renminbi Offshore

COP — Colombian Peso

DAC — Designated Activity Company

EUR — Euro Currency

GBP — Pound Sterling

IDR — Indonesian Rupiah

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

RON — Romanian Leu

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

THB — Thailand Baht

TIPS — Treasury Inflation Protected Securities

TRY — Turkish Lira

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2016 and unless otherwise, the dates shown are the original maturity dates.

117

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	7	Long	90 Day Eurodollar	December 2017	$	1,730,813	$	1,731,363	$	550
	7	Short	90 Day Eurodollar	September 2018		1,729,151		1,729,875		(724	)
	8	Short	U.S. Treasury 2 Year Notes	December 2016		1,748,500		1,747,750		750
	92	Long	U.S. Treasury 5 Year Notes	December 2016		11,177,281		11,179,437		2,156
	1	Long	U.S. Treasury Long Bonds	December 2016		170,790		168,156		(2,634	)
	68	Short	U.S. Treasury 10 Year Notes	December 2016		8,925,531		8,916,500		9,031
	7	Long	U.S. Treasury Ultra Bonds	December 2016		1,307,958		1,287,125		(20,833	)
									$	(11,704	)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	45,000	USD	50,616	12/21/2016	$	—	$	(117	)
	EUR	120,000	USD	129,009	03/15/2017		—		(6,812	)
	TRY	140,000	USD	45,548	12/21/2016		—		(381	)
	USD	22,487	EUR	20,000	03/15/2017		150		—
							150		(7,310	)
BNP Paribas SA	RON	140,000	USD	35,692	08/28/2017		73		—
Citibank N.A.	IDR	749,500,000	USD	57,832	10/21/2016		362		—
	JPY	50,000,000	USD	482,975	01/11/2017		—		(12,388	)
	RON	750,000	USD	187,245	06/26/2017		—		(3,389	)
	USD	57,301	IDR	749,500,000	10/21/2016		169		—
	USD	49,950	EUR	45,000	03/15/2017		983		—
							1,514		(15,777	)
Credit Suisse AG	USD	57,248	RUB	3,665,000	10/21/2016		900		—
Goldman Sachs International	BRL	345,000	USD	103,604	12/02/2016		—		(716	)
	USD	56,390	COP	165,250,000	10/21/2016		735		—
	USD	115,423	ZAR	1,570,000	10/21/2016		—		(1,381	)
	USD	68,771	ZAR	980,000	12/21/2016		1,574		—
	ZAR	980,000	USD	67,782	12/21/2016		—		(2,563	)
							2,309		(4,660	)
JPMorgan Chase Bank	RON	230,000	USD	58,703	08/28/2017		188		—
	RUB	7,330,000	USD	115,624	10/21/2016		—		(670	)
	USD	57,176	RUB	3,665,000	10/21/2016		971		—
							1,159		(670	)
Morgan Stanley and Co., Inc.	BRL	830,000	USD	250,023	12/02/2016		—		(949	)
Standard Chartered Bank	COP	330,500,000	USD	114,074	10/21/2016		—		(175	)
	IDR	2,257,695,000	USD	169,078	12/21/2016		—		(2,717	)
	THB	4,140,000	USD	118,506	12/21/2016		—		(850	)
							—		(3,742	)
State Street Bank and Trust Co.	COP	198,500,000	USD	66,027	12/21/2016		—		(1,909	)
	USD	57,111	COP	165,250,000	10/21/2016		14		—
							14		(1,909	)
UBS AG	EUR	286,000	USD	321,370	10/31/2016		—		(313	)
	GBP	174,000	USD	225,438	10/31/2016		—		(218	)
	USD	63,064	EUR	55,000	03/15/2017		—		(813	)
							—		(1,344	)
Net Unrealized Appreciation (Depreciation)						$	6,119	$	(36,361	)

118

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

BRL — Brazilian Real
COP — Colombian Peso
EUR — Euro Currency
GBP — Pound Sterling
IDR — Indonesian Rupiah
JPY — Japanese Yen
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio	Payments Made by the Portfolio			Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	532	09/29/2026	1 Year USD-Federal Funds- H.15-OIS-COMPOUND		1.00	%	$	747	$	19

Over the Counter Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio			Payments Made by the Portfolio	Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
INR	6,145	09/12/2021		6.26	%	6 Month INR-MIBOR- OIS-COMPOUND	$	—	$	174

INR — Indian Rupee

OIS — Overnight Index Swap

MIBOR — Mumbai Interbank Offered Rate

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	—	$	—	$	4,840	$	4,840
Other Industries		9,122,578		—		—		9,122,578
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		1		1
Other Industries		—		1,346,712		—		1,346,712
Asset Backed Securities		—		15,352,781		—		15,352,781
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		11,494		2		11,496
Other Industries		—		14,221,323		—		14,221,323
Foreign Corporate Bonds & Notes		—		2,357,946		—		2,357,946
Municipal Bond & Notes		—		732,502		—		732,502
U.S. Government Agencies		—		17,517,192		—		17,517,192
U.S. Government Treasuries		—		3,436,879		—		3,436,879
Foreign Government Obligations		—		1,759,605		—		1,759,605
Options — Purchased		—		4,019		—		4,019
Repurchase Agreements		—		3,340,000		—		3,340,000
Total Investments at Value	$	9,122,578	$	60,080,453	$	4,843	$	69,207,874
Other Financial Instruments:†
Futures Contracts	$	12,487	$	—	$	—	$	12,487
Forward Foreign Currency Contracts		—		6,119		—		6,119
Centrally Cleared Interest Rate Swap Contracts		—		19		—		19
Over the Counter Interest Rate Swap Contracts		—		174		—		174
Total Other Financial Instruments	$	12,487	$	6,312	$	—	$	18,799

119

Seasons Series Trust Multi-Managed Income Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	24,191	$	—	$	—	$	24,191
Forward Foreign Currency Contracts		—		36,361		—		36,361
Total Other Financial Instruments	$	24,191	$	36,361	$	—	$	60,552

*  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, 2016 (unaudited)

Industry Allocation*
Repurchase Agreements	11.0	%
Diversified Banking Institutions	4.6
Medical-Drugs	4.3
Oil Companies-Integrated	2.9
Real Estate Investment Trusts	2.5
Electric-Integrated	2.3
E-Commerce/Products	2.2
Telephone-Integrated	2.1
Applications Software	2.0
Web Portals/ISP	2.0
Federal National Mtg. Assoc.	2.0
Medical-Biomedical/Gene	1.9
Computers	1.8
Retail-Building Products	1.8
United States Treasury Notes	1.8
Insurance-Multi-line	1.8
Banks-Commercial	1.6
Diversified Financial Services	1.5
Beverages-Non-alcoholic	1.4
Medical-Wholesale Drug Distribution	1.3
Tobacco	1.3
Medical-HMO	1.3
Retail-Restaurants	1.3
Retail-Discount	1.2
Insurance-Life/Health	1.2
Aerospace/Defense	1.2
Electronic Components-Semiconductors	1.1
Broadcast Services/Program	1.0
Transport-Services	0.9
Auto/Truck Parts & Equipment-Original	0.9
Oil Companies-Exploration & Production	0.9
Internet Content-Entertainment	0.8
Diversified Manufacturing Operations	0.8
Consumer Products-Misc.	0.8
Computer Services	0.8
Oil-Field Services	0.7
Semiconductor Equipment	0.7
Gas-Distribution	0.7
Electronics-Military	0.7
Chemicals-Diversified	0.7
Semiconductor Components-Integrated Circuits	0.6
Food-Confectionery	0.6
Cosmetics & Toiletries	0.6
Electronic Forms	0.6
Airlines	0.6
Telecommunication Equipment	0.6
Retail-Apparel/Shoe	0.6
Containers-Metal/Glass	0.5
Cellular Telecom	0.5
Gold Mining	0.5
Commercial Services	0.5
Disposable Medical Products	0.5
Food-Misc./Diversified	0.5
Banks-Fiduciary	0.5
Networking Products	0.5
Auto-Cars/Light Trucks	0.5
Finance-Investment Banker/Broker	0.5
Building Products-Wood	0.4
Advertising Agencies	0.4
Multimedia	0.4

Oil & Gas Drilling	0.4	%
Real Estate Operations & Development	0.4
Pipelines	0.4
Banks-Super Regional	0.4
Electronic Measurement Instruments	0.4
United States Treasury Bonds	0.4
Food-Retail	0.4
Commercial Services-Finance	0.4
Building-Heavy Construction	0.4
Non-Hazardous Waste Disposal	0.4
Investment Management/Advisor Services	0.4
U.S. Government Treasuries	0.4
Apparel Manufacturers	0.3
Insurance-Reinsurance	0.3
Internet Application Software	0.3
Food-Wholesale/Distribution	0.3
Containers-Paper/Plastic	0.3
Electric-Distribution	0.3
Instruments-Controls	0.3
Chemicals-Specialty	0.3
Television	0.3
Building & Construction Products-Misc.	0.3
X-Ray Equipment	0.3
Engineering/R&D Services	0.3
Office Automation & Equipment	0.3
Building-Residential/Commercial	0.3
Private Equity	0.3
Steel-Producers	0.2
Cable/Satellite TV	0.2
Finance-Auto Loans	0.2
Tools-Hand Held	0.2
Transport-Rail	0.2
Finance-Consumer Loans	0.2
Brewery	0.2
Medical-Hospitals	0.2
Real Estate Management/Services	0.2
Auction Houses/Art Dealers	0.2
Printing-Commercial	0.2
Finance-Leasing Companies	0.2
Casino Hotels	0.2
Wireless Equipment	0.2
Data Processing/Management	0.2
Gambling (Non-Hotel)	0.2
Distribution/Wholesale	0.2
Machinery-General Industrial	0.2
Aerospace/Defense-Equipment	0.2
Metal-Diversified	0.2
Rental Auto/Equipment	0.2
Hotels/Motels	0.2
Paper & Related Products	0.1
Building & Construction-Misc.	0.1
Food-Catering	0.1
Investment Companies	0.1
Machinery-Pumps	0.1
Radio	0.1
Computers-Memory Devices	0.1
Insurance-Property/Casualty	0.1
Energy-Alternate Sources	0.1
Resorts/Theme Parks	0.1
Electronic Security Devices	0.1

121

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Publishing-Newspapers	0.1	%
Computers-Integrated Systems	0.1
Independent Power Producers	0.1
Retail-Major Department Stores	0.1
Veterinary Diagnostics	0.1
Retail-Drug Store	0.1
Appliances	0.1
Retail-Hypermarkets	0.1
Electric-Transmission	0.1
Federal Home Loan Mtg. Corp.	0.1
Telecom Services	0.1
Building Products-Cement	0.1
Machinery-Electrical	0.1
Finance-Commercial	0.1
Municipal Bonds & Notes	0.1
Entertainment Software	0.1
Finance-Mortgage Loan/Banker	0.1
Metal Processors & Fabrication	0.1
Casino Services	0.1
Theaters	0.1
Agricultural Chemicals	0.1
Travel Services	0.1
Diversified Operations/Commercial Services	0.1
Soap & Cleaning Preparation	0.1
Building-Mobile Home/Manufactured Housing	0.1
Transactional Software	0.1
Insurance-Mutual	0.1
Electronic Components-Misc.	0.1
Medical Instruments	0.1
Retail-Catalog Shopping	0.1
Food-Meat Products	0.1
Medical Products	0.1
Medical-Generic Drugs	0.1
Rubber-Tires	0.1
Shipbuilding	0.1
Diversified Minerals	0.1
Diversified Operations	0.1
Circuit Boards	0.1
Enterprise Software/Service	0.1
Electric Products-Misc.	0.1
Retail-Regional Department Stores	0.1
Publishing-Periodicals	0.1
Sugar	0.1
Machinery-Construction & Mining	0.1
Retail-Petroleum Products	0.1
	101.5	%

*  Calculated as a percentage of net assets

122

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 75.6%
Advertising Agencies — 0.4%
Innocean Worldwide, Inc.(1)		694	$	46,209
Interpublic Group of Cos., Inc.		13,000		290,550
WPP PLC(1)		9,135		215,008
				551,767
Advertising Sales — 0.0%
Stroeer SE & Co. KGaA(1)		284		12,339
Advertising Services — 0.0%
Hakuhodo DY Holdings, Inc.(1)		1,300		15,180
Publicis Groupe SA(1)		225		17,016
				32,196
Aerospace/Defense — 1.2%
Korea Aerospace Industries, Ltd.(1)		650		45,111
LIG Nex1 Co., Ltd.(1)		332		25,057
Northrop Grumman Corp.		3,200		684,640
Raytheon Co.		5,200		707,876
Thales SA(1)		688		63,372
				1,526,056
Aerospace/Defense-Equipment — 0.0%
Airbus Group SE(1)		453		27,401
Agricultural Chemicals — 0.1%
Monsanto Co.		128		13,082
Yara International ASA(1)		2,195		73,085
				86,167
Agricultural Operations — 0.0%
Adecoagro SA†		4,535		51,744
Airlines — 0.6%
Air Canada		837		6,763
ANA Holdings, Inc.(1)		19,000		51,647
Asia Aviation PCL NVDR†(1)		232,900		48,441
Delta Air Lines, Inc.		13,600		535,296
easyJet PLC(1)		617		8,065
Japan Airlines Co., Ltd.(1)		600		17,663
Qantas Airways, Ltd.(1)		10,934		26,228
				694,103
Airport Development/Maintenance — 0.0%
Aena SA*(1)		36		5,310
Apparel Manufacturers — 0.3%
Carter's, Inc.		3,900		338,169
Christian Dior SE(1)		414		74,183
				412,352
Appliances — 0.1%
Coway Co., Ltd.(1)		835		72,246
Electrolux AB, Series B(1)		1,936		48,515
				120,761
Applications Software — 2.0%
Intuit, Inc.		1,400		154,014
Microsoft Corp.		38,772		2,233,267
Nuance Communications, Inc.†		7,500		108,750
ServiceNow, Inc.†		150		11,873
				2,507,904

Security Description	Shares		Value (Note 2)
Athletic Equipment — 0.0%
Vista Outdoor, Inc.†		900	$	35,874
Athletic Footwear — 0.0%
Yue Yuen Industrial Holdings, Ltd.(1)		10,000		41,463
Auction Houses/Art Dealers — 0.2%
KAR Auction Services, Inc.		5,300		228,748
Audio/Video Products — 0.0%
Panasonic Corp.(1)		1,900		19,011
Auto-Cars/Light Trucks — 0.3%
Fiat Chrysler Automobiles NV(1)		12,330		78,283
Fuji Heavy Industries, Ltd.(1)		1,400		52,576
Kia Motors Corp.(1)		1,062		40,822
Mazda Motor Corp.(1)		3,300		50,702
Nissan Motor Co., Ltd.(1)		1,900		18,606
Peugeot SA†(1)		2,217		33,845
Renault SA(1)		865		71,070
				345,904
Auto-Heavy Duty Trucks — 0.0%
Hino Motors, Ltd.(1)		1,500		16,059
Auto/Truck Parts & Equipment-Original — 0.8%
Allison Transmission Holdings, Inc.		13,800		395,784
Lear Corp.		2,500		303,050
Mobileye NV†		340		14,474
Nexteer Automotive Group, Ltd.(1)		46,000		59,982
Valeo SA(1)		1,518		88,523
Visteon Corp.		2,400		171,984
				1,033,797
Auto/Truck Parts & Equipment-Replacement — 0.0%
Xinyi Glass Holdings, Ltd.(1)		6,000		5,473
Banks-Commercial — 1.4%
Abu Dhabi Commercial Bank PJSC(1)		30,713		53,878
Australia & New Zealand Banking Group, Ltd.(1)		1,360		28,878
Banco Macro SA ADR		448		35,056
Banco Santander SA(1)		25,142		111,178
Bank of China, Ltd.(1)		248,000		114,357
Bank of Ireland†(1)		13,000		2,708
Bank Tabungan Negara Persero Tbk PT(1)		351,400		51,811
Concordia Financial Group, Ltd.(1)		10,400		45,461
Credicorp, Ltd.		500		76,110
Danske Bank A/S(1)		136		3,983
DNB ASA(1)		193		2,536
Fukuoka Financial Group, Inc.(1)		6,000		24,922
Grupo Financiero Banorte SAB de CV, Class O		17,490		91,817
Grupo Supervielle SA ADR†		2,442		36,166
Industrial & Commercial Bank of China, Ltd., Class H(1)		152,000		95,879
ING Groep NV(1)		1,967		24,247
Itau Unibanco Holding SA ADR		4,489		49,110
Metro Bank PLC†(1)		465		16,607
Permanent TSB Group Holdings PLC†(1)		4,152		9,585

123

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Popular, Inc.		4,200	$	160,524
Raiffeisen Bank International AG†(1)		1,017		15,486
Regions Financial Corp.		23,700		233,919
Resona Holdings, Inc.(1)		20,200		84,951
Sberbank of Russia PJSC ADR(1)		12,805		119,868
Skandinaviska Enskilda Banken AB, Class A(1)		352		3,534
Sumitomo Mitsui Financial Group, Inc.(1)		4,600		155,033
Sumitomo Mitsui Trust Holdings, Inc.(1)		800		25,962
Suruga Bank, Ltd.(1)		300		7,194
Swedbank AB, Class A(1)		166		3,898
Virgin Money Holdings UK PLC(1)		920		3,711
Woori Bank(1)		1,814		18,792
				1,707,161
Banks-Fiduciary — 0.4%
Bank of New York Mellon Corp.		12,400		494,512
Banks-Super Regional — 0.3%
Capital One Financial Corp.		1,100		79,013
Moneta Money Bank AS†*(1)		16,094		51,371
SunTrust Banks, Inc.		6,900		302,220
				432,604
Beverages-Non-alcoholic — 1.4%
Coca-Cola Amatil, Ltd.(1)		19,853		156,028
Dr Pepper Snapple Group, Inc.		4,600		420,026
PepsiCo, Inc.		10,800		1,174,716
				1,750,770
Beverages-Wine/Spirits — 0.0%
Diageo PLC(1)		607		17,405
Brewery — 0.1%
Anheuser-Busch InBev NV ADR		371		48,753
Anheuser-Busch InBev SA/NV(1)		530		69,575
Heineken Holding NV(1)		372		29,823
Heineken NV(1)		146		12,841
				160,992
Broadcast Services/Program — 0.9%
Discovery Communications, Inc., Class A†		33,800		909,896
Global Mediacom Tbk PT(1)		183,600		12,557
Starz, Class A†		5,000		155,950
				1,078,403
Building & Construction Products-Misc. — 0.2%
Cie de Saint-Gobain(1)		81		3,497
Owens Corning		3,500		186,865
Sika AG(1)		8		38,882
				229,244
Building & Construction-Misc. — 0.1%
Adhi Karya Persero Tbk PT(1)		217,200		39,306
China Communications Construction Co., Ltd., Class H(1)		28,000		29,679

Security Description	Shares		Value (Note 2)
Building & Construction-Misc. (continued)
China State Construction International Holdings, Ltd.(1)		40,000	$	52,899
CIMIC Group, Ltd.(1)		383		8,469
HomeServe PLC(1)		806		6,005
Kumagai Gumi Co., Ltd.(1)		9,000		23,265
Taisei Corp.(1)		3,000		22,460
				182,083
Building Products-Cement — 0.1%
Boral, Ltd.(1)		6,616		34,293
Cemex SAB de CV ADR†		4,233		33,610
CRH PLC(1)		116		3,879
LafargeHolcim, Ltd.(1)		294		15,870
				87,652
Building Products-Wood — 0.4%
Masco Corp.		16,200		555,822
Building-Heavy Construction — 0.3%
ACS Actividades de Construccion y Servicios SA(1)		2,563		77,460
Promotora y Operadora de Infraestructura SAB de CV		4,427		47,659
Skanska AB, Class B(1)		3,552		82,878
Vinci SA(1)		2,490		190,399
				398,396
Building-Mobile Home/Manufactured Housing — 0.1%
Thor Industries, Inc.		1,000		84,700
Building-Residential/Commercial — 0.1%
Berkeley Group Holdings PLC(1)		546		18,287
Iida Group Holdings Co., Ltd.(1)		1,700		34,173
Persimmon PLC(1)		836		19,704
Sekisui Chemical Co., Ltd.(1)		1,000		14,373
Taylor Wimpey PLC(1)		7,879		15,772
				102,309
Cable/Satellite TV — 0.0%
Liberty Global PLC, Class C†		109		3,601
SFR Group SA(1)		543		15,955
Sky PLC(1)		1,758		20,371
				39,927
Casino Hotels — 0.0%
SJM Holdings, Ltd.(1)		26,000		19,230
Wynn Macau, Ltd.(1)		5,200		8,689
				27,919
Casino Services — 0.0%
Aristocrat Leisure, Ltd.(1)		3,589		43,538
Cellular Telecom — 0.3%
China Mobile, Ltd.(1)		17,000		208,723
NTT DOCOMO, Inc.(1)		3,700		93,811
Safaricom, Ltd.(1)		229,403		45,073
Vodafone Group PLC(1)		20,729		59,438
				407,045
Chemicals-Diversified — 0.6%
Akzo Nobel NV(1)		485		32,821
Asahi Kasei Corp.(1)		6,000		47,808
BASF SE(1)		2,498		213,623

124

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Diversified (continued)
Celanese Corp., Series A		2,700	$	179,712
Covestro AG*(1)		681		40,267
Dow Chemical Co.		243		12,595
Evonik Industries AG(1)		2,274		76,858
Hitachi Chemical Co., Ltd.(1)		1,600		36,672
Kuraray Co., Ltd.(1)		2,300		34,139
LANXESS AG(1)		54		3,354
Mitsubishi Gas Chemical Co., Inc.(1)		1,500		21,450
Sociedad Quimica y Minera de Chile SA ADR		240		6,456
				705,755
Chemicals-Plastics — 0.0%
EMS-Chemie Holding AG(1)		59		31,660
Chemicals-Specialty — 0.2%
Albemarle Corp.		162		13,849
Cabot Corp.		1,100		57,651
Daicel Corp.(1)		1,500		19,016
Soulbrain Co., Ltd.(1)		615		34,249
W.R. Grace & Co.		1,200		88,560
				213,325
Circuit Boards — 0.1%
Tripod Technology Corp.(1)		32,000		71,347
Commercial Services — 0.5%
CoreLogic, Inc.†		2,400		94,128
Quanta Services, Inc.†		10,800		302,292
RELX PLC(1)		2,333		44,272
ServiceMaster Global Holdings, Inc.†		3,800		127,984
				568,676
Commercial Services-Finance — 0.4%
Euronet Worldwide, Inc.†		1,200		98,196
Experian PLC(1)		1,750		35,063
Global Payments, Inc.		800		61,408
TransUnion†		1,600		55,200
Vantiv, Inc., Class A†		4,100		230,707
				480,574
Computer Services — 0.8%
Amdocs, Ltd.		6,200		358,670
Atos SE(1)		795		85,663
Computer Sciences Corp.		8,600		449,006
CSRA, Inc.		3,300		88,770
				982,109
Computer Software — 0.0%
RIB Software AG(1)		923		11,364
Computers — 1.7%
Apple, Inc.		14,422		1,630,407
HP, Inc.		31,100		482,983
Lenovo Group, Ltd.(1)		4,000		2,671
				2,116,061
Computers-Integrated Systems — 0.1%
Fujitsu, Ltd.(1)		4,000		21,594
NCR Corp.†		4,100		131,979
				153,573

Security Description	Shares		Value (Note 2)
Computers-Memory Devices — 0.1%
Brocade Communications Systems, Inc.		18,600	$	171,678
Consumer Products-Misc. — 0.8%
Clorox Co.		3,500		438,130
Kimberly-Clark Corp.		4,200		529,788
				967,918
Containers-Metal/Glass — 0.5%
Crown Holdings, Inc.†		11,300		645,117
Containers-Paper/Plastic — 0.2%
Berry Plastics Group, Inc.†		2,700		118,395
Graphic Packaging Holding Co.		9,900		138,501
				256,896
Cosmetics & Toiletries — 0.6%
AMOREPACIFIC Group(1)		589		88,565
Beauty Community PCL†		125,300		34,354
Coty, Inc., Class A		599		14,076
Estee Lauder Cos., Inc., Class A		4,800		425,088
Kao Corp.(1)		2,300		129,550
Shiseido Co., Ltd.(1)		100		2,644
Unilever NV CVA(1)		489		22,558
				716,835
Data Processing/Management — 0.1%
Broadridge Financial Solutions, Inc.		1,700		115,243
CompuGroup Medical SE(1)		527		24,294
				139,537
Disposable Medical Products — 0.5%
C.R. Bard, Inc.		2,600		583,128
Distribution/Wholesale — 0.1%
Bunzl PLC(1)		356		10,533
Jardine Cycle & Carriage, Ltd.(1)		800		25,298
Pool Corp.		900		85,068
Rexel SA(1)		572		8,755
Wolseley PLC(1)		68		3,833
				133,487
Diversified Banking Institutions — 4.4%
BNP Paribas SA(1)		3,256		167,410
Citigroup, Inc.		35,100		1,657,773
Credit Suisse Group AG(1)		163		2,133
HSBC Holdings PLC(1)		14,759		110,811
JPMorgan Chase & Co.		29,289		1,950,355
Lloyds Banking Group PLC(1)		2,480		1,756
Mitsubishi UFJ Financial Group, Inc.(1)		27,900		140,689
Mizuho Financial Group, Inc.(1)		90,800		151,708
Morgan Stanley		38,400		1,231,104
Natixis SA(1)		542		2,526
Societe Generale SA(1)		2,758		95,180
UBS Group AG(1)		1,402		19,037
				5,530,482
Diversified Financial Services — 0.0%
Unifin Financiera SAPI de CV SOFOM ENR		11,408		34,419

125

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Manufacturing Operations — 0.7%
A.O. Smith Corp.		1,500	$	148,185
Carlisle Cos., Inc.		1,000		102,570
Crane Co.		700		44,107
Fabrinet†		1,154		51,457
Ingersoll-Rand PLC		4,900		332,906
Siemens AG(1)		1,675		196,080
				875,305
Diversified Minerals — 0.1%
BHP Billiton, Ltd.(1)		3,655		63,232
Diversified Operations — 0.1%
Industrivarden AB, Class A(1)		2,495		49,671
Wharf Holdings, Ltd.(1)		2,000		14,654
				64,325
Diversified Operations/Commercial Services — 0.1%
Brambles, Ltd.(1)		9,237		84,936
Drug Delivery Systems — 0.0%
Clinigen Group PLC(1)		2,191		20,362
E-Commerce/Products — 2.2%
Alibaba Group Holding, Ltd. ADR†		3,052		322,871
Amazon.com, Inc.†		1,922		1,609,310
B2W Companhia Global Do Varejo†		9,578		46,975
eBay, Inc.†		21,493		707,119
				2,686,275
E-Marketing/Info — 0.0%
Criteo SA ADR†		366		12,850
E-Services/Consulting — 0.0%
SMS Co., Ltd.(1)		300		8,006
Educational Software — 0.0%
Instructure, Inc.†		367		9,311
Electric-Distribution — 0.3%
PPL Corp.		10,300		356,071
Uniper SE†		996		12,201
				368,272
Electric-Generation — 0.0%
Huadian Fuxin Energy Corp., Ltd.(1)		174,000		41,504
Electric-Integrated — 1.9%
American Electric Power Co., Inc.		2,500		160,525
Chubu Electric Power Co., Inc.(1)		3,500		50,959
Cia Paranaense de Energia, Class B (Preference Shares)		2,900		29,989
CLP Holdings, Ltd.(1)		8,500		88,248
E.ON SE(1)		9,964		70,543
Edison International		4,900		354,025
EDP - Energias do Brasil SA		8,563		37,863
Endesa SA(1)		3,334		71,459
Enel SpA(1)		29,234		130,384
Entergy Corp.		12,900		989,817
Iberdrola SA(1)		11,035		74,965
Korea Electric Power Corp.(1)		98		4,799
RWE AG†(1)		2,465		42,472
SSE PLC(1)		241		4,892
Tenaga Nasional Bhd(1)		18,000		62,309

Security Description	Shares		Value (Note 2)
Electric-Integrated (continued)
Tohoku Electric Power Co., Inc.(1)		3,200	$	41,734
Tokyo Electric Power Co. Holdings, Inc.†(1)		2,900		12,542
Westar Energy, Inc.		2,300		130,525
				2,358,050
Electronic Components-Misc. — 0.1%
Casetek Holdings, Ltd.(1)		13,000		47,724
Murata Manufacturing Co., Ltd.(1)		200		26,087
				73,811
Electronic Components-Semiconductors — 1.1%
Infineon Technologies AG(1)		604		10,777
NVIDIA Corp.		12,600		863,352
Samsung Electronics Co., Ltd.(1)		218		317,723
SK Hynix, Inc.(1)		3,484		127,509
				1,319,361
Electronic Forms — 0.6%
Adobe Systems, Inc.†		6,700		727,218
Electronic Measurement Instruments — 0.4%
Agilent Technologies, Inc.		10,900		513,281
Sartorius AG (Preference Shares)(1)		202		16,812
				530,093
Electronic Security Devices — 0.1%
Allegion PLC		2,100		144,711
Johnson Controls International PLC		386		17,952
				162,663
Electronics-Military — 0.7%
L-3 Communications Holdings, Inc.		5,500		829,015
Energy-Alternate Sources — 0.1%
Concord New Energy Group, Ltd.(1)		1,200,000		63,799
Vestas Wind Systems A/S(1)		1,240		102,448
				166,247
Engineering/R&D Services — 0.3%
CTCI Corp.(1)		41,000		60,184
Fluor Corp.		2,100		107,772
Jacobs Engineering Group, Inc.†		1,800		93,096
KBR, Inc.		3,200		48,416
Kyudenko Corp.(1)		600		21,970
				331,438
Enterprise Software/Service — 0.0%
Oracle Corp. Japan(1)		200		11,290
Entertainment Software — 0.1%
GungHo Online Entertainment, Inc.(1)		11,600		28,429
NetEase, Inc. ADR		135		32,505
Nexon Co., Ltd.(1)		2,600		40,627
				101,561
Environmental Consulting & Engineering — 0.0%
Sweco AB, Class B(1)		416		8,569
Finance-Auto Loans — 0.1%
Ally Financial, Inc.		8,300		161,601

126

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Finance-Consumer Loans — 0.2%
Synchrony Financial		8,300	$	232,400
Finance-Investment Banker/Broker — 0.4%
Daiwa Securities Group, Inc.(1)		3,000		16,894
E*TRADE Financial Corp.†		14,400		419,328
Macquarie Group, Ltd.(1)		316		19,906
				456,128
Finance-Leasing Companies — 0.2%
Mitsubishi UFJ Lease & Finance Co., Ltd.(1)		20,500		94,061
ORIX Corp.(1)		6,800		100,337
				194,398
Finance-Other Services — 0.0%
Euronext NV*(1)(2)		246		10,497
Moscow Exchange MICEX-RTS PJSC		19,879		40,185
				50,682
Fisheries — 0.0%
Salmar ASA(1)		308		9,419
Food-Catering — 0.1%
Compass Group PLC(1)		9,207		178,546
Food-Confectionery — 0.6%
Barry Callebaut AG(1)		3		3,986
Hershey Co.		4,500		430,200
J.M. Smucker Co.		2,400		325,296
				759,482
Food-Meat Products — 0.1%
S Foods, Inc.(1)		300		7,839
WH Group, Ltd.*(1)		79,000		63,904
				71,743
Food-Misc./Diversified — 0.4%
Associated British Foods PLC(1)		748		25,207
ConAgra Foods, Inc.		800		37,688
Ingredion, Inc.		1,400		186,284
Kerry Group PLC, Class A(1)		388		32,327
MEIJI Holdings Co., Ltd.(1)		200		19,785
Nestle SA(1)		1,770		139,465
Nomad Foods, Ltd.†		1,341		15,851
Orkla ASA(1)		2,461		25,426
Tat Gida Sanayi AS(1)		13,856		27,226
Tate & Lyle PLC(1)		2,231		21,678
				530,937
Food-Retail — 0.4%
J Sainsbury PLC(1)		12,223		38,918
Koninklijke Ahold Delhaize NV(1)		9,501		216,426
METRO AG(1)		1,300		38,682
Seven & i Holdings Co., Ltd.(1)		100		4,726
WM Morrison Supermarkets PLC(1)		19,288		54,444
Woolworths, Ltd.(1)		1,643		29,351
X5 Retail Group NV GDR†(1)		4,120		119,351
				501,898

Security Description	Shares		Value (Note 2)
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		7,800	$	382,278
Gambling (Non-Hotel) — 0.1%
International Game Technology PLC		2,900		70,702
Tabcorp Holdings, Ltd.(1)		4,451		17,035
William Hill PLC(1)		6,366		25,100
				112,837
Gas-Distribution — 0.7%
Centrica PLC(1)		6,150		18,190
NiSource, Inc.		7,600		183,236
Toho Gas Co., Ltd.(1)		7,000		65,525
Tokyo Gas Co., Ltd.(1)		5,000		22,247
UGI Corp.		11,150		504,426
Vectren Corp.		1,000		50,200
				843,824
Gold Mining — 0.5%
AngloGold Ashanti, Ltd.†(1)		3,759		60,322
Newcrest Mining, Ltd.(1)		472		7,841
Newmont Mining Corp.		13,800		542,202
Northern Star Resources, Ltd.(1)		2,285		7,959
				618,324
Hotels/Motels — 0.1%
Dalata Hotel Group PLC†(1)		5,776		26,603
Hyatt Hotels Corp., Class A†		900		44,298
				70,901
Import/Export — 0.0%
ITOCHU Corp.(1)		3,700		46,350
Mitsubishi Corp.(1)		300		6,819
				53,169
Instruments-Controls — 0.3%
Honeywell International, Inc.		3,100		361,429
Insurance-Life/Health — 1.1%
Aflac, Inc.		4,900		352,163
AIA Group, Ltd.(1)		15,200		101,842
Aviva PLC(1)		4,084		23,369
Challenger, Ltd.(1)		4,495		35,078
China Life Insurance Co., Ltd.(1)		52,000		47,805
Legal & General Group PLC(1)		3,317		9,421
Lincoln National Corp.		8,200		385,236
NN Group NV(1)		1,565		48,034
Prudential Financial, Inc.		2,900		236,785
Prudential PLC(1)		1,042		18,494
Swiss Life Holding AG(1)		305		78,822
Unum Group		1,300		45,903
				1,382,952
Insurance-Multi-line — 1.6%
Aegon NV(1)		4,245		16,266
Ageas(1)		1,189		43,362
Allianz SE(1)		1,165		172,924
Allstate Corp.		9,900		684,882
American Financial Group, Inc.		1,100		82,500
AXA SA(1)		5,241		111,509
Chubb, Ltd.		44		5,529
CNP Assurances(1)		3,308		55,573

127

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Multi-line (continued)
Hartford Financial Services Group, Inc.		8,800	$	376,816
Mapfre SA(1)		10,498		29,364
MetLife, Inc.		1,100		48,873
Ping An Insurance Group Co. of China, Ltd.(1)		15,000		78,510
Voya Financial, Inc.		7,900		227,678
				1,933,786
Insurance-Property/Casualty — 0.1%
Admiral Group PLC(1)		483		12,828
Dongbu Insurance Co., Ltd.(1)		1,000		62,083
Hyundai Marine & Fire Insurance Co., Ltd.(1)		2,171		71,523
				146,434
Insurance-Reinsurance — 0.3%
Aspen Insurance Holdings, Ltd.		1,300		60,567
Muenchener Rueckversicherungs- Gesellschaft AG(1)		228		42,522
Reinsurance Group of America, Inc.		1,100		118,734
SCOR SE(1)		142		4,414
Swiss Re AG(1)		1,847		166,638
				392,875
Internet Application Software — 0.3%
Tencent Holdings, Ltd.(1)		13,900		385,144
Internet Connectivity Services — 0.0%
Com Hem Holding AB(1)		2,503		23,137
Internet Content-Entertainment — 0.8%
Facebook, Inc., Class A†		7,797		1,000,121
Internet Content-Information/News — 0.0%
Mixi, Inc.(1)		600		21,629
Investment Companies — 0.1%
Investor AB, Class B(1)		4,096		149,676
Macquarie Korea Infrastructure Fund(1)		3,001		24,009
				173,685
Investment Management/Advisor Services — 0.4%
Ameriprise Financial, Inc.		4,000		399,080
Partners Group Holding AG(1)		100		50,375
				449,455
Lighting Products & Systems — 0.0%
OSRAM Licht AG(1)		934		54,831
Machine Tools & Related Products — 0.0%
Techtronic Industries Co., Ltd.(1)		3,000		11,765
Machinery-Construction & Mining — 0.0%
Komatsu, Ltd.(1)		300		6,790
Machinery-Electrical — 0.1%
Mitsubishi Electric Corp.(1)		6,000		76,815
Schindler Holding AG(1)		125		23,418
				100,233
Machinery-General Industrial — 0.1%
BWX Technologies, Inc.		2,900		111,273
Kone Oyj, Class B(1)		283		14,359

Security Description	Shares		Value (Note 2)
Machinery-General Industrial (continued)
Sumitomo Heavy Industries, Ltd.(1)		3,000	$	14,782
				140,414
Machinery-Material Handling — 0.0%
KION Group AG(1)		176		11,394
Machinery-Pumps — 0.1%
Xylem, Inc.		3,300		173,085
Medical Instruments — 0.1%
Bruker Corp.		3,000		67,950
Medical Labs & Testing Services — 0.0%
Ain Holdings, Inc.(1)		300		20,429
Medical Products — 0.1%
Aspen Pharmacare Holdings, Ltd.(1)		1,996		45,141
Cochlear, Ltd.(1)		203		22,006
				67,147
Medical-Biomedical/Gene — 1.9%
Amgen, Inc.		7,300		1,217,713
Biogen, Inc.†		1,200		375,636
Celgene Corp.†		2,100		219,513
Charles River Laboratories International, Inc.†		2,300		191,682
Gilead Sciences, Inc.		4,500		356,040
				2,360,584
Medical-Drugs — 4.1%
Actelion, Ltd.(1)		362		62,672
Allergan PLC†		819		188,624
Astellas Pharma, Inc.(1)		7,900		123,374
AstraZeneca PLC(1)		1,813		117,446
Bayer AG(1)		665		66,795
Eli Lilly & Co.		3,300		264,858
GlaxoSmithKline PLC(1)		11,291		240,616
Grifols SA ADR		1,248		19,931
Johnson & Johnson		15,300		1,807,389
Mitsubishi Tanabe Pharma Corp.(1)		1,200		25,649
Novartis AG(1)		2,421		190,390
Novo Nordisk A/S, Class B(1)		969		40,374
Pfizer, Inc.		30,900		1,046,583
Richter Gedeon Nyrt(1)		3,509		71,304
Roche Holding AG(1)		858		212,558
Sanofi(1)		2,643		201,376
Shionogi & Co., Ltd.(1)		200		10,223
Shire PLC(1)		1,123		72,585
Zoetis, Inc.		5,400		280,854
				5,043,601
Medical-Generic Drugs — 0.1%
Taro Pharmaceutical Industries, Ltd.†		136		15,029
Teva Pharmaceutical Industries, Ltd. ADR		1,260		57,973
				73,002
Medical-HMO — 1.2%
UnitedHealth Group, Inc.		9,400		1,316,000
WellCare Health Plans, Inc.†		1,400		163,926
				1,479,926

128

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Wholesale Drug Distribution — 1.3%
Alfresa Holdings Corp.(1)		600	$	12,692
AmerisourceBergen Corp.		11,000		888,580
Cardinal Health, Inc.		2,000		155,400
McKesson Corp.		2,900		483,575
Medipal Holdings Corp.(1)		2,900		50,163
				1,590,410
Metal Processors & Fabrication — 0.1%
EVA Precision Industrial Holdings, Ltd.(1)		230,000		27,825
NSK, Ltd.(1)		3,200		32,839
				60,664
Metal-Diversified — 0.1%
Boliden AB(1)		2,846		66,830
Glencore PLC†(1)		861		2,361
Rio Tinto PLC(1)		143		4,758
				73,949
Metal-Iron — 0.0%
Fortescue Metals Group, Ltd.(1)		6,939		26,437
Motorcycle/Motor Scooter — 0.0%
Yamaha Motor Co., Ltd.(1)		200		4,048
Multimedia — 0.3%
Lagardere SCA(1)		777		19,783
Naspers, Ltd., Class N(1)		1,097		190,118
Pearson PLC(1)		4,221		41,232
Twenty-First Century Fox, Inc., Class A		6,200		150,164
				401,297
Networking Products — 0.5%
Cisco Systems, Inc.		17,900		567,788
Non-Ferrous Metals — 0.0%
Mitsubishi Materials Corp.(1)		500		13,665
Non-Hazardous Waste Disposal — 0.4%
China Water Affairs Group, Ltd.(1)		118,000		76,333
Waste Management, Inc.		6,200		395,312
				471,645
Office Automation & Equipment — 0.3%
Xerox Corp.		32,100		325,173
Oil & Gas Drilling — 0.4%
Nabors Industries, Ltd.		20,000		243,200
Patterson-UTI Energy, Inc.		6,200		138,694
Rowan Cos. PLC, Class A		10,300		156,148
				538,042
Oil Companies-Exploration & Production — 0.4%
Encana Corp.		400		4,180
EOG Resources, Inc.		123		11,895
Halcon Resources Corp.†		729		6,838
Lone Pine Resources, Inc.†(2)(3)		1,247		6
MWO Holdings LLC†(2)(3)		10		6,309
Occidental Petroleum Corp.		2,200		160,424
Prairie Provident Resources, Inc.†		691		465
QEP Resources, Inc.		12,800		249,984
Woodside Petroleum, Ltd.(1)		2,212		48,631
				488,732

Security Description	Shares		Value (Note 2)
Oil Companies-Integrated — 2.8%
BP PLC(1)		8,778	$	51,124
Cenovus Energy, Inc.		1,020		14,658
Chevron Corp.		10,000		1,029,200
Exxon Mobil Corp.		19,193		1,675,165
Gazprom Neft PAO ADR(1)		3,820		53,328
Lukoil PJSC ADR(1)		1,483		72,088
OMV AG(1)		4,165		119,880
Petroleo Brasileiro SA ADR†		5,111		47,686
Repsol SA(1)		2,138		29,016
Royal Dutch Shell PLC, Class A (Euronext)(1)		308		7,706
Royal Dutch Shell PLC, Class A (BATS)(1)		1,791		44,449
Royal Dutch Shell PLC, Class B(1)		3,582		92,939
Suncor Energy, Inc.		258		7,162
TOTAL SA(1)		4,821		228,502
				3,472,903
Oil Refining & Marketing — 0.0%
Idemitsu Kosan Co., Ltd.(1)		1,300		26,783
Neste Oyj(1)		582		24,804
				51,587
Oil-Field Services — 0.7%
Schlumberger, Ltd.		8,800		692,032
Seventy Seven Energy, Inc.†		661		12,460
Superior Energy Services, Inc.		9,400		168,260
				872,752
Paper & Related Products — 0.1%
Nine Dragons Paper Holdings, Ltd.(1)		61,000		57,444
Stora Enso Oyj, Class R(1)		5,882		52,229
UPM-Kymmene Oyj(1)		3,097		65,400
				175,073
Pipelines — 0.0%
Cheniere Energy, Inc.†		305		13,298
Printing-Commercial — 0.2%
Dai Nippon Printing Co., Ltd.(1)		11,000		107,797
RR Donnelley & Sons Co.		5,000		78,600
Toppan Printing Co., Ltd.(1)		7,000		63,159
				249,556
Private Equity — 0.2%
3i Group PLC(1)		20,376		171,511
Eurazeo SA(1)		55		3,191
Kennedy-Wilson Holdings, Inc.		828		18,671
KKR & Co. LP		648		9,241
				202,614
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		200		33,882
Publishing-Books — 0.0%
John Wiley & Sons, Inc., Class A		600		30,966
Publishing-Newspapers — 0.1%
News Corp., Class A		11,600		162,168

129

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Publishing-Periodicals — 0.1%
Wolters Kluwer NV(1)		1,511	$	64,662
Radio — 0.1%
Liberty SiriusXM Group, Series A†		4,200		142,716
Real Estate Investment Trusts — 2.2%
AGNC Investment Corp.		12,600		246,204
Annaly Capital Management, Inc.		27,300		286,650
Brandywine Realty Trust		3,600		56,232
Camden Property Trust		1,700		142,358
Chimera Investment Corp.		7,200		114,840
Corporate Office Properties Trust		2,300		65,205
Duke Realty Corp.		3,400		92,922
Equity LifeStyle Properties, Inc.		1,200		92,616
Equity Residential		7,100		456,743
Extra Space Storage, Inc.		400		31,764
Goodman Group(1)		14,932		83,409
Hibernia REIT PLC(1)		20,162		30,998
Highwoods Properties, Inc.		1,700		88,604
Japan Hotel REIT Investment Corp.(1)		32		25,419
Link REIT(1)		1,000		7,379
Macerich Co.		1,800		145,566
Macquarie Mexico Real Estate Management SA de CV		38,667		47,342
MFA Financial, Inc.		12,000		89,760
Mid-America Apartment Communities, Inc.		1,300		122,187
Retail Properties of America, Inc., Class A		3,000		50,400
Senior Housing Properties Trust		4,400		99,924
Spirit Realty Capital, Inc.		3,300		43,989
Starwood Property Trust, Inc.		8,900		200,428
Two Harbors Investment Corp.		9,400		80,182
Viva Energy†		1,486		2,730
Weingarten Realty Investors		1,000		38,980
				2,742,831
Real Estate Management/Services — 0.2%
Aldar Properties PJSC(1)		40,385		29,332
CBRE Group, Inc., Class A†		3,700		103,526
Daito Trust Construction Co., Ltd.(1)		200		31,963
Foxtons Group PLC(1)		5,157		6,712
Relo Group, Inc.		100		16,538
				188,071
Real Estate Operations & Development — 0.4%
Ayala Land, Inc.(1)		32,200		26,107
Emaar Properties PJSC(1)		45,395		87,655
Emlak Konut Gayrimenkul Yatirim Ortakligi AS(1)		47,851		48,580
Howard Hughes Corp.†		300		34,350
Kerry Properties, Ltd.(1)		16,000		52,705
Mitsui Fudosan Co., Ltd.(1)		1,000		21,293
New World Development Co., Ltd.(1)		64,000		83,805
Nomura Real Estate Holdings, Inc.(1)		1,400		23,622

Security Description	Shares		Value (Note 2)
Real Estate Operations & Development (continued)
Sun Hung Kai Properties, Ltd.(1)		1,000	$	15,240
Surya Semesta Internusa Tbk PT(1)		910,800		38,861
Wheelock & Co., Ltd.(1)		14,000		83,165
				515,383
Rental Auto/Equipment — 0.1%
AerCap Holdings NV†		531		20,438
Ashtead Group PLC(1)		3,690		60,789
				81,227
Resort/Theme Parks — 0.1%
Vail Resorts, Inc.		800		125,504
Retail-Apparel/Shoe — 0.5%
Bon Fame Co., Ltd.(1)		7,000		37,318
PVH Corp.		3,500		386,750
Shimamura Co., Ltd.(1)		100		12,126
Urban Outfitters, Inc.†		3,500		120,820
				557,014
Retail-Building Products — 1.8%
Home Depot, Inc.		9,600		1,235,328
Kingfisher PLC(1)		29,271		142,907
Lowe's Cos., Inc.		12,000		866,520
				2,244,755
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		3,900		78,039
Retail-Discount — 1.2%
Harvey Norman Holdings, Ltd.(1)		20,716		82,683
Wal-Mart Stores, Inc.		20,300		1,464,036
				1,546,719
Retail-Home Furnishings — 0.0%
Nitori Holdings Co., Ltd.(1)		100		11,965
Retail-Hypermarkets — 0.1%
Lenta, Ltd. GDR†*(2)(4)		4,578		37,082
Wal-Mart de Mexico SAB de CV		35,236		77,142
				114,224
Retail-Jewelry — 0.0%
Pandora A/S(1)		66		8,003
Retail-Major Department Stores — 0.1%
Marks & Spencer Group PLC(1)		9,977		42,907
Matahari Department Store Tbk PT(1)		35,800		50,820
Takashimaya Co., Ltd.(1)		2,000		16,411
				110,138
Retail-Misc./Diversified — 0.0%
Poya International Co., Ltd.(1)		3,000		44,677
Retail-Petroleum Products — 0.1%
World Fuel Services Corp.		1,300		60,138
Retail-Restaurants — 1.1%
McDonald's Corp.		5,600		646,016
Starbucks Corp.		14,100		763,374
				1,409,390

130

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Rubber-Tires — 0.1%
Cie Generale des Etablissements Michelin(1)		358	$	39,587
Continental AG(1)		119		25,019
Toyo Tire & Rubber Co, Ltd.(1)		800		11,282
				75,888
Satellite Telecom — 0.0%
Cellnex Telecom SAU*(1)		1,012		18,305
Eutelsat Communications SA(1)		553		11,449
				29,754
Schools — 0.0%
Estacio Participacoes SA		7,300		39,978
Semiconductor Components-Integrated Circuits — 0.6%
Maxim Integrated Products, Inc.		10,900		435,237
NXP Semiconductors NV†		79		8,059
Semiconductor Manufacturing International Corp.†(1)		380,000		42,607
Taiwan Semiconductor Manufacturing Co., Ltd.(1)		51,039		299,331
				785,234
Semiconductor Equipment — 0.7%
Applied Materials, Inc.		28,800		868,320
Tokyo Electron, Ltd.(1)		200		17,649
				885,969
Shipbuilding — 0.1%
Yangzijiang Shipbuilding Holdings, Ltd.(1)		136,600		75,617
Soap & Cleaning Preparation — 0.1%
Henkel AG & Co. KGaA (Preference Shares)(1)		183		24,874
Reckitt Benckiser Group PLC(1)		637		60,030
				84,904
Steel-Producers — 0.2%
JFE Holdings, Inc.(1)		1,000		14,580
Nippon Steel & Sumitomo Metal Corp.(1)		500		10,267
Reliance Steel & Aluminum Co.		1,900		136,857
Steel Dynamics, Inc.		3,900		97,461
voestalpine AG(1)		787		27,209
				286,374
Steel-Specialty — 0.0%
Hitachi Metals, Ltd.(1)		800		9,777
Storage/Warehousing — 0.0%
Sumitomo Warehouse Co., Ltd.(1)		1,000		5,322
Sugar — 0.1%
Sao Martinho SA		3,515		63,390
Telecom Services — 0.1%
BCE, Inc.		86		3,972
PCCW, Ltd.(1)		42,000		25,816
Spark New Zealand, Ltd.(1)		1,858		4,886
Telenor ASA(1)		2,683		46,134
				80,808

Security Description	Shares		Value (Note 2)
Telecommunication Equipment — 0.5%
Juniper Networks, Inc.		23,800	$	572,628
Nice, Ltd.(1)		424		28,353
				600,981
Telephone-Integrated — 1.8%
BT Group PLC(1)		11,721		59,098
KDDI Corp.(1)		2,400		73,854
Nippon Telegraph & Telephone Corp.(1)		3,600		164,413
Orange SA(1)		3,705		57,977
SoftBank Group Corp.(1)		300		19,435
Telecom Italia SpA RSP(1)		22,544		15,301
Telstra Corp., Ltd.(1)		24,661		97,945
Verizon Communications, Inc.		33,882		1,761,186
				2,249,209
Television — 0.2%
CJ E&M Corp.(1)		867		60,116
Cyfrowy Polsat SA†(1)		6,250		40,150
ITV PLC(1)		6,523		15,853
Nippon Television Holdings, Inc.(1)		1,100		18,618
RTL Group SA(1)		633		52,530
				187,267
Theaters — 0.0%
IMAX China Holding, Inc.†*(1)		8,800		43,236
Tobacco — 1.3%
Altria Group, Inc.		18,200		1,150,786
British American Tobacco PLC(1)		3,284		210,020
Imperial Brands PLC(1)		3,430		176,801
Japan Tobacco, Inc.(1)		800		32,684
Philip Morris International, Inc.		79		7,680
				1,577,971
Tools-Hand Held — 0.2%
Basso Industry Corp.(1)		42,000		133,994
Stanley Black & Decker, Inc.		1,400		172,172
				306,166
Toys — 0.0%
Bandai Namco Holdings, Inc.(1)		1,000		30,583
Transactional Software — 0.1%
Amadeus IT Group SA(1)		1,675		83,683
Transport-Marine — 0.0%
AP Moeller - Maersk A/S, Series B(1)		37		54,423
Transport-Rail — 0.1%
Aurizon Holdings, Ltd.(1)		7,181		25,864
Central Japan Railway Co.(1)		900		153,978
				179,842
Transport-Services — 0.9%
ComfortDelGro Corp., Ltd.(1)		7,700		15,949
Deutsche Post AG(1)		5,181		161,916
Royal Mail PLC(1)		14,668		92,919
United Parcel Service, Inc., Class B		7,800		853,008
				1,123,792

131

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
COMMON STOCKS (continued)
Travel Services — 0.1%
Flight Centre Travel Group, Ltd.(1)		1,451	$	40,640
TUI AG(1)		1,387		19,721
				60,361
Veterinary Diagnostics — 0.1%
VCA, Inc.†		1,800		125,964
Water — 0.0%
Veolia Environnement SA(1)		1,213		27,901
Web Portals/ISP — 2.0%
Alphabet, Inc., Class A†		3,021		2,429,065
PChome Online, Inc.(1)		4,419		52,219
Yandex NV, Class A†		1,523		32,059
				2,513,343
Wire & Cable Products — 0.0%
Leoni AG(1)		173		6,300
Wireless Equipment — 0.2%
Motorola Solutions, Inc.		2,400		183,072
Nokia OYJ(1)		4,864		28,134
				211,206
X-Ray Equipment — 0.3%
Hologic, Inc.†		8,800		341,704
Total Common Stocks (cost $87,728,025)				94,051,963
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Real Estate Investment Trusts — 0.0%
EPR Properties Series C 5.75% (cost $9,209)		505		15,509
PREFERRED SECURITIES — 0.0%
Diversified Banking Institutions — 0.0%
GMAC Capital Trust I FRS Series 2 6.60%		580		14,738
Telephone-Integrated — 0.0%
Verizon Communications, Inc. 5.90%		800		22,352
Total Preferred Securities (cost $34,579)				37,090
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7%
Banks-Fiduciary — 0.1%
State Street Capital Trust IV FRS 1.85% due 06/01/2077	$	105,000		90,300
Banks-Money Center — 0.0%
BBVA International Preferred SAU FRS 5.92% due 04/18/2017(5)		15,000		14,962
Banks-Super Regional — 0.1%
Fifth Third Bancorp FRS 5.10% due 06/30/2023(5)		9,000		8,719

Security Description	Principal Amount(18)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. FRS Series U 5.88% due 06/15/2025(5)	$	85,000	$	92,225
				100,944
Diversified Banking Institutions — 0.2%
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(5)		61,000		63,592
Bank of America Corp. FRS Series Z 6.50% due 10/23/2024(5)		5,000		5,416
Citigroup, Inc. FRS 5.90% due 02/15/2023(5)		24,000		24,840
Citigroup, Inc. FRS Series Q 5.95% due 08/15/2020(5)		168,000		171,053
JPMorgan Chase & Co. FRS Series Z 5.30% due 05/01/2020(5)		63,000		63,866
Lloyds Banking Group PLC FRS 6.66% due 05/21/2037*(5)		30,000		33,424
				362,191
Diversified Manufacturing Operations — 0.1%
General Electric Co. FRS Series D 5.00% due 01/19/2021(5)		68,000		72,315
Electric-Integrated — 0.1%
Puget Sound Energy, Inc. FRS Series A 6.97% due 06/01/2067		40,000		35,005
WEC Energy Group, Inc. FRS 6.25% due 05/15/2067		50,000		43,188
				78,193
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.20% due 03/15/2044		37,000		38,156
Insurance-Multi-line — 0.1%
Genworth Holdings, Inc. FRS 6.15% due 11/15/2066		10,000		4,475
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		50,000		54,625
MetLife, Inc. 6.40% due 12/15/2066		45,000		49,809
				108,909
Insurance-Mutual — 0.0%
Liberty Mutual Group, Inc. FRS 7.00% due 03/07/2067*		10,000		8,550
Pipelines — 0.0%
TransCanada PipeLines, Ltd. FRS 6.35% due 05/15/2067		60,000		47,730
Total Preferred Securities/Capital Securities (cost $892,419)				922,250

132

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES — 1.5%
Diversified Financial Services — 1.5%
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 1.45% due 06/25/2046(6)	$	19,049	$	15,200
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.42% due 11/10/2041*(2)(7)(8)		27,246		345
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(2)(7)(8)		459,025		5
Capmark Mortgage Securities, Inc. VRS Series 1997-C1, Class X 1.67% due 07/15/2029(7)(8)		66,677		1,753
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(7)		44,000		47,639
Citigroup Commercial Mtg. Trust VRS Series 2013-GC17,Class C 5.26% due 11/10/2046(7)		57,000		62,262
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.53% due 12/10/2046*(2)(7)(8)		846,986		491
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.21% due 12/10/2047(7)(8)		442,504		25,874
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.33% due 05/10/2047(7)(8)		361,028		20,779
Commercial Mtg. Trust VRS Series 2014-CR18, Class XA 1.43% due 07/15/2047(7)(8)		124,269		7,473
Commercial Mtg. Trust VRS Series 2012-CR3, Class XA 2.08% due 10/15/2045(7)(8)		195,869		15,999
Commerical Mtg. Trust Series LC6, Class AM 3.28% due 01/10/2046(7)		20,000		20,865
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.61% due 12/10/2047(7)		59,000		57,517
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 10/10/2046(7)		12,000		13,549
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.20% due 05/15/2038*(2)(7)(8)		19,740		1
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.55% due 09/15/2039*(2)(7)(8)		38,206		1
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.64% due 02/15/2040*(2)(7)(8)		374,111		263
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.51% due 08/10/2044*(7)		100,000		104,873

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
GE Capital Commercial Mtg. Corp. VRS Series 2005-C3, Class XC 0.07% due 07/10/2045*(2)(7)(8)	$	88,409	$	0
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 0.60% due 05/10/2043*(2)(7)(8)		212,086		463
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.75% due 02/10/2046(7)(8)		906,574		68,930
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(7)		22,000		23,105
GS Mtg. Securities Trust VRS Series 2013-GC12, Class C 4.18% due 06/10/2046(7)		42,000		41,699
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.40% due 09/12/2037*(2)(7)(8)		151,925		575
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(7)		19,000		19,386
JP Morgan Chase Commercial Mtg. Securities Trust VRS JPMCC 2013-C13 C 4.19% due 01/15/2046(7)		62,000		63,803
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C10, Class C 4.29% due 12/15/2047(7)		51,000		52,270
JP Morgan Chase Commercial Mtg. Securities Trust Series 2004-LN2, Class A2 5.12% due 07/15/2041(7)		1,172		1,172
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.36% due 05/15/2045(7)		21,000		22,611
JP Morgan Chase Commercial Mtg. Securities Trust Series 2007-LDPX, Class A3 5.42% due 01/15/2049(7)		12,665		12,760
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2006-LDP8, Class AJ 5.48% due 05/15/2045(7)		13,326		13,358
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2003-CB6, Class E 6.02% due 07/12/2037*(2)(7)		140,000		141,945
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C12, Class D 4.22% due 07/15/2045(7)		23,000		20,521

133

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust Series C15, Class B 4.93% due 11/15/2045(7)	$	38,000	$	43,027
LB-UBS Commercial Mtg. Trust VRS Series 2005-C2, Class XCL 0.20% due 04/15/2040*(2)(7)(8)		36,639		2
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.47% due 11/15/2040*(2)(7)(8)		165,551		1,324
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.29% due 04/15/2041(7)		69,000		68,468
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.02% due 06/12/2043*(2)(7)(8)		79,337		1
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 5.72% due 07/15/2045*(2)(4)(7)(8)		37,177		569
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 7.16% due 05/15/2044*(2)(4)(7)(8)		5,125		58
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.42% due 08/15/2047(7)(8)		160,135		9,688
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C6, Class XA 2.19% due 11/15/2045*(7)(8)		360,164		23,348
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class D 3.26% due 05/15/2048*(7)		21,000		13,890
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.70% due 12/15/2048(7)		19,000		19,840
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C11, Class C 4.56% due 08/15/2046(7)		64,000		66,493
Morgan Stanley Capital I Trust Series 2005-IQ9, Class B 4.86% due 07/15/2056(7)		130,000		129,118
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class E 5.32% due 07/15/2049*(7)		58,000		60,002
Morgan Stanley Capital I Trust VRS Series 2007-T27, Class AJ 5.82% due 06/11/2042(7)		30,000		29,093
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC 0.00% due 04/15/2042*(2)(7)(8)		50,614		4

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 0.98% due 10/25/2044(6)	$	49,452	$	44,656
Wells Fargo Commercial Mtg. Trust VRS Series 2012-LC5, Class D 4.94% due 10/15/2045*(2)(7)		34,000		33,107
WF-RBS Commercial Mtg. Trust VRS Series 2013-C12, Class XA 1.53% due 03/15/2048*(7)(8)		166,468		9,833
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.59% due 03/15/2045*(7)(8)		318,870		17,242
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.86% due 12/15/2045*(7)(8)		396,826		29,222
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.28% due 11/15/2045*(7)(8)		147,341		12,250
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(7)		24,000		26,767
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(7)		53,000		59,423
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class C 4.65% due 03/15/2047(7)		56,000		59,439
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.96% due 11/15/2045*(7)		44,000		43,362
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class C 4.99% due 06/15/2045(7)		55,000		59,991
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.99% due 06/15/2045*(7)		55,000		56,541
WF-RBS Commercial Mtg. Trust VRS Series 2013-D, Class C16 5.15% due 09/15/2046*(7)		23,000		22,528
WF-RBS Commercial Mtg. Trust VRS Series 2011-C4 5.42% due 06/15/2044*(7)		55,000		56,811
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.81% due 03/15/2044*(2)(7)		34,000		35,659
Total Asset Backed Securities (cost $2,634,738)				1,909,243
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		3,785

134

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
CONVERTIBLE BONDS & NOTES (continued)
Real Estate Investment Trusts — 0.0%
iStar, Inc. Senior Notes 3.00% due 11/15/2016	$	11,000	$	11,082
Semiconductor Equipment — 0.0%
Jazz US Holdings, Inc. Company Guar. Notes 8.00% due 12/31/2018		11,000		17,552
Total Convertible Bonds & Notes (cost $25,649)				32,419
U.S. CORPORATE BONDS & NOTES — 6.5%
Advertising Agencies — 0.0%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		15,000		15,853
Advertising Sales — 0.0%
Lamar Media Corp. Company Guar. Notes 5.38% due 01/15/2024		5,000		5,250
Lamar Media Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,577
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024		7,000		7,280
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025		10,000		10,500
				37,607
Aerospace/Defense-Equipment — 0.1%
KLX, Inc. Company Guar. Notes 5.88% due 12/01/2022*		25,000		25,875
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		20,000		20,675
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026*		10,000		10,325
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024		13,000		13,682
TransDigm, Inc. Company Guar. Notes 7.50% due 07/15/2021		3,000		3,180
United Technologies Corp. Senior Notes 5.70% due 04/15/2040		5,000		6,597
				80,334
Airlines — 0.0%
Continental Airlines, Inc. Pass Though Trust Pass-Through Certs. Series 1998-1, Class A 6.65% due 03/15/2019		3,268		3,321

Security Description	Principal Amount(18)		Value (Note 2)
Airlines (continued)
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021	$	2,133	$	2,408
United Airline Pass-Through Trust Pass-Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024		8,492		9,044
				14,773
Alternative Waste Technology — 0.0%
Advanced Disposal Services, Inc. Company Guar. Notes 8.25% due 10/01/2020		30,000		31,500
Apparel Manufacturers — 0.0%
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024*		10,000		10,263
Applications Software — 0.0%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		20,000		20,017
Auto-Cars/Light Trucks — 0.2%
Ford Motor Co. Senior Notes 7.40% due 11/01/2046		70,000		101,080
Ford Motor Co. Senior Notes 9.98% due 02/15/2047		5,000		8,197
General Motors Co. Senior Notes 6.25% due 10/02/2043		15,000		17,704
General Motors Co. Senior Notes 6.75% due 04/01/2046		15,000		18,805
General Motors Financial Co., Inc. Company Guar. Notes 3.00% due 09/25/2017		8,000		8,102
General Motors Financial Co., Inc. Company Guar. Notes 3.20% due 07/06/2021		16,000		16,196
General Motors Financial Co., Inc. Company Guar. Notes 3.25% due 05/15/2018		20,000		20,353
General Motors Financial Co., Inc. Company Guar. Notes 3.45% due 04/10/2022		15,000		15,215
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025		13,000		13,393
				219,045
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Company Guar. Notes 8.25% due 11/01/2021		10,000		9,900

135

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto/Truck Parts & Equipment-Original — 0.1%
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019	$	16,000	$	18,120
Lear Corp. Company Guar. Notes 5.38% due 03/15/2024		15,000		16,106
Tenneco, Inc. Company Guar. Notes 5.00% due 07/15/2026		5,000		5,062
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024		15,000		15,750
TI Group Automotive Systems, LLC Senior Notes 8.75% due 07/15/2023*		20,000		21,750
TRW Automotive, Inc. Company Guar. Notes 4.50% due 03/01/2021*		3,000		3,077
				79,865
Banks-Mortgage — 0.0%
Provident Funding Associates LP/PFG Finance Corp. Company Guar. Notes 6.75% due 06/15/2021*		17,000		17,149
Beverages-Wine/Spirits — 0.0%
Constellation Brands, Inc. Company Guar. Notes 6.00% due 05/01/2022		6,000		6,893
Brewery — 0.1%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		18,000		19,332
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		32,000		38,073
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		16,000		25,828
				83,233
Broadcast Services/Program — 0.1%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Series B 6.50% due 11/15/2022		28,000		29,155
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020		25,000		24,781
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019		21,000		16,616
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*		15,000		15,094
Univision Communications, Inc. Company Guar. Notes 8.50% due 05/15/2021*		12,000		12,420
				98,066

Security Description	Principal Amount(18)		Value (Note 2)
Building & Construction Products-Misc. — 0.1%
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024*(2)	$	15,000	$	15,000
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024*		10,000		10,250
Builders FirstSource, Inc. Company Guar. Notes 10.75% due 08/15/2023*		25,000		28,687
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021*		5,000		5,100
Louisiana-Pacific Corp. Company Guar. Notes 4.88% due 09/15/2024*(2)		10,000		10,000
Owens Corning, Inc. Company Guar. Notes 9.00% due 06/15/2019		3,000		3,504
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		20,000		20,600
USG Corp. Company Guar. Notes 5.50% due 03/01/2025*		15,000		16,088
USG Corp. Company Guar. Notes 5.88% due 11/01/2021*		3,000		3,139
				112,368
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		11,000		9,790
Building Products-Cement — 0.0%
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024		15,000		15,562
Vulcan Materials Co. Senior Notes 4.50% due 04/01/2025		5,000		5,400
				20,962
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024*(2)		15,000		15,225
Building-Heavy Construction — 0.0%
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023		20,000		19,750
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.88% due 11/15/2024		5,000		5,350
CalAtlantic Group, Inc. Company Guar. Notes 6.25% due 12/15/2021		19,000		20,876

136

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Residential/Commercial (continued)
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023	$	25,000	$	28,625
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022		9,000		9,293
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		10,000		10,500
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032		20,000		23,100
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.25% due 04/15/2021*		6,000		6,195
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.63% due 03/01/2024*		11,000		11,330
TRI Pointe Group Inc./TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024		15,000		15,600
				130,869
Cable/Satellite TV — 0.2%
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020		6,000		6,285
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023*(2)		5,000		5,219
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022		11,000		11,495
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		5,000		5,212
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*		5,000		5,300
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024*		20,000		21,338
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 6.63% due 01/31/2022		14,000		14,665
Cequel Communications Holdings I LLC/Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		25,000		24,988

Security Description	Principal Amount(18)		Value (Note 2)
Cable/Satellite TV (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025*	$	12,000	$	13,237
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045*		33,000		39,908
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022		10,000		14,065
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		13,870
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		61,000		57,950
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		9,000		9,517
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		14,812
WideOpenWest Finance LLC/ WideOpenWest Capital Corp. Company Guar. Notes 10.25% due 07/15/2019		15,000		15,789
				273,650
Casino Hotels — 0.1%
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026*		5,000		5,363
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023		10,000		10,825
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021		15,000		16,875
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020		20,000		22,400
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019		15,000		16,912
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 6.38% due 06/01/2021*		8,000		8,000
				80,375
Casino Services — 0.1%
CCM Merger, Inc. Company Guar. Notes 9.13% due 05/01/2019*		14,000		14,630

137

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Services (continued)
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023	$	15,000	$	15,919
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. Senior Sec. Notes 6.13% due 08/15/2021*		20,000		20,650
				51,199
Cellular Telecom — 0.2%
Crown Castle Towers LLC Senior Sec. Notes 4.88% due 08/15/2040*		45,000		49,183
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020		6,000		6,030
Sprint Communications, Inc. Senior Notes 8.38% due 08/15/2017		25,000		26,000
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		27,000		29,801
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		16,000		16,060
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		43,000		43,269
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		5,342
T-Mobile USA, Inc. Company Guar. Notes 6.13% due 01/15/2022		3,000		3,187
T-Mobile USA, Inc. Company Guar. Notes 6.25% due 04/01/2021		17,000		17,839
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		10,000		10,875
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		6,000		6,315
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/01/2023		20,000		21,475
T-Mobile USA, Inc. Company Guar. Notes 6.84% due 04/28/2023		3,000		3,232
				238,608
Chemicals-Diversified — 0.1%
Blue Cube Spinco, Inc. Company Guar. Notes 9.75% due 10/15/2023*		15,000		17,625
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022		9,000		9,865

Security Description	Principal Amount(18)		Value (Note 2)
Chemicals-Diversified (continued)
Celanese US Holdings LLC Company Guar. Notes 5.88% due 06/15/2021	$	19,000	$	21,781
Eastman Chemical Co. Senior Notes 3.80% due 03/15/2025		15,000		15,878
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026*(2)		35,000		35,100
				100,249
Chemicals-Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*		15,000		15,150
Chemicals-Specialty — 0.1%
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023		10,000		9,750
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025		10,000		9,825
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023*		30,000		34,273
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020		14,000		14,595
Huntsman International LLC Company Guar. Notes 5.13% due 11/15/2022		5,000		5,200
INVISTA Finance LLC Senior Sec. Notes 4.25% due 10/15/2019*		11,000		10,946
Kraton Polymers LLC Company Guar. Notes 10.50% due 04/15/2023*		15,000		17,025
PQ Corp. Senior Sec. Notes 6.75% due 11/15/2022*		5,000		5,300
Tronox Finance LLC Company Guar. Notes 7.50% due 03/15/2022*(2)		10,000		9,125
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		25,000		27,188
				143,227
Commercial Services — 0.0%
TMS International Corp. Company Guar. Notes 7.63% due 10/15/2021*		20,000		17,100
Computers — 0.1%
Apple, Inc. Senior Notes 4.38% due 05/13/2045		28,000		30,895

138

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 5.45% due 06/15/2023*	$	55,000	$	58,930
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 5.88% due 06/15/2021*		5,000		5,313
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024*		44,000		48,393
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		13,000		15,566
				159,097
Consumer Products-Misc. — 0.0%
Prestige Brands, Inc. Company Guar. Notes 5.38% due 12/15/2021*		10,000		10,350
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025		10,000		10,800
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024		5,000		5,414
				26,564
Containers-Metal/Glass — 0.0%
Crown Americas LLC/Crown Americas Capital Corp. IV Company Guar. Notes 4.50% due 01/15/2023		5,000		5,188
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		10,000		11,187
				16,375
Containers-Paper/Plastic — 0.1%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023		15,000		15,225
Berry Plastics Corp. Sec. Notes 5.50% due 05/15/2022		6,000		6,210
Berry Plastics Corp. Sec. Notes 6.00% due 10/15/2022		5,000		5,275
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Company Guar. Notes 7.00% due 07/15/2024*		15,000		16,088
Sealed Air Corp. Company Guar. Notes 4.88% due 12/01/2022*		5,000		5,250

Security Description	Principal Amount(18)		Value (Note 2)
Containers-Paper/Plastic (continued)
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*	$	5,000	$	5,281
Sealed Air Corp. Company Guar. Notes 5.25% due 04/01/2023*		11,000		11,715
Sealed Air Corp. Company Guar. Notes 5.50% due 09/15/2025*		5,000		5,363
Sealed Air Corp. Company Guar. Notes 6.50% due 12/01/2020*		12,000		13,725
Sealed Air Corp. Company Guar. Notes 6.88% due 07/15/2033*		10,000		10,725
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031		1,000		1,348
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030		20,000		27,271
				123,476
Cosmetics & Toiletries — 0.0%
Revlon Consumer Products Corp. Company Guar. Notes 5.75% due 02/15/2021		20,000		20,400
Revlon Consumer Products Corp. Company Guar. Notes 6.25% due 08/01/2024*(2)		5,000		5,162
				25,562
Data Processing/Management — 0.1%
Fidelity National Information Services, Inc. Company Guar. Notes 5.00% due 03/15/2022		14,000		14,500
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		10,300
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		15,000		15,413
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023*		25,000		26,437
				66,650
Diagnostic Equipment — 0.0%
Crimson Merger Sub, Inc. Senior Notes 6.63% due 05/15/2022*		17,000		15,003
Dialysis Centers — 0.0%
Fresenius Medical Care U.S. Finance II, Inc. Company Guar. Notes 5.63% due 07/31/2019*		10,000		10,850

139

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Disposable Medical Products — 0.0%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*	$	10,000	$	10,400
Distribution/Wholesale — 0.1%
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023*		10,000		10,400
American Tire Distributors, Inc Senior Sub. Notes 10.25% due 03/01/2022*		20,000		18,200
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023		20,000		21,600
HD Supply, Inc. Company Guar. Notes 5.75% due 04/15/2024*		5,000		5,250
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023*		10,000		10,300
				65,750
Diversified Banking Institutions — 0.0%
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		11,460
Diversified Financial Services — 0.0%
DFC Finance Corp. Senior Sec. Notes 10.50% due 06/15/2020*		10,000		6,300
Diversified Manufacturing Operations — 0.0%
Amsted Industries, Inc. Company Guar. Notes 5.00% due 03/15/2022*		15,000		15,075
Amsted Industries, Inc. Company Guar. Notes 5.38% due 09/15/2024*		15,000		14,925
				30,000
E-Commerce/Services — 0.0%
Expedia, Inc. Company Guar. Notes 5.00% due 02/15/2026*		15,000		15,787
Expedia, Inc. Company Guar. Notes 5.95% due 08/15/2020		15,000		16,914
Priceline Group, Inc. Senior Notes 3.65% due 03/15/2025		6,000		6,293
				38,994
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 3.55% due 06/15/2026*		13,000		13,473

Security Description	Principal Amount(18)		Value (Note 2)
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023	$	6,000	$	6,090
AES Corp. Senior Notes 5.50% due 04/15/2025		30,000		30,900
AES Corp. Senior Notes 7.38% due 07/01/2021		28,000		32,130
AES Corp. Senior Notes 8.00% due 06/01/2020		5,000		5,887
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		24,201
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		25,000		33,206
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037		5,000		6,876
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033		25,000		32,199
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		10,938
DPL, Inc. Senior Notes 6.50% due 10/15/2016		2,000		2,003
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. Sec. Notes 11.75% due 03/01/2022*(11)(12)		7,934		9,759
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		35,000		39,152
Pacific Gas & Electric Co. Senior Notes 5.80% due 03/01/2037		20,000		26,308
Pacific Gas & Electric Co. Senior Notes 6.35% due 02/15/2038		10,000		13,778
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037		15,000		20,794
Potomac Edison Co. 1st Mtg. Notes 5.80% due 10/15/2016*		20,000		20,020
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Senior Sec. Notes 11.50% due 10/01/2020*(11)(12)		11,000		3,355
Texas-New Mexico Power Co. 1st Mtg. Notes 9.50% due 04/01/2019*		25,000		29,088
				346,684

140

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Transmission — 0.0%
ITC Holdings Corp. Senior Notes 6.05% due 01/31/2018*	$	15,000	$	15,805
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		20,000		22,111
				37,916
Electronic Components-Misc. — 0.0%
Jabil Circuit, Inc. Senior Notes 8.25% due 03/15/2018		5,000		5,444
Electronic Components-Semiconductors — 0.0%
Micron Technology, Inc. Senior Notes 5.88% due 02/15/2022		15,000		15,300
Micron Technology, Inc. Senior Sec. Notes 7.50% due 09/15/2023*		5,000		5,554
				20,854
Engines-Internal Combustion — 0.0%
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020		30,000		33,450
Enterprise Software/Service — 0.1%
Infor Software Parent LLC/Infor Software Parent, Inc. Company Guar. Notes 7.13% due 05/01/2021*(2)(13)		20,000		19,400
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*		7,000		7,350
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022		20,000		20,250
Oracle Corp. Senior Notes 2.65% due 07/15/2026		30,000		30,005
				77,005
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		30,000		31,388
Ally Financial, Inc. Company Guar. Notes 6.25% due 12/01/2017		17,000		17,680
Ally Financial, Inc. Company Guar. Notes 7.50% due 09/15/2020		14,000		15,925
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		15,995

Security Description	Principal Amount(18)		Value (Note 2)
Finance-Auto Loans (continued)
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031	$	31,000	$	38,207
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021		11,000		11,055
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023		5,000		5,175
				150,860
Finance-Commercial — 0.1%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019		6,000		6,128
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		17,000		18,062
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023		6,000		6,353
CIT Group, Inc. Senior Notes 5.25% due 03/15/2018		14,000		14,595
CIT Group, Inc. Senior Notes 5.38% due 05/15/2020		14,000		14,962
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		17,000		17,999
CIT Group, Inc. Senior Notes 6.63% due 04/01/2018*		25,000		26,531
				104,630
Finance-Consumer Loans — 0.0%
OneMain Financial Holdings LLC Company Guar. Notes 6.75% due 12/15/2019*		15,000		15,769
OneMain Financial Holdings LLC Company Guar. Notes 7.25% due 12/15/2021*		10,000		10,512
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 8.50% due 09/15/2018*		7,000		5,215
				31,496
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%
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022*		30,000		31,528
E*TRADE Financial Corp. Senior Notes 4.63% due 09/15/2023		10,000		10,393

141

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker (continued)
E*TRADE Financial Corp. Senior Notes 5.38% due 11/15/2022	$	10,000	$	10,660
				52,581
Finance-Leasing Companies — 0.0%
Air Lease Corp. Senior Notes 3.38% due 06/01/2021		15,000		15,560
Air Lease Corp. Senior Notes 3.75% due 02/01/2022		15,000		15,721
				31,281
Finance-Other Services — 0.0%
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021*		5,000		5,236
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021		25,000		24,500
				29,736
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		10,000		10,665
WhiteWave Foods Co. Company Guar. Notes 5.38% due 10/01/2022		15,000		17,044
				27,709
Food-Meat Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc. Company Guar. Notes 8.25% due 02/01/2020*		6,000		6,188
Food-Misc./Diversified — 0.1%
Kraft Foods Group, Inc. Company Guar. Notes 6.50% due 02/09/2040		9,000		12,080
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		45,000		47,611
				59,691
Footwear & Related Apparel — 0.0%
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026*		10,000		10,100
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 5.38% due 01/15/2022		14,000		14,560
Service Corp. International Senior Notes 5.38% due 05/15/2024		24,000		25,440
				40,000

Security Description	Principal Amount(18)		Value (Note 2)
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc. Company Guar. Notes 5.88% due 03/15/2021	$	11,000	$	11,481
Scientific Games International, Inc. Company Guar. Notes 6.25% due 09/01/2020		5,000		3,850
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		15,000		15,863
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		45,000		41,512
				72,706
Gas-Transportation — 0.0%
Southern Star Central Corp. Senior Notes 5.13% due 07/15/2022*		15,000		15,113
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc. Senior Notes 4.20% due 04/01/2026		30,000		32,673
Home Furnishings — 0.0%
Tempur Sealy International, Inc. Company Guar. Notes 5.50% due 06/15/2026*		5,000		5,150
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Senior Sec. Notes 7.88% due 02/15/2021*		10,000		10,825
Hotels/Motels — 0.1%
Diamond Resorts International, Inc. Senior Sec. Notes 7.75% due 09/01/2023*(2)		20,000		20,025
Diamond Resorts International, Inc. Senior Notes 10.75% due 09/01/2024*(2)		10,000		9,800
Hilton Domestic Operating Co., Inc. Senior Notes 4.25% due 09/01/2024*		10,000		10,200
Hyatt Hotels Corp. Senior Notes 3.38% due 07/15/2023		10,000		10,284
				50,309
Human Resources — 0.0%
AMN Healthcare, Inc. Company Guar. Notes 5.13% due 10/01/2024*(2)		5,000		5,050
Ceridian HCM Holding, Inc. Senior Notes 11.00% due 03/15/2021*		31,000		32,782
				37,832
Independent Power Producers — 0.1%
Calpine Corp. Senior Notes 5.75% due 01/15/2025		30,000		29,625

142

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers (continued)
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*	$	3,000	$	3,169
Calpine Corp. Senior Sec. Notes 6.00% due 01/15/2022*		3,000		3,142
Dynegy, Inc. Company Guar. Notes 6.75% due 11/01/2019		35,000		35,875
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020		20,000		14,900
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027*		15,000		14,700
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026*		10,000		10,175
NRG Energy, Inc. Company Guar. Notes 7.88% due 05/15/2021		38,000		39,710
				151,296
Insurance Brokers — 0.0%
HUB International, Ltd. Senior Notes 7.88% due 10/01/2021*		17,000		17,340
Wayne Merger Sub LLC Senior Notes 8.25% due 08/01/2023*		10,000		10,162
				27,502
Insurance-Life/Health — 0.1%
Aflac, Inc. Senior Notes 6.45% due 08/15/2040		16,000		21,701
Aflac, Inc. Senior Notes 6.90% due 12/17/2039		34,000		47,991
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		20,000		19,850
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033*		20,000		23,161
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*		15,000		20,393
				133,096
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040		25,000		32,193
Nationwide Mutual Insurance Co. Sub. Notes 8.25% due 12/01/2031*		15,000		21,583
				53,776

Security Description	Principal Amount(18)		Value (Note 2)
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*	$	45,000	$	70,815
Insurance-Property/Casualty — 0.0%
Travelers Property Casualty Corp. Company Guar. Notes 7.75% due 04/15/2026		15,000		20,497
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		28,088
Investment Management/Advisor Services — 0.0%
Neuberger Berman Group LLC/ Neuberger Berman Finance Corp. Senior Notes 5.88% due 03/15/2022*		15,000		15,656
Machinery-Construction & Mining — 0.1%
BlueLine Rental Finance Corp Sec. Notes 7.00% due 02/01/2019*		11,000		9,597
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2022		20,000		21,050
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,694
Terex Corp. Company Guar. Notes 6.00% due 05/15/2021		5,000		5,113
Vander Intermediate Holding II Corp. Senior Notes 9.75% due 02/01/2019*(20)		5,262		2,736
				54,190
Machinery-Electrical — 0.0%
Cortes NP Acquisition Corp. Senior Notes 9.25% due 10/15/2024*(2)		5,000		5,000
Machinery-General Industrial — 0.1%
Manitowoc Foodservice, Inc. Senior Notes 9.50% due 02/15/2024		30,000		34,350
Zebra Technologies Corp. Senior Notes 7.25% due 10/15/2022		10,000		10,837
				45,187
Medical Instruments — 0.0%
Halyard Health, Inc. Company Guar. Notes 6.25% due 10/15/2022		10,000		10,225
Medical-Biomedical/Gene — 0.0%
AMAG Pharmaceuticals, Inc. Company Guar. Notes 7.88% due 09/01/2023*		20,000		19,100

143

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs — 0.0%
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025	$	4,000	$	4,181
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*		10,000		8,850
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.38% due 10/15/2020*		9,000		8,438
				21,469
Medical-HMO — 0.1%
Centene Corp. Senior Notes 4.75% due 05/15/2022		15,000		15,487
Centene Corp. Senior Notes 5.63% due 02/15/2021		5,000		5,300
Centene Corp. Senior Notes 6.13% due 02/15/2024		15,000		16,275
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022		10,000		10,325
				47,387
Medical-Hospitals — 0.2%
Acadia Healthcare Co., Inc. Company Guar. Notes 5.13% due 07/01/2022		10,000		9,900
Acadia Healthcare Co., Inc. Company Guar. Notes 6.13% due 03/15/2021		20,000		20,650
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		8,000		7,940
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		18,000		15,480
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		6,000		6,202
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024		5,000		5,275
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		30,000		31,875
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		5,000		5,163
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		49,000		54,267
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022		3,000		3,443

Security Description	Principal Amount(18)		Value (Note 2)
Medical-Hospitals (continued)
Tenet Healthcare Corp. FRS Senior Sec. Notes 4.35% due 06/15/2020	$	15,000	$	15,076
Tenet Healthcare Corp. Senior Sec. Notes 4.38% due 10/01/2021		9,000		8,955
Tenet Healthcare Corp. Senior Sec. Notes 4.50% due 04/01/2021		6,000		6,038
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		14,000		14,805
Tenet Healthcare Corp. Senior Sec. Notes 6.25% due 11/01/2018		25,000		26,687
				231,756
Metal Processors & Fabrication — 0.0%
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*(2)		15,000		15,356
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024*		10,000		10,613
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023*		10,000		10,550
				36,519
Metal-Diversified — 0.1%
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025*		16,000		15,643
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*		34,000		34,646
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022*		10,000		11,000
				61,289
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024		20,000		25,643
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045		10,000		14,737
21st Century Fox America, Inc. Company Guar. Notes 7.85% due 03/01/2039		9,000		12,928
Historic TW, Inc. Company Guar. Notes 9.15% due 02/01/2023		10,000		13,550
NBCUniversal Media LLC Company Guar. Notes 6.40% due 04/30/2040		20,000		27,991
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		45,000		63,985
				158,834

144

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023*	$	10,000	$	10,150
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		10,000		11,300
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022		11,000		11,083
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021		11,000		11,124
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		5,094
California Resources Corp. Sec. Notes 8.00% due 12/15/2022*		24,000		15,960
Callon Petroleum Co Company Guar. Notes 6.13% due 10/01/2024*(2)		5,000		5,175
Carrizo Oil & Gas, Inc. Company Guar. Notes 7.50% due 09/15/2020		5,000		5,175
Chesapeake Energy Corp. Sec. Notes 8.00% due 12/15/2022*		21,000		21,289
Concho Resources, Inc. Company Guar. Notes 5.50% due 10/01/2022		6,000		6,225
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		14,000		14,438
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024		5,000		4,575
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		10,000		9,600
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		15,000		14,962
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021		10,000		7,450
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021*		17,000		17,807
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		7,000		6,950
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		15,000		18,582

Security Description	Principal Amount(18)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
EOG Resources, Inc. Senior Notes 5.63% due 06/01/2019	$	15,000	$	16,429
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020		33,000		23,347
Halcon Resources Corp. Sec. Notes 8.63% due 02/01/2020*		10,000		10,050
Hess Corp. Senior Notes 7.30% due 08/15/2031		10,000		11,859
Kerr-McGee Corp. Company Guar. Notes 7.88% due 09/15/2031		15,000		18,607
Laredo Petroleum, Inc. Company Guar. Notes 5.63% due 01/15/2022		5,000		4,850
Laredo Petroleum, Inc. Company Guar. Notes 7.38% due 05/01/2022		25,000		25,844
Linn Energy LLC/Linn Energy Finance Corp. Sec. Notes 12.00% due 12/15/2020*(11)(12)		33,000		16,005
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		5,000		4,748
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		10,000		10,025
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022		25,000		25,812
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		20,000		19,150
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023		10,000		9,550
Range Resources Corp. Company Guar. Notes 5.75% due 06/01/2021*(2)		20,000		20,250
Samson Investment Co. Company Guar. Notes 9.75% due 02/15/2020(11)(12)		39,000		1,560
SandRidge Energy, Inc. Sec. Notes 8.75% due 06/01/2020*(11)(12)		15,000		5,400
SM Energy Co. Senior Notes 5.00% due 01/15/2024		10,000		9,400
SM Energy Co. Senior Notes 6.13% due 11/15/2022		10,000		10,000

145

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
SM Energy Co. Senior Notes 6.50% due 11/15/2021	$	11,000	$	11,248
SM Energy Co. Senior Notes 6.50% due 01/01/2023		3,000		3,030
SM Energy Co. Senior Notes 6.75% due 09/15/2026		5,000		5,050
Unit Corp. Company Guar. Notes 6.63% due 05/15/2021		2,000		1,688
Whiting Petroleum Corp. Company Guar. Notes 5.00% due 03/15/2019		10,000		9,675
Whiting Petroleum Corp. Company Guar. Notes 5.75% due 03/15/2021		6,000		5,610
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		21,000		20,961
WPX Energy, Inc. Senior Notes 7.50% due 08/01/2020		15,000		15,862
				502,799
Oil Companies-Integrated — 0.0%
Murphy Oil Corp. Senior Notes 6.88% due 08/15/2024		15,000		15,506
Oil-Field Services — 0.0%
Archrock Partners LP/Archrock Partners Finance Corp. Company Guar. Notes 6.00% due 10/01/2022		11,000		10,202
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019†(2)(3)		20,000		2
Freeport-McMoran Oil & Gas LLC/ FCX Oil & Gas, Inc. Company Guar. Notes 6.75% due 02/01/2022		13,000		13,357
Freeport-McMoran Oil & Gas LLC/ FCX Oil & Gas, Inc. Company Guar. Notes 6.88% due 02/15/2023		15,000		15,544
Key Energy Services, Inc. Company Guar. Notes 6.75% due 03/01/2021(21)(22)		5,000		1,350
Seventy Seven Energy, Inc. Escrow Notes 6.50% due 07/15/2022†(2)(3)		5,000		1
				40,456
Paper & Related Products — 0.0%
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029		10,000		14,311

Security Description	Principal Amount(18)		Value (Note 2)
Paper & Related Products (continued)
International Paper Co. Senior Notes 8.70% due 06/15/2038	$	5,000	$	7,395
Mercer International, Inc. Company Guar. Notes 7.75% due 12/01/2022		15,000		15,881
				37,587
Physicians Practice Management — 0.0%
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		5,000		5,256
Pipelines — 0.4%
Access Midstream Partners LP/ACMP Finance Corp Senior Notes 4.88% due 03/15/2024		20,000		20,214
Boardwalk Pipelines LP Company Guar. Notes 5.95% due 06/01/2026		5,000		5,528
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		10,000		9,750
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032		30,000		37,381
Energy Transfer Equity LP Senior Sec. Notes 5.88% due 01/15/2024		15,000		15,563
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		11,000		12,073
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		15,000		16,258
Energy Transfer Partners LP Senior Notes 6.50% due 02/01/2042		15,000		15,646
EQT Midstream Partners LP Company Guar. Notes 4.00% due 08/01/2024		20,000		19,660
Hiland Partners LP/Hiland Partners Finance Corp. Company Guar. Notes 5.50% due 05/15/2022*		3,000		3,119
Hiland Partners LP/Hiland Partners Finance Corp. Company Guar. Notes 7.25% due 10/01/2020*		11,000		11,399
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044		4,000		4,010
Kinder Morgan, Inc. Company Guar. Notes 3.05% due 12/01/2019		10,000		10,219
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032		24,000		29,017

146

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023	$	9,000	$	9,061
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.00% due 10/01/2022		5,000		5,277
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.50% due 04/15/2023		11,000		11,356
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		14,000		15,438
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		5,000		4,600
Rose Rock Midstream LP/ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023		10,000		9,100
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027*(2)		45,000		46,125
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.88% due 06/30/2026*		45,000		48,909
Spectra Energy Capital LLC Company Guar. Notes 8.00% due 10/01/2019		15,000		17,311
Texas Gas Transmission LLC Senior Notes 4.50% due 02/01/2021*(2)		18,000		18,652
Western Gas Partners LP Senior Notes 4.65% due 07/01/2026		5,000		5,175
Williams Cos., Inc. Senior Notes 7.75% due 06/15/2031		10,000		11,425
Williams Cos., Inc. Senior Notes 7.88% due 09/01/2021		6,000		6,945
Williams Cos., Inc. Senior Notes 8.75% due 03/15/2032		5,000		6,200
Williams Partners LP Senior Notes 5.25% due 03/15/2020		30,000		32,477
Williams Partners LP/ACMP Finance Corp. Senior Notes 4.88% due 05/15/2023		18,000		18,212

Security Description	Principal Amount(18)		Value (Note 2)
Pipelines (continued)
Williams Partners LP/ACMP Finance Corp. Senior Notes 6.13% due 07/15/2022	$	6,000	$	6,229
				482,329
Poultry — 0.0%
Pilgrim's Pride Corp. Company Guar. Notes 5.75% due 03/15/2025*		10,000		10,300
Private Equity — 0.1%
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		13,440
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020		31,000		31,155
				44,595
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		15,000		14,175
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.88% due 11/01/2020		17,000		18,317
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		5,000		5,375
Penn National Gaming, Inc. Senior Notes 5.88% due 11/01/2021		20,000		20,650
				44,342
Radio — 0.0%
Entercom Radio LLC Company Guar. Notes 10.50% due 12/01/2019		15,000		15,619
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024*		9,000		9,596
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023*(2)		5,000		5,075
				30,290
Real Estate Investment Trusts — 0.3%
American Tower Corp. Senior Notes 3.38% due 10/15/2026		25,000		25,340
American Tower Corp. Senior Notes 4.00% due 06/01/2025		20,000		21,393
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022		11,000		12,271

147

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Duke Realty LP Company Guar. Notes 3.88% due 02/15/2021	$	10,000	$	10,671
EPR Properties Company Guar. Notes 5.25% due 07/15/2023		15,000		16,106
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		15,000		14,981
Healthcare Realty Trust , Inc. Senior Notes 3.88% due 05/01/2025		20,000		20,659
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025		10,000		10,201
Host Hotels & Resorts LP Senior Notes 5.25% due 03/15/2022		2,000		2,212
Host Hotels & Resorts LP Senior Notes 6.00% due 10/01/2021		3,000		3,460
Iron Mountain, Inc. Company Guar. Notes 6.00% due 10/01/2020*		5,000		5,275
Iron Mountain, Inc. Company Guar. Notes 6.00% due 08/15/2023		19,000		20,282
MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024*		5,000		5,424
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 6.38% due 03/01/2024		5,000		5,425
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		10,000		10,053
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		15,000		15,768
Realty Income Corp. Senior Notes 4.65% due 08/01/2023		5,000		5,512
SL Green Realty Corp./SL Green Operating Partnership Company Guar. Notes 5.00% due 08/15/2018		20,000		20,884
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024		25,000		25,875
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		20,000		27,077
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024		35,000		36,574
				315,443

Security Description	Principal Amount(18)		Value (Note 2)
Real Estate Management/Services — 0.0%
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026	$	17,000	$	17,722
CBRE Services, Inc. Company Guar. Notes 5.00% due 03/15/2023		11,000		11,587
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		13,000		13,933
				43,242
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 6.88% due 10/01/2021*		29,000		30,486
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*		15,000		16,139
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042*		39,000		47,182
				63,321
Research & Development — 0.0%
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023*		10,000		10,400
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		11,385
Six Flags Entertainment Corp. Company Guar. Notes 5.25% due 01/15/2021*		25,000		25,812
				37,197
Retail-Apparel/Shoe — 0.1%
L Brands, Inc. Company Guar. Notes 5.63% due 02/15/2022		16,000		17,880
L Brands, Inc. Company Guar. Notes 6.63% due 04/01/2021		32,000		36,880
				54,760
Retail-Auto Parts — 0.0%
O'Reilly Automotive, Inc. Company Guar. Notes 3.55% due 03/15/2026		10,000		10,601
O'Reilly Automotive, Inc. Company Guar. Notes 3.85% due 06/15/2023		10,000		10,795
				21,396

148

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020	$	3,000	$	3,304
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024		10,000		10,050
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026		10,000		9,975
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,525
				37,854
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		10,000		10,324
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023		5,000		5,381
				15,705
Retail-Drug Store — 0.1%
CVS Health Corp. Senior Notes 4.75% due 12/01/2022		2,000		2,268
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032*		67,498		86,198
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023*		15,000		16,188
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026		20,000		20,762
				125,416
Retail-Fabric Store — 0.0%
Jo-Ann Stores Holdings, Inc. Senior Notes 9.75% due 10/15/2019*(13)		10,000		9,750
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024		15,000		15,232
Retail-Major Department Stores — 0.0%
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021*		10,000		8,350
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(13)		10,000		7,850
				16,200

Security Description	Principal Amount(18)		Value (Note 2)
Retail-Regional Department Stores — 0.1%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021	$	11,000	$	6,105
JC Penney Corp., Inc. Company Guar. Notes 5.65% due 06/01/2020		30,000		30,072
JC Penney Corp., Inc. Senior Sec. Notes 5.88% due 07/01/2023*		5,000		5,206
JC Penney Corp., Inc. Company Guar. Notes 8.13% due 10/01/2019		5,000		5,450
Macy's Retail Holdings, Inc. Company Guar. Notes 6.65% due 07/15/2024		4,000		4,753
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028		15,000		13,950
				65,536
Retail-Restaurants — 0.1%
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022		15,000		14,944
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024*		10,000		10,450
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		10,000		10,575
Landry's Holdings II, Inc. Senior Notes 10.25% due 01/01/2018*		3,000		3,064
Landry's, Inc. Senior Notes 6.75% due 10/15/2024*(2)		10,000		10,175
McDonald's Corp. Senior Notes 5.70% due 02/01/2039		18,000		22,570
				71,778
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		25,000		23,750
Special Purpose Entity — 0.0%
ROC Finance LLC/ROC Finance 1 Corp. Sec. Notes 12.13% due 09/01/2018*		25,000		25,594
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		15,713
Steel Dynamics, Inc. Company Guar. Notes 6.38% due 08/15/2022		23,000		24,207
				39,920

149

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021	$	5,000	$	4,759
Telecom Services — 0.0%
Level 3 Communications, Inc. Senior Notes 5.75% due 12/01/2022		5,000		5,225
West Corp. Company Guar. Notes 5.38% due 07/15/2022*		25,000		24,500
				29,725
Telecommunication Equipment — 0.1%
Avaya, Inc. Senior Sec. Notes 7.00% due 04/01/2019*		31,000		22,862
Avaya, Inc. Sec. Notes 10.50% due 03/01/2021*		10,000		2,200
CommScope Technologies Finance LLC Senior Notes 6.00% due 06/15/2025*		10,000		10,663
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		15,000		15,450
				51,175
Telephone-Integrated — 0.3%
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		5,000		5,232
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2020		3,000		3,173
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023		14,000		14,560
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024		3,000		2,805
Frontier Communications Corp. Senior Notes 8.88% due 09/15/2020		5,000		5,394
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		20,000		21,200
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025		10,000		10,437
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 08/15/2022		10,000		10,450
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 01/15/2024		10,000		10,419
Level 3 Financing, Inc. Company Guar. Notes 6.13% due 01/15/2021		7,000		7,263

Security Description	Principal Amount(18)		Value (Note 2)
Telephone-Integrated (continued)
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028	$	84,000	$	78,855
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		5,000		5,291
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		71,000		75,070
Verizon Communications, Inc. Senior Notes 5.05% due 03/15/2034		10,000		11,240
Verizon New Jersey, Inc. Company Guar. Notes 8.00% due 06/01/2022		25,000		30,875
Windstream Services LLC Company Guar. Notes 6.38% due 08/01/2023		21,000		19,057
				311,321
Television — 0.1%
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045		20,000		20,524
CBS Corp. Company Guar. Notes 7.88% due 07/30/2030		24,000		34,075
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026*(2)		15,000		15,112
LIN Television Corp. Company Guar. Notes 5.88% due 11/15/2022		5,000		5,238
Nexstar Escrow Corp. Company Guar. Notes 5.63% due 08/01/2024*		15,000		15,037
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024*		30,000		30,675
TEGNA, Inc. Company Guar. Notes 4.88% due 09/15/2021*		5,000		5,200
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022		10,000		10,119
				135,980
Theaters — 0.1%
AMC Entertainment, Inc. Company Guar. Notes 5.75% due 06/15/2025		10,000		10,100
AMC Entertainment, Inc. Company Guar. Notes 5.88% due 02/15/2022		11,000		11,385
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		3,000		3,015

150

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Theaters (continued)
Cinemark USA, Inc. Company Guar. Notes 5.13% due 12/15/2022	$	5,000	$	5,125
Regal Entertainment Group Senior Notes 5.75% due 06/15/2023		21,000		21,315
				50,940
Transport-Air Freight — 0.0%
Air Medical Merger Sub Corp. Senior Notes 6.38% due 05/15/2023*		35,000		33,862
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 5.40% due 06/01/2041		15,000		19,174
Burlington Northern Santa Fe LLC Senior Notes 5.75% due 05/01/2040		15,000		19,487
Norfolk Southern Corp. Senior Notes 6.00% due 05/23/2111		20,000		24,513
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023*		34,000		34,340
				97,514
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		10,000		10,275
Wire & Cable Products — 0.0%
Belden, Inc. Company Guar. Notes 5.25% due 07/15/2024*		5,000		5,075
Belden, Inc. Company Guar. Notes 5.50% due 09/01/2022*		15,000		15,637
				20,712
Total U.S. Corporate Bonds & Notes (cost $7,649,633)				8,076,542
FOREIGN CORPORATE BONDS & NOTES — 0.7%
Banks-Commercial — 0.1%
Barclays Bank PLC Sub. Notes 10.18% due 06/12/2021*		80,000		102,240
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019*		10,000		10,952
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		10,000		10,900
Toronto-Dominion Bank VRS Sub. Notes 3.63% due 09/15/2031		19,000		19,052
				143,144

Security Description	Principal Amount(18)		Value (Note 2)
Building Products-Doors & Windows — 0.0%
Masonite International Corp. Company Guar. Notes 5.63% due 03/15/2023*	$	10,000	$	10,550
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		25,000		26,562
Building-Residential/Commercial — 0.1%
Brookfield Residential Properties, Inc. Company Guar. Notes 6.50% due 12/15/2020*		27,000		27,945
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022*		11,000		11,110
Mattamy Group Corp. Company Guar. Notes 6.50% due 11/15/2020*		20,000		19,937
				58,992
Commercial Services — 0.0%
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.50% due 10/01/2021*		10,000		10,438
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 4.75% due 04/15/2019*		20,000		19,450
Diversified Minerals — 0.0%
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		4,944
Teck Resources, Ltd. Company Guar. Notes 8.00% due 06/01/2021*		5,000		5,437
				10,381
Diversified Operations — 0.0%
DH Services Luxembourg Sarl Company Guar. Notes 7.75% due 12/15/2020*		7,000		7,298
Electric Products-Misc. — 0.1%
Legrand France SA Senior Notes 8.50% due 02/15/2025		51,000		69,847
Electric-Integrated — 0.0%
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036		10,000		13,280
Gambling (Non-Hotel) — 0.0%
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022*	CAD	24,000		19,208

151

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Gold Mining — 0.0%
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022*	$	10,000	$	10,225
New Gold, Inc. Company Guar. Notes 7.00% due 04/15/2020*		15,000		15,412
				25,637
Hazardous Waste Disposal — 0.0%
Tervita Corp. Company Guar. Notes 10.88% due 02/15/2018*(11)(22)		3,000		390
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		5,000		5,125
Medical Products — 0.0%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025*		10,000		9,500
Medical-Biomedical/Gene — 0.0%
Concordia International Corp. Company Guar. Notes 7.00% due 04/15/2023*		15,000		9,638
Medical-Drugs — 0.1%
DPx Holdings BV Senior Notes 7.50% due 02/01/2022*		25,000		26,437
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026		5,000		5,027
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		29,000		29,134
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		20,000		18,500
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023*		5,000		4,275
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*		10,000		8,625
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.13% due 04/15/2025*		10,000		8,613
				100,611
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		3,000		3,280

Security Description	Principal Amount(18)		Value (Note 2)
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 6.75% due 02/15/2020*	$	5,000	$	4,625
First Quantum Minerals, Ltd. Company Guar. Notes 7.00% due 02/15/2021*		30,000		26,850
				31,475
Metal-Diversified — 0.0%
HudBay Minerals, Inc. Company Guar. Notes 9.50% due 10/01/2020		20,000		20,055
Multimedia — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,000		1,040
Oil & Gas Drilling — 0.0%
Noble Holding International, Ltd. Company Guar. Notes 6.05% due 03/01/2041		25,000		14,750
Oil Companies-Exploration & Production — 0.1%
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*		6,000		4,890
Lone Pine Resources Canada, Ltd. Escrow Notes 10.38% due 02/15/2017†(2)(3)		10,000		0
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		10,000		8,163
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		10,000		7,900
Seven Generations Energy, Ltd. Senior Notes 6.75% due 05/01/2023*		10,000		10,375
Seven Generations Energy, Ltd. Senior Notes 8.25% due 05/15/2020*		14,000		14,892
				46,220
Oil Companies-Integrated — 0.1%
BP Capital Markets PLC Company Guar. Notes 3.12% due 05/04/2026		20,000		20,438
Cenovus Energy, Inc. Senior Notes 4.45% due 09/15/2042		5,000		4,126
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		20,000		21,615
Statoil ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		35,890
				82,069

152

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025	$	10,000	$	12,000
Retail-Restaurants — 0.1%
New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022*		5,000		5,200
New Red Finance, Inc. Sec. Notes 6.00% due 04/01/2022*		30,000		31,425
				36,625
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 6.63% due 12/15/2022		2,000		1,732
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		12,000		9,060
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		1,000		335
Intelsat Luxembourg SA Company Guar. Notes 8.13% due 06/01/2023		8,000		2,700
				13,827
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		10,900
ArcelorMittal Senior Notes 7.75% due 10/15/2039		2,000		2,160
ArcelorMittal Senior Notes 10.60% due 06/01/2019		8,000		9,680
				22,740
Telephone-Integrated — 0.0%
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030		5,000		6,991
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		25,000		26,094
Total Foreign Corporate Bonds & Notes (cost $854,100)				857,217
LOANS(9)(10)(14) — 0.1%
Building & Construction Products-Misc. — 0.0%
CPG International, Inc. FRS BTL 4.75% due 09/30/2020		4,823		4,829

Security Description	Principal Amount(18)		Value (Note 2)
Casino Hotels — 0.1%
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 11.25% due 03/01/2017(11)(12)	$	66,093	$	72,124
Caesars Entertainment Operating Co., Inc. FRS BTL 11.75% due 03/01/2017(11)(12)		4,975		5,697
Caesars Growth Properties Holdings LLC FRS BTL-B 6.25% due 05/08/2021		30,000		29,578
				107,399
Cosmetics & Toiletries — 0.0%
Revlon Consumer Products Corp. FRS BTL 4.25% due 09/07/2023		15,000		15,032
Electric-Integrated — 0.0%
TXU Energy FRS BTL 5.00% due 10/10/2017(2)(11)(12)(15)		71,120		20,636
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.25% due 07/06/2021		9,694		9,538
Telecommunication Equipment — 0.0%
Avaya Inc. FRS BTL 6.25% due 04/30/2020		14,778		10,839
Total Loans (cost $213,694)				168,273
MUNICIPAL BONDS & NOTES — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049		25,000		38,766
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		18,997
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		45,457
Total Municipal Bonds & Notes (cost $70,190)				103,220
U.S. GOVERNMENT AGENCIES — 2.1%
Federal Home Loan Mtg. Corp. — 0.1%
5.50% due 06/01/2035		5,168		5,891
7.50% due 10/01/2029		5,776		6,909
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 15.61% due 06/15/2034 FRS(6)(16)		18,191		24,063

153

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Series 3065, Class DC 18.29% due 03/15/2035 FRS(6)(16)	$	33,353	$	43,620
Series 3072, Class SM 21.87% due 11/15/2035 FRS(6)(16)		19,176		29,044
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series T-56, Class 2IO 0.00% due 05/25/2043(6)(8)		90,792		0
Series T-56, Class AIO 0.52% due 05/25/2043(6)(8)		154,748		2,477
				112,004
Federal National Mtg. Assoc. — 2.0%
Fannie Mae Connecticut Avenue Securities Series 2014-C03, Class 2M1 1.73% due 07/25/2024 FRS(6)		3,306		3,316
Series 2016-C05, Class 2M1 1.88% due 01/25/2029 FRS(6)		9,890		9,931
Series 2016-C03, Class 1M2 5.83% due 10/25/2028 FRS(6)		40,000		43,021
Series 2015-C04, Class 1M2 6.23% due 04/25/2028 FRS(6)		15,000		16,319
3.50% due October TBA		1,000,000		1,053,926
4.00% due 05/01/2019		50,056		51,659
4.00% due 09/01/2020		7,013		7,238
4.00% due October TBA		1,000,000		1,072,734
4.50% due 04/01/2018		582		597
4.50% due 03/01/2020		3,588		3,714
4.50% due 04/01/2020		6,958		7,154
4.50% due 09/01/2020		4,841		4,967
4.50% due 11/01/2020		2,692		2,796
5.00% due 03/01/2021		1,860		1,912
5.50% due 03/01/2018		1,083		1,105
6.00% due 06/01/2036		2,135		2,455
6.50% due 01/01/2036		398		459
6.50% due 06/01/2036		7,041		8,111
6.50% due 07/01/2036		5,810		6,737
6.50% due 09/01/2036		16,947		19,521
6.50% due 11/01/2036		21,759		25,063
7.00% due 06/01/2033		4,972		5,630
7.00% due 04/01/2035		8,289		10,120
7.50% due 04/01/2024		6,746		7,463
Federal National Mtg. Assoc., REMIC Series 2001-50, Class BI 0.39% due 10/25/2041 VRS(6)(8)		109,567		1,692
Series 2005-75, Class GS 18.67% due 08/25/2035 FRS(6)(16)		10,664		15,799
Series 2005-122, Class SE 21.26% due 11/25/2035 FRS(6)(16)		12,939		19,163
Series 2006-8, Class HP 22.64% due 03/25/2036 FRS(6)(16)		20,738		33,135
				2,435,737

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
Government National Mtg. Assoc. — 0.0%
6.50% due 08/20/2037	$	20,921	$	25,080
6.50% due 09/20/2037		5,129		6,054
				31,134
Total U.S. Government Agencies (cost $2,581,428)				2,578,875
U.S. GOVERNMENT TREASURIES — 2.2%
United States Treasury Bonds — 0.4%
2.75% due 08/15/2042		190,000		207,041
3.75% due 11/15/2043		230,000		299,341
				506,382
United States Treasury Notes — 1.8%
0.75% due 06/30/2017		240,000		240,262
0.75% due 12/31/2017		180,000		180,077
0.75% due 03/31/2018		90,000		90,025
0.88% due 06/15/2019		280,000		280,077
1.13% due 12/31/2019		490,000		492,756
1.38% due 09/30/2018		430,000		434,854
1.88% due 11/30/2021		430,000		444,160
2.00% due 11/30/2020		30,000		31,097
				2,193,308
Total U.S. Government Treasuries (cost $2,617,904)				2,699,690
EQUITY CERTIFICATES(2) — 0.6%
Aerospace/Defense-Equipment — 0.1%
UBS AG - Bharat Electronics, Ltd.		3,183		59,508
Auto-Heavy Duty Trucks — 0.0%
UBS AG - Zhengzhou Yutong Bus Co., Ltd.		14,765		48,833
Banks-Commercial — 0.1%
UBS AG - State Bank of India		21,908		82,673
Beverages-Wine/Spirits — 0.0%
UBS AG - Wuliangye Yibin Co., Ltd.		10,999		55,011
Building-Heavy Construction — 0.1%
UBS AG - IRB Infrastructure Developers, Ltd.		16,656		61,328
Diversified Financial Services — 0.0%
UBS AG - Shriram Transport Finance Co., Ltd.		3,365		58,761
Electric-Integrated — 0.0%
UBS AG - Adani Transmission, Ltd.		45,063		25,821
Electric-Transmission — 0.1%
UBS AG - Power Grid Corp of India, Ltd.		28,282		74,995
Finance-Mortgage Loan/Banker — 0.1%
UBS AG - Housing Development Finance Corp., Ltd.		4,746		99,329
Medical-Drugs — 0.1%
UBS AG - Aurobindo Pharma, Ltd.		10,660		136,965
Transport-Services — 0.0%
UBS AG - Shenzhen Airport Co.		25,312		33,623
Travel Services — 0.0%
UBS AG - Cox & Kings, Ltd.		4,434		14,711
Total Equity Certificates (cost $655,637)				751,558

154

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares/ Principal Amount(18)			Value (Note 2)
WARRANTS† — 0.0%
Oil Companies-Exploration & Production — 0.0%
Halcon Resources Corp. Expires 09/09/2020 (Strike Price $14.04)		198		$	454
Oil-Field Services — 0.0%
Seventy Seven Energy, Inc. Expires 08/01/2021 (Strike price $23.82)(4)		43			101
Total Warrants (cost $2,943)					555
Total Long-Term Investment Securities (cost $105,970,148)					112,204,404
SHORT-TERM INVESTMENT SECURITIES — 0.4%
U.S. Government Treasuries — 0.4%
United States Treasury Bills
0.10% due 11/03/2016(17)	$	18,000			17,996
0.26% due 11/03/2016(17)		1,000			1,000
0.27% due 11/03/2016(17)		2,000			2,000
0.27% due 11/17/2016(17)		141,000			140,969
0.28% due 11/10/2016(17)		12,000			11,997
0.29% due 11/10/2016(17)		6,000			5,999
0.29% due 11/25/2016(17)		279,000			278,938
Total Short-Term Investment Securities (cost $458,819)					458,899
REPURCHASE AGREEMENTS — 11.0%
Agreement with Bank of America Securities LLC, bearing interest at 0.47%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $13,663,535 collateralized by $13,748,000 of United States Treasury Notes, bearing interest at 1.38% due 02/29/2020 and having an approximate value of $13,950,096 (cost $13,663,000)		13,663,000			13,663,000
TOTAL INVESTMENTS (cost $120,091,967)(19)		101.5	%		126,326,303
Liabilities in excess of other assets		(1.5	)		(1,955,356	)
NET ASSETS		100.0	%	$	124,370,947
SECURITIES SOLD SHORT — (0.0)%
Common Stocks — (0.0)%
Enterprise Software/Service — (0.0)%
Donnelley Financial Solutions, Inc.†		(620	)		(17,980	)
Printing-Commercial — (0.0)%
LSC Communications, Inc.†		(620	)		(23,188	)
Total Securities Sold Short (cost $36,685)				$	(41,168	)

†  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, 2016, the aggregate value of these securities was $4,302,582 representing 3.5% 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, 2016. The aggregate value of these securities was $19,226,560 representing 15.5% 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)  Illiquid security. At September 30, 2016, the aggregate value of these securities was $1,330,930 representing 1.1% of net assets.

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

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

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

(6)  Collateralized Mortgage Obligation

(7)  Commercial Mortgage Backed Security

(8)  Interest Only

(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. 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)  Company has filed for bankruptcy protection.

(13)  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.

(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

155

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

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, 2016, the Portfolio held the following restricted securities:

Name	Acquisition Date	Principal Amount		Acquisition Cost		Value		Value per Share		% of Net Assets
Loans
TXU Energy FRS BTL 5.00% due 10/10/2017	01/14/2010	$	25,308	$	24,776
	01/22/2010		44,884		43,852
	07/15/2014		928		928
			71,120		69,556	$	20,636	$	29.02		0.02	%

(16)  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, 2016.

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

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

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

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

(21)  Subsequent to September 30, 2016 security in default.

(22)  Subsequent to September 30, 2016 company has filed for bankruptcy protection.

ADR — American Depositary Receipt

BATS — Better Alternative Trading System

BTL — Bank Term Loan

CAD — Canadian Dollar

CVA — Certification Van Aandelen (Dutch Cert.)

Euronext — Euro Stock Exchange, Amsterdam

GDR — Global Depositary Receipt

NVDR — Non-Voting Depositary Receipt

REMIC — Real Estate Mortgage Investment Conduit

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount andmaturity 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, 2016 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, 2016		Unrealized Appreciation (Depreciation)
	90	Long	Russell 2000 Mini Index	December 2016	$	10,891,350	$	11,234,700	$	343,350
	36	Short	Russell 2000 Mini Index	December 2016		4,356,720		4,493,880		(137,160	)
	21	Short	S&P 500 E-Mini Index	December 2016		2,221,800		2,268,420		(46,620	)
	66	Long	U.S. Treasury 10 Year Notes	December 2016		8,635,687		8,654,250		18,563
	46	Short	U.S. Treasury 10 Year Notes	December 2016		6,018,812		6,031,750		(12,938	)
	3	Long	U.S. Treasury 2 Year Notes	December 2016		654,562		655,406		844
	43	Short	U.S. Treasury 2 Year Notes	December 2016		9,382,062		9,394,156		(12,094	)
	6	Long	U.S. Treasury 5 Year Notes	December 2016		726,656		729,094		2,438
	53	Short	U.S. Treasury 5 Year Notes	December 2016		6,418,797		6,440,328		(21,531	)
									$	134,852

Over the Counter Total Return Swap Contracts@

						Value
Swap Counterparty	Notional Amount (000's)		Termination Date	Fixed Payments Received (Paid) by Portfolio	Total Return Received or Paid by Portfolio	Upfront Premiums Paid/(Received)		Unrealized Appreciation (Depreciation)
Citibank N.A.	$	6,209	12/16/16	(3 Month USD LIBOR-BBA plus 37 bps)	Citibank U.S. Equity Custom Basket	$	—	$	62,978
Citibank N.A.		5,550	11/23/16	3 Month USD LIBOR-BBA minus 5 bps	Russell 1000 Index Total Return		—		32,800
Goldman Sachs International		30	12/15/20	1 Month USD LIBOR minus 100 bps	Engro Corp, Ltd.		—		(1,304	)
Goldman Sachs International		8	12/15/20	(1 Month USD LIBOR minus 100 bps)	Engro Corp, Ltd.		—		(345	)
Goldman Sachs International		57	12/15/20	1 Month USD LIBOR minus 100 bps	Goldman Sachs U.S. Equity Custom Basket		—		(817	)
Net Unrealized Appreciation (Depreciation)						$	—	$	93,312

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).

156

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

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	3,310,036	12/21/2016	$	—	$	(23,711	)
	USD	454	CAD	600	10/19/2016		4		—
	USD	590,767	GBP	444,500	12/21/2016		—		(13,698	)
							4		(37,409	)
Barclays Bank PLC	USD	90,146	HKD	698,700	11/16/2016		—		(26	)
	USD	351,389	JPY	35,824,100	11/16/2016		2,505		—
							2,505		(26	)
Citibank N.A.	CAD	18,200	USD	14,067	10/19/2016		192		—
	USD	165,391	DKK	1,100,000	12/21/2016		1,198		—
							1,390		—
Credit Suisse AG	USD	201,719	AUD	271,400	10/19/2016		5,935		—
	USD	615,513	JPY	62,757,400	11/16/2016		4,445		—
	USD	418,253	CHF	409,700	12/21/2016		5,476		—
	USD	667,381	EUR	596,400	12/21/2016		5,005		—
	USD	109,976	GBP	82,800	12/21/2016		—		(2,482	)
							20,861		(2,482	)
JPMorgan Chase Bank	NOK	450,600	USD	53,891	12/21/2016		—		(2,484	)
	USD	163,317	SGD	218,600	11/16/2016		—		(2,977	)
	USD	267,935	CHF	258,400	12/21/2016		—		(687	)
	USD	700,650	EUR	626,100	12/21/2016		5,221		—
	USD	184,939	SEK	1,581,500	12/21/2016		143		—
							5,364		(6,148	)
State Street Bank and Trust Co.	USD	11,381	ILS	43,900	10/19/2016		340		—
	USD	1,191,308	EUR	1,064,700	12/21/2016		9,044		—
							9,384		—
UBS AG	USD	175,988	AUD	236,900	10/19/2016		5,269		—
	USD	1,196,797	EUR	1,064,700	12/21/2016		3,555		—
							8,824		—
Net Unrealized Appreciation (Depreciation)						$	48,332	$	(46,065	)

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

DKK — Danish Krone

EUR — Euro Currency

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

157

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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:
Finance-Other Services	$	—	$	50,682	#	$	—	$	50,682
Oil Companies-Exploration & Production		433,786		48,631	**		6,315		488,732
Retail-Hypermarkets		77,142		37,082			—		114,224
Other Industries		74,230,893		19,167,432	**		—		93,398,325
Convertible Preferred Securities		15,509		—			—		15,509
Preferred Securities		37,090		—			—		37,090
Preferred Securities/Capital Securities		—		922,250			—		922,250
Asset Backed Securities		—		1,909,243			—		1,909,243
Convertible Bonds & Notes		—		32,419			—		32,419
U.S. Corporate Bonds & Notes:
Oil-Field Services		—		40,453			3		40,456
Other Industries		—		8,036,086			—		8,036,086
Foreign Corporate Bonds & Notes:
Oil Companies-Exploration & Production		—		46,220			0		46,220
Other Industries		—		810,997			—		810,997
Loans		—		168,273			—		168,273
Municipal Bonds & Notes		—		103,220			—		103,220
U.S. Government Agencies		—		2,578,875			—		2,578,875
U.S. Government Treasuries		—		2,699,690			—		2,699,690
Equity Certificates		—		751,558			—		751,558
Warrants		454		101			—		555
Short-Term Investment Securities		—		458,899			—		458,899
Repurchase Agreements		—		13,663,000			—		13,663,000
Total Investments at Value*	$	74,794,874	$	51,525,111		$	6,318	$	126,326,303
Other Financial Instruments:†
Futures Contracts	$	365,195	$	—		$	—	$	365,195
Over the Counter Total Return Swap Contracts		—		95,778			—		95,778
Forward Foreign Currency Contracts		—		48,332			—		48,332
Total Other Financial Instruments	$	365,195	$	144,110		$	—	$	509,305
LIABILITIES:
Securities Sold Short:
Common Stock	$	41,168	$	—		$	—	$	41,168
Other Financial Instruments:†
Futures Contracts		230,343		—			—		230,343
Over the Counter Total Return Swap Contracts		—		2,466			—		2,466
Forward Foreign Currency Contracts		—		46,065			—		46,065
Total Other Financial Instruments	$	271,511	$	48,531		$	—	$	320,042

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

#  Amount includes $10,497 that represents foreign equity securities that have been fair valued in accordance with pricing prodecures approved by the Board (see Note 2).

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

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $15,372,977 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were previously adjusted for fair value pricing prodecures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

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

See Notes to Financial Statements

158

Seasons Series Trust Stock Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
E-Commerce/Products	10.5	%
Applications Software	7.1
Web Portals/ISP	6.7
E-Commerce/Services	5.9
Internet Content-Entertainment	5.4
Finance-Credit Card	5.4
Medical-HMO	5.1
Medical-Biomedical/Gene	4.4
Computers	3.3
Medical-Drugs	2.9
Real Estate Investment Trusts	2.8
Commercial Services-Finance	2.4
Casino Hotels	2.2
Airlines	2.1
Diagnostic Equipment	1.9
Auto-Cars/Light Trucks	1.7
Medical Instruments	1.6
Retail-Auto Parts	1.5
Semiconductor Components-Integrated Circuits	1.5
Diversified Banking Institutions	1.5
Internet Application Software	1.4
Tobacco	1.2
Aerospace/Defense	1.2
Machinery-General Industrial	1.2
Auto/Truck Parts & Equipment-Original	1.1
Retail-Drug Store	1.1
Retail-Building Products	1.1
Finance-Other Services	1.1
Medical Products	1.0
Retail-Apparel/Shoe	0.8
Retail-Gardening Products	0.8
Food-Misc./Diversified	0.8
Apparel Manufacturers	0.8
Semiconductor Equipment	0.8
Finance-Investment Banker/Broker	0.7
Banks-Fiduciary	0.7
Hotels/Motels	0.7
Internet Security	0.7
Electronic Measurement Instruments	0.6
Transport-Services	0.6
Data Processing/Management	0.6
Chemicals-Specialty	0.6
Electric-Integrated	0.5
Cellular Telecom	0.4
Networking Products	0.4
Retail-Discount	0.4
Retail-Jewelry	0.4
Building Products-Cement	0.3
Retail-Restaurants	0.3
Medical-Wholesale Drug Distribution	0.3
Diversified Manufacturing Operations	0.2
Registered Investment Companies	0.2
Investment Management/Advisor Services	0.2
Multimedia	0.1
Transport-Rail	0.1
Real Estate Management/Services	0.1
	99.4	%

*  Calculated as a percentage of net assets

159

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.6%
Aerospace/Defense — 1.2%
Boeing Co.		39,400	$	5,190,556
Airlines — 2.1%
American Airlines Group, Inc.		199,100		7,289,051
Delta Air Lines, Inc.		48,200		1,897,152
				9,186,203
Apparel Manufacturers — 0.8%
Hanesbrands, Inc.		137,800		3,479,450
Applications Software — 6.8%
Dropbox, Inc., Class A†(1)(2)(3)		38,413		334,065
Microsoft Corp.		254,300		14,647,680
NetSuite, Inc.†		34,141		3,779,067
salesforce.com, Inc.†		101,800		7,261,394
ServiceNow, Inc.†		53,300		4,218,695
				30,240,901
Auto-Cars/Light Trucks — 1.7%
Ferrari NV		56,460		2,928,580
Tesla Motors, Inc.†		22,221		4,533,751
				7,462,331
Auto/Truck Parts & Equipment-Original — 1.1%
Delphi Automotive PLC		37,500		2,674,500
Mobileye NV†		57,367		2,442,113
				5,116,613
Banks-Fiduciary — 0.7%
State Street Corp.		46,200		3,216,906
Building Products-Cement — 0.3%
Martin Marietta Materials, Inc.		7,300		1,307,503
Casino Hotels — 2.2%
Las Vegas Sands Corp.		73,600		4,234,944
MGM Resorts International†		217,080		5,650,592
				9,885,536
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		41,300		1,929,536
Chemicals-Specialty — 0.6%
Ashland Global Holdings, Inc.		23,100		2,678,445
Commercial Services-Finance — 2.4%
IHS Markit, Ltd.†		43,502		1,633,500
PayPal Holdings, Inc.†		221,876		9,090,260
				10,723,760
Computers — 3.3%
Apple, Inc.		129,400		14,628,670
Data Processing/Management — 0.6%
Fiserv, Inc.†		27,300		2,715,531
Diagnostic Equipment — 1.9%
Danaher Corp.		110,200		8,638,578
Diversified Banking Institutions — 1.5%
Morgan Stanley		204,100		6,543,446
Diversified Manufacturing Operations — 0.2%
Illinois Tool Works, Inc.		7,800		934,752

Security Description	Shares		Value (Note 2)
E-Commerce/Products — 10.2%
Alibaba Group Holding, Ltd. ADR†		44,700	$	4,728,813
Amazon.com, Inc.†		48,300		40,442,073
Flipkart Online Services Pvt., Ltd.†(1)(2)(3)		922		88,364
				45,259,250
E-Commerce/Services — 5.0%
Ctrip.com International, Ltd. ADR†		50,300		2,342,471
Priceline Group, Inc.†		13,450		19,791,540
				22,134,011
Electric-Integrated — 0.5%
NextEra Energy, Inc.		19,800		2,421,936
Electronic Measurement Instruments — 0.6%
Fortive Corp.		56,500		2,875,850
Finance-Credit Card — 5.4%
MasterCard, Inc., Class A		112,700		11,469,479
Visa, Inc., Class A		150,300		12,429,810
				23,899,289
Finance-Investment Banker/Broker — 0.7%
TD Ameritrade Holding Corp.		92,702		3,266,818
Finance-Other Services — 1.1%
Intercontinental Exchange, Inc.		17,600		4,740,736
Food-Misc./Diversified — 0.8%
Mondelez International, Inc., Class A		79,900		3,507,610
Hotels/Motels — 0.7%
Marriott International, Inc., Class A		47,400		3,191,442
Internet Application Software — 1.4%
Tencent Holdings, Ltd.(4)		229,300		6,353,486
Internet Content-Entertainment — 5.4%
Facebook, Inc., Class A†		160,100		20,536,027
Netflix, Inc.†		35,436		3,492,218
				24,028,245
Internet Security — 0.7%
VeriSign, Inc.†		40,370		3,158,549
Investment Management/Advisor Services — 0.2%
BlackRock, Inc.		2,300		833,658
Machinery-General Industrial — 1.2%
Roper Technologies, Inc.		19,900		3,631,153
Wabtec Corp.		18,470		1,508,076
				5,139,229
Medical Instruments — 1.6%
Intuitive Surgical, Inc.†		9,600		6,958,368
Medical Products — 1.0%
Stryker Corp.		37,000		4,307,170
Medical-Biomedical/Gene — 4.4%
Alexion Pharmaceuticals, Inc.†		34,364		4,210,965
Biogen, Inc.†		14,800		4,632,844
BioMarin Pharmaceutical, Inc.†		8,600		795,672
Celgene Corp.†		29,500		3,083,635
Illumina, Inc.†		11,637		2,113,977

160

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Incyte Corp.†		11,600	$	1,093,764
Vertex Pharmaceuticals, Inc.†		43,300		3,776,193
				19,707,050
Medical-Drugs — 2.9%
Allergan PLC†		19,417		4,471,929
Bristol-Myers Squibb Co.		102,667		5,535,805
Zoetis, Inc.		57,300		2,980,173
				12,987,907
Medical-HMO — 5.1%
Aetna, Inc.		42,694		4,929,022
Anthem, Inc.		22,400		2,806,944
Centene Corp.†		14,859		994,959
Cigna Corp.		22,800		2,971,296
Humana, Inc.		28,270		5,000,680
UnitedHealth Group, Inc.		42,900		6,006,000
				22,708,901
Medical-Wholesale Drug Distribution — 0.3%
McKesson Corp.		7,600		1,267,300
Multimedia — 0.1%
Walt Disney Co.		7,200		668,592
Networking Products — 0.4%
Palo Alto Networks, Inc.†		11,000		1,752,630
Real Estate Investment Trusts — 2.8%
American Tower Corp.		65,800		7,457,114
Crown Castle International Corp.		33,600		3,165,456
Equinix, Inc.		5,000		1,801,250
				12,423,820
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Class A†(1)(2)(3)		1,490		56,090
Retail-Apparel/Shoe — 0.8%
Ross Stores, Inc.		56,800		3,652,240
Retail-Auto Parts — 1.5%
AutoZone, Inc.†		6,743		5,180,917
O'Reilly Automotive, Inc.†		5,600		1,568,616
				6,749,533
Retail-Building Products — 1.1%
Lowe's Cos., Inc.		68,500		4,946,385
Retail-Discount — 0.4%
Costco Wholesale Corp.		11,000		1,677,610
Retail-Drug Store — 1.1%
Walgreens Boots Alliance, Inc.		62,200		5,014,564
Retail-Gardening Products — 0.8%
Tractor Supply Co.		53,113		3,577,161
Retail-Jewelry — 0.4%
Signet Jewelers, Ltd.		21,562		1,607,016
Retail-Restaurants — 0.3%
Starbucks Corp.		24,000		1,299,360
Semiconductor Components-Integrated Circuits — 1.5%
NXP Semiconductors NV†		65,549		6,686,654
Semiconductor Equipment — 0.8%
ASML Holding NV		31,500		3,451,770

Security Description	Shares		Value (Note 2)
Tobacco — 1.2%
Philip Morris International, Inc.		56,500	$	5,492,930
Transport-Rail — 0.1%
Kansas City Southern		6,600		615,912
Transport-Services — 0.6%
FedEx Corp.		15,600		2,725,008
Web Portals/ISP — 6.7%
Alphabet, Inc., Class A†		19,800		15,920,388
Alphabet, Inc., Class C†		17,666		13,731,605
				29,651,993
Total Common Stocks (cost $347,378,579)				434,674,790
CONVERTIBLE PREFERRED SECURITIES — 1.6%
Applications Software — 0.3%
Magic Leap, Inc. Series C†(1)(2)(3)		26,666		614,198
Snapchat, Inc. Series F†(1)(2)(3)		23,398		718,786
				1,332,984
E-Commerce/Products — 0.3%
Flipkart Online Services Pvt., Ltd. Series A†(1)(2)(3)		316		30,285
Flipkart Online Services Pvt., Ltd. Series C†(1)(2)(3)		556		53,287
Flipkart Online Services Pvt., Ltd. Series E†(1)(2)(3)		1,032		98,907
Flipkart Online Services Pvt., Ltd. Series G†(1)(2)(3)		4,576		438,564
Flipkart Online Services Pvt., Ltd. Series H†(1)(2)(3)		4,257		407,991
				1,029,034
E-Commerce/Services — 0.9%
Airbnb, Inc. Series D†(1)(2)(3)		13,329		1,399,545
Airbnb, Inc. Series E†(1)(2)(3)		8,841		928,305
Living Social, Inc. Series F†(1)(2)(3)		11,949		0
Uber Technologies, Inc. Series G†(1)(2)(3)		20,747		1,011,877
Xiaoju Kuaizhi, Inc. Series A-17†(1)(2)(3)		19,048		728,150
				4,067,877
Real Estate Management/Services — 0.1%
WeWork Cos, Inc., Series E†(1)(2)(3)		13,398		504,357
Total Convertible Preferred Securities (cost $6,136,121)				6,934,252
Total Long-Term Investment Securities (cost $353,514,700)				441,609,042

161

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.2%
Registered Investment Companies — 0.2%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.27%(5)		557,468		$	557,468
T. Rowe Price Government Reserve Fund 0.32%(5)		346,548			346,548
Total Short-Term Investment Securities (cost $904,016)					904,016
TOTAL INVESTMENTS (cost $354,418,716)(6)		99.4	%		442,513,058
Other assets less liabilities		0.6			2,626,248
NET ASSETS		100.0	%	$	445,139,306

†  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, 2016, the aggregate value of these securities was $7,412,771 representing 1.7% of net assets.

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2016, 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	11/07/2014		38,413	$	733,734	$	334,065	$	8.70		0.08	%
Flipkart Online Services Pvt., Ltd.	03/19/2015		922		105,108		88,364		95.84		0.02
WeWork Cos., Inc., Class A	06/23/2015		1,490		49,006		56,090		37.64		0.01
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		13,329		542,664		1,399,545		105.00		0.31
Airbnb, Inc., Series E	07/14/2015		8,841		823,048		928,305		105.00		0.21
Flipkart Online Services Pvt., Ltd. Series A	03/19/2015		316		36,022		30,285		95.84		0.01
Flipkart Online Services Pvt., Ltd. Series C	03/19/2015		556		63,384		53,287		95.84		0.01

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities (continued)
Flipkart Online Services Pvt., Ltd. Series E	03/19/2015		1,032	$	117,648	$	98,907	$	95.84		0.02	%
Flipkart Online Services Pvt., Ltd. Series G	12/17/2014		4,576		548,022		438,564		95.84		0.10
Flipkart Online Services Pvt., Ltd. Series H	04/17/2015		4,257		605,516		407,991		95.84		0.09
Living Social, Inc., Series F	11/18/2011		11,949		91,888		0		0.00		0.00
Magic Leap, Inc., Series C	01/20/2016		26,666		614,198		614,198		23.03		0.14
Snapchat, Inc., Series F	05/06/2016		23,398		718,787		718,786		30.72		0.16
Uber Technologies, Inc., Series G	12/03/2015		20,747		1,011,878		1,011,877		48.77		0.23
WeWork Cos., Inc., Series E	06/23/2015		13,398		440,655		504,357		37.64		0.11
Xiaoju Kuaizhi, Inc., Series A-17	10/19/2015		19,048		522,414		728,150		38.23		0.16
						$	7,412,771				1.66	%

(4)  Security was valued using fair value procedures at September 30, 2016. The aggregate value of these securities was $6,353,486 representing 1.4% 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, 2016.

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

ADR — American Depositary Receipt

162

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	29,906,836	$	—		$	334,065	$	30,240,901
E-Commerce/Products		45,170,886		—			88,364		45,259,250
Internet Application Software		—		6,353,486	**		—		6,353,486
Real Estate Management/Services		—		—			56,090		56,090
Other Industries		352,765,063		—			—		352,765,063
Convertible Preferred Securities		—		—			6,934,252		6,934,252
Short-Term Investment Securities		904,016		—			—		904,016
Total Investment at Value	$	428,746,801	$	6,353,486		$	7,412,771	$	442,513,058

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $6,353,486 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were adjusted for fair value pricing procedures for foreign equity securities. There were no additional material 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, 2016	$	547,904		$	5,866,762
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			—
Realized Loss		—			—
Change in unrealized appreciation(1)		—			479,749
Change in unrealized depreciation(1)		(69,385	)		(131,045	)
Net purchases		—			718,786
Net sales		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2016	$	478,519		$	6,934,252

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2016 includes:

Common Stocks			Convertible Preferred Securities
$	(69,385	)	$	348,704

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, 2016.

163

Seasons Series Trust Stock Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

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

Description	Fair Value at September 30, 2016		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	334,065	Market Approach with	Estimated Revenue Multiple*	4.5x - 7.28x (6.09x)
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	36.0%
				Term to liquidity event in years	2.83
				Risk-free rate	0.87%
	$	56,090	Market Approach	Market Transaction Price*	$50.1923
				Discount for Lack of Marketability	25.0%
	$	88,364	Market Approach and	Market Transaction Price*	$142.2400
			Income Approach	Enterprise Value/Revenue Multiple*	2.9x - 3.1x (3.0x)
				Estimated Revenue Multiple*	2.2x
				Discount for Lack of Marketability	8.25% - 10% (9.125%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	4.0%
Convertible Preferred Securities	$	504,357	Market Approach	Market Transaction Price*	$50.1923
				Discount for Lack of Marketability	25.0%
	$	5,400,861	Market Approach	Market Transaction Price*	$23.033 - $105.00 ($58.4587)
	$	1,029,034	Market Approach and	Market Transaction Price*	$142.2400
			Income Approach	Enterprise Value/Revenue Multiple*	2.9x - 3.1x (3.0x)
				Estimated Revenue Multiple*	2.2x
				Discount for Lack of Marketability	8.25% - 10% (9.125%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	4.0%
	$	0	Cost Approach	Net Tangible Assets*	$0.0000

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

See Notes to Financial Statements

164

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Medical-Drugs	5.8	%
Computers	5.7
Applications Software	5.4
Web Portals/ISP	5.2
Medical-Biomedical/Gene	4.5
Real Estate Investment Trusts	3.8
E-Commerce/Products	3.8
Internet Content-Entertainment	3.8
Finance-Credit Card	2.8
Cable/Satellite TV	2.2
Retail-Restaurants	2.1
Tobacco	1.9
Diversified Manufacturing Operations	1.8
Retail-Building Products	1.8
Aerospace/Defense	1.6
Retail-Discount	1.6
Beverages-Non-alcoholic	1.6
Instruments-Controls	1.6
Diagnostic Equipment	1.4
Retail-Apparel/Shoe	1.3
Electronic Components-Semiconductors	1.2
Commercial Services-Finance	1.2
Medical-HMO	1.2
E-Commerce/Services	1.2
Enterprise Software/Service	1.2
Medical Instruments	1.2
Athletic Footwear	1.2
Exchange-Traded Funds	1.1
Commercial Services	1.1
Multimedia	1.1
Entertainment Software	1.0
Computer Services	1.0
Finance-Other Services	0.9
Medical Information Systems	0.8
Electronic Forms	0.8
Transport-Rail	0.7
Medical Products	0.7
Retail-Drug Store	0.7
Cosmetics & Toiletries	0.7
Oil Companies-Exploration & Production	0.7
Electronic Measurement Instruments	0.7
Food-Misc./Diversified	0.6
Machinery-Pumps	0.6
Electronic Connectors	0.6
Data Processing/Management	0.6
Semiconductor Components-Integrated Circuits	0.5
Coatings/Paint	0.5
Industrial Gases	0.5
Machinery-General Industrial	0.5
Food-Retail	0.5
Auto/Truck Parts & Equipment-Original	0.5
Building & Construction Products-Misc.	0.5
Brewery	0.5
Chemicals-Diversified	0.4
Medical-Hospitals	0.4
Airlines	0.4
Home Decoration Products	0.4
Oil-Field Services	0.4
Building Products-Cement	0.4
Chemicals-Specialty	0.4

Repurchase Agreements	0.4	%
Food-Confectionery	0.4
Retail-Auto Parts	0.4
Medical-Wholesale Drug Distribution	0.4
Containers-Metal/Glass	0.4
Cellular Telecom	0.4
Apparel Manufacturers	0.3
Finance-Investment Banker/Broker	0.3
Telephone-Integrated	0.3
Investment Management/Advisor Services	0.3
Electronic Security Devices	0.3
Hotels/Motels	0.3
Consulting Services	0.3
Electronic Design Automation	0.3
Food-Wholesale/Distribution	0.2
Banks-Commercial	0.2
Containers-Paper/Plastic	0.2
Networking Products	0.2
Recreational Vehicles	0.2
Cruise Lines	0.2
Telecommunication Equipment	0.2
Finance-Consumer Loans	0.2
Computer Aided Design	0.2
Metal Processors & Fabrication	0.2
Retail-Gardening Products	0.2
Computer Software	0.2
Semiconductor Equipment	0.2
Pharmacy Services	0.2
Real Estate Management/Services	0.2
Insurance Brokers	0.2
Transport-Services	0.2
Retail-Major Department Stores	0.2
Toys	0.2
Registered Investment Companies	0.2
Insurance-Property/Casualty	0.2
Consumer Products-Misc.	0.1
Beverages-Wine/Spirits	0.1
Retail-Catalog Shopping	0.1
Electronic Components-Misc.	0.1
Tools-Hand Held	0.1
Distribution/Wholesale	0.1
Agricultural Chemicals	0.1
Diversified Banking Institutions	0.1
Non-Hazardous Waste Disposal	0.1
Electric-Integrated	0.1
Instruments-Scientific	0.1
Building-Residential/Commercial	0.1
Disposable Medical Products	0.1
Advertising Agencies	0.1
Television	0.1
Medical-Generic Drugs	0.1
	99.9	%

*  Calculated as a percentage of net assets

165

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.2%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		4,408	$	98,519
Omnicom Group, Inc.		1,992		169,320
				267,839
Aerospace/Defense — 1.6%
Boeing Co.		16,405		2,161,195
General Dynamics Corp.		2,219		344,300
Lockheed Martin Corp.		2,560		613,683
Northrop Grumman Corp.		14,468		3,095,429
Raytheon Co.		2,840		386,609
Rockwell Collins, Inc.		2,233		188,331
Teledyne Technologies, Inc.†		11,156		1,204,067
TransDigm Group, Inc.†		861		248,932
				8,242,546
Aerospace/Defense-Equipment — 0.0%
Harris Corp.		1,196		109,566
Agricultural Chemicals — 0.1%
Monsanto Co.		3,760		384,272
Airlines — 0.4%
Alaska Air Group, Inc.		2,116		139,360
Southwest Airlines Co.		10,660		414,567
United Continental Holdings, Inc.†		31,800		1,668,546
				2,222,473
Apparel Manufacturers — 0.3%
Carter's, Inc.		11,024		955,891
Hanesbrands, Inc.		6,493		163,948
Michael Kors Holdings, Ltd.†		1,917		89,697
Under Armour, Inc., Class A†		3,152		121,919
Under Armour, Inc., Class C†		3,168		107,269
VF Corp.		2,908		162,993
				1,601,717
Applications Software — 5.4%
Citrix Systems, Inc.†		2,676		228,049
Intuit, Inc.		25,479		2,802,945
Microsoft Corp.		338,621		19,504,569
Red Hat, Inc.†		3,113		251,624
salesforce.com, Inc.†		57,671		4,113,672
				26,900,859
Athletic Footwear — 1.2%
NIKE, Inc., Class B		109,789		5,780,391
Audio/Video Products — 0.0%
Harman International Industries, Inc.		684		57,764
Auto/Truck Parts & Equipment-Original — 0.5%
Delphi Automotive PLC		21,713		1,548,571
Mobileye NV†		20,127		856,807
				2,405,378
Banks-Commercial — 0.2%
First Republic Bank		11,940		920,693
PacWest Bancorp		6,646		285,180
				1,205,873

Security Description	Shares		Value (Note 2)
Banks-Fiduciary — 0.0%
Citizens Financial Group, Inc.		1,875	$	46,331
Northern Trust Corp.		2,270		154,338
				200,669
Banks-Super Regional — 0.0%
Huntington Bancshares, Inc.		9,142		90,140
Beverages-Non-alcoholic — 1.6%
Coca-Cola Co.		136,925		5,794,666
Dr Pepper Snapple Group, Inc.		3,187		291,005
Monster Beverage Corp.†		2,323		341,040
PepsiCo, Inc.		13,604		1,479,707
				7,906,418
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		3,135		148,724
Constellation Brands, Inc., Class A		3,045		506,962
				655,686
Brewery — 0.5%
Molson Coors Brewing Co., Class B		21,652		2,377,390
Broadcast Services/Program — 0.0%
Discovery Communications, Inc., Class A†		2,593		69,803
Discovery Communications, Inc., Class C†		3,854		101,399
Scripps Networks Interactive, Inc., Class A		867		55,046
				226,248
Building & Construction Products-Misc. — 0.5%
Fortune Brands Home & Security, Inc.		41,215		2,394,592
Building Products-Cement — 0.4%
Martin Marietta Materials, Inc.		1,090		195,230
Vulcan Materials Co.		15,406		1,752,124
				1,947,354
Building Products-Wood — 0.0%
Masco Corp.		5,675		194,709
Building-Residential/Commercial — 0.1%
D.R. Horton, Inc.		5,823		175,854
Lennar Corp., Class A		3,229		136,716
				312,570
Cable/Satellite TV — 2.2%
Charter Communications, Inc.† Class A		2,831		764,285
Comcast Corp., Class A		152,109		10,090,911
				10,855,196
Casino Hotels — 0.0%
Wynn Resorts, Ltd.		450		43,839
Cellular Telecom — 0.4%
T-Mobile US, Inc.†		37,539		1,753,822
Chemicals-Diversified — 0.4%
E.I. du Pont de Nemours & Co.		6,762		452,851
LyondellBasell Industries NV, Class A		3,164		255,208
PPG Industries, Inc.		14,722		1,521,666
				2,229,725

166

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.4%
Ashland Global Holdings, Inc.		9,659	$	1,119,961
International Flavors & Fragrances, Inc.		1,368		195,583
Valvoline, Inc.†		26,499		622,462
				1,938,006
Coatings/Paint — 0.5%
Sherwin-Williams Co.		9,662		2,673,089
Commercial Services — 1.1%
Aramark		41,684		1,585,243
Cintas Corp.		1,469		165,409
CoStar Group, Inc.†		4,066		880,411
Ecolab, Inc.		4,510		548,957
Nielsen Holdings PLC		29,154		1,561,780
ServiceMaster Global Holdings, Inc.†		24,869		837,588
				5,579,388
Commercial Services-Finance — 1.2%
Automatic Data Processing, Inc.		4,626		408,013
Equifax, Inc.		6,417		863,600
FleetCor Technologies, Inc.†		10,565		1,835,458
Global Payments, Inc.		2,640		202,646
H&R Block, Inc.		2,485		57,528
Moody's Corp.		2,875		311,305
PayPal Holdings, Inc.†		19,291		790,352
S&P Global, Inc.		10,711		1,355,584
Total System Services, Inc.		2,844		134,095
Western Union Co.		4,359		90,754
				6,049,335
Computer Aided Design — 0.2%
ANSYS, Inc.†		9,006		834,045
Autodesk, Inc.†		2,081		150,519
				984,564
Computer Services — 1.0%
Accenture PLC, Class A		10,700		1,307,219
Amdocs, Ltd.		19,486		1,127,265
Cognizant Technology Solutions Corp., Class A†		24,927		1,189,267
CSRA, Inc.		1,076		28,944
Hewlett Packard Enterprise Co.		15,994		363,864
International Business Machines Corp.		5,830		926,096
Teradata Corp.†		896		27,776
				4,970,431
Computer Software — 0.2%
Akamai Technologies, Inc.†		3,003		159,129
SS&C Technologies Holdings, Inc.		23,869		767,388
				926,517
Computers — 5.7%
Apple, Inc.		251,205		28,398,725
Consulting Services — 0.3%
Verisk Analytics, Inc.†		15,836		1,287,150

Security Description	Shares		Value (Note 2)
Consumer Products-Misc. — 0.1%
Clorox Co.		2,225	$	278,526
Kimberly-Clark Corp.		3,400		428,876
				707,402
Containers-Metal/Glass — 0.4%
Ball Corp.		1,587		130,055
Crown Holdings, Inc.†		28,650		1,635,628
				1,765,683
Containers-Paper/Plastic — 0.2%
Sealed Air Corp.		25,993		1,190,999
Cosmetics & Toiletries — 0.7%
Colgate-Palmolive Co.		20,802		1,542,260
Estee Lauder Cos., Inc., Class A		22,744		2,014,209
				3,556,469
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		25,240		951,548
Royal Caribbean Cruises, Ltd.		1,934		144,953
				1,096,501
Data Processing/Management — 0.6%
Dun & Bradstreet Corp.		356		48,637
Fidelity National Information Services, Inc.		28,019		2,158,303
Fiserv, Inc.†		3,778		375,798
Paychex, Inc.		5,515		319,153
				2,901,891
Dental Supplies & Equipment — 0.0%
DENTSPLY SIRONA, Inc.		2,163		128,547
Patterson Cos., Inc.		759		34,869
				163,416
Diagnostic Equipment — 1.4%
Abbott Laboratories		75,920		3,210,657
Danaher Corp.		38,262		2,999,358
Thermo Fisher Scientific, Inc.		4,472		711,316
				6,921,331
Dialysis Centers — 0.0%
DaVita, Inc.†		1,934		127,779
Disposable Medical Products — 0.1%
C.R. Bard, Inc.		1,262		283,041
Distribution/Wholesale — 0.1%
Fastenal Co.		2,980		124,505
LKQ Corp.†		5,278		187,158
WW Grainger, Inc.		392		88,137
				399,800
Diversified Banking Institutions — 0.1%
Morgan Stanley		11,891		381,225
Diversified Manufacturing Operations — 1.8%
3M Co.		25,261		4,451,746
A.O. Smith Corp.		9,106		899,582
Dover Corp.		7,559		556,645
General Electric Co.		84,709		2,509,080
Illinois Tool Works, Inc.		3,075		368,508

167

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Manufacturing Operations (continued)
Pentair PLC		1,804	$	115,889
				8,901,450
E-Commerce/Products — 3.8%
Amazon.com, Inc.†		21,965		18,391,514
eBay, Inc.†		18,046		593,714
				18,985,228
E-Commerce/Services — 1.2%
Expedia, Inc.		2,071		241,727
Priceline Group, Inc.†		3,813		5,610,791
TripAdvisor, Inc.†		1,964		124,086
				5,976,604
Electric Products-Misc. — 0.0%
AMETEK, Inc.		3,995		190,881
Electric-Integrated — 0.1%
Dominion Resources, Inc.		4,410		327,531
Electronic Components-Misc. — 0.1%
Flex Ltd.†		40,151		546,857
Electronic Components-Semiconductors — 1.2%
Broadcom, Ltd.		6,798		1,172,791
Intel Corp.		33,338		1,258,509
Microchip Technology, Inc.		3,700		229,918
Micron Technology, Inc.†		8,566		152,303
NVIDIA Corp.		9,195		630,041
Qorvo, Inc.†		2,198		122,517
Skyworks Solutions, Inc.		3,223		245,399
Texas Instruments, Inc.		32,303		2,267,025
Xilinx, Inc.		2,614		142,045
				6,220,548
Electronic Connectors — 0.6%
Amphenol Corp., Class A		43,517		2,825,124
TE Connectivity, Ltd.		2,567		165,263
				2,990,387
Electronic Design Automation — 0.3%
Cadence Design Systems, Inc.†		49,593		1,266,109
Electronic Forms — 0.8%
Adobe Systems, Inc.†		35,344		3,836,238
Electronic Measurement Instruments — 0.7%
Agilent Technologies, Inc.		26,435		1,244,824
FLIR Systems, Inc.		1,156		36,321
Fortive Corp.		23,364		1,189,228
National Instruments Corp.		27,535		781,994
				3,252,367
Electronic Security Devices — 0.3%
Allegion PLC		14,136		974,112
Johnson Controls International PLC		7,301		339,715
				1,313,827
Enterprise Software/Service — 1.2%
Oracle Corp.		85,446		3,356,319
Tyler Technologies, Inc.†		8,200		1,404,086
Ultimate Software Group, Inc.†		5,803		1,186,075
				5,946,480

Security Description	Shares		Value (Note 2)
Entertainment Software — 1.0%
Activision Blizzard, Inc.		47,854	$	2,119,932
Electronic Arts, Inc.†		34,206		2,921,193
				5,041,125
Finance-Consumer Loans — 0.2%
Synchrony Financial		35,467		993,076
Finance-Credit Card — 2.8%
Alliance Data Systems Corp.†		1,006		215,817
MasterCard, Inc., Class A		78,221		7,960,551
Visa, Inc., Class A		71,022		5,873,520
				14,049,888
Finance-Investment Banker/Broker — 0.3%
Charles Schwab Corp.		20,692		653,247
E*TRADE Financial Corp.†		31,759		924,822
				1,578,069
Finance-Other Services — 0.9%
CME Group, Inc.		2,970		310,424
Intercontinental Exchange, Inc.		15,333		4,130,097
Nasdaq, Inc.		1,217		82,196
				4,522,717
Food-Confectionery — 0.4%
Hershey Co.		17,748		1,696,709
J.M. Smucker Co.		1,161		157,362
				1,854,071
Food-Meat Products — 0.0%
Hormel Foods Corp.		4,644		176,147
Food-Misc./Diversified — 0.6%
Campbell Soup Co.		3,342		182,807
ConAgra Foods, Inc.		4,083		192,350
General Mills, Inc.		6,362		406,405
Kellogg Co.		2,427		188,020
McCormick & Co., Inc.		10,005		999,700
Mondelez International, Inc., Class A		26,735		1,173,666
				3,142,948
Food-Retail — 0.5%
Kroger Co.		59,765		1,773,825
Whole Foods Market, Inc.		24,257		687,686
				2,461,511
Food-Wholesale/Distribution — 0.2%
Sysco Corp.		25,234		1,236,718
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		1,462		117,165
Home Decoration Products — 0.4%
Newell Brands, Inc.		40,425		2,128,781
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,424		64,906
Hotels/Motels — 0.3%
Hilton Worldwide Holdings, Inc.		42,095		965,238
Marriott International, Inc., Class A		3,226		217,220
Wyndham Worldwide Corp.		1,888		127,119
				1,309,577

168

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Human Resources — 0.0%
Robert Half International, Inc.		1,253	$	47,439
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		1,068		130,659
Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		15,151		2,277,801
Praxair, Inc.		2,402		290,234
				2,568,035
Instruments-Controls — 1.6%
Honeywell International, Inc.		54,083		6,305,537
Mettler-Toledo International, Inc.†		455		191,023
Sensata Technologies Holding NV†		32,713		1,268,610
				7,765,170
Instruments-Scientific — 0.1%
PerkinElmer, Inc.		1,880		105,487
Waters Corp.†		1,385		219,508
				324,995
Insurance Brokers — 0.2%
Aon PLC		2,830		318,347
Arthur J. Gallagher & Co.		1,613		82,053
Marsh & McLennan Cos., Inc.		4,632		311,502
Willis Towers Watson PLC		1,338		177,646
				889,548
Insurance-Life/Health — 0.0%
Torchmark Corp.		1,015		64,848
Insurance-Multi-line — 0.0%
Assurant, Inc.		466		42,988
Cincinnati Financial Corp.		1,364		102,873
				145,861
Insurance-Property/Casualty — 0.2%
Progressive Corp.		20,351		641,057
XL Group, Ltd.		4,726		158,935
				799,992
Internet Content-Entertainment — 3.8%
Facebook, Inc., Class A†		128,811		16,522,587
Netflix, Inc.†		23,898		2,355,148
				18,877,735
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		762		94,976
Internet Security — 0.0%
VeriSign, Inc.†		1,596		124,871
Investment Management/Advisor Services — 0.3%
Affiliated Managers Group, Inc.†		574		83,058
Ameriprise Financial, Inc.		1,332		132,894
BlackRock, Inc.		2,549		923,910
T. Rowe Price Group, Inc.		2,862		190,323
				1,330,185
Lighting Products & Systems — 0.0%
Acuity Brands, Inc.		754		199,508
Machinery-General Industrial — 0.5%
Roper Technologies, Inc.		13,781		2,514,619

Security Description	Shares		Value (Note 2)
Machinery-Pumps — 0.6%
Flowserve Corp.		17,440	$	841,306
Xylem, Inc.		42,114		2,208,879
				3,050,185
Medical Information Systems — 0.8%
athenahealth, Inc.†		11,760		1,483,171
Cerner Corp.†		38,873		2,400,408
				3,883,579
Medical Instruments — 1.2%
Boston Scientific Corp.†		160,351		3,816,354
Edwards Lifesciences Corp.†		3,659		441,129
Intuitive Surgical, Inc.†		423		306,603
Medtronic PLC		13,301		1,149,206
St. Jude Medical, Inc.		2,498		199,241
				5,912,533
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings†		1,758		241,690
Medical Products — 0.7%
Becton Dickinson and Co.		3,660		657,812
Henry Schein, Inc.†		970		158,090
Stryker Corp.		21,153		2,462,421
Varian Medical Systems, Inc.†		883		87,885
Zimmer Biomet Holdings, Inc.		1,513		196,720
				3,562,928
Medical-Biomedical/Gene — 4.5%
Alder Biopharmaceuticals, Inc.†		24,956		817,808
Alexion Pharmaceuticals, Inc.†		20,697		2,536,210
Amgen, Inc.		27,045		4,511,377
Biogen, Inc.†		8,848		2,769,689
Celgene Corp.†		48,643		5,084,653
Gilead Sciences, Inc.		38,067		3,011,861
Illumina, Inc.†		2,520		457,783
Regeneron Pharmaceuticals, Inc.†		4,597		1,848,086
Vertex Pharmaceuticals, Inc.†		19,517		1,702,078
				22,739,545
Medical-Drugs — 5.8%
AbbVie, Inc.		15,394		970,900
Allergan PLC†		31,064		7,154,350
Bristol-Myers Squibb Co.		59,161		3,189,961
Eli Lilly & Co.		82,728		6,639,749
Endo International PLC†		1,159		23,354
Ironwood Pharmaceuticals, Inc.†		78,561		1,247,549
Johnson & Johnson		23,041		2,721,833
Mallinckrodt PLC†		23,003		1,605,149
Pfizer, Inc.		108,631		3,679,332
Zoetis, Inc.		34,893		1,814,785
				29,046,962
Medical-Generic Drugs — 0.1%
Mylan NV†		3,953		150,689
Perrigo Co. PLC		1,034		95,469
				246,158
Medical-HMO — 1.2%
Aetna, Inc.		32,398		3,740,349

169

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-HMO (continued)
Centene Corp.†		2,934	$	196,461
Cigna Corp.		4,410		574,711
Humana, Inc.		1,204		212,976
UnitedHealth Group, Inc.		9,330		1,306,200
				6,030,697
Medical-Hospitals — 0.4%
HCA Holdings, Inc.†		2,132		161,243
Universal Health Services, Inc., Class B		16,749		2,063,812
				2,225,055
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		3,107		250,983
McKesson Corp.		9,373		1,562,948
				1,813,931
Metal Processors & Fabrication — 0.2%
Rexnord Corp.†		45,540		975,011
Multimedia — 1.1%
Twenty-First Century Fox, Inc., Class A		9,692		234,740
Twenty-First Century Fox, Inc., Class B		4,437		109,771
Walt Disney Co.		54,933		5,101,079
				5,445,590
Networking Products — 0.2%
Cisco Systems, Inc.		35,443		1,124,252
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		1,883		94,998
Waste Management, Inc.		3,707		236,358
				331,356
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		1,527		118,785
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp.		17,350		1,099,296
Apache Corp.		2,739		174,940
Cabot Oil & Gas Corp.		3,358		86,636
Cimarex Energy Co.		1,061		142,567
Concho Resources, Inc.†		1,563		214,678
Devon Energy Corp.		4,500		198,495
EOG Resources, Inc.		5,016		485,097
Newfield Exploration Co.†		2,082		90,484
Occidental Petroleum Corp.		5,383		392,528
Pioneer Natural Resources Co.		2,915		541,170
				3,425,891
Oil Refining & Marketing — 0.0%
Tesoro Corp.		898		71,445
Oil-Field Services — 0.4%
Halliburton Co.		44,573		2,000,436
Pharmacy Services — 0.2%
Diplomat Pharmacy, Inc.†		32,584		912,678
Pipelines — 0.0%
Williams Cos., Inc.		4,343		133,460

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts — 3.8%
American Tower Corp.		70,706	$	8,013,111
Apartment Investment & Management Co., Class A		1,454		66,753
AvalonBay Communities, Inc.		2,360		419,702
Boston Properties, Inc.		1,691		230,466
Crown Castle International Corp.		5,802		546,607
Digital Realty Trust, Inc.		1,641		159,374
Equinix, Inc.		11,091		3,995,533
Equity Residential		6,283		404,185
Essex Property Trust, Inc.		1,126		250,760
Extra Space Storage, Inc.		2,162		171,685
Federal Realty Investment Trust		804		123,760
General Growth Properties, Inc.		6,122		168,967
Host Hotels & Resorts, Inc.		6,125		95,366
Iron Mountain, Inc.		1,641		61,587
Kimco Realty Corp.		7,219		208,990
Macerich Co.		975		78,848
Prologis, Inc.		9,057		484,912
Public Storage		2,563		571,908
Realty Income Corp.		3,200		214,176
Simon Property Group, Inc.		8,086		1,673,883
SL Green Realty Corp.		724		78,264
UDR, Inc.		4,590		165,194
Ventas, Inc.		2,778		196,210
Vornado Realty Trust		1,447		146,451
Welltower, Inc.		3,691		275,976
Weyerhaeuser Co.		6,434		205,502
				19,008,170
Real Estate Management/Services — 0.2%
CBRE Group, Inc., Class A†		5,134		143,649
Jones Lang LaSalle, Inc.		6,569		747,487
				891,136
Recreational Vehicles — 0.2%
Polaris Industries, Inc.		14,511		1,123,732
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		607		47,643
Retail-Apparel/Shoe — 1.3%
Foot Locker, Inc.		1,512		102,393
Kate Spade & Co.†		53,315		913,286
L Brands, Inc.		17,423		1,233,026
PVH Corp.		8,745		966,322
Ross Stores, Inc.		50,877		3,271,391
				6,486,418
Retail-Auto Parts — 0.4%
Advance Auto Parts, Inc.		1,266		188,786
AutoZone, Inc.†		1,558		1,197,074
O'Reilly Automotive, Inc.†		1,632		457,139
				1,842,999
Retail-Automobile — 0.0%
CarMax, Inc.†		1,909		101,845
Retail-Building Products — 1.8%
Home Depot, Inc.		41,210		5,302,903
Lowe's Cos., Inc.		49,805		3,596,419
				8,899,322

170

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		29,109	$	582,471
Retail-Discount — 1.6%
Costco Wholesale Corp.		40,149		6,123,124
Dollar General Corp.		2,361		165,247
Dollar Tree, Inc.†		20,912		1,650,584
				7,938,955
Retail-Drug Store — 0.7%
CVS Health Corp.		8,430		750,186
Walgreens Boots Alliance, Inc.		34,812		2,806,543
				3,556,729
Retail-Gardening Products — 0.2%
Tractor Supply Co.		13,963		940,408
Retail-Jewelry — 0.0%
Signet Jewelers, Ltd.		1,299		96,814
Retail-Major Department Stores — 0.2%
TJX Cos., Inc.		11,286		843,967
Retail-Perfume & Cosmetics — 0.0%
Ulta Salon Cosmetics & Fragrance, Inc.†		1,008		239,884
Retail-Restaurants — 2.1%
Chipotle Mexican Grill, Inc.†		3,959		1,676,637
Dunkin' Brands Group, Inc.		21,062		1,096,909
McDonald's Corp.		41,885		4,831,854
Starbucks Corp.		50,881		2,754,697
Yum! Brands, Inc.		3,310		300,581
				10,660,678
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		2,120		68,476
Semiconductor Components-Integrated Circuits — 0.5%
Analog Devices, Inc.		5,285		340,618
Linear Technology Corp.		2,431		144,134
NXP Semiconductors NV†		22,041		2,248,403
				2,733,155
Semiconductor Equipment — 0.2%
Applied Materials, Inc.		18,577		560,097
KLA-Tencor Corp.		1,394		97,176
Lam Research Corp.		2,754		260,831
				918,104
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		4,427		212,142
Telecom Services — 0.0%
Level 3 Communications, Inc.†		2,052		95,172
Telecommunication Equipment — 0.2%
CommScope Holding Co., Inc.†		29,094		876,020
Juniper Networks, Inc.		6,582		158,363
				1,034,383
Telephone-Integrated — 0.3%
Verizon Communications, Inc.		28,024		1,456,688
Television — 0.1%
CBS Corp., Class B		3,846		210,530

Security Description	Shares		Value (Note 2)
Television (continued)
TEGNA, Inc.		1,879	$	41,075
				251,605
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		1,083		216,968
Tobacco — 1.9%
Altria Group, Inc.		66,429		4,200,306
Philip Morris International, Inc.		24,250		2,357,585
Reynolds American, Inc.		58,481		2,757,379
				9,315,270
Tools-Hand Held — 0.1%
Snap-on, Inc.		998		151,656
Stanley Black & Decker, Inc.		2,585		317,903
				469,559
Toys — 0.2%
Hasbro, Inc.		1,940		153,900
Mattel, Inc.		21,995		666,009
				819,909
Transport-Rail — 0.7%
CSX Corp.		47,420		1,446,310
Kansas City Southern		17,131		1,598,665
Union Pacific Corp.		5,726		558,457
				3,603,432
Transport-Services — 0.2%
C.H. Robinson Worldwide, Inc.		1,177		82,931
Expeditors International of Washington, Inc.		1,960		100,979
United Parcel Service, Inc., Class B		6,416		701,654
				885,564
Transport-Truck — 0.0%
JB Hunt Transport Services, Inc.		891		72,296
Vitamins & Nutrition Products — 0.0%
Mead Johnson Nutrition Co.		1,587		125,389
Water — 0.0%
American Water Works Co., Inc.		1,682		125,881
Web Portals/ISP — 5.2%
Alphabet, Inc., Class A†		11,646		9,364,083
Alphabet, Inc., Class C†		21,460		16,680,643
				26,044,726
Wireless Equipment — 0.0%
Motorola Solutions, Inc.		1,719		131,125
X-Ray Equipment — 0.0%
Hologic, Inc.†		4,768		185,141
Total Common Stocks (cost $403,428,393)				492,297,748
EXCHANGE-TRADED FUNDS — 1.1%
iShares S&P 500 Growth Index Fund (cost $5,625,239)		46,253		5,627,140
Total Long-Term Investment Securities (cost $409,053,632)				497,924,888

171

Seasons Series Trust Large Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 0.2%
Registered Investment Companies — 0.2%
State Street Institutional U.S. Government Money Market Fund, Administration Class 0.02%(1) (cost $800,667)		800,667		$	800,667
REPURCHASE AGREEMENTS — 0.4%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $1,212,000 and collateralized by $1,210,001 of United States Treasury Notes, bearing interest at 1.50%, due 11/30/2019 and having an approximate value of $1,238,738	$	1,212,000			1,212,000
State Street Bank and Trust Co. Joint Repurchase Agreement(2)		680,000			680,000
Total Repurchase Agreements(cost $1,892,000)					1,892,000
TOTAL INVESTMENTS (cost $411,746,299)(3)		99.9	%		500,617,555
Other assets less liabilities		0.1			711,232
NET ASSETS		100.0	%	$	501,328,787

†  Non-income producing security

(1)  The rate shown is the 7-day yield as of September 30, 2016.

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

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

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Growth Index	December 2016	$	1,195,420	$	1,222,300	$	26,880

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	492,297,748	$	—	$	—	$	492,297,748
Exchange-Traded Funds		5,627,140		—		—		5,627,140
Short-Term Investment Securities		800,667		—		—		800,667
Repurchase Agreements		—		1,892,000		—		1,892,000
Total Investments at Value	$	498,725,555	$	1,892,000	$	—	$	500,617,555
Other Financial Instruments:†
Futures Contracts	$	26,880	$	—	$	—	$	26,880

*  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

172

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Medical-Drugs	7.2	%
Oil Companies-Integrated	6.6
Diversified Banking Institutions	5.8
Banks-Super Regional	5.5
Electric-Integrated	3.7
Oil Companies-Exploration & Production	3.7
Diversified Manufacturing Operations	2.7
Insurance-Multi-line	2.7
Oil-Field Services	2.6
Investment Management/Advisor Services	2.4
Networking Products	2.2
Telephone-Integrated	2.2
Cosmetics & Toiletries	2.0
Aerospace/Defense-Equipment	1.8
Electronic Components-Semiconductors	1.7
Banks-Commercial	1.6
Retail-Discount	1.6
Medical Instruments	1.4
Transport-Rail	1.4
Semiconductor Components-Integrated Circuits	1.3
Beverages-Non-alcoholic	1.3
Chemicals-Diversified	1.2
Food-Misc./Diversified	1.2
Tobacco	1.2
Enterprise Software/Service	1.1
Insurance-Life/Health	1.1
Insurance-Reinsurance	1.0
Multimedia	1.0
Banks-Fiduciary	1.0
Medical-Biomedical/Gene	0.9
Electronic Security Devices	0.9
Cruise Lines	0.9
Repurchase Agreements	0.8
Computer Services	0.8
Transport-Services	0.8
Real Estate Investment Trusts	0.8
Retail-Drug Store	0.8
Diagnostic Equipment	0.8
Semiconductor Equipment	0.7
Medical Products	0.7
Insurance-Property/Casualty	0.7
Medical-HMO	0.7
Computers	0.7
Retail-Apparel/Shoe	0.7
Auto/Truck Parts & Equipment-Original	0.6
Exchange-Traded Funds	0.6
Machinery-Construction & Mining	0.6
Building-Residential/Commercial	0.6
Hotels/Motels	0.6
Television	0.5
Paper & Related Products	0.5
Auto-Cars/Light Trucks	0.5
Gas-Distribution	0.5
Insurance Brokers	0.5
Agricultural Chemicals	0.5
Building & Construction Products-Misc.	0.5
Electronic Connectors	0.5
Medical-Wholesale Drug Distribution	0.4
Wireless Equipment	0.4
Commercial Services	0.4

Finance-Other Services	0.4	%
Retail-Auto Parts	0.4
Medical-Hospitals	0.4
Retail-Catalog Shopping	0.4
Pipelines	0.4
Industrial Automated/Robotic	0.4
Retail-Jewelry	0.4
Finance-Consumer Loans	0.3
Applications Software	0.3
Instruments-Controls	0.3
Oil Refining & Marketing	0.3
Time Deposits	0.3
Cable/Satellite TV	0.3
Finance-Credit Card	0.3
Medical-Generic Drugs	0.3
Electric-Distribution	0.3
Aerospace/Defense	0.2
Containers-Paper/Plastic	0.2
Airlines	0.2
Retail-Restaurants	0.2
Shipbuilding	0.2
Tools-Hand Held	0.2
Pharmacy Services	0.2
Retail-Building Products	0.1
Computers-Memory Devices	0.1
Web Portals/ISP	0.1
Electric Products-Misc.	0.1
Industrial Gases	0.1
Electronic Components-Misc.	0.1
Food-Wholesale/Distribution	0.1
Machinery-Farming	0.1
Agricultural Operations	0.1
Food-Retail	0.1
Commercial Services-Finance	0.1
Food-Meat Products	0.1
Gold Mining	0.1
Auto-Heavy Duty Trucks	0.1
Oil Field Machinery & Equipment	0.1
Consumer Products-Misc.	0.1
Engines-Internal Combustion	0.1
Retail-Regional Department Stores	0.1
Non-Hazardous Waste Disposal	0.1
Apparel Manufacturers	0.1
Electronic Measurement Instruments	0.1
Steel-Producers	0.1
Internet Security	0.1
Advertising Agencies	0.1
Engineering/R&D Services	0.1
Metal-Aluminum	0.1
Metal-Copper	0.1
	99.7	%

*  Calculated as a percentage of net assets

173

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.0%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		5,443	$	121,651
Omnicom Group, Inc.		4,552		386,920
				508,571
Aerospace/Defense — 0.2%
General Dynamics Corp.		5,956		924,133
Lockheed Martin Corp.		3,906		936,346
Raytheon Co.		4,900		667,037
				2,527,516
Aerospace/Defense-Equipment — 1.8%
Harris Corp.		2,062		188,900
Triumph Group, Inc.		119,947		3,344,122
United Technologies Corp.		148,097		15,046,655
				18,579,677
Agricultural Chemicals — 0.5%
Agrium, Inc.		39,700		3,600,393
CF Industries Holdings, Inc.		8,797		214,207
Monsanto Co.		8,256		843,763
Mosaic Co.		13,215		323,239
				4,981,602
Agricultural Operations — 0.1%
Archer-Daniels-Midland Co.		21,953		925,758
Airlines — 0.2%
American Airlines Group, Inc.		19,996		732,054
Delta Air Lines, Inc.		28,260		1,112,314
United Continental Holdings, Inc.†		11,071		580,895
				2,425,263
Apparel Manufacturers — 0.1%
Michael Kors Holdings, Ltd.†		2,168		101,440
Ralph Lauren Corp.		2,127		215,125
VF Corp.		6,135		343,867
				660,432
Appliances — 0.0%
Whirlpool Corp.		2,847		461,670
Applications Software — 0.3%
Microsoft Corp.		59,092		3,403,699
Audio/Video Products — 0.0%
Harman International Industries, Inc.		1,132		95,597
Auto-Cars/Light Trucks — 0.5%
Ford Motor Co.		283,267		3,419,033
General Motors Co.		53,635		1,703,984
				5,123,017
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		13,227		777,483
Auto/Truck Parts & Equipment-Original — 0.6%
BorgWarner, Inc.		63,500		2,233,930
Delphi Automotive PLC		61,540		4,389,033
				6,622,963
Banks-Commercial — 1.6%
BB&T Corp.		175,555		6,621,935
ING Groep NV ADR		282,600		3,487,284
M&T Bank Corp.		47,290		5,490,369

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Regions Financial Corp.		47,365	$	467,492
Zions Bancorporation		7,740		240,095
				16,307,175
Banks-Fiduciary — 1.0%
Bank of New York Mellon Corp.		207,049		8,257,114
Citizens Financial Group, Inc.		15,486		382,659
Northern Trust Corp.		3,054		207,642
State Street Corp.		13,834		963,261
				9,810,676
Banks-Super Regional — 5.5%
Capital One Financial Corp.		19,097		1,371,737
Comerica, Inc.		6,562		310,514
Fifth Third Bancorp		28,919		591,683
Huntington Bancshares, Inc.		20,891		205,985
KeyCorp		216,706		2,637,312
PNC Financial Services Group, Inc.		169,651		15,283,859
SunTrust Banks, Inc.		18,921		828,740
US Bancorp		232,830		9,986,079
Wells Fargo & Co.		570,316		25,253,592
				56,469,501
Beverages-Non-alcoholic — 1.3%
Coca-Cola Co.		179,163		7,582,178
PepsiCo, Inc.		49,378		5,370,845
				12,953,023
Brewery — 0.0%
Molson Coors Brewing Co., Class B		3,128		343,454
Broadcast Services/Program — 0.0%
Scripps Networks Interactive, Inc., Class A		1,688		107,171
Building & Construction Products-Misc. — 0.5%
Fortune Brands Home & Security, Inc.		84,109		4,886,733
Building-Residential/Commercial — 0.6%
PulteGroup, Inc.		293,670		5,885,147
Cable/Satellite TV — 0.3%
Charter Communications, Inc. Class A†		1,963		529,951
Comcast Corp., Class A		33,542		2,225,176
				2,755,127
Casino Hotels — 0.0%
Wynn Resorts, Ltd.		2,007		195,522
Chemicals-Diversified — 1.2%
Dow Chemical Co.		192,939		10,000,028
E.I. du Pont de Nemours & Co.		18,146		1,215,238
Eastman Chemical Co.		5,574		377,248
FMC Corp.		5,049		244,069
LyondellBasell Industries NV, Class A		5,917		477,265
PPG Industries, Inc.		3,919		405,068
				12,718,916
Chemicals-Specialty — 0.0%
Albemarle Corp.		4,242		362,649
Commercial Services — 0.4%
Nielsen Holdings PLC		78,902		4,226,780
Quanta Services, Inc.†		5,701		159,571
				4,386,351

174

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Commercial Services-Finance — 0.1%
Automatic Data Processing, Inc.		7,058	$	622,515
H&R Block, Inc.		2,811		65,075
Western Union Co.		8,834		183,924
				871,514
Computer Aided Design — 0.0%
Autodesk, Inc.†		2,800		202,524
Computer Services — 0.8%
Cognizant Technology Solutions Corp., Class A†		89,537		4,271,810
CSRA, Inc.		3,132		84,251
Hewlett Packard Enterprise Co.		27,590		627,672
International Business Machines Corp.		20,022		3,180,495
Teradata Corp.†		2,952		91,512
				8,255,740
Computers — 0.7%
Apple, Inc.		53,660		6,066,263
HP, Inc.		64,560		1,002,617
				7,068,880
Computers-Memory Devices — 0.1%
NetApp, Inc.		10,516		376,683
Seagate Technology PLC		11,268		434,381
Western Digital Corp.		10,727		627,208
				1,438,272
Consumer Products-Misc. — 0.1%
Kimberly-Clark Corp.		6,107		770,337
Containers-Metal/Glass — 0.0%
Ball Corp.		3,090		253,226
Owens-Illinois, Inc.†		6,116		112,473
				365,699
Containers-Paper/Plastic — 0.2%
Sealed Air Corp.		3,192		146,257
WestRock Co.		48,060		2,329,949
				2,476,206
Cosmetics & Toiletries — 2.0%
Colgate-Palmolive Co.		15,475		1,147,317
Procter & Gamble Co.		214,016		19,207,936
				20,355,253
Cruise Lines — 0.9%
Carnival Corp.		86,396		4,217,853
Norwegian Cruise Line Holdings, Ltd.†		126,037		4,751,595
Royal Caribbean Cruises, Ltd.		2,091		156,720
				9,126,168
Data Processing/Management — 0.0%
Dun & Bradstreet Corp.		589		80,469
Fidelity National Information Services, Inc.		5,443		419,274
				499,743
Dental Supplies & Equipment — 0.0%
DENTSPLY SIRONA, Inc.		4,045		240,395
Patterson Cos., Inc.		1,478		67,899
				308,294

Security Description	Shares		Value (Note 2)
Diagnostic Equipment — 0.8%
Abbott Laboratories		157,603	$	6,665,031
Danaher Corp.		7,796		611,128
Thermo Fisher Scientific, Inc.		5,058		804,526
				8,080,685
Dialysis Centers — 0.0%
DaVita, Inc.†		1,999		132,074
Distribution/Wholesale — 0.0%
Fastenal Co.		4,362		182,244
WW Grainger, Inc.		1,238		278,352
				460,596
Diversified Banking Institutions — 5.8%
Bank of America Corp.		828,739		12,969,765
Citigroup, Inc.		319,146		15,073,266
Goldman Sachs Group, Inc.		32,642		5,264,175
JPMorgan Chase & Co.		379,703		25,284,423
Morgan Stanley		29,441		943,879
				59,535,508
Diversified Manufacturing Operations — 2.7%
3M Co.		9,579		1,688,107
Dover Corp.		5,857		431,310
Eaton Corp. PLC		103,544		6,803,876
General Electric Co.		152,169		4,507,246
Illinois Tool Works, Inc.		5,304		635,631
Ingersoll-Rand PLC		145,956		9,916,251
Parker-Hannifin Corp.		5,053		634,303
Pentair PLC		2,326		149,422
Textron, Inc.		87,198		3,466,121
				28,232,267
Diversified Operations — 0.0%
Leucadia National Corp.		12,239		233,031
Electric Products-Misc. — 0.1%
Emerson Electric Co.		24,284		1,323,721
Electric-Distribution — 0.3%
PPL Corp.		74,308		2,568,828
Electric-Integrated — 3.7%
AES Corp.		24,871		319,592
Alliant Energy Corp.		8,578		328,623
Ameren Corp.		9,156		450,292
American Electric Power Co., Inc.		18,555		1,191,417
CMS Energy Corp.		10,529		442,323
Consolidated Edison, Inc.		11,487		864,971
Dominion Resources, Inc.		70,932		5,268,120
DTE Energy Co.		6,771		634,240
Duke Energy Corp.		25,997		2,080,800
Edison International		118,306		8,547,608
Entergy Corp.		6,754		518,234
Eversource Energy		11,970		648,535
Exelon Corp.		34,825		1,159,324
FirstEnergy Corp.		16,045		530,769
NextEra Energy, Inc.		17,625		2,155,890
PG&E Corp.		18,811		1,150,669
Pinnacle West Capital Corp.		4,195		318,778
Public Service Enterprise Group, Inc.		19,091		799,340
SCANA Corp.		5,393		390,291

175

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PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated (continued)
Southern Co.		36,932	$	1,894,612
WEC Energy Group, Inc.		11,910		713,171
Xcel Energy, Inc.		194,558		8,004,116
				38,411,715
Electronic Components-Misc. — 0.1%
Corning, Inc.		39,127		925,354
Garmin, Ltd.		4,348		209,182
				1,134,536
Electronic Components-Semiconductors — 1.7%
Intel Corp.		429,906		16,228,952
Micron Technology, Inc.†		20,376		362,285
Texas Instruments, Inc.		14,007		983,011
Xilinx, Inc.		3,826		207,905
				17,782,153
Electronic Connectors — 0.5%
TE Connectivity, Ltd.		74,832		4,817,684
Electronic Measurement Instruments — 0.1%
Agilent Technologies, Inc.		7,739		364,429
FLIR Systems, Inc.		2,642		83,012
Fortive Corp.		3,857		196,321
				643,762
Electronic Security Devices — 0.9%
Johnson Controls International PLC		204,421		9,511,709
Electronics-Military — 0.0%
L-3 Communications Holdings, Inc.		2,915		439,378
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		2,897		114,403
Engineering/R&D Services — 0.1%
Fluor Corp.		5,255		269,687
Jacobs Engineering Group, Inc.†		4,582		236,981
				506,668
Engines-Internal Combustion — 0.1%
Cummins, Inc.		5,855		750,318
Enterprise Software/Service — 1.1%
CA, Inc.		11,857		392,230
Oracle Corp.		274,544		10,784,088
				11,176,318
Finance-Consumer Loans — 0.3%
Navient Corp.		11,963		173,105
Synchrony Financial		122,315		3,424,820
				3,597,925
Finance-Credit Card — 0.3%
American Express Co.		29,282		1,875,219
Discover Financial Services		15,231		861,313
				2,736,532
Finance-Other Services — 0.4%
CME Group, Inc.		6,265		654,818
Intercontinental Exchange, Inc.		12,446		3,352,454
Nasdaq, Inc.		1,637		110,563
				4,117,835

Security Description	Shares		Value (Note 2)
Food-Confectionery — 0.0%
Hershey Co.		2,383	$	227,815
J.M. Smucker Co.		1,845		250,071
				477,886
Food-Meat Products — 0.1%
Tyson Foods, Inc., Class A		11,224		838,096
Food-Misc./Diversified — 1.2%
ConAgra Foods, Inc.		6,763		318,605
General Mills, Inc.		8,561		546,876
Kellogg Co.		4,187		324,367
Kraft Heinz Co.		51,890		4,644,674
McCormick & Co., Inc.		1,389		138,789
Mondelez International, Inc., Class A		152,490		6,694,311
				12,667,622
Food-Retail — 0.1%
Kroger Co.		19,338		573,952
Whole Foods Market, Inc.		12,030		341,050
				915,002
Food-Wholesale/Distribution — 0.1%
Sysco Corp.		19,272		944,521
Gas-Distribution — 0.5%
CenterPoint Energy, Inc.		16,252		377,534
NiSource, Inc.		12,158		293,129
Sempra Energy		40,526		4,343,982
				5,014,645
Gold Mining — 0.1%
Newmont Mining Corp.		20,022		786,664
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,917		87,377
Hotels/Motels — 0.6%
Hilton Worldwide Holdings, Inc.		154,400		3,540,392
Marriott International, Inc., Class A		33,985		2,288,183
				5,828,575
Human Resources — 0.0%
Robert Half International, Inc.		2,161		81,815
Independent Power Producers — 0.0%
NRG Energy, Inc.		11,897		133,365
Industrial Automated/Robotic — 0.4%
Rockwell Automation, Inc.		30,229		3,698,216
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		4,249		638,795
Praxair, Inc.		5,489		663,236
				1,302,031
Instruments-Controls — 0.3%
Honeywell International, Inc.		29,172		3,401,163
Insurance Brokers — 0.5%
Aon PLC		3,809		428,474
Arthur J. Gallagher & Co.		3,140		159,732
Marsh & McLennan Cos., Inc.		61,494		4,135,472
Willis Towers Watson PLC		1,959		260,096
				4,983,774

176

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Life/Health — 1.1%
Aflac, Inc.		38,705	$	2,781,728
Lincoln National Corp.		8,785		412,719
Principal Financial Group, Inc.		115,018		5,924,577
Prudential Financial, Inc.		16,490		1,346,409
Torchmark Corp.		1,975		126,183
Unum Group		8,854		312,635
				10,904,251
Insurance-Multi-line — 2.7%
Allstate Corp.		54,217		3,750,732
American International Group, Inc.(1)		38,381		2,277,529
Assurant, Inc.		1,249		115,220
Chubb, Ltd.		111,297		13,984,468
Cincinnati Financial Corp.		2,656		200,315
Hartford Financial Services Group, Inc.		14,565		623,673
Loews Corp.		10,431		429,236
MetLife, Inc.		152,716		6,785,172
				28,166,345
Insurance-Property/Casualty — 0.7%
Progressive Corp.		11,858		373,527
Travelers Cos., Inc.		10,878		1,246,075
XL Group, Ltd.		166,731		5,607,163
				7,226,765
Insurance-Reinsurance — 1.0%
Berkshire Hathaway, Inc., Class B†		71,646		10,350,698
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		824		102,703
Internet Security — 0.1%
Symantec Corp.		23,229		583,048
Investment Management/Advisor Services — 2.4%
Affiliated Managers Group, Inc.†		772		111,708
Ameriprise Financial, Inc.		45,017		4,491,346
BlackRock, Inc.		26,266		9,520,374
Franklin Resources, Inc.		13,261		471,694
Invesco, Ltd.		315,964		9,880,194
Legg Mason, Inc.		3,480		116,511
T. Rowe Price Group, Inc.		3,095		205,818
				24,797,645
Machinery-Construction & Mining — 0.6%
Caterpillar, Inc.		69,546		6,173,598
Machinery-Farming — 0.1%
Deere & Co.		10,916		931,681
Machinery-Pumps — 0.0%
Flowserve Corp.		4,920		237,341
Xylem, Inc.		3,989		209,223
				446,564
Medical Instruments — 1.4%
Intuitive Surgical, Inc.†		523		379,086
Medtronic PLC		157,710		13,626,144
St. Jude Medical, Inc.		5,268		420,176
				14,425,406

Security Description	Shares		Value (Note 2)
Medical Labs & Testing Services — 0.0%
Quest Diagnostics, Inc.		5,246	$	443,969
Medical Products — 0.7%
Baxter International, Inc.		68,291		3,250,652
Henry Schein, Inc.†		957		155,972
Stryker Corp.		4,455		518,606
Varian Medical Systems, Inc.†		1,586		157,854
Zimmer Biomet Holdings, Inc.		26,487		3,443,840
				7,526,924
Medical-Biomedical/Gene — 0.9%
Amgen, Inc.		33,903		5,655,359
Vertex Pharmaceuticals, Inc.†		46,100		4,020,381
				9,675,740
Medical-Drugs — 7.2%
AbbVie, Inc.		66,774		4,211,436
Allergan PLC†		41,090		9,463,438
AstraZeneca PLC ADR		155,561		5,111,734
Bristol-Myers Squibb Co.		116,925		6,304,596
Eli Lilly & Co.		13,929		1,117,942
Endo International PLC†		4,938		99,501
Johnson & Johnson		86,152		10,177,136
Mallinckrodt PLC†		4,065		283,656
Merck & Co., Inc.		272,491		17,006,163
Pfizer, Inc.		436,796		14,794,280
Roche Holding AG ADR		166,000		5,141,020
Zoetis, Inc.		6,538		340,041
				74,050,943
Medical-Generic Drugs — 0.3%
Mylan NV†		8,680		330,882
Perrigo Co. PLC		3,136		289,547
Teva Pharmaceutical Industries, Ltd. ADR		44,640		2,053,886
				2,674,315
Medical-HMO — 0.7%
Anthem, Inc.		36,011		4,512,539
Humana, Inc.		2,981		527,309
UnitedHealth Group, Inc.		15,454		2,163,560
				7,203,408
Medical-Hospitals — 0.4%
HCA Holdings, Inc.†		48,674		3,681,215
Universal Health Services, Inc., Class B		1,292		159,200
				3,840,415
Medical-Wholesale Drug Distribution — 0.4%
Cardinal Health, Inc.		12,022		934,109
McKesson Corp.		21,553		3,593,963
				4,528,072
Metal-Aluminum — 0.1%
Alcoa, Inc.		49,636		503,309
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.		46,112		500,776
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		6,747		354,825

177

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PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Multimedia — 1.0%
Thomson Reuters Corp.		79,955	$	3,308,538
Time Warner, Inc.		72,912		5,804,524
Twenty-First Century Fox, Inc., Class A		18,871		457,056
Twenty-First Century Fox, Inc., Class B		8,639		213,729
Viacom, Inc., Class B		13,103		499,224
				10,283,071
Networking Products — 2.2%
Cisco Systems, Inc.		712,640		22,604,941
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		4,663		235,248
Waste Management, Inc.		7,217		460,156
				695,404
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		7,003		127,175
Xerox Corp.		32,119		325,365
				452,540
Oil & Gas Drilling — 0.0%
Diamond Offshore Drilling, Inc.		2,433		42,845
Helmerich & Payne, Inc.		4,078		274,450
Transocean, Ltd.†		12,961		138,164
				455,459
Oil Companies-Exploration & Production — 3.7%
Anadarko Petroleum Corp.		64,717		4,100,469
Apache Corp.		8,304		530,376
Cabot Oil & Gas Corp.		10,180		262,644
Chesapeake Energy Corp.†		24,628		154,418
Cimarex Energy Co.		1,255		168,634
Concho Resources, Inc.†		1,931		265,223
ConocoPhillips		46,735		2,031,570
Devon Energy Corp.		9,879		435,763
EOG Resources, Inc.		67,053		6,484,696
EQT Corp.		6,519		473,410
Hess Corp.		10,157		544,618
Marathon Oil Corp.		374,142		5,915,185
Newfield Exploration Co.†		2,923		127,034
Noble Energy, Inc.		16,214		579,488
Occidental Petroleum Corp.		107,368		7,829,275
Pioneer Natural Resources Co.		27,922		5,183,719
Range Resources Corp.		7,094		274,892
Southwestern Energy Co.†		179,640		2,486,218
				37,847,632
Oil Companies-Integrated — 6.6%
Chevron Corp.		257,464		26,498,195
Exxon Mobil Corp.		194,864		17,007,730
Imperial Oil, Ltd.		210,590		6,587,609
Murphy Oil Corp.		6,108		185,683
Royal Dutch Shell PLC, Class B(2)		197,640		5,127,986
Royal Dutch Shell PLC, Class B ADR		63,180		3,337,800
TOTAL SA ADR		189,670		9,047,259
				67,792,262

Security Description	Shares		Value (Note 2)
Oil Field Machinery & Equipment — 0.1%
FMC Technologies, Inc.†		8,514	$	252,610
National Oilwell Varco, Inc.		14,250		523,545
				776,155
Oil Refining & Marketing — 0.3%
Marathon Petroleum Corp.		19,953		809,892
Phillips 66		16,770		1,350,823
Tesoro Corp.		2,510		199,696
Valero Energy Corp.		17,409		922,677
				3,283,088
Oil-Field Services — 2.6%
Baker Hughes, Inc.		16,147		814,939
Halliburton Co.		226,826		10,179,951
Schlumberger, Ltd.		195,528		15,376,322
				26,371,212
Paper & Related Products — 0.5%
International Paper Co.		107,486		5,157,178
Pharmacy Services — 0.2%
Express Scripts Holding Co.†		23,781		1,677,274
Pipelines — 0.4%
Kinder Morgan, Inc.		72,444		1,675,630
ONEOK, Inc.		7,940		408,036
Spectra Energy Corp.		26,456		1,130,994
Williams Cos., Inc.		16,237		498,963
				3,713,623
Publishing-Newspapers — 0.0%
News Corp., Class A		14,360		200,753
News Corp., Class B		4,520		64,274
				265,027
Real Estate Investment Trusts — 0.8%
Apartment Investment & Management Co., Class A		2,719		124,829
Boston Properties, Inc.		23,398		3,188,913
Digital Realty Trust, Inc.		1,940		188,413
Federal Realty Investment Trust		910		140,076
General Growth Properties, Inc.		8,593		237,167
HCP, Inc.		17,644		669,590
Host Hotels & Resorts, Inc.		14,569		226,839
Iron Mountain, Inc.		5,635		211,482
Macerich Co.		2,413		195,139
Realty Income Corp.		2,732		182,853
Simon Property Group, Inc.		4,506		932,787
SL Green Realty Corp.		2,196		237,388
Ventas, Inc.		7,159		505,640
Vornado Realty Trust		3,307		334,702
Welltower, Inc.		5,402		403,908
Weyerhaeuser Co.		14,127		451,216
				8,230,942
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		1,918		150,544
Retail-Apparel/Shoe — 0.7%
Coach, Inc.		10,526		384,830
Foot Locker, Inc.		1,787		121,016
Gap, Inc.		8,270		183,925

178

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe (continued)
PVH Corp.		55,313	$	6,112,086
Urban Outfitters, Inc.†		3,359		115,953
				6,917,810
Retail-Auto Parts — 0.4%
Advance Auto Parts, Inc.		22,360		3,334,323
Genuine Parts Co.		5,619		564,429
				3,898,752
Retail-Automobile — 0.0%
AutoNation, Inc.†		2,504		121,970
CarMax, Inc.†		3,035		161,917
				283,887
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.		5,825		251,116
Retail-Building Products — 0.1%
Lowe's Cos., Inc.		20,950		1,512,800
Retail-Catalog Shopping — 0.4%
Liberty Interactive Corp. QVC Group, Class A†		191,300		3,827,913
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		10,416		397,683
Retail-Discount — 1.6%
Costco Wholesale Corp.		9,257		1,411,785
Dollar General Corp.		4,597		321,744
Target Corp.		65,043		4,467,153
Wal-Mart Stores, Inc.		136,845		9,869,262
				16,069,944
Retail-Drug Store — 0.8%
CVS Health Corp.		78,466		6,982,689
Walgreens Boots Alliance, Inc.		13,874		1,118,522
				8,101,211
Retail-Jewelry — 0.4%
Signet Jewelers, Ltd.		45,500		3,391,115
Tiffany & Co.		4,053		294,369
				3,685,484
Retail-Major Department Stores — 0.0%
Nordstrom, Inc.		4,385		227,494
Retail-Office Supplies — 0.0%
Staples, Inc.		24,544		209,851
Retail-Regional Department Stores — 0.1%
Kohl's Corp.		6,777		296,494
Macy's, Inc.		11,640		431,262
				727,756
Retail-Restaurants — 0.2%
Darden Restaurants, Inc.		4,763		292,067
McDonald's Corp.		10,949		1,263,077
Yum! Brands, Inc.		6,709		609,244
				2,164,388
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		5,249		169,543

Security Description	Shares		Value (Note 2)
Savings & Loans/Thrifts — 0.0%
People's United Financial, Inc.		11,734	$	185,632
Semiconductor Components-Integrated Circuits — 1.3%
Linear Technology Corp.		3,709		219,907
QUALCOMM, Inc.		194,276		13,307,906
				13,527,813
Semiconductor Equipment — 0.7%
Applied Materials, Inc.		163,150		4,918,973
KLA-Tencor Corp.		2,826		197,000
Lam Research Corp.		26,040		2,466,248
				7,582,221
Shipbuilding — 0.2%
Huntington Ingalls Industries, Inc.		13,950		2,140,209
Steel-Producers — 0.1%
Nucor Corp.		12,013		594,043
Telecom Services — 0.0%
Level 3 Communications, Inc.†		6,484		300,728
Telephone-Integrated — 2.2%
AT&T, Inc.		320,736		13,025,089
CenturyLink, Inc.		20,602		565,113
Frontier Communications Corp.		44,266		184,147
Verizon Communications, Inc.		165,830		8,619,843
				22,394,192
Television — 0.5%
CBS Corp., Class B		97,999		5,364,465
TEGNA, Inc.		3,963		86,631
				5,451,096
Tobacco — 1.2%
British American Tobacco PLC ADR		46,642		5,953,851
Philip Morris International, Inc.		62,043		6,031,821
				11,985,672
Tools-Hand Held — 0.2%
Stanley Black & Decker, Inc.		14,160		1,741,397
Toys — 0.0%
Mattel, Inc.		12,853		389,189
Transport-Rail — 1.4%
CSX Corp.		35,697		1,088,759
Kansas City Southern		4,075		380,279
Norfolk Southern Corp.		11,077		1,075,134
Union Pacific Corp.		116,948		11,405,938
				13,950,110
Transport-Services — 0.8%
C.H. Robinson Worldwide, Inc.		2,800		197,288
Expeditors International of Washington, Inc.		2,528		130,243
FedEx Corp.		37,018		6,466,304
Ryder System, Inc.		2,018		133,087
United Parcel Service, Inc., Class B		11,999		1,312,211
				8,239,133
Transport-Truck — 0.0%
JB Hunt Transport Services, Inc.		1,360		110,350

179

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
Vitamins & Nutrition Products — 0.0%
Mead Johnson Nutrition Co.		3,484	$	275,271
Water — 0.0%
American Water Works Co., Inc.		3,021		226,092
Web Portals/ISP — 0.1%
Yahoo!, Inc.†		33,042		1,424,110
Wireless Equipment — 0.4%
Motorola Solutions, Inc.		2,517		191,997
Nokia OYJ ADR		733,831		4,248,881
				4,440,878
Total Common Stocks (cost $936,685,857)				1,012,053,241
EXCHANGE-TRADED FUNDS — 0.6%
iShares Russell 1000 Value ETF		13,450		1,420,589
iShares S&P 500 Value ETF		52,043		4,942,003
Total Exchange-Traded Funds (cost $6,415,608)				6,362,592
Total Long-Term Investment Securities (cost $943,101,465)				1,018,415,833
SHORT-TERM INVESTMENT SECURITIES — 0.3%
Time Deposits — 0.3%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/03/2016 (cost $2,892,000)	$	2,892,000		2,892,000

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 0.8%
Bank of America Securities LLC Joint Repurchase Agreement(3)	$	1,845,000		$	1,845,000
Barclays Capital, Inc. Joint Repurchase Agreement(3)		920,000			920,000
BNP Paribas SA Joint Repurchase Agreement(3)		1,845,000			1,845,000
Deutsche Bank AG Joint Repurchase Agreement(3)		3,490,000			3,490,000
RBS Securities, Inc. Joint Repurchase Agreement(3)		460,000			460,000
State Street Bank and Trust Co. Joint Repurchase Agreement(3)		285,000			285,000
Total Repurchase Agreements (cost $8,845,000)					8,845,000
TOTAL INVESTMENTS (cost $954,838,465)(4)		99.7	%		1,030,152,833
Other assets less liabilities		0.3			2,737,356
NET ASSETS		100.0	%	$	1,032,890,189

†  Non-income producing security

(1)  Security represents an investment in an affiliated company (see Note 8).

(2)  Security was valued using fair value procedures at September 30, 2016. The aggregate value of these securities was $5,127,986 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.

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

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

ADR — American Depositary Receipt

ETF — Exchange-Traded Fund

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Value Index	December 2016	$	915,720	$	935,700	$	19,980

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Credit Suisse AG	GBP	2,190,993	USD	2,852,303	12/30/2016	$	7,077	$	—
	USD	63,883	GBP	48,979	12/30/2016		—		(279	)
							7,077		(279	)
Morgan Stanley Capital Services, Inc.	CAD	7,394,765	USD	5,585,466	12/30/2016		—		(54,615	)
UBS AG	EUR	6,846,278	USD	7,697,458	12/30/2016		—		(24,794	)
Net Unrealized Appreciation (Depreciation)						$	7,077	$	(79,688	)

CAD — Canadian Dollar

EUR — Euro Currency

GBP — Pound Sterling

USD — United States Dollar

180

Seasons Series Trust Large Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	1,006,925,255	$	5,127,986	**	$	—	$	1,012,053,241
Exchange-Traded Funds		6,362,592		—			—		6,362,592
Short-Term Investment Securities		—		2,892,000			—		2,892,000
Repurchase Agreements		—		8,845,000			—		8,845,000
Total Investments at Value	$	1,013,287,847	$	16,864,986		$	—	$	1,030,152,833
Other Financial Instruments:†
Futures Contracts	$	19,980	$	—		$	—	$	19,980
Forward Foreign Currency Contracts		—		7,077			—		7,077
Total Other Financial Instruments	$	19,980	$	7,077		$	—	$	27,057
LIABILITIES:
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	79,688		$	—	$	79,688

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

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

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

See Notes to Financial Statements

181

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Commercial Services-Finance	4.5	%
Enterprise Software/Service	4.0
E-Commerce/Services	3.9
Real Estate Investment Trusts	3.2
Medical-Biomedical/Gene	2.9
Oil Companies-Exploration & Production	2.9
Applications Software	2.7
Retail-Restaurants	2.5
Medical-Drugs	2.5
Medical Products	2.2
Retail-Apparel/Shoe	2.1
Medical Instruments	2.0
Retail-Auto Parts	1.9
Commercial Services	1.8
Electronic Components-Semiconductors	1.7
Machinery-General Industrial	1.6
Food-Misc./Diversified	1.5
Apparel Manufacturers	1.5
Auto/Truck Parts & Equipment-Original	1.5
Data Processing/Management	1.4
Distribution/Wholesale	1.3
Computer Software	1.1
E-Commerce/Products	1.1
Dental Supplies & Equipment	1.1
Medical Information Systems	1.1
X-Ray Equipment	1.0
Beverages-Non-alcoholic	1.0
Networking Products	0.9
Internet Content-Entertainment	0.9
Drug Delivery Systems	0.9
Retail-Discount	0.9
Hotels/Motels	0.8
Chemicals-Specialty	0.8
Transport-Truck	0.8
Consulting Services	0.8
Airlines	0.7
Entertainment Software	0.7
Retail-Sporting Goods	0.7
Aerospace/Defense	0.7
Consumer Products-Misc.	0.7
Building Products-Cement	0.7
Rental Auto/Equipment	0.6
Coatings/Paint	0.6
Containers-Metal/Glass	0.6
Advertising Agencies	0.6
Banks-Commercial	0.6
Patient Monitoring Equipment	0.6
Investment Management/Advisor Services	0.5
Building & Construction Products-Misc.	0.5
Retail-Automobile	0.5
Electronic Connectors	0.5
Finance-Investment Banker/Broker	0.5
Web Hosting/Design	0.5
Brewery	0.5
Finance-Other Services	0.5
Building-Residential/Commercial	0.5
Electronic Measurement Instruments	0.5
Exchange-Traded Funds	0.5
Computer Services	0.5
Instruments-Controls	0.4

Repurchase Agreements	0.4	%
Machinery-Pumps	0.4
Containers-Paper/Plastic	0.4
Medical-HMO	0.4
Home Decoration Products	0.4
Real Estate Management/Services	0.4
Beverages-Wine/Spirits	0.4
Building-Heavy Construction	0.4
Industrial Automated/Robotic	0.4
Internet Application Software	0.4
Diversified Manufacturing Operations	0.4
Food-Confectionery	0.4
Insurance Brokers	0.4
Medical-Wholesale Drug Distribution	0.4
Semiconductor Components-Integrated Circuits	0.4
Auction Houses/Art Dealers	0.4
Computers-Memory Devices	0.4
Electronic Security Devices	0.3
Transport-Services	0.3
Retail-Perfume & Cosmetics	0.3
Toys	0.3
Retail-Jewelry	0.3
Soap & Cleaning Preparation	0.3
Finance-Credit Card	0.3
Diagnostic Kits	0.3
Internet Security	0.3
Computer Aided Design	0.3
Aerospace/Defense-Equipment	0.3
Internet Content-Information/News	0.3
Casino Hotels	0.3
Retail-Gardening Products	0.3
Vitamins & Nutrition Products	0.3
Banks-Fiduciary	0.3
Multimedia	0.3
Semiconductor Equipment	0.3
Medical-Hospitals	0.3
Human Resources	0.2
Finance-Mortgage Loan/Banker	0.2
Textile-Home Furnishings	0.2
Physicians Practice Management	0.2
Food-Meat Products	0.2
Tools-Hand Held	0.2
Power Converter/Supply Equipment	0.2
Broadcast Services/Program	0.2
Funeral Services & Related Items	0.2
Disposable Medical Products	0.2
Filtration/Separation Products	0.2
Gas-Distribution	0.2
Home Furnishings	0.2
Decision Support Software	0.2
Chemicals-Diversified	0.2
Internet Infrastructure Software	0.2
Garden Products	0.2
Transport-Rail	0.2
Insurance-Property/Casualty	0.2
Building-Maintenance & Services	0.2
Therapeutics	0.2
Pipelines	0.2
Cruise Lines	0.2
Motorcycle/Motor Scooter	0.2

182

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Instruments-Scientific	0.2	%
Food-Retail	0.2
Recreational Vehicles	0.2
Retail-Mail Order	0.1
Audio/Video Products	0.1
Retail-Arts & Crafts	0.1
Transactional Software	0.1
Retail-Misc./Diversified	0.1
Auto-Cars/Light Trucks	0.1
Dialysis Centers	0.1
Lighting Products & Systems	0.1
Computer Data Security	0.1
Retail-Catalog Shopping	0.1
Steel Pipe & Tube	0.1
Hazardous Waste Disposal	0.1
Non-Hazardous Waste Disposal	0.1
Industrial Gases	0.1
Resorts/Theme Parks	0.1
Food-Dairy Products	0.1
Electric Products-Misc.	0.1
Respiratory Products	0.1
Appliances	0.1
Electronic Design Automation	0.1
Food-Baking	0.1
Retail-Drug Store	0.1
Auto-Heavy Duty Trucks	0.1
E-Services/Consulting	0.1
Radio	0.1
Building Products-Wood	0.1
Wireless Equipment	0.1
Oil Refining & Marketing	0.1
Footwear & Related Apparel	0.1
Silver Mining	0.1
Office Supplies & Forms	0.1
Retail-Major Department Stores	0.1
Medical Labs & Testing Services	0.1
Casino Services	0.1
Shipbuilding	0.1
Building Products-Air & Heating	0.1
Computers-Integrated Systems	0.1
Satellite Telecom	0.1
Veterinary Diagnostics	0.1
Web Portals/ISP	0.1
Electronic Forms	0.1
Telecommunication Equipment	0.1
Agricultural Chemicals	0.1
Telephone-Integrated	0.1
Transport-Marine	0.1
Retail-Convenience Store	0.1
Theaters	0.1
Cellular Telecom	0.1
Banks-Super Regional	0.1
	99.8	%

*  Calculated as a percentage of net assets

183

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.2%
Advanced Materials — 0.0%
Hexcel Corp.		2,190	$	97,017
Advertising Agencies — 0.6%
Interpublic Group of Cos., Inc.		20,391		455,739
Omnicom Group, Inc.		8,227		699,295
				1,155,034
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A		429		2,505
Aerospace/Defense — 0.7%
Rockwell Collins, Inc.		7,478		630,695
Spirit AeroSystems Holdings, Inc., Class A†		1,615		71,932
TransDigm Group, Inc.†		2,434		703,718
				1,406,345
Aerospace/Defense-Equipment — 0.3%
B/E Aerospace, Inc.		2,412		124,604
Harris Corp.		4,092		374,868
HEICO Corp.		459		31,763
HEICO Corp., Class A		902		54,580
				585,815
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		4,800		116,880
Airlines — 0.7%
Alaska Air Group, Inc.		6,229		410,242
Allegiant Travel Co.		600		79,242
Copa Holdings SA, Class A		2,100		184,653
JetBlue Airways Corp.†		571		9,844
Southwest Airlines Co.		9,200		357,788
Spirit Airlines, Inc.†		2,500		106,325
United Continental Holdings, Inc.†		5,900		309,573
				1,457,667
Apparel Manufacturers — 1.5%
Carter's, Inc.		3,582		310,595
Hanesbrands, Inc.		33,213		838,628
Michael Kors Holdings, Ltd.†		3,774		176,586
Ralph Lauren Corp.		92		9,305
Under Armour, Inc., Class A†		4,327		167,368
Under Armour, Inc., Class C†		42,887		1,452,154
				2,954,636
Appliances — 0.1%
Whirlpool Corp.		1,272		206,268
Applications Software — 2.5%
Check Point Software Technologies, Ltd.†		1,700		131,937
Citrix Systems, Inc.†		3,624		308,837
Dropbox, Inc., Class A†(2)(3)(4)		3,515		30,569
Dropbox, Inc., Class B†(2)(3)(4)		844		7,340
Intuit, Inc.		3,900		429,039
NetSuite, Inc.†		5,140		568,947
Nuance Communications, Inc.†		3,995		57,927
PTC, Inc.†		1,196		52,995
Red Hat, Inc.†		9,988		807,330

Security Description	Shares		Value (Note 2)
Applications Software (continued)
ServiceNow, Inc.†		28,562	$	2,260,682
Tableau Software, Inc., Class A†		5,649		312,220
				4,967,823
Athletic Equipment — 0.0%
Vista Outdoor, Inc.†		251		10,005
Auction Houses/Art Dealers — 0.4%
KAR Auction Services, Inc.		9,654		416,667
Ritchie Bros. Auctioneers, Inc.		4,200		147,294
Sotheby's		3,800		144,476
				708,437
Audio/Video Products — 0.1%
Harman International Industries, Inc.		3,470		293,042
Auto-Cars/Light Trucks — 0.1%
Ferrari NV		2,940		152,498
Tesla Motors, Inc.†		600		122,418
				274,916
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		3,013		177,104
Auto/Truck Parts & Equipment-Original — 1.5%
BorgWarner, Inc.		6,321		222,373
Delphi Automotive PLC		9,003		642,094
Lear Corp.		1,445		175,163
Mobileye NV†		35,967		1,531,115
Visteon Corp.		807		57,829
WABCO Holdings, Inc.†		2,449		278,035
				2,906,609
Banks-Commercial — 0.6%
BankUnited, Inc.		4,600		138,920
First Republic Bank		4,668		359,950
Signature Bank†		736		87,179
SVB Financial Group†		3,104		343,116
Webster Financial Corp.		4,200		159,642
Western Alliance Bancorp†		1,246		46,775
				1,135,582
Banks-Fiduciary — 0.3%
Citizens Financial Group, Inc.		5,048		124,736
Northern Trust Corp.		3,300		224,367
State Street Corp.		3,000		208,890
				557,993
Banks-Super Regional — 0.1%
Fifth Third Bancorp		5,200		106,392
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		453		22,632
Beverages-Non-alcoholic — 1.0%
Dr Pepper Snapple Group, Inc.		6,883		628,487
Monster Beverage Corp.†		9,546		1,401,448
				2,029,935
Beverages-Wine/Spirits — 0.4%
Brown-Forman Corp., Class A		1,208		60,098
Brown-Forman Corp., Class B		11,036		523,548
Constellation Brands, Inc., Class A		1,600		266,384
				850,030

184

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Brewery — 0.5%
Molson Coors Brewing Co., Class B		8,843	$	970,961
Broadcast Services/Program — 0.2%
Discovery Communications, Inc., Class A†		3,289		88,540
Discovery Communications, Inc., Class C†		5,173		136,102
Scripps Networks Interactive, Inc., Class A		1,946		123,551
Starz, Class A†		1,991		62,099
				410,292
Building & Construction Products-Misc. — 0.5%
Fortune Brands Home & Security, Inc.		18,296		1,062,998
Building Products-Air & Heating — 0.1%
Lennox International, Inc.		869		136,459
Building Products-Cement — 0.7%
Eagle Materials, Inc.		2,404		185,829
Martin Marietta Materials, Inc.		1,359		243,410
Vulcan Materials Co.		7,757		882,204
				1,311,443
Building Products-Light Fixtures — 0.0%
Cree, Inc.†		856		22,016
Building Products-Wood — 0.1%
Masco Corp.		5,092		174,707
Building-Heavy Construction — 0.4%
SBA Communications Corp., Class A†		7,575		849,612
Building-Maintenance & Services — 0.2%
Rollins, Inc.		11,665		341,551
Building-Mobile Home/Manufactured Housing — 0.0%
Thor Industries, Inc.		1,136		96,219
Building-Residential/Commercial — 0.5%
CalAtlantic Group, Inc.		216		7,223
D.R. Horton, Inc.		4,378		132,216
Lennar Corp., Class A		2,230		94,418
Lennar Corp., Class B		120		4,028
NVR, Inc.†		222		364,051
PulteGroup, Inc.		8,118		162,685
Toll Brothers, Inc.†		6,116		182,624
				947,245
Cable/Satellite TV — 0.0%
Cable One, Inc.		111		64,824
Casino Hotels — 0.3%
MGM Resorts International†		11,209		291,770
Wynn Resorts, Ltd.		2,925		284,954
				576,724
Casino Services — 0.1%
Gaming and Leisure Properties, Inc.		4,289		143,467
Cellular Telecom — 0.1%
T-Mobile US, Inc.†		2,300		107,456
Chemicals-Diversified — 0.2%
Celanese Corp., Series A		3,517		234,091
FMC Corp.		2,546		123,074
				357,165

Security Description	Shares		Value (Note 2)
Chemicals-Plastics — 0.0%
PolyOne Corp.		2,200	$	74,382
Chemicals-Specialty — 0.8%
Ashland Global Holdings, Inc.		2,300		266,685
International Flavors & Fragrances, Inc.		1,885		269,498
NewMarket Corp.		462		198,346
Platform Specialty Products Corp.†		77,651		629,750
Valvoline, Inc.†		5,700		133,893
W.R. Grace & Co.		922		68,044
				1,566,216
Coatings/Paint — 0.6%
Axalta Coating Systems, Ltd.†		3,890		109,970
RPM International, Inc.		9,780		525,382
Sherwin-Williams Co.		1,500		414,990
Valspar Corp.		1,853		196,548
				1,246,890
Commercial Services — 1.8%
Aramark		2,467		93,820
Cintas Corp.		2,099		236,348
CoreLogic, Inc.†		7,529		295,287
CoStar Group, Inc.†		9,768		2,115,065
Live Nation Entertainment, Inc.†		1,769		48,612
Nielsen Holdings PLC		11,667		625,001
Quanta Services, Inc.†		925		25,891
ServiceMaster Global Holdings, Inc.†		3,203		107,877
				3,547,901
Commercial Services-Finance — 4.5%
Equifax, Inc.		5,901		794,157
Euronet Worldwide, Inc.†		1,178		96,396
FleetCor Technologies, Inc.†		2,136		371,087
Global Payments, Inc.		7,527		577,772
IHS Markit, Ltd.†		40,505		1,520,963
MarketAxess Holdings, Inc.		865		143,235
Moody's Corp.		6,831		739,661
Morningstar, Inc.		422		33,452
PayPal Holdings, Inc.†		12,852		526,546
S&P Global, Inc.		12,442		1,574,659
Sabre Corp.		16,414		462,547
Square, Inc., Class A†		1,222		14,249
Total System Services, Inc.		3,927		185,158
TransUnion†		27,840		960,480
Vantiv, Inc., Class A†		10,662		599,951
Western Union Co.		11,638		242,303
WEX, Inc.†		2,311		249,796
				9,092,412
Computer Aided Design — 0.3%
ANSYS, Inc.†		1,638		151,695
Autodesk, Inc.†		6,023		435,644
				587,339
Computer Data Security — 0.1%
Fortinet, Inc.†		7,223		266,745
Computer Services — 0.5%
CSRA, Inc.		9,264		249,201
DST Systems, Inc.		776		91,506
EPAM Systems, Inc.†		1,800		124,758

185

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computer Services (continued)
Genpact, Ltd.†		8,554	$	204,868
Leidos Holdings, Inc.		1,445		62,540
Manhattan Associates, Inc.†		1,693		97,551
Teradata Corp.†		3,062		94,922
				925,346
Computer Software — 1.0%
Akamai Technologies, Inc.†		6,578		348,568
CommerceHub, Inc., Series A†		58		916
CommerceHub, Inc., Series C†		116		1,846
Rackspace Hosting, Inc.†		2,536		80,366
SS&C Technologies Holdings, Inc.		51,898		1,668,521
				2,100,217
Computers-Integrated Systems — 0.1%
NCR Corp.†		2,918		93,930
VeriFone Systems, Inc.†		2,585		40,688
				134,618
Computers-Memory Devices — 0.4%
Pure Storage, Inc., Class A†		52,272		708,286
Consulting Services — 0.8%
Booz Allen Hamilton Holding Corp.		7,525		237,865
Gartner, Inc.†		5,589		494,347
Verisk Analytics, Inc.†		9,625		782,320
				1,514,532
Consumer Products-Misc. — 0.7%
Clorox Co.		3,610		451,900
Samsonite International SA(1)		249,090		795,906
Spectrum Brands Holdings, Inc.		580		79,860
				1,327,666
Containers-Metal/Glass — 0.6%
Ball Corp.		10,539		863,671
Crown Holdings, Inc.†		3,180		181,546
Owens-Illinois, Inc.†		3,809		70,048
Silgan Holdings, Inc.		963		48,718
				1,163,983
Containers-Paper/Plastic — 0.4%
Bemis Co., Inc.		323		16,476
Berry Plastics Group, Inc.†		2,856		125,236
Graphic Packaging Holding Co.		5,298		74,119
Packaging Corp. of America		2,208		179,422
Sealed Air Corp.		10,264		470,296
				865,549
Cosmetics & Toiletries — 0.0%
Coty, Inc., Class A		595		13,983
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		4,449		167,727
Royal Caribbean Cruises, Ltd.		2,200		164,890
				332,617
Data Processing/Management — 1.4%
Broadridge Financial Solutions, Inc.		2,783		188,660
Dun & Bradstreet Corp.		347		47,407

Security Description	Shares		Value (Note 2)
Data Processing/Management (continued)
Fidelity National Information Services, Inc.		9,771	$	752,660
First Data Corp., Class A†		7,394		97,305
Fiserv, Inc.†		10,651		1,059,455
Jack Henry & Associates, Inc.		1,860		159,123
Paychex, Inc.		10,179		589,059
				2,893,669
Decision Support Software — 0.2%
MSCI, Inc.		4,269		358,340
Dental Supplies & Equipment — 1.1%
Align Technology, Inc.†		18,554		1,739,438
DENTSPLY SIRONA, Inc.		6,072		360,859
Patterson Cos., Inc.		1,981		91,007
				2,191,304
Diagnostic Equipment — 0.0%
VWR Corp.†		106		3,006
Diagnostic Kits — 0.3%
Alere, Inc.†		377		16,301
IDEXX Laboratories, Inc.†		5,198		585,971
				602,272
Dialysis Centers — 0.1%
DaVita, Inc.†		4,157		274,653
Disposable Medical Products — 0.2%
C.R. Bard, Inc.		1,737		389,574
Distribution/Wholesale — 1.3%
Fastenal Co.		37,009		1,546,236
HD Supply Holdings, Inc.†		4,753		152,001
LKQ Corp.†		7,216		255,879
Pool Corp.		953		90,077
Watsco, Inc.		613		86,372
WW Grainger, Inc.		1,908		428,995
				2,559,560
Diversified Manufacturing Operations — 0.4%
A.O. Smith Corp.		1,722		170,117
Carlisle Cos., Inc.		441		45,233
Colfax Corp.†		3,300		103,719
Ingersoll-Rand PLC		3,056		207,625
Textron, Inc.		6,983		277,574
				804,268
Drug Delivery Systems — 0.9%
Catalent, Inc.†		4,800		124,032
DexCom, Inc.†		18,772		1,645,554
				1,769,586
E-Commerce/Products — 1.0%
The Honest Company, Inc†(2)(3)(4).		1,850		69,208
Vipshop Holdings, Ltd. ADR†		6,500		95,355
Wayfair, Inc., Class A†		45,994		1,810,784
				1,975,347
E-Commerce/Services — 3.0%
Ctrip.com International, Ltd. ADR†		4,200		195,594
Expedia, Inc.		22,378		2,611,960
Groupon, Inc.†		8,653		44,563

186

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services (continued)
IAC/InterActiveCorp		1,303	$	81,399
Liberty Ventures, Series A†		584		23,284
Match Group, Inc.†		6,884		122,466
MercadoLibre, Inc.		800		147,976
Trade Desk, Inc., Class A†		500		14,605
TripAdvisor, Inc.†		22,377		1,413,779
Zillow Group, Inc., Class A†		3,036		104,590
Zillow Group, Inc., Class C†		36,382		1,260,636
				6,020,852
E-Services/Consulting — 0.1%
CDW Corp.		3,844		175,786
Electric Products-Misc. — 0.1%
AMETEK, Inc.		4,502		215,106
Electric-Transmission — 0.0%
ITC Holdings Corp.		1,758		81,712
Electronic Components-Misc. — 0.0%
Gentex Corp.		4,317		75,807
Electronic Components-Semiconductors — 1.7%
IPG Photonics Corp.†		2,701		222,427
Microchip Technology, Inc.		9,322		579,269
Micron Technology, Inc.†		41,408		736,234
Microsemi Corp.†		4,800		201,504
NVIDIA Corp.		11,960		819,499
ON Semiconductor Corp.†		973		11,987
Qorvo, Inc.†		317		17,670
Skyworks Solutions, Inc.		7,675		584,375
Xilinx, Inc.		6,004		326,258
				3,499,223
Electronic Connectors — 0.5%
Amphenol Corp., Class A		15,696		1,018,984
Electronic Design Automation — 0.1%
Cadence Design Systems, Inc.†		7,069		180,471
Synopsys, Inc.†		339		20,120
				200,591
Electronic Measurement Instruments — 0.5%
Agilent Technologies, Inc.		7,014		330,289
Fitbit, Inc., Class A†		2,430		36,061
Fortive Corp.		2,900		147,610
Keysight Technologies, Inc.†		3,000		95,070
National Instruments Corp.		1,925		54,670
Trimble Navigation, Ltd.†		9,905		282,887
				946,587
Electronic Security Devices — 0.3%
Allegion PLC		7,168		493,947
Johnson Controls International PLC		4,341		201,987
				695,934
Enterprise Software/Service — 4.0%
Atlassian Corp. PLC, Class A†		33,283		997,491
CDK Global, Inc.		3,632		208,331
Guidewire Software, Inc.†		23,593		1,415,108
Inovalon Holdings, Inc., Class A†		1,393		20,491
Proofpoint, Inc.†		1,400		104,790

Security Description	Shares		Value (Note 2)
Enterprise Software/Service (continued)
Tyler Technologies, Inc.†		781	$	133,731
Ultimate Software Group, Inc.†		6,904		1,411,109
Veeva Systems, Inc., Class A†		23,250		959,760
Workday, Inc., Class A†		29,862		2,738,047
				7,988,858
Entertainment Software — 0.6%
Activision Blizzard, Inc.		3,100		137,330
Electronic Arts, Inc.†		13,030		1,112,762
				1,250,092
Filtration/Separation Products — 0.2%
CLARCOR, Inc.		1,400		91,000
Donaldson Co., Inc.		7,967		297,408
				388,408
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		194		39,008
Finance-Credit Card — 0.3%
Alliance Data Systems Corp.†		2,808		602,400
Finance-Investment Banker/Broker — 0.5%
E*TRADE Financial Corp.†		8,800		256,256
Interactive Brokers Group, Inc., Class A		170		5,996
Lazard, Ltd., Class A		6,812		247,684
LPL Financial Holdings, Inc.		292		8,734
TD Ameritrade Holding Corp.		13,138		462,983
				981,653
Finance-Leasing Companies — 0.0%
Air Lease Corp.		1,128		32,238
Finance-Mortgage Loan/Banker — 0.2%
Ellie Mae, Inc.†		1,000		105,300
FNF Group		10,000		369,100
				474,400
Finance-Other Services — 0.5%
CBOE Holdings, Inc.		7,013		454,793
Intercontinental Exchange, Inc.		1,401		377,373
SEI Investments Co.		3,017		137,606
				969,772
Food-Baking — 0.1%
Flowers Foods, Inc.		12,493		188,894
Food-Canned — 0.0%
TreeHouse Foods, Inc.†		407		35,486
Food-Catering — 0.0%
US Foods Holding Corp.†		1,055		24,909
Food-Confectionery — 0.4%
Hershey Co.		6,916		661,170
J.M. Smucker Co.		1,000		135,540
				796,710
Food-Dairy Products — 0.1%
WhiteWave Foods Co.†		4,108		223,598
Food-Flour & Grain — 0.0%
Post Holdings, Inc.†		876		67,601

187

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Meat Products — 0.2%
Hormel Foods Corp.		5,595	$	212,218
Tyson Foods, Inc., Class A		3,226		240,886
				453,104
Food-Misc./Diversified — 1.5%
Blue Buffalo Pet Products, Inc.†		7,909		187,918
Campbell Soup Co.		4,408		241,118
ConAgra Foods, Inc.		8,170		384,889
Hain Celestial Group, Inc.†		5,394		191,918
Ingredion, Inc.		1,198		159,406
Kellogg Co.		5,424		420,197
McCormick & Co., Inc.		5,738		573,341
Nomad Foods, Ltd.†		59,481		703,065
Pinnacle Foods, Inc.		2,700		135,459
Snyder's-Lance, Inc.		721		24,211
				3,021,522
Food-Retail — 0.2%
Sprouts Farmers Market, Inc.†		8,498		175,484
Whole Foods Market, Inc.		4,866		137,951
				313,435
Footwear & Related Apparel — 0.1%
Skechers U.S.A., Inc., Class A†		3,079		70,509
Wolverine World Wide, Inc.		4,100		94,423
				164,932
Funeral Services & Related Items — 0.2%
Service Corp. International		15,233		404,284
Garden Products — 0.2%
Scotts Miracle-Gro Co., Class A		983		81,855
Toro Co.		5,724		268,112
				349,967
Gas-Distribution — 0.2%
Atmos Energy Corp.		2,700		201,069
NiSource, Inc.		6,600		159,126
Piedmont Natural Gas Co., Inc.		144		8,646
				368,841
Gold Mining — 0.0%
Royal Gold, Inc.		99		7,666
Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc.†		97		4,654
Stericycle, Inc.†		2,941		235,692
				240,346
Home Decoration Products — 0.4%
Newell Brands, Inc.		16,312		858,990
Home Furnishings — 0.2%
Leggett & Platt, Inc.		3,132		142,757
Tempur Sealy International, Inc.†		3,957		224,520
				367,277
Hotels/Motels — 0.8%
Choice Hotels International, Inc.		4,134		186,361
Extended Stay America, Inc.		9,539		135,454
Hilton Worldwide Holdings, Inc.		18,504		424,296
Hyatt Hotels Corp., Class A†		31		1,526

Security Description	Shares		Value (Note 2)
Hotels/Motels (continued)
Marriott International, Inc., Class A		10,215	$	687,749
Wyndham Worldwide Corp.		2,603		175,260
				1,610,646
Housewares — 0.0%
Tupperware Brands Corp.		1,186		77,529
Human Resources — 0.2%
ManpowerGroup, Inc.		2,500		180,650
Robert Half International, Inc.		6,311		238,934
Team Health Holdings, Inc.†		2,300		74,888
				494,472
Industrial Automated/Robotic — 0.4%
Cognex Corp.		4,619		244,160
Nordson Corp.		3,147		313,536
Rockwell Automation, Inc.		2,386		291,903
				849,599
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		1,500		225,510
Instruments-Controls — 0.4%
Mettler-Toledo International, Inc.†		1,425		598,258
Sensata Technologies Holding NV†		7,800		302,484
				900,742
Instruments-Scientific — 0.2%
PerkinElmer, Inc.		538		30,187
Waters Corp.†		1,815		287,660
				317,847
Insurance Brokers — 0.4%
Aon PLC		3,600		404,964
Arthur J. Gallagher & Co.		2,846		144,776
Brown & Brown, Inc.		164		6,184
Willis Towers Watson PLC		1,800		238,986
				794,910
Insurance-Life/Health — 0.0%
Lincoln National Corp.		1,282		60,228
Insurance-Property/Casualty — 0.2%
AmTrust Financial Services, Inc.		147		3,944
Erie Indemnity Co., Class A		422		43,074
Progressive Corp.		7,120		224,280
XL Group, Ltd.		2,175		73,145
				344,443
Internet Application Software — 0.4%
Splunk, Inc.†		5,296		310,769
Zendesk, Inc.†		17,526		538,224
				848,993
Internet Content-Entertainment — 0.9%
Netflix, Inc.†		14,926		1,470,957
Pandora Media, Inc.†		4,471		64,070
Twitter, Inc.†		13,236		305,090
				1,840,117

188

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Content-Information/News — 0.3%
LinkedIn Corp., Class A†		2,767	$	528,829
Yelp, Inc.†		1,242		51,791
				580,620
Internet Infrastructure Software — 0.2%
F5 Networks, Inc.†		2,848		354,975
Internet Security — 0.3%
FireEye, Inc.†		833		12,270
Symantec Corp.		2,060		51,706
VeriSign, Inc.†		6,743		527,572
				591,548
Investment Management/Advisor Services — 0.5%
Affiliated Managers Group, Inc.†		1,108		160,328
Ameriprise Financial, Inc.		1,128		112,541
Artisan Partners Asset Management, Inc., Class A		879		23,909
Eaton Vance Corp.		2,592		101,218
Federated Investors, Inc., Class B		2,207		65,393
Financial Engines, Inc.		2,400		71,304
Invesco, Ltd.		4,401		137,619
NorthStar Asset Management Group, Inc.		4,358		56,349
T. Rowe Price Group, Inc.		4,387		291,735
WisdomTree Investments, Inc.		4,500		46,305
				1,066,701
Lighting Products & Systems — 0.1%
Acuity Brands, Inc.		1,028		272,009
Machine Tools & Related Products — 0.0%
Lincoln Electric Holdings, Inc.		910		56,984
Machinery-General Industrial — 1.6%
BWX Technologies, Inc.		2,203		84,529
IDEX Corp.		3,821		357,531
Manitowoc Foodservice, Inc.†		1,310		21,248
Middleby Corp.†		13,565		1,676,905
Roper Technologies, Inc.		2,906		530,258
Wabtec Corp.		4,934		402,861
Zebra Technologies Corp., Class A†		1,000		69,610
				3,142,942
Machinery-Pumps — 0.4%
Flowserve Corp.		5,367		258,904
Graco, Inc.		4,905		362,970
Xylem, Inc.		4,703		246,672
				868,546
Medical Information Systems — 1.1%
athenahealth, Inc.†		10,103		1,274,191
Cerner Corp.†		10,500		648,375
IMS Health Holdings, Inc.†		3,574		112,009
Medidata Solutions, Inc.†		1,700		94,792
				2,129,367
Medical Instruments — 2.0%
Bio-Techne Corp.		868		95,046
Bruker Corp.		7,171		162,423
Edwards Lifesciences Corp.†		17,096		2,061,094

Security Description	Shares		Value (Note 2)
Medical Instruments (continued)
Intuitive Surgical, Inc.†		1,782	$	1,291,647
St. Jude Medical, Inc.		4,492		358,282
				3,968,492
Medical Labs & Testing Services — 0.1%
Laboratory Corp. of America Holdings†		1,084		149,028
Medical Products — 2.2%
ABIOMED, Inc.†		7,924		1,018,868
Becton Dickinson and Co.		6,383		1,147,217
Cooper Cos., Inc.		2,672		478,983
Henry Schein, Inc.†		3,736		608,893
Hill-Rom Holdings, Inc.		1,447		89,685
Teleflex, Inc.		1,389		233,421
Varian Medical Systems, Inc.†		2,253		224,241
West Pharmaceutical Services, Inc.		3,496		260,452
Zimmer Biomet Holdings, Inc.		2,318		301,386
				4,363,146
Medical-Biomedical/Gene — 2.9%
Alnylam Pharmaceuticals, Inc.†		6,411		434,538
BioMarin Pharmaceutical, Inc.†		7,814		722,951
Bluebird Bio, Inc.†		900		61,002
Charles River Laboratories International, Inc.†		1,103		91,924
Illumina, Inc.†		5,134		932,642
Incyte Corp.†		18,257		1,721,453
Intercept Pharmaceuticals, Inc.†		787		129,532
Intrexon Corp.†		1,307		36,622
Ionis Pharmaceuticals, Inc.†		12,753		467,270
Juno Therapeutics, Inc.†		1,338		40,153
Regeneron Pharmaceuticals, Inc.†		1,430		574,889
Seattle Genetics, Inc.†		4,772		257,736
Ultragenyx Pharmaceutical, Inc.†		1,000		70,940
United Therapeutics Corp.†		1,271		150,080
Vertex Pharmaceuticals, Inc.†		1,958		170,757
				5,862,489
Medical-Drugs — 2.5%
ACADIA Pharmaceuticals, Inc.†		7,051		224,292
Akorn, Inc.†		4,982		135,809
Alkermes PLC†		5,904		277,665
Allergan PLC†		3,411		785,587
Eisai Co., Ltd(1).		11,200		700,009
Endo International PLC†		3,300		66,495
Horizon Pharma PLC†		3,200		58,016
Ironwood Pharmaceuticals, Inc.†		5,000		79,400
Jazz Pharmaceuticals PLC†		1,000		121,480
Mallinckrodt PLC†		1,400		97,692
Ono Pharmaceutical Co., Ltd(1).		26,600		738,538
OPKO Health, Inc.†		6,955		73,654
Pacira Pharmaceuticals, Inc.†		1,400		47,908
Patheon NV†		637		18,874
Quintiles Transnational Holdings, Inc.†		3,876		314,189
TESARO, Inc.†		1,848		185,244
Zoetis, Inc.		21,492		1,117,799
				5,042,651

189

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PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-HMO — 0.4%
Centene Corp.†		6,646	$	445,016
Humana, Inc.		800		141,512
WellCare Health Plans, Inc.†		2,363		276,684
				863,212
Medical-Hospitals — 0.3%
Acadia Healthcare Co., Inc.†		4,838		239,723
Tenet Healthcare Corp.†		1,894		42,918
Universal Health Services, Inc., Class B		1,999		246,317
				528,958
Medical-Outpatient/Home Medical — 0.0%
Amsurg Corp.†		714		47,874
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		9,368		756,747
Premier, Inc., Class A†		329		10,640
				767,387
Metal-Copper — 0.0%
Freeport-McMoRan, Inc.		6,823		74,098
Southern Copper Corp.		876		23,039
				97,137
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		371		28,719
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp.		1,427		28,526
Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.		6,281		330,318
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		373		24,163
Multimedia — 0.3%
FactSet Research Systems, Inc.		1,595		258,549
Viacom, Inc., Class A		208		8,907
Viacom, Inc., Class B		7,092		270,205
				537,661
Networking Products — 0.9%
Arista Networks, Inc.†		14,359		1,221,664
Palo Alto Networks, Inc.†		4,026		641,462
				1,863,126
Non-Hazardous Waste Disposal — 0.1%
Covanta Holding Corp.		2,753		42,369
Waste Connections, Inc.		2,500		186,750
				229,119
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc.		4,459		80,975
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		1,986		154,491
Oil Companies-Exploration & Production — 2.9%
Anadarko Petroleum Corp.		12,004		760,573
Cabot Oil & Gas Corp.		12,786		329,879
Chesapeake Energy Corp.†		1,207		7,568
Cimarex Energy Co.		1,349		181,265
Concho Resources, Inc.†		5,030		690,871

Security Description	Shares		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Continental Resources, Inc.†		911	$	47,336
Devon Energy Corp.		1,100		48,521
Diamondback Energy, Inc.†		7,087		684,179
Energen Corp.		7,056		407,272
EQT Corp.		2,200		159,764
Newfield Exploration Co.†		17,907		778,238
Parsley Energy, Inc., Class A†		310		10,388
Pioneer Natural Resources Co.		5,211		967,422
QEP Resources, Inc.		20,504		400,443
Range Resources Corp.		2,479		96,071
Southwestern Energy Co.†		11,514		159,354
				5,729,144
Oil Refining & Marketing — 0.1%
Murphy USA, Inc.†		532		37,964
Tesoro Corp.		1,600		127,296
				165,260
Oil-Field Services — 0.0%
Oceaneering International, Inc.		1,900		52,269
Patient Monitoring Equipment — 0.6%
Insulet Corp.†		27,055		1,107,632
Physicians Practice Management — 0.2%
Envision Healthcare Holdings, Inc.†		10,272		228,757
MEDNAX, Inc.†		3,522		233,333
				462,090
Pipelines — 0.2%
ONEOK, Inc.		4,891		251,348
Williams Cos., Inc.		2,705		83,125
				334,473
Platinum — 0.0%
Stillwater Mining Co.†		6,600		88,176
Poultry — 0.0%
Pilgrim's Pride Corp.		201		4,245
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		5,400		196,020
Hubbell, Inc.		2,033		219,035
				415,055
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		3,336		52,442
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		46		7,793
Quarrying — 0.0%
Compass Minerals International, Inc.		1,300		95,810
Radio — 0.1%
Sirius XM Holdings, Inc.†		42,096		175,540
Real Estate Investment Trusts — 3.2%
Alexandria Real Estate Equities, Inc.		174		18,926
American Campus Communities, Inc.		2,900		147,523
Boston Properties, Inc.		615		83,818
Care Capital Properties, Inc.		194		5,529
Crown Castle International Corp.		5,600		527,576
CubeSmart		7,551		205,840
CyrusOne, Inc.		1,466		69,738

190

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PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Digital Realty Trust, Inc.		2,436	$	236,584
Empire State Realty Trust, Inc., Class A		1,757		36,809
Equinix, Inc.		6,598		2,376,929
Equity LifeStyle Properties, Inc.		1,805		139,310
Essex Property Trust, Inc.		643		143,196
Extra Space Storage, Inc.		2,783		220,998
Federal Realty Investment Trust		2,770		426,386
Healthcare Trust of America, Inc., Class A		2,348		76,592
Iron Mountain, Inc.		10,154		381,080
Lamar Advertising Co., Class A		1,938		126,571
Life Storage, Inc.		707		62,881
MGM Growth Properties LLC, Class A		6,300		164,241
Omega Healthcare Investors, Inc.		1,614		57,216
Outfront Media, Inc.		525		12,416
Regency Centers Corp.		395		30,609
Senior Housing Properties Trust		650		14,762
SL Green Realty Corp.		1,700		183,770
Tanger Factory Outlet Centers, Inc.		1,990		77,530
Taubman Centers, Inc.		2,687		199,940
Ventas, Inc.		2,511		177,352
VEREIT, Inc.		19,101		198,077
				6,402,199
Real Estate Management/Services — 0.3%
CBRE Group, Inc., Class A†		7,091		198,406
Jones Lang LaSalle, Inc.		2,200		250,339
WeWork Cos., Inc., Class A†(2)(3)(4)		2,244		84,473
				533,218
Recreational Vehicles — 0.2%
Brunswick Corp.		1,739		84,828
Polaris Industries, Inc.		2,822		218,536
				303,364
Rental Auto/Equipment — 0.6%
AerCap Holdings NV†		23,582		907,671
Avis Budget Group, Inc.†		5,775		197,563
Herc Holdings, Inc.†		112		3,774
Hertz Global Holdings, Inc.†		337		13,534
United Rentals, Inc.†		1,782		139,869
				1,262,411
Resorts/Theme Parks — 0.1%
Six Flags Entertainment Corp.		1,690		90,601
Vail Resorts, Inc.		850		133,348
				223,949
Respiratory Products — 0.1%
ResMed, Inc.		3,291		213,224
Retail-Apparel/Shoe — 2.1%
Burlington Stores, Inc.†		5,650		457,763
Coach, Inc.		8,146		297,818
Foot Locker, Inc.		2,869		194,289
Gap, Inc.		336		7,473
Kate Spade & Co.†		48,596		832,449

Security Description	Shares		Value (Note 2)
Retail-Apparel/Shoe (continued)
L Brands, Inc.		6,938	$	491,002
lululemon athletica, Inc.†		4,059		247,518
PVH Corp.		2,400		265,200
Ross Stores, Inc.		19,687		1,265,874
Urban Outfitters, Inc.†		1,643		56,716
				4,116,102
Retail-Arts & Crafts — 0.1%
Michaels Cos., Inc.†		12,089		292,191
Retail-Auto Parts — 1.9%
Advance Auto Parts, Inc.		6,908		1,030,121
AutoZone, Inc.†		1,475		1,133,301
Genuine Parts Co.		3,259		327,367
O'Reilly Automotive, Inc.†		4,462		1,249,851
				3,740,640
Retail-Automobile — 0.5%
AutoNation, Inc.†		610		29,713
CarMax, Inc.†		12,598		672,104
Copart, Inc.†		6,111		327,305
				1,029,122
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.		369		15,908
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		10,710		214,307
MSC Industrial Direct Co., Inc., Class A		466		34,209
				248,516
Retail-Convenience Store — 0.1%
Casey's General Stores, Inc.		918		110,298
Retail-Discount — 0.9%
Dollar General Corp.		14,272		998,897
Dollar Tree, Inc.†		9,305		734,444
				1,733,341
Retail-Drug Store — 0.1%
Rite Aid Corp.†		24,315		186,982
Retail-Gardening Products — 0.3%
Tractor Supply Co.		8,455		569,444
Retail-Home Furnishings — 0.0%
Restoration Hardware Holdings, Inc.†		1,800		62,244
Retail-Jewelry — 0.3%
Signet Jewelers, Ltd.		4,693		349,769
Tiffany & Co.		3,600		261,468
				611,237
Retail-Mail Order — 0.1%
Williams-Sonoma, Inc.		5,788		295,651
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		2,913		151,126
Retail-Misc./Diversified — 0.1%
Five Below, Inc.†		2,300		92,667
PriceSmart, Inc.		1,200		100,512
Sally Beauty Holdings, Inc.†		3,455		88,724
				281,903

191

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Perfume & Cosmetics — 0.3%
Ulta Salon Cosmetics & Fragrance, Inc.†		2,768	$	658,729
Retail-Restaurants — 2.5%
Bloomin' Brands, Inc.		5,100		87,924
Brinker International, Inc.		4,508		227,338
Chipotle Mexican Grill, Inc.†		3,646		1,544,081
Darden Restaurants, Inc.		2,706		165,932
Domino's Pizza, Inc.		1,148		174,324
Dunkin' Brands Group, Inc.		6,266		326,333
Jack in the Box, Inc.		6,058		581,205
Panera Bread Co., Class A†		9,257		1,802,523
Papa John's International, Inc.		2,100		165,585
Restaurant Brands International LP		20		891
Wendy's Co.		2,828		30,542
				5,106,678
Retail-Sporting Goods — 0.7%
Cabela's, Inc.†		147		8,075
Dick's Sporting Goods, Inc.		24,699		1,400,927
				1,409,002
Satellite Telecom — 0.1%
DigitalGlobe, Inc.†		4,700		129,250
Semiconductor Components-Integrated Circuits — 0.4%
Integrated Device Technology, Inc.†		5,000		115,500
Linear Technology Corp.		5,541		328,526
Maxim Integrated Products, Inc.		6,686		266,972
				710,998
Semiconductor Equipment — 0.3%
KLA-Tencor Corp.		3,689		257,160
Lam Research Corp.		2,945		278,921
				536,081
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		920		141,146
Silver Mining — 0.1%
Silver Wheaton Corp.		6,100		164,883
Soap & Cleaning Preparation — 0.3%
Church & Dwight Co., Inc.		12,601		603,840
Steel Pipe & Tube — 0.1%
Valmont Industries, Inc.		1,818		244,648
Steel-Producers — 0.0%
Carpenter Technology Corp.		1,400		57,764
Steel Dynamics, Inc.		826		20,642
				78,406
Telecommunication Equipment — 0.1%
ARRIS International PLC†		1,011		28,641
CommScope Holding Co., Inc.†		3,025		91,083
				119,724
Telephone-Integrated — 0.1%
Zayo Group Holdings, Inc.†		3,858		114,621
Television — 0.0%
AMC Networks, Inc., Class A†		1,408		73,019
Tribune Media Co., Class A		142		5,186
				78,205

Security Description	Shares		Value (Note 2)
Textile-Home Furnishings — 0.2%
Mohawk Industries, Inc.†		2,353	$	471,400
Theaters — 0.1%
Cinemark Holdings, Inc.		2,503		95,815
Regal Entertainment Group, Class A		538		11,701
				107,516
Therapeutics — 0.2%
Agios Pharmaceuticals, Inc.†		2,071		109,390
Neurocrine Biosciences, Inc.†		4,514		228,589
				337,979
Tools-Hand Held — 0.2%
Snap-on, Inc.		2,500		379,900
Stanley Black & Decker, Inc.		428		52,635
				432,535
Toys — 0.3%
Hasbro, Inc.		2,656		210,701
Mattel, Inc.		13,930		421,800
				632,501
Transactional Software — 0.1%
Black Knight Financial Services, Inc., Class A†		7,047		288,222
Transport-Equipment & Leasing — 0.0%
AMERCO		90		29,181
Transport-Marine — 0.1%
Kirby Corp.†		1,800		111,888
Transport-Rail — 0.2%
Genesee & Wyoming, Inc., Class A†		2,300		158,585
Kansas City Southern		2,000		186,640
				345,225
Transport-Services — 0.3%
C.H. Robinson Worldwide, Inc.		5,025		354,061
Expeditors International of Washington, Inc.		6,323		325,761
				679,822
Transport-Truck — 0.8%
JB Hunt Transport Services, Inc.		4,695		380,952
Knight Transportation, Inc.		25,849		741,608
Landstar System, Inc.		2,293		156,107
Old Dominion Freight Line, Inc.†		4,031		276,567
				1,555,234
Veterinary Diagnostics — 0.1%
VCA, Inc.†		1,836		128,483
Vitamins & Nutrition Products — 0.3%
Herbalife, Ltd.†		1,742		107,986
Mead Johnson Nutrition Co.		5,791		457,547
				565,533
Web Hosting/Design — 0.5%
GoDaddy, Inc., Class A†		28,297		977,095
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		2,266		172,850

192

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
X-Ray Equipment — 1.0%
Hologic, Inc.†		52,407	$	2,034,964
Total Common Stocks (cost $165,515,049)				194,866,878
CONVERTIBLE PREFERRED SECURITIES — 1.7%
Advertising Services — 0.0%
Nanigans, Inc Series B†(2)(3)(4).		6,300		47,754
Applications Software — 0.2%
Dropbox, Inc. Series A†(2)(3)(4)		1,047		9,105
Dropbox, Inc. Series A-1†(2)(3)(4)		5,146		44,753
Dropbox, Inc., Series C†(2)(3)(4)		3,310		35,527
Magic Leap, Inc. Series C†(2)(3)(4)		4,974		114,566
Tanium, Inc. Series G†(2)(3)(4).		32,619		155,267
				359,218
Computer Software — 0.1%
Zuora, Inc. Series F†(2)(3)(4)		35,671		156,596
E-Commerce/Products — 0.1%
Flipkart Online Services Pvt., Ltd. Series G†(2)(3)(4)		721		69,101
The Honest Company, Inc. Series C†(2)(3)(4)		4,317		161,499
One Kings Lane, Inc. Series E†(2)(3)(4)		11,800		12,272
				242,872
E-Commerce/Services — 0.9%
Airbnb, Inc. Series D†(2)(3)(4)		2,091		219,555
Airbnb, Inc. Series E†(2)(3)(4)		2,711		284,655
Uber Technologies, Inc. Series E†(2)(3)(4)		25,472		1,242,325
				1,746,535
Electronic Forms — 0.1%
Docusign, Inc. Series B†(2)(3)(4)		358		6,949
Docusign, Inc. Series B-1†(2)(3)(4)		107		2,077
Docusign, Inc. Series D†(2)(3)(4)		257		4,988
Docusign, Inc. Series E†(2)(3)(4)		5,573		108,172
				122,186
Entertainment Software — 0.1%
DraftKings, Inc. Series D†(2)(3)(4)		23,516		93,359
DraftKings, Inc. Series D-1†(2)(3)(4)		20,325		106,096
				199,455

Security Description	Shares/ Principal Amount			Value (Note 2)
Real Estate Management/Services — 0.1%
WeWork Companies, Inc. Series D-1†(2)(3)(4)		3,588		$	135,067
WeWork Companies, Inc. Series D-2†(2)(3)(4)		2,819			106,119
WeWork Companies, Inc. Series E†(2)(3)(4)		2,120			79,806
					320,992
Web Portals/ISP — 0.1%
Pinterest, Inc. Series G†(2)(3)(4)		19,490			127,075
Total Convertible Preferred Securities (cost $2,399,261)					3,322,683
EXCHANGE-TRADED FUNDS — 0.5%
iShares Russell Midcap Growth Index Fund (cost $3,227,786)		9,646			939,231
Total Long-Term Investment Securities (cost $171,142,096)					199,128,792
SHORT-TERM INVESTMENT SECURITIES — 0.0%
Registered Investment Companies — 0.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.27%(6)		69,004			69,004
T. Rowe Price Government Reserve Fund 0.32%(6)		636			636
Total Short-Term Investment Securities (cost $69,640)					69,640
REPURCHASE AGREEMENTS — 0.4%
Bank of America Securities LLC Joint Repurchase Agreement(5)	$	100,000			100,000
Barclays Capital, Inc. Joint Repurchase Agreement(5)		50,000			50,000
BNP Paribas SA Joint Repurchase Agreement(5)		100,000			100,000
Deutsche Bank AG Joint Repurchase Agreement(5)		195,000			195,000
RBS Securities, Inc. Joint Repurchase Agreement(5)		25,000			25,000
State Street Bank and Trust Co. Joint Repurchase Agreement(5)		401,000			401,000
Total Repurchase Agreements (cost $871,000)					871,000
TOTAL INVESTMENTS (cost $172,082,736)(7)		99.8	%		200,069,432
Other assets less liabilities		0.2			397,339
NET ASSETS		100.0	%	$	200,466,771

†  Non-income producing security

(1)  Security was valued using fair value procedures at September 30, 2016. The aggregate value of these securities was $2,234,453 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.

193

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

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

(3)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2016, 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
Dropbox, Inc. Class A	11/07/2014		3,515	$	67,141	$	30,569	$	8.70		0.02	%
Dropbox, Inc.  Class B	05/01/2012		844		7,637		7,340		8.70		0.00
The Honest Company, Inc.	08/20/2014		1,850		50,056		69,208		37.41		0.03
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		84,473		37.64		0.04
Convertible Preferred Securities
Airbnb, Inc. Series D	04/16/2014		2,091		85,131		219,555		105.00		0.11
Airbnb, Inc. Series E	06/24/2015		2,392		222,682
	07/14/2015		319		29,697
			2,711		252,379		284,655		105.00		0.14
Docusign, Inc. Series B	02/28/2014		358		4,701		6,949		19.41		0.00
Docusign, Inc. Series B-1	02/28/2014		107		1,405		2,077		19.41		0.00
Docusign, Inc. Series D	02/28/2014		257		3,375		4,988		19.41		0.00
Docusign, Inc. Series E	02/28/2014		5,573		73,187		108,172		16.25		0.05
DraftKings, Inc. Series D	07/13/2015		11,604		62,500
	07/17/2015		839		4,519
	08/11/2015		11,073		59,638
			23,516		126,657		93,359		3.97		0.05

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities (continued)
DraftKings, Inc. Series D-1	08/11/2015		20,325	$	155,799	$	106,096	$	5.22		0.05	%
Dropbox, Inc. Series A	05/01/2012		1,047		9,474		9,105		8.70		0.00
Dropbox, Inc. Series A-1	05/01/2012		5,146		46,567		44,753		8.70		0.02
Dropbox, Inc. Series C	01/28/2014		3,310		63,225		35,527		10.73		0.02
Flipkart Online Services Pvt., Ltd. Series G	12/17/2014		721		86,347		69,101		95.84		0.03
The Honest Company, Inc. Series C	08/20/2014		4,317		116,806		161,499		37.41		0.08
Magic Leap, Inc. Series C	12/28/2015		4,974		114,566		114,566		23.03		0.06
Nanigans, Inc. Series B	03/16/2015		6,300		68,787		47,754		7.58		0.02
One Kings Lane, Inc. Series E	01/28/2014		11,800		181,921		12,272		1.04		0.01
Pinterest, Inc. Series G	03/19/2015		19,490		139,921		127,075		6.52		0.06
Tanium, Inc. Series G	08/26/2015		32,619		161,930		155,267		4.76		0.08
Uber Technologies, Inc. Series E	06/05/2014		25,472		395,148		1,242,325		48.77		0.62
WeWork Companies, Inc. Series D-1	12/09/2014		3,588		59,744		135,067		37.64		0.07
WeWork Companies, Inc. Series D-2	12/09/2014		2,819		46,940		106,119		37.64		0.05
WeWork Companies, Inc. Series E	06/23/2015		2,120		69,726		79,806		37.64		0.05
Zuora, Inc. Series F	01/15/2015		35,671		135,525		156,596		4.39		0.09
						$	3,514,273				1.75	%

(4)  Illiquid security. At September 30, 2016, the aggregate value of these securities was $3,514,273 representing 1.8% of net assets.

(5)  See Note 2 for details of Joint Repurchase Aggrements.

(6)  The rate shown is the 7-day yield as of September 30, 2016

(7)  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, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2016	$	603,627	$	619,840	$	16,213

194

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	4,929,914	$	—		$	37,909	$	4,967,823
Consumer Products-Misc.		531,760		795,906	**		—		1,327,666
E-Commerce/Products		1,906,139		—			69,208		1,975,347
Medical-Drugs		3,604,104		1,438,547	**		—		5,042,651
Real Estate Management/Services		448,745		—			84,473		533,218
Other Industries		181,020,173		—			—		181,020,173
Convertible Preferred Securities		—		—			3,322,683		3,322,683
Exchange-Traded Funds		939,231		—			—		939,231
Short-Term Investment Securities		69,640		—			—		69,640
Repurchase Agreements		—		871,000			—		871,000
Total Investments at Value	$	193,449,706	$	3,105,453		$	3,514,273	$	200,069,432
Other Financial Instruments:†
Futures Contracts	$	16,213	$	—		$	—	$	16,213

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2)

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

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $2,234,453 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

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, 2016	$	213,893		$	3,389,624
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			2,022
Realized Loss		—			(6,131	)
Change in unrealized appreciation(1)		—			199,427
Change in unrealized depreciation(1)		(22,303	)		(223,544	)
Net purchases		—			—
Net sales		—			(38,715	)
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2016	$	191,590		$	3,322,683

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2016 includes:

Common Stocks			Convertible Preferred Securities
$	(22,303	)	$	(24,117	)

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, 2016.

195

Seasons Series Trust Mid Cap Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

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

Description	Fair Value at September 30, 2016		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	69,208	Market Approach	Enterprise Value/Revenue Multiple*	4.0x
				Discount for Lack of Marketability	10.00%
	$	84,473	Market Approach	Market Transaction Price*	$50.1923
				Discount for Lack of Marketability	25.0%
	$	37,909	Market Approach with	Estimated Revenue Multiple*	4.5x - 7.28x (6.09x)
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	36.0%
				Term to liquidity event in years	2.83
				Risk-free rate	0.87%
Convertible Preferred Securities	$	1,861,101	Market Approach	Market Transaction Price*	$23.033-$105.00 ($70.4513)
	$	320,992	Market Approach	Market Transaction Price*	$50.1923
				Discount for Lack of Marketability	25.0%
	$	615,110	Market Approach	Enterprise Value/Revenue Multiple*	1.36x - 8.7x (6.8825x)
				Discount for Lack of Marketability	10.00%
	$	199,455	Market Approach	Next Twelve Months Revenue Multiple*	3.8x
			and Income Approach	Cost of Capital	36.9%
	$	155,267	Market Approach	Transaction Price*	$4.9600
				Enterprise Value/Revenue Multiple*	8.3x
				Discount for Lack of Marketability	10.0%
	$	69,101	Market Approach and	Market Transaction Price*	$142.2400
			Income Approach	Enterprise Value/Revenue Multiple*	2.9x - 3.1x (3.0x)
				Estimated Revenue Multiple*	2.2x
				Discount for Lack of Marketability	8.25% - 10% (9.125%)
				Weighted Average Cost of Capital	18%
				Perpetual Growth Rate*	4.0%
	$	12,272	Income Approach	Future Cash Flows*	$1.04
				Discount for Potential Claims	20% - 50% (32%)
	$	89,385	Market Approach with	Estimated Revenue Multiple*	4.5x –7.28x (6.09x)
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	36.0%
				Term to liquidity event in years	2.83
				Risk-free rate	0.87%

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

See Notes to Financial Statements

196

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	11.5	%
Electric-Integrated	6.8
Oil Companies-Exploration & Production	6.7
Banks-Super Regional	2.9
Diversified Manufacturing Operations	2.3
Banks-Commercial	2.1
Insurance-Property/Casualty	2.0
Gas-Distribution	1.8
Insurance-Multi-line	1.5
Chemicals-Diversified	1.5
Semiconductor Components-Integrated Circuits	1.4
Insurance-Reinsurance	1.4
Medical Products	1.4
Finance-Consumer Loans	1.3
Banks-Fiduciary	1.3
Airlines	1.2
Insurance-Life/Health	1.2
Food-Misc./Diversified	1.1
Retail-Apparel/Shoe	1.1
Finance-Investment Banker/Broker	1.1
Tools-Hand Held	1.1
Containers-Paper/Plastic	1.0
Registered Investment Companies	1.0
Oil-Field Services	1.0
Auto/Truck Parts & Equipment-Original	1.0
Brewery	1.0
Chemicals-Specialty	0.9
Medical Labs & Testing Services	0.9
Data Processing/Management	0.9
E-Commerce/Services	0.9
Repurchase Agreements	0.8
Internet Security	0.8
Commercial Services	0.7
Medical-HMO	0.7
Electronics-Military	0.7
Building & Construction Products-Misc.	0.7
Oil Field Machinery & Equipment	0.6
Electronic Security Devices	0.6
Insurance Brokers	0.6
Electronic Measurement Instruments	0.6
Computers-Memory Devices	0.6
Computer Services	0.6
Medical-Generic Drugs	0.6
Telecom Services	0.6
Retail-Misc./Diversified	0.6
Electronic Components-Semiconductors	0.6
Medical-Hospitals	0.6
Water	0.5
Oil Refining & Marketing	0.5
Distribution/Wholesale	0.5
Agricultural Operations	0.5
Retail-Auto Parts	0.5
Non-Hazardous Waste Disposal	0.5
Electric Products-Misc.	0.5
Telephone-Integrated	0.5
Applications Software	0.5
Finance-Other Services	0.5
Metal-Copper	0.5
Medical-Biomedical/Gene	0.5
Building Products-Cement	0.5

Office Automation & Equipment	0.4	%
Investment Management/Advisor Services	0.4
Cable/Satellite TV	0.4
Exchange-Traded Funds	0.4
Transport-Truck	0.4
Apparel Manufacturers	0.4
Broadcast Services/Program	0.4
Food-Confectionery	0.4
Engines-Internal Combustion	0.4
Home Decoration Products	0.4
Medical-Wholesale Drug Distribution	0.4
Aerospace/Defense-Equipment	0.4
Machinery-Farming	0.4
Cruise Lines	0.3
Retail-Regional Department Stores	0.3
Appliances	0.3
Dental Supplies & Equipment	0.3
Instruments-Scientific	0.3
Transport-Rail	0.3
Building-Residential/Commercial	0.3
Finance-Credit Card	0.3
Electronic Components-Misc.	0.3
Computers-Integrated Systems	0.3
Coatings/Paint	0.3
Telecommunication Equipment	0.3
Commercial Services-Finance	0.3
Steel-Producers	0.3
Independent Power Producers	0.3
Machinery-Pumps	0.3
Savings & Loans/Thrifts	0.3
Food-Retail	0.3
Medical Information Systems	0.3
Pipelines	0.3
Food-Meat Products	0.3
Gold Mining	0.3
Aerospace/Defense	0.3
Oil & Gas Drilling	0.2
Advertising Agencies	0.2
Electric-Distribution	0.2
Beverages-Non-alcoholic	0.2
Machinery-General Industrial	0.2
Casino Hotels	0.2
Paper & Related Products	0.2
Real Estate Management/Services	0.2
Disposable Medical Products	0.2
Food-Canned	0.2
Engineering/R&D Services	0.2
Machinery-Electrical	0.2
Medical-Drugs	0.2
Power Converter/Supply Equipment	0.2
Multimedia	0.2
Physicians Practice Management	0.2
Telecom Equipment-Fiber Optics	0.2
Auto-Heavy Duty Trucks	0.2
Diagnostic Equipment	0.2
Hazardous Waste Disposal	0.2
Motorcycle/Motor Scooter	0.2
Internet Infrastructure Software	0.2
Retail-Gardening Products	0.2
Retail-Mail Order	0.2

197

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Agricultural Chemicals	0.2	%
Metal-Aluminum	0.1
Wireless Equipment	0.1
Retail-Restaurants	0.1
Food-Baking	0.1
Toys	0.1
Private Equity	0.1
Electronic Parts Distribution	0.1
Publishing-Books	0.1
Retail-Consumer Electronics	0.1
Finance-Mortgage Loan/Banker	0.1
Enterprise Software/Service	0.1
Vitamins & Nutrition Products	0.1
Diagnostic Kits	0.1
Hotels/Motels	0.1
Radio	0.1
Computer Aided Design	0.1
Finance-Auto Loans	0.1
Rubber-Tires	0.1
Retail-Jewelry	0.1
Electronic Design Automation	0.1
Building-Heavy Construction	0.1
Semiconductor Equipment	0.1
Television	0.1
Food-Catering	0.1
Finance-Commercial	0.1
Publishing-Newspapers	0.1
Medical Instruments	0.1
Machinery-Construction & Mining	0.1
Dialysis Centers	0.1
Transport-Services	0.1
Diversified Operations	0.1
Retail-Catalog Shopping	0.1
Retail-Bedding	0.1
Retail-Office Supplies	0.1
Cellular Telecom	0.1
Cosmetics & Toiletries	0.1
Human Resources	0.1
Oil Companies-Integrated	0.1
	99.7	%

*  Calculated as a percentage of net assets

198

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.4%
Advertising Agencies — 0.2%
Interpublic Group of Cos., Inc.		32,830	$	733,750
Advertising Sales — 0.0%
Clear Channel Outdoor Holdings, Inc., Class A		515		3,008
Aerospace/Defense — 0.3%
Rockwell Collins, Inc.		8,285		698,757
Spirit AeroSystems Holdings, Inc., Class A†		1,989		88,590
				787,347
Aerospace/Defense-Equipment — 0.4%
Harris Corp.		3,876		355,080
Orbital ATK, Inc.		9,959		759,175
				1,114,255
Agricultural Chemicals — 0.2%
CF Industries Holdings, Inc.		7,248		176,489
Mosaic Co.		10,872		265,929
				442,418
Agricultural Operations — 0.5%
Archer-Daniels-Midland Co.		17,174		724,228
Bunge, Ltd.		14,665		868,608
				1,592,836
Airlines — 1.2%
Alaska Air Group, Inc.		6,440		424,139
American Airlines Group, Inc.		16,295		596,560
Copa Holdings SA, Class A		966		84,940
Delta Air Lines, Inc.		17,151		675,063
JetBlue Airways Corp.†		71,553		1,233,574
Spirit Airlines, Inc.†		2,214		94,162
United Continental Holdings, Inc.†		10,339		542,487
				3,650,925
Apparel Manufacturers — 0.4%
Hanesbrands, Inc.		21,892		552,773
Ralph Lauren Corp.		1,649		166,780
VF Corp.		8,648		484,720
				1,204,273
Appliances — 0.3%
Whirlpool Corp.		6,368		1,032,635
Applications Software — 0.5%
Check Point Software Technologies, Ltd.†		13,184		1,023,210
Nuance Communications, Inc.†		1,684		24,418
PTC, Inc.†		1,966		87,114
Verint Systems, Inc.†		8,405		316,280
				1,451,022
Athletic Equipment — 0.0%
Vista Outdoor, Inc.†		1,551		61,823
Audio/Video Products — 0.0%
Harman International Industries, Inc.		1,173		99,060
Auto-Heavy Duty Trucks — 0.2%
PACCAR, Inc.		9,624		565,699

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 1.0%
Allison Transmission Holdings, Inc.		46,005	$	1,319,423
BorgWarner, Inc.		5,927		208,512
Delphi Automotive PLC		18,718		1,334,968
Lear Corp.		393		47,639
				2,910,542
Banks-Commercial — 2.1%
Associated Banc-Corp.		4,627		90,643
Bank of Hawaii Corp.		1,315		95,495
BankUnited, Inc.		3,080		93,016
BB&T Corp.		22,681		855,527
BOK Financial Corp.		795		54,831
Commerce Bancshares, Inc.		2,579		127,042
Cullen/Frost Bankers, Inc.		1,647		118,485
East West Bancorp, Inc.		4,452		163,433
First Horizon National Corp.		7,151		108,910
First Republic Bank		892		68,782
M&T Bank Corp.		10,395		1,206,860
PacWest Bancorp		3,681		157,952
Popular, Inc.		3,177		121,425
Regions Financial Corp.		39,078		385,700
Signature Bank†		10,850		1,285,182
SVB Financial Group†		417		46,095
Synovus Financial Corp.		3,862		125,631
TCF Financial Corp.		4,871		70,678
Western Alliance Bancorp†		1,259		47,263
Wintrust Financial Corp.		15,579		865,725
Zions Bancorporation		6,248		193,813
				6,282,488
Banks-Fiduciary — 1.3%
Citizens Financial Group, Inc.		111,194		2,747,604
Northern Trust Corp.		16,599		1,128,566
				3,876,170
Banks-Super Regional — 2.9%
Comerica, Inc.		33,252		1,573,485
Fifth Third Bancorp		81,218		1,661,720
Huntington Bancshares, Inc.		311,694		3,073,303
KeyCorp		97,066		1,181,293
SunTrust Banks, Inc.		29,668		1,299,458
				8,789,259
Batteries/Battery Systems — 0.0%
Energizer Holdings, Inc.		1,311		65,498
Beverages-Non-alcoholic — 0.2%
Coca-Cola European Partners PLC		17,833		711,537
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class A		96		4,776
Brown-Forman Corp., Class B		351		16,651
				21,427
Brewery — 1.0%
Molson Coors Brewing Co., Class B		26,313		2,889,167

199

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Broadcast Services/Program — 0.4%
Discovery Communications, Inc., Class A†		43,827	$	1,179,823
Discovery Communications, Inc., Class C†		511		13,444
				1,193,267
Building & Construction Products-Misc. — 0.7%
Armstrong World Industries, Inc.†		19,041		786,774
Owens Corning		21,945		1,171,644
USG Corp.†		2,704		69,898
				2,028,316
Building Products-Air & Heating — 0.0%
Lennox International, Inc.		89		13,976
Building Products-Cement — 0.5%
Martin Marietta Materials, Inc.		7,458		1,335,802
Vulcan Materials Co.		283		32,186
				1,367,988
Building Products-Light Fixtures — 0.0%
Cree, Inc.†		1,958		50,360
Building Products-Wood — 0.0%
Masco Corp.		3,617		124,099
Building-Heavy Construction — 0.1%
Chicago Bridge & Iron Co. NV		3,236		90,705
SBA Communications Corp., Class A†		1,403		157,361
				248,066
Building-Residential/Commercial — 0.3%
CalAtlantic Group, Inc.		2,032		67,950
D.R. Horton, Inc.		4,724		142,665
Lennar Corp., Class A		2,683		113,598
Lennar Corp., Class B		144		4,834
PulteGroup, Inc.		7,520		150,701
Toll Brothers, Inc.†		16,888		504,276
				984,024
Cable/Satellite TV — 0.4%
DISH Network Corp., Class A†		18,566		1,017,046
Liberty Broadband Corp., Class A†		787		55,216
Liberty Broadband Corp., Class C†		3,205		229,093
				1,301,355
Casino Hotels — 0.2%
MGM Resorts International†		25,645		667,539
Wynn Resorts, Ltd.		216		21,043
				688,582
Cellular Telecom — 0.1%
Sprint Corp.†		23,516		155,911
United States Cellular Corp.†		419		15,227
				171,138
Chemicals-Diversified — 1.5%
Akzo Nobel NV(1)		7,730		523,100
Celanese Corp., Series A		30,506		2,030,479
Eastman Chemical Co.		4,588		310,516
FMC Corp.		28,908		1,397,413

Security Description	Shares		Value (Note 2)
Chemicals-Diversified (continued)
Huntsman Corp.		6,149	$	100,044
Westlake Chemical Corp.		1,175		62,863
				4,424,415
Chemicals-Specialty — 0.9%
Albemarle Corp.		8,120		694,179
Ashland Global Holdings, Inc.		1,927		223,435
Brenntag AG(1)		7,622		415,925
Cabot Corp.		1,895		99,317
NewMarket Corp.		15		6,440
Platform Specialty Products Corp.†		5,101		41,369
Sensient Technologies Corp.		8,791		666,358
Univar, Inc.†		20,008		437,175
W.R. Grace & Co.		974		71,881
				2,656,079
Coal — 0.0%
CONSOL Energy, Inc.		7,044		135,245
Coatings/Paint — 0.3%
Axalta Coating Systems, Ltd.†		33,977		960,530
Commercial Services — 0.7%
Aramark		26,733		1,016,656
CoreLogic, Inc.†		1,127		44,201
Live Nation Entertainment, Inc.†		1,745		47,953
Macquarie Infrastructure Corp.		2,317		192,867
Nielsen Holdings PLC		14,507		777,140
Quanta Services, Inc.†		3,255		91,107
				2,169,924
Commercial Services-Finance — 0.3%
H&R Block, Inc.		6,973		161,425
Moody's Corp.		552		59,771
Sabre Corp.		23,745		669,134
				890,330
Computer Aided Design — 0.1%
ANSYS, Inc.†		2,023		187,350
Autodesk, Inc.†		1,197		86,579
				273,929
Computer Services — 0.6%
Amdocs, Ltd.		18,185		1,052,002
Computer Sciences Corp.		4,302		224,608
Leidos Holdings, Inc.		12,147		525,722
				1,802,332
Computer Software — 0.0%
Akamai Technologies, Inc.†		594		31,476
CommerceHub, Inc., Series A†		336		5,309
CommerceHub, Inc., Series C†		672		10,692
SS&C Technologies Holdings, Inc.		416		13,374
				60,851
Computers-Integrated Systems — 0.3%
NCR Corp.†		19,724		634,916
VeriFone Systems, Inc.†		20,772		326,951
				961,867

200

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Memory Devices — 0.6%
Brocade Communications Systems, Inc.		108,078	$	997,560
NetApp, Inc.		9,007		322,631
Western Digital Corp.		8,699		508,630
				1,828,821
Computers-Periphery Equipment — 0.0%
Lexmark International, Inc., Class A		1,919		76,683
Consulting Services — 0.0%
Booz Allen Hamilton Holding Corp.		207		6,543
Consumer Products-Misc. — 0.0%
Clorox Co.		594		74,357
Containers-Paper/Plastic — 1.0%
Bemis Co., Inc.		24,195		1,234,187
Berry Plastics Group, Inc.†		17,418		763,779
Graphic Packaging Holding Co.		40,008		559,712
Sonoco Products Co.		3,083		162,875
WestRock Co.		7,713		373,926
				3,094,479
Cosmetics & Toiletries — 0.1%
Coty, Inc., Class A		621		14,593
Edgewell Personal Care Co.†		1,830		145,522
				160,115
Cruise Lines — 0.3%
Norwegian Cruise Line Holdings, Ltd.†		4,479		168,858
Royal Caribbean Cruises, Ltd.		11,701		876,990
				1,045,848
Data Processing/Management — 0.9%
Dun & Bradstreet Corp.		672		91,809
Fidelity National Information Services, Inc.		29,254		2,253,436
First Data Corp., Class A†		19,009		250,158
				2,595,403
Dental Supplies & Equipment — 0.3%
DENTSPLY SIRONA, Inc.		16,954		1,007,576
Diagnostic Equipment — 0.2%
VWR Corp.†		19,745		559,968
Diagnostic Kits — 0.1%
Alere, Inc.†		2,186		94,523
QIAGEN NV†		7,084		194,385
				288,908
Dialysis Centers — 0.1%
DaVita, Inc.†		3,160		208,781
Disposable Medical Products — 0.2%
STERIS PLC		8,860		647,666
Distribution/Wholesale — 0.5%
Ingram Micro, Inc., Class A		4,502		160,541
LKQ Corp.†		27,233		965,682
WESCO International, Inc.†		7,979		490,629
				1,616,852

Security Description	Shares		Value (Note 2)
Diversified Manufacturing Operations — 2.3%
Carlisle Cos., Inc.		1,361	$	139,598
Colfax Corp.†		3,049		95,830
Crane Co.		1,510		95,145
Dover Corp.		4,764		350,821
Eaton Corp. PLC		12,111		795,814
Ingersoll-Rand PLC		15,002		1,019,236
ITT, Inc.		2,803		100,460
Parker-Hannifin Corp.		4,115		516,556
Pentair PLC		39,081		2,510,563
Textron, Inc.		30,075		1,195,481
Trinity Industries, Inc.		4,633		112,026
				6,931,530
Diversified Operations — 0.1%
Leucadia National Corp.		10,207		194,341
E-Commerce/Services — 0.9%
Expedia, Inc.		10,762		1,256,141
IAC/InterActiveCorp		18,330		1,145,075
Liberty Ventures, Series A†		3,362		134,043
Zillow Group, Inc., Class A†		488		16,812
Zillow Group, Inc., Class C†		979		33,922
				2,585,993
Electric Products-Misc. — 0.5%
AMETEK, Inc.		31,408		1,500,674
Electric-Distribution — 0.2%
PPL Corp.		20,919		723,170
Electric-Integrated — 6.8%
AES Corp.		67,780		870,973
Alliant Energy Corp.		7,058		270,392
Ameren Corp.		7,471		367,424
Avangrid, Inc.		1,744		72,864
CMS Energy Corp.		26,386		1,108,476
Consolidated Edison, Inc.		9,404		708,121
DTE Energy Co.		14,940		1,399,430
Edison International		9,754		704,726
Entergy Corp.		5,514		423,089
Eversource Energy		22,387		1,212,928
Exelon Corp.		16,449		547,587
FirstEnergy Corp.		64,420		2,131,013
Great Plains Energy, Inc.		4,802		131,046
Hawaiian Electric Industries, Inc.		3,332		99,460
MDU Resources Group, Inc.		6,022		153,200
NorthWestern Corp.		9,732		559,882
OGE Energy Corp.		6,180		195,412
PG&E Corp.		17,131		1,047,903
Pinnacle West Capital Corp.		26,430		2,008,416
Public Service Enterprise Group, Inc.		32,907		1,377,816
SCANA Corp.		19,780		1,431,479
WEC Energy Group, Inc.		18,883		1,130,714
Westar Energy, Inc.		4,392		249,246
Xcel Energy, Inc.		57,383		2,360,737
				20,562,334
Electric-Transmission — 0.0%
ITC Holdings Corp.		2,364		109,879

201

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PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Misc. — 0.3%
Corning, Inc.		26,720	$	631,928
Garmin, Ltd.		3,459		166,413
Gentex Corp.		3,120		54,787
Jabil Circuit, Inc.		5,803		126,621
				979,749
Electronic Components-Semiconductors — 0.6%
IPG Photonics Corp.†		173		14,247
Micron Technology, Inc.†		31,918		567,502
ON Semiconductor Corp.†		11,516		141,877
Qorvo, Inc.†		3,550		197,877
Skyworks Solutions, Inc.		6,582		501,153
Xilinx, Inc.		5,389		292,838
				1,715,494
Electronic Design Automation — 0.1%
Synopsys, Inc.†		4,247		252,059
Electronic Measurement Instruments — 0.6%
Agilent Technologies, Inc.		20,845		981,591
Fitbit, Inc., Class A†		719		10,670
FLIR Systems, Inc.		4,253		133,629
Keysight Technologies, Inc.†		21,383		677,627
National Instruments Corp.		679		19,284
Trimble, Inc.†		1,632		46,610
				1,869,411
Electronic Parts Distribution — 0.1%
Arrow Electronics, Inc.†		2,821		180,459
Avnet, Inc.		3,977		163,296
				343,755
Electronic Security Devices — 0.6%
Johnson Controls International PLC		41,209		1,917,455
Electronics-Military — 0.7%
L-3 Communications Holdings, Inc.		13,857		2,088,666
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		2,347		92,683
SolarCity Corp.†		2,029		39,687
				132,370
Engineering/R&D Services — 0.2%
AECOM†		4,727		140,534
Fluor Corp.		4,327		222,062
Jacobs Engineering Group, Inc.†		3,717		192,243
KBR, Inc.		4,427		66,980
				621,819
Engines-Internal Combustion — 0.4%
Cummins, Inc.		8,938		1,145,405
Enterprise Software/Service — 0.1%
CA, Inc.		9,057		299,606
Entertainment Software — 0.0%
Zynga, Inc., Class A†		22,511		65,507
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		302		11,274
Finance-Auto Loans — 0.1%
Ally Financial, Inc.		13,787		268,433

Security Description	Shares		Value (Note 2)
Finance-Commercial — 0.1%
CIT Group, Inc.		6,181	$	224,370
Finance-Consumer Loans — 1.3%
Navient Corp.		10,212		147,768
OneMain Holdings, Inc.†		1,642		50,820
Santander Consumer USA Holdings, Inc.†		3,272		39,787
SLM Corp.†		165,482		1,236,151
Synchrony Financial		92,639		2,593,892
				4,068,418
Finance-Credit Card — 0.3%
Discover Financial Services		17,389		983,348
Finance-Investment Banker/Broker — 1.1%
E*TRADE Financial Corp.†		8,669		252,441
Interactive Brokers Group, Inc., Class A		1,737		61,264
Lazard, Ltd., Class A		3,411		124,024
LPL Financial Holdings, Inc.		2,282		68,255
Raymond James Financial, Inc.		36,228		2,108,832
TD Ameritrade Holding Corp.		17,891		630,479
				3,245,295
Finance-Leasing Companies — 0.0%
Air Lease Corp.		1,505		43,013
Finance-Mortgage Loan/Banker — 0.1%
FNF Group		8,153		300,927
Finance-Other Services — 0.5%
Nasdaq, Inc.		20,784		1,403,751
Financial Guarantee Insurance — 0.0%
Assured Guaranty, Ltd.		4,129		114,580
Food-Baking — 0.1%
Flowers Foods, Inc.		23,799		359,841
Food-Canned — 0.2%
TreeHouse Foods, Inc.†		7,251		632,215
Food-Catering — 0.1%
US Foods Holding Corp.†		9,510		224,531
Food-Confectionery — 0.4%
J.M. Smucker Co.		8,557		1,159,816
Food-Flour & Grain — 0.0%
Post Holdings, Inc.†		839		64,746
Food-Meat Products — 0.3%
Hormel Foods Corp.		1,059		40,168
Tyson Foods, Inc., Class A		10,252		765,517
				805,685
Food-Misc./Diversified — 1.1%
ConAgra Foods, Inc.		30,476		1,435,724
Hain Celestial Group, Inc.†		801		28,500
Ingredion, Inc.		653		86,888
Kellogg Co.		8,704		674,299
Pinnacle Foods, Inc.		24,950		1,251,741
				3,477,152

202

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PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Retail — 0.3%
Safeway Casa Ley CVR†(2)(3)		7,948	$	8,066
Safeway PDC LLC CVR†(2)(3)		7,948		388
Whole Foods Market, Inc.		28,593		810,612
				819,066
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		2,919		71,165
Garden Products — 0.0%
Scotts Miracle-Gro Co., Class A		108		8,993
Gas-Distribution — 1.8%
Atmos Energy Corp.		15,343		1,142,593
CenterPoint Energy, Inc.		13,407		311,445
National Fuel Gas Co.		2,286		123,604
NiSource, Inc.		30,778		742,057
Piedmont Natural Gas Co., Inc.		2,303		138,272
Sempra Energy		24,904		2,669,460
UGI Corp.		5,342		241,672
Vectren Corp.		2,575		129,265
				5,498,368
Gold Mining — 0.3%
Newmont Mining Corp.		16,386		643,806
Royal Gold, Inc.		1,886		146,033
				789,839
Hazardous Waste Disposal — 0.2%
Clean Harbors, Inc.†		11,328		543,517
Stericycle, Inc.†		140		11,220
				554,737
Home Decoration Products — 0.4%
Newell Brands, Inc.		21,721		1,143,828
Hotels/Motels — 0.1%
Choice Hotels International, Inc.		320		14,426
Extended Stay America, Inc.		1,970		27,974
Hilton Worldwide Holdings, Inc.		1,952		44,759
Hyatt Hotels Corp., Class A†		699		34,405
Marriott International, Inc., Class A		2,454		165,201
				286,765
Human Resources — 0.1%
ManpowerGroup, Inc.		2,213		159,911
Independent Power Producers — 0.3%
Calpine Corp.†		50,364		636,601
Dynegy, Inc.†		10,514		130,268
NRG Energy, Inc.		9,774		109,567
				876,436
Industrial Automated/Robotic — 0.0%
Rockwell Automation, Inc.		838		102,521
Instruments-Scientific — 0.3%
PerkinElmer, Inc.		17,809		999,263
Insurance Brokers — 0.6%
Arthur J. Gallagher & Co.		35,171		1,789,149
Brown & Brown, Inc.		3,395		128,025
				1,917,174

Security Description	Shares		Value (Note 2)
Insurance-Life/Health — 1.2%
Lincoln National Corp.		39,374	$	1,849,791
Principal Financial Group, Inc.		8,243		424,597
Torchmark Corp.		3,688		235,626
Unum Group		31,950		1,128,154
				3,638,168
Insurance-Multi-line — 1.5%
American Financial Group, Inc.		2,122		159,150
American National Insurance Co.		227		27,685
Assurant, Inc.		1,917		176,844
Cincinnati Financial Corp.		4,655		351,080
CNA Financial Corp.		838		28,836
Hartford Financial Services Group, Inc.		73,988		3,168,166
Loews Corp.		8,701		358,046
Old Republic International Corp.		7,502		132,185
Voya Financial, Inc.		7,582		218,513
				4,620,505
Insurance-Property/Casualty — 2.0%
Alleghany Corp.†		460		241,509
AmTrust Financial Services, Inc.		2,543		68,229
Arch Capital Group, Ltd.†		3,559		282,086
Erie Indemnity Co., Class A		200		20,414
First American Financial Corp.		3,307		129,899
Hanover Insurance Group, Inc.		8,139		613,843
Markel Corp.†		423		392,870
Mercury General Corp.		844		46,293
ProAssurance Corp.		1,629		85,490
Progressive Corp.		16,207		510,521
Third Point Reinsurance, Ltd.†		24,451		293,412
White Mountains Insurance Group, Ltd.		145		120,350
WR Berkley Corp.		22,138		1,278,691
XL Group, Ltd.		62,598		2,105,171
				6,188,778
Insurance-Reinsurance — 1.4%
Allied World Assurance Co. Holdings AG(4)		2,714		109,700
Aspen Insurance Holdings, Ltd.		1,864		86,844
Axis Capital Holdings, Ltd.		2,838		154,188
Endurance Specialty Holdings, Ltd.		25,883		1,694,042
Everest Re Group, Ltd.		5,268		1,000,762
Reinsurance Group of America, Inc.		1,982		213,937
RenaissanceRe Holdings, Ltd.		1,311		157,530
Validus Holdings, Ltd.		17,250		859,395
				4,276,398
Internet Content-Entertainment — 0.0%
Pandora Media, Inc.†		955		13,685
Twitter, Inc.†		2,302		53,061
				66,746
Internet Content-Information/News — 0.0%
Yelp, Inc.†		482		20,099
Internet Infrastructure Software — 0.2%
F5 Networks, Inc.†		3,992		497,563

203

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Security — 0.8%
FireEye, Inc.†		3,603	$	53,072
Symantec Corp.		88,184		2,213,419
				2,266,491
Investment Management/Advisor Services — 0.4%
Affiliated Managers Group, Inc.†		2,927		423,537
Ameriprise Financial, Inc.		3,393		338,520
Invesco, Ltd.		10,631		332,431
Legg Mason, Inc.		3,264		109,279
T. Rowe Price Group, Inc.		1,780		118,370
				1,322,137
Machine Tools & Related Products — 0.0%
Lincoln Electric Holdings, Inc.		700		43,834
Machinery-Construction & Mining — 0.1%
Oshkosh Corp.		2,258		126,448
Terex Corp.		3,282		83,396
				209,844
Machinery-Electrical — 0.2%
Regal Beloit Corp.		10,078		599,540
Machinery-Farming — 0.4%
AGCO Corp.		2,160		106,531
Deere & Co.		11,208		956,603
				1,063,134
Machinery-General Industrial — 0.2%
IDEX Corp.		162		15,158
Manitowoc Foodservice, Inc.†		2,199		35,668
Roper Technologies, Inc.		1,516		276,624
Wabtec Corp.		4,349		355,096
Zebra Technologies Corp., Class A†		293		20,396
				702,942
Machinery-Pumps — 0.3%
Flowserve Corp.		1,580		76,219
Xylem, Inc.		14,909		781,977
				858,196
Medical Information Systems — 0.3%
Allscripts Healthcare Solutions, Inc.†		5,790		76,254
IMS Health Holdings, Inc.†		23,617		740,157
				816,411
Medical Instruments — 0.1%
St. Jude Medical, Inc.		2,645		210,965
Medical Labs & Testing Services — 0.9%
Laboratory Corp. of America Holdings†		10,768		1,480,385
Quest Diagnostics, Inc.		13,516		1,143,859
				2,624,244
Medical Products — 1.4%
Cooper Cos., Inc.		4,223		757,015
Hill-Rom Holdings, Inc.		129		7,996
Teleflex, Inc.		4,785		804,119
Zimmer Biomet Holdings, Inc.		19,650		2,554,893
				4,124,023

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene — 0.5%
Alnylam Pharmaceuticals, Inc.†		306	$	20,741
Bio-Rad Laboratories, Inc., Class A†		643		105,330
BioMarin Pharmaceutical, Inc.†		5,154		476,848
Juno Therapeutics, Inc.†		190		5,702
United Therapeutics Corp.†		987		116,545
Vertex Pharmaceuticals, Inc.†		7,386		644,133
				1,369,299
Medical-Drugs — 0.2%
Endo International PLC†		13,922		280,528
Mallinckrodt PLC†		3,397		237,043
OPKO Health, Inc.†		847		8,970
Quintiles IMS Holdings, Inc.†		883		71,576
				598,117
Medical-Generic Drugs — 0.6%
Perrigo Co. PLC		19,515		1,801,820
Medical-HMO — 0.7%
Centene Corp.†		25,892		1,733,728
Molina Healthcare, Inc.†		6,104		355,985
WellCare Health Plans, Inc.†		107		12,529
				2,102,242
Medical-Hospitals — 0.6%
Acadia Healthcare Co., Inc.†		1,483		73,483
Community Health Systems, Inc.†		15,375		177,427
LifePoint Health, Inc.†		11,217		664,383
Universal Health Services, Inc., Class B		6,463		796,371
				1,711,664
Medical-Outpatient/Home Medical — 0.0%
Amsurg Corp.†		730		48,946
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		10,364		837,204
Owens & Minor, Inc.		7,440		258,391
Premier, Inc., Class A†		985		31,855
				1,127,450
Metal Processors & Fabrication — 0.0%
Timken Co.		2,182		76,675
Metal-Aluminum — 0.1%
Alcoa, Inc.		40,590		411,583
Metal-Copper — 0.5%
Freeport-McMoRan, Inc.		122,929		1,335,009
Southern Copper Corp.		1,447		38,056
				1,373,065
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		1,434		111,006
Motion Pictures & Services — 0.0%
Dolby Laboratories, Inc., Class A		1,572		85,344
Lions Gate Entertainment Corp.		1,035		20,690
				106,034
Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.		10,454		549,776
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		1,214		78,643

204

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Multimedia — 0.2%
Viacom, Inc., Class A		36	$	1,541
Viacom, Inc., Class B		15,479		589,750
				591,291
Non-Hazardous Waste Disposal — 0.5%
Republic Services, Inc.		7,264		366,469
Waste Connections, Inc.		15,427		1,152,397
				1,518,866
Office Automation & Equipment — 0.4%
Pitney Bowes, Inc.		21,334		387,425
Xerox Corp.		93,942		951,633
				1,339,058
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		154		11,980
Oil & Gas Drilling — 0.2%
Diamond Offshore Drilling, Inc.		1,995		35,132
Ensco PLC, Class A		9,360		79,560
Helmerich & Payne, Inc.		3,015		202,909
Nabors Industries, Ltd.		8,547		103,931
Noble Corp. PLC		7,508		47,601
Patterson-UTI Energy, Inc.		4,479		100,195
Rowan Cos. PLC, Class A		3,898		59,094
Transocean, Ltd.†		10,715		114,222
				742,644
Oil Companies-Exploration & Production — 6.7%
Anadarko Petroleum Corp.		10,977		695,503
Antero Resources Corp.†		45,977		1,239,080
Cabot Oil & Gas Corp.		54,503		1,406,178
Chesapeake Energy Corp.†		17,304		108,496
Cimarex Energy Co.		15,155		2,036,377
Concho Resources, Inc.†		4,341		596,236
Continental Resources, Inc.†		1,492		77,524
Devon Energy Corp.		42,253		1,863,780
Diamondback Energy, Inc.†		1,810		174,737
Encana Corp.		113,456		1,187,884
Energen Corp.		17,500		1,010,100
EQT Corp.		15,121		1,098,087
Gulfport Energy Corp.†		3,894		110,006
Hess Corp.		25,583		1,371,761
Kosmos Energy, Ltd.†		4,870		31,217
Laredo Petroleum, Inc.†		4,420		57,018
Marathon Oil Corp.		26,120		412,957
Newfield Exploration Co.†		30,130		1,309,450
Noble Energy, Inc.		21,989		785,887
Parsley Energy, Inc., Class A†		4,563		152,906
PDC Energy, Inc.†		10,607		711,306
Pioneer Natural Resources Co.		12,391		2,300,389
QEP Resources, Inc.		7,351		143,565
Range Resources Corp.		6,294		243,897
Rice Energy, Inc.†		30,719		802,073
SM Energy Co.		2,642		101,928
Whiting Petroleum Corp.†		6,254		54,660
WPX Energy, Inc.†		10,243		135,105
				20,218,107

Security Description	Shares		Value (Note 2)
Oil Companies-Integrated — 0.1%
Murphy Oil Corp.		5,065	$	153,976
Oil Field Machinery & Equipment — 0.6%
Dril-Quip, Inc.†		1,172		65,327
FMC Technologies, Inc.†		29,021		861,053
Forum Energy Technologies, Inc.†		28,929		574,530
National Oilwell Varco, Inc.		11,640		427,654
				1,928,564
Oil Refining & Marketing — 0.5%
HollyFrontier Corp.		23,116		566,342
Marathon Petroleum Corp.		16,213		658,086
Murphy USA, Inc.†		449		32,040
PBF Energy, Inc., Class A		3,033		68,667
Tesoro Corp.		3,707		294,929
				1,620,064
Oil-Field Services — 1.0%
Baker Hughes, Inc.		24,091		1,215,873
Frank's International NV		29,397		382,161
Oceaneering International, Inc.		3,038		83,575
Oil States International, Inc.†		14,494		457,576
RPC, Inc.†		1,809		30,391
Superior Energy Services, Inc.		24,186		432,929
Targa Resources Corp.		4,845		237,938
Weatherford International PLC†		27,721		155,792
				2,996,235
Paper & Related Products — 0.2%
Domtar Corp.		1,935		71,847
International Paper Co.		12,642		606,563
				678,410
Physicians Practice Management — 0.2%
Envision Healthcare Holdings, Inc.†		952		21,201
MEDNAX, Inc.†		8,483		561,999
				583,200
Pipelines — 0.3%
Cheniere Energy, Inc.†		6,194		270,058
Williams Cos., Inc.		17,702		543,983
				814,041
Poultry — 0.0%
Pilgrim's Pride Corp.		1,572		33,201
Power Converter/Supply Equipment — 0.2%
Hubbell, Inc.		5,363		577,810
SunPower Corp.†		1,785		15,922
				593,732
Precious Metals — 0.0%
Tahoe Resources, Inc.		9,331		119,717
Printing-Commercial — 0.0%
RR Donnelley & Sons Co.		2,081		32,713
Private Equity — 0.1%
Apollo Global Management LLC, Class A		19,511		350,418
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		541		91,651

205

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		20,001	$	268,213
John Wiley & Sons, Inc., Class A		1,377		71,067
				339,280
Publishing-Newspapers — 0.1%
News Corp., Class A		11,792		164,852
News Corp., Class B		3,770		53,610
				218,462
Quarrying — 0.0%
Compass Minerals International, Inc.		1,044		76,943
Radio — 0.1%
Liberty SiriusXM Group, Series A†		2,820		95,823
Liberty SiriusXM Group, Series C†		5,690		190,103
				285,926
Real Estate Investment Trusts — 11.5%
AGNC Investment Corp.		10,299		201,242
Alexandria Real Estate Equities, Inc.		2,131		231,789
American Campus Communities, Inc.		4,056		206,329
American Homes 4 Rent, Class A		5,165		111,771
Annaly Capital Management, Inc.		56,542		593,691
Apartment Investment & Management Co., Class A		4,837		222,067
Apple Hospitality REIT, Inc.		5,099		94,382
AvalonBay Communities, Inc.		4,224		751,196
Boston Properties, Inc.		3,915		533,575
Brandywine Realty Trust		5,337		83,364
Brixmor Property Group, Inc.		81,274		2,258,604
Camden Property Trust		2,651		221,995
Care Capital Properties, Inc.		2,346		66,861
Chimera Investment Corp.		5,817		92,781
Columbia Property Trust, Inc.		3,838		85,933
Communications Sales & Leasing, Inc.		3,790		119,044
Corporate Office Properties Trust		37,136		1,052,806
Corrections Corp. of America		3,625		50,279
CubeSmart		1,762		48,032
CyrusOne, Inc.		267		12,701
DCT Industrial Trust, Inc.		2,794		135,649
DDR Corp.		99,416		1,732,821
Digital Realty Trust, Inc.		1,364		132,472
Douglas Emmett, Inc.		4,339		158,938
Duke Realty Corp.		10,746		293,688
Empire State Realty Trust, Inc., Class A		1,457		30,524
EPR Properties		12,878		1,014,014
Equity Commonwealth†		3,787		114,443
Equity One, Inc.		2,839		86,902
Essex Property Trust, Inc.		1,180		262,786
Federal Realty Investment Trust		6,234		959,600
Forest City Realty Trust, Inc., Class A		7,089		163,968
General Growth Properties, Inc.		17,744		489,734
Gramercy Property Trust		65,196		628,489
HCP, Inc.		14,411		546,897
Healthcare Trust of America, Inc., Class A		1,111		36,241

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Highwoods Properties, Inc.		2,973	$	154,953
Hospitality Properties Trust		4,939		146,787
Host Hotels & Resorts, Inc.		22,675		353,050
Kilroy Realty Corp.		2,808		194,735
Kimco Realty Corp.		12,431		359,877
Liberty Property Trust		4,536		183,028
Life Storage, Inc.		488		43,403
Macerich Co.		4,455		360,276
Medical Properties Trust, Inc.		67,826		1,001,790
MFA Financial, Inc.		109,554		819,464
Mid-America Apartment Communities, Inc.		19,288		1,812,879
National Retail Properties, Inc.		4,435		225,520
NorthStar Realty Finance Corp.		5,571		73,370
Omega Healthcare Investors, Inc.		3,594		127,407
Outfront Media, Inc.		3,595		85,022
Paramount Group, Inc.		5,591		91,636
Piedmont Office Realty Trust, Inc., Class A		4,493		97,813
Post Properties, Inc.		9,033		597,352
Prologis, Inc.		16,090		861,459
Rayonier, Inc.		3,807		101,038
Realty Income Corp.		7,940		531,424
Regency Centers Corp.		2,619		202,946
Retail Properties of America, Inc., Class A		7,370		123,816
RLJ Lodging Trust		49,866		1,048,682
Senior Housing Properties Trust		6,452		146,525
SL Green Realty Corp.		3,028		327,327
Spirit Realty Capital, Inc.		14,885		198,417
Starwood Property Trust, Inc.		34,477		776,422
STORE Capital Corp.		4,681		137,949
Sun Communities, Inc.		9,057		710,793
Tanger Factory Outlet Centers, Inc.		277		10,792
Taubman Centers, Inc.		13,799		1,026,784
Two Harbors Investment Corp.		55,367		472,280
UDR, Inc.		8,232		296,270
Ventas, Inc.		23,380		1,651,329
VEREIT, Inc.		29,812		309,150
Vornado Realty Trust		25,560		2,586,928
Washington Prime Group, Inc.		25,375		314,142
Weingarten Realty Investors		3,614		140,874
Welltower, Inc.		11,008		823,068
Weyerhaeuser Co.		41,223		1,316,663
WP Carey, Inc.		3,215		207,464
				34,876,512
Real Estate Management/Services — 0.2%
Jones Lang LaSalle, Inc.		1,397		158,964
Realogy Holdings Corp.		20,066		518,907
				677,871
Real Estate Operations & Development — 0.0%
Howard Hughes Corp.†		1,121		128,354
Recreational Vehicles — 0.0%
Brunswick Corp.		521		25,414

206

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Rental Auto/Equipment — 0.0%
Herc Holdings, Inc.†		597	$	20,119
Hertz Global Holdings, Inc.†		1,794		72,047
United Rentals, Inc.†		400		31,396
				123,562
Retail-Apparel/Shoe — 1.1%
Burlington Stores, Inc.†		930		75,349
Coach, Inc.		7,023		256,761
Foot Locker, Inc.		423		28,646
Gap, Inc.		25,627		569,944
Kate Spade & Co.†		21,211		363,344
L Brands, Inc.		6,116		432,829
PVH Corp.		9,701		1,071,961
Urban Outfitters, Inc.†		15,314		528,639
				3,327,473
Retail-Arts & Crafts — 0.0%
Michaels Cos., Inc.†		665		16,073
Retail-Auto Parts — 0.5%
AutoZone, Inc.†		1,991		1,529,765
Genuine Parts Co.		258		25,916
				1,555,681
Retail-Automobile — 0.0%
AutoNation, Inc.†		1,216		59,232
Penske Automotive Group, Inc.		1,190		57,334
				116,566
Retail-Bedding — 0.1%
Bed Bath & Beyond, Inc.		4,131		178,087
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		6,025		120,560
MSC Industrial Direct Co., Inc., Class A		856		62,839
				183,399
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		3,172		87,515
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		8,609		328,692
Retail-Gardening Products — 0.2%
Tractor Supply Co.		7,083		477,040
Retail-Jewelry — 0.1%
Signet Jewelers, Ltd.		212		15,800
Tiffany & Co.		3,399		246,870
				262,670
Retail-Mail Order — 0.2%
Williams-Sonoma, Inc.		8,687		443,732
Retail-Major Department Stores — 0.0%
J.C. Penney Co., Inc.†		9,548		88,033
Retail-Misc./Diversified — 0.6%
CST Brands, Inc.		2,310		111,088
Sally Beauty Holdings, Inc.†		62,550		1,606,284
				1,717,372

Security Description	Shares		Value (Note 2)
Retail-Office Supplies — 0.1%
Staples, Inc.		20,017	$	171,145
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		2,144		99,181
Retail-Regional Department Stores — 0.3%
Dillard's, Inc., Class A		588		37,050
Kohl's Corp.		14,712		643,650
Macy's, Inc.		9,581		354,976
				1,035,676
Retail-Restaurants — 0.1%
DineEquity, Inc.		4,176		330,697
Wendy's Co.		2,790		30,132
				360,829
Retail-Sporting Goods — 0.0%
Cabela's, Inc.†		1,358		74,595
Dick's Sporting Goods, Inc.		590		33,465
				108,060
Retirement/Aged Care — 0.0%
Brookdale Senior Living, Inc.†		5,714		99,709
Rubber-Tires — 0.1%
Goodyear Tire & Rubber Co.		8,268		267,056
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		1,409		61,756
Savings & Loans/Thrifts — 0.3%
New York Community Bancorp, Inc.		46,507		661,795
People's United Financial, Inc.		9,597		151,825
TFS Financial Corp.		1,771		31,541
				845,161
Schools — 0.0%
Graham Holdings Co., Class B		134		64,504
Semiconductor Components-Integrated Circuits — 1.4%
Analog Devices, Inc.		19,428		1,252,135
Cypress Semiconductor Corp.		9,672		117,611
Linear Technology Corp.		3,927		232,832
Marvell Technology Group, Ltd.		83,923		1,113,658
Maxim Integrated Products, Inc.		40,453		1,615,288
				4,331,524
Semiconductor Equipment — 0.1%
Lam Research Corp.		995		94,236
Teradyne, Inc.		6,300		135,954
				230,190
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		237		36,361
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		137		18,436
Steel-Producers — 0.3%
Nucor Corp.		9,806		484,907
Reliance Steel & Aluminum Co.		2,156		155,296
Steel Dynamics, Inc.		6,199		154,913
United States Steel Corp.		4,735		89,302
				884,418

207

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Telecom Equipment-Fiber Optics — 0.2%
Viavi Solutions, Inc.†		78,611	$	580,935
Telecom Services — 0.6%
Level 3 Communications, Inc.†		38,142		1,769,026
Telecommunication Equipment — 0.3%
ARRIS International PLC†		4,523		128,137
Juniper Networks, Inc.		11,597		279,024
Nice, Ltd. ADR		8,008		536,055
				943,216
Telephone-Integrated — 0.4%
CenturyLink, Inc.		16,566		454,405
Frontier Communications Corp.		129,385		538,242
Telephone & Data Systems, Inc.		2,957		80,371
				1,073,018
Television — 0.1%
TEGNA, Inc.		6,758		147,730
Tribune Media Co., Class A		2,220		81,074
				228,804
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		400		80,136
Theaters — 0.0%
Regal Entertainment Group, Class A		1,801		39,172
Tools-Hand Held — 1.1%
Snap-on, Inc.		481		73,093
Stanley Black & Decker, Inc.		25,554		3,142,631
				3,215,724
Toys — 0.1%
Mattel, Inc.		11,705		354,427
Transport-Equipment & Leasing — 0.0%
AMERCO		71		23,020
Transport-Marine — 0.0%
Kirby Corp.†		1,637		101,756
Transport-Rail — 0.3%
Genesee & Wyoming, Inc., Class A†		1,756		121,076
Kansas City Southern		9,391		876,368
				997,444
Transport-Services — 0.1%
Expeditors International of Washington, Inc.		1,669		85,987
Ryder System, Inc.		1,660		109,477
				195,464
Transport-Truck — 0.4%
Knight Transportation, Inc.		20,321		583,009
Old Dominion Freight Line, Inc.†		9,088		623,528
				1,206,537
Vitamins & Nutrition Products — 0.1%
Mead Johnson Nutrition Co.		3,715		293,522
Water — 0.5%
American Water Works Co., Inc.		19,496		1,459,080
Aqua America, Inc.		5,512		168,006
				1,627,086

Security Description	Shares/ Principal Amount			Value (Note 2)
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		4,772		$	364,008
Total Common Stocks (cost $270,786,560)					295,934,654
CONVERTIBLE PREFERRED SECURITIES — 0.1%
Telephone-Integrated — 0.1%
Frontier Communications Corp. Series A 11.13% (cost $452,100)		4,521			379,357
EXCHANGE-TRADED FUNDS — 0.4%
iShares Russell Midcap Value Index Fund (cost $1,160,576)		15,756			1,209,588
Total Long-Term Investment Securities (cost $272,399,236)					297,523,599
SHORT-TERM INVESTMENT SECURITIES — 1.0%
Registered Investment Companies — 1.0%
State Street Institutional U.S. Government Money Market Fund, Administration Class 0.01%(5) (cost $3,059,949)		3,059,949			3,059,949
REPURCHASE AGREEMENTS — 0.8%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $2,238,002 and collateralized by $2,180,000 of United States Treasury Notes, bearing interest at 2.13%, due 09/30/2021 and having an approximate value of $2,283,550	$	2,238,000			2,238,000
State Street Bank & Trust Co. Joint Repurchase Agreement(6)		220,000			220,000
Total Repurchase Agreements (cost $2,458,000)					2,458,000
TOTAL INVESTMENTS (cost $277,917,185) (7)		99.7	%		303,041,548
Other assets less liabilities		0.3			815,095
NET ASSETS		100.0	%	$	303,856,643

†  Non-income producing security

(1)  Security was valued using fair value procedures at September 30, 2016. The aggregate value of these securities was $939,025 representing 0.3% 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, 2016, the aggregate value of these securities was $8,454 representing 0.0% of net assets.

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

(5)  The rate shown is the 7-day yield as of September 30, 2016.

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

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

208

Seasons Series Trust Mid Cap Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

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, 2016		Unrealized Appreciation (Depreciation)
	4	Long	S&P Midcap 400 E-Mini Index	December 2016	$	603,627	$	619,840	$	16,213

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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:
Food-Retail	$	810,612	$	—		$	8,454	$	819,066
Other Industries		294,176,563		939,025	**		—		295,115,588
Convertible Preferred Securities		379,357		—			—		379,357
Exchange-Traded Funds		1,209,588		—			—		1,209,588
Short-Term Investment Securities		3,059,949		—			—		3,059,949
Repurchase Agreements		—		2,458,000			—		2,458,000
Total Investments at Value	$	299,636,069	$	3,397,025		$	8,454	$	303,041,548
Other Financial Instruments:†
Futures Contracts	$	16,213	$	—		$	—	$	16,213

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

†  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

209

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Banks-Commercial	9.1	%
Real Estate Investment Trusts	4.9
Insurance-Property/Casualty	4.5
Aerospace/Defense-Equipment	2.9
Building & Construction Products-Misc.	2.3
Computer Services	2.1
Enterprise Software/Service	1.8
Time Deposits	1.7
Chemicals-Specialty	1.7
Medical-Biomedical/Gene	1.7
Retail-Automobile	1.5
Human Resources	1.5
Savings & Loans/Thrifts	1.4
Electronic Components-Misc.	1.4
Diversified Manufacturing Operations	1.3
Auto/Truck Parts & Equipment-Replacement	1.3
Finance-Consumer Loans	1.3
Commercial Services-Finance	1.2
Veterinary Diagnostics	1.2
Retail-Restaurants	1.1
Research & Development	1.0
Finance-Auto Loans	1.0
Medical-Drugs	1.0
Retail-Apparel/Shoe	1.0
Electric-Integrated	1.0
Batteries/Battery Systems	0.9
Electronic Components-Semiconductors	0.9
Medical Products	0.9
Auto/Truck Parts & Equipment-Original	0.9
Paper & Related Products	0.9
Engineering/R&D Services	0.8
Oil Companies-Exploration & Production	0.8
Real Estate Management/Services	0.8
Medical Instruments	0.8
Gas-Distribution	0.8
Semiconductor Equipment	0.8
Food-Misc./Diversified	0.7
Oil-Field Services	0.7
Finance-Investment Banker/Broker	0.7
Entertainment Software	0.7
Storage/Warehousing	0.7
Professional Sports	0.7
Consumer Products-Misc.	0.6
Retail-Discount	0.6
Registered Investment Companies	0.6
Wireless Equipment	0.6
Machinery-General Industrial	0.6
Auto Repair Centers	0.6
Diversified Operations/Commercial Services	0.5
Medical-Hospitals	0.5
Energy-Alternate Sources	0.5
Transport-Truck	0.5
Data Processing/Management	0.5
Networking Products	0.5
Satellite Telecom	0.5
Distribution/Wholesale	0.5
Airlines	0.5
Broadcast Services/Program	0.5
Commercial Services	0.5
Transport-Services	0.5

Food-Canned	0.4	%
Printing-Commercial	0.4
Steel-Producers	0.4
Therapeutics	0.4
Medical-Outpatient/Home Medical	0.4
Rubber-Tires	0.4
Medical-HMO	0.4
Physicians Practice Management	0.4
Power Converter/Supply Equipment	0.4
Consulting Services	0.4
Computer Aided Design	0.4
Insurance-Life/Health	0.4
Computers-Integrated Systems	0.4
Water	0.4
Telephone-Integrated	0.4
Containers-Paper/Plastic	0.4
Telecom Services	0.3
Health Care Cost Containment	0.3
Semiconductor Components-Integrated Circuits	0.3
Respiratory Products	0.3
Lasers-System/Components	0.3
Home Furnishings	0.3
Retail-Petroleum Products	0.3
Office Supplies & Forms	0.3
Telecommunication Equipment	0.3
Schools	0.3
Applications Software	0.3
Retail-Misc./Diversified	0.3
Rubber/Plastic Products	0.3
Finance-Other Services	0.3
Internet Application Software	0.3
Footwear & Related Apparel	0.3
Transport-Rail	0.3
Exchange-Traded Funds	0.3
Hotels/Motels	0.3
Retail-Vitamins & Nutrition Supplements	0.3
Drug Delivery Systems	0.3
Building-Residential/Commercial	0.2
Chemicals-Diversified	0.2
Electronic Measurement Instruments	0.2
Real Estate Operations & Development	0.2
Poultry	0.2
Transactional Software	0.2
Tobacco	0.2
Computers	0.2
Retail-Hair Salons	0.2
Miscellaneous Manufacturing	0.2
Building Products-Cement	0.2
Linen Supply & Related Items	0.2
Medical-Generic Drugs	0.2
Television	0.2
Medical Information Systems	0.2
Web Hosting/Design	0.2
Medical-Wholesale Drug Distribution	0.2
E-Commerce/Services	0.2
Insurance-Multi-line	0.2
Engines-Internal Combustion	0.2
Diagnostic Kits	0.2
Repurchase Agreements	0.2
Financial Guarantee Insurance	0.2

210

Seasons Series Trust Small Cap Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Building & Construction-Misc.	0.2	%
Brewery	0.2
Disposable Medical Products	0.2
Chemicals-Fibers	0.2
Metal Processors & Fabrication	0.2
Electronic Design Automation	0.2
Electric Products-Misc.	0.2
Computer Software	0.2
Security Services	0.2
Food-Retail	0.2
Building Products-Wood	0.2
Diversified Minerals	0.2
Retail-Pawn Shops	0.1
Independent Power Producers	0.1
Investment Management/Advisor Services	0.1
Publishing-Books	0.1
Patient Monitoring Equipment	0.1
Retail-Home Furnishings	0.1
Telecom Equipment-Fiber Optics	0.1
Building Products-Doors & Windows	0.1
Computers-Periphery Equipment	0.1
Optical Recognition Equipment	0.1
Banks-Mortgage	0.1
Audio/Video Products	0.1
Casino Hotels	0.1
Internet Content-Information/News	0.1
Building-Maintenance & Services	0.1
Aerospace/Defense	0.1
Food-Wholesale/Distribution	0.1
Environmental Consulting & Engineering	0.1
Machinery-Construction & Mining	0.1
Food-Dairy Products	0.1
Housewares	0.1
Investment Companies	0.1
Funeral Services & Related Items	0.1
Computer Data Security	0.1
Metal-Aluminum	0.1
Building-Heavy Construction	0.1
Medical-Nursing Homes	0.1
Protection/Safety	0.1
Instruments-Controls	0.1
Food-Flour & Grain	0.1
Resorts/Theme Parks	0.1
Internet Security	0.1
Electronic Parts Distribution	0.1
Transport-Air Freight	0.1
Platinum	0.1
Identification Systems	0.1
Gambling (Non-Hotel)	0.1
Office Furnishings-Original	0.1
Machinery-Electrical	0.1
Diagnostic Equipment	0.1
Internet Connectivity Services	0.1
Wire & Cable Products	0.1
Electronic Security Devices	0.1
Building-Mobile Home/Manufactured Housing	0.1
Retail-Sporting Goods	0.1
Machinery-Farming	0.1
Electric-Generation	0.1
Internet Telephone	0.1

Oil Field Machinery & Equipment	0.1	%
Publishing-Newspapers	0.1
Insurance-Reinsurance	0.1
Retail-Jewelry	0.1
Machinery-Pumps	0.1
Auto-Truck Trailers	0.1
Internet Content-Entertainment	0.1
Medical Laser Systems	0.1
Pharmacy Services	0.1
Appliances	0.1
Oil & Gas Drilling	0.1
Circuit Boards	0.1
Building Products-Air & Heating	0.1
Electric-Distribution	0.1
Medical Imaging Systems	0.1
Firearms & Ammunition	0.1
Golf	0.1
Banks-Fiduciary	0.1
Decision Support Software	0.1
Apparel Manufacturers	0.1
Retail-Bookstores	0.1
Transport-Equipment & Leasing	0.1
Hazardous Waste Disposal	0.1
Metal Products-Distribution	0.1
	100.9	%

*  Calculated as a percentage of net assets

211

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.1%
Aerospace/Defense — 0.1%
Aerovironment, Inc.†		3,439	$	83,946
Cubic Corp.		4,149		194,215
National Presto Industries, Inc.		824		72,339
				350,500
Aerospace/Defense-Equipment — 2.9%
AAR Corp.		11,892		372,457
Aerojet Rocketdyne Holdings, Inc.†		11,629		204,438
Astronics Corp.†		62,532		2,817,066
B/E Aerospace, Inc.		21,454		1,108,314
Curtiss-Wright Corp.		5,400		491,994
HEICO Corp.		35,766		2,475,007
Kaman Corp.		4,527		198,826
KLX, Inc.†		32,039		1,127,773
Moog, Inc., Class A†		10,337		615,465
				9,411,340
Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		9,343		10,558
Agricultural Operations — 0.0%
Andersons, Inc.		4,382		158,541
Airlines — 0.5%
Alaska Air Group, Inc.		9,000		592,740
Allegiant Travel Co.		2,176		287,384
Hawaiian Holdings, Inc.†		8,925		433,755
SkyWest, Inc.		8,612		227,443
				1,541,322
Apparel Manufacturers — 0.1%
Oxford Industries, Inc.		2,494		168,844
Appliances — 0.1%
iRobot Corp.†		4,541		199,713
Applications Software — 0.3%
Ebix, Inc.		3,745		212,903
Epiq Systems, Inc.		5,449		89,854
MINDBODY, Inc., Class A†		13,100		257,546
Progress Software Corp.†		12,300		334,560
Tangoe, Inc.†		3,887		32,068
				926,931
Athletic Equipment — 0.0%
Nautilus, Inc.†		5,197		118,076
Audio/Video Products — 0.1%
Daktronics, Inc.		6,671		63,641
DTS, Inc.		2,947		125,366
Universal Electronics, Inc.†		2,418		180,044
VOXX International Corp.†		3,293		9,846
				378,897
Auto Repair Centers — 0.6%
Monro Muffler Brake, Inc.		29,373		1,796,746
Auto-Truck Trailers — 0.1%
Wabash National Corp.†		14,680		209,043
Auto/Truck Parts & Equipment-Original — 0.9%
American Axle & Manufacturing Holdings, Inc.†		87,530		1,507,266
Cooper-Standard Holding, Inc.†		2,892		285,730

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original (continued)
Dana, Inc.		19,800	$	308,682
Gentherm, Inc.†		6,095		191,505
Superior Industries International, Inc.		3,822		111,449
Tenneco, Inc.†		6,200		361,274
Titan International, Inc.		7,315		74,028
				2,839,934
Auto/Truck Parts & Equipment-Replacement — 1.3%
Dorman Products, Inc.†		52,257		3,339,222
Douglas Dynamics, Inc.		24,000		766,560
Motorcar Parts of America, Inc.†		3,113		89,592
Standard Motor Products, Inc.		3,340		159,519
				4,354,893
B2B/E-Commerce — 0.0%
ePlus, Inc.†		1,102		104,040
Banks-Commercial — 9.1%
1st Source Corp.		4,340		154,916
Ameris Bancorp		5,827		203,654
BancFirst Corp.		6,500		471,315
BancorpSouth, Inc.		17,300		401,360
Bank of the Ozarks, Inc.		90,802		3,486,797
Banner Corp.		4,456		194,905
Capital Bank Financial Corp., Class A		17,400		558,714
Cardinal Financial Corp.		5,423		141,486
Cathay General Bancorp, Class B		6,800		209,304
Central Pacific Financial Corp.		30,878		777,817
Central Valley Community Bancorp		1,500		23,790
Chemical Financial Corp.		2,600		114,738
Citizens & Northern Corp.		1,700		37,349
City Holding Co.		6,807		342,324
Columbia Banking System, Inc.		9,699		317,351
Community Bank System, Inc.		7,396		355,822
Customers Bancorp, Inc.†		4,287		107,861
CVB Financial Corp.		44,776		788,505
Eagle Bancorp, Inc.†		71,395		3,521,915
East West Bancorp, Inc.		355		13,032
FCB Financial Holdings, Inc., Class A†		31,100		1,195,173
First BanCorp†		19,232		100,006
First Commonwealth Financial Corp.		46,962		473,847
First Community Bancshares, Inc.		1,900		47,120
First Financial Bancorp		10,854		237,051
First Financial Bankshares, Inc.		11,038		402,225
First Hawaiian, Inc.†		6,200		166,532
First Interstate BancSystem, Inc., Class A		1,900		59,869
First Midwest Bancorp, Inc.		13,587		263,044
First NBC Bank Holding Co.†		2,667		25,176
Fulton Financial Corp.		7,200		104,544
Glacier Bancorp, Inc.		12,727		362,974
Great Western Bancorp, Inc.		14,207		473,377
Guaranty Bancorp		2,800		49,980
Hanmi Financial Corp.		5,391		141,999
Home BancShares, Inc.		83,564		1,738,967
Hope Bancorp, Inc.		35,074		609,235
Independent Bank Corp.		4,399		237,942

212

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Independent Bank Corp.		2,800	$	47,124
LegacyTexas Financial Group, Inc.		92,252		2,917,931
MainSource Financial Group, Inc.		2,200		54,890
NBT Bancorp, Inc.		7,196		236,533
OFG Bancorp		25,037		253,124
Old National Bancorp		22,558		317,165
Opus Bank		3,035		107,348
PacWest Bancorp		4,600		197,386
Park Sterling Corp.		5,550		45,066
Pinnacle Financial Partners, Inc.		7,247		391,918
S&T Bancorp, Inc.		5,834		169,128
ServisFirst Bancshares, Inc.		3,685		191,288
Sierra Bancorp		1,900		35,644
Simmons First National Corp., Class A		7,628		380,637
Southside Bancshares, Inc.		5,380		173,128
Southwest Bancorp, Inc.		1,400		26,586
Suffolk Bancorp		8,802		306,046
TCF Financial Corp.		17,400		252,474
Texas Capital Bancshares, Inc.†		7,679		421,731
Tompkins Financial Corp.		2,036		155,571
TrustCo Bank Corp. NY		15,974		113,256
Trustmark Corp.		6,000		165,360
UMB Financial Corp.		9,983		593,489
Union Bankshares Corp.		23,863		638,813
United Bankshares, Inc.		11,231		423,072
United Community Banks, Inc.		11,833		248,730
Webster Financial Corp.		1,600		60,816
West Bancorporation, Inc.		5,100		99,960
Westamerica Bancorporation		23,783		1,210,079
Wintrust Financial Corp.		8,634		479,791
				29,626,100
Banks-Fiduciary — 0.1%
Boston Private Financial Holdings, Inc.		13,939		178,837
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		15,033		379,734
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		1,800		42,066
Batteries/Battery Systems — 0.9%
EnerSys		44,190		3,057,506
Bicycle Manufacturing — 0.0%
Fox Factory Holding Corp.†		3,993		91,719
Brewery — 0.2%
Boston Beer Co., Inc., Class A†		3,732		579,430
Broadcast Services/Program — 0.5%
Nexstar Broadcasting Group, Inc., Class A		6,100		352,031
TiVo Corp.†		52,748		1,027,531
World Wrestling Entertainment, Inc., Class A		6,166		131,336
				1,510,898

Security Description	Shares		Value (Note 2)
Building & Construction Products-Misc. — 2.3%
Drew Industries, Inc.		41,693	$	4,086,748
Gibraltar Industries, Inc.†		15,231		565,832
Patrick Industries, Inc.†		31,098		1,925,588
Ply Gem Holdings, Inc.†		12,400		165,664
Quanex Building Products Corp.		5,719		98,710
Simpson Manufacturing Co., Inc.		6,872		302,024
Trex Co., Inc.†		4,904		287,963
				7,432,529
Building & Construction-Misc. — 0.2%
Aegion Corp.†		5,781		110,244
Comfort Systems USA, Inc.		6,204		181,839
MYR Group, Inc.†		2,682		80,728
TopBuild Corp.†		6,423		213,244
				586,055
Building Products-Air & Heating — 0.1%
AAON, Inc.		6,632		191,134
Building Products-Cement — 0.2%
Continental Building Products, Inc.†		16,400		344,236
Headwaters, Inc.†		12,383		209,520
US Concrete, Inc.†		2,367		109,036
				662,792
Building Products-Doors & Windows — 0.1%
Apogee Enterprises, Inc.		4,811		215,004
Griffon Corp.		5,078		86,377
PGT, Inc.†		8,178		87,259
				388,640
Building Products-Wood — 0.2%
Boise Cascade Co.†		6,475		164,465
Universal Forest Products, Inc.		3,393		334,177
				498,642
Building-Heavy Construction — 0.1%
MasTec, Inc.†		9,200		273,608
Orion Group Holdings, Inc.†		4,625		31,681
				305,289
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		9,344		370,957
Building-Mobile Home/Manufactured Housing — 0.1%
Cavco Industries, Inc.†		1,409		139,561
Winnebago Industries, Inc.		4,494		105,924
				245,485
Building-Residential/Commercial — 0.2%
Installed Building Products, Inc.†		3,314		118,873
LGI Homes, Inc.†		2,810		103,520
M/I Homes, Inc.†		4,122		97,156
MDC Holdings, Inc.		6,554		169,093
Meritage Homes Corp.†		6,285		218,090
WCI Communities, Inc.†		3,653		86,649
				793,381

213

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Casino Hotels — 0.1%
Boyd Gaming Corp.†		16,595	$	328,249
Monarch Casino & Resort, Inc.†		1,823		45,885
				374,134
Casino Services — 0.0%
Scientific Games Corp., Class A†		13,282		149,688
Cellular Telecom — 0.0%
ATN International, Inc.		1,781		115,836
Chemicals-Diversified — 0.2%
Aceto Corp.		4,954		94,077
Innophos Holdings, Inc.		4,247		165,760
Innospec, Inc.		4,006		243,605
Koppers Holdings, Inc.†		8,751		281,607
				785,049
Chemicals-Fibers — 0.2%
Rayonier Advanced Materials, Inc.		42,529		568,613
Chemicals-Other — 0.0%
American Vanguard Corp.		4,315		69,299
Chemicals-Plastics — 0.0%
A. Schulman, Inc.		4,879		142,076
Chemicals-Specialty — 1.7%
Balchem Corp.		35,287		2,735,801
Calgon Carbon Corp.		8,459		128,323
Chemours Co.		30,321		485,136
H.B. Fuller Co.		8,402		390,441
Hawkins, Inc.		1,595		69,111
Ingevity Corp.†		7,035		324,314
Kraton Performance Polymers, Inc.†		5,155		180,631
Minerals Technologies, Inc.		8,800		622,072
OMNOVA Solutions, Inc.†		20,200		170,488
Quaker Chemical Corp.		2,214		234,529
Stepan Co.		3,251		236,218
Valvoline, Inc.†		2,600		61,074
				5,638,138
Circuit Boards — 0.1%
Park Electrochemical Corp.		3,178		55,202
TTM Technologies, Inc.†		12,060		138,087
				193,289
Coal — 0.0%
Cloud Peak Energy, Inc.†		10,246		55,738
SunCoke Energy, Inc.		10,924		87,611
				143,349
Commercial Services — 0.5%
Healthcare Services Group, Inc.		12,107		479,195
HMS Holdings Corp.†		27,309		605,441
Medifast, Inc.		2,861		108,117
Nutrisystem, Inc.		4,934		146,490
Team, Inc.†		4,900		160,279
				1,499,522
Commercial Services-Finance — 1.2%
Cardtronics PLC, Class A†		7,558		337,087
Euronet Worldwide, Inc.†		2,000		163,660
EVERTEC, Inc.		2,600		43,628

Security Description	Shares		Value (Note 2)
Commercial Services-Finance (continued)
Green Dot Corp., Class A†		7,161	$	165,133
LendingTree, Inc.†		1,201		116,389
MarketAxess Holdings, Inc.		5,700		943,863
WEX, Inc.†		20,685		2,235,841
				4,005,601
Communications Software — 0.0%
Digi International, Inc.†		4,338		49,453
Computer Aided Design — 0.4%
Aspen Technology, Inc.†		26,000		1,216,540
Computer Data Security — 0.1%
Qualys, Inc.†		8,488		324,157
Computer Graphics — 0.0%
Monotype Imaging Holdings, Inc.		6,819		150,768
Computer Services — 2.1%
Barracuda Networks, Inc.†		10,500		267,540
CACI International, Inc., Class A†		4,064		410,058
Ciber, Inc.†		12,349		14,201
Convergys Corp.		15,000		456,300
Engility Holdings, Inc.†		2,949		92,894
ExlService Holdings, Inc.†		5,597		278,954
Insight Enterprises, Inc.†		9,127		297,084
LivePerson, Inc.†		8,882		74,698
Manhattan Associates, Inc.†		66,937		3,856,910
Science Applications International Corp.		3,300		228,921
Sykes Enterprises, Inc.†		6,617		186,136
TeleTech Holdings, Inc.		2,684		77,809
Unisys Corp.†		57,300		558,102
Virtusa Corp.†		4,591		113,306
				6,912,913
Computer Software — 0.2%
Blackbaud, Inc.		7,940		526,740
Computers — 0.2%
Nutanix, Inc., Class A†		18,700		691,900
Computers-Integrated Systems — 0.4%
Agilysys, Inc.†		2,491		27,700
Cray, Inc.†		31,405		739,274
Mercury Systems, Inc.†		6,744		165,700
MTS Systems Corp.		2,786		128,239
Super Micro Computer, Inc.†		6,341		148,189
				1,209,102
Computers-Periphery Equipment — 0.1%
Electronics For Imaging, Inc.†		7,806		381,870
Consulting Services — 0.4%
Forrester Research, Inc.		1,660		64,574
Franklin Covey Co.†		6,600		117,546
Huron Consulting Group, Inc.†		14,900		890,424
Navigant Consulting, Inc.†		7,920		160,142
				1,232,686
Consumer Products-Misc. — 0.6%
Central Garden & Pet Co.†		1,671		43,446
Central Garden & Pet Co., Class A†		5,599		138,855
CSS Industries, Inc.		2,200		56,276

214

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Consumer Products-Misc. (continued)
Helen of Troy, Ltd.†		17,130	$	1,476,092
WD-40 Co.		2,379		267,471
				1,982,140
Containers-Paper/Plastic — 0.4%
Graphic Packaging Holding Co.		53,200		744,268
KapStone Paper and Packaging Corp.		14,684		277,821
Multi-Color Corp.		2,198		145,068
				1,167,157
Cosmetics & Toiletries — 0.0%
e.l.f. Beauty, Inc.†		2,400		67,488
Inter Parfums, Inc.		2,854		92,099
				159,587
Data Processing/Management — 0.5%
CSG Systems International, Inc.		21,206		876,444
Fair Isaac Corp.		6,200		772,458
				1,648,902
Decision Support Software — 0.1%
Interactive Intelligence Group, Inc.†		2,973		178,796
Diagnostic Equipment — 0.1%
BioTelemetry, Inc.†		4,683		86,963
Repligen Corp.†		5,645		170,423
				257,386
Diagnostic Kits — 0.2%
Meridian Bioscience, Inc.		7,032		135,647
Quidel Corp.†		21,200		468,308
				603,955
Direct Marketing — 0.0%
Harte-Hanks, Inc.		7,773		12,592
Disposable Medical Products — 0.2%
ICU Medical, Inc.†		2,426		306,598
Merit Medical Systems, Inc.†		7,418		180,183
Utah Medical Products, Inc.		1,500		89,700
				576,481
Distribution/Wholesale — 0.5%
Anixter International, Inc.†		4,749		306,310
Core-Mark Holding Co., Inc.		7,730		276,734
Essendant, Inc.		11,032		226,377
G-III Apparel Group, Ltd.†		6,881		200,581
ScanSource, Inc.†		4,282		156,293
SiteOne Landscape Supply, Inc.†		1,900		68,267
Titan Machinery, Inc.†		23,600		245,440
Veritiv Corp.†		1,364		68,432
				1,548,434
Diversified Manufacturing Operations — 1.3%
Actuant Corp., Class A		30,146		700,593
AZZ, Inc.		4,333		282,815
Barnes Group, Inc.		8,367		339,282
Colfax Corp.†		25,309		795,462
EnPro Industries, Inc.		3,594		204,211
Fabrinet†		6,049		269,725
Federal Signal Corp.		10,014		132,786

Security Description	Shares		Value (Note 2)
Diversified Manufacturing Operations (continued)
GP Strategies Corp.†		37,646	$	926,845
Harsco Corp.		13,396		133,022
LSB Industries, Inc.†		3,361		28,837
Lydall, Inc.†		2,864		146,436
Raven Industries, Inc.		6,042		139,147
Standex International Corp.		2,135		198,277
Tredegar Corp.		4,232		78,673
				4,376,111
Diversified Minerals — 0.2%
US Silica Holdings, Inc.		10,588		492,977
Diversified Operations/Commercial Services — 0.5%
Colliers International Group, Inc.		37,621		1,582,716
Viad Corp.		3,389		124,952
				1,707,668
Drug Delivery Systems — 0.3%
Depomed, Inc.†		10,253		256,223
Heron Therapeutics, Inc.†		4,000		68,920
Nektar Therapeutics†		22,846		392,494
Revance Therapeutics, Inc.†		5,900		95,639
				813,276
E-Commerce/Products — 0.0%
Blue Nile, Inc.		1,941		66,809
FTD Cos., Inc.†		2,881		59,262
				126,071
E-Commerce/Services — 0.2%
RetailMeNot, Inc.†		22,300		220,547
Stamps.com, Inc.†		2,683		253,570
Trade Desk, Inc., Class A†		5,000		146,050
				620,167
E-Marketing/Info — 0.0%
Liquidity Services, Inc.†		4,006		45,027
QuinStreet, Inc.†		6,039		18,238
				63,265
E-Services/Consulting — 0.0%
Perficient, Inc.†		6,033		121,565
Electric Products-Misc. — 0.2%
Graham Corp.		2,800		53,480
Littelfuse, Inc.		3,752		483,295
				536,775
Electric-Distribution — 0.1%
Spark Energy, Inc., Class A		6,300		183,519
Electric-Generation — 0.1%
Atlantic Power Corp.		94,000		232,180
Electric-Integrated — 1.0%
ALLETE, Inc.		8,251		491,924
Avista Corp.		12,644		528,393
El Paso Electric Co.		14,971		700,194
NorthWestern Corp.		10,272		590,948
PNM Resources, Inc.		6,000		196,320
Portland General Electric Co.		14,400		613,296
				3,121,075

215

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Misc. — 1.4%
Bel Fuse, Inc., Class B		9,552	$	230,585
Benchmark Electronics, Inc.†		25,582		638,271
CTS Corp.		5,474		101,816
Methode Electronics, Inc.		6,174		215,905
OSI Systems, Inc.†		21,459		1,402,990
Plexus Corp.†		5,586		261,313
Rogers Corp.†		3,014		184,095
Sanmina Corp.†		22,949		653,358
Stoneridge, Inc.†		26,300		483,920
Vishay Intertechnology, Inc.		26,200		369,158
				4,541,411
Electronic Components-Semiconductors — 0.9%
Alpha & Omega Semiconductor, Ltd.†		25,100		545,172
CEVA, Inc.†		3,502		122,815
Diodes, Inc.†		6,443		137,494
DSP Group, Inc.†		3,658		43,933
Intersil Corp., Class A		14,500		317,985
InvenSense, Inc.†		103,000		764,260
Kopin Corp.†		10,152		22,131
Rambus, Inc.†		18,362		229,525
Semtech Corp.†		10,955		303,782
Silicon Laboratories, Inc.†		1,500		88,200
Synaptics, Inc.†		7,900		462,782
				3,038,079
Electronic Design Automation — 0.2%
Mentor Graphics Corp.		20,700		547,308
Electronic Measurement Instruments — 0.2%
Badger Meter, Inc.		4,862		162,925
ESCO Technologies, Inc.		4,297		199,467
FARO Technologies, Inc.†		2,786		100,157
Itron, Inc.†		5,559		309,970
				772,519
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		3,300		279,543
Electronic Security Devices — 0.1%
TASER International, Inc.†		8,721		249,508
Energy-Alternate Sources — 0.5%
FutureFuel Corp.		3,799		42,853
Green Plains, Inc.		5,943		155,706
Renewable Energy Group, Inc.†		4,700		39,809
REX American Resources Corp.†		16,746		1,419,391
				1,657,759
Engineering/R&D Services — 0.8%
EMCOR Group, Inc.		17,500		1,043,350
Exponent, Inc.		27,527		1,405,529
VSE Corp.		8,800		299,112
				2,747,991
Engines-Internal Combustion — 0.2%
Briggs & Stratton Corp.		32,903		613,641

Security Description	Shares		Value (Note 2)
Enterprise Software/Service — 1.8%
ManTech International Corp., Class A		4,185	$	157,733
MicroStrategy, Inc., Class A†		1,570		262,881
Omnicell, Inc.†		6,042		231,408
Open Text Corp.		34,735		2,252,912
SPS Commerce, Inc.†		2,837		208,264
Tyler Technologies, Inc.†		15,671		2,683,345
Xactly Corp.†		5,787		85,185
				5,881,728
Entertainment Software — 0.7%
Take-Two Interactive Software, Inc.†		50,222		2,264,008
Environmental Consulting & Engineering — 0.1%
Tetra Tech, Inc.		9,596		340,370
Finance-Auto Loans — 1.0%
Credit Acceptance Corp.†		16,116		3,240,444
Finance-Consumer Loans — 1.3%
Encore Capital Group, Inc.†		3,923		88,189
Enova International, Inc.†		3,885		37,607
Nelnet, Inc., Class A		5,700		230,109
PRA Group, Inc.†		109,510		3,782,475
World Acceptance Corp.†		999		48,991
				4,187,371
Finance-Investment Banker/Broker — 0.7%
Cowen Group, Inc., Class A†		6,700		24,321
Diamond Hill Investment Group, Inc.		5,114		945,016
Evercore Partners, Inc., Class A		6,481		333,837
Greenhill & Co., Inc.		4,602		108,469
Interactive Brokers Group, Inc., Class A		11,240		396,435
INTL. FCStone, Inc.†		2,492		96,814
Investment Technology Group, Inc.		5,223		89,522
KCG Holdings, Inc., Class A†		13,600		211,208
Piper Jaffray Cos.†		2,390		115,437
				2,321,059
Finance-Other Services — 0.3%
WageWorks, Inc.†		14,815		902,382
Financial Guarantee Insurance — 0.2%
MBIA, Inc.†		41,000		319,390
MGIC Investment Corp.†		17,700		141,600
NMI Holdings, Inc., Class A†		17,000		129,540
				590,530
Firearms & Ammunition — 0.1%
Sturm Ruger & Co., Inc.		3,170		183,099
Food-Canned — 0.4%
Seneca Foods Corp., Class A†		2,643		74,638
TreeHouse Foods, Inc.†		15,808		1,378,300
				1,452,938
Food-Catering — 0.0%
US Foods Holding Corp.†		5,500		129,855
Food-Dairy Products — 0.1%
Dean Foods Co.		20,600		337,840

216

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Flour & Grain — 0.1%
Post Holdings, Inc.†		3,900	$	300,963
Food-Misc./Diversified — 0.7%
B&G Foods, Inc.		11,096		545,702
Cal-Maine Foods, Inc.		4,969		191,505
Darling Ingredients, Inc.†		99,601		1,345,610
J&J Snack Foods Corp.		2,494		297,085
Snyder's-Lance, Inc.		547		18,368
				2,398,270
Food-Retail — 0.2%
Ingles Markets, Inc., Class A		7,200		284,688
SUPERVALU, Inc.†		44,407		221,591
				506,279
Food-Wholesale/Distribution — 0.1%
Calavo Growers, Inc.		2,564		167,763
SpartanNash Co.		6,260		181,039
				348,802
Footwear & Related Apparel — 0.3%
Crocs, Inc.†		12,278		101,907
Iconix Brand Group, Inc.†		11,078		89,953
Steven Madden, Ltd.†		9,214		318,436
Wolverine World Wide, Inc.		16,616		382,667
				892,963
Forestry — 0.0%
Deltic Timber Corp.		1,766		119,611
Funeral Services & Related Items — 0.1%
Matthews International Corp., Class A		5,366		326,038
Gambling (Non-Hotel) — 0.1%
Isle of Capri Casinos, Inc.†		12,100		269,588
Gas-Distribution — 0.8%
Northwest Natural Gas Co.		4,603		276,686
Piedmont Natural Gas Co., Inc.		13,567		814,563
South Jersey Industries, Inc.		13,280		392,424
Southwest Gas Corp.		4,100		286,426
Spire, Inc.		12,426		792,033
				2,562,132
Golf — 0.1%
Callaway Golf Co.		15,711		182,405
Hazardous Waste Disposal — 0.1%
US Ecology, Inc.		3,638		163,128
Health Care Cost Containment — 0.3%
CorVel Corp.†		22,161		850,982
HealthEquity, Inc.†		7,182		271,839
				1,122,821
Home Furnishings — 0.3%
American Woodmark Corp.†		2,343		188,775
Ethan Allen Interiors, Inc.		4,265		133,367
La-Z-Boy, Inc.		8,216		201,785
Leggett & Platt, Inc.		6,800		309,944
Select Comfort Corp.†		7,674		165,758
				999,629

Security Description	Shares		Value (Note 2)
Hotels/Motels — 0.3%
Belmond, Ltd., Class A†		14,109	$	179,326
Interval Leisure Group, Inc.		17,772		305,145
La Quinta Holdings, Inc.†		23,000		257,140
Marcus Corp.		3,151		78,901
				820,512
Housewares — 0.1%
NACCO Industries, Inc., Class A		4,900		333,004
Human Resources — 1.5%
AMN Healthcare Services, Inc.†		8,028		255,852
Barrett Business Services, Inc.		10,696		530,628
CDI Corp.		2,300		13,041
Cross Country Healthcare, Inc.†		45,011		530,230
Heidrick & Struggles International, Inc.		3,105		57,598
Insperity, Inc.		4,882		354,628
Kelly Services, Inc., Class A		4,864		93,486
Korn/Ferry International		9,574		201,054
Monster Worldwide, Inc.†		14,882		53,724
On Assignment, Inc.†		65,855		2,389,878
Resources Connection, Inc.		6,056		90,477
TriNet Group, Inc.†		2,300		49,749
TrueBlue, Inc.†		7,097		160,818
				4,781,163
Identification Systems — 0.1%
Brady Corp., Class A		7,806		270,166
Independent Power Producers — 0.1%
Dynegy, Inc.†		32,700		405,153
Ormat Technologies, Inc.		1,400		67,774
				472,927
Industrial Automated/Robotic — 0.0%
Hurco Cos., Inc.		3,000		84,210
Instruments-Controls — 0.1%
Watts Water Technologies, Inc., Class A		4,655		301,830
Insurance Brokers — 0.0%
eHealth, Inc.†		2,769		31,040
Insurance-Life/Health — 0.4%
American Equity Investment Life Holding Co.		26,103		462,806
CNO Financial Group, Inc.		25,300		386,331
Primerica, Inc.		6,900		365,907
				1,215,044
Insurance-Multi-line — 0.2%
Horace Mann Educators Corp.		6,711		245,958
Kemper Corp.		5,600		220,192
United Fire Group, Inc.		3,607		152,648
				618,798
Insurance-Property/Casualty — 4.5%
Ambac Financial Group, Inc.†		1,200		22,068
AMERISAFE, Inc.		27,683		1,627,207
AmTrust Financial Services, Inc.		143,155		3,840,849
Employers Holdings, Inc.		5,420		161,678
First American Financial Corp.		4,400		172,832

217

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Property/Casualty (continued)
Global Indemnity PLC†		1,600	$	47,520
HCI Group, Inc.		1,441		43,749
Infinity Property & Casualty Corp.		1,849		152,783
National General Holdings Corp.		132,241		2,941,040
Navigators Group, Inc.		5,549		537,809
ProAssurance Corp.		14,590		765,683
RLI Corp.		50,433		3,447,600
Safety Insurance Group, Inc.		2,381		160,051
Selective Insurance Group, Inc.		9,660		385,047
Stewart Information Services Corp.		5,005		222,472
United Insurance Holdings Corp.		2,965		50,346
Universal Insurance Holdings, Inc.		5,451		137,365
				14,716,099
Insurance-Reinsurance — 0.1%
Aspen Insurance Holdings, Ltd.		1,900		88,521
Maiden Holdings, Ltd.		10,512		133,397
				221,918
Internet Application Software — 0.3%
Bazaarvoice, Inc.†		152,200		899,502
Internet Connectivity Services — 0.1%
Cogent Communications Holdings, Inc.		6,853		252,259
Internet Content-Entertainment — 0.1%
Shutterstock, Inc.†		3,218		204,987
Internet Content-Information/News — 0.1%
DHI Group, Inc.†		22,069		174,124
HealthStream, Inc.†		4,243		117,107
XO Group, Inc.†		4,154		80,297
				371,528
Internet Security — 0.1%
VASCO Data Security International, Inc.†		14,038		247,209
Zix Corp.†		8,300		34,030
				281,239
Internet Telephone — 0.1%
8x8, Inc.†		14,985		231,219
Investment Companies — 0.1%
Acacia Research Corp.		50,422		328,751
Investment Management/Advisor Services — 0.1%
Calamos Asset Management, Inc., Class A		2,779		18,953
Federated Investors, Inc., Class B		2,500		74,075
Financial Engines, Inc.		8,878		263,765
Virtus Investment Partners, Inc.		954		93,359
				450,152
Lasers-System/Components — 0.3%
Coherent, Inc.†		5,564		615,044
Electro Scientific Industries, Inc.†		5,259		29,661
II-VI, Inc.†		9,105		221,525
Rofin-Sinar Technologies, Inc.†		4,748		152,791
				1,019,021

Security Description	Shares		Value (Note 2)
Leisure Games — 0.0%
Intrawest Resorts Holdings, Inc.†		1,700	$	27,574
Linen Supply & Related Items — 0.2%
G&K Services, Inc., Class A		3,289		314,066
UniFirst Corp.		2,574		339,408
				653,474
Machine Tools & Related Products — 0.0%
Kennametal, Inc.		2,000		58,040
Machinery-Construction & Mining — 0.1%
Astec Industries, Inc.		3,195		191,285
Hyster-Yale Materials Handling, Inc.		1,800		108,234
Joy Global, Inc.		1,400		38,836
				338,355
Machinery-Electrical — 0.1%
Franklin Electric Co., Inc.		6,409		260,910
Machinery-Farming — 0.1%
Alamo Group, Inc.		1,575		103,777
Lindsay Corp.		1,776		131,388
				235,165
Machinery-General Industrial — 0.6%
Albany International Corp., Class A		4,829		204,653
Applied Industrial Technologies, Inc.		12,426		580,791
Chart Industries, Inc.†		5,112		167,827
DXP Enterprises, Inc.†		15,157		427,276
Kadant, Inc.		5,600		291,816
Tennant Co.		2,938		190,382
				1,862,745
Machinery-Pumps — 0.1%
SPX FLOW, Inc.†		6,985		215,976
Medical Imaging Systems — 0.1%
Analogic Corp.		2,068		183,225
Medical Information Systems — 0.2%
Computer Programs & Systems, Inc.		1,786		46,543
Medidata Solutions, Inc.†		9,126		508,866
Quality Systems, Inc.		7,605		86,089
				641,498
Medical Instruments — 0.8%
Abaxis, Inc.		3,765		194,349
AngioDynamics, Inc.†		4,808		84,332
CONMED Corp.		4,137		165,728
CryoLife, Inc.		4,488		78,854
Halyard Health, Inc.†		6,700		232,222
Integra LifeSciences Holdings Corp.†		4,994		412,255
Natus Medical, Inc.†		5,506		216,331
Vascular Solutions, Inc.†		24,473		1,180,333
				2,564,404
Medical Labs & Testing Services — 0.0%
Medpace Holdings, Inc.†		3,500		104,510
Medical Laser Systems — 0.1%
Cynosure, Inc., Class A†		3,965		201,977

218

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Products — 0.9%
Cantel Medical Corp.		6,062	$	472,715
Haemonetics Corp.†		8,571		310,356
Integer Holdings Corp.†		4,580		99,340
Invacare Corp.		5,303		59,235
Luminex Corp.†		6,622		150,452
MiMedx Group, Inc.†		16,916		145,139
Orthofix International NV†		13,850		592,364
Surmodics, Inc.†		16,580		498,892
Wright Medical Group NV†		19,100		468,523
Zeltiq Aesthetics, Inc.†		5,959		233,712
				3,030,728
Medical-Biomedical/Gene — 1.7%
Acorda Therapeutics, Inc.†		7,709		160,964
Aduro Biotech, Inc.†		1,200		14,916
AMAG Pharmaceuticals, Inc.†		5,707		139,879
ANI Pharmaceuticals, Inc.†		1,327		88,046
Ardelyx, Inc.†		2,400		31,056
Arrowhead Pharmaceuticals, Inc.†		26,200		192,570
Audentes Therapeutics, Inc.†		1,700		30,277
Bellicum Pharmaceuticals, Inc.†		10,400		206,960
Blueprint Medicines Corp.†		2,700		80,190
Cambrex Corp.†		7,371		327,715
Coherus Biosciences, Inc.†		5,700		152,646
Dimension Therapeutics, Inc.†		3,500		27,965
Edge Therapeutics, Inc.†		7,900		82,239
Emergent BioSolutions, Inc.†		5,746		181,171
Exelixis, Inc.†		11,500		147,085
FibroGen, Inc.†		6,500		134,550
Five Prime Therapeutics, Inc.†		3,100		162,719
Halozyme Therapeutics, Inc.†		9,600		115,968
Idera Pharmaceuticals, Inc.†		14,000		35,840
Infinity Pharmaceuticals, Inc.†		14,400		22,464
Karyopharm Therapeutics, Inc.†		11,500		111,895
Kite Pharma, Inc.†		2,900		161,994
Lexicon Pharmaceuticals, Inc.†		11,400		205,998
Ligand Pharmaceuticals, Inc.†		3,171		323,632
Medicines Co.†		11,624		438,690
Momenta Pharmaceuticals, Inc.†		10,451		122,172
Prothena Corp. PLC†		5,900		353,823
PTC Therapeutics, Inc.†		23,400		327,834
Puma Biotechnology, Inc.†		2,600		174,330
Sage Therapeutics, Inc.†		4,300		198,015
Selecta Biosciences, Inc.†		10,100		143,925
Spark Therapeutics, Inc.†		1,500		90,090
Spectrum Pharmaceuticals, Inc.†		11,795		55,083
Tokai Pharmaceuticals, Inc.†		6,200		9,486
Trius Therapeutics, Inc. CVR†(1)(2)		13,800		0
Ultragenyx Pharmaceutical, Inc.†		3,500		248,290
Versartis, Inc.†		4,100		50,225
				5,350,702
Medical-Drugs — 1.0%
ACADIA Pharmaceuticals, Inc.†		8,900		283,109
Adamas Pharmaceuticals, Inc.†		7,100		116,511
Aimmune Therapeutics, Inc.†		11,500		172,500
Amicus Therapeutics, Inc.†		12,500		92,500

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Chimerix, Inc.†		2,900	$	16,066
Clovis Oncology, Inc.†		6,200		223,510
Eagle Pharmaceuticals, Inc.†		1,332		93,240
Enanta Pharmaceuticals, Inc.†		2,322		61,788
Global Blood Therapeutics, Inc.†		7,000		161,350
Horizon Pharma PLC†		5,500		99,715
Immune Design Corp.†		10,400		78,832
Lannett Co., Inc.†		4,870		129,396
Ophthotech Corp.†		3,200		147,616
Pacira Pharmaceuticals, Inc.†		6,600		225,852
PharMerica Corp.†		5,140		144,280
Prestige Brands Holdings, Inc.†		2,400		115,848
Radius Health, Inc.†		4,100		221,769
Reata Pharmaceuticals, Inc., Class A†		4,617		121,704
SciClone Pharmaceuticals, Inc.†		8,344		85,526
Supernus Pharmaceuticals, Inc.†		8,272		204,567
Synergy Pharmaceuticals, Inc.†		50,100		276,051
TESARO, Inc.†		1,300		130,312
				3,202,042
Medical-Generic Drugs — 0.2%
Amphastar Pharmaceuticals, Inc.†		13,681		259,528
AveXis, Inc.†		2,300		94,783
Impax Laboratories, Inc.†		12,341		292,482
				646,793
Medical-HMO — 0.4%
Magellan Health, Inc.†		4,107		220,669
Molina Healthcare, Inc.†		9,200		536,544
Triple-S Management Corp., Class B†		8,900		195,177
WellCare Health Plans, Inc.†		2,650		310,289
				1,262,679
Medical-Hospitals — 0.5%
Adeptus Health, Inc., Class A†		2,513		108,185
Community Health Systems, Inc.†		45,200		521,608
Quorum Health Corp.†		44,227		277,303
Select Medical Holdings Corp.†		17,793		240,205
Surgical Care Affiliates, Inc.†		11,235		547,819
				1,695,120
Medical-Nursing Homes — 0.1%
Ensign Group, Inc.		7,929		159,611
Kindred Healthcare, Inc.		14,245		145,584
				305,195
Medical-Outpatient/Home Medical — 0.4%
Air Methods Corp.†		5,791		182,359
Almost Family, Inc.†		1,493		54,898
Amedisys, Inc.†		4,652		220,691
Chemed Corp.		2,705		381,594
Civitas Solutions, Inc.†		18,700		341,462
LHC Group, Inc.†		2,487		91,720
Providence Service Corp.†		2,083		101,296
				1,374,020
Medical-Wholesale Drug Distribution — 0.2%
Owens & Minor, Inc.		17,900		621,667

219

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Metal Processors & Fabrication — 0.2%
CIRCOR International, Inc.		2,744	$	163,433
Haynes International, Inc.		2,087		77,448
Mueller Industries, Inc.		9,553		309,708
				550,589
Metal Products-Distribution — 0.1%
Olympic Steel, Inc.		7,320		161,772
Metal-Aluminum — 0.1%
Century Aluminum Co.†		8,293		57,636
Kaiser Aluminum Corp.		3,005		259,903
				317,539
Miscellaneous Manufacturing — 0.2%
Hillenbrand, Inc.		10,545		333,644
John Bean Technologies Corp.		4,871		343,649
				677,293
MRI/Medical Diagnostic Imaging — 0.0%
Alliance HealthCare Services, Inc.†		1,584		10,866
Multimedia — 0.0%
E.W. Scripps Co., Class A†		9,571		152,179
Networking Products — 0.5%
Black Box Corp.		13,431		186,691
Ixia†		10,461		130,763
LogMeIn, Inc.		4,228		382,169
NETGEAR, Inc.†		14,574		881,581
				1,581,204
Non-Ferrous Metals — 0.0%
Materion Corp.		3,336		102,449
Office Furnishings-Original — 0.1%
Interface, Inc.		15,928		265,838
Office Supplies & Forms — 0.3%
ACCO Brands Corp.†		101,200		975,568
Oil & Gas Drilling — 0.1%
Atwood Oceanics, Inc.		10,069		87,500
Parker Drilling Co.†		24,700		53,599
Seadrill, Ltd.†		22,300		52,851
				193,950
Oil Companies-Exploration & Production — 0.8%
Bill Barrett Corp.†		94,460		525,197
Bonanza Creek Energy, Inc.†		6,979		7,118
Carrizo Oil & Gas, Inc.†		9,232		375,004
Contango Oil & Gas Co.†		3,705		37,865
Denbury Resources, Inc.†		105,400		340,442
EP Energy Corp., Class A†		1,600		7,008
Northern Oil and Gas, Inc.†		7,447		19,958
PDC Energy, Inc.†		9,397		630,163
Sanchez Energy Corp.†		25,800		228,072
Synergy Resources Corp.†		33,502		232,169
Unit Corp.†		18,206		338,632
				2,741,628

Security Description	Shares		Value (Note 2)
Oil Field Machinery & Equipment — 0.1%
Exterran Corp.†		5,226	$	81,943
Flotek Industries, Inc.†		8,544		124,230
Gulf Island Fabrication, Inc.		2,249		20,691
				226,864
Oil Refining & Marketing — 0.0%
Adams Resources & Energy, Inc.		1,100		43,252
Western Refining, Inc.		3,100		82,026
				125,278
Oil-Field Services — 0.7%
Archrock, Inc.		16,634		217,573
Basic Energy Services, Inc.†		6,359		5,274
Bristow Group, Inc.		5,331		74,741
CARBO Ceramics, Inc.		3,062		33,498
Era Group, Inc.†		3,244		26,114
Gulfmark Offshore, Inc., Class A†		3,273		5,499
Helix Energy Solutions Group, Inc.†		17,503		142,299
Matrix Service Co.†		4,431		83,125
MRC Global, Inc.†		30,000		492,900
Newpark Resources, Inc.†		14,122		103,938
NOW, Inc.†		9,400		201,442
Pioneer Energy Services Corp.†		31,603		127,676
SEACOR Holdings, Inc.†		11,292		671,761
Tesco Corp.		7,754		63,273
TETRA Technologies, Inc.†		15,490		94,644
				2,343,757
Optical Recognition Equipment — 0.1%
Lumentum Holdings, Inc.†		9,135		381,569
Paper & Related Products — 0.9%
Clearwater Paper Corp.†		2,839		183,598
Domtar Corp.		3,200		118,816
Neenah Paper, Inc.		27,392		2,164,242
P.H. Glatfelter Co.		7,276		157,744
Schweitzer-Mauduit International, Inc.		5,106		196,887
				2,821,287
Patient Monitoring Equipment — 0.1%
Masimo Corp.†		7,339		436,597
Pharmacy Services — 0.1%
Diplomat Pharmacy, Inc.†		7,209		201,924
Physical Therapy/Rehabilitation Centers — 0.0%
U.S. Physical Therapy, Inc.		2,092		131,168
Physicians Practice Management — 0.4%
Healthways, Inc.†		47,679		1,261,586
Platinum — 0.1%
Stillwater Mining Co.†		20,230		270,273
Poultry — 0.2%
Pilgrim's Pride Corp.		13,200		278,784
Sanderson Farms, Inc.		5,020		483,577
				762,361

220

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Power Converter/Supply Equipment — 0.4%
Advanced Energy Industries, Inc.†		21,329	$	1,009,288
Powell Industries, Inc.		1,428		57,191
SPX Corp.†		6,977		140,517
Vicor Corp.†		2,668		30,949
				1,237,945
Printing-Commercial — 0.4%
Deluxe Corp.		8,400		561,288
Ennis, Inc.		19,900		335,315
RR Donnelley & Sons Co.		35,005		550,279
				1,446,882
Professional Sports — 0.7%
Madison Square Garden Co., Class A†		12,749		2,159,808
Protection/Safety — 0.1%
Landauer, Inc.		6,805		302,686
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		19,900		266,859
Scholastic Corp.		4,475		176,136
				442,995
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		19,472		226,654
Racetracks — 0.0%
Speedway Motorsports, Inc.		6,800		121,448
Real Estate Investment Trusts — 4.9%
Acadia Realty Trust		13,306		482,209
Agree Realty Corp.		3,913		193,459
American Assets Trust, Inc.		14,177		614,998
Armada Hoffler Properties, Inc.		1,000		13,400
Ashford Hospitality Trust, Inc.		3,100		18,259
Capstead Mtg. Corp.		63,639		600,116
CareTrust REIT, Inc.		9,674		142,982
CBL & Associates Properties, Inc.		8,100		98,334
Cedar Realty Trust, Inc.		12,691		91,375
Chesapeake Lodging Trust		10,042		229,962
CoreSite Realty Corp.		20,469		1,515,525
Cousins Properties, Inc.		35,117		366,622
CubeSmart		5,400		147,204
CyrusOne, Inc.		1,600		76,112
CYS Investments, Inc.		108,400		945,248
DCT Industrial Trust, Inc.		6,450		313,148
DiamondRock Hospitality Co.		41,466		377,341
EastGroup Properties, Inc.		8,995		661,672
EPR Properties		400		31,496
Equity LifeStyle Properties, Inc.		2,000		154,360
Equity One, Inc.		1,700		52,037
First Industrial Realty Trust, Inc.		4,000		112,880
Franklin Street Properties Corp.		24,663		310,754
GEO Group, Inc.		12,530		297,963
Getty Realty Corp.		4,399		105,268
Gladstone Commercial Corp.		1,500		27,945
Government Properties Income Trust		19,386		438,511
Gramercy Property Trust		10,000		96,400
Hersha Hospitality Trust		14,000		252,280

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Highwoods Properties, Inc.		3,000	$	156,360
Hospitality Properties Trust		8,200		243,704
Kite Realty Group Trust		13,933		386,223
Lexington Realty Trust		35,636		367,051
LTC Properties, Inc.		19,453		1,011,361
Mack-Cali Realty Corp.		7,200		195,984
Monogram Residential Trust, Inc.		7,000		74,480
National Retail Properties, Inc.		1,000		50,850
Parkway Properties, Inc.		13,819		235,061
Pennsylvania Real Estate Investment Trust		15,815		364,219
Post Properties, Inc.		3,300		218,229
Potlatch Corp.		11,200		435,568
PS Business Parks, Inc.		4,658		529,009
Ramco-Gershenson Properties Trust		14,800		277,352
Retail Opportunity Investments Corp.		18,191		399,474
RLJ Lodging Trust		38,500		809,655
Sabra Health Care REIT, Inc.		10,909		274,689
Saul Centers, Inc.		5,867		390,742
Silver Bay Realty Trust Corp.		1,700		29,801
Summit Hotel Properties, Inc.		17,083		224,812
Taubman Centers, Inc.		2,700		200,907
Universal Health Realty Income Trust		2,089		131,649
Urstadt Biddle Properties, Inc., Class A		4,818		107,056
				15,882,096
Real Estate Management/Services — 0.8%
FirstService Corp.		49,927		2,330,592
HFF, Inc., Class A		5,854		162,097
RE/MAX Holdings, Inc., Class A		2,948		129,064
				2,621,753
Real Estate Operations & Development — 0.2%
Alexander & Baldwin, Inc.		2,400		92,208
Forestar Group, Inc.†		36,738		430,202
Four Corners Property Trust, Inc.		10,006		213,428
St. Joe Co.†		1,500		27,570
				763,408
Recreational Vehicles — 0.0%
Arctic Cat, Inc.		2,180		33,768
Rental Auto/Equipment — 0.0%
Rent-A-Center, Inc.		8,875		112,180
Research & Development — 1.0%
Albany Molecular Research, Inc.†		3,725		61,500
INC Research Holdings, Inc., Class A†		5,000		222,900
PAREXEL International Corp.†		44,276		3,074,968
				3,359,368
Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		4,058		297,533
Respiratory Products — 0.3%
Inogen, Inc.†		17,153		1,027,465

221

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 1.0%
Abercrombie & Fitch Co., Class A		20,300	$	322,567
Buckle, Inc.		4,662		112,028
Caleres, Inc.		7,251		183,378
Cato Corp., Class A		4,350		143,071
Children's Place, Inc.		18,792		1,500,917
Express, Inc.†		13,101		154,461
Finish Line, Inc., Class A		6,925		159,829
Francesca's Holdings Corp.†		6,336		97,764
Genesco, Inc.†		3,465		188,704
Shoe Carnival, Inc.		2,363		62,998
Stein Mart, Inc.		5,172		32,842
Tailored Brands, Inc.		8,128		127,610
Vera Bradley, Inc.†		3,267		49,495
				3,135,664
Retail-Automobile — 1.5%
Asbury Automotive Group, Inc.†		15,947		887,769
Group 1 Automotive, Inc.		3,318		211,954
Lithia Motors, Inc., Class A		38,010		3,630,715
Sonic Automotive, Inc., Class A		4,467		83,980
				4,814,418
Retail-Bookstores — 0.1%
Barnes & Noble Education, Inc.†		6,422		61,459
Barnes & Noble, Inc.		9,337		105,508
				166,967
Retail-Building Products — 0.0%
At Home Group, Inc.†		900		13,635
Lumber Liquidators Holdings, Inc.†		4,535		89,203
				102,838
Retail-Discount — 0.6%
Big Lots, Inc.		10,800		515,700
Fred's, Inc., Class A		5,857		53,065
HSN, Inc.		34,308		1,365,458
Tuesday Morning Corp.†		7,444		44,515
				1,978,738
Retail-Hair Salons — 0.2%
Regis Corp.†		54,161		679,721
Retail-Home Furnishings — 0.1%
Haverty Furniture Cos., Inc.		3,188		63,887
Kirkland's, Inc.†		2,443		29,756
Pier 1 Imports, Inc.		77,600		329,024
				422,667
Retail-Jewelry — 0.1%
Movado Group, Inc.		10,061		216,110
Retail-Leisure Products — 0.0%
MarineMax, Inc.†		4,058		85,015
Retail-Misc./Diversified — 0.3%
FirstCash, Inc.		11,716		551,589
Five Below, Inc.†		9,168		369,379
				920,968
Retail-Pawn Shops — 0.1%
EZCORP, Inc., Class A†		43,697		483,289

Security Description	Shares		Value (Note 2)
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		3,430	$	69,560
Retail-Petroleum Products — 0.3%
World Fuel Services Corp.		21,591		998,800
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		1,300		81,913
Stage Stores, Inc.		4,206		23,596
				105,509
Retail-Restaurants — 1.1%
Biglari Holdings, Inc.†		169		73,687
BJ's Restaurants, Inc.†		3,353		119,199
Bloomin' Brands, Inc.		6,800		117,232
Bob Evans Farms, Inc.		3,303		126,505
Chuy's Holdings, Inc.†		2,806		78,400
DineEquity, Inc.		3,561		281,995
El Pollo Loco Holdings, Inc.†		3,595		45,261
Fiesta Restaurant Group, Inc.†		4,498		107,952
Jack in the Box, Inc.		10,200		978,588
Papa John's International, Inc.		4,449		350,804
Popeyes Louisiana Kitchen, Inc.†		3,555		188,913
Red Robin Gourmet Burgers, Inc.†		2,220		99,767
Ruby Tuesday, Inc.†		31,848		79,620
Ruth's Hospitality Group, Inc.		5,079		71,715
Sonic Corp.		38,244		1,001,228
				3,720,866
Retail-Sporting Goods — 0.1%
Big 5 Sporting Goods Corp.		2,981		40,601
Hibbett Sports, Inc.†		3,739		149,186
Zumiez, Inc.†		2,942		52,956
				242,743
Retail-Vitamins & Nutrition Supplements — 0.3%
GNC Holdings, Inc., Class A		34,800		710,616
Vitamin Shoppe, Inc.†		4,010		107,669
				818,285
Rubber-Tires — 0.4%
Cooper Tire & Rubber Co.		33,500		1,273,670
Rubber/Plastic Products — 0.3%
Myers Industries, Inc.		6,047		78,551
Proto Labs, Inc.†		4,061		243,294
Trinseo SA		10,500		593,880
				915,725
Satellite Telecom — 0.5%
DigitalGlobe, Inc.†		53,500		1,471,250
Iridium Communications, Inc.†		13,422		108,852
				1,580,102
Savings & Loans/Thrifts — 1.4%
Astoria Financial Corp.		15,240		222,504
Banc of California, Inc.		8,281		144,586
Bank Mutual Corp.		7,008		53,822
BankFinancial Corp.		1,400		17,780
Beneficial Bancorp, Inc.		30,499		448,640
BofI Holding, Inc.†		9,620		215,488
Brookline Bancorp, Inc.		11,782		143,623
Capitol Federal Financial, Inc.		1,500		21,105

222

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Savings & Loans/Thrifts (continued)
Charter Financial Corp.		5,500	$	70,840
Dime Community Bancshares, Inc.		5,240		87,822
First Defiance Financial Corp.		1,500		66,960
Flushing Financial Corp.		5,700		135,204
Investors Bancorp, Inc.		19,000		228,190
Meridian Bancorp, Inc.		45,600		709,992
Northfield Bancorp, Inc.		52,212		840,613
Northwest Bancshares, Inc.		17,130		269,112
Oritani Financial Corp.		18,751		294,766
Provident Financial Services, Inc.		10,008		212,470
Sterling Bancorp		21,831		382,043
				4,565,560
Schools — 0.3%
American Public Education, Inc.†		2,685		53,190
Capella Education Co.		1,932		112,133
Career Education Corp.†		10,752		73,006
K12, Inc.†		7,400		106,190
Strayer Education, Inc.†		12,542		585,461
Universal Technical Institute, Inc.		3,499		6,228
				936,208
Security Services — 0.2%
Ascent Capital Group, Inc., Class A†		10,100		234,017
Brink's Co.		7,449		276,209
				510,226
Seismic Data Collection — 0.0%
Geospace Technologies Corp.†		2,227		43,382
Semiconductor Components-Integrated Circuits — 0.3%
Exar Corp.†		6,958		64,779
Integrated Device Technology, Inc.†		23,800		549,780
MaxLinear, Inc., Class A†		9,200		186,484
Power Integrations, Inc.		4,827		304,246
				1,105,289
Semiconductor Equipment — 0.8%
Brooks Automation, Inc.		11,468		156,079
Cabot Microelectronics Corp.		4,033		213,386
Cohu, Inc.		28,845		338,640
Kulicke & Soffa Industries, Inc.†		11,763		152,096
MKS Instruments, Inc.		8,951		445,133
Nanometrics, Inc.†		4,143		92,555
Rudolph Technologies, Inc.†		5,170		91,716
Tessera Technologies, Inc.		12,616		484,959
Ultratech, Inc.†		3,935		90,820
Veeco Instruments, Inc.†		6,790		133,288
Xcerra Corp.†		47,400		287,244
				2,485,916
Steel Pipe & Tube — 0.0%
TimkenSteel Corp.†		6,502		67,946
Steel-Producers — 0.4%
AK Steel Holding Corp.†		85,299		411,994
Carpenter Technology Corp.		4,100		169,166
Commercial Metals Co.		3,900		63,141

Security Description	Shares		Value (Note 2)
Steel-Producers (continued)
Ryerson Holding Corp.†		10,200	$	115,158
Worthington Industries, Inc.		13,600		653,208
				1,412,667
Storage/Warehousing — 0.7%
Mobile Mini, Inc.		7,425		224,235
Wesco Aircraft Holdings, Inc.†		147,841		1,985,505
				2,209,740
Telecom Equipment-Fiber Optics — 0.1%
Harmonic, Inc.†		18,838		111,709
Viavi Solutions, Inc.†		38,814		286,836
				398,545
Telecom Services — 0.3%
Consolidated Communications Holdings, Inc.		8,464		213,631
EarthLink Holdings Corp.		57,700		357,740
Inteliquent, Inc.		5,720		92,321
Lumos Networks Corp.†		3,921		54,894
Spok Holdings, Inc.		3,433		61,176
West Corp.		15,700		346,656
				1,126,418
Telecommunication Equipment — 0.3%
ADTRAN, Inc.		8,087		154,785
Comtech Telecommunications Corp.		3,896		49,908
Plantronics, Inc.		14,500		753,420
				958,113
Telephone-Integrated — 0.4%
Cincinnati Bell, Inc.†		80,317		327,693
General Communication, Inc., Class A†		6,497		89,334
Windstream Holdings, Inc.		77,200		775,860
				1,192,887
Television — 0.2%
Sinclair Broadcast Group, Inc., Class A		22,300		644,024
Textile-Apparel — 0.0%
Perry Ellis International, Inc.†		2,020		38,946
Unifi, Inc.†		2,523		74,252
				113,198
Therapeutics — 0.4%
Anika Therapeutics, Inc.†		2,469		118,142
Axsome Therapeutics, Inc.†		10,100		79,588
Cara Therapeutics, Inc.†		6,700		55,945
Flexion Therapeutics, Inc.†		7,500		146,550
Neurocrine Biosciences, Inc.†		7,800		394,992
Portola Pharmaceuticals, Inc.†		3,800		86,298
Proteostasis Therapeutics, Inc.†		10,900		169,931
Seres Therapeutics, Inc.†		3,300		40,557
Xencor, Inc.†		11,500		281,635
Zafgen, Inc.†		900		2,979
				1,376,617

223

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Tobacco — 0.2%
Alliance One International, Inc.†		3,000	$	57,360
Universal Corp.		11,054		643,564
				700,924
Toys — 0.0%
JAKKS Pacific, Inc.†		16,900		146,016
Transactional Software — 0.2%
ACI Worldwide, Inc.†		14,800		286,824
Bottomline Technologies de, Inc.†		6,217		144,918
Synchronoss Technologies, Inc.†		7,014		288,837
				720,579
Transport-Air Freight — 0.1%
Atlas Air Worldwide Holdings, Inc.†		6,349		271,864
Transport-Equipment & Leasing — 0.1%
Greenbrier Cos., Inc.		4,713		166,369
Transport-Marine — 0.0%
Hornbeck Offshore Services, Inc.†		5,404		29,722
Tidewater, Inc.		7,864		22,176
				51,898
Transport-Rail — 0.3%
Genesee & Wyoming, Inc., Class A†		12,784		881,457
Transport-Services — 0.5%
Echo Global Logistics, Inc.†		4,603		106,145
Hub Group, Inc., Class A†		5,608		228,582
Matson, Inc.		28,678		1,143,679
				1,478,406
Transport-Truck — 0.5%
ArcBest Corp.		13,001		247,279
Celadon Group, Inc.		4,614		40,326
Forward Air Corp.		5,055		218,679
Heartland Express, Inc.		7,236		136,616
Knight Transportation, Inc.		11,097		318,373
Marten Transport, Ltd.		3,853		80,913
Roadrunner Transportation Systems, Inc.†		5,059		40,371
Saia, Inc.†		4,212		126,192
Swift Transportation Co.†		9,600		206,112
USA Truck, Inc.†		23,400		239,616
				1,654,477
Veterinary Diagnostics — 1.2%
Neogen Corp.†		65,937		3,688,516
Phibro Animal Health Corp., Class A		3,094		84,095
				3,772,611
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		1,400		86,786
Water — 0.4%
American States Water Co.		23,508		941,496
California Water Service Group		8,015		257,201
				1,198,697

Security Description	Shares/ Principal Amount			Value (Note 2)
Web Hosting/Design — 0.2%
NIC, Inc.		10,362		$	243,507
Web.com Group, Inc.†		22,900			395,483
					638,990
Web Portals/ISP — 0.0%
Blucora, Inc.†		6,382			71,478
Wire & Cable Products — 0.1%
Encore Wire Corp.		3,458			127,151
General Cable Corp.		8,236			123,375
					250,526
Wireless Equipment — 0.6%
CalAmp Corp.†		6,056			84,481
InterDigital, Inc.		13,575			1,075,140
Ubiquiti Networks, Inc.†		13,400			716,900
					1,876,521
Total Common Stocks (cost $272,703,309)					318,211,072
EXCHANGE-TRADED FUNDS — 0.3%
iShares Core S&P Small-Cap ETF (cost $818,653)		7,044			874,513
Total Long-Term Investment Securities (cost $273,521,962)					319,085,585
SHORT-TERM INVESTMENT SECURITIES — 2.3%
Registered Investment Companies — 0.6%
State Street Institutional Liquid Reserves Fund 0.34%(3)		1,962,487			1,962,487
Time Deposits — 1.7%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 10/03/16	$	5,723,000			5,723,000
Total Short-Term Investment Securities (cost $7,685,487)					7,685,487
REPURCHASE AGREEMENTS — 0.2%
State Street Bank and Trust Co. Joint Repurchase Agreement (cost $595,000)(4)		595,000			595,000
TOTAL INVESTMENTS (cost $281,802,449)(5)		100.9	%		327,366,072
Liabilities in excess of other assets		(0.9	)		(2,919,970	)
NET ASSETS		100.0	%	$	324,446,102

†  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, 2016, the aggregate value of these securities was $0 representing 0.0% of net assets.

(3)  The rate shown is the 7-day yield as of September 30, 2016

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

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

CVR — Contingent Value Rights

ETF — Exchange-Trade Fund

224

Seasons Series Trust Small Cap Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	29	Long	Russell 2000 Mini Index	December 2016	$	3,529,617	$	3,620,070	$	90,453

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	5,350,702	$	—	$	0	$	5,350,702
Other Industries		312,860,370		—		—		312,860,370
Exchange-Traded Funds		874,513		—		—		874,513
Short-Term Investment Securities:
Registered Investment Companies		1,962,487		—		—		1,962,487
Time Deposits		—		5,723,000		—		5,723,000
Repurchase Agreements		—		595,000		—		595,000
Total Investment at Value	$	321,048,072	$	6,318,000	$	0	$	327,366,072
Other Financial Instruments:†
Futures Contracts	$	90,453	$	—	$	—	$	90,453

*  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

225

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Medical-Drugs	8.6	%
Banks-Commercial	7.1
Telephone-Integrated	5.0
Oil Companies-Integrated	3.8
Insurance-Life/Health	3.4
Diversified Banking Institutions	3.3
Food-Misc./Diversified	2.6
Auto-Cars/Light Trucks	2.4
Beverages-Wine/Spirits	2.2
Machinery-Electrical	2.2
Cosmetics & Toiletries	2.0
Insurance-Multi-line	1.7
Real Estate Investment Trusts	1.6
Chemicals-Specialty	1.6
Repurchase Agreements	1.4
Metal-Diversified	1.4
Cellular Telecom	1.4
Real Estate Operations & Development	1.4
Soap & Cleaning Preparation	1.4
Transport-Rail	1.1
Auto/Truck Parts & Equipment-Original	1.1
Audio/Video Products	1.1
Chemicals-Diversified	1.0
Electric-Integrated	0.9
Tobacco	0.9
Semiconductor Components-Integrated Circuits	0.9
Retail-Apparel/Shoe	0.9
Semiconductor Equipment	0.9
Food-Retail	0.9
Brewery	0.9
Building & Construction Products-Misc.	0.9
Electronic Components-Misc.	0.9
Optical Supplies	0.8
Electronic Measurement Instruments	0.8
Insurance-Property/Casualty	0.8
Advertising Agencies	0.8
E-Commerce/Services	0.8
Import/Export	0.8
Industrial Gases	0.8
Commercial Services	0.8
E-Commerce/Products	0.7
Cable/Satellite TV	0.7
Diversified Manufacturing Operations	0.7
Machinery-General Industrial	0.7
Consumer Products-Misc.	0.7
Gas-Distribution	0.7
Resorts/Theme Parks	0.7
Water	0.6
Building-Heavy Construction	0.6
Power Converter/Supply Equipment	0.6
Internet Application Software	0.6
Electronic Components-Semiconductors	0.6
Retail-Jewelry	0.6
Dialysis Centers	0.6
Diversified Minerals	0.6
Diversified Operations	0.5
Computers-Integrated Systems	0.5
Aerospace/Defense	0.5
Medical-Generic Drugs	0.5
Finance-Credit Card	0.5

Web Portals/ISP	0.4	%
Industrial Automated/Robotic	0.4
Insurance-Reinsurance	0.4
Apparel Manufacturers	0.4
Food-Catering	0.4
Finance-Investment Banker/Broker	0.4
Building-Residential/Commercial	0.4
Electronics-Military	0.4
Electric Products-Misc.	0.4
Rubber-Tires	0.4
Oil Companies-Exploration & Production	0.4
Oil Refining & Marketing	0.3
Retail-Building Products	0.3
Retail-Major Department Stores	0.3
Computer Services	0.3
Wireless Equipment	0.3
Transport-Marine	0.3
Real Estate Management/Services	0.3
Oil-U.S. Royalty Trusts	0.2
Medical-Biomedical/Gene	0.2
Toys	0.2
Enterprise Software/Service	0.2
Machine Tools & Related Products	0.2
Human Resources	0.2
Paper & Related Products	0.2
Medical Products	0.2
Finance-Other Services	0.2
Building Products-Cement	0.2
Networking Products	0.2
Finance-Leasing Companies	0.2
Satellite Telecom	0.2
Internet Gambling	0.2
Medical Labs & Testing Services	0.2
Multimedia	0.2
Telecom Services	0.2
Machinery-Construction & Mining	0.2
E-Marketing/Info	0.2
Steel-Producers	0.2
Transport-Services	0.1
Medical Instruments	0.1
Building & Construction-Misc.	0.1
Investment Management/Advisor Services	0.1
Agricultural Chemicals	0.1
Internet Content-Information/News	0.1
Registered Investment Companies	0.1
Aerospace/Defense-Equipment	0.1
Textile-Apparel	0.1
Office Automation & Equipment	0.1
Instruments-Scientific	0.1
Engineering/R&D Services	0.1
Athletic Footwear	0.1
Investment Companies	0.1
Public Thoroughfares	0.1
Metal-Copper	0.1
Security Services	0.1
Advertising Services	0.1
Airport Development/Maintenance	0.1
Auto-Heavy Duty Trucks	0.1
Machinery-Farming	0.1
Building Products-Air & Heating	0.1

226

Seasons Series Trust International Equity Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Industry Allocation* (continued)
Photo Equipment & Supplies	0.1	%
Transactional Software	0.1
Gold Mining	0.1
Applications Software	0.1
Electronic Security Devices	0.1
Commercial Services-Finance	0.1
Energy-Alternate Sources	0.1
Shipbuilding	0.1
Diversified Operations/Commercial Services	0.1
Gas-Transportation	0.1
Containers-Paper/Plastic	0.1
	99.3	%
Country Allocation*
Japan	21.4	%
United Kingdom	18.0
France	11.6
Switzerland	8.5
Germany	8.0
Australia	5.2
Netherlands	3.1
Cayman Islands	2.5
Sweden	2.4
Hong Kong	2.2
Jersey	2.2
Spain	1.7
United States	1.6
Denmark	1.4
Singapore	1.3
Italy	1.2
Canada	0.9
Norway	0.9
Taiwan	0.8
Luxembourg	0.8
Ireland	0.6
Belgium	0.6
South Korea	0.5
Finland	0.5
Israel	0.2
Isle of Man	0.2
India	0.2
Cyprus	0.2
China	0.1
Bermuda	0.1
Brazil	0.1
Mexico	0.1
New Zealand	0.1
Austria	0.1
	99.3	%

*  Calculated as a percentage of net assets

227

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.8%
Australia — 5.2%
AGL Energy, Ltd.(1)		12,977	$	189,554
Alumina, Ltd.(1)		48,724		54,575
Amcor, Ltd.(1)		21,655		251,800
AMP, Ltd.(1)		55,622		225,646
APA Group(1)		21,810		142,572
Aristocrat Leisure, Ltd.(1)		10,466		126,962
ASX, Ltd.(1)		3,718		137,427
Aurizon Holdings, Ltd.(1)		39,309		141,580
AusNet Services(1)		31,442		39,556
Australia & New Zealand Banking Group, Ltd.(1)		183,674		3,900,051
Bank of Queensland, Ltd.(1)		7,178		62,559
Beach Energy, Ltd.(1)		455,650		232,654
Bendigo & Adelaide Bank, Ltd.(1)		8,876		73,317
BGP Holdings PLC†(2)(3)		98,723		0
BHP Billiton, Ltd.(1)		82,735		1,431,320
Boral, Ltd.(1)		13,913		72,117
Brambles, Ltd.(1)		30,292		278,540
Caltex Australia, Ltd.(1)		5,196		137,161
Challenger, Ltd.(1)		217,360		1,696,237
CIMIC Group, Ltd.(1)		2,004		44,312
Coca-Cola Amatil, Ltd.(1)		11,072		87,016
Cochlear, Ltd.(1)		1,128		122,279
Commonwealth Bank of Australia(1)		32,068		1,783,482
Computershare, Ltd.(1)		9,039		71,555
Crown Resorts, Ltd.(1)		6,942		69,842
CSL, Ltd.(1)		20,181		1,657,368
Dexus Property Group(1)		17,925		126,044
Domino's Pizza Enterprises, Ltd.(1)		1,150		62,092
DUET Group(1)		43,237		83,248
Flight Centre Travel Group, Ltd.(1)		1,121		31,397
Fortescue Metals Group, Ltd.(1)		30,365		115,689
Goodman Group(1)		34,292		191,553
GPT Group(1)		32,105		124,597
Harvey Norman Holdings, Ltd.(1)		10,894		43,481
Healthscope, Ltd.(1)		30,836		73,055
Incitec Pivot, Ltd.(1)		32,512		70,507
Insurance Australia Group, Ltd.(1)		45,815		192,365
LendLease Group(1)		10,716		115,555
Macquarie Group, Ltd.(1)		31,019		1,953,996
Medibank Private, Ltd.(1)		53,281		101,353
Mirvac Group(1)		71,172		122,277
National Australia Bank, Ltd.(1)		49,556		1,061,482
Newcrest Mining, Ltd.(1)		14,404		239,293
Orica, Ltd.(1)		7,220		84,231
Origin Energy, Ltd.(1)		33,078		137,993
Platinum Asset Management, Ltd.(1)		4,442		17,178
Qantas Airways, Ltd.(1)		10,005		24,000
QBE Insurance Group, Ltd.(1)		26,568		189,547
Ramsay Health Care, Ltd.(1)		2,555		155,203
REA Group, Ltd.(1)		1,030		44,656
Rio Tinto, Ltd.(1)		181,441		7,196,788
Santos, Ltd.(1)		31,421		88,362
Scentre Group(1)		383,735		1,383,506
SEEK, Ltd.(1)		6,381		76,217
Sonic Healthcare, Ltd.(1)		7,420		125,336

Security Description	Shares		Value (Note 2)
Australia (continued)
South32, Ltd.(1)		692,496	$	1,283,128
Stockland(1)		45,272		165,241
Suncorp Group, Ltd.(1)		24,988		232,271
Sydney Airport(1)		20,728		111,377
Tabcorp Holdings, Ltd.(1)		15,812		60,516
Tatts Group, Ltd.(1)		27,437		76,787
Telstra Corp., Ltd.(1)		893,325		3,547,973
TPG Telecom, Ltd.(1)		6,346		42,111
Transurban Group(1)		38,216		333,260
Treasury Wine Estates, Ltd.(1)		13,783		116,629
Vicinity Centres(1)		65,289		158,835
Vocus Communications, Ltd.(1)		8,467		40,666
Wesfarmers, Ltd.(1)		21,204		717,371
Westfield Corp.(1)		37,156		277,052
Westpac Banking Corp.(1)		62,762		1,426,801
Woodside Petroleum, Ltd.(1)		13,937		306,406
Woolworths, Ltd.(1)		23,985		428,481
WorleyParsons, Ltd.†(1)		97,150		622,988
				37,208,376
Austria — 0.1%
ANDRITZ AG(1)		1,402		76,314
Erste Group Bank AG(1)		5,420		160,525
OMV AG(1)		2,854		82,146
Raiffeisen Bank International AG†(1)		2,260		34,413
voestalpine AG(1)		2,181		75,403
				428,801
Belgium — 0.6%
Ageas(1)		3,889		141,830
Anheuser-Busch InBev SA/NV(1)		15,120		1,984,858
Colruyt SA(1)		1,341		74,356
Groupe Bruxelles Lambert SA(1)		1,568		139,011
KBC Group NV†(1)		4,715		274,469
Proximus SADP(1)		2,937		87,625
Solvay SA(1)		1,398		161,566
Telenet Group Holding NV†(1)		1,017		53,044
UCB SA(1)		2,455		189,821
Umicore SA(1)		20,815		1,305,446
				4,412,026
Bermuda — 0.1%
Cheung Kong Infrastructure Holdings, Ltd.(1)		13,000		112,609
First Pacific Co., Ltd.(1)		46,000		32,933
Hongkong Land Holdings, Ltd.(1)		22,100		157,586
Jardine Matheson Holdings, Ltd.(1)		4,603		279,615
Kerry Properties, Ltd.(1)		13,500		44,470
Li & Fung, Ltd.(1)		110,000		56,685
Noble Group, Ltd.†(1)		86,000		9,729
NWS Holdings, Ltd.(1)		28,000		46,904
Shangri-La Asia, Ltd.(1)		20,000		22,005
Yue Yuen Industrial Holdings, Ltd.(1)		14,000		58,048
				820,584
Brazil — 0.1%
Lojas Renner SA		85,055		639,975

228

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Canada — 0.9%
Canadian Natural Resources, Ltd.		39,045	$	1,248,178
National Bank of Canada		48,400		1,716,200
PrairieSky Royalty, Ltd.		91,473		1,865,088
Sun Life Financial, Inc.		57,800		1,880,775
				6,710,241
Cayman Islands — 2.5%
Alibaba Group Holding, Ltd. ADR†		47,799		5,056,656
ASM Pacific Technology, Ltd.(1)		4,600		38,011
Baidu, Inc. ADR†		4,500		819,315
Cheung Kong Property Holdings, Ltd.(1)		228,024		1,681,708
CK Hutchison Holdings, Ltd.(1)		215,024		2,743,448
Ctrip.com International, Ltd. ADR†		63,883		2,975,031
Melco Crown Entertainment, Ltd. ADR		3,500		56,385
MGM China Holdings, Ltd.(1)		18,800		32,985
Sands China, Ltd.(1)		45,200		197,995
Tencent Holdings, Ltd.(1)		162,700		4,508,121
WH Group, Ltd.*(1)		112,500		91,003
Wynn Macau, Ltd.(1)		30,800		51,463
				18,252,121
China — 0.1%
Ping An Insurance Group Co. of China, Ltd.(1)		175,500		918,563
Cyprus — 0.2%
Aroundtown Property Holdings PLC†(1)		258,516		1,312,806
Denmark — 1.4%
AP Moeller - Maersk A/S, Series A(1)		71		100,059
AP Moeller - Maersk A/S, Series B(1)		832		1,223,788
Carlsberg A/S, Class B(1)		2,000		191,075
Chr. Hansen Holding A/S(1)		1,866		110,921
Coloplast A/S, Class B(1)		2,271		176,109
Danske Bank A/S(1)		62,051		1,817,150
DSV A/S(1)		3,613		180,424
Genmab A/S†(1)		1,067		182,847
GN Store Nord A/S(1)		58,212		1,255,599
ISS A/S(1)		3,124		129,972
Novo Nordisk A/S, Class B(1)		55,931		2,330,392
Novozymes A/S, Class B(1)		4,418		194,297
Pandora A/S(1)		2,186		265,063
TDC A/S†(1)		283,801		1,673,330
Tryg A/S(1)		2,030		40,852
Vestas Wind Systems A/S(1)		4,216		348,323
William Demant Holding A/S†(1)		2,085		42,561
				10,262,762
Finland — 0.5%
Elisa Oyj(1)		2,802		103,332
Fortum Oyj(1)		8,655		139,804
Kone Oyj, Class B(1)		6,475		328,535
Metso Oyj(1)		2,172		63,360
Neste Oyj(1)		2,474		105,437
Nokia OYJ(1)		108,520		628,993
Nokian Renkaat Oyj(1)		2,214		80,702

Security Description	Shares		Value (Note 2)
Finland (continued)
Orion Oyj, Class B(1)		1,995	$	78,637
Sampo Oyj, Class A(1)		8,541		379,919
Stora Enso Oyj, Class R(1)		120,372		1,068,828
UPM-Kymmene Oyj(1)		10,376		219,113
Wartsila Oyj Abp(1)		2,881		129,672
				3,326,332
France — 11.6%
Accor SA(1)		3,318		131,610
Aeroports de Paris(1)		565		56,031
Air Liquide SA(1)		16,785		1,798,539
Alstom SA†(1)		2,895		76,571
Arkema SA(1)		1,277		118,123
Atos SE(1)		1,656		178,437
AXA SA(1)		169,829		3,613,322
BNP Paribas SA(1)		134,058		6,892,686
Bollore SA(1)		16,732		58,173
Bouygues SA(1)		3,888		128,822
Bureau Veritas SA(1)		5,107		109,547
Capgemini SA(1)		3,107		304,280
Carrefour SA(1)		10,621		275,009
Casino Guichard Perrachon SA(1)		1,086		52,747
Christian Dior SE(1)		1,065		190,834
Cie de Saint-Gobain(1)		8,968		387,178
Cie Generale des Etablissements Michelin(1)		3,412		377,298
CNP Assurances(1)		3,272		54,969
Credit Agricole SA(1)		20,018		197,509
Danone SA(1)		21,579		1,600,566
Dassault Systemes(1)		2,469		214,201
Edenred(1)		4,017		93,928
Eiffage SA(1)		1,069		83,051
Electricite de France SA(1)		4,703		57,216
Engie SA(1)		144,302		2,235,380
Essilor International SA(1)		46,148		5,951,424
Eurazeo SA(1)		823		47,742
Eutelsat Communications SA(1)		51,032		1,056,532
Fonciere Des Regions(1)		570		53,120
Gecina SA(1)		763		119,970
Groupe Eurotunnel SE(1)		9,080		98,163
Hermes International(1)		496		201,800
ICADE(1)		731		57,014
Iliad SA(1)		511		107,229
Imerys SA(1)		687		49,615
Ingenico Group SA(1)		1,053		91,993
JCDecaux SA(1)		1,293		41,742
Kering(1)		6,349		1,279,386
Klepierre(1)		4,178		191,489
L'Oreal SA(1)		17,248		3,256,336
Lagardere SCA(1)		2,276		57,949
Legrand SA(1)		29,758		1,754,550
LVMH Moet Hennessy Louis Vuitton SE(1)		5,248		894,667
Natixis SA(1)		18,153		84,607
Orange SA(1)		37,342		584,337
Pernod Ricard SA(1)		43,726		5,173,521
Peugeot SA†(1)		9,113		139,118

229

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
France (continued)
Publicis Groupe SA(1)		3,563	$	269,448
Remy Cointreau SA(1)		487		41,561
Renault SA(1)		3,616		297,097
Rexel SA(1)		5,386		82,436
Safran SA(1)		35,260		2,535,307
Sanofi(1)		146,949		11,196,372
Schneider Electric SE(1)		65,473		4,565,299
SCOR SE(1)		3,002		93,311
SFR Group SA(1)		1,889		55,504
Societe BIC SA(1)		549		81,191
Societe Generale SA(1)		14,413		497,401
Sodexo SA(1)		1,826		217,333
Suez(1)		275,671		4,546,540
Technip SA(1)		1,998		122,704
Thales SA(1)		2,003		184,497
TOTAL SA(1)		219,451		10,401,347
Unibail-Rodamco SE (Euronext Amsterdam)(1)		3,249		875,943
Unibail-Rodamco SE (Euronext Paris)		3,842		1,035,818
Valeo SA(1)		4,398		256,473
Veolia Environnement SA(1)		8,170		187,925
Vinci SA(1)		59,724		4,566,833
Vivendi SA(1)		22,219		447,734
Wendel SA(1)		604		70,530
Zodiac Aerospace(1)		3,569		86,900
				83,293,835
Germany — 8.0%
adidas AG(1)		3,533		613,179
Allianz SE(1)		19,440		2,885,532
Axel Springer SE(1)		760		38,918
BASF SE(1)		35,973		3,076,325
Bayer AG(1)		94,349		9,476,777
Bayerische Motoren Werke AG(1)		19,658		1,652,023
Bayerische Motoren Werke AG(1) (Preference Shares)		1,054		77,696
Beiersdorf AG(1)		1,960		184,870
Brenntag AG(1)		138,715		7,569,547
Commerzbank AG(1)		79,986		515,679
Continental AG(1)		2,091		439,623
Covestro AG*(1)		17,922		1,059,725
Daimler AG(1)		18,084		1,273,913
Deutsche Bank AG†(1)		26,248		341,495
Deutsche Boerse AG(1)		3,643		284,350
Deutsche Lufthansa AG(1)		4,478		49,828
Deutsche Post AG(1)		18,269		570,939
Deutsche Telekom AG(1)		247,124		4,142,627
Deutsche Wohnen AG BR(1)		6,493		236,026
E.ON SE(1)		103,218		730,759
Evonik Industries AG(1)		2,677		90,479
Fraport AG Frankfurt Airport Services Worldwide(1)		689		37,647
Fresenius Medical Care AG & Co. KGaA(1)		4,118		359,454
Fresenius SE & Co. KGaA(1)		47,311		3,773,776

Security Description	Shares		Value (Note 2)
Germany (continued)
FUCHS PETROLUB SE(1) (Preference Shares)		1,331	$	60,760
GEA Group AG(1)		3,426		190,035
Hannover Rueck SE(1)		1,161		124,366
HeidelbergCement AG(1)		2,645		249,841
Henkel AG & Co. KGaA(1)		2,018		234,861
Henkel AG & Co. KGaA (Preference Shares)(1)		3,349		455,214
Hochtief AG(1)		385		54,285
HUGO BOSS AG(1)		1,287		71,174
Infineon Technologies AG(1)		21,263		379,400
K+S AG(1)		3,692		70,147
LANXESS AG(1)		1,782		110,669
Linde AG(1)		19,897		3,381,397
MAN SE(1)		699		73,684
Merck KGaA(1)		2,431		261,971
METRO AG(1)		3,355		99,830
Muenchener Rueckversicherungs- Gesellschaft AG(1)		11,446		2,134,675
OSRAM Licht AG(1)		1,731		101,619
Porsche Automobil Holding SE(1) (Preference Shares)		2,972		151,724
ProSiebenSat.1 Media SE(1)		4,118		176,357
RWE AG†(1)		9,497		163,635
SAP SE(1)		18,498		1,683,095
Schaeffler AG(1) (Preference Shares)		3,127		49,468
Siemens AG(1)		38,638		4,523,078
Symrise AG(1)		2,419		177,297
Telefonica Deutschland Holding AG(1)		449,771		1,807,999
thyssenkrupp AG(1)		7,089		169,023
TUI AG(1)		9,379		133,358
Uniper SE†		3,759		46,048
United Internet AG(1)		2,385		105,520
Volkswagen AG(1)		610		88,502
Volkswagen AG(1) (Preference Shares)		3,529		463,616
Vonovia SE(1)		8,748		331,251
Zalando SE†*(1)		1,649		68,803
				57,673,889
Hong Kong — 2.2%
AIA Group, Ltd.(1)		1,738,512		11,648,223
Bank of East Asia, Ltd.(1)		22,600		92,245
BOC Hong Kong Holdings, Ltd.(1)		71,000		241,092
Cathay Pacific Airways, Ltd.(1)		21,000		29,333
CLP Holdings, Ltd.(1)		31,500		327,038
Galaxy Entertainment Group, Ltd.(1)		45,000		171,228
Hang Lung Properties, Ltd.(1)		41,000		93,067
Hang Seng Bank, Ltd.(1)		14,300		256,813
Henderson Land Development Co., Ltd.(1)		20,485		122,438
HK Electric Investments & HK Electric Investments, Ltd.*(1)		49,500		48,795
HKT Trust & HKT, Ltd.(1)		50,000		70,688
Hong Kong & China Gas Co., Ltd.(1)		143,627		271,825

230

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hong Kong (continued)
Hong Kong Exchanges and Clearing, Ltd.(1)		21,500	$	567,158
Hysan Development Co., Ltd.(1)		12,000		56,370
Link REIT(1)		42,000		309,898
MTR Corp., Ltd.(1)		26,500		146,680
New World Development Co., Ltd.(1)		105,000		137,493
PCCW, Ltd.(1)		77,000		47,330
Power Assets Holdings, Ltd.(1)		26,000		254,669
Sino Land Co., Ltd.(1)		56,000		99,899
SJM Holdings, Ltd.(1)		41,000		30,325
Sun Hung Kai Properties, Ltd.(1)		27,000		411,489
Swire Pacific, Ltd., Class A(1)		10,500		113,647
Swire Properties, Ltd.(1)		22,600		66,506
Techtronic Industries Co., Ltd.(1)		27,000		105,885
Wharf Holdings, Ltd.(1)		26,000		190,508
Wheelock & Co., Ltd.(1)		15,000		89,106
				15,999,748
India — 0.2%
Infosys, Ltd. ADR		85,300		1,346,034
Ireland — 0.6%
Bank of Ireland†(1)		534,317		111,321
CRH PLC(1)		15,499		518,232
DCC PLC(1)		21,825		1,989,766
James Hardie Industries PLC CDI(1)		8,719		136,763
Kerry Group PLC, Class A(1)		2,976		247,953
Paddy Power Betfair PLC(1)		1,490		168,551
Permanent TSB Group Holdings PLC†(1)		622,556		1,437,160
				4,609,746
Isle of Man — 0.2%
Genting Singapore PLC(1)		118,000		65,494
GVC Holdings PLC(1)		134,437		1,292,938
				1,358,432
Israel — 0.2%
Azrieli Group, Ltd.(1)		723		31,729
Bank Hapoalim BM(1)		20,271		114,938
Bank Leumi Le-Israel BM†(1)		25,440		96,680
Bezeq The Israeli Telecommunication Corp., Ltd.(1)		37,819		71,286
Check Point Software Technologies, Ltd.†		2,459		190,843
Israel Chemicals, Ltd.(1)		8,676		33,762
Mizrahi Tefahot Bank, Ltd.(1)		2,541		32,305
NICE, Ltd.(1)		1,087		72,688
Taro Pharmaceutical Industries, Ltd.†		283		31,274
Teva Pharmaceutical Industries, Ltd.(1)		17,380		807,194
				1,482,699
Italy — 1.2%
Assicurazioni Generali SpA(1)		21,961		268,000
Atlantia SpA(1)		7,745		196,647
Banca Popolare di Milano Scarl(1)		1,857,632		746,352
Enel SpA(1)		143,255		638,919
Eni SpA(1)		47,862		689,726

Security Description	Shares		Value (Note 2)
Italy (continued)
EXOR SpA(1)		1,918	$	77,736
Intesa Sanpaolo SpA(1)		1,252,929		2,781,526
Intesa Sanpaolo SpA RSP(1)		18,008		37,722
Leonardo-Finmeccanica SpA†(1)		7,839		88,922
Luxottica Group SpA(1)		3,263		155,909
Mediobanca SpA(1)		10,714		69,774
Moncler SpA(1)		56,425		962,753
Poste Italiane SpA*(1)		9,762		66,967
Prysmian SpA(1)		3,966		103,923
Rizzoli Corriere Della Sera Mediagroup SpA†(1)		1,183		1,245
Saipem SpA†(1)		114,342		48,401
Snam SpA(1)		45,879		254,180
Telecom Italia SpA†(1)		190,417		157,561
Telecom Italia SpA RSP(1)		1,211,046		821,957
Terna Rete Elettrica Nazionale SpA(1)		28,719		148,079
UniCredit SpA(1)		95,270		222,041
Unione di Banche Italiane SpA(1)		16,605		38,283
UnipolSai SpA(1)		17,730		28,849
				8,605,472
Japan — 21.4%
ABC-Mart, Inc.(1)		700		47,574
Acom Co., Ltd.†(1)		8,000		37,683
Aeon Co., Ltd.(1)		12,500		184,417
AEON Financial Service Co., Ltd.(1)		2,100		36,589
Aeon Mall Co., Ltd.(1)		2,100		33,160
Air Water, Inc.(1)		3,000		56,614
Aisin Seiki Co., Ltd.(1)		18,100		828,807
Ajinomoto Co., Inc.(1)		12,000		267,307
Alfresa Holdings Corp.(1)		3,400		71,919
Alps Electric Co., Ltd.(1)		3,225		77,545
Amada Holdings Co., Ltd.(1)		6,000		62,325
ANA Holdings, Inc.(1)		21,000		57,083
Aozora Bank, Ltd.(1)		21,000		72,335
Asahi Glass Co., Ltd.(1)		18,000		116,541
Asahi Group Holdings, Ltd.(1)		7,400		269,329
Asahi Kasei Corp.(1)		202,000		1,609,543
Asics Corp.(1)		3,000		60,319
Astellas Pharma, Inc.(1)		241,600		3,773,047
Bandai Namco Holdings, Inc.(1)		3,500		107,041
Bank of Kyoto, Ltd.(1)		6,000		43,995
Benesse Holdings, Inc.(1)		1,200		30,629
Bridgestone Corp.(1)		12,300		453,655
Brother Industries, Ltd.(1)		4,800		84,546
Calbee, Inc.(1)		1,400		52,942
Canon, Inc.(1)		20,200		585,474
Casio Computer Co., Ltd.(1)		4,400		61,715
Central Japan Railway Co.(1)		13,300		2,275,450
Chiba Bank, Ltd.(1)		14,000		79,560
Chubu Electric Power Co., Inc.(1)		12,400		180,540
Chugai Pharmaceutical Co., Ltd.(1)		4,300		155,267
Chugoku Bank, Ltd.(1)		3,000		36,609
Chugoku Electric Power Co., Inc.(1)		5,700		71,644
Concordia Financial Group, Ltd.(1)		21,000		91,796
Credit Saison Co., Ltd.(1)		58,200		965,355

231

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
CyberAgent, Inc.(1)		32,600	$	967,303
CYBERDYNE, Inc.†(1)		1,885		29,522
Dai Nippon Printing Co., Ltd.(1)		12,000		117,597
Dai-ichi Life Insurance Co., Ltd.(1)		20,400		279,996
Daicel Corp.(1)		5,600		70,993
Daiichi Sankyo Co., Ltd.(1)		11,300		270,708
Daikin Industries, Ltd.(1)		4,600		428,565
Daito Trust Construction Co., Ltd.(1)		1,500		239,721
Daiwa House Industry Co., Ltd.(1)		10,700		293,063
Daiwa Securities Group, Inc.(1)		31,000		174,570
Denso Corp.(1)		9,100		363,291
Dentsu, Inc.(1)		4,100		207,508
Don Quijote Holdings Co., Ltd.(1)		2,300		84,297
East Japan Railway Co.(1)		6,300		567,992
Eisai Co., Ltd.(1)		4,800		300,004
Electric Power Development Co., Ltd.(1)		2,700		64,851
FamilyMart UNY Holdings Co., Ltd.(1)		1,200		79,609
FANUC Corp.(1)		18,000		3,046,443
Fast Retailing Co., Ltd.(1)		1,000		322,001
Fuji Electric Co., Ltd.(1)		11,000		50,398
Fuji Heavy Industries, Ltd.(1)		11,100		416,853
FUJIFILM Holdings Corp.(1)		8,300		307,179
Fujitsu, Ltd.(1)		35,000		188,947
Fukuoka Financial Group, Inc.(1)		14,000		58,153
GungHo Online Entertainment, Inc.(1)		7,700		18,871
Hachijuni Bank, Ltd.(1)		7,000		36,503
Hakuhodo DY Holdings, Inc.(1)		4,000		46,708
Hamamatsu Photonics KK(1)		24,500		752,696
Hankyu Hanshin Holdings, Inc.(1)		4,600		158,155
Hikari Tsushin, Inc.(1)		500		46,350
Hino Motors, Ltd.(1)		4,900		52,459
Hirose Electric Co., Ltd.(1)		600		78,863
Hiroshima Bank, Ltd.(1)		10,000		41,497
Hisamitsu Pharmaceutical Co., Inc.(1)		1,200		64,770
Hitachi Chemical Co., Ltd.(1)		1,900		43,548
Hitachi Construction Machinery Co., Ltd.(1)		2,300		45,839
Hitachi High-Technologies Corp.(1)		1,000		39,860
Hitachi Metals, Ltd.(1)		4,100		50,108
Hitachi, Ltd.(1)		91,000		425,619
Hokuriku Electric Power Co.(1)		3,100		37,781
Honda Motor Co., Ltd.(1)		112,700		3,244,640
Hoshizaki Corp.(1)		900		82,204
Hoya Corp.(1)		7,600		305,210
Hulic Co., Ltd.(1)		5,600		57,153
Idemitsu Kosan Co., Ltd.(1)		1,600		32,964
IHI Corp.(1)		26,000		75,509
Iida Group Holdings Co., Ltd.(1)		3,000		60,305
Inpex Corp.(1)		18,300		165,914
Invincible Investment Corp.(1)		3,974		2,223,618
Isetan Mitsukoshi Holdings, Ltd.(1)		6,400		62,989
Isuzu Motors, Ltd.(1)		11,300		132,885
ITOCHU Corp.(1)		28,100		352,008

Security Description	Shares		Value (Note 2)
Japan (continued)
Iyo Bank, Ltd.(1)		4,600	$	27,833
J. Front Retailing Co., Ltd.(1)		4,200		55,032
Japan Airlines Co., Ltd.(1)		2,300		67,710
Japan Airport Terminal Co., Ltd.(1)		700		26,612
Japan Exchange Group, Inc.(1)		10,000		156,476
Japan Post Bank Co., Ltd.(1)		7,800		92,639
Japan Post Holdings Co., Ltd.(1)		8,700		109,317
Japan Prime Realty Investment Corp.(1)		15		67,700
Japan Real Estate Investment Corp.(1)		24		143,384
Japan Retail Fund Investment Corp.(1)		46		113,628
Japan Tobacco, Inc.(1)		20,600		841,614
JFE Holdings, Inc.(1)		9,500		138,516
JGC Corp.(1)		3,000		52,137
Joyo Bank, Ltd.(5)		12,000		51,477
JSR Corp.(1)		3,400		53,432
JTEKT Corp.(1)		3,900		58,619
JX Holdings, Inc.(1)		39,900		161,067
Kajima Corp.(1)		17,000		118,822
Kakaku.com, Inc.(1)		39,600		715,032
Kamigumi Co., Ltd.(1)		5,000		43,566
Kaneka Corp.(1)		6,000		47,520
Kansai Electric Power Co., Inc.†(1)		13,600		123,534
Kansai Paint Co., Ltd.(1)		4,000		87,621
Kao Corp.(1)		9,400		529,464
Kawasaki Heavy Industries, Ltd.(1)		27,000		83,626
KDDI Corp.(1)		35,500		1,092,426
Keihan Holdings Co., Ltd.(1)		10,000		69,901
Keikyu Corp.(1)		8,000		83,392
Keio Corp.(1)		10,000		87,332
Keisei Electric Railway Co., Ltd.(1)		3,000		74,869
Kenedix Retail REIT Corp(1)		1,580		3,753,468
Keyence Corp.(1)		8,100		5,895,320
Kikkoman Corp.(1)		2,000		63,872
Kintetsu Group Holdings Co., Ltd.(1)		34,000		142,523
Kirin Holdings Co., Ltd.(1)		97,900		1,620,855
Kobe Steel, Ltd.†(1)		5,900		53,401
Koito Manufacturing Co., Ltd.(1)		11,300		550,126
Komatsu, Ltd.(1)		17,600		403,287
Konami Holdings Corp.(1)		1,800		69,699
Konica Minolta, Inc.(1)		8,700		73,805
Kose Corp.(1)		740		75,840
Kubota Corp.(1)		19,000		287,213
Kuraray Co., Ltd.(1)		6,500		96,480
Kurita Water Industries, Ltd.(1)		1,800		42,800
Kyocera Corp.(1)		6,100		292,646
Kyowa Hakko Kirin Co., Ltd.(1)		4,000		62,984
Kyushu Electric Power Co., Inc.(1)		8,200		76,270
Kyushu Financial Group, Inc.(1)		6,600		45,043
Lawson, Inc.(1)		1,300		102,432
LIXIL Group Corp.(1)		5,000		107,256
M3, Inc.(1)		3,700		126,007
Mabuchi Motor Co., Ltd.(1)		800		44,324
Makita Corp.(1)		2,100		149,343
Marubeni Corp.(1)		31,000		158,925
Marui Group Co., Ltd.(1)		3,900		51,499
Maruichi Steel Tube, Ltd.(1)		1,000		34,545

232

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Mazda Motor Corp.(1)		10,700	$	164,397
McDonald's Holdings Co. Japan, Ltd.(1)		1,200		35,362
Medipal Holdings Corp.(1)		3,100		53,623
MEIJI Holdings Co., Ltd.(1)		2,100		207,748
Minebea Co., Ltd.(1)		6,000		56,816
Miraca Holdings, Inc.(1)		23,000		1,146,829
Mitsubishi Chemical Holdings Corp.(1)		26,100		164,087
Mitsubishi Corp.(1)		97,200		2,209,449
Mitsubishi Electric Corp.(1)		293,000		3,751,133
Mitsubishi Estate Co., Ltd.(1)		24,000		449,935
Mitsubishi Gas Chemical Co., Inc.(1)		3,000		42,900
Mitsubishi Heavy Industries, Ltd.(1)		60,000		250,868
Mitsubishi Logistics Corp.(1)		2,000		28,840
Mitsubishi Materials Corp.(1)		2,000		54,662
Mitsubishi Motors Corp.(1)		12,400		57,775
Mitsubishi Tanabe Pharma Corp.(1)		4,300		91,908
Mitsubishi UFJ Financial Group, Inc.(1)		1,036,700		5,227,691
Mitsubishi UFJ Lease & Finance Co., Ltd.(1)		202,500		929,136
Mitsui & Co., Ltd.(1)		32,100		444,006
Mitsui Chemicals, Inc.(1)		17,000		81,021
Mitsui Fudosan Co., Ltd.(1)		52,000		1,107,221
Mitsui OSK Lines, Ltd.(1)		20,000		46,543
Mixi, Inc.(1)		700		25,234
Mizuho Financial Group, Inc.(1)		445,200		743,837
MS&AD Insurance Group Holdings, Inc.(1)		9,600		267,808
Murata Manufacturing Co., Ltd.(1)		3,600		469,562
Nabtesco Corp.(1)		2,100		59,451
Nagoya Railroad Co., Ltd.(1)		16,000		86,950
NEC Corp.(1)		49,000		126,592
Nexon Co., Ltd.(1)		3,200		50,002
NGK Insulators, Ltd.(1)		5,000		103,534
NGK Spark Plug Co., Ltd.(1)		184,112		3,243,673
NH Foods, Ltd.(1)		4,000		96,493
NHK Spring Co., Ltd.(1)		3,800		36,799
Nidec Corp.(1)		4,400		404,805
Nikon Corp.(1)		6,500		97,073
Nintendo Co., Ltd.(1)		6,300		1,667,019
Nippon Building Fund, Inc.(1)		26		164,542
Nippon Electric Glass Co., Ltd.(1)		8,000		41,422
Nippon Express Co., Ltd.(1)		15,000		70,092
Nippon Paint Holdings Co., Ltd.(1)		3,000		100,649
Nippon Prologis REIT, Inc.(1)		28		70,826
Nippon Steel & Sumitomo Metal Corp.(1)		15,100		310,062
Nippon Telegraph & Telephone Corp.(1)		308,000		14,066,479
Nippon Yusen KK(1)		196,000		366,995
Nissan Motor Co., Ltd.(1)		47,200		462,210
Nisshin Seifun Group, Inc.(1)		3,900		59,342
Nissin Foods Holdings Co., Ltd.(1)		1,200		72,778
Nitori Holdings Co., Ltd.(1)		1,500		179,470

Security Description	Shares		Value (Note 2)
Japan (continued)
Nitto Denko Corp.(1)		3,100	$	201,197
NOK Corp.(1)		1,800		39,433
Nomura Holdings, Inc.(1)		68,900		308,348
Nomura Real Estate Holdings, Inc.(1)		2,600		43,869
Nomura Real Estate Master Fund, Inc.(1)		67		111,938
Nomura Research Institute, Ltd.(1)		2,400		82,817
NSK, Ltd.(1)		9,000		92,358
NTT Data Corp.(1)		2,400		119,953
NTT DOCOMO, Inc.(1)		27,000		684,566
NTT Urban Development Corp.(1)		2,400		23,168
Obayashi Corp.(1)		12,000		118,947
OBIC Co., Ltd.(1)		1,300		69,162
Odakyu Electric Railway Co., Ltd.(1)		6,000		133,487
Oji Holdings Corp.(1)		15,000		59,354
Olympus Corp.(1)		5,400		188,384
Omron Corp.(1)		36,100		1,297,161
Ono Pharmaceutical Co., Ltd.(1)		7,700		213,787
Oracle Corp. Japan(1)		800		45,161
Oriental Land Co., Ltd.(1)		4,000		243,351
ORIX Corp.(1)		25,100		370,361
Osaka Gas Co., Ltd.(1)		35,000		146,797
Otsuka Corp.(1)		65,900		3,127,954
Otsuka Holdings Co., Ltd.(1)		7,300		332,977
Panasonic Corp.(1)		176,400		1,765,015
Park24 Co., Ltd.(1)		1,700		55,239
Pola Orbis Holdings, Inc.(1)		10,736		961,791
Rakuten, Inc.(1)		18,000		234,146
Recruit Holdings Co., Ltd.(1)		27,200		1,106,519
Resona Holdings, Inc.(1)		42,800		179,996
Ricoh Co., Ltd.(1)		12,600		113,867
Rinnai Corp.(1)		600		55,725
Rohm Co., Ltd.(1)		1,800		94,882
Ryohin Keikaku Co., Ltd.(1)		420		84,607
Sankyo Co., Ltd.(1)		800		27,314
Santen Pharmaceutical Co., Ltd.(1)		7,100		104,705
Sawai Pharmaceutical Co., Ltd.(1)		38,200		2,710,792
SBI Holdings, Inc.(1)		4,200		50,095
Secom Co., Ltd.(1)		3,900		291,045
Sega Sammy Holdings, Inc.(1)		3,600		51,268
Seibu Holdings, Inc.(1)		301,988		4,982,390
Seiko Epson Corp.(1)		5,400		104,082
Sekisui Chemical Co., Ltd.(1)		7,800		112,106
Sekisui House, Ltd.(1)		11,500		195,764
Seven & i Holdings Co., Ltd.(1)		57,600		2,722,166
Seven Bank, Ltd.(1)		11,500		36,811
Shikoku Electric Power Co., Inc.†(1)		3,400		33,586
Shimadzu Corp.(1)		4,000		60,857
Shimamura Co., Ltd.(1)		400		48,502
Shimano, Inc.(1)		1,300		192,711
Shimizu Corp.(1)		10,000		89,225
Shin-Etsu Chemical Co., Ltd.(1)		7,300		509,661
Shinsei Bank, Ltd.(1)		35,000		52,915
Shionogi & Co., Ltd.(1)		5,600		286,239
Shiseido Co., Ltd.(1)		6,900		182,469
Shizuoka Bank, Ltd.(1)		10,000		80,072
Showa Shell Sekiyu KK(1)		3,600		33,405

233

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
SMC Corp.(1)		4,100	$	1,182,729
SoftBank Group Corp.(1)		36,200		2,345,104
Sohgo Security Services Co., Ltd.(1)		1,300		69,819
Sompo Japan Nipponkoa Holdings, Inc.(1)		6,600		195,294
Sony Corp.(1)		162,300		5,303,044
Sony Financial Holdings, Inc.(1)		3,200		44,060
Stanley Electric Co., Ltd.(1)		2,700		72,624
Start Today Co., Ltd.(1)		3,330		57,033
Sumitomo Chemical Co., Ltd.(1)		28,000		124,504
Sumitomo Corp.(1)		203,700		2,274,589
Sumitomo Dainippon Pharma Co., Ltd.(1)		3,000		57,998
Sumitomo Electric Industries, Ltd.(1)		14,100		199,410
Sumitomo Heavy Industries, Ltd.(1)		9,000		44,346
Sumitomo Metal Mining Co., Ltd.(1)		9,000		124,424
Sumitomo Mitsui Financial Group, Inc.(1)		25,200		849,314
Sumitomo Mitsui Trust Holdings, Inc.(1)		60,100		1,950,427
Sumitomo Realty & Development Co., Ltd.(1)		6,000		155,446
Sumitomo Rubber Industries, Ltd.(1)		61,300		927,051
Sundrug Co., Ltd.(1)		698		58,360
Suntory Beverage & Food, Ltd.(1)		2,600		112,806
Suruga Bank, Ltd.(1)		3,000		71,940
Suzuken Co., Ltd.(1)		1,400		46,207
Suzuki Motor Corp.(1)		51,500		1,724,056
Sysmex Corp.(1)		2,900		214,851
T&D Holdings, Inc.(1)		11,100		125,147
Taiheiyo Cement Corp.(1)		21,000		60,553
Taisei Corp.(1)		19,000		142,243
Taisho Pharmaceutical Holdings Co., Ltd.(1)		600		61,467
Taiyo Nippon Sanso Corp.(1)		16,100		167,860
Takashimaya Co., Ltd.(1)		5,000		41,028
Takeda Pharmaceutical Co., Ltd.(1)		41,400		1,981,645
TDK Corp.(1)		2,300		153,849
Teijin, Ltd.(1)		3,400		65,947
Terumo Corp.(1)		6,400		245,337
THK Co., Ltd.(1)		66,900		1,317,837
Tobu Railway Co., Ltd.(1)		18,000		91,604
Toho Co., Ltd.(1)		2,000		66,378
Toho Gas Co., Ltd.(1)		7,000		65,525
Tohoku Electric Power Co., Inc.(1)		8,600		112,159
Tokio Marine Holdings, Inc.(1)		72,900		2,793,627
Tokyo Electric Power Co. Holdings, Inc.†(1)		28,400		122,827
Tokyo Electron, Ltd.(1)		19,500		1,720,797
Tokyo Gas Co., Ltd.(1)		38,000		169,075
Tokyo Tatemono Co., Ltd.(1)		3,500		42,041
Tokyu Corp.(1)		20,000		152,465
Tokyu Fudosan Holdings Corp.(1)		9,300		50,538
TonenGeneral Sekiyu KK(1)		7,000		70,893
Toppan Printing Co., Ltd.(1)		9,000		81,205

Security Description	Shares		Value (Note 2)
Japan (continued)
Toray Industries, Inc.(1)		27,000	$	262,693
Toshiba Corp.†(1)		77,000		257,272
Tosoh Corp.(1)		54,000		332,986
TOTO, Ltd.(1)		2,700		101,753
Toyo Seikan Group Holdings, Ltd.(1)		3,000		52,856
Toyo Suisan Kaisha, Ltd.(1)		1,600		67,792
Toyoda Gosei Co., Ltd.(1)		1,200		27,928
Toyota Industries Corp.(1)		3,000		139,200
Toyota Motor Corp.(1)		91,100		5,283,229
Toyota Tsusho Corp.(1)		4,100		95,100
Trend Micro, Inc.(1)		2,200		76,641
Tsuruha Holdings, Inc.(1)		687		79,499
Unicharm Corp.(1)		7,500		194,277
United Urban Investment Corp.(1)		48		87,414
USS Co., Ltd.(1)		4,100		69,307
West Japan Railway Co.(1)		3,000		185,713
Yahoo Japan Corp.(1)		408,100		1,624,879
Yakult Honsha Co., Ltd.(1)		1,600		72,065
Yamada Denki Co., Ltd.(1)		12,900		63,982
Yamaguchi Financial Group, Inc.(1)		3,000		31,968
Yamaha Corp.(1)		3,100		99,997
Yamaha Motor Co., Ltd.(1)		5,200		105,260
Yamato Holdings Co., Ltd.(1)		6,600		153,615
Yamazaki Baking Co., Ltd.(1)		2,000		48,961
Yaskawa Electric Corp.(1)		4,600		68,740
Yokogawa Electric Corp.(1)		4,000		53,227
Yokohama Rubber Co., Ltd.(1)		2,000		31,971
				153,843,160
Jersey — 2.2%
Experian PLC(1)		18,016		360,965
Glencore PLC†(1)		232,791		638,195
Kennedy Wilson Europe Real Estate PLC(1)		298,075		3,883,924
Petrofac, Ltd.(1)		5,028		58,099
Randgold Resources, Ltd.(1)		1,706		171,533
Shire PLC(1)		46,578		3,010,561
Shire PLC ADR		8,500		1,647,810
Wolseley PLC(1)		4,786		269,774
WPP PLC(1)		238,065		5,603,269
				15,644,130
Luxembourg — 0.8%
ArcelorMittal†(1)		34,534		210,891
Millicom International Cellular SA SDR(1)		1,275		66,096
RTL Group SA(1)		730		60,580
Samsonite International SA(1)		1,497,500		4,784,891
SES SA FDR(1)		6,803		166,866
Tenaris SA(1)		9,185		130,502
				5,419,826
Mauritius — 0.0%
Golden Agri-Resources, Ltd.(1)		135,000		35,365
Mexico — 0.1%
America Movil SAB de CV, Series L ADR		51,400		588,016

234

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Netherlands — 3.1%
ABN AMRO Group NV CVA*(1)		4,404	$	91,128
Aegon NV(1)		35,142		134,655
AerCap Holdings NV†		3,199		123,130
Airbus Group SE(1)		11,067		669,429
Akzo Nobel NV(1)		4,653		314,875
Altice NV, Class A†(1)		7,008		125,723
Altice NV, Class B†(1)		1,687		30,378
ASML Holding NV(1)		19,296		2,115,982
ASML Holding NV New York		16,846		1,845,985
Boskalis Westminster NV(1)		1,668		59,361
CNH Industrial NV(1)		17,898		128,112
Ferrari NV(1)		2,305		119,735
Fiat Chrysler Automobiles NV(1)		17,474		110,943
Gemalto NV(1)		1,534		98,361
Heineken Holding NV(1)		1,970		157,934
Heineken NV(1)		4,342		381,892
ING Groep NV(1)		726,079		8,950,424
Koninklijke Ahold Delhaize NV(1)		24,445		556,839
Koninklijke DSM NV(1)		3,327		224,702
Koninklijke KPN NV(1)		64,341		213,580
Koninklijke Philips NV(1)		89,291		2,643,585
Koninklijke Vopak NV(1)		1,364		71,594
Mobileye NV†		3,302		140,566
NN Group NV(1)		5,908		181,332
NXP Semiconductors NV†		5,528		563,911
OCI NV†(1)		1,630		24,032
QIAGEN NV†(1)		4,193		115,440
Randstad Holding NV(1)		2,238		101,945
RELX NV(1)		18,930		339,928
STMicroelectronics NV(1)		12,402		101,228
Unilever NV CVA(1)		30,673		1,414,957
Wolters Kluwer NV(1)		5,690		243,498
				22,395,184
New Zealand — 0.1%
Auckland International Airport, Ltd.(1)		17,770		95,132
Contact Energy, Ltd.(1)		13,797		50,722
Fletcher Building, Ltd.(1)		13,369		104,617
Mercury NZ, Ltd.(1)		13,436		29,751
Meridian Energy, Ltd.(1)		24,555		46,450
Ryman Healthcare, Ltd.(1)		7,481		52,487
Spark New Zealand, Ltd.(1)		36,182		95,145
				474,304
Norway — 0.9%
DNB ASA(1)		224,546		2,950,038
Gjensidige Forsikring ASA(1)		3,836		71,687
Marine Harvest ASA(1)		7,218		129,195
Norsk Hydro ASA(1)		26,193		113,001
Orkla ASA(1)		15,906		164,333
Schibsted ASA, Class A(1)		1,446		42,548
Schibsted ASA, Class B(1)		1,689		45,323
Statoil ASA(1)		95,830		1,607,680
Storebrand ASA†(1)		224,973		1,115,850
Telenor ASA(1)		14,068		241,902
Yara International ASA(1)		3,496		116,404
				6,597,961

Security Description	Shares		Value (Note 2)
Papua New Guinea — 0.0%
Oil Search, Ltd.(1)		26,044	$	142,509
Portugal — 0.0%
Banco Espirito Santo SA†(2)		59,101		3,983
EDP - Energias de Portugal SA(1)		45,029		151,194
Galp Energia SGPS SA(1)		8,703		118,982
Jeronimo Martins SGPS SA(1)		4,878		84,579
				358,738
Singapore — 1.3%
Ascendas Real Estate Investment Trust(1)		39,000		72,351
Broadcom, Ltd.		11,900		2,052,988
CapitaLand Commercial Trust, Ltd.(1)		40,000		46,843
CapitaLand Mall Trust(1)		46,000		73,461
CapitaLand, Ltd.(1)		49,000		115,742
City Developments, Ltd.(1)		7,000		46,855
ComfortDelGro Corp., Ltd.(1)		38,000		78,712
DBS Group Holdings, Ltd.(1)		191,600		2,175,063
Global Logistic Properties, Ltd.(1)		50,000		68,914
Hutchison Port Holdings Trust(1)		108,000		48,446
Jardine Cycle & Carriage, Ltd.(1)		2,000		63,244
Keppel Corp., Ltd.(1)		28,500		114,031
Oversea-Chinese Banking Corp., Ltd.(1)		57,000		363,900
Sembcorp Industries, Ltd.(1)		134,900		258,359
Sembcorp Marine, Ltd.(1)		16,000		15,470
Singapore Airlines, Ltd.(1)		9,900		76,573
Singapore Exchange, Ltd.(1)		16,000		87,328
Singapore Press Holdings, Ltd.(1)		28,000		78,623
Singapore Technologies Engineering, Ltd.(1)		28,000		66,690
Singapore Telecommunications, Ltd.(1)		150,600		440,815
StarHub, Ltd.(1)		10,000		25,292
Suntec Real Estate Investment Trust(1)		47,000		59,428
United Overseas Bank, Ltd.(1)		101,800		1,414,025
UOL Group, Ltd.(1)		9,000		37,197
Wilmar International, Ltd.(1)		511,100		1,210,341
Yangzijiang Shipbuilding Holdings, Ltd.(1)		39,000		21,589
				9,112,280
South Korea — 0.5%
KT Corp.(1)		36,760		1,064,947
NAVER Corp.(1)		861		691,169
Samsung Electronics Co., Ltd.(1)		1,115		1,625,053
				3,381,169
Spain — 1.7%
Abertis Infraestructuras SA(1)		9,798		152,551
ACS Actividades de Construccion y Servicios SA(1)		3,420		103,361
Aena SA*(1)		1,307		192,777
Amadeus IT Group SA(1)		8,339		416,616
Banco Bilbao Vizcaya Argentaria SA(1)		121,181		732,644
Banco de Sabadell SA(1)		99,880		127,908
Banco Popular Espanol SA(1)		62,504		77,181
Banco Santander SA(1)		271,516		1,200,640

235

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Spain (continued)
Bankia SA(1)		89,522	$	73,412
Bankinter SA(1)		13,057		92,875
CaixaBank SA(1)		50,446		127,447
Distribuidora Internacional de Alimentacion SA(1)		11,994		74,252
Enagas SA(1)		4,207		126,426
Endesa SA(1)		6,081		130,337
Ferrovial SA(1)		9,042		192,356
Gas Natural SDG SA(1)		6,781		139,361
Grifols SA(1)		5,808		125,138
Iberdrola SA(1)		102,593		696,952
Industria de Diseno Textil SA(1)		117,288		4,347,928
International Consolidated Airlines Group SA(1)		15,906		82,500
Mapfre SA(1)		18,071		50,547
Red Electrica Corp. SA(1)		8,376		180,551
Repsol SA(1)		20,301		275,515
Telefonica SA(1)		216,574		2,191,568
Zardoya Otis SA(1)		3,294		31,675
				11,942,518
Sweden — 2.4%
Alfa Laval AB(1)		5,512		86,346
ASSA ABLOY AB, Class B(1)		18,783		381,384
Atlas Copco AB, Class A(1)		12,631		380,033
Atlas Copco AB, Class B(1)		7,576		206,851
Boliden AB(1)		5,308		124,644
Electrolux AB, Series B(1)		4,694		117,628
Elekta AB, Series B(1)		67,856		656,903
Getinge AB, Class B(1)		3,904		75,641
Hennes & Mauritz AB, Class B(1)		18,035		508,436
Hexagon AB, Class B(1)		82,241		3,588,697
Husqvarna AB, Class B(1)		7,943		69,257
ICA Gruppen AB(1)		1,502		49,577
Industrivarden AB, Class C(1)		3,192		59,012
Investor AB, Class B(1)		8,582		313,603
Kinnevik AB, Class B(1)		4,577		116,656
Lundin Petroleum AB†(1)		3,516		64,263
Nordea Bank AB(1)		243,425		2,414,475
Sandvik AB(1)		20,732		227,844
Securitas AB, Class B(1)		6,016		100,782
Skandinaviska Enskilda Banken AB, Class A(1)		28,413		285,292
Skanska AB, Class B(1)		6,394		149,189
SKF AB, Class B(1)		7,651		131,988
Svenska Cellulosa AB SCA, Class B(1)		11,464		340,318
Svenska Handelsbanken AB, Class A(1)		201,858		2,772,085
Swedbank AB, Class A(1)		75,813		1,780,348
Swedish Match AB(1)		3,648		133,804
Tele2 AB, Class B(1)		6,095		52,573
Telefonaktiebolaget LM Ericsson, Class B(1)		185,281		1,337,176
Telia Co AB(1)		49,159		220,045
Volvo AB, Class B(1)		28,973		330,427
				17,075,277

Security Description	Shares		Value (Note 2)
Switzerland — 8.5%
ABB, Ltd.(1)		449,695	$	10,097,227
Actelion, Ltd.(1)		13,640		2,361,455
Adecco Group AG(1)		3,147		177,220
Aryzta AG(1)		1,694		75,171
Baloise Holding AG(1)		925		111,876
Barry Callebaut AG(1)		43		57,135
Chocoladefabriken Lindt & Spruengli AG(1)		2		136,500
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate)(1)		18		104,035
Cie Financiere Richemont SA(1)		60,095		3,659,047
Coca-Cola HBC AG(1)		3,412		79,183
Credit Suisse Group AG(1)		79,900		1,045,321
Dufry AG†(1)		863		107,943
EMS-Chemie Holding AG(1)		160		85,856
Galenica AG(1)		74		78,464
GAM Holding AG(1)		66,224		631,213
Geberit AG(1)		10,423		4,561,627
Givaudan SA(1)		173		351,841
Julius Baer Group, Ltd.(1)		4,189		170,019
Kuehne & Nagel International AG(1)		1,047		151,799
LafargeHolcim, Ltd.(1)		8,539		460,931
Lonza Group AG(1)		1,027		195,973
Nestle SA(1)		145,029		11,427,361
Novartis AG(1)		101,746		8,001,435
Pargesa Holding SA(1)		602		41,205
Partners Group Holding AG(1)		326		164,222
Roche Holding AG(1)		30,523		7,561,649
Schindler Holding AG(Participation Certificate)(SIX)(1)		855		160,179
Schindler Holding AG(AQXE)(1)		384		72,679
SGS SA(1)		1,751		3,920,012
Sika AG(1)		40		194,408
Sonova Holding AG(1)		4,129		584,393
Swatch Group AG(TRQX)(1)		978		54,318
Swatch Group AG (XEGT)(1)		580		163,891
Swiss Life Holding AG(1)		621		160,486
Swiss Prime Site AG(1)		1,226		107,520
Swiss Re AG(1)		6,271		565,778
Swisscom AG(1)		498		236,419
Syngenta AG(1)		1,745		763,036
UBS Group AG(1)		99,931		1,356,929
Zurich Insurance Group AG(1)		2,827		727,483
				60,963,239
Taiwan — 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd.(1)		1,016,000		5,958,592
United Arab Emirates — 0.0%
Orascom Construction, Ltd.†(1)		742		4,290
United Kingdom — 18.0%
3i Group PLC(1)		18,973		159,702
Aberdeen Asset Management PLC(1)		17,950		75,767
Admiral Group PLC(1)		3,804		101,027
Aggreko PLC(1)		5,006		61,875
Anglo American PLC†(1)		26,387		331,226
Antofagasta PLC(1)		85,883		581,916

236

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
Ashtead Group PLC(1)		9,762	$	160,820
Associated British Foods PLC(1)		93,657		3,156,230
AstraZeneca PLC(1)		23,776		1,540,212
Auto Trader Group PLC*(1)		495,908		2,606,436
Aviva PLC(1)		399,538		2,286,232
Babcock International Group PLC(1)		4,789		64,251
BAE Systems PLC(1)		59,568		404,146
Barclays PLC(1)		316,182		689,400
Barclays PLC ADR		60,200		523,138
Barratt Developments PLC(1)		19,118		122,755
Berkeley Group Holdings PLC(1)		2,444		81,857
BHP Billiton PLC(1)		120,537		1,811,656
BP PLC(1)		348,304		2,028,573
British American Tobacco PLC(1)		80,754		5,164,410
British Land Co. PLC(1)		18,885		155,152
BT Group PLC(1)		159,228		802,840
Bunzl PLC(1)		6,446		190,729
Burberry Group PLC(1)		84,944		1,520,184
Capita PLC(1)		12,855		111,657
Carnival PLC(1)		3,567		174,111
Centrica PLC(1)		101,780		301,046
Close Brothers Group PLC(1)		15,537		275,639
Cobham PLC(1)		31,679		68,930
Compass Group PLC(1)		136,958		2,655,954
Croda International PLC(1)		2,560		115,718
Diageo PLC(1)		369,560		10,596,420
Direct Line Insurance Group PLC(1)		306,748		1,450,413
Dixons Carphone PLC(1)		18,998		90,869
easyJet PLC(1)		3,090		40,391
Fresnillo PLC(1)		4,342		102,164
G4S PLC(1)		30,240		89,287
GKN PLC(1)		349,764		1,453,719
GlaxoSmithKline PLC(1)		91,632		1,952,717
GlaxoSmithKline PLC ADR		28,200		1,216,266
Great Portland Estates PLC(1)		66,798		549,083
Hammerson PLC(1)		15,439		117,700
Hargreaves Lansdown PLC(1)		4,592		75,768
Hikma Pharmaceuticals PLC(1)		2,710		70,927
HSBC Holdings PLC(1)		370,001		2,777,985
ICAP PLC(1)		10,605		64,069
IMI PLC(1)		5,325		74,031
Imperial Brands PLC(1)		18,013		928,491
Indivior PLC(1)		628,129		2,497,655
Informa PLC(1)		51,410		474,947
Inmarsat PLC(1)		8,225		75,263
InterContinental Hotels Group PLC(1)		3,512		144,851
Intertek Group PLC(1)		3,157		142,934
Intu Properties PLC(1)		17,777		68,295
Investec PLC(1)		10,771		65,863
ITV PLC(1)		68,037		165,351
J Sainsbury PLC(1)		24,324		77,446
Johnson Matthey PLC(1)		3,611		154,349
Kingfisher PLC(1)		452,100		2,207,252
Land Securities Group PLC(1)		15,288		210,102

Security Description	Shares		Value (Note 2)
United Kingdom (continued)
Legal & General Group PLC(1)		113,015	$	321,002
Liberty Global PLC, Class A†		91,639		3,132,221
Lloyds Banking Group PLC(1)		3,086,959		2,186,214
London Stock Exchange Group PLC(1)		6,025		218,660
Lonmin PLC†(1)		20		52
Marks & Spencer Group PLC(1)		191,924		825,393
Mediclinic International PLC(1)		6,907		83,043
Meggitt PLC(1)		211,975		1,239,292
Merlin Entertainments PLC*(1)		679,970		3,879,299
Mondi PLC(1)		7,072		148,674
National Grid PLC(1)		222,969		3,151,247
Next PLC(1)		2,700		167,413
Old Mutual PLC(1)		92,661		243,522
Pearson PLC(1)		15,879		155,110
Persimmon PLC(1)		74,872		1,764,719
Provident Financial PLC(1)		2,777		108,907
Prudential PLC(1)		286,397		5,083,109
Reckitt Benckiser Group PLC(1)		96,840		9,125,976
RELX PLC(1)		20,869		396,022
Rio Tinto PLC(1)		23,266		774,176
Rolls-Royce Holdings PLC(1)		170,089		1,587,517
Rolls-Royce Holdings PLC, Class C† (Preference Shares)		2,507,507		3,250
Royal Bank of Scotland Group PLC†(1)		66,099		153,494
Royal Dutch Shell PLC, Class A(TRQX)(1)		79,143		1,964,171
Royal Dutch Shell PLC, Class A(CHIX)(1)		178,561		4,467,354
Royal Dutch Shell PLC, Class B(1)		70,464		1,828,266
Royal Dutch Shell PLC, Class B ADR		53,600		2,831,688
Royal Mail PLC(1)		17,054		108,033
RSA Insurance Group PLC(1)		258,697		1,830,792
SABMiller PLC(1)		18,281		1,065,285
Sage Group PLC(1)		20,782		199,048
Schroders PLC(1)		2,447		85,508
Segro PLC(1)		14,257		83,992
Severn Trent PLC(1)		4,625		150,167
Sky PLC(1)		161,473		1,871,081
Smith & Nephew PLC(1)		16,887		272,419
Smiths Group PLC(1)		7,731		146,701
SSE PLC(1)		71,649		1,454,431
St James's Place PLC(1)		10,025		123,436
Standard Chartered PLC†(1)		172,432		1,404,236
Standard Life PLC(1)		38,010		169,428
Tate & Lyle PLC(1)		9,174		89,140
Taylor Wimpey PLC(1)		62,667		125,445
Tesco PLC†(1)		153,108		362,821
Travis Perkins PLC(1)		4,804		96,004
Unilever PLC(1)		130,640		6,193,250
United Utilities Group PLC(1)		13,189		171,627
Vodafone Group PLC(1)		1,892,885		5,427,612
Vodafone Group PLC ADR		106,600		3,107,390
Weir Group PLC(1)		4,145		91,127
Whitbread PLC(1)		3,526		178,923

237

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
William Hill PLC(1)		16,880	$	66,556
WM Morrison Supermarkets PLC(1)		40,410		114,064
Worldpay Group PLC*(1)		575,855		2,210,819
				129,297,323
United States — 0.1%
Autoliv, Inc. SDR(1)		9,159		971,119
Ball Corp.		629		51,547
				1,022,666
Total Common Stocks (cost $702,751,279)				702,918,989
EXCHANGE-TRADED FUNDS — 0.0%
iShares MSCI EAFE ETF Index Fund (cost $216,546)		3,740		221,146
Total Long-Term Investment Securities (cost $702,967,825)				703,140,135
SHORT-TERM INVESTMENT SECURITIES — 0.1%
Registered Investment Companies — 0.1%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.27%(4)		901,880		901,880
T. Rowe Price Government Reserve Fund 0.32%(4)		1,044		1,044
Total Short-Term Investment Securities (cost $902,924)				902,924
REPURCHASE AGREEMENTS — 1.4%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount $3,187,003 collateralized by $3,035,000 of United States Treasury Notes, bearing interest at 3.13% due 05/15/2019 and having an approximate value of $3,252,194	$	3,187,000		3,187,000

Security Description	Principal Amount			Value (Note 2)
State Street Bank and Trust Co. Joint Repurchase Agreement(6) .	$	6,992,000		$	6,992,000
Total Repurchase Agreements (cost $10,179,000)					10,179,000
TOTAL INVESTMENTS (cost $714,049,749)(7)		99.3	%		714,222,059
Other assets less liabilities		0.7			4,721,005
NET ASSETS		100.0	%	$	718,943,064

†  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, 2016, the aggregate value of these securities was $10,315,752 representing 1.4% 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, 2016. The aggregate value of these securities was $666,128,002 representing 92.7% 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, 2016 the aggregate value of these securities was $0 representing 0.0% of net assets.

(4)  The rate shown is the 7-day yield as of September 30, 2016.

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

(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

AQXE — Equis Exchange

CDI — Chess Depositary Interest

CHIX — Chi X Europe Exchange

CVA — Certification Van Aandelen (Dutch Cert.)

Euronext — Euro Stock Exchange

FDR — Fiduciary Depositary Receipt

RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange

SDR — Swedish Depositary Receipt

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, 2016		Unrealized Appreciation (Depreciation)
	115	Long	E-Mini MSCI EAFE Index	December 2016	$	9,580,266	$	9,813,525	$	233,259

238

Seasons Series Trust International Equity Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	—	$	37,208,376	**	$	0	$	37,208,376
Japan		—		153,843,160	#		—		153,843,160
Portugal		—		354,755	**		3,983		358,738
United Kingdom		10,810,703		118,486,620	##		—		129,297,323
Other Countries		25,921,574		356,289,818	**		—		382,211,392
Exchange-Traded Funds		221,146		—			—		221,146
Short-Term Investment Securities		902,924		—			—		902,924
Repurchase Agreements		—		10,179,000			—		10,179,000
Total Investments at Value	$	37,856,347	$	676,361,729		$	3,983	$	714,222,059
Other Financial Instruments:†
Futures Contracts	$	233,259	$	—		$	—	$	233,259

*  For a detailed presentation of investments, please refer to the Portfolio of Investments.

**  Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Notes 2).

#  Amount includes $153,791,683 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board ( see Note 2).

##  Amount includes $118,483,370 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).

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

The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $649,854,391 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were adjusted for fair value pricing procedures for foreign equity securities. There were no additional material transfers between Levels during the reporting period.

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

See Notes to Financial Statements

239

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
United States Treasury Notes	29.9	%
Federal National Mtg. Assoc.	12.4
Diversified Financial Services	11.5
United States Treasury Bonds	7.6
Diversified Banking Institutions	6.8
Federal Home Loan Mtg. Corp.	4.6
Government National Mtg. Assoc.	3.5
Repurchase Agreements	3.2
Banks-Commercial	2.1
Cable/Satellite TV	1.8
Oil Companies-Exploration & Production	1.6
Telephone-Integrated	1.6
Brewery	1.4
Pipelines	1.3
Sovereign	1.3
Electric-Integrated	1.3
Auto-Cars/Light Trucks	1.2
Medical-Drugs	1.0
Oil Companies-Integrated	0.9
Banks-Super Regional	0.8
Real Estate Investment Trusts	0.8
Medical-HMO	0.8
Medical-Generic Drugs	0.7
Retail-Drug Store	0.5
Computers	0.5
Municipal Bonds & Notes	0.5
Multimedia	0.5
Applications Software	0.4
Tobacco	0.4
Insurance-Multi-line	0.4
Retail-Building Products	0.3
Networking Products	0.3
Enterprise Software/Service	0.3
Aerospace/Defense	0.3
Insurance-Life/Health	0.2
Electric-Generation	0.2
Transport-Rail	0.2
Transport-Services	0.2
Oil Refining & Marketing	0.2
Medical Products	0.2
Trucking/Leasing	0.2
Finance-Consumer Loans	0.2
Finance-Credit Card	0.2
Food-Misc./Diversified	0.2
Retail-Auto Parts	0.2
Medical Instruments	0.2
Insurance-Mutual	0.2
Electronic Components-Semiconductors	0.2
Beverages-Wine/Spirits	0.2
Medical-Biomedical/Gene	0.2
Central Bank	0.2
Insurance Brokers	0.2
Insurance-Property/Casualty	0.2
Retail-Discount	0.2
Aerospace/Defense-Equipment	0.2
Food-Retail	0.1
Paper & Related Products	0.1
Containers-Paper/Plastic	0.1
Rental Auto/Equipment	0.1
Savings & Loans/Thrifts	0.1

Diagnostic Equipment	0.1	%
Medical Labs & Testing Services	0.1
Real Estate Operations & Development	0.1
Data Processing/Management	0.1
Finance-Other Services	0.1
Television	0.1
Electronic Measurement Instruments	0.1
Independent Power Producers	0.1
Medical-Wholesale Drug Distribution	0.1
Diversified Manufacturing Operations	0.1
Medical-Hospitals	0.1
Federal Home Loan Bank	0.1
Beverages-Non-alcoholic	0.1
Food-Meat Products	0.1
Semiconductor Equipment	0.1
Retail-Restaurants	0.1
Commercial Services	0.1
Cellular Telecom	0.1
Computer Services	0.1
Banks-Fiduciary	0.1
Building Societies	0.1
Machinery-General Industrial	0.1
Distribution/Wholesale	0.1
Metal Processors & Fabrication	0.1
Commercial Services-Finance	0.1
Machinery-Farming	0.1
Food-Wholesale/Distribution	0.1
Insurance-Reinsurance	0.1
Professional Sports	0.1
Advertising Services	0.1
Investment Management/Advisor Services	0.1
Pharmacy Services	0.1
	110.4	%
Credit Quality†#
Aaa	60.9	%
Aa	2.3
A	9.5
Baa	15.5
Ba	4.7
B	1.3
Caa	0.8
Ca	0.3
Not Rated@	4.7
	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.

240

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES — 11.5%
Diversified Financial Services — 11.5%
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 0.80% due 11/25/2035(1)	$	244,703	$	225,911
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6a21 1.03% due 01/25/2036(1)		173,557		149,006
Alternative Loan Trust FRS Series 2006-29T1, Class 1A4 0.93% due 10/25/2036(1)		256,947		159,300
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1)		244,207		204,241
American Express Credit Account Master Trust FRS Series 2014-1, Class A 0.89% due 12/15/2021		225,000		225,875
American Home Mtg. Assets Trust FRS Series 2006-2, Class 2A1 0.72% due 09/25/2046(1)		204,411		153,193
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.45% due 10/25/2046(1)		73,932		51,728
AmeriCredit Automobile Receivables Trust Series 2013-3, Class D 3.00% due 07/08/2019		115,000		116,713
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1L 2.16% due 07/27/2026*(2)		1,190,000		1,190,622
Apidos CLO XVI FRS Series 2013-16A, Class A1 2.14% due 01/19/2025*(2)		795,000		795,700
Apidos CLO XX FRS Series 2015-20A, Class A1 2.23% due 01/16/2027*(2)		1,305,000		1,310,977
Apidos CLO XXI FRS Series 2015-21A, Class A1 2.11% due 07/18/2027*(2)		1,500,000		1,503,256
Ares XXIX CLO, Ltd. FRS Series 2014-1A, Class A1 2.20% due 04/17/2026*(2)		1,215,000		1,219,300
Ares XXX CLO, Ltd. FRS Series 2014-30A, Class A2 1.55% due 04/20/2023*(2)		739,654		735,307
Atlas Senior Loan Fund V, Ltd. FRS Series 2014-1A, Class A 2.23% due 07/16/2026*(2)		540,000		540,280
Atlas Senior Loan Fund VI, Ltd. FRS Series 2014-6A, Class A 2.22% due 10/15/2026*(2)		1,705,000		1,709,985
Atrium VII FRS Series 7AR, Class BR 2.57% due 11/16/2022*(2)		505,000		504,734
Atrium XI FRS Series 11-A, Class B 2.86% due 10/23/2025*(2)		1,520,000		1,515,884

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Aventura Mall Trust VRS Series 2013-AVM, Class A 3.74% due 12/05/2032*(3)	$	1,425,000	$	1,531,244
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class A 2.23% due 04/25/2026*(2)		1,205,000		1,208,379
BA Credit Card Trust Series 2015-A2,Class A 1.36% due 09/15/2020		191,000		191,774
Babson CLO, Ltd. FRS Series 2014-IA, Class A1 2.19% due 07/20/2025*(2)		295,000		294,778
Banc of America Commercial Mtg. Trust VRS Series 2007-3, Class A4 5.75% due 02/10/2051(3)		714,000		728,429
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 0.59% due 01/25/2037(1)		19,879		12,347
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 0.76% due 02/20/2047(1)		495,469		429,200
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(3)		1,155,000		1,228,260
BCAP LLC Trust FRS Series 2006-AA2, Class A1 0.70% due 01/25/2037(1)		28,029		22,526
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12,Class 11A1 3.01% due 02/25/2036(1)		82,626		70,675
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 1.01% due 02/25/2036(1)		75,970		65,055
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 1.03% due 01/25/2036(1)		234,744		190,030
Bear Stearns ALT-A Trust FRS Series 2005-9, Class 11A1 1.05% due 11/25/2035(1)		110,831		97,606
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2007-T26, Class A4 5.47% due 01/12/2045(3)		23,898		24,117
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 0.71% due 10/25/2036(1)		109,300		88,516
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 0.73% due 02/25/2037(1)		247,117		198,791
BlueMountain CLO, Ltd. FRS Series 2015-3A, Class A1 2.18% due 10/20/2027*(2)		2,115,000		2,116,081
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.20% due 04/27/2027*(2)		1,355,000		1,356,108

241

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Cent CLO, Ltd. FRS Series 2013-20A, Class A 2.19% due 01/25/2026*(2)	$	1,500,000	$	1,497,222
Cent CLO, Ltd. FRS Series 2014-21A, Class A1A 2.22% due 07/27/2026*(2)		820,000		818,599
CGGS Commercial Mtg. Trust Series 2016-RNDA, Class AFX 2.76% due 02/10/2033*(3)		400,000		406,542
Chase Issuance Trust Series 2016-A2, Class A 1.37% due 06/15/2021		219,000		219,641
Chase Mtg. Finance Trust FRS Series 2005-A1, Class 2A2 2.72% due 12/25/2035(1)		238,646		218,083
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1)		320,000		304,901
Chase Mtg. Trust VRS Series 2016-2, Class M2 3.75% due 12/25/2045*(1)		96,264		99,653
CHL Mtg. Pass Through Trust FRS Series 2007-HY4, Class 1A1 3.03% due 09/25/2047(1)		322,958		285,870
CHL Mtg. Pass-Through Trust FRS Series 2007-HY1, Class 1A1 3.03% due 04/25/2037(1)		48,438		43,804
CIFC Funding, Ltd. FRS Series 2014-1A, Class A 2.18% due 04/18/2025*(2)		1,285,000		1,286,665
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1L 2.31% due 05/24/2026*(2)		1,495,000		1,493,408
CIFC Funding, Ltd. FRS Series 2012-1AR, Class A2R 2.92% due 08/14/2024*(2)		1,085,000		1,082,188
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.12% due 07/10/2047(3)(4)		4,338,385		272,572
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.17% due 04/10/2048(3)(4)		3,694,041		253,295
Citigroup Commercial Mtg. Trust Series 2016-SMPL, Class A 2.23% due 09/10/2031(3)(7)		100,000		99,990
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(3)		303,000		310,386
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(3)		494,000		509,236
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(3)		1,029,000		1,127,556
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(3)		610,000		670,225

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(3)	$	615,000	$	683,069
Citigroup Commercial Mtg. Trust Series 2013-GC17, Class A4 4.13% due 11/10/2046(3)		1,110,000		1,242,413
Citigroup Commercial Mtg. Trust VRS Series 2013-GC15, Class A4 4.37% due 09/10/2046(3)		870,000		986,668
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.13% due 12/10/2049(3)		283,975		292,841
Commercial Mtg. Trust Series 2015-DC1, Class A2 2.87% due 02/10/2048(3)		454,000		468,874
Commercial Mtg. Trust Series 2015-CR24, Class A2 3.02% due 08/10/2048(3)		34,505		36,123
Commercial Mtg. Trust Series 2013-CR8, Class A4 3.33% due 06/10/2046(3)		425,000		454,037
Commercial Mtg. Trust VRS Series 2013-CR8, Class A5 3.61% due 06/10/2046(3)		775,000		840,400
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(3)		1,205,000		1,304,267
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(3)		1,135,000		1,226,968
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(3)		660,000		727,257
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(3)		605,000		669,790
Commercial Mtg. Trust Series 2014-CR16, Class A4 4.05% due 04/10/2047(3)		675,000		750,172
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(3)		845,000		947,998
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.09% due 12/10/2049(3)		640,772		659,286
Consumer Credit Origination Loan Trust Series 2015-1, CALW, Class A 2.82% due 03/15/2021*(10)		66,954		67,056
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 0.80% due 01/25/2036(1)		165,465		136,090
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 0.84% due 11/25/2035(1)		65,618		52,661

242

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 1.33% due 12/25/2035(1)	$	161,321	$	124,524
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1)		236,425		183,580
Countrywide Alternative Loan Trust Series 2007-19, Class 2A1 6.50% due 08/25/2037(1)		351,294		230,092
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 1.21% due 03/25/2035(1)		82,274		64,314
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB7, Class 6A1 2.70% due 11/20/2035(1)		47,990		40,060
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-HYB3, Class 2A2A 2.91% due 06/20/2035(1)		160,449		149,355
Credit Acceptance Auto Loan Trust Series 2014-1A, Class A 1.55% due 10/15/2021*		284,857		284,865
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.03% due 06/15/2057(3)(4)		10,286,677		551,764
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A2 2.97% due 04/15/2050(3)		20,600		21,380
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(3)		1,448,000		1,558,768
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(3)		1,443,000		1,582,067
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(3)		372,000		411,357
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 0.68% due 12/25/2036(1)		250,832		205,316
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 0.68% due 03/25/2037(1)		24,604		18,117
Dryden Senior Loan Fund FRS Series 2014-33A, Class A 2.16% due 07/15/2026*(2)		1,370,000		1,372,440
Dryden Senior Loan Fund FRS Series 2014-36A, Class B 3.14% due 11/09/2025*(2)		1,050,000		1,047,464
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class A 2.03% due 04/18/2026*(2)		1,260,000		1,259,051

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.41% due 03/19/2046(1)	$	558,276	$	453,973
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 0.84% due 09/25/2036(10)		495,000		346,210
First Investors Auto Owner Trust Series 2013-1A, Class B 1.81% due 10/15/2018*		21,975		21,979
Flagship Credit Auto Trust Series 2014-1, Class A 1.21% due 04/15/2019*		43,011		43,027
Flatiron CLO, Ltd. FRS Series 2014-1A, Class A2 2.58% due 07/17/2026*(2)		290,000		289,403
Ford Credit Auto Owner Trust Series 2014-C,Class B 1.97% due 04/15/2020		164,000		165,285
Ford Credit Auto Owner Trust Series 2015-2, Class A 2.44% due 01/15/2027*		180,000		184,830
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class B 1.40% due 02/15/2019		190,000		190,073
GM Financial Automobile Leasing Trust Series 2014-2A, Class B 1.96% due 03/20/2018*		190,000		190,491
GMACM Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1 3.40% due 04/19/2036(1)		393,766		349,991
GMACM Mtg. Loan Trust FRS Series 2005-AR5, Class 4A1 3.43% due 09/19/2035(1)		67,797		61,907
Green Tree Agency Advance Funding Trust I Series 2015-T2, Class AT2 3.09% due 10/15/2048*		485,000		485,152
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 0.69% due 02/25/2037(1)		103,952		93,281
GS Mtg. Securities Corp. II Series GC30, Class A2 2.73% due 05/10/2050(3)		38,625		39,858
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(3)		1,285,000		1,332,930
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(3)		155,000		187,109
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(3)		1,225,000		1,323,374
GS Mtg. Securities Trust Series 2013-GC12, Class A4 3.14% due 06/10/2046(3)		1,050,000		1,109,015

243

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(3)	$	1,307,000	$	1,438,974
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(3)		615,000		680,771
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 0.58% due 12/25/2046(10)		54,454		34,034
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 0.60% due 12/25/2046(10)		97,156		52,909
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 0.61% due 02/25/2037(10)		498,222		278,668
GSAA Home Equity Trust FRS Series 2006-19, Class A1 0.62% due 12/25/2036(10)		17,010		8,226
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 0.77% due 11/25/2036(10)		132,379		75,181
GSAA Home Equity Trust FRS Series 2006-3, Class A3 0.83% due 03/25/2036(10)		27,911		18,442
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 0.85% due 04/25/2047(10)		223,593		148,074
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)(10)		120,375		64,025
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(10)		392,441		199,224
GSAA Trust FRS Series 2007-6, Class 1A2 0.75% due 05/25/2047(10)		70,308		53,477
GSAA Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)(10)		365,000		339,465
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 0.83% due 01/25/2037(1)		761,383		471,368
GSR Mtg. Loan Trust FRS Series 2005-8F, Class 3A2 1.03% due 11/25/2035(1)		16,659		11,007
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.95% due 01/25/2036(1)		17,199		15,973
GSR Mtg. Loan Trust FRS Series 2006-AR1, Class 2A4 2.95% due 01/25/2036(1)		222,572		205,507
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 3.22% due 10/25/2035(1)		165,603		145,217
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 0.72% due 01/19/2038(1)		14,646		12,577

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 0.77% due 12/19/2036(1)	$	313,700	$	233,107
HarborView Mtg. Loan Trust FRS Series 2004-11, Class 1A 1.23% due 01/19/2035(1)		51,183		33,672
Hilton USA Trust Series 2013-HLT, Class AFX 2.66% due 11/05/2030*(3)		1,305,000		1,304,769
Honda Auto Receivables Owner Trust Series 2016-2, Class A4 1.62% due 08/15/2022		79,000		79,594
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 0.80% due 02/25/2036		200,000		178,897
Hudson Yards Mtg. Trust Series 2016-10HY, Class A 2.84% due 08/10/2038*(3)		660,000		670,371
IndyMac Index Mtg. Loan Trust FRS Series 2007-FLX2, Class A1C 0.72% due 04/25/2037(1)		45,264		32,976
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 0.81% due 07/25/2035(1)		7,571		6,110
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR13, Class 1A1 3.01% due 08/25/2035(1)		101,282		76,007
IndyMac Index Mtg. Loan Trust FRS Series 2006-AR3, Class 1A1 3.03% due 12/25/2036(1)		405,059		357,163
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.13% due 04/25/2037(1)		200,839		128,163
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(3)		1,000,000		1,053,330
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(3)		1,179,031		1,269,335
JP Morgan Chase Commercial Mtg. Securities Trust Series 2015-JP1, Class A5 3.91% due 01/15/2049(3)		1,786,000		1,981,433
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(3)		985,000		1,101,510
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2007-CB19, Class A4 5.71% due 02/12/2049(3)		615,872		624,649
JP Morgan Mtg. Trust FRS Series 2006-A3, Class 3A2 2.96% due 05/25/2036(1)		199,105		176,847

244

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
JPMBB Commercial Mtg. Securities Trust VRS Series 2015-C33, Class A4 3.77% due 12/15/2048(3)	$	535,000	$	586,258
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(3)		290,000		317,470
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(3)		1,355,000		1,478,678
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(3)		610,000		675,003
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C14, Class A4 4.13% due 08/15/2046(3)		1,165,000		1,298,805
LB-UBS Commercial Mtg. Trust VRS Series 2007-C6, Class A4 5.86% due 07/15/2040(3)		611,583		619,060
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.29% due 04/15/2041(3)		78,383		81,787
Lehman XS Trust FRS Series 2006-16N, Class A4A 0.72% due 11/25/2046(1)(10)		508,574		419,150
Lehman XS Trust FRS Series 2007-7N, Class 1A2 0.77% due 06/25/2047(1)		32,626		22,308
Lehman XS Trust FRS Series 2005-6, Class 1A1 1.04% due 11/25/2035(10)		69,240		46,752
Lehman XS Trust FRS Series 2007-16N, Class 2A2 1.37% due 09/25/2047(1)		317,376		259,683
Limerock CLO II, Ltd. FRS Series 2014-2A, Class A 2.18% due 04/18/2026*(2)		1,295,000		1,293,639
LSTAR Securities Investment, Ltd. FRS Series 2016-3, Class A 2.53% due 09/01/2021*(1)(7)(10)		685,000		674,931
Luminent Mtg. Trust FRS Series 2006-6, Class A1 0.73% due 10/25/2046(1)		126,538		108,025
Luminent Mtg. Trust FRS Series 2005-1, Class A1 0.79% due 11/25/2035(1)		267,851		240,640
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class A1A 1.99% due 10/23/2025*(2)		1,235,000		1,233,483
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class A 2.20% due 07/20/2026*(2)		1,290,000		1,295,587

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Madison Park Funding XIII, Ltd. FRS Series 2014-13A, Class A 2.14% due 01/19/2025*(2)	$	750,000	$	750,454
Magnetite CLO, Ltd. FRS Series 2012-7A, Class C 5.18% due 01/15/2025*(2)(10)		1,355,000		1,345,450
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1 2.13% due 07/25/2026*(2)		2,515,000		2,515,588
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2 2.66% due 07/25/2026*(2)		895,000		892,758
Magnetite VIII, Ltd. FRS Series 2014-8A, Class A 2.16% due 04/15/2026*(2)		835,000		836,374
Magnetite XII, Ltd. FRS Series 2015-12A, Class A 2.18% due 04/15/2027*(2)		930,000		931,453
Merrill Lynch Mtg. Investors Trust FRS Series 2005-A4, Class 1A 3.05% due 07/25/2035(1)		324,946		253,043
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 0.68% due 06/25/2036(10)		30,023		26,400
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.30% due 12/15/2047(3)(4)		2,777,948		164,503
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(3)		500,000		520,835
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(3)		791,000		840,864
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(3)		1,857,000		1,979,266
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(3)		1,065,000		1,190,576
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(3)(7)		52,000		52,000
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2029*(3)		755,000		799,787
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 0.70% due 11/25/2036(10)		297,352		134,505
Morgan Stanley Mtg. Loan Trust FRS Series 2006-6AR, Class 3A1 3.13% due 05/25/2036(1)		94,527		66,382

245

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Nationstar HECM Loan Trust Series 2016-1A, Class A 2.98% due 02/25/2026*	$	641,186	$	640,718
Neuberger Berman CLO XVII, Ltd. FRS Series 2014-17A, Class A 2.24% due 08/04/2025*(2)		1,085,000		1,087,313
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/25/2035*(1)		1,773,843		1,842,625
Nomura Asset Acceptance Corp Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.81% due 06/25/2036(1)		216,333		162,161
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(1)		274,319		275,535
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class A 2.17% due 07/20/2026*(2)		405,000		405,620
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.37% due 02/15/2026*(2)		1,325,000		1,328,515
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.21% due 04/17/2027*(2)		1,160,000		1,161,712
Octagon Investment Partners XVI, Ltd. FRS Series 2013-A, Class 1A 1.80% due 07/17/2025*(2)		705,000		701,548
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		2,030,000		2,089,392
OZLM Funding V, Ltd. FRS Series 2013-5A, Class A1 2.18% due 01/17/2026*(2)		2,110,000		2,119,381
OZLM VI, Ltd. FRS Series 2014-6A, Class A1 2.23% due 04/17/2026*(2)		1,265,000		1,267,855
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.21% due 04/30/2027*(2)		2,100,000		2,097,440
Race Point IX CLO, Ltd. FRS Series BH3-9A, Class A1 2.19% due 04/15/2027*(2)		1,565,000		1,563,820
RALI Series Trust FRS Series 2006-QA3, Class A2 0.83% due 04/25/2036(1)		347,119		249,594
RALI Series Trust FRS Series 2006-QO7, Class 1A1 1.31% due 09/25/2046(1)		228,074		161,737
RALI Series Trust FRS Series 2007-QH9, Class A1 1.81% due 11/25/2037(1)		95,707		65,140
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1)		116,461		100,646

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(10)	$	348,584	$	185,986
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)(10)		164,781		102,221
Residential Asset Securitization Trust FRS Series 2005-A2, Class A2 0.98% due 03/25/2035(1)		117,892		92,814
RFMSI Series Trust VRS Series 2005-SA3, Class 1A 3.25% due 08/25/2035(1)		136,821		101,450
RFMSI Series Trust FRS Series 2007-SA2, Class 2A1 3.47% due 04/25/2037(1)		40,330		34,259
Santander Drive Auto Receivables Trust Series 2014-B, Class 4 1.82% due 05/15/2019		275,040		275,562
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 0.62% due 07/25/2036(10)		210,467		103,762
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class A 2.16% due 07/17/2026*(2)		955,000		957,974
Sequoia Mtg. Trust FRS Series 2007-3, Class 2AA1 3.07% due 07/20/2037(1)		31,556		25,414
Shackleton CLO, Ltd. FRS Series 2014-6A, Class A2 2.16% due 07/17/2026*(2)		1,585,000		1,588,858
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 0.71% due 07/25/2037(10)		50,000		34,505
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.78% due 11/25/2036(10)		290,000		203,452
SpringCastle America Funding LLC Series 2014-A, Class AA 2.70% due 05/25/2023*(10)		519,220		520,905
Springleaf Funding Trust Series 2014-AA, Class A 2.41% due 12/15/2022*		386,856		387,350
SPS Servicer Advance Receivables Trust Series 2015-T3, Class AT3 2.92% due 07/15/2047*		1,385,000		1,388,183
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.83% due 09/25/2034(1)		36,936		31,958
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 0.76% due 02/25/2036(1)		150,805		121,134

246

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Symphony CLO LP FRS Series 2012-BR, Class 8AR 2.22% due 01/09/2023*(2)	$	1,200,000	$	1,202,994
Symphony CLO, Ltd. FRS Series 2014-15A, Class A 2.13% due 10/17/2026*(2)		1,150,000		1,150,298
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2 2.15% due 07/14/2026*(2)		1,130,000		1,130,935
Synchrony Credit Card Master Note Trust Series 2016-1, Class A 2.04% due 03/15/2022		100,000		101,483
Synchrony Credit Card Master Note Trust Series 2016-2, Class A 2.21% due 05/15/2024		100,000		101,976
Taco Bell Funding LLC Series 2016-1A, Class A2I 3.83% due 05/25/2046*		80,000		81,124
Taco Bell Funding LLC Series 2016-1A, Class A2II 4.38% due 05/25/2046*		80,000		82,899
Thacher Park CLO, Ltd. FRS Series 2014-A, Class 1A 2.17% due 10/20/2026*(2)		810,000		812,550
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(1)		591,947		601,184
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(1)		1,275,330		1,292,251
Treman Park CLO, Ltd. FRS Series 2015-1A, Class A 2.20% due 04/20/2027*(2)		1,325,000		1,327,649
UBS-Barclays Commercial Mtg. Trust Series 2013-C6, Class A4 3.24% due 04/10/2046(3)		101,000		107,030
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(3)		1,195,000		1,250,496
Voya CLO, Ltd. FRS Series 2014-2A, Class A1 2.13% due 07/17/2026*(2)		250,000		249,731
Voya CLO, Ltd. FRS Series 2014-4A, Class A1 2.13% due 10/14/2026*(2)		350,000		350,457
Voya CLO, Ltd. FRS Series 2014-1A, Class A1 2.18% due 04/18/2026*(2)		1,250,000		1,251,672
Voya CLO, Ltd. FRS Series 2012-1RA, Class A2R 2.51% due 03/14/2022*(2)		1,000,000		1,003,961
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 1.31% due 12/25/2046(1)		158,568		122,802

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR18, Class 2A2 2.01% due 01/25/2037(1)	$	83,324	$	69,357
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.19% due 11/25/2046(1)		93,671		83,317
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2007-HY6, Class 1A1 2.54% due 06/25/2037(1)		235,407		210,276
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2007-HY1, Class A1 0.62% due 02/25/2037(1)		537,942		341,604
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 1.13% due 07/25/2036(1)		117,872		65,160
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 1.34% due 11/25/2046(1)		193,990		140,334
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.33% due 05/15/2048(3)(4)		3,743,714		257,868
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.34% due 09/15/2057(3)(4)		9,685,679		644,504
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)		75,000		61,444
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.93% due 11/25/2034(1)		48,086		48,071
Wells Fargo Mtg. Backed Securities Trust FRS Series 2005-AR16, Class 4A8 3.07% due 10/25/2035(1)		325,000		309,978
Wells Fargo Mtg. Backed Securities Trust FRS Series 2006-AR16, Class A1 3.23% due 10/25/2036(1)		239,262		220,554
Westlake Automobile Receivables Trust Series 2014-B, Class 2A 1.58% due 04/15/2020*		500,302		500,465
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.99% due 02/15/2044*(3)(4)		592,122		16,513
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(3)		480,000		534,189
Total Asset Backed Securities (cost $135,110,167)				137,398,350

247

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 26.8%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024	$	94,000	$	100,946
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026		151,000		159,589
				260,535
Aerospace/Defense — 0.2%
BAE Systems Holdings, Inc. Company Guar. Notes 2.85% due 12/15/2020*		155,000		158,654
Boeing Co. Senior Notes 2.20% due 10/30/2022		145,000		147,374
General Dynamics Corp. Company Guar. Notes 2.13% due 08/15/2026		122,000		120,041
Lockheed Martin Corp. Senior Notes 2.50% due 11/23/2020		265,000		273,554
Lockheed Martin Corp. Senior Notes 2.90% due 03/01/2025		200,000		206,249
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		385,000		457,427
Lockheed Martin Corp. Senior Notes 5.72% due 06/01/2040		400,000		516,498
Raytheon Co. Senior Notes 3.13% due 10/15/2020		500,000		530,375
				2,410,172
Aerospace/Defense-Equipment — 0.1%
Harris Corp. Senior Notes 4.85% due 04/27/2035		166,000		182,347
Harris Corp. Senior Notes 5.05% due 04/27/2045		157,000		179,807
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		94,000		97,173
Orbital ATK, Inc. Company Guar. Notes 5.50% due 10/01/2023		123,000		128,842
Spirit AeroSystems, Inc. Company Guar. Notes 3.85% due 06/15/2026		28,000		29,079
Triumph Group, Inc. Company Guar. Notes 5.25% due 06/01/2022		52,000		49,010
				666,258

Security Description	Principal Amount(18)		Value (Note 2)
Agricultural Operations — 0.0%
Archer-Daniels-Midland Co. Senior Notes 2.50% due 08/11/2026	$	112,000	$	112,283
Airlines — 0.0%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		108,000		111,780
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2018(7)		14,593		14,646
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		126,592		128,490
United Airlines Pass-Through Trust Pass-Through Certs. Series 2013-1, Class B 5.38% due 02/15/2023		81,746		85,016
				339,932
Appliances — 0.0%
Whirlpool Corp. Senior Notes 4.50% due 06/01/2046		105,000		113,299
Applications Software — 0.4%
Microsoft Corp. Senior Notes 1.30% due 11/03/2018		157,000		157,766
Microsoft Corp. Senior Notes 1.55% due 08/08/2021		1,270,000		1,264,810
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		663,000		663,561
Microsoft Corp. Senior Notes 3.45% due 08/08/2036		174,000		177,249
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		1,065,000		1,077,977
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		485,000		491,365
Microsoft Corp. Senior Notes 4.45% due 11/03/2045		460,000		522,976
				4,355,704
Auto-Cars/Light Trucks — 1.2%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		236,000		235,794
American Honda Finance Corp. Senior Notes 1.20% due 07/12/2019		223,000		221,694

248

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto-Cars/Light Trucks (continued)
BMW US Capital LLC Company Guar. Notes 1.50% due 04/11/2019*	$	163,000	$	163,256
Daimler Finance North America LLC Company Guar. Notes 1.38% due 08/01/2017*		306,000		306,141
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021*		155,000		155,259
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		287,000		293,059
Ford Motor Co. Senior Notes 7.45% due 07/16/2031		375,000		496,011
Ford Motor Credit Co. LLC Senior Notes 1.46% due 03/27/2017		465,000		465,553
Ford Motor Credit Co. LLC Senior Notes 1.68% due 09/08/2017		1,000,000		1,000,724
Ford Motor Credit Co. LLC Senior Notes 2.02% due 05/03/2019		212,000		212,414
Ford Motor Credit Co. LLC Senior Notes 2.24% due 06/15/2018		300,000		302,395
Ford Motor Credit Co. LLC Senior Notes 3.10% due 05/04/2023		212,000		213,508
Ford Motor Credit Co. LLC Senior Notes 3.20% due 01/15/2021		400,000		410,648
Ford Motor Credit Co. LLC Senior Notes 4.13% due 08/04/2025		275,000		290,133
Ford Motor Credit Co. LLC Senior Notes 5.88% due 08/02/2021		1,000,000		1,141,510
Ford Motor Credit Co. LLC Senior Notes 6.63% due 08/15/2017		375,000		391,360
General Motors Co. Senior Notes 4.00% due 04/01/2025		900,000		920,046
General Motors Co. Senior Notes 4.88% due 10/02/2023		1,315,000		1,424,701
General Motors Co. Senior Notes 6.25% due 10/02/2043		190,000		224,246
General Motors Co. Senior Notes 6.60% due 04/01/2036		310,000		372,986
General Motors Financial Co., Inc. Company Guar. Notes 3.10% due 01/15/2019		1,215,000		1,238,484

Security Description	Principal Amount(18)		Value (Note 2)
Auto-Cars/Light Trucks (continued)
General Motors Financial Co., Inc. Company Guar. Notes 3.20% due 07/06/2021	$	1,285,000	$	1,300,781
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023		1,275,000		1,296,749
General Motors Financial Co., Inc. Company Guar. Notes 5.25% due 03/01/2026		440,000		483,245
Hyundai Capital America Senior Notes 2.40% due 10/30/2018*		377,000		382,237
Toyota Motor Credit Corp. Senior Notes 2.00% due 10/24/2018		118,000		119,727
				14,062,661
Auto-Heavy Duty Trucks — 0.0%
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		94,000		99,523
PACCAR Financial Corp. Senior Notes 1.65% due 02/25/2019		53,000		53,533
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		264,000		269,899
				422,955
Auto/Truck Parts & Equipment-Replacement — 0.0%
Allison Transmission, Inc. Company Guar. Notes 5.00% due 10/01/2024*		20,000		20,500
Banks-Commercial — 0.7%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		361,000		373,223
BB&T Corp. Sub. Notes 4.90% due 06/30/2017		250,000		256,165
Capital One NA Senior Notes 1.50% due 09/05/2017		1,500,000		1,499,139
Capital One NA Senior Notes 1.50% due 03/22/2018		360,000		359,220
Capital One NA Senior Notes 1.65% due 02/05/2018		350,000		350,410
Capital One NA Senior Notes 2.35% due 08/17/2018		1,400,000		1,417,038
Discover Bank Senior Notes 4.20% due 08/08/2023		250,000		269,053
Fifth Third Bank Senior Notes 2.15% due 08/20/2018		600,000		607,736

249

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Fifth Third Bank Senior Notes 2.88% due 10/01/2021	$	255,000	$	266,736
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020		458,000		467,459
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		258,000		261,471
HSBC USA, Inc. Senior Notes 2.75% due 08/07/2020		525,000		537,473
National City Bank Sub. Notes 5.80% due 06/07/2017		250,000		257,037
PNC Bank NA Senior Notes 2.40% due 10/18/2019		755,000		772,937
Regions Financial Corp. Senior Notes 3.20% due 02/08/2021		178,000		185,042
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		299,000		382,370
				8,262,509
Banks-Fiduciary — 0.1%
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		260,000		269,130
State Street Corp. Senior Sub. Notes 3.10% due 05/15/2023		165,000		171,422
				440,552
Banks-Super Regional — 0.8%
Capital One Financial Corp. Sub. Notes 3.75% due 07/28/2026		86,000		86,305
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		615,000		641,625
Fifth Third Bancorp Sub. Notes 5.45% due 01/15/2017		225,000		227,531
Fifth Third Bancorp Sub. Notes 8.25% due 03/01/2038		125,000		185,233
JPMorgan Chase Bank NA Senior Notes 1.65% due 09/23/2019		308,000		308,971
JPMorgan Chase Bank NA Sub. Notes 6.00% due 10/01/2017		625,000		651,824
National City Corp. Sub. Notes 6.88% due 05/15/2019		169,000		190,366

Security Description	Principal Amount(18)		Value (Note 2)
Banks-Super Regional (continued)
PNC Financial Services Group, Inc. Senior Notes 2.85% due 11/09/2022(5)	$	190,000	$	194,685
SunTrust Banks, Inc. Senior Notes 3.50% due 01/20/2017		1,335,000		1,341,767
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035		600,000		698,441
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		655,000		661,159
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		116,000		123,070
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027		154,000		165,972
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		798,000		812,403
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		1,485,000		1,635,001
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		275,000		319,262
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		1,045,000		1,248,357
				9,491,972
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		99,000		98,876
Beverages-Non-alcoholic — 0.1%
PepsiCo, Inc. Senior Notes 3.10% due 07/17/2022		675,000		722,181
Brewery — 1.4%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		1,102,000		1,112,639
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.15% due 02/01/2019		225,000		228,854
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021		228,000		235,272
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		2,745,000		2,897,372
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		2,835,000		3,259,606

250

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046	$	4,629,000	$	5,507,496
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 1.38% due 07/15/2017		707,000		708,555
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 2.50% due 07/15/2022		380,000		387,505
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		170,000		170,156
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.38% due 01/15/2020		425,000		474,763
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		500,000		807,123
Molson Coors Brewing Co. Company Guar. Notes 4.20% due 07/15/2046		530,000		552,229
				16,341,570
Broadcast Services/Program — 0.0%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Series A 6.50% due 11/15/2022		150,000		151,125
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		94,000		100,580
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		100,000		89,000
Building Products-Doors & Windows — 0.0%
Griffon Corp. Company Guar. Notes 5.25% due 03/01/2022		78,000		78,293
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024*		85,000		86,275
Masco Corp. Senior Notes 4.45% due 04/01/2025		221,000		234,812
				321,087
Building-Residential/Commercial — 0.0%
K. Hovnanian Enterprises, Inc. Senior Sec. Notes 7.25% due 10/15/2020*		149,000		131,120

Security Description	Principal Amount(18)		Value (Note 2)
Building-Residential/Commercial (continued)
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022	$	100,000	$	111,500
				242,620
Cable/Satellite TV — 1.6%
Block Communications, Inc. Senior Notes 7.25% due 02/01/2020*		80,000		82,000
Cable One, Inc. Company Guar. Notes 5.75% due 06/15/2022*		153,000		159,885
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*		125,000		132,500
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020*		722,000		754,633
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022*		455,000		490,973
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025*		1,435,000		1,582,884
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035*		511,000		601,846
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045*		2,754,000		3,330,473
Comcast Corp. Company Guar. Notes 1.63% due 01/15/2022		770,000		763,566
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027		111,000		109,523
Comcast Corp. Company Guar. Notes 2.75% due 03/01/2023		1,065,000		1,103,543
Comcast Corp. Company Guar. Notes 2.85% due 01/15/2023		800,000		840,297
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036		116,000		113,459
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		776,000		754,351

251

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.40% due 08/15/2035	$	405,000	$	458,722
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		570,000		670,651
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038		250,000		347,813
Comcast Corp. Company Guar. Notes 6.95% due 08/15/2037		500,000		728,954
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		215,000		304,978
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		370,000		372,572
Cox Communications, Inc. Senior Notes 3.35% due 09/15/2026*		200,000		201,611
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		680,000		700,752
Cox Communications, Inc. Senior Notes 6.25% due 06/01/2018*		200,000		213,056
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		300,000		291,750
DISH DBS Corp. Company Guar. Notes 7.75% due 07/01/2026*		159,000		168,938
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		310,000		295,820
Time Warner Cable LLC Senior Sec. Notes 5.85% due 05/01/2017		300,000		307,491
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		125,000		138,811
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		1,205,000		1,428,685
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018		300,000		325,968
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		1,190,000		1,372,378
				19,148,883
Casino Hotels — 0.0%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020		128,000		132,320

Security Description	Principal Amount(18)		Value (Note 2)
Casino Hotels (continued)
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021	$	85,000	$	91,162
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		91,000		91,910
Golden Nugget Escrow, Inc. Senior Notes 8.50% due 12/01/2021*		100,000		105,000
				420,392
Cellular Telecom — 0.1%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		517,000		518,939
T-Mobile USA, Inc. Company Guar. Notes 6.54% due 04/28/2020		115,000		118,881
				637,820
Chemicals-Diversified — 0.0%
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026*		136,000		136,386
Westlake Chemical Corp. Company Guar. Notes 5.00% due 08/15/2046*		134,000		134,546
				270,932
Chemicals-Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*		69,000		69,690
Chemicals-Specialty — 0.0%
Cabot Corp. Senior Notes 3.40% due 09/15/2026		33,000		33,175
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		108,000		146,819
Unifrax I LLC/Unifrax Holding Co. Company Guar. Notes 7.50% due 02/15/2019*		100,000		93,500
				273,494
Coal — 0.0%
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020		145,000		135,575
Coatings/Paint — 0.0%
RPM International, Inc. Senior Notes 5.25% due 06/01/2045		234,000		245,463

252

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Commercial Services-Finance — 0.0%
Automatic Data Processing, Inc. Senior Notes 2.25% due 09/15/2020	$	92,000	$	94,883
Computer Services — 0.1%
Harland Clarke Holdings Corp. Senior Sec. Notes 6.88% due 03/01/2020*		90,000		85,950
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		96,000		81,600
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035*		324,000		337,644
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042		278,000		291,682
				796,876
Computer Software — 0.0%
Rackspace Hosting, Inc. Company Guar. Notes 6.50% due 01/15/2024*		85,000		93,288
Computers — 0.5%
Apple, Inc. Senior Notes 1.55% due 08/04/2021		1,595,000		1,592,238
Apple, Inc. Senior Notes 2.45% due 08/04/2026		128,000		128,125
Apple, Inc. Senior Notes 2.85% due 05/06/2021		173,000		182,313
Apple, Inc. Senior Notes 2.85% due 02/23/2023		186,000		195,804
Apple, Inc. Senior Notes 3.45% due 02/09/2045		895,000		855,146
Apple, Inc. Senior Notes 3.85% due 08/04/2046		374,000		382,513
Apple, Inc. Senior Notes 4.45% due 05/06/2044		475,000		532,325
Apple, Inc. Senior Notes 4.50% due 02/23/2036		76,000		86,783
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 3.48% due 06/01/2019*		555,000		570,801
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 4.42% due 06/15/2021*		440,000		459,853

Security Description	Principal Amount(18)		Value (Note 2)
Computers (continued)
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026*	$	317,000	$	347,528
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024*		38,000		41,794
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.10% due 07/15/2036*		206,000		242,161
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046*		423,000		506,480
				6,123,864
Computers-Integrated Systems — 0.0%
Diebold, Inc. Company Guar. Notes 8.50% due 04/15/2024*		129,000		133,676
Computers-Memory Devices — 0.0%
Western Digital Corp. Company Guar. Notes 10.50% due 04/01/2024*		110,000		127,600
Consumer Products-Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 1.85% due 03/01/2020		60,000		60,937
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		78,000		87,263
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*		105,000		109,200
				196,463
Containers-Paper/Plastic — 0.0%
Amcor Finance USA, Inc. Company Guar. Notes 3.63% due 04/28/2026*		206,000		212,689
Brambles USA, Inc. Company Guar. Notes 4.13% due 10/23/2025*		76,000		80,897
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		103,000		108,150
				401,736
Data Processing/Management — 0.0%
Fidelity National Information Services, Inc. Senior Notes 4.50% due 08/15/2046		85,000		85,020

253

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management (continued)
Fidelity National Information Services, Inc. Senior Notes 5.00% due 10/15/2025	$	77,000	$	87,808
				172,828
Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 4.38% due 09/15/2045		27,000		31,904
Thermo Fisher Scientific, Inc. Senior Notes 1.30% due 02/01/2017		515,000		516,052
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		255,000		253,068
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		555,000		568,388
				1,369,412
Distribution/Wholesale — 0.0%
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		88,000		90,420
WW Grainger, Inc. Senior Notes 3.75% due 05/15/2046		83,000		85,763
				176,183
Diversified Banking Institutions — 5.2%
Bank of America Corp. Senior Notes 2.25% due 04/21/2020		1,200,000		1,208,262
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		2,027,000		2,066,561
Bank of America Corp. Senior Notes 2.63% due 10/19/2020		113,000		115,316
Bank of America Corp. Senior Notes 2.63% due 04/19/2021		610,000		619,706
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		1,609,000		1,665,640
Bank of America Corp. Sub. Notes 4.00% due 01/22/2025		625,000		647,741
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		715,000		772,973
Bank of America Corp. Sub. Notes 4.20% due 08/26/2024		415,000		439,462
Bank of America Corp. Sub. Notes 4.25% due 10/22/2026		440,000		466,813

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 5.00% due 01/21/2044	$	200,000	$	235,449
Bank of America Corp. Senior Notes 5.63% due 07/01/2020		525,000		589,343
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		869,000		1,062,089
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		900,000		970,972
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		23,000		27,904
Citigroup, Inc. Senior Notes 1.70% due 04/27/2018		600,000		600,650
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026		1,220,000		1,287,621
Citigroup, Inc. Sub. Notes 3.88% due 03/26/2025		7,000		7,224
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		2,210,000		2,317,824
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		312,000		330,343
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		3,245,000		3,395,805
Citigroup, Inc. Sub. Notes 4.60% due 03/09/2026		400,000		427,187
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		1,125,000		1,269,721
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		945,000		1,077,713
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		99,000		115,847
Goldman Sachs Group, Inc. Senior Notes 2.00% due 04/25/2019		90,000		90,599
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		1,317,000		1,313,945
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		800,000		808,842
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		820,000		833,413

254

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		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	$	1,080,000	$	1,106,272
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		75,000		76,923
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023		206,000		217,648
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		1,135,000		1,218,753
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025		139,000		146,283
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		843,000		946,059
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		1,900,000		2,071,977
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		850,000		941,237
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		150,000		189,013
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		610,000		797,620
Goldman Sachs Group, Inc. Sub. Notes 6.45% due 05/01/2036		385,000		475,768
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		1,439,000		1,832,293
JPMorgan Chase & Co. Senior Notes 2.20% due 10/22/2019		302,000		306,736
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		1,726,000		1,729,754
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		740,000		748,353
JPMorgan Chase & Co. Senior Notes 2.55% due 03/01/2021		500,000		509,175
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		784,000		792,088
JPMorgan Chase & Co. Senior Notes 2.75% due 06/23/2020		1,215,000		1,250,299
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		1,710,000		1,793,587

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Sub. Notes 4.13% due 12/15/2026	$	200,000	$	213,401
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		45,000		48,777
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		1,595,000		1,711,339
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		450,000		494,118
JPMorgan Chase & Co. Senior Notes 4.50% due 01/24/2022		505,000		559,192
JPMorgan Chase & Co. Senior Notes 4.63% due 05/10/2021		525,000		581,402
JPMorgan Chase & Co. Sub. Notes 4.95% due 06/01/2045		211,000		236,349
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		125,000		160,026
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		125,000		150,649
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		357,000		377,176
JPMorgan Chase & Co. Senior Notes 6.30% due 04/23/2019		360,000		401,040
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		930,000		1,348,399
Morgan Stanley Senior Notes 1.88% due 01/05/2018		1,275,000		1,280,207
Morgan Stanley Senior Notes 2.13% due 04/25/2018		1,817,000		1,832,272
Morgan Stanley Senior Notes 2.45% due 02/01/2019		365,000		371,577
Morgan Stanley Senior Notes 2.50% due 01/24/2019		425,000		433,058
Morgan Stanley Senior Notes 2.50% due 04/21/2021		275,000		278,438
Morgan Stanley Senior Notes 2.80% due 06/16/2020		106,000		108,742
Morgan Stanley Senior Notes 3.13% due 07/27/2026		2,555,000		2,570,276

255

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 3.70% due 10/23/2024	$	510,000	$	538,130
Morgan Stanley Senior Notes 3.75% due 02/25/2023		400,000		424,837
Morgan Stanley Senior Notes 3.88% due 01/27/2026		910,000		966,131
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		550,000		571,257
Morgan Stanley Senior Notes 4.00% due 07/23/2025		980,000		1,053,852
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		456,000		482,111
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		170,000		181,492
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		537,000		599,131
Morgan Stanley Senior Notes 5.50% due 07/24/2020		200,000		224,127
Morgan Stanley Senior Notes 5.55% due 04/27/2017		240,000		245,540
Morgan Stanley Senior Notes 6.25% due 08/28/2017		150,000		156,234
Morgan Stanley Senior Notes 6.63% due 04/01/2018		1,225,000		1,312,563
Morgan Stanley Senior Notes 7.30% due 05/13/2019		125,000		142,063
				61,968,709
Diversified Financial Services — 0.0%
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		275,000		280,359
Diversified Manufacturing Operations — 0.1%
General Electric Co. Senior Notes 2.70% due 10/09/2022		152,000		158,387
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		199,000		249,031
Textron, Inc. Senior Notes 4.00% due 03/15/2026		161,000		168,815

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Manufacturing Operations (continued)
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024	$	134,000	$	133,260
				709,493
E-Commerce/Products — 0.0%
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044		290,000		353,396
Electric Products-Misc. — 0.0%
WESCO Distribution, Inc. Company Guar. Notes 5.38% due 06/15/2024*		24,000		24,060
Electric-Distribution — 0.0%
Entergy Louisiana LLC 1st Mtg. Notes 4.95% due 01/15/2045		316,000		336,443
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021*		190,000		194,438
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046*		210,000		225,381
				419,819
Electric-Integrated — 1.2%
AES Corp. Senior Notes 4.88% due 05/15/2023		93,000		94,395
AES Corp. Senior Notes 5.50% due 03/15/2024		63,000		65,559
Arizona Public Service Co. Senior Notes 2.20% due 01/15/2020		96,000		98,244
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		505,000		670,762
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		115,000		117,713
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		300,000		328,129
Dominion Resources, Inc. Senior Notes 1.40% due 09/15/2017		125,000		124,953
Dominion Resources, Inc. Senior Notes 2.85% due 08/15/2026		415,000		412,776
Dominion Resources, Inc. Junior Sub. Notes 2.96% due 07/01/2019(6)		68,000		69,796
Dominion Resources, Inc. Senior Notes 4.45% due 03/15/2021		486,000		534,297

256

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033	$	336,000	$	380,246
Dominion Resources, Inc. Senior Notes 7.00% due 06/15/2038		255,000		349,323
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		750,000		749,265
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		85,750
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		54,005
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		50,000		65,900
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024		1,110,000		1,198,670
Duke Energy Corp. Senior Notes 3.75% due 09/01/2046		122,000		118,312
Duke Energy Corp. Senior Notes 3.95% due 10/15/2023		905,000		989,967
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		785,000		765,463
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043		195,000		234,529
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022		162,000		170,318
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044		900,000		984,978
Entergy Arkansas, Inc. 1st Mtg. Notes 4.95% due 12/15/2044		140,000		148,590
Exelon Corp. Senior Notes 2.45% due 04/15/2021		240,000		244,792
Exelon Corp. Senior Notes 2.85% due 06/15/2020		565,000		585,840
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		129,000		132,958
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		171,000		222,165
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		350,000		400,875

Security Description	Principal Amount(18)		Value (Note 2)
Electric-Integrated (continued)
Great Plains Energy, Inc. Senior Notes 4.85% due 06/01/2021	$	91,000	$	99,605
Louisville Gas & Electric Co. 1st Mtg. Notes 4.38% due 10/01/2045		23,000		26,362
Massachusetts Electric Co. Notes 4.00% due 08/15/2046*		354,000		368,131
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		445,000		446,758
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044		470,000		560,896
Progress Energy, Inc. Senior Notes 3.15% due 04/01/2022		86,000		90,080
Progress Energy, Inc. Senior Notes 7.05% due 03/15/2019		180,000		203,144
South Carolina Electric & Gas Co. 1st Mtg. Notes 5.10% due 06/01/2065		102,000		119,543
Southern California Edison Co. 1st Mtg. Notes 1.13% due 05/01/2017		235,000		234,966
Southern Co. Senior Notes 1.30% due 08/15/2017		201,000		201,140
Southern Co. Senior Notes 1.85% due 07/01/2019		650,000		655,112
Southern Co. Senior Notes 2.95% due 07/01/2023		270,000		278,966
Southern Co. Senior Notes 4.40% due 07/01/2046		325,000		350,674
Southern Power Co. Senior Notes 5.25% due 07/15/2043		170,000		185,263
Talen Energy Supply LLC Senior Notes 4.63% due 07/15/2019*		100,000		94,000
Trans-Allegheny Interstate Line Co. Senior Notes 3.85% due 06/01/2025*		41,000		43,713
				14,356,923
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		160,000		202,722
Electronic Components-Misc. — 0.0%
Corning, Inc. Senior Notes 1.50% due 05/08/2018		112,000		111,692

257

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electronic Components-Semiconductors — 0.1%
Amkor Technology, Inc. Senior Notes 6.38% due 10/01/2022	$	53,000	$	54,723
Intel Corp. Senior Notes 1.35% due 12/15/2017		380,000		381,186
Intel Corp. Senior Notes 4.10% due 05/19/2046		665,000		711,749
				1,147,658
Electronic Measurement Instruments — 0.1%
FLIR Systems, Inc. Senior Notes 3.13% due 06/15/2021		103,000		106,309
Fortive Corp. Company Guar. Notes 2.35% due 06/15/2021*		700,000		708,613
Fortive Corp. Company Guar. Notes 4.30% due 06/15/2046*		95,000		101,670
				916,592
Electronic Parts Distribution — 0.0%
Avnet, Inc. Senior Notes 4.63% due 04/15/2026		85,000		88,000
Energy-Alternate Sources — 0.0%
TerraForm Power Operating LLC Company Guar. Notes 9.38% due 02/01/2023*(6)		90,000		92,475
Enterprise Software/Service — 0.3%
Donnelley Financial Solutions, Inc. Senior Notes 8.25% due 10/15/2024*		44,000		44,550
Oracle Corp. Senior Notes 1.90% due 09/15/2021		1,994,000		1,999,059
Oracle Corp. Senior Notes 2.65% due 07/15/2026		115,000		115,021
Oracle Corp. Senior Notes 3.85% due 07/15/2036		176,000		182,751
Oracle Corp. Senior Notes 3.90% due 05/15/2035		45,000		46,523
Oracle Corp. Senior Notes 5.38% due 07/15/2040		400,000		491,683
Oracle Corp. Senior Notes 6.13% due 07/08/2039		160,000		214,489
				3,094,076
Finance-Auto Loans — 0.0%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		199,000		208,204

Security Description	Principal Amount(18)		Value (Note 2)
Finance-Auto Loans (continued)
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023	$	100,000	$	103,500
				311,704
Finance-Consumer Loans — 0.2%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021		207,000		185,265
Navient Corp. Senior Notes 5.63% due 08/01/2033		125,000		99,375
OneMain Financial Holdings LLC Company Guar. Notes 6.75% due 12/15/2019*		128,000		134,560
Synchrony Financial Senior Notes 2.60% due 01/15/2019		830,000		839,776
Synchrony Financial Senior Notes 2.70% due 02/03/2020		885,000		896,092
				2,155,068
Finance-Credit Card — 0.2%
American Express Credit Corp. Senior Notes 2.25% due 05/05/2021		226,000		229,467
Discover Financial Services Senior Notes 3.75% due 03/04/2025		136,000		137,628
Discover Financial Services Senior Notes 5.20% due 04/27/2022		160,000		176,153
Discover Financial Services Senior Notes 6.45% due 06/12/2017		40,000		41,279
Visa, Inc. Senior Notes 2.80% due 12/14/2022		555,000		581,824
Visa, Inc. Senior Notes 4.30% due 12/14/2045		750,000		866,756
				2,033,107
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		215,000		230,889
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(7)(10)		131,000		13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(7)(10)		99,000		10
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022		123,000		128,167
				359,079

258

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Leasing Companies — 0.0%
International Lease Finance Corp. Senior Notes 5.88% due 08/15/2022	$	127,000	$	140,811
Finance-Mortgage Loan/Banker — 0.0%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		150,000		148,875
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		500,000		519,447
Nasdaq, Inc. Senior Notes 3.85% due 06/30/2026		135,000		141,260
National Rural Utilities Cooperative Finance Corp. Senior Notes 0.95% due 04/24/2017		92,000		91,887
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.00% due 01/27/2020		184,000		185,906
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020		89,000		91,067
				1,029,567
Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		75,000		62,250
Food-Confectionery — 0.0%
JM Smucker Co. Company Guar. Notes 2.50% due 03/15/2020		200,000		204,907
Food-Misc./Diversified — 0.2%
Kraft Heinz Foods Co. Company Guar. Notes 2.00% due 07/02/2018		190,000		191,753
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		1,170,000		1,212,501
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		335,000		354,439
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		221,000		243,716
				2,002,409
Food-Retail — 0.1%
Albertsons Cos. LLC/Safeway, Inc. Senior Notes 5.75% due 03/15/2025*		50,000		49,875

Security Description	Principal Amount(18)		Value (Note 2)
Food-Retail (continued)
Albertsons Cos. LLC/Safeway, Inc. Senior Notes 6.63% due 06/15/2024*	$	57,000	$	59,280
Kroger Co. Senior Notes 1.50% due 09/30/2019		430,000		429,278
Kroger Co. Senior Notes 2.65% due 10/15/2026		788,000		782,115
Kroger Co. Senior Notes 3.88% due 10/15/2046		157,000		157,986
				1,478,534
Food-Wholesale/Distribution — 0.1%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*		36,000		35,460
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		525,000		536,251
				571,711
Footwear & Related Apparel — 0.0%
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026*		90,000		90,900
Gambling (Non-Hotel) — 0.0%
Mohegan Tribal Gaming Authority Company Guar. Notes 7.88% due 10/15/2024*		85,000		84,788
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		180,000		166,050
Waterford Gaming LLC/Waterford Gaming Financial Corp. Senior Notes 8.63% due 09/15/2014*† (7)(10)(14)		1,320		16
				250,854
Gas-Distribution — 0.0%
CenterPoint Energy, Inc. Senior Notes 6.50% due 05/01/2018		95,000		101,460
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		74,000		81,880
Southern Co. Gas Capital Corp. Company Guar. Notes 2.45% due 10/01/2023		205,000		206,152
				389,492
Gold Mining — 0.0%
Barrick North America Finance LLC Company Guar. Notes 5.75% due 05/01/2043		160,000		187,622

259

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 5.13% due 06/01/2021	$	79,000	$	80,975
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc. Senior Notes 4.20% due 04/01/2026		87,000		94,752
Newell Rubbermaid, Inc. Senior Notes 5.38% due 04/01/2036		63,000		73,941
				168,693
Home Furnishings — 0.0%
Tempur Sealy International, Inc. Company Guar. Notes 5.50% due 06/15/2026*		62,000		63,860
Hotels/Motels — 0.0%
Interval Acquisition Corp. Company Guar. Notes 5.63% due 04/15/2023		80,000		82,600
Independent Power Producers — 0.0%
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		115,000		113,562
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		101,000		102,515
				216,077
Industrial Gases — 0.0%
Airgas, Inc. Company Guar. Notes 3.05% due 08/01/2020		62,000		64,342
Insurance Brokers — 0.1%
Aon Corp. Company Guar. Notes 5.00% due 09/30/2020		275,000		304,556
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		306,318
Marsh & McLennan Cos., Inc. Senior Notes 4.80% due 07/15/2021		250,000		279,198
				890,072
Insurance-Life/Health — 0.2%
Aflac, Inc. Senior Notes 4.00% due 10/15/2046		109,000		110,083
Jackson National Life Global Funding Sec. Notes 3.05% due 04/29/2026*		286,000		290,701
Lincoln National Corp. Senior Notes 8.75% due 07/01/2019		335,000		394,317
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		185,000		205,254

Security Description	Principal Amount(18)		Value (Note 2)
Insurance-Life/Health (continued)
Pricoa Global Funding I Senior Sec. Notes 1.35% due 08/18/2017*	$	251,000	$	250,966
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		70,000		70,388
Principal Financial Group, Inc. Company Guar. Notes 8.88% due 05/15/2019		100,000		117,824
Principal Life Global Funding II Senior Sec. Notes 3.00% due 04/18/2026*		74,000		75,208
Prudential Financial, Inc. Senior Notes 5.10% due 08/15/2043		400,000		446,326
Prudential Financial, Inc. Senior Notes 5.70% due 12/14/2036		320,000		383,153
Unum Group Senior Notes 5.75% due 08/15/2042		69,000		78,048
				2,422,268
Insurance-Multi-line — 0.3%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		351,000		442,073
MetLife, Inc. Senior Notes 4.60% due 05/13/2046		99,000		107,132
MetLife, Inc. Senior Notes 6.38% due 06/15/2034		350,000		448,684
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019*		2,200,000		2,242,603
Old Republic International Corp. Senior Notes 3.88% due 08/26/2026		55,000		54,903
				3,295,395
Insurance-Mutual — 0.2%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*		115,000		113,070
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		495,000		778,963
MassMutual Global Funding II Senior Sec. Notes 2.10% due 08/02/2018*		240,000		243,707
MassMutual Global Funding II Senior Sec. Notes 3.60% due 04/09/2024*		548,000		586,837

260

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Mutual (continued)
New York Life Global Funding Sec. Notes 2.10% due 01/02/2019*	$	92,000	$	93,512
				1,816,089
Insurance-Reinsurance — 0.1%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		325,000		365,141
Berkshire Hathaway, Inc. Senior Notes 1.15% due 08/15/2018		152,000		151,918
				517,059
Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		98,000		100,940
Zayo Group LLC/Zayo Capital, Inc. Company Guar. Notes 6.38% due 05/15/2025		80,000		84,800
				185,740
Internet Content-Entertainment — 0.0%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		136,000		146,880
Machinery-Farming — 0.1%
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		275,000		275,345
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		339,000		340,811
				616,156
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 7.38% due 02/01/2019		75,000		73,500
Medical Instruments — 0.2%
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020		1,865,000		1,928,955
Medical Labs & Testing Services — 0.1%
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022		50,000		52,072
Laboratory Corp. of America Holdings Senior Notes 3.60% due 02/01/2025		163,000		171,222
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		84,000		91,365
Quest Diagnostics, Inc. Senior Notes 3.45% due 06/01/2026		120,000		125,040

Security Description	Principal Amount(18)		Value (Note 2)
Medical Labs & Testing Services (continued)
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*	$	351,000	$	352,141
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019*		278,000		285,298
				1,077,138
Medical Products — 0.2%
Baxter International, Inc. Senior Notes 2.60% due 08/15/2026		118,000		116,637
Becton Dickinson and Co. Senior Notes 3.13% due 11/08/2021		55,000		57,807
Zimmer Biomet Holdings, Inc. Senior Notes 1.45% due 04/01/2017		2,155,000		2,156,082
				2,330,526
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 4.40% due 05/01/2045		78,000		81,933
Celgene Corp. Senior Notes 4.63% due 05/15/2044		495,000		521,770
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		165,000		166,749
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		310,000		329,178
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		554,410
Gilead Sciences, Inc. Senior Notes 4.00% due 09/01/2036		58,000		59,144
				1,713,184
Medical-Drugs — 0.4%
AbbVie, Inc. Senior Notes 1.80% due 05/14/2018		250,000		251,021
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018		940,000		949,627
AbbVie, Inc. Senior Notes 3.20% due 05/14/2026		305,000		308,768
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		236,000		247,939
Bayer US Finance LLC Company Guar. Notes 2.38% due 10/08/2019*		810,000		821,888
EMD Finance LLC Company Guar. Notes 2.95% due 03/19/2022*		655,000		675,228

261

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs (continued)
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 7.25% due 01/15/2022*	$	80,000	$	76,800
Forest Laboratories LLC Company Guar. Notes 4.88% due 02/15/2021*		181,000		200,994
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034		750,000		1,020,917
				4,553,182
Medical-HMO — 0.7%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		120,000		122,537
Aetna, Inc. Senior Notes 4.25% due 06/15/2036		55,000		56,966
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		500,000		506,545
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		785,000		826,483
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		400,000		431,406
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		325,000		376,960
Anthem, Inc. Senior Notes 6.38% due 06/15/2037		260,000		340,019
Centene Corp. Senior Notes 6.13% due 02/15/2024		63,000		68,355
Coventry Health Care, Inc. Senior Notes 5.45% due 06/15/2021		80,000		91,222
Humana, Inc. Senior Notes 3.85% due 10/01/2024		1,155,000		1,238,657
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		120,000		98,400
UnitedHealth Group, Inc. Senior Notes 1.40% due 12/15/2017		153,000		153,444
UnitedHealth Group, Inc. Senior Notes 1.70% due 02/15/2019		705,000		709,687
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		158,000		160,938
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		1,636,000		1,756,755

Security Description	Principal Amount(18)		Value (Note 2)
Medical-HMO (continued)
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025	$	485,000	$	532,607
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		400,000		479,675
				7,950,656
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		100,000		86,000
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		80,000		85,000
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		24,000		24,780
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		150,000		151,500
IASIS Healthcare LLC/IASIS Capital Corp. Company Guar. Notes 8.38% due 05/15/2019		137,000		123,985
RegionalCare Hospital Partners Holdings, Inc. Senior Sec. Notes 8.25% due 05/01/2023*		130,000		134,225
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		100,000		101,500
				706,990
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		895,000		903,459
Metal Processors & Fabrication — 0.0%
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		90,000		92,137
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024*		59,000		62,614
				154,751
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		42,000		43,890
Multimedia — 0.5%
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022		380,000		395,713
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041		790,000		1,002,133

262

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Multimedia (continued)
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035	$	150,000	$	192,283
21st Century Fox America, Inc. Company Guar. Notes 6.90% due 03/01/2019		150,000		168,650
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028		95,000		129,803
NBCUniversal Media LLC Company Guar. Notes 5.15% due 04/30/2020		125,000		140,230
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045		673,000		752,320
Time Warner, Inc. Company Guar. Notes 7.63% due 04/15/2031		840,000		1,190,931
Time Warner, Inc. Company Guar. Notes 7.70% due 05/01/2032		625,000		888,678
Viacom, Inc. Senior Notes 3.45% due 10/04/2026		305,000		304,820
Viacom, Inc. Senior Notes 5.85% due 09/01/2043		80,000		90,228
Walt Disney Co. Senior Notes 1.50% due 09/17/2018		158,000		159,234
Walt Disney Co. Senior Notes 1.65% due 01/08/2019		77,000		77,890
				5,492,913
Networking Products — 0.3%
Cisco Systems, Inc. Senior Notes 1.40% due 02/28/2018		206,000		206,796
Cisco Systems, Inc. Senior Notes 1.40% due 09/20/2019		1,000,000		1,000,873
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		316,000		322,181
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		1,526,000		1,561,374
Cisco Systems, Inc. Senior Notes 2.50% due 09/20/2026		54,000		54,631
Cisco Systems, Inc. Senior Notes 5.50% due 01/15/2040		135,000		174,870
				3,320,725

Security Description	Principal Amount(18)		Value (Note 2)
Non-Hazardous Waste Disposal — 0.0%
Waste Management, Inc. Company Guar. Notes 6.10% due 03/15/2018	$	100,000	$	106,959
Office Automation & Equipment — 0.0%
Pitney Bowes, Inc. Senior Notes 3.38% due 10/01/2021		145,000		144,930
Oil Companies-Exploration & Production — 1.5%
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		216,000		198,180
Anadarko Petroleum Corp. Senior Notes 4.85% due 03/15/2021		790,000		848,079
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		1,370,000		1,548,153
Anadarko Petroleum Corp. Senior Notes 6.20% due 03/15/2040		200,000		228,744
Anadarko Petroleum Corp. Senior Notes 6.38% due 09/15/2017		16,000		16,681
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		498,000		581,813
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		625,000		760,472
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		205,000		226,814
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023		90,000		89,100
ConocoPhillips Company Guar. Notes 6.50% due 02/01/2039		255,000		329,161
ConocoPhillips Co. Company Guar. Notes 4.95% due 03/15/2026		1,445,000		1,628,756
ConocoPhillips Co. Company Guar. Notes 5.95% due 03/15/2046		170,000		213,362
Denbury Resources, Inc. Company Guar. Notes 5.50% due 05/01/2022		88,000		63,140
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021*		165,000		172,837
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		2,025,000		2,010,523
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		275,000		340,665

263

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026	$	535,000	$	584,333
Hess Corp. Senior Notes 1.30% due 06/15/2017		485,000		484,997
Hess Corp. Senior Notes 4.30% due 04/01/2027		211,000		212,643
Hess Corp. Senior Notes 5.60% due 02/15/2041		538,000		536,257
Hess Corp. Senior Notes 5.80% due 04/01/2047		1,140,000		1,166,394
Hess Corp. Senior Notes 6.00% due 01/15/2040		305,000		311,671
Hess Corp. Senior Notes 7.30% due 08/15/2031		150,000		177,886
Hess Corp. Senior Notes 7.88% due 10/01/2029		326,000		396,875
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		69,000		66,068
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.75% due 10/01/2025*		5,000		4,975
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		425,000		510,907
Laredo Petroleum, Inc. Company Guar. Notes 7.38% due 05/01/2022		85,000		87,869
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		215,000		210,728
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		1,220,000		1,129,920
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		90,000		90,225
Noble Energy, Inc. Senior Notes 3.90% due 11/15/2024		177,000		180,524
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044		140,000		138,221
Occidental Petroleum Corp. Senior Notes 4.40% due 04/15/2046		117,000		129,156

Security Description	Principal Amount(18)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Pioneer Natural Resources Co. Senior Notes 3.45% due 01/15/2021	$	725,000	$	753,901
Pioneer Natural Resources Co. Senior Notes 4.45% due 01/15/2026		635,000		688,666
Rex Energy Corp. Sec. Notes 1.00% due 10/01/2020(6)		68,510		37,338
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023		98,000		78,645
SM Energy Co. Senior Notes 5.63% due 06/01/2025		56,000		52,640
SM Energy Co. Senior Notes 6.50% due 01/01/2023		16,000		16,160
WPX Energy, Inc. Senior Notes 7.50% due 08/01/2020		75,000		79,313
				17,382,792
Oil Companies-Integrated — 0.0%
Chevron Corp. Senior Notes 1.37% due 03/02/2018		200,000		200,352
Chevron Corp. Senior Notes 1.96% due 03/03/2020		110,000		111,529
Exxon Mobil Corp. Senior Notes 1.31% due 03/06/2018		100,000		100,303
				412,184
Oil Field Machinery & Equipment — 0.0%
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021		59,000		55,903
Oil Refining & Marketing — 0.2%
Calumet Specialty Products Partner LP/Calumet Finance Corp. Company Guar. Notes 6.50% due 04/15/2021		100,000		81,750
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		53,000		55,716
PBF Holding Co LLC/PBF Finance Corp. Senior Sec. Notes 7.00% due 11/15/2023*		80,000		75,400
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		1,421,000		1,411,532
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		230,000		227,017

264

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Refining & Marketing (continued)
Valero Energy Corp. Senior Notes 6.13% due 02/01/2020	$	325,000	$	366,705
				2,218,120
Oil-Field Services — 0.0%
Bristow Group, Inc. Company Guar. Notes 6.25% due 10/15/2022		125,000		91,563
SESI LLC Company Guar. Notes 7.13% due 12/15/2021		68,000		66,470
				158,033
Paper & Related Products — 0.1%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		84,000		84,105
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		83,000		92,981
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025*		373,000		397,321
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		396,000		423,940
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		127,000		143,614
International Paper Co. Senior Notes 4.40% due 08/15/2047		80,000		80,902
International Paper Co. Senior Notes 7.30% due 11/15/2039		200,000		264,748
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		81,000		81,810
				1,569,421
Pharmacy Services — 0.1%
Express Scripts Holding Co. Company Guar. Notes 3.00% due 07/15/2023		83,000		84,303
Express Scripts Holding Co. Company Guar. Notes 4.50% due 02/25/2026		148,000		162,331
Express Scripts Holding Co. Company Guar. Notes 4.80% due 07/15/2046		185,000		192,173
				438,807
Pipelines — 1.3%
Antero Midstream Partners LP/ Antero Midstream Finance Corp. Company Guar. Notes 5.38% due 09/15/2024*		85,000		86,063

Security Description	Principal Amount(18)		Value (Note 2)
Pipelines (continued)
Colorado Interstate Gas Co. LLC / Colorado Interstate Issuing Corp. Company Guar. Notes 4.15% due 08/15/2026*	$	121,000	$	119,962
Columbia Pipeline Group, Inc. Company Guar. Notes 2.45% due 06/01/2018		41,000		41,244
Energy Transfer Partners LP Senior Notes 3.60% due 02/01/2023		260,000		255,879
Energy Transfer Partners LP Senior Notes 4.05% due 03/15/2025		275,000		272,754
Energy Transfer Partners LP Senior Notes 4.15% due 10/01/2020		425,000		444,518
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035		54,000		49,845
Energy Transfer Partners LP Senior Notes 5.15% due 02/01/2043		260,000		239,535
Energy Transfer Partners LP Senior Notes 5.20% due 02/01/2022		175,000		189,677
Energy Transfer Partners LP Senior Notes 6.05% due 06/01/2041		23,000		23,291
Energy Transfer Partners LP Senior Notes 6.13% due 02/15/2017		300,000		304,546
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		270,000		293,969
Energy Transfer Partners LP Senior Notes 9.00% due 04/15/2019		47,000		53,667
EnLink Midstream Partners LP Senior Notes 4.40% due 04/01/2024		64,000		62,496
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026		146,000		146,916
Enterprise Products Operating LLC Company Guar. Notes 3.95% due 02/15/2027		388,000		406,572
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 08/15/2042		185,000		192,165
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 03/15/2044		214,000		222,400
Enterprise Products Operating LLC Company Guar. Notes 4.90% due 05/15/2046		100,000		105,101
Enterprise Products Operating LLC Company Guar. Notes 5.95% due 02/01/2041		140,000		162,161

265

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Enterprise Products Operating LLC Company Guar. Notes 6.50% due 01/31/2019	$	700,000	$	776,455
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		93,000		91,140
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023		100,000		99,250
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024*		98,000		101,430
Kinder Morgan Energy Partners LP Company Guar. Notes 3.45% due 02/15/2023		116,000		115,635
Kinder Morgan Energy Partners LP Company Guar. Notes 4.70% due 11/01/2042		88,000		81,177
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042		675,000		640,300
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		120,000		129,472
Kinder Morgan Energy Partners LP Company Guar. Notes 5.63% due 09/01/2041		57,000		56,540
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		40,000		44,907
Kinder Morgan Energy Partners LP Company Guar. Notes 6.85% due 02/15/2020		80,000		90,788
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*		115,000		124,312
Kinder Morgan, Inc. Company Guar. Notes 5.05% due 02/15/2046		975,000		928,438
Kinder Morgan, Inc. Company Guar. Notes 5.63% due 11/15/2023*		620,000		683,572
Magellan Midstream Partners LP Senior Notes 5.00% due 03/01/2026		175,000		199,369
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 2.85% due 01/31/2023		1,145,000		1,085,171
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 3.60% due 11/01/2024		70,000		67,827

Security Description	Principal Amount(18)		Value (Note 2)
Pipelines (continued)
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 3.65% due 06/01/2022	$	1,145,000	$	1,160,661
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 3.85% due 10/15/2023		84,000		83,555
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 5.88% due 03/01/2022		425,000		468,637
Rose Rock Midstream LP/Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		87,000		80,040
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.88% due 06/30/2026*		60,000		65,213
Sabine Pass Liquefaction LLC Senior Sec. Notes 6.25% due 03/15/2022		150,000		163,875
Summit Midstream Holdings LLC/ Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		68,000		64,770
Sunoco Logistics Partners Operations LP Company Guar. Notes 3.90% due 07/15/2026		115,000		117,267
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		320,000		332,398
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 09/15/2024*		85,000		85,638
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		59,000		60,770
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.13% due 10/15/2021		104,000		108,680
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		980,000		976,922
Western Gas Partners LP Senior Notes 4.65% due 07/01/2026		156,000		161,444
Williams Partners LP Senior Notes 3.60% due 03/15/2022		1,060,000		1,078,412
Williams Partners LP Senior Notes 3.90% due 01/15/2025		405,000		404,156

266

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Williams Partners LP Senior Notes 4.00% due 11/15/2021	$	260,000	$	269,087
Williams Partners LP Senior Notes 4.30% due 03/04/2024		415,000		424,398
Williams Partners LP Senior Notes 5.25% due 03/15/2020		330,000		357,251
				15,451,718
Power Converter/Supply Equipment — 0.0%
Hubbell, Inc. Senior Notes 3.35% due 03/01/2026		140,000		146,910
Printing-Commercial — 0.0%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022		145,000		139,200
RR Donnelley & Sons Co. Senior Notes 7.00% due 02/15/2022		5,000		5,188
				144,388
Publishing-Newspapers — 0.0%
Lee Enterprises, Inc. Senior Sec. Notes 9.50% due 03/15/2022*		51,000		52,658
Publishing-Periodicals — 0.0%
Emerald Expositions Holdings, Inc. Senior Notes 9.00% due 06/15/2021*		150,000		155,813
Radio — 0.0%
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026*		250,000		256,875
Real Estate Investment Trusts — 0.8%
American Tower Corp. Senior Notes 2.25% due 01/15/2022		320,000		319,347
American Tower Corp. Senior Notes 3.13% due 01/15/2027		173,000		172,196
American Tower Corp. Senior Notes 3.38% due 10/15/2026		120,000		121,634
American Tower Corp. Senior Notes 3.40% due 02/15/2019		470,000		488,350
American Tower Corp. Senior Notes 3.45% due 09/15/2021		800,000		841,966
AvalonBay Communities, Inc. Senior Notes 3.90% due 10/15/2046		59,000		58,308

Security Description	Principal Amount(18)		Value (Note 2)
Real Estate Investment Trusts (continued)
Brandywine Operating Partnership LP Company Guar. Notes 4.10% due 10/01/2024	$	335,000	$	343,799
Brandywine Operating Partnership LP Company Guar. Notes 4.95% due 04/15/2018		200,000		208,614
Brandywine Operating Partnership LP Company Guar. Notes 5.70% due 05/01/2017		315,000		321,888
Columbia Property Trust Operating Partnership LP Company Guar. Notes 3.65% due 08/15/2026		57,000		57,336
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		165,000		172,680
Crown Castle International Corp. Senior Notes 3.70% due 06/15/2026		605,000		631,257
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.88% due 06/01/2021		128,000		132,480
CubeSmart LP Company Guar. Notes 3.13% due 09/01/2026		111,000		110,509
DuPont Fabros Technology LP Company Guar. Notes 5.63% due 06/15/2023		100,000		105,250
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		85,000		84,894
Federal Realty Investment Trust Senior Notes 3.63% due 08/01/2046		23,000		22,510
HCP, Inc. Senior Notes 3.15% due 08/01/2022		800,000		810,726
HCP, Inc. Senior Notes 3.75% due 02/01/2019		615,000		636,661
iStar, Inc. Senior Notes 6.50% due 07/01/2021		113,000		114,695
Kimco Realty Corp. Senior Notes 2.80% due 10/01/2026		59,000		58,493
Kimco Realty Corp. Senior Notes 3.13% due 06/01/2023		590,000		606,535
Kimco Realty Corp. Senior Notes 3.40% due 11/01/2022		345,000		363,451
Kimco Realty Corp. Senior Notes 4.30% due 02/01/2018		150,000		154,342

267

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
Liberty Property LP Senior Notes 3.25% due 10/01/2026	$	75,000	$	75,573
Liberty Property LP Senior Notes 4.75% due 10/01/2020		80,000		86,967
Liberty Property LP Senior Notes 5.50% due 12/15/2016		110,000		110,893
Realty Income Corp. Senior Notes 3.25% due 10/15/2022		530,000		547,911
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.00% due 02/15/2018		1,050,000		1,056,308
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 3.25% due 08/15/2022		320,000		333,466
Welltower, Inc. Senior Notes 4.50% due 01/15/2024		310,000		338,505
				9,487,544
Real Estate Management/Services — 0.0%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		125,000		125,938
Real Estate Operations & Development — 0.1%
Greystar Real Estate Partners LLC Senior Sec. Notes 8.25% due 12/01/2022*		126,000		133,560
Prologis LP Company Guar. Notes 3.35% due 02/01/2021		200,000		211,454
Prologis LP Company Guar. Notes 4.00% due 01/15/2018		185,000		189,699
Prologis LP Company Guar. Notes 4.25% due 08/15/2023		775,000		856,853
				1,391,566
Rental Auto/Equipment — 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. Company Guar. Notes 5.13% due 06/01/2022*		14,000		14,044
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. Company Guar. Notes 5.25% due 03/15/2025*		78,000		74,880
ERAC USA Finance LLC Company Guar. Notes 2.60% due 12/01/2021*		695,000		708,392

Security Description	Principal Amount(18)		Value (Note 2)
Rental Auto/Equipment (continued)
ERAC USA Finance LLC Company Guar. Notes 2.80% due 11/01/2018*	$	110,000	$	112,497
ERAC USA Finance LLC Company Guar. Notes 3.30% due 10/15/2022*		10,000		10,476
ERAC USA Finance LLC Company Guar. Notes 7.00% due 10/15/2037*		215,000		293,226
Herc Rentals, Inc. Sec. Notes 7.50% due 06/01/2022*		85,000		87,975
Hertz Corp. Company Guar. Notes 5.50% due 10/15/2024*		88,000		87,670
				1,389,160
Retail-Appliances — 0.0%
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022		136,000		106,080
Retail-Auto Parts — 0.2%
AutoZone, Inc. Senior Notes 1.63% due 04/21/2019		170,000		170,575
AutoZone, Inc. Senior Notes 3.70% due 04/15/2022		1,148,000		1,224,744
AutoZone, Inc. Senior Notes 4.00% due 11/15/2020		425,000		457,317
				1,852,636
Retail-Building Products — 0.3%
Home Depot, Inc. Senior Notes 2.00% due 04/01/2021		15,000		15,251
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		730,000		713,382
Home Depot, Inc. Senior Notes 5.88% due 12/16/2036		470,000		644,642
Lowe's Cos., Inc. Senior Notes 2.50% due 04/15/2026		780,000		782,841
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025		400,000		431,211
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		645,000		666,400
Lowe's Cos., Inc. Senior Notes 4.38% due 09/15/2045		190,000		215,408
				3,469,135

268

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Discount — 0.1%
Costco Wholesale Corp. Senior Notes 2.25% due 02/15/2022	$	206,000	$	211,965
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		159,000		164,154
Dollar General Corp. Senior Notes 4.15% due 11/01/2025		80,000		87,066
Wal-Mart Stores, Inc. Senior Notes 6.20% due 04/15/2038		275,000		394,876
				858,061
Retail-Drug Store — 0.5%
CVS Health Corp. Senior Notes 2.75% due 12/01/2022		600,000		617,766
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		1,935,000		2,004,764
CVS Health Corp. Senior Notes 2.88% due 06/01/2026		182,000		184,697
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		408,000		444,156
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		1,380,000		1,688,630
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036*		88,923		98,539
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		63,552		73,896
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		116,288		137,506
Walgreens Boots Alliance, Inc. Senior Notes 2.60% due 06/01/2021		485,000		496,334
Walgreens Boots Alliance, Inc. Senior Notes 3.10% due 06/01/2023		400,000		412,579
				6,158,867
Retail-Restaurants — 0.1%
Brinker International, Inc. Senior Notes 5.00% due 10/01/2024*		85,000		86,178
Landry's, Inc. Company Guar. Notes 9.38% due 05/01/2020*		94,000		98,592
McDonald's Corp. Senior Notes 4.70% due 12/09/2035		25,000		28,314

Security Description	Principal Amount(18)		Value (Note 2)
Retail-Restaurants (continued)
McDonald's Corp. Senior Notes 4.88% due 12/09/2045	$	585,000	$	678,933
PF Chang's China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		92,000		86,710
				978,727
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		100,000		95,000
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 7.63% due 06/15/2021		100,000		106,625
Savings & Loans/Thrifts — 0.1%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		164,000		167,204
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		789,000		910,776
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		332,000		406,777
				1,484,757
Semiconductor Equipment — 0.1%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		960,000		985,361
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc. Company Guar. Notes 5.25% due 10/01/2054		239,000		223,871
Steel-Producers — 0.0%
AK Steel Corp. Senior Sec. Notes 7.50% due 07/15/2023		75,000		79,875
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		58,000		60,247
United States Steel Corp. Senior Sec. Notes 8.38% due 07/01/2021*		68,000		74,375
				214,497
Telecom Services — 0.0%
Embarq Corp. Senior Notes 8.00% due 06/01/2036		120,000		121,438
Telecommunication Equipment — 0.0%
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		110,000		113,300

269

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated — 1.4%
AT&T, Inc. Senior Notes 2.40% due 03/15/2017	$	625,000	$	628,647
AT&T, Inc. Senior Notes 3.00% due 06/30/2022		1,792,000		1,842,370
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		650,000		685,161
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		210,000		224,929
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		192,000		189,130
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		249,000		261,622
AT&T, Inc. Senior Notes 4.55% due 03/09/2049*		834,000		837,395
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		982,000		1,027,619
AT&T, Inc. Senior Notes 5.15% due 03/15/2042		735,000		797,510
AT&T, Inc. Senior Notes 5.35% due 09/01/2040		81,000		90,732
AT&T, Inc. Senior Notes 5.65% due 02/15/2047		580,000		683,585
AT&T, Inc. Senior Notes 5.80% due 02/15/2019		96,000		105,301
AT&T, Inc. Senior Notes 6.38% due 03/01/2041		100,000		125,301
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2025		7,000		6,703
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024		105,000		112,087
Cincinnati Bell, Inc. Company Guar. Notes 7.00% due 07/15/2024*		85,000		87,125
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025		154,000		160,737
Verizon Communications, Inc. Senior Notes 3.00% due 11/01/2021		181,000		189,390
Verizon Communications, Inc. Senior Notes 3.50% due 11/01/2024		1,085,000		1,157,340

Security Description	Principal Amount(18)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036	$	1,560,000	$	1,625,372
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		79,000		83,593
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		1,901,000		2,009,986
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		1,210,000		1,272,835
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		398,000		445,785
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054		205,000		226,369
Verizon Communications, Inc. Senior Notes 5.15% due 09/15/2023		1,630,000		1,898,831
				16,775,455
Television — 0.0%
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026		340,000		360,609
Tobacco — 0.2%
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022		675,000		704,795
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		570,000		591,347
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		31,000		37,659
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		356,000		374,537
				1,708,338
Transport-Equipment & Leasing — 0.0%
GATX Corp. Senior Notes 3.25% due 09/15/2026		73,000		72,572
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 3.90% due 08/01/2046		78,000		83,382
Kansas City Southern Company Guar. Notes 3.00% due 05/15/2023		460,000		468,647
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		840,000		861,512
				1,413,541

270

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Services — 0.2%
FedEx Corp. Company Guar. Notes 3.25% due 04/01/2026	$	175,000	$	184,561
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		480,000		497,751
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		355,000		394,328
Ryder System, Inc. Senior Notes 2.45% due 09/03/2019		1,035,000		1,055,995
United Parcel Service, Inc. Senior Notes 2.45% due 10/01/2022		215,000		223,293
				2,355,928
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		163,000		167,483
Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.88% due 07/17/2018*		150,000		152,903
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.30% due 04/01/2021*		535,000		556,271
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.38% due 02/01/2022*		294,000		305,737
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.25% due 01/17/2023*		15,000		15,822
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		1,060,000		1,182,850
				2,213,583
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		77,000		73,150
Total U.S. Corporate Bonds & Notes (cost $303,904,240)				319,388,774
FOREIGN CORPORATE BONDS & NOTES — 5.2%
Aerospace/Defense — 0.1%
BAE Systems PLC Senior Notes 4.75% due 10/11/2021*		440,000		489,277

Security Description	Principal Amount(18)		Value (Note 2)
Agricultural Chemicals — 0.0%
Agrium, Inc. Senior Notes 4.90% due 06/01/2043	$	200,000	$	211,086
Agrium, Inc. Senior Notes 7.70% due 02/01/2017		100,000		101,728
				312,814
Banks-Commercial — 1.0%
Bank of Nova Scotia Sub. Notes 4.50% due 12/16/2025		925,000		985,561
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		1,700,000		1,777,622
BPCE SA Sub. Notes 5.15% due 07/21/2024*		745,000		783,627
Cooperatieve Rabobank UA Company Guar. Notes 3.75% due 07/21/2026		250,000		250,410
Credit Suisse AG Senior Notes 1.38% due 05/26/2017		740,000		739,196
Credit Suisse AG Senior Notes 1.70% due 04/27/2018		188,000		188,143
Credit Suisse AG Senior Notes 3.00% due 10/29/2021		300,000		308,632
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		260,000		264,297
Kookmin Bank Senior Notes 1.63% due 07/14/2017*		606,000		606,595
National Bank of Canada Company Guar. Notes 1.45% due 11/07/2017		389,000		389,400
National Bank of Canada Bank Guar. Notes 2.10% due 12/14/2018		253,000		256,215
Rabobank Nederland Bank Guar. Notes 5.25% due 08/04/2045		815,000		929,881
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		172,000		187,472
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		2,400,000		2,445,238
Santander UK PLC Senior Notes 2.35% due 09/10/2019		675,000		681,972
Toronto-Dominion Bank Senior Notes 1.80% due 07/13/2021		223,000		222,165

271

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Toronto-Dominion Bank VRS Sub. Notes 3.63% due 09/15/2031	$	246,000	$	246,678
				11,263,104
Beverages-Non-alcoholic — 0.0%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		294,000		299,062
Beverages-Wine/Spirits — 0.2%
Bacardi, Ltd. Company Guar. Notes 2.75% due 07/15/2026*		102,000		101,346
Diageo Capital PLC Company Guar. Notes 5.75% due 10/23/2017		207,000		216,644
Pernod Ricard SA Senior Notes 3.25% due 06/08/2026*		1,384,000		1,405,842
				1,723,832
Broadcast Services/Program — 0.0%
Grupo Televisa SAB Senior Notes 6.13% due 01/31/2046		420,000		459,630
Building-Residential/Commercial — 0.0%
Mattamy Group Corp. Company Guar. Notes 6.50% due 11/15/2020*		108,000		107,663
Cable/Satellite TV — 0.1%
Altice Financing SA Senior Sec. Notes 7.50% due 05/15/2026*		400,000		416,500
Sky PLC Company Guar. Notes 2.63% due 09/16/2019*		765,000		777,840
Sky PLC Company Guar. Notes 6.10% due 02/15/2018*		200,000		211,067
				1,405,407
Chemicals-Diversified — 0.0%
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		70,000		70,875
Chemicals-Plastics — 0.0%
Mexichem SAB de CV Company Guar. Notes 5.88% due 09/17/2044*		207,000		197,944
Consumer Products-Misc. — 0.0%
Kimberly-Clark de Mexico SAB de CV Senior Notes 3.25% due 03/12/2025*		180,000		178,600

Security Description	Principal Amount(18)		Value (Note 2)
Cruise Lines — 0.0%
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022	$	136,000	$	147,900
Diversified Banking Institutions — 0.8%
BNP Paribas SA Company Guar. Notes 2.40% due 12/12/2018		190,000		192,891
Credit Agricole SA Sub. Notes 4.38% due 03/17/2025*		515,000		525,746
Credit Agricole SA FRS Sub. Notes 8.13% due 09/19/2033*		225,000		242,719
Credit Suisse Group Funding Guernsey, Ltd. Company Guar. Notes 3.13% due 12/10/2020		590,000		597,727
HSBC Holdings PLC Senior Notes 2.65% due 01/05/2022		205,000		204,302
HSBC Holdings PLC Senior Notes 2.95% due 05/25/2021		650,000		659,272
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		1,485,000		1,535,878
HSBC Holdings PLC Senior Notes 3.60% due 05/25/2023		650,000		671,318
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		1,200,000		1,231,945
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		200,000		221,104
HSBC Holdings PLC Sub. Notes 5.25% due 03/14/2044		235,000		264,497
Mizuho Financial Group, Inc. Senior Notes 2.27% due 09/13/2021		208,000		207,437
Royal Bank of Scotland Group PLC Senior Notes 3.88% due 09/12/2023		2,810,000		2,765,020
				9,319,856
Diversified Financial Services — 0.0%
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035		425,000		477,005
Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Luxembourg Finance SA Company Guar. Notes 4.65% due 11/01/2044		75,000		81,831

272

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Manufacturing Operations (continued)
Siemens Financieringsmaatschappij NV Company Guar. Notes 2.35% due 10/15/2026*	$	257,000	$	253,814
				335,645
Diversified Minerals — 0.0%
FMG Resources August 2006 Pty, Ltd. Senior Sec. Notes 9.75% due 03/01/2022*		155,000		179,800
Diversified Operations — 0.0%
Hutchison Whampoa International 09/19, Ltd. Company Guar. Notes 5.75% due 09/11/2019*		230,000		256,709
Electric-Generation — 0.2%
Electricite de France SA Senior Notes 2.35% due 10/13/2020*		523,000		533,352
Electricite de France SA Senior Notes 3.63% due 10/13/2025*		96,000		100,943
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		1,235,000		1,336,523
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		85,000		92,046
				2,062,864
Electric-Integrated — 0.1%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021*		340,000		338,755
Fortis, Inc. Senior Notes 3.06% due 10/04/2026*		220,000		219,066
				557,821
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 4.63% due 12/15/2018		9,000		9,383
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		64,000		68,960
Fly Leasing, Ltd. Senior Notes 6.38% due 10/15/2021		200,000		203,000
				281,343
Food-Meat Products — 0.1%
Sigma Alimentos SA de CV Senior Notes 4.13% due 05/02/2026*		560,000		561,400
Gold Mining — 0.0%
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		84,000		90,575

Security Description	Principal Amount(18)		Value (Note 2)
Insurance-Multi-line — 0.0%
XLIT, Ltd. Company Guar. Notes 4.45% due 03/31/2025	$	93,000	$	94,401
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045		208,000		203,487
				297,888
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		89,000		91,225
Medical-Drugs — 0.5%
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037		315,000		439,256
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		1,160,000		1,161,460
Takeda Pharmaceutical Co., Ltd. Senior Notes 1.63% due 03/17/2017*		248,000		248,477
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		2,000,000		1,995,474
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		1,615,000		1,608,910
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023		156,000		156,400
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		431,000		432,994
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 4.10% due 10/01/2046		197,000		196,066
				6,239,037
Medical-Generic Drugs — 0.7%
Actavis Funding SCS Company Guar. Notes 2.35% due 03/12/2018		3,280,000		3,313,820
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		1,238,000		1,278,253
Actavis Funding SCS Company Guar. Notes 3.45% due 03/15/2022		500,000		524,919
Actavis Funding SCS Company Guar. Notes 4.55% due 03/15/2035		590,000		626,697

273

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Generic Drugs (continued)
Mylan NV Company Guar. Notes 3.00% due 12/15/2018*	$	345,000	$	352,606
Mylan NV Company Guar. Notes 3.15% due 06/15/2021*		1,320,000		1,344,782
Mylan NV Company Guar. Notes 3.75% due 12/15/2020*		395,000		412,528
Perrigo Co. PLC Senior Notes 4.00% due 11/15/2023		232,000		238,539
Perrigo Finance Unlimited Co. Company Guar. Notes 3.50% due 03/15/2021		265,000		274,079
				8,366,223
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 05/15/2022*		200,000		177,000
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		235,000		252,825
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		40,000		44,747
Encana Corp. Senior Notes 3.90% due 11/15/2021		650,000		651,287
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		49,000		38,771
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		75,000		61,219
Nexen Energy ULC Company Guar. Notes 6.20% due 07/30/2019		100,000		111,186
				907,210
Oil Companies-Integrated — 0.9%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017		25,000		25,002
BP Capital Markets PLC Company Guar. Notes 1.68% due 05/03/2019		128,000		128,499
BP Capital Markets PLC Company Guar. Notes 2.11% due 09/16/2021		195,000		196,133
BP Capital Markets PLC Company Guar. Notes 2.52% due 01/15/2020		15,000		15,406

Security Description	Principal Amount(18)		Value (Note 2)
Oil Companies-Integrated (continued)
BP Capital Markets PLC Company Guar. Notes 2.75% due 05/10/2023	$	600,000	$	610,025
BP Capital Markets PLC Company Guar. Notes 3.02% due 01/16/2027		94,000		95,481
BP Capital Markets PLC Company Guar. Notes 3.06% due 03/17/2022		1,550,000		1,623,645
BP Capital Markets PLC Company Guar. Notes 3.12% due 05/04/2026		103,000		105,256
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022		95,000		100,056
Cenovus Energy, Inc. Senior Notes 3.00% due 08/15/2022		740,000		703,654
Cenovus Energy, Inc. Senior Notes 3.80% due 09/15/2023		1,465,000		1,449,404
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043		525,000		471,431
Cenovus Energy, Inc. Senior Notes 5.70% due 10/15/2019		165,000		177,115
Petroleos Mexicanos Company Guar. Notes 5.50% due 02/04/2019*		350,000		369,075
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		426,000		369,299
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		180,000		196,218
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047*		342,000		342,000
Shell International Finance BV Company Guar. Notes 1.25% due 11/10/2017		149,000		149,256
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020		152,000		154,294
Shell International Finance BV Company Guar. Notes 2.25% due 11/10/2020		172,000		175,233
Shell International Finance BV Company Guar. Notes 3.25% due 05/11/2025		1,180,000		1,243,098
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		1,140,000		1,230,512
Total Capital International SA Company Guar. Notes 3.75% due 04/10/2024		275,000		303,246
				10,233,338

274

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*	$	60,000	$	60,750
Printing-Commercial — 0.0%
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022*		150,000		156,375
Satellite Telecom — 0.0%
Inmarsat Finance PLC Company Guar. Notes 4.88% due 05/15/2022*		150,000		142,500
Telesat Canada/Telesat LLC Company Guar. Notes 6.00% due 05/15/2017*		170,000		170,000
				312,500
Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*		46,000		42,435
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 7.25% due 02/25/2022		186,000		211,110
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Notes 2.49% due 09/19/2023*		348,000		348,532
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		205,000		224,475
Telefonos de Mexico SAB de CV Company Guar. Notes 5.50% due 11/15/2019		270,000		299,428
				872,435
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		490,000		507,395
Imperial Brands Finance PLC Company Guar. Notes 2.05% due 07/20/2018*		400,000		402,750
Imperial Brands Finance PLC Company Guar. Notes 2.95% due 07/21/2020*		1,050,000		1,084,090
Imperial Brands Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		310,000		328,947
				2,323,182
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 4.50% due 01/15/2022		425,000		467,956

Security Description	Principal Amount(18)		Value (Note 2)
Transport-Rail (continued)
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037	$	285,000	$	357,159
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		112,000		138,242
				963,357
Total Foreign Corporate Bonds & Notes (cost $60,828,703)				62,286,016
U.S. GOVERNMENT AGENCIES — 20.6%
Federal Home Loan Bank — 0.1%
Federal Home Loan Bank 1.88% due 12/09/2022		1,000,000		1,022,181
Federal Home Loan Mtg. Corp. — 4.6%
0.88% due 03/07/2018		1,970,000		1,971,544
1.25% due 10/02/2019		1,272,000		1,280,980
2.38% due 01/13/2022		1,097,000		1,155,183
2.49% due 02/01/2037 FRS		63,858		66,417
2.50% due 01/01/2028		191,803		199,193
2.50% due 04/01/2028		649,381		674,530
2.50% due 03/01/2031		349,585		362,556
3.00% due 08/01/2027		570,512		599,484
3.00% due 10/01/2042		353,150		371,849
3.00% due 11/01/2042		363,657		378,793
3.00% due 02/01/2043		805,768		840,168
3.00% due 04/01/2043		382,388		398,125
3.00% due 08/01/2043		1,570,375		1,637,898
3.00% due 07/01/2045		1,350,127		1,404,263
3.00% due 10/01/2045		705,746		734,045
3.00% due October TBA		1,669,000		1,734,326
3.01% due 11/01/2037 FRS		384,162		406,489
3.50% due 11/01/2041		384,875		407,072
3.50% due 03/01/2042		176,587		186,940
3.50% due 08/01/2042		933,780		991,463
3.50% due 09/01/2043		137,573		146,606
3.50% due 03/01/2045		1,166,447		1,230,775
3.50% due 07/01/2045		1,488,836		1,579,418
3.50% due 08/01/2045		555,344		591,259
3.50% due 10/01/2045		1,038,625		1,095,601
3.50% due 11/01/2045		1,303,587		1,375,098
3.50% due 01/01/2046		47,724		50,342
3.50% due October TBA		5,600,000		5,907,891
3.50% due November TBA		5,500,000		5,795,733
3.75% due 03/27/2019		796,000		850,828
4.00% due 09/01/2040		329,561		354,872
4.00% due 10/01/2043		841,159		902,872
4.00% due 07/01/2044		548,106		587,880
4.00% due 10/01/2045		561,299		602,030
4.00% due 11/01/2045		1,083,324		1,161,937
4.00% due November TBA		2,700,000		2,892,902
4.50% due 01/01/2039		13,472		14,744
4.50% due 04/01/2044		132,695		145,246
4.50% due 09/01/2044		1,333,451		1,459,359
4.50% due 03/01/2046		618,601		678,085
4.50% due October TBA		2,600,000		2,846,746
5.00% due 11/01/2043		596,055		666,595

275

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
5.00% due October TBA	$	2,000,000	$	2,215,990
5.50% due 01/01/2036		241,791		274,747
6.00% due 03/01/2040		19,027		21,831
6.25% due 07/15/2032		206,000		311,127
6.75% due 03/15/2031		100,000		154,526
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.08% due 10/25/2047*(3)		730,000		739,517
Series 2012-K19, Class B 4.17% due 05/25/2045*(3)		20,037		21,594
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-DN1, Class M2 2.73% due 02/25/2024(1)		246,000		252,606
Series 2014-HQ2, Class M2 2.73% due 09/25/2024(1)		500,000		515,506
Series 2015-DNA2, Class M2 3.13% due 12/25/2027(1)		690,500		704,848
Series 2015-HQA1, Class M2 3.18% due 03/25/2028(1)		535,000		547,413
Series 2016-HQA1, Class M2 3.28% due 09/25/2028(1)		159,000		164,004
Series DNA3, Class M2 3.38% due 04/25/2028(1)		2,144,716		2,210,912
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series K701, Class X1 0.38% due 11/25/2017(3)(4)		2,250,392		4,531
Series K013, Class X1 0.73% due 01/25/2021(3)(4)		2,108,814		45,324
				54,922,613
Federal National Mtg. Assoc. — 12.4%
Fannie Mae Connecticut Avenue Securities FRS Series 2013-C01, Class M1 2.53% due 10/25/2023(1)		57,869		58,593
Federal National Mtg. Assoc. zero coupon due 10/09/2019		7,452,000		7,153,026
0.88% due 10/26/2017		1,700,000		1,702,786
0.88% due 05/21/2018		5,955,000		5,960,288
2.50% due 09/01/2027		96,142		99,674
2.50% due 04/01/2028		421,459		437,654
2.50% due 02/01/2031		485,129		502,950
2.50% due 05/01/2031		624,952		647,909
2.50% due October TBA		6,140,000		6,289,372
2.53% due 09/01/2035 FRS		309,821		324,793
2.63% due 09/06/2024		2,025,000		2,167,815
2.64% due 03/01/2027		301,587		314,000
2.67% due 10/01/2035 FRS		375,412		396,665
2.67% due 05/01/2037 FRS		94,782		99,056
2.78% due 03/01/2027		593,000		624,741
2.78% due 11/01/2036 FRS		157,123		165,992
2.79% due 10/01/2040 FRS		182,138		192,556
2.80% due 07/01/2039 FRS		257,856		270,448

Security Description	Principal Amount(18)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
2.91% due 05/01/2040 FRS	$	372,023	$	393,289
2.97% due 06/01/2027		1,090,000		1,163,549
2.97% due 06/01/2030		1,235,000		1,301,948
3.00% due 04/01/2027		49,253		51,765
3.00% due 10/01/2027		595,089		625,377
3.00% due 11/01/2027		234,105		246,149
3.00% due 10/01/2030		579,260		608,303
3.00% due 03/01/2042		639,863		666,559
3.00% due 12/01/2042		188,076		195,960
3.00% due 05/01/2043		476,904		496,740
3.00% due 02/01/2045		403,277		419,518
3.00% due 06/01/2045		468,175		491,060
3.00% due 09/01/2046		387,000		402,585
3.00% due October TBA		3,348,000		3,502,793
3.00% due November TBA		1,500,000		1,572,598
3.05% due 10/01/2040 FRS		102,045		107,664
3.08% due 08/01/2035 FRS		208,849		222,832
3.13% due 02/01/2027		402,000		434,646
3.50% due 08/01/2026		240,489		253,724
3.50% due 09/01/2026		285,183		301,728
3.50% due 08/01/2027		76,966		81,212
3.50% due 10/01/2028		96,262		102,628
3.50% due 03/01/2042		415,441		440,117
3.50% due 06/01/2042		287,261		304,172
3.50% due 07/01/2042		83,676		86,842
3.50% due 08/01/2042		856,381		905,446
3.50% due 08/01/2043		635,413		670,303
3.50% due 07/01/2045		358,771		378,911
3.50% due 08/01/2045		468,765		497,637
3.50% due 09/01/2045		777,961		820,997
3.50% due 10/01/2045		549,605		587,070
3.50% due 11/01/2045		778,851		824,315
3.50% due 12/01/2045		1,027,115		1,083,512
3.50% due 02/01/2046		461,166		486,488
3.50% due 03/01/2046		700,795		739,275
3.50% due 06/01/2046		9,347,844		9,864,500
3.50% due October TBA		37,112,000		39,156,696
4.00% due 06/01/2039		200,457		221,801
4.00% due 10/01/2040		243,247		261,474
4.00% due 11/01/2040		381,711		411,019
4.00% due 10/01/2041		312,392		336,552
4.00% due 11/01/2041		330,532		356,266
4.00% due 01/01/2043		1,137,235		1,238,571
4.00% due 10/01/2043		94,700		101,974
4.00% due 12/01/2043		371,981		409,107
4.00% due 10/01/2044		661,268		710,403
4.00% due 02/01/2045		1,256,259		1,364,000
4.00% due October TBA		17,566,000		18,815,266
4.50% due 10/01/2024		76,227		79,021
4.50% due 06/01/2039		1,054,612		1,165,680
4.50% due 05/01/2041		167,615		184,253
4.50% due 07/01/2041		93,292		102,384
4.50% due 03/01/2042		460,089		505,930
4.50% due 08/01/2045		1,330,076		1,492,962
4.50% due October TBA		10,806,000		11,834,002
5.00% due 05/01/2040		325,848		364,117

276

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
5.00% due 06/01/2040	$	37,241	$	41,390
5.00% due 07/01/2040		722,023		803,143
5.00% due 02/01/2045		903,910		1,023,977
5.50% due 12/01/2029		56,768		63,902
5.50% due 08/01/2037		210,390		238,150
5.50% due 06/01/2038		131,450		149,305
5.50% due October TBA		1,900,000		2,141,062
6.00% due 11/01/2038		15,622		17,916
6.00% due 06/01/2040		122,925		140,918
6.50% due 10/01/2037		1,511		1,741
6.63% due 11/15/2030		871,000		1,324,458
7.25% due 05/15/2030		2,260,000		3,581,045
				147,379,015
Government National Mtg. Assoc. — 3.5%
3.00% due 02/20/2045		440,742		462,324
3.00% due 05/20/2045		346,770		363,751
3.00% due 07/20/2045		73,873		77,491
3.00% due 02/20/2046		5,526,557		5,797,187
3.00% due October TBA		13,446,000		14,085,735
3.50% due 03/20/2045		329,730		350,337
3.50% due 04/20/2045		511,209		543,080
3.50% due 07/20/2045		148,176		157,448
3.50% due October TBA		6,200,000		6,588,300
4.00% due 03/15/2039		153,800		165,340
4.00% due 04/15/2039		12,623		13,570
4.00% due 05/15/2039		44,743		48,090
4.00% due 08/15/2039		16,638		18,037
4.00% due 10/15/2039		61,644		66,232
4.00% due 03/15/2040		60,348		64,962
4.00% due 09/15/2040		35,571		38,251
4.00% due 10/15/2040		33,945		36,532
4.00% due 12/15/2040		18,930		20,502
4.00% due 01/15/2041		17,485		18,797
4.00% due 02/15/2041		16,930		18,197
4.00% due 06/15/2041		155,847		168,936
4.00% due 07/15/2041		51,961		55,867
4.00% due 08/15/2041		518,926		560,696
4.00% due 09/15/2041		96,967		104,335
4.00% due 10/15/2041		198,485		213,814
4.00% due 11/15/2041		192,826		207,296
4.00% due 12/15/2041		234,831		252,883
4.00% due 01/15/2042		41,981		45,161
4.00% due 02/15/2042		17,312		18,662
4.00% due 03/15/2042		129,288		139,360
4.00% due 04/15/2042		8,193		8,806
4.00% due 03/20/2044		225,554		241,754
4.00% due 07/20/2045		291,755		312,703
4.00% due 10/20/2045		119,119		127,819
4.00% due October TBA		4,600,000		4,929,008
4.50% due 04/15/2018		7,540		7,698
4.50% due 05/15/2018		47,319		48,153
4.50% due 08/15/2018		2,585		2,640
4.50% due 09/15/2018		28,343		28,868
4.50% due 10/15/2018		142,129		145,284
4.50% due 09/15/2033		72,638		80,915

Security Description	Principal Amount(18)		Value (Note 2)
Government National Mtg. Assoc. (continued)
4.50% due 03/15/2039	$	129,296	$	143,127
4.50% due 05/15/2039		72,141		79,736
4.50% due 07/15/2039		43,454		48,061
4.50% due 10/15/2039		158,183		174,712
4.50% due 11/15/2039		3,821		4,220
4.50% due 01/15/2040		53,787		59,529
4.50% due 02/15/2040		81,432		90,393
4.50% due 03/15/2040		51,405		56,769
4.50% due 04/15/2040		2,796		3,088
4.50% due 05/15/2040		12,034		13,314
4.50% due 07/15/2040		46,096		51,150
4.50% due 04/15/2041		23,450		25,956
4.50% due 05/15/2041		164,094		181,637
4.50% due 06/15/2041		30,346		33,766
4.50% due 07/15/2041		150,294		166,174
4.50% due 08/15/2041		81,957		90,649
4.50% due 09/20/2045		13,432		14,509
4.50% due 10/20/2045		7,027		7,590
4.50% due 05/20/2046		11,922		12,879
5.00% due 06/15/2033		3,779		4,255
5.00% due 08/15/2033		23,580		26,642
5.00% due 09/15/2033		46,970		52,878
5.00% due 10/15/2033		25,648		28,830
5.00% due 11/15/2033		5,940		6,769
5.00% due 06/15/2034		105,674		118,942
5.00% due 05/15/2035		2,927		3,263
5.00% due 09/15/2035		3,763		4,238
5.00% due 11/15/2035		126,838		141,389
5.00% due 02/15/2036		40,742		45,416
5.00% due 02/20/2036		166,101		184,105
5.00% due 03/15/2036		26,441		29,475
5.00% due 05/15/2036		88,077		98,999
5.00% due 06/15/2036		43,789		48,812
5.00% due 08/15/2038		312,499		349,177
5.50% due 02/15/2032		2,182		2,467
5.50% due 03/15/2032		6,039		6,917
5.50% due 12/15/2032		6,786		7,766
5.50% due 01/15/2033		3,252		3,720
5.50% due 02/15/2033		20,032		22,820
5.50% due 03/15/2033		75,851		85,952
5.50% due 04/15/2033		64,817		73,956
5.50% due 05/15/2033		462		463
5.50% due 06/15/2033		78,608		89,458
5.50% due 07/15/2033		279,990		318,638
5.50% due 08/15/2033		64,077		73,514
5.50% due 09/15/2033		10,939		12,646
5.50% due 11/15/2033		37,243		42,098
5.50% due 12/15/2033		3,611		4,119
5.50% due 01/15/2034		105,821		120,551
5.50% due 02/15/2034		54,650		61,769
6.00% due 04/15/2028		137,939		161,485
6.00% due 01/15/2029		23,819		27,287
6.00% due 03/15/2029		23,350		26,751
6.00% due 11/15/2031		7,413		8,492
6.00% due 12/15/2031		13,960		15,993
6.00% due 04/15/2032		18,626		21,869

277

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
6.00% due 09/15/2032	$	15,019	$	17,594
6.00% due 10/15/2032		81,599		95,775
6.00% due 11/15/2032		24,026		28,152
6.00% due 01/15/2033		3,502		4,111
6.00% due 02/15/2033		35,208		40,722
6.00% due 03/15/2033		13,672		15,965
6.00% due 09/15/2033		18,333		21,002
6.00% due 01/15/2034		174,807		200,262
6.00% due 03/15/2034		16,552		18,962
6.00% due 05/15/2034		5,926		6,789
6.00% due 07/15/2034		9,560		11,075
6.00% due 08/15/2034		140,562		164,413
6.00% due 09/15/2034		11,403		13,101
6.00% due 11/15/2034		73,056		83,694
6.00% due 03/15/2035		47,351		54,278
6.00% due 08/15/2035		90,037		103,177
6.00% due 01/15/2036		38,220		44,427
6.00% due 02/15/2036		38,783		44,430
6.00% due 04/15/2036		73,201		84,095
6.00% due 05/15/2036		37,290		43,154
6.00% due 06/15/2036		84,110		97,133
6.00% due 07/15/2036		4,277		4,899
6.00% due 08/15/2036		84,536		96,901
6.00% due 09/15/2036		70,891		81,213
6.00% due 10/15/2036		170,560		196,186
6.00% due 11/15/2036		60,993		70,955
6.00% due 12/15/2036		14,106		16,325
6.50% due 09/15/2028		4,859		5,604
6.50% due 09/15/2031		11,137		12,843
6.50% due 10/15/2031		5,066		5,842
6.50% due 11/15/2031		1,277		1,472
6.50% due 12/15/2031		6,468		7,459
7.50% due 09/15/2030		20,495		21,091
				41,937,102
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		105,000		106,771
Total U.S. Government Agencies (cost $241,871,024)				245,367,682
U.S. GOVERNMENT TREASURIES — 37.5%
United States Treasury Bonds — 7.6%
2.50% due 02/15/2045		7,660,000		7,916,135
2.50% due 02/15/2046		664,000		686,306
2.50% due 05/15/2046		1,817,000		1,880,595
2.75% due 08/15/2042		5,928,000		6,459,670
2.75% due 11/15/2042		1,812,000		1,972,532
2.88% due 05/15/2043		5,218,000		5,809,920
2.88% due 08/15/2045		2,023,000		2,253,274
3.00% due 11/15/2044		2,461,000		2,806,020
3.00% due 05/15/2045		1,125,000		1,282,676
3.00% due 11/15/2045		4,864,000		5,549,902
3.13% due 11/15/2041		1,919,000		2,233,685
3.13% due 02/15/2042		547,000		637,062
3.13% due 02/15/2043		1,770,000		2,062,257
3.13% due 08/15/2044		1,728,000		2,016,697
3.38% due 05/15/2044		869,000		1,060,282

Security Description	Principal Amount(18)		Value (Note 2)
United States Treasury Bonds (continued)
3.50% due 02/15/2039	$	1,764,000	$	2,184,328
3.63% due 08/15/2043		3,158,000		4,020,406
3.63% due 02/15/2044		2,706,000		3,445,604
3.75% due 08/15/2041		427,000		548,612
3.88% due 08/15/2040		1,626,000		2,121,104
4.25% due 05/15/2039		67,000		91,866
4.25% due 11/15/2040		1,100,000		1,514,648
4.38% due 02/15/2038		568,000		792,271
4.38% due 11/15/2039		1,271,000		1,772,251
4.38% due 05/15/2040		953,000		1,331,632
4.50% due 02/15/2036		1,279,000		1,799,993
4.63% due 02/15/2040		1,187,000		1,712,618
4.75% due 02/15/2041		1,123,000		1,656,820
5.25% due 11/15/2028		1,297,000		1,795,686
5.25% due 02/15/2029		1,966,000		2,733,585
5.38% due 02/15/2031		853,000		1,244,480
6.13% due 11/15/2027		544,000		789,650
6.25% due 08/15/2023		1,613,000		2,126,892
6.38% due 08/15/2027		1,217,000		1,788,324
6.75% due 08/15/2026		377,000		554,912
7.88% due 02/15/2021		1,267,000		1,632,599
8.13% due 08/15/2019		39,000		46,960
8.13% due 05/15/2021		13,000		17,085
8.75% due 05/15/2017		1,725,000		1,811,790
8.75% due 05/15/2020		1,035,000		1,319,423
8.75% due 08/15/2020		1,389,000		1,796,205
9.00% due 11/15/2018		3,770,000		4,423,416
9.13% due 05/15/2018		32,000		36,310
				89,736,483
United States Treasury Notes — 29.9%
0.13% due 04/15/2018 TIPS(12)		467,454		472,545
0.13% due 07/15/2024 TIPS(11)(12)(20)		16,470,025		16,710,471
0.25% due 01/15/2025 TIPS(12)		13,800,263		14,056,009
0.50% due 04/30/2017		944,000		943,791
0.50% due 07/31/2017		2,917,000		2,914,264
0.63% due 05/31/2017		4,793,000		4,793,935
0.63% due 08/31/2017		12,809,000		12,805,503
0.63% due 11/30/2017		4,916,000		4,912,161
0.63% due 04/30/2018		2,441,000		2,436,994
0.75% due 06/30/2017		10,430,000		10,441,390
0.75% due 02/28/2018		368,000		368,115
0.75% due 08/31/2018		7,313,000		7,311,574
0.88% due 02/28/2017		3,258,000		3,264,845
0.88% due 07/31/2019		9,593,000		9,595,245
1.00% due 10/31/2016		243,000		243,161
1.00% due 03/31/2017		6,007,000		6,022,030
1.00% due 06/30/2019		10,922,000		10,963,809
1.13% due 05/31/2019		5,211,000		5,249,676
1.13% due 12/31/2019		1,985,000		1,996,166
1.13% due 02/28/2021		8,000		8,005
1.13% due 06/30/2021		830,000		829,027
1.13% due 07/31/2021		114,000		113,835
1.25% due 11/30/2018		6,968,000		7,032,238
1.25% due 01/31/2019		18,191,000		18,367,944
1.25% due 01/31/2020		179,000		180,650

278

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
1.25% due 02/29/2020	$	7,378,000	$	7,444,572
1.38% due 07/31/2018		1,587,000		1,604,171
1.38% due 09/30/2018		7,787,000		7,874,907
1.38% due 12/31/2018		3,941,000		3,989,033
1.38% due 02/28/2019		6,215,000		6,294,142
1.38% due 03/31/2020		722,000		731,448
1.38% due 04/30/2020		261,000		264,395
1.38% due 05/31/2020		4,553,000		4,610,090
1.38% due 09/30/2020		387,000		391,611
1.38% due 01/31/2021		206,000		208,253
1.50% due 08/31/2018		4,979,000		5,046,296
1.50% due 01/31/2022		13,912,000		14,096,765
1.50% due 02/28/2023		4,797,000		4,834,287
1.63% due 08/15/2022		9,967,000		10,146,874
1.63% due 11/15/2022		13,867,000		14,099,383
1.63% due 02/15/2026		717,000		718,233
1.63% due 05/15/2026		111,000		111,147
1.75% due 10/31/2020		4,136,000		4,244,731
1.75% due 12/31/2020		69,000		70,844
1.75% due 05/15/2022		4,641,000		4,757,930
1.75% due 09/30/2022		325,000		333,036
1.75% due 05/15/2023		23,574,000		24,103,496
1.88% due 08/31/2017		3,079,000		3,112,441
1.88% due 10/31/2017		984,000		996,415
1.88% due 10/31/2022		967,000		997,635
2.00% due 05/31/2021		3,075,000		3,191,995
2.00% due 11/15/2021		4,434,000		4,606,855
2.00% due 07/31/2022		87,000		90,395
2.00% due 02/15/2023		9,939,000		10,324,912
2.00% due 02/15/2025		6,612,000		6,847,037
2.00% due 08/15/2025		5,300,000		5,484,673
2.13% due 06/30/2021		6,094,000		6,362,995
2.13% due 08/15/2021		7,667,000		8,006,625
2.13% due 06/30/2022		950,000		993,678
2.13% due 05/15/2025		4,792,000		5,009,888
2.25% due 11/15/2024		5,269,000		5,563,116
2.25% due 11/15/2025		773,000		815,998
2.38% due 05/31/2018		4,163,000		4,273,906
2.38% due 08/15/2024		5,657,000		6,027,358
2.50% due 08/15/2023		6,555,000		7,022,299
2.50% due 05/15/2024		478,000		513,626
2.63% due 08/15/2020		922,000		976,528
2.63% due 11/15/2020		2,646,000		2,808,999
2.75% due 02/15/2019		1,649,000		1,723,719
3.13% due 05/15/2019		2,092,000		2,214,987
3.13% due 05/15/2021		7,000		7,616
3.38% due 11/15/2019		816,000		877,264
3.50% due 05/15/2020		699,000		760,299
3.63% due 08/15/2019		19,000		20,475
3.63% due 02/15/2020		3,814,000		4,147,725
3.63% due 02/15/2021		3,869,000		4,280,232
4.00% due 08/15/2018		29,000		30,766
4.25% due 11/15/2017		69,000		71,717

Security Description	Principal Amount(18)		Value (Note 2)
United States Treasury Notes (continued)
4.50% due 05/15/2017	$	30,000	$	30,724
				356,201,925
Total U.S. Government Treasuries (cost $424,261,328)				445,938,408
MUNICIPAL BONDS & NOTES — 0.5%
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		90,000		119,941
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		690,000		906,474
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		115,000		155,242
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		190,000		218,643
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(10)		2,400,000		912,000
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.20% due 07/01/2039(10)		1,315,000		499,700
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series B 6.55% due 07/01/2058(10)		290,000		110,200
State of California General Obligation Bonds 7.55% due 04/01/2039		590,000		944,832
State of California General Obligation Bonds 7.60% due 11/01/2040		655,000		1,061,840
State of California General Obligation Bonds 7.63% due 03/01/2040		310,000		490,646
State of Illinois General Obligation Bonds 5.10% due 06/01/2033		175,000		168,700
Total Municipal Bonds & Notes (cost $5,410,671)				5,588,218

279

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(8)(9)(13) — 2.1%
Advertising Services — 0.1%
Advantage Sales & Marketing, Inc. FRS 1st Lien 4.25% due 07/23/2021	$	520,823	$	514,703
Aerospace/Defense-Equipment — 0.1%
TransDigm, Inc. FRS BTL-E 3.50% due 05/14/2022		665,362		665,084
Applications Software — 0.0%
SS&C European Holdings SARL FRS BTL-B2 4.08% due 07/08/2022		16,173		16,285
SS&C Technologies, Inc. FRS BTL-B1 4.00% due 07/08/2022		134,022		134,956
Verint Systems, Inc. FRS BTL 3.50% due 09/06/2019		130,394		130,720
				281,961
Auto-Cars/Light Trucks — 0.0%
FCA US LLC FRS BTL-B 3.25% due 12/31/2018		129,520		129,589
Broadcast Services/Program — 0.0%
Nexstar Broadcasting, Inc. BTL-B 3.85% due 09/21/2023		75,000		75,344
Univision Communications, Inc. FRS BTL-C4 4.00% due 03/01/2020		242,327		242,529
				317,873
Building & Construction Products-Misc. — 0.0%
Summit Materials Co. I LLC FRS BTL 4.00% due 07/17/2022		98,750		99,028
Cable/Satellite TV — 0.1%
Charter Communications Operating LLC FRS BTL 3.50% due 01/24/2023		199,000		200,161
Neptune Finco Corp. FRS BTL 5.00% due 10/09/2022		229,425		229,425
Ziggo BV FRS BTL-B1 3.50% due 01/15/2022		129,425		129,142
Ziggo BV FRS BTL-B2 3.60% due 01/15/2022		76,702		76,534
Ziggo BV FRS BTL-B3 3.60% due 01/15/2022		23,834		23,781
				659,043

Security Description	Principal Amount(18)		Value (Note 2)
Casino Hotels — 0.0%
Boyd Gaming Corp. BTL-B2 3.80% due 09/15/2023	$	135,000	$	135,742
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 11.25% due 03/01/2017(15)(17)		100,616		109,797
				245,539
Cellular Telecom — 0.0%
LTS Buyer LLC FRS 1st Lien 4.00% due 04/13/2020		165,374		165,002
Chemicals-Specialty — 0.0%
Chemours Co. FRS BTL-B 3.75% due 05/12/2022		217,771		215,321
Minerals Technologies, Inc. FRS Term Loan B 3.75% due 05/09/2021		77,891		78,281
				293,602
Coal — 0.0%
Arch Coal, Inc. FRS DIP-Delayed Draw 5.00% due 01/31/2017 (10)(17)(19)		55,000		54,966
Arch Coal, Inc. FRS BTL-B 7.50% due 05/16/2018(17)		244,317		184,459
				239,425
Commercial Services — 0.1%
Brand Energy & Infrastructure Services, Inc. FRS BTL-B 4.75% due 11/26/2020		184,775		182,350
Brickman Group, Ltd. FRS 1st Lien 4.00% due 12/18/2020		343,746		342,457
ServiceMaster Co. LLC FRS BTL-B 4.25% due 07/01/2021		438,768		443,018
				967,825
Commercial Services-Finance — 0.1%
TransUnion LLC FRS BTL-B2 3.50% due 04/09/2021		235,641		236,230
Wex, Inc. FRS BTL-B 4.25% due 06/30/2023		299,250		302,093
				538,323
Computers-Periphery Equipment — 0.0%
CDW LLC FRS BTL 3.00% due 08/04/2023		244,946		245,405

280

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(8)(9)(13) (continued)
Consumer Products-Misc. — 0.0%
Dell, Inc. BTL-B 4.00% due 09/07/2023	$	140,000	$	140,758
Containers-Metal/Glass — 0.0%
Owens-Brockway Glass Container, Inc. FRS BTL-B 3.50% due 09/01/2022		118,500		119,093
Containers-Paper/Plastic — 0.1%
Berry Plastics Group, Inc., Series G FRS BTL 3.50% due 01/06/2021		577,179		577,018
Coveris Holdings SA FRS BTL-B1 4.50% due 05/08/2019		242,476		241,769
Reynolds Group Holdings, Inc. FRS BTL 4.25% due 02/05/2023		350,000		350,915
				1,169,702
Cosmetics & Toiletries — 0.0%
Coty, Inc. FRS BTL 3.75% due 10/27/2022		54,725		54,770
Galleria Co. FRS BTL-B 3.75% due 01/26/2023		110,000		110,344
				165,114
Data Processing/Management — 0.1%
First Data Corp. FRS BTL 4.18% due 07/08/2022		645,000		648,494
First Data Corp. FRS BTL 4.43% due 03/24/2021		418,302		420,584
				1,069,078
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. FRS BTL-B 4.75% due 06/30/2021		111,977		109,598
Diagnostic Kits — 0.0%
Alere, Inc. FRS BTL-B 4.25% due 06/18/2022		248,741		246,495
Dialysis Centers — 0.0%
U.S. Renal Care, Inc. FRS BTL 5.25% due 12/31/2022		238,200		228,672
Direct Marketing — 0.0%
Acosta, Inc. FRS BTL 4.25% due 09/26/2021		127,733		121,134

Security Description	Principal Amount(18)		Value (Note 2)
Distribution/Wholesale — 0.1%
Beacon Roofing Supply, Inc. FRS BTL 4.00% due 10/01/2022	$	163,350	$	163,554
Nexeo Solutions LLC FRS BTL-B 5.25% due 06/09/2023		144,638		145,542
Univar USA, Inc. FRS BTL 4.25% due 07/01/2022		163,350		163,316
				472,412
Diversified Minerals — 0.0%
American Rock Salt Co. LLC FRS 1st Lien 4.75% due 05/20/2021		175,950		169,205
American Rock Salt Co. LLC FRS BTL 4.75% due 05/20/2021		123,111		118,494
				287,699
Electric-Integrated — 0.0%
Texas Competitive Electric Holdings Co. LLC 1st Lien DIP 5.00% due 10/17/2017(17)		95,000		95,499
Texas Competitive Electric Holdings Co. LLC DIP-C 5.00% due 10/17/2017(17)		20,000		20,105
				115,604
Electronic Components-Semiconductors — 0.1%
Avago Technologies Cayman Finance, Ltd. FRS BTL-B3 3.52% due 02/01/2023		178,801		180,868
NXP BV FRS BTL-D 3.25% due 01/11/2020		184,300		184,789
NXP NV BTL-F 3.40% due 12/07/2020		114,638		115,104
ON Semiconductor Corp. FRS BTL-B 5.25% due 03/31/2023		110,000		110,581
				591,342
Electronic Measurement Instruments — 0.0%
Sensus USA, Inc. FRS BTL 6.50% due 04/05/2023		214,463		215,356
Extended Service Contracts — 0.0%
Sedgwick Claims Management Services, Inc. FRS 1st Lien 3.75% due 03/01/2021		263,250		260,508

281

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(8)(9)(13) (continued)
Extended Service Contracts (continued)
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 6.75% due 02/28/2022	$	125,000	$	124,062
				384,570
Food-Baking — 0.0%
Hostess Brands LLC FRS 1st Lien 4.50% due 08/03/2022		133,650		134,247
Food-Meat Products — 0.0%
JBS USA LLC FRS BTL-B 4.00% due 10/30/2022		456,550		456,265
Food-Retail — 0.0%
Albertsons LLC FRS BTL-B 4.50% due 08/25/2021		152,878		153,719
Albertsons LLC FRS BTL-B 4.75% due 12/21/2022		99,501		100,309
				254,028
Gambling (Non-Hotel) — 0.0%
Scientific Games International, Inc. FRS BTL-B2 6.00% due 10/01/2021		152,288		152,406
Hotels/Motels — 0.0%
La Quinta Intermediate Holdings LLC FRS BTL-B 3.75% due 04/14/2021		115,302		114,581
Human Resources — 0.0%
On Assignment, Inc. FRS BTL-B 3.50% due 06/03/2022		187,067		188,236
Independent Power Producers — 0.1%
Calpine Corp. FRS BTL 3.84% due 05/31/2023		623,438		626,684
NRG Energy, Inc. FRS BTL-B 3.50% due 06/30/2023		243,109		243,515
				870,199
Insurance Brokers — 0.1%
HUB International, Ltd. FRS BTL-B 4.00% due 10/02/2020		341,250		341,036
USI, Inc. FRS BTL-B 4.25% due 12/27/2019		325,802		325,734
				666,770

Security Description	Principal Amount(18)		Value (Note 2)
Insurance-Property/Casualty — 0.1%
Asurion LLC FRS BTL-B2 4.25% due 07/08/2020	$	311,560	$	311,894
Asurion LLC FRS 2nd Lien 8.50% due 03/03/2021		305,000		302,636
				614,530
Internet Connectivity Services — 0.0%
Zayo Group LLC FRS BTL-B 3.75% due 05/06/2021		440,500		441,916
Investment Companies — 0.0%
Camelot UK Holdco, Ltd. BTL-B 4.75% due 09/07/2023		100,000		100,031
Frank Russell Co. FRS BTL 6.75% due 06/01/2023		134,663		133,484
				233,515
Investment Management/Advisor Services — 0.1%
SAM Finance Lux SARL FRS BTL 4.25% due 12/17/2020		503,370		502,898
Leisure Games — 0.0%
Aristocrat International Pty, Ltd. FRS BTL-B1 3.50% due 10/20/2021		103,846		104,106
Machinery-General Industrial — 0.1%
Gardner Denver, Inc. FRS BTL 4.25% due 07/30/2020		242,500		234,679
RBS Global, Inc. FRS 1st Lien 4.00% due 08/21/2020		323,324		323,055
				557,734
Medical Labs & Testing Services — 0.0%
American Renal Holdings, Inc. FRS 1st Lien 4.50% due 09/20/2019		190,499		188,356
inVentiv Health, Inc. BTL-B 4.75% due 09/28/2023		180,000		180,054
Medpace Holdings, Inc. FRS 1st Lien 4.75% due 04/01/2021		31,132		31,093
				399,503
Medical-Drugs — 0.1%
Endo Lux Finance Co. FRS BTL 3.75% due 09/26/2022		362,263		361,357
PRA Holdings, Inc. FRS 1st Lien 4.50% due 09/23/2020		166,444		166,949
				528,306

282

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(8)(9)(13) (continued)
Medical-HMO — 0.1%
MultiPlan, Inc. FRS BTL-B 5.00% due 06/07/2023	$	263,112	$	266,260
Opal Acquisition, Inc. FRS 1st Lien 5.00% due 11/27/2020		302,895		281,440
				547,700
Medical-Hospitals — 0.0%
Acadia Healthcare Co., Inc. FRS BTL-B 4.50% due 02/16/2023		119,100		119,993
CHS/Community Health Systems, Inc. FRS BTL-G 3.75% due 12/31/2019		36,054		35,328
CHS/Community Health Systems, Inc. FRS BTL-H 4.00% due 01/27/2021		170,986		167,737
				323,058
Medical-Wholesale Drug Distribution — 0.0%
Vizient, Inc. FRS First Lien 6.25% due 02/13/2023		140,776		142,126
Metal Processors & Fabrication — 0.1%
AFGlobal Corp. FRS 1st Lien 5.00% due 12/19/2019		97,013		43,656
Crosby US Acquisition Corp. FRS 1st Lien 4.00% due 11/23/2020		530,013		440,904
				484,560
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.25% due 07/06/2021		173,846		171,052
Oil & Gas Drilling — 0.0%
Paragon Offshore Finance Co. FRS BTL-B 5.25% due 07/18/2021(7)(17)		98,750		23,042
Seadrill Operating LP FRS BTL-B 4.00% due 02/21/2021		214,194		106,494
				129,536
Oil Companies-Exploration & Production — 0.0%
American Energy-Marcellus LLC FRS 1st Lien 5.25% due 08/04/2020		100,000		54,583
California Resources Corp. BTL 11.38% due 12/31/2021		130,000		136,283
Chesapeake Energy Corp. BTL 8.50% due 08/23/2021		105,000		109,883

Security Description	Principal Amount(18)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Templar Energy LLC FRS 2nd Lien 8.50% due 11/25/2020(24)	$	100,000	$	23,750
				324,499
Oil Companies-Integrated — 0.0%
Power Buyer LLC FRS BTL 4.25% due 05/06/2020		246,974		246,047
Oil Refining & Marketing — 0.0%
Western Refining, Inc. FRS BTL-B 4.25% due 11/12/2020		116,700		116,335
Physicians Practice Management — 0.0%
Envision Healthcare Corp. FRS BTL-B2 4.50% due 10/28/2022		129,025		129,408
Pipelines — 0.0%
Energy Transfer Equity LP FRS BTL 3.25% due 12/02/2019		280,500		277,344
Professional Sports — 0.1%
Delta 2 Lux Sarl FRS BTL-B3 4.75% due 07/30/2021		400,000		400,250
Delta 2 Lux SARL FRS 2nd Lien 7.75% due 07/31/2022		120,000		120,150
				520,400
Real Estate Investment Trusts — 0.0%
MGM Growth Properties Operating Partnership LP FRS BTL-B 4.00% due 04/25/2023		293,525		296,002
Real Estate Management/Services — 0.0%
DTZ US Borrower LLC FRS 1st Lien 4.25% due 11/04/2021		246,875		246,361
Recreational Centers — 0.0%
Town Sports International LLC FRS BTL-B 4.50% due 11/15/2020		177,042		130,126
Rental Auto/Equipment — 0.0%
Fly Funding II Sarl FRS BTL-B 3.50% due 08/09/2019		112,125		112,055
Research & Development — 0.0%
Pharmaceutical Product Development LLC FRS BTL-B 4.25% due 08/18/2022		223,481		224,096
Retail-Apparel/Shoe — 0.0%
Kate Spade & Co. FRS BTL-B 4.00% due 04/10/2021		181,300		181,187

283

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(8)(9)(13) (continued)
Retail-Arts & Crafts — 0.0%
Michaels Stores, Inc. FRS BTL-B2 4.00% due 01/28/2020	$	80,353	$	80,453
Retail-Auto Parts — 0.0%
Harbor Freight Tools USA, Inc. FRS BTL 4.00% due 08/18/2023		100,000		100,500
Retail-Bedding — 0.0%
Serta Simmons Bedding LLC FRS BTL 4.25% due 10/01/2019		190,315		190,702
Retail-Discount — 0.1%
BJ's Wholesale Club, Inc. FRS 1st Lien 4.50% due 09/26/2019		599,515		599,856
Retail-Leisure Products — 0.0%
Party City Holdings, Inc. FRS BTL-B 4.25% due 08/19/2022		283,124		283,781
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc. FRS BTL-B 4.25% due 03/11/2022		115,926		116,070
Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL 4.00% due 06/05/2020		152,675		152,198
Steel-Specialty — 0.0%
Signode Industrial Group US, Inc. FRS BTL-B 3.75% due 05/01/2021		82,704		82,394
Telecom Services — 0.0%
UPC Financing Partnership FRS BTL 4.08% due 08/31/2024		175,000		175,656
Telecommunication Equipment — 0.0%
CommScope, Inc. FRS BTL 3.83% due 12/29/2022		118,800		119,505
Telephone-Integrated — 0.1%
Level 3 Financing, Inc. FRS BTL-B2 3.50% due 05/31/2022		425,000		427,302
Level 3 Financing, Inc. FRS BTL-B 4.00% due 01/15/2020		200,000		200,938
				628,240
Television — 0.1%
ION Media Networks, Inc. FRS BTL-B 4.75% due 12/18/2020		137,551		138,353

Security Description	Principal Amount(18)		Value (Note 2)
Television (continued)
Mission Broadcasting, Inc. BTL-B2 3.85% due 09/26/2023	$	5,000	$	5,023
Tribune Media Co. FRS BTL 3.75% due 12/27/2020		614,646		617,720
				761,096
Transport-Truck — 0.0%
Kenan Advantage Group, Inc. FRS Delayed Draw 1.50% due 01/31/2017(19)		5,267		5,235
Kenan Advantage Group, Inc. FRS BTL 4.00% due 07/31/2022		68,606		68,199
Kenan Advantage Group, Inc. FRS BTL-B 4.00% due 07/31/2022		20,264		20,144
				93,578
Total Loans (cost $25,457,211)				25,004,190
FOREIGN GOVERNMENT OBLIGATIONS — 1.5%
Central Bank — 0.2%
Bank of Thailand Notes 1.49% due 02/23/2018	THB	54,190,000		1,562,070
Electric-Distribution — 0.0%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		159,000		159,423
Sovereign — 1.3%
Brazil Notas do Tesouro Nacional Notes 6.00% due 05/15/2017(12)	BRL	11,062,655		3,473,749
Brazil Notas do Tesouro Nacional Series B Notes 6.00% due 08/15/2022(12)	BRL	4,038,001		1,253,415
Government of Romania Bills 0.49% due 06/26/2017	RON	10,005,000		2,517,643
Government of Romania Bills 0.51% due 08/28/2017	RON	4,810,000		1,208,538
Oriental Republic of Uruguay Senior Notes 3.70% due 06/26/2037(12)	UYU	18,274,840		521,729
Republic of Argentina Senior Notes 4.74% due 12/31/2038(6)	EUR	935,000		689,018
Republic of Colombia Bonds 4.25% due 05/17/2017(12)	COP	2,599,775,790		905,623
Republic of Indonesia Senior Notes 8.25% due 07/15/2021	IDR	13,416,000,000		1,084,505

284

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued
Republic of Indonesia Senior Notes 8.38% due 03/15/2024	IDR	13,915,000,000	$	1,153,097
Republic of South Africa Senior Notes 4.30% due 10/12/2028		445,000		440,550
Republic of Turkey Bonds 10.60% due 02/11/2026	TRY	3,275,000		1,163,438
State of Qatar Senior Notes 4.63% due 06/02/2046*		340,000		371,450
United Mexican States Senior Notes 3.50% due 01/21/2021		135,000		143,505
United Mexican States Senior Notes 4.35% due 01/15/2047		495,000		486,338
United Mexican States Senior Notes 4.75% due 03/08/2044		224,000		232,120
				15,644,718
Total Foreign Government Obligations (cost $17,008,959)				17,366,211
COMMON STOCKS — 0.0%
Insurance-Reinsurance — 0.0%
WMIH Corp.†		1,989		4,654
Television — 0.0%
ION Media Networks, Inc.†(7)(10)		22		26,620
Total Common Stocks (cost $0)				31,274
PREFERRED SECURITIES — 0.0%
Electric-Distribution — 0.0%
Entergy Louisiana LLC 4.70%		7,606		195,855
Telecom Services — 0.0%
Qwest Corp. 6.13%		14,710		374,369
Total Preferred Securities (cost $557,871)				570,224
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5%
Banks-Commercial — 0.4%
Banco Bilbao Vizcaya Argentaria SA FRS 7.00% due 02/19/2019(16)	EUR	800,000		835,840
Banco Bilbao Vizcaya Argentaria SA FRS 8.88% due 04/14/2021(16)	EUR	200,000		235,903
Banco Bilbao Vizcaya Argentaria SA FRS 9.00% due 05/09/2018(16)		800,000		819,240
Banco Santander SA FRS 6.25% due 03/12/2019(16)	EUR	500,000		502,699
Banco Santander SA FRS 6.25% due 09/11/2021(16)	EUR	200,000		201,080

Security Description	Principal Amount(18)		Value (Note 2)
Banks-Commercial (continued)
Bank of Ireland FRS 7.38% due 06/18/2020 (10)(16)	EUR	700,000	$	748,718
Intesa Sanpaolo SpA FRS 7.70% due 09/17/2025*(16)		1,025,000		896,875
Santander UK Group Holdings PLC FRS 7.38% due 06/24/2022(16)	GBP	425,000		542,463
				4,782,818
Banks-Fiduciary — 0.0%
State Street Capital Trust IV FRS 1.85% due 06/01/2077		300,000		258,000
Banks-Super Regional — 0.0%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(16)		209,000		202,521
Wells Fargo Capital X 5.95% due 12/01/2086		84,000		92,190
				294,711
Building Societies — 0.1%
Nationwide Building Society FRS 6.88% due 06/20/2019(16)	GBP	545,000		673,024
Diversified Banking Institutions — 0.8%
Barclays PLC FRS 8.00% due 12/15/2020(16)	EUR	785,000		881,829
BNP Paribas SA FRS 7.63% due 03/30/2021*(16)		470,000		483,763
Credit Agricole SA FRS 6.50% due 06/23/2021(16)	EUR	410,000		457,580
Credit Agricole SA FRS 7.50% due 06/23/2026(16)	GBP	100,000		127,995
Credit Agricole SA FRS 8.13% due 12/23/2025*(16)		825,000		874,500
Credit Suisse Group AG FRS 6.25% due 12/18/2024*(16)		1,735,000		1,641,744
HSBC Holdings PLC FRS 5.25% due 09/16/2022(16)	EUR	200,000		219,750
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(16)		192,000		203,100
Royal Bank of Scotland Group PLC FRS 7.50% due 08/10/2020(16)		520,000		477,100
Royal Bank of Scotland Group PLC FRS 8.63% due 08/15/2021(16)		415,000		406,181
Societe Generale SA FRS 7.38% due 09/13/2021*(16)		1,086,000		1,064,280
Societe Generale SA FRS 8.25% due 11/29/2018(16)		740,000		750,145
UBS Group AG FRS 5.75% due 02/19/2022(16)	EUR	200,000		231,205
UBS Group AG FRS 6.88% due 03/22/2021(16)		450,000		443,722
UBS Group AG FRS 7.00% due 02/19/2025(16)		200,000		211,000

285

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Diversified Banking Institutions (continued)
UBS Group AG FRS 7.13% due 02/19/2020(16)	$	600,000	$	607,620
UniCredit SpA FRS 8.00% due 06/03/2024(16)		210,000		176,482
				9,257,996
Electric-Integrated — 0.0%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		123,000		127,280
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056 †(7)(10)		58,000		6
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		142,000		144,175
Financial Guarantee Insurance — 0.0%
Assured Guaranty Municipal Holdings, Inc. FRS 6.40% due 12/15/2066*		175,000		139,125
Food-Dairy Products — 0.0%
Land O'Lakes Capital Trust I 7.45% due 03/15/2028*		230,000		254,150
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. FRS 5.38% due 05/15/2045		65,000		67,762
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		167,000		180,160
				247,922
Insurance-Multi-line — 0.1%
MetLife Capital Trust IV 7.88% due 12/15/2067*		150,000		188,190
MetLife, Inc. 6.40% due 12/15/2066		189,000		209,199
				397,389
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		250,000		377,500
Sompo Japan Insurance, Inc. FRS 5.33% due 03/28/2073*		450,000		503,437
				880,937
Pipelines — 0.0%
Transcanada Trust FRS 5.63% due 05/20/2075		83,000		84,038
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053		284,000		303,525
Total Preferred Securities/Capital Securities (cost $18,589,519)				17,845,096

Security Description	Principal Amount(18)			Value (Note 2)
OPTIONS — PURCHASED†(10)(21) — 0.0%
Put Options — Purchased	$	7,199,000		$	13,574
Put Options — Purchased	CNH	19,911,000			39,028
Total Options — Purchased (cost $113,386)					52,602
Total Long-Term Investment Securities (cost $1,233,113,079)					1,276,837,045
REPURCHASE AGREEMENTS — 3.2%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $1,550,001 and collateralized by $1,455,000 of United States Treasury Notes, bearing interest at 3.38% due 11/15/2019 and having an approximate value of $1,584,814		1,550,000			1,550,000
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $10,559,009 and collateralized by $10,285,000 of United States Treasury Notes, bearing interest at 2.13% due 09/30/2021 and having an approximate value of $10,773,538		10,559,000			10,559,000
Bank of America Securities LLC Joint Repurchase Agreement(22)		5,520,000			5,520,000
Barclays Capital, Inc. Joint Repurchase Agreement(22)		2,760,000			2,760,000
BNP Paribas SA Joint Repurchase Agreement(22)		5,520,000			5,520,000
Deutsche Bank AG Joint Repurchase Agreement(22)		10,370,000			10,370,000
RBS Securities, Inc. Joint Repurchase Agreement(22)		1,380,000			1,380,000
Total Repurchase Agreements (cost $37,659,000)					37,659,000
TOTAL INVESTMENTS (cost $1,270,772,079)(23)		110.4	%		1,314,496,045
Liabilities in excess of other assets		(10.4	)		(123,879,675	)
NET ASSETS		100.0	%	$	1,190,616,370

*  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, 2016, the aggregate value of these securities was $147,593,562 representing 12.4% 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

286

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

(3)  Commercial Mortgage Backed Security

(4)  Interest Only

(5)  "Step-down" security where the rate decreases ("steps-down") at a predetermined rate. Rate shown reflects the decreased rate.

(6)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2016.

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

(8)  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. 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.

(9)  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.

(10)  Illiquid security. At September 30, 2016, the aggregate value of these securities was $7,887,861 representing 0.7% of net assets.

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

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

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

(14)  Security in default of principal and interest.

(15)  Security in default of interest.

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

(17)  Company has filed for bankruptcy protection.

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

(19)  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).

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

(21)  Purchased Options:

Over the Counter Put Options — Purchased

Issue	Expiration Month	Strike Price			Notional Amount		Premiums Paid		Value at September 30, 2016		Unrealized Appreciation (Depreciation)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016	$	47.79			1,800,000	$	13,248	$	2,705	$	(10,543	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.81			3,600,000		32,076		5,702		(26,374	)
Put option to sell Philippine Peso in exchange for U.S. Dollars with Goldman Sachs International	October 2016		47.91			1,799,000		15,021		5,167		(9,854	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.93	CNH		6,637,000		18,342		11,006		(7,336	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		14.95	CNH		6,637,000		17,956		11,488		(6,468	)
Put option to sell Japanese Yen in exchange for Chinese Yuan with Goldman Sachs International	November 2016		15.14	CNH		6,637,000		16,743		16,534		(209	)
							$	113,386	$	52,602	$	(60,784	)

287

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

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

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

(24)  Subsequent to September 30, 2016 security in default.

BRL — Brazilian Real

BTL — Bank Term Loan

CLO — Collateralized Loan Obligation

CNH — Yuan Renminbi Offshore

COP — Colombian Peso

EUR — Euro Currency

GBP — Pound Sterling

IDR — Indonesian Rupiah

RON — Romanian Leu

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

ULC — Unlimited Company

UYU — Uruguayan Peso

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2016 and unless noted otherwise, the dates shown are the original maturity date.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	93	Long	90 Day Eurodollar	December 2017	$	22,994,669	$	23,002,387	$	7,718
	93	Short	90 Day Eurodollar	September 2018		22,972,582		22,982,625		(10,043	)
	93	Short	U.S. Treasury 2 Year Notes	December 2016		20,326,313		20,317,594		8,719
	484	Long	U.S. Treasury 5 Year Notes	December 2016		58,802,219		58,813,563		11,344
	61	Long	U.S. Treasury Long Bonds	December 2016		10,418,177		10,257,531		(160,646	)
	504	Short	U.S. Treasury 10 Year Notes	December 2016		66,153,938		66,087,000		66,938
	103	Short	U.S. Treasury 10 Year Ultra Bonds	December 2016		14,878,345		14,848,094		30,251
	71	Short	U.S. Treasury Ultra Bonds	December 2016		13,140,321		13,055,125		85,196
									$	39,477

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	EUR	575,000	USD	646,759	12/21/2016	$	—	$	(1,501	)
	EUR	1,110,000	USD	1,198,332	03/15/2017		—		(58,010	)
	TRY	1,770,000	USD	575,854	12/21/2016		—		(4,811	)
	USD	423,881	EUR	370,000	03/15/2017		—		(5,100	)
							—		(69,422	)
BNP Paribas SA	RON	1,810,000	USD	461,440	08/28/2017		950		—
Citibank N.A.	IDR	9,843,500,000	USD	759,529	10/21/2016		4,751		—
	RON	10,005,000	USD	2,497,847	06/26/2017		—		(45,207	)
	USD	752,561	IDR	9,843,500,000	10/21/2016		2,217		—
	USD	599,400	EUR	540,000	03/15/2017		11,793		—
							18,761		(45,207	)
Credit Suisse AG	USD	752,031	RUB	48,145,000	10/21/2016		11,817		—
Goldman Sachs International	BRL	4,205,000	USD	1,262,763	12/02/2016		—		(8,727	)
	USD	740,522	COP	2,170,100,000	10/21/2016		9,650		—
	USD	1,511,530	ZAR	20,560,000	10/21/2016		—		(18,085	)
	USD	895,422	ZAR	12,760,000	12/21/2016		20,494		—
	ZAR	12,760,000	USD	882,546	12/21/2016		—		(33,370	)
							30,144		(60,182	)
HSBC Bank USA	IDR	7,387,000,000	USD	550,570	12/21/2016		—		(11,529	)

288

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
JPMorgan Chase Bank	IDR	21,936,000,000	USD	1,648,944	12/21/2016	$	—	$	(20,234	)
	RON	3,000,000	USD	765,697	08/28/2017		2,453		—
	RUB	96,290,000	USD	1,518,890	10/21/2016		—		(8,806	)
	USD	751,092	RUB	48,145,000	10/21/2016		12,756		—
							15,209		(29,040	)
Morgan Stanley and Co., Inc.	BRL	11,091,000	USD	3,340,965	12/02/2016		—		(12,685	)
Standard Chartered Bank	COP	4,340,200,000	USD	1,498,043	10/21/2016		—		(2,302	)
	THB	54,316,000	USD	1,554,773	12/21/2016		—		(11,153	)
							—		(13,455	)
State Street Bank and Trust Co.	COP	2,663,800,000	USD	893,162	12/21/2016		—		(18,522	)
	USD	749,991	COP	2,170,100,000	10/21/2016		181		—
							181		(18,522	)
UBS AG	EUR	3,972,000	USD	4,463,217	10/31/2016		—		(4,326	)
	GBP	1,068,000	USD	1,383,722	10/31/2016		—		(1,334	)
	USD	229,324	EUR	200,000	03/15/2017		—		(2,956	)
							—		(8,616	)
Net Unrealized Appreciation(Depreciation)						$	77,062	$	(268,658	)

BRL — Brazilian Real
COP — Colombian Peso
EUR — Euro Currency
GBP — Pound Sterling
IDR — Indonesian Rupiah
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand

Centrally Cleared Credit Default Swaps on Credit Indicies — Buy Protection(1)

										Value(4)
Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Implied Credit Spread at September 30, 2016(2)			Notional Amount (000's)(3)		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Markit CDX North America High Yield Index		(5.00	)%	06/20/2021		3.77	%	$	4,816	$	(179,448	)	$	(65,032	)
Markit CDX North America Investment Grade Index		(1.00	)	06/20/2021		0.69			3,581		(44,885	)		(5,909	)
										$	(224,333	)	$	(70,941	)

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

										Value(4)
Reference Obligation	Fixed Deal (Pay) Rate			Termination Date	Implied Credit Spread at September30, 2016(2)			Notional Amount (000's)(3)		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
Markit CDX Emerging Market Index		(1.00	)%	12/20/2021		2.35	%	$	18,240	$	1,129,103	$	38,307

289

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

Over the Counter Interest Rate Swap Contracts

			Rates Exchanged				Value
Notional Amount (000's)		Termination Date	Payments Received by the Portfolio			Payments Made by the Portfolio	Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
INR	80,250	09/12/2021		6.26	%	6 Month INR- MIBOR-OIS- COMPOUND	$	—	$	2,275

INR — Indian Rupee

OIS — Overnight Index Swap

MIBOR — Mumbai Interbank Offered Rate

USD — United States Dollar

(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.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	—	$	136,571,429	$	826,921	$	137,398,350
U.S. Corporate Bonds & Notes:
Airlines		—		325,286		14,646		339,932
Finance-Investment Banker/Broker		—		359,056		23		359,079
Gambling (Non-Hotel)		—		250,838		16		250,854
Other Industries		—		318,438,909		—		318,438,909
Foreign Corporate Bonds & Notes		—		62,286,016		—		62,286,016
U.S. Government Agencies		—		245,367,682		—		245,367,682
U.S. Government Treasuries		—		445,938,408		—		445,938,408
Municipal Bond & Notes		—		5,588,218		—		5,588,218
Loans:
Oil & Gas Drilling		—		106,494		23,042		129,536
Other Industries		—		24,874,654		—		24,874,654
Foreign Government Obligations		—		17,366,211		—		17,366,211
Common Stocks:
Insurance-Reinsurance		4,654		—		—		4,654
Television		—		—		26,620		26,620
Preferred Securities		570,224		—		—		570,224
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		6		6
Other Industries		—		17,845,090		—		17,845,090
Options—Purchased		—		52,602		—		52,602
Repurchase Agreements		—		37,659,000		—		37,659,000
Total Investments at Value	$	574,878	$	1,313,029,893	$	891,274	$	1,314,496,045

290

Seasons Series Trust Diversified Fixed Income Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:†
Futures Contracts	$	210,166	$	—	$	—	$	210,166
Forward Foreign Currency Contracts		—		77,062		—		77,062
Over the Counter Credit Default Swaps on Credit Indicies— Buy Protection		—		38,307		—		38,307
Over the Counter Interest Rate Swap Contracts		—		2,275		—		2,275
Total Other Financial Instruments	$	210,166	$	117,644	$	—	$	327,810
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	170,689	$	—	$	—	$	170,689
Forward Foreign Currency Contracts		—		268,658		—		268,658
Centrally Cleared Credit Default Swaps on Credit Indicies— Buy Protection		—		70,941		—		70,941
Total Other Financial Instruments	$	170,689	$	339,599	$	—	$	510,288

*  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 Note to Financial Statements

291

Seasons Series Trust Real Return Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
United States Treasury Notes	43.8	%
Sovereign	41.1
United States Treasury Bonds	9.0
Repurchase Agreements	3.7
Television	0.1
	97.7	%
Credit Quality†#
Aaa	68.4	%
Aa	25.8
Baa	5.8
	100.0	%

*  Calculated as a percentage of net assets

†  Source: Moody's

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

292

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Principal Amount(7)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS(1) — 41.1%
Sovereign — 41.1%
Bundesrepublik Deutschland Bonds 0.10% due 04/15/2023	EUR	11,738,851	$	14,451,910
Government of Australia Senior Bonds 1.00% due 11/21/2018	AUD	6,001,518		4,636,814
Government of Australia Senior Notes 3.00% due 09/20/2025	AUD	3,348,915		3,162,239
Government of Australia Senior Bonds 4.00% due 08/20/2020	AUD	18,412,800		16,085,891
Government of Canada Bonds 4.25% due 12/01/2021	CAD	13,809,685		13,070,439
Government of France Bonds 0.25% due 07/25/2024	EUR	14,311,047		17,875,244
Government of France Bonds 1.10% due 07/25/2022	EUR	15,765,362		20,255,469
Government of France Bonds 1.30% due 07/25/2019	EUR	11,147,140		13,454,530
Government of France Bonds 2.10% due 07/25/2023	EUR	6,581,343		9,120,187
Government of New Zealand Senior Bonds 2.00% due 09/20/2025	NZD	16,751,284		12,787,581
Government of Spain Senior Notes 0.55% due 11/30/2019*	EUR	7,986,677		9,337,879
Government of Spain Senior Notes 1.80% due 11/30/2024*	EUR	3,988,837		5,189,371
Italy Buoni Poliennali Del Tesoro Bonds 2.10% due 09/15/2021	EUR	719,650		908,728
Italy Buoni Poliennali Del Tesoro Senior Bonds 2.35% due 09/15/2024*	EUR	13,023,431		17,147,662
Italy Buoni Poliennali Del Tesoro Senior Notes 2.60% due 09/15/2023	EUR	1,323,981		1,770,474
United Kingdom Gilt Treasury Bonds 1.50% due 01/22/2021	GBP	8,434,000		11,521,600
United Kingdom Gilt Treasury Bonds 1.50% due 07/22/2026	GBP	4,416,000		6,122,859
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022	GBP	11,622,534		19,163,602

Security Description	Principal Amount(7)		Value (Note 2)
Sovereign (continued)
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020	GBP	18,696,383	$	28,580,916
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024	GBP	9,668,949		17,260,464
Total Foreign Government Obligations (cost $255,446,415)				241,903,859
U.S. GOVERNMENT TREASURIES(1) — 52.8%
United States Treasury Bonds — 9.0%
2.38% due 01/15/2025 TIPS		14,197,238		16,918,067
2.38% due 01/15/2027 TIPS		3,546,696		4,349,582
2.50% due 01/15/2029 TIPS		24,864,026		31,563,911
				52,831,560
United States Treasury Notes — 43.8%
0.13% due 04/15/2019 TIPS		6,460,207		6,570,186
0.13% due 01/15/2022 TIPS		10,664,799		10,884,856
0.13% due 07/15/2022 TIPS		23,060,068		23,610,051
0.13% due 01/15/2023 TIPS		46,139,063		46,866,768
0.13% due 07/15/2024 TIPS		31,507,918		31,967,902
0.38% due 07/15/2023 TIPS		23,495,434		24,348,365
0.63% due 07/15/2021 TIPS		30,588,694		32,119,811
0.63% due 01/15/2024 TIPS		29,549,897		31,001,328
1.13% due 01/15/2021 TIPS		12,750,739		13,570,025
1.63% due 01/15/2018 TIPS		35,695,092		36,793,108
				257,732,400
Total U.S. Government Treasuries (cost $304,425,958)				310,563,960
COMMON STOCKS — 0.0%
Printing-Commercial — 0.0%
Quad/Graphics, Inc. (cost $0)		22		588
WARRANTS† — 0.1%
Television — 0.1%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		117		141,565
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)(2)(3)(4)		116		140,356
Total Warrants (cost $0)				281,921
Total Long-Term Investment Securities (cost $559,872,373)				552,750,328

293

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Security Description	Principal Amount(7)			Value (Note 2)
REPURCHASE AGREEMENTS — 3.7%
Bank of America Securities LLC Joint Repurchase Agreement (5)	$	4,660,000		$	4,660,000
Barclays Capital, Inc. Joint Repurchase Agreement (5)		2,330,000			2,330,000
BNP Paribas SA Joint Repurchase Agreement (5)		4,660,000			4,660,000
Deutsche Bank AG Joint Repurchase Agreement (5)		8,755,000			8,755,000
RBS Securities, Inc. Joint Repurchase Agreement (5)		1,165,000			1,165,000
Total Repurchase Agreements (cost $21,570,000)					21,570,000
TOTAL INVESTMENTS (cost $581,442,373)(6)		97.7	%		574,320,328
Other assets less liabilities		2.3			13,718,898
NET ASSETS		100.0	%	$	588,039,226

*  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, 2016, the aggregate value of these securities was $31,674,912 representing 5.4% 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, 2016, the aggregate value of these securities was $281,921 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, 2016, 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	$	141,565	$	1,209.96		0.03	%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)	11/11/2010		116		0		140,356		1,209.96		0.02
						$	281,921				0.05	%

(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 dollars unless otherwise indicated.

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Currency

GBP — Pound Sterling

NZD — New Zealand Dollar

TIPS — Treasury Inflation Protected Securities

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Value at Trade Date		Value as of September 30, 2016		Unrealized Appreciation (Depreciation)
	135	Short	U.S. Treasury 2 Year Notes	December 2016	$	29,505,700	$	29,493,282	$	12,418
	98	Short	U.S. Treasury 10 Year Notes	December 2016		12,863,066		12,850,250		12,816
									$	25,234

294

Seasons Series Trust Real Return Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	CAD	17,366,000	USD	13,220,863	10/31/2016	$	—	$	(18,761	)
Commonwealth Bank of Australia Sydney	AUD	15,677,000	USD	11,975,817	10/31/2016		—		(15,807	)
National Australia Bank, Ltd.	NZD	17,424,000	USD	12,634,926	10/31/2016		—		(38,248	)
Royal Bank of Canada	EUR	330,000	USD	371,557	10/31/2016		386		—
UBS AG	EUR	97,298,000	USD	109,330,844	10/31/2016		—		(105,975	)
	GBP	64,421,000	USD	83,465,136	10/31/2016		—		(80,485	)
							—		(186,460	)
Westpac Banking Corp.	AUD	15,678,000	USD	11,972,066	10/31/2016		—		(20,323	)
Net Unrealized Appreciation(Depreciation)						$	386	$	(279,599	)

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Currency

GBP — Pound Sterling

NZD — New Zealand Dollar

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	—	$	241,903,859	$	—	$	241,903,859
U.S. Government Treasuries		—		310,563,960		—		310,563,960
Common Stocks		588		—		—		588
Warrants		—		—		281,921		281,921
Repurchase Agreements		—		21,570,000		—		21,570,000
Total Investments at Value	$	588	$	574,037,819	$	281,921	$	574,320,328
Other Financial Instruments:†
Futures Contracts	$	25,234	$	—	$	—	$	25,234
Forward Foreign Currency Contracts		—		386		—		386
Total Other Financial Instruments		25,234		386		—		25,620
LIABILITIES:
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	279,599	$	—	$	279,599

*  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

295

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	20.1	%
E-Commerce/Products	9.1
E-Commerce/Services	6.8
Applications Software	6.5
Medical-Drugs	6.2
Athletic Footwear	3.9
Internet Content-Entertainment	3.8
Entertainment Software	3.8
Auto/Truck Parts & Equipment-Original	3.5
Finance-Credit Card	3.4
Networking Products	3.4
Beverages-Non-alcoholic	3.3
Internet Application Software	3.3
Retail-Restaurants	3.1
Electronic Forms	3.1
Coatings/Paint	2.9
Finance-Other Services	2.6
Medical Instruments	2.5
Finance-Investment Banker/Broker	2.5
Drug Delivery Systems	2.2
Lighting Products & Systems	2.0
Retail-Drug Store	1.9
Repurchase Agreements	0.3
	100.2	%

*  Calculated as a percentage of net assets

296

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 99.9%
Applications Software — 6.5%
salesforce.com, Inc.†		58,176	$	4,149,694
ServiceNow, Inc.†		76,848		6,082,519
				10,232,213
Athletic Footwear — 3.9%
NIKE, Inc., Class B		116,436		6,130,355
Auto/Truck Parts & Equipment-Original — 3.5%
Mobileye NV†		128,804		5,483,186
Beverages-Non-alcoholic — 3.3%
Monster Beverage Corp.†		35,816		5,258,147
Coatings/Paint — 2.9%
Sherwin-Williams Co.		16,632		4,601,409
Drug Delivery Systems — 2.2%
DexCom, Inc.†		40,492		3,549,529
E-Commerce/Products — 9.1%
Alibaba Group Holding, Ltd. ADR†		65,654		6,945,537
Amazon.com, Inc.†		8,845		7,406,007
				14,351,544
E-Commerce/Services — 6.8%
MercadoLibre, Inc.		22,413		4,145,732
Priceline Group, Inc.†		4,451		6,549,602
				10,695,334
Electronic Forms — 3.1%
Adobe Systems, Inc.†		44,541		4,834,480
Entertainment Software — 3.8%
Activision Blizzard, Inc.		133,552		5,916,354
Finance-Credit Card — 3.4%
Visa, Inc., Class A		65,654		5,429,586
Finance-Investment Banker/Broker — 2.5%
Charles Schwab Corp.		123,059		3,884,973
Finance-Other Services — 2.6%
Intercontinental Exchange, Inc.		14,997		4,039,592
Internet Application Software — 3.3%
Splunk, Inc.†		89,092		5,227,918
Internet Content-Entertainment — 3.8%
Facebook, Inc., Class A†		46,403		5,952,113
Lighting Products & Systems — 2.0%
Acuity Brands, Inc.		12,031		3,183,403
Medical Instruments — 2.5%
Edwards Lifesciences Corp.†		32,946		3,971,970
Medical-Biomedical/Gene — 20.1%
Alexion Pharmaceuticals, Inc.†		37,538		4,599,906
Biogen, Inc.†		14,761		4,620,636
Celgene Corp.†		49,976		5,223,991
Illumina, Inc.†		34,188		6,210,592
Intercept Pharmaceuticals, Inc.†		32,784		5,395,919
Vertex Pharmaceuticals, Inc.†		64,456		5,621,208
				31,672,252
Medical-Drugs — 6.2%
Bristol-Myers Squibb Co.		119,363		6,436,053
Shire PLC ADR		17,070		3,309,190
				9,745,243

Security Description	Shares/ Principal Amount			Value (Note 2)
Networking Products — 3.4%
Palo Alto Networks, Inc.†		33,564		$	5,347,752
Retail-Drug Store — 1.9%
CVS Health Corp.		34,112			3,035,627
Retail-Restaurants — 3.1%
Starbucks Corp.		89,470			4,843,906
Total Long-Term Investment Securities (cost $148,444,778)					157,386,886
REPURCHASE AGREEMENTS — 0.3%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01% dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $502,000 and collateralized by $490,000 of United States Treasury Notes, bearing interest at 2.13% due 09/30/2021 and having an approximate value of $513,275 (cost $502,000)	$	502,000			502,000
TOTAL INVESTMENTS (cost $148,946,778)(1)		100.2	%		157,888,886
Liabilities in excess of other assets		(0.2	)		(340,307	)
NET ASSETS		100.0	%	$	157,548,579

†  Non-income producing security

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

ADR — American Depositary Receipt

297

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	157,386,886	$	—	$	—	$	157,386,886
Repurchase Agreements		—		502,000		—		502,000
Total Investments at Value	$	157,386,886	$	502,000	$	—	$	157,888,886

*  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

298

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Diversified Banking Institutions	11.4	%
Electric-Integrated	7.6
Tobacco	5.1
Insurance-Life/Health	5.0
Electronic Components-Misc.	4.1
Telephone-Integrated	4.0
Oil Companies-Exploration & Production	3.8
Food-Meat Products	3.6
Semiconductor Equipment	3.5
Repurchase Agreements	3.3
Instruments-Controls	3.1
Semiconductor Components-Integrated Circuits	3.1
Transport-Rail	3.0
Oil Refining & Marketing	3.0
Insurance-Multi-line	3.0
Banks-Super Regional	2.9
Medical-HMO	2.9
Retail-Building Products	2.7
Computer Services	2.5
Oil-Field Services	2.5
Retail-Discount	2.5
Chemicals-Diversified	2.4
Pharmacy Services	2.4
Medical-Drugs	2.3
Medical Products	2.2
Telecommunication Equipment	1.9
Aerospace/Defense-Equipment	1.9
Oil Companies-Integrated	1.8
Pipelines	1.1
	98.6	%

*  Calculated as a percentage of net assets

299

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 95.3%
Aerospace/Defense-Equipment — 1.9%
United Technologies Corp.		70,000	$	7,112,000
Banks-Super Regional — 2.9%
Wells Fargo & Co.		240,500		10,649,340
Chemicals-Diversified — 2.4%
FMC Corp.		185,000		8,942,900
Computer Services — 2.5%
Teradata Corp.†		300,000		9,300,000
Diversified Banking Institutions — 11.4%
Bank of America Corp.		800,000		12,520,000
Citigroup, Inc.		185,000		8,737,550
JPMorgan Chase & Co.		125,000		8,323,750
Morgan Stanley		400,000		12,824,000
				42,405,300
Electric-Integrated — 7.6%
AES Corp.		950,000		12,207,500
NextEra Energy, Inc.		130,000		15,901,600
				28,109,100
Electronic Components-Misc. — 4.1%
Corning, Inc.		650,000		15,372,500
Food-Meat Products — 3.6%
Tyson Foods, Inc., Class A		181,500		13,552,605
Instruments-Controls — 3.1%
Honeywell International, Inc.		100,000		11,659,000
Insurance-Life/Health — 5.0%
Prudential Financial, Inc.		100,000		8,165,000
Unum Group		300,000		10,593,000
				18,758,000
Insurance-Multi-line — 3.0%
MetLife, Inc.		250,000		11,107,500
Medical Products — 2.2%
Baxter International, Inc.		175,000		8,330,000
Medical-Drugs — 2.3%
Bristol-Myers Squibb Co.		159,700		8,611,024
Medical-HMO — 2.9%
Humana, Inc.		60,000		10,613,400
Oil Companies-Exploration & Production — 3.8%
Anadarko Petroleum Corp.		160,627		10,177,327
Marathon Oil Corp.		250,000		3,952,500
				14,129,827
Oil Companies-Integrated — 1.8%
Chevron Corp.		63,704		6,556,415
Oil Refining & Marketing — 3.0%
Marathon Petroleum Corp.		125,000		5,073,750
Valero Energy Corp.		115,000		6,095,000
				11,168,750
Oil-Field Services — 2.5%
Halliburton Co.		205,000		9,200,400
Pharmacy Services — 2.4%
Express Scripts Holding Co.†		125,000		8,816,250

Security Description	Shares/ Principal Amount			Value (Note 2)
Pipelines — 1.1%
Williams Cos., Inc.		130,000		$	3,994,900
Retail-Building Products — 2.7%
Lowe's Cos., Inc.		140,000			10,109,400
Retail-Discount — 2.5%
Costco Wholesale Corp.		60,000			9,150,600
Semiconductor Components-Integrated Circuits — 3.1%
QUALCOMM, Inc.		169,490			11,610,065
Semiconductor Equipment — 3.5%
Applied Materials, Inc.		427,000			12,874,050
Telecommunication Equipment — 1.9%
Juniper Networks, Inc.		300,000			7,218,000
Telephone-Integrated — 4.0%
Verizon Communications, Inc.		290,000			15,074,200
Tobacco — 5.1%
Altria Group, Inc.		134,000			8,472,820
Philip Morris International, Inc.		110,000			10,694,200
					19,167,020
Transport-Rail — 3.0%
CSX Corp.		181,100			5,523,550
Union Pacific Corp.		59,800			5,832,294
					11,355,844
Total Long-Term Investment Securities (cost $336,873,925)					354,948,390
REPURCHASE AGREEMENTS — 3.3%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01% dated 09/30/2016, to be repurchased 10/03/2016 in the amount of $12,196,010 and collateralized by $11,880,000 of United States Treasury Notes, bearing interest at 2.13% due 09/30/2021 and having an approximate value of $12,444,300 (cost $12,196,000)	$	12,196,000			12,196,000
TOTAL INVESTMENTS (cost $349,069,925)(1)		98.6	%		367,144,390
Other assets less liabilities		1.4			5,063,120
NET ASSETS		100.0	%	$	372,207,510

†  Non-income producing security

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

300

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2016 (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	$	354,948,390	$	—	$	—	$	354,948,390
Repurchase Agreements		—		12,196,000		—		12,196,000
Total Investments at Value	$	354,948,390	$	12,196,000	$	—	$	367,144,390

*  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

301

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	54.9	%
Domestic Fixed Income Investment Companies	24.5
International Equity Investment Companies	20.6
	100.0	%

*  Calculated as a percentage of net assets

302

Seasons Series Trust Allocation Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 54.9%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		1,183,050	$	15,447,111
Seasons Series Trust Large Cap Value Portfolio, Class 1		1,092,476		17,952,169
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		156,200		2,627,921
Seasons Series Trust Mid Cap Value Portfolio, Class 1		168,915		2,878,378
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 1		156,592		1,519,755
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1		92,253		1,701,499
Seasons Series Trust Small Cap Portfolio, Class 1		279,652		3,671,857
SunAmerica Series Trust Real Estate Portfolio, Class 1		175,202		2,722,865
Total Domestic Equity Investment Companies (cost $45,208,507)				48,521,555
Domestic Fixed Income Investment Companies — 24.5%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		1,143,559		13,831,464
Seasons Series Trust Real Return Portfolio, Class 1		106,271		1,039,631
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		1,037,070		5,825,080
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		88,522		932,973
Total Domestic Fixed Income Investment Companies (cost $21,306,847)				21,629,148

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 20.6%
Seasons Series Trust International Equity Portfolio, Class 1 (cost $17,609,797)		2,228,395		$	18,187,544
TOTAL INVESTMENTS (cost $84,125,151)(2)		100.0	%		88,338,247
Liabilities in excess of other assets		(0.0	)		(42,360	)
NET ASSETS		100.0	%	$	88,295,887

#  The Seasons Series Trust Allocation Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  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, 2016 (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 Investment Companies	$	88,338,247	$	—	$	—	$	88,338,247

*  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

303

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	45.3	%
Domestic Fixed Income Investment Companies	38.6
International Equity Investment Companies	16.1
	100.0	%

*  Calculated as a percentage of net assets

304

Seasons Series Trust Allocation Moderate Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 45.3%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		6,073,476	$	79,301,534
Seasons Series Trust Large Cap Value Portfolio, Class 1		5,496,154		90,315,853
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		606,527		10,204,276
Seasons Series Trust Mid Cap Value Portfolio, Class 1		709,281		12,086,432
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 1		707,651		6,867,881
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1		486,088		8,965,330
Seasons Series Trust Small Cap Portfolio, Class 1		1,174,142		15,416,589
SunAmerica Series Trust Real Estate Portfolio, Class 1		797,053		12,387,255
Total Domestic Equity Investment Companies (cost $210,929,457)				235,545,150
Domestic Fixed Income Investment Companies — 38.6%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		11,567,601		139,911,320
Seasons Series Trust Real Return Portfolio, Class 1		1,302,935		12,746,419
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		6,882,372		38,657,335
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		932,663		9,829,699
Total Domestic Fixed Income Investment Companies (cost $199,019,994)				201,144,773

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 16.1%
Seasons Series Trust International Equity Portfolio, Class 1 (cost $78,822,101)		10,256,309		$	83,709,141
TOTAL INVESTMENTS (cost $488,771,552)(2)		100.0	%		520,399,064
Liabilities in excess of other assets		(0.0	)		(183,726	)
NET ASSETS		100.0	%	$	520,215,338

#  The Seasons Series Trust Allocation Moderate Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  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, 2016 (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	$	520,399,064	$	—	$	—	$	520,399,064

*  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

305

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	48.3	%
Domestic Equity Investment Companies	39.1
International Equity Investment Companies	12.6
	100.0	%

*  Calculated as a percentage of net assets

306

Seasons Series Trust Allocation Moderate Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 39.1%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		3,406,444	$	44,478,031
Seasons Series Trust Large Cap Value Portfolio, Class 1		3,175,473		52,181,129
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		281,388		4,734,099
Seasons Series Trust Mid Cap Value Portfolio, Class 1		292,117		4,977,784
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 1		383,908		3,725,901
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1		262,900		4,848,879
Seasons Series Trust Small Cap Portfolio, Class 1		641,928		8,428,571
SunAmerica Series Trust Real Estate Portfolio, Class 1		318,918		4,956,415
Total Domestic Equity Investment Companies (cost $114,640,376)				128,330,809
Domestic Fixed Income Investment Companies — 48.3%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		9,307,543		112,575,687
Seasons Series Trust Real Return Portfolio, Class 1		1,093,939		10,701,839
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		4,541,543		25,509,220
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		933,833		9,842,028
Total Domestic Fixed Income Investment Companies (cost $156,175,953)				158,628,774

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 12.6%
Seasons Series Trust International Equity Portfolio, Class 1 (cost $39,660,910)		5,050,464		$	41,220,485
TOTAL INVESTMENTS (cost $310,477,239)(2)		100.0	%		328,180,068
Liabilities in excess of other assets		(0.0	)		(118,656	)
NET ASSETS		100.0	%	$	328,061,412

#  The Seasons Series Trust Allocation Moderate Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  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, 2016 (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 Investment Companies	$	328,180,068	$	—	$	—	$	328,180,068

*  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

307

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO PROFILE — September 30, 2016 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	62.9	%
Domestic Equity Investment Companies	28.3
International Equity Investment Companies	8.8
	100.0	%

*  Calculated as a percentage of net assets

308

Seasons Series Trust Allocation Balanced Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2016 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 28.3%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		1,949,814	$	25,458,781
Seasons Series Trust Large Cap Value Portfolio, Class 1		1,887,370		31,014,309
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		80,509		1,354,485
Seasons Series Trust Mid Cap Value Portfolio, Class 1		89,686		1,528,282
Seasons Series Trust SA Columbia Focused Growth Portfolio, Class 1		229,698		2,229,261
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1		177,121		3,266,790
Seasons Series Trust Small Cap Portfolio, Class 1		293,851		3,858,292
SunAmerica Series Trust Real Estate Portfolio, Class 1		168,047		2,611,669
Total Domestic Equity Investment Companies (cost $62,941,099)				71,321,869
Domestic Fixed Income Investment Companies — 62.9%
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		9,690,805		117,211,280
Seasons Series Trust Real Return Portfolio, Class 1		1,174,763		11,492,530
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		3,597,401		20,206,104
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		929,988		9,801,506
Total Domestic Fixed Income Investment Companies (cost $155,823,019)				158,711,420

Security Description	Shares			Value (Note 2)
International Equity Investment Companies — 8.8%
Seasons Series Trust International Equity Portfolio, Class 1 (cost $21,115,817)		2,735,322		$	22,324,935
TOTAL INVESTMENTS (cost $239,879,935)(2)		100.0	%		252,358,224
Liabilities in excess of other assets		(0.0	)		(97,788	)
NET ASSETS		100.0	%	$	252,260,436

#  The Seasons Series Trust Allocation Balanced Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.

†  Non-income producing security

(1)  See Note 8

(2)  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, 2016 (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	$	252,358,224	$	—	$	—	$	252,358,224

*  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

309

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

September 30, 2016 (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)*	$	58,247,450	$	105,479,263	$	80,823,930	$	65,867,874	$	112,663,303
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		964,000		1,448,000		2,830,000		3,340,000		13,663,000
Total investments		59,211,450		106,927,263		83,653,930		69,207,874		126,326,303
Cash		79,624		7,447		3,510		—		—
Foreign cash*		9		25		15		15		90,027
Due from broker		—		4,336		—		—		1,465
Receivable for:
Fund shares sold		12,428		10,163		13,226		10,752		21,326
Dividends and interest		110,604		271,581		292,681		283,394		398,910
Investments sold		854,016		1,592,197		1,897,071		1,728,692		3,393,416
Prepaid expenses and other assets		4,070		4,181		4,043		4,007		5,088
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		20,989
Variation margin on futures contracts		7,447		27,001		30,713		29,963		143,517
Unrealized appreciation on forward foreign currency contracts		1,521		4,216		5,969		6,119		48,332
Swap premiums paid		236		589		751		747		—
Unrealized appreciation on swap contracts		59		160		192		193		95,778
Total assets		60,281,464		108,849,159		85,902,101		71,271,756		130,545,151
LIABILITIES:
Payable for:
Fund shares redeemed		46,068		64,311		18,345		16,019		68,006
Investments purchased		5,016,857		14,551,921		17,680,878		15,577,565		5,423,156
Payments on swap contracts		—		—		—		—		197,242
Investment advisory and management fees		40,309		65,652		45,085		34,938		87,003
Service fees — Class 2		2,382		5,383		4,527		3,708		7,267
Service fees — Class 3		5,354		8,281		4,432		3,768		10,072
Transfer agent fees and expenses		195		195		195		211		827
Trustees' fees and expenses		382		633		471		389		844
Other accrued expenses		49,387		53,443		48,441		47,519		67,737
Interest on securities sold short		—		—		—		—		2,500
Accrued foreign tax on capital gains		—		—		—		—		792
Line of credit		—		—		153,687		—		—
Variation margin on future contracts		9,080		31,097		35,413		36,319		85,446
Due to custodian		—		—		—		63,327		133,613
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		170		—		534		516		—
Securities sold short, at value#		—		—		—		—		41,168
Unrealized depreciation on forward foreign currency contracts		9,984		30,747		40,514		36,361		46,065
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		2,466
Commitments (Note 13)		—		—		—		—		—
Total liabilities		5,180,168		14,811,663		18,032,522		15,820,640		6,174,204
NET ASSETS	$	55,101,296	$	94,037,496	$	67,869,579	$	55,451,116	$	124,370,947
* Cost
Investments (unaffiliated)	$	51,710,452	$	96,687,624	$	77,218,883	$	63,677,064	$	106,428,967
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	10	$	25	$	15	$	14	$	89,283
# Proceeds from securities sold short	$	—	$	—	$	—	$	—	$	36,685

See Notes to Financial Statements

310

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (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	$	42,966,316		$	75,701,207		$	59,208,329		$	50,091,071		$	102,214,263
Accumulated undistributed net investment income (loss)		333,462			1,298,735			1,467,581			1,536,263			2,081,770
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		5,276,675			8,289,370			3,640,946			1,674,801			13,618,826
Unrealized appreciation (depreciation) on investments		6,536,998			8,791,639			3,605,047			2,190,810			6,234,336
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		(3,701	)		(16,887	)		(17,764	)		(11,511	)		228,164
Unrealized foreign exchange gain (loss) on other assets and liabilities		(8,454	)		(26,568	)		(34,560	)		(30,318	)		(1,214	)
Unrealized appreciation (depreciation) on securities sold short		—			—			—			—			(4,483	)
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			(715	)
NET ASSETS	$	55,101,296		$	94,037,496		$	67,869,579		$	55,451,116		$	124,370,947
Class 1 (unlimited shares authorized):
Net assets	$	9,791,621		$	9,878,897		$	9,439,105		$	6,839,670		$	16,523,956
Shares of beneficial interest issued and outstanding		580,621			750,668			821,489			595,344			1,361,870
Net asset value, offering and redemption price per share	$	16.86		$	13.16		$	11.49		$	11.49		$	12.13
Class 2 (unlimited shares authorized):
Net assets	$	19,325,100		$	43,773,882		$	36,830,768		$	30,237,606		$	58,889,665
Shares of beneficial interest issued and outstanding		1,147,780			3,333,978			3,212,924			2,638,248			4,858,047
Net asset value, offering and redemption price per share	$	16.84		$	13.13		$	11.46		$	11.46		$	12.12
Class 3 (unlimited shares authorized):
Net assets	$	25,984,575		$	40,384,717		$	21,599,706		$	18,373,840		$	48,957,326
Shares of beneficial interest issued and outstanding		1,547,975			3,084,053			1,887,880			1,606,471			4,047,855
Net asset value, offering and redemption price per share	$	16.79		$	13.09		$	11.44		$	11.44		$	12.09

See Notes to Financial Statements

311

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (unaudited)

	Stock Portfolio		Large Cap Growth Portfolio		Large Cap Value Portfolio		Mid Cap Growth Portfolio		Mid Cap Value Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	442,513,058	$	498,725,555	$	1,019,030,304	$	199,198,432	$	300,473,848
Investments at value (affiliated)*		—		—		2,277,529		—		109,700
Repurchase agreements (cost approximates value)		—		1,892,000		8,845,000		871,000		2,458,000
Total investments		442,513,058		500,617,555		1,030,152,833		200,069,432		303,041,548
Cash		37,277		3,182		3,242		6,582		2,180
Foreign cash*		—		—		2		1		—
Due from broker		—		65,000		55,000		77,000		153,000
Receivable for:
Fund shares sold		129,951		358,901		667,621		85,257		164,207
Dividends and interest		187,463		342,918		1,599,256		78,665		520,213
Investments sold		2,912,408		1,796,307		1,244,008		1,206,965		1,504,281
Prepaid expenses and other assets		4,010		4,331		3,984		4,011		4,621
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		—
Variation margin on futures contracts		—		10,300		9,800		5,400		5,400
Unrealized appreciation on forward foreign currency contracts		—		—		7,077		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		445,784,167		503,198,494		1,033,742,823		201,533,313		305,395,450
LIABILITIES:
Payable for:
Fund shares redeemed		57,702		110,003		45,940		59,227		26,567
Investments purchased		202,551		1,370,777		—		800,185		1,233,091
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		307,744		319,348		625,322		139,988		209,331
Service fees — Class 2		5,832		4,163		3,558		2,710		3,275
Service fees — Class 3		8,433		3,831		3,386		3,158		3,918
Transfer agent fees and expenses		925		584		535		632		665
Trustees' fees and expenses		3,073		3,097		6,347		1,427		2,053
Other accrued expenses		58,601		57,904		87,858		59,215		59,907
Interest on securities sold short		—		—		—		—		—
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on future contracts				—		—		—		—
Due to custodian		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		—		—		—		—		—
Securities sold short, at value#		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		79,688		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Total liabilities		644,861		1,869,707		852,634		1,066,542		1,538,807
NET ASSETS	$	445,139,306	$	501,328,787	$	1,032,890,189	$	200,466,771	$	303,856,643
* Cost
Investments (unaffiliated)	$	354,418,716	$	409,854,299	$	944,110,748	$	171,211,736	$	275,364,383
Investments (affiliated)	$	—	$	—	$	1,882,717	$	—	$	94,802
Foreign cash	$	—	$	—	$	2	$	1	$	—
# Proceeds from securities sold short	$	—	$	—	$	—	$	—	$	—

See Notes to Financial Statements

312

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (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	$	294,154,288		$	383,078,450	$	887,349,524		$	151,043,520		$	259,454,367
Accumulated undistributed net investment income (loss)		(303,280	)		3,138,556		25,216,998			(128,941	)		5,024,472
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		63,194,658			26,213,644		45,061,193			21,549,378			14,237,194
Unrealized appreciation (depreciation) on investments		88,094,342			88,871,256		75,314,368			27,986,696			25,124,363
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—			26,880		19,980			16,213			16,213
Unrealized foreign exchange gain (loss) on other assets and liabilities		(702	)		1		(71,874	)		(95	)		34
Unrealized appreciation (depreciation) on securities sold short		—			—		—			—			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—			—		—			—			—
NET ASSETS	$	445,139,306		$	501,328,787	$	1,032,890,189		$	200,466,771		$	303,856,643
Class 1 (unlimited shares authorized):
Net assets	$	357,963,148		$	449,180,564	$	987,574,712		$	163,283,371		$	258,183,983
Shares of beneficial interest issued and outstanding		14,416,319			34,401,434		60,098,799			9,704,486			15,151,299
Net asset value, offering and redemption price per share	$	24.83		$	13.06	$	16.43		$	16.83		$	17.04
Class 2 (unlimited shares authorized):
Net assets	$	46,683,135		$	33,649,966	$	28,846,722		$	21,925,390		$	26,648,156
Shares of beneficial interest issued and outstanding		1,917,676			2,626,049		1,758,208			1,351,237			1,568,911
Net asset value, offering and redemption price per share	$	24.34		$	12.81	$	16.41		$	16.23		$	16.99
Class 3 (unlimited shares authorized):
Net assets	$	40,493,023		$	18,498,257	$	16,468,755		$	15,258,010		$	19,024,504
Shares of beneficial interest issued and outstanding		1,683,506			1,457,695		1,004,841			959,950			1,122,867
Net asset value, offering and redemption price per share	$	24.05		$	12.69	$	16.39		$	15.89		$	16.94

See Notes to Financial Statements

313

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (unaudited)

	Small Cap Portfolio		International Equity Portfolio		Diversified Fixed Income Portfolio		Real Return Portfolio			SA Columbia Focused Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	326,771,072	$	704,043,059	$	1,276,837,045	$	552,750,328		$	157,386,886
Investments at value (affiliated)*		—		—		—		—			—
Repurchase agreements (cost approximates value)		595,000		10,179,000		37,659,000		21,570,000			502,000
Total investments		327,366,072		714,222,059		1,314,496,045		574,320,328			157,888,886
Cash		1,210		796		908,132		1,171			298
Foreign cash*		—		645,659		16,605		—			—
Due from broker		333,205		1,260,000		277,385		731,348			—
Receivable for:
Fund shares sold		148,262		406,231		960,376		8,498,308			43,296
Dividends and interest		240,975		3,111,524		6,794,656		1,462,137			66,288
Investments sold		346,225		1,231,617		15,674,223		12,931,634			302,377
Prepaid expenses and other assets		4,266		4,389		3,985		3,985			4,050
Due from investment adviser for expense reimbursements/fee waivers		—		49,029		—		—			86,575
Variation margin on futures contracts		35,090		86,825		452,225		54,000			—
Unrealized appreciation on forward foreign currency contracts		—		—		77,062		386			—
Swap premiums paid		—		—		1,129,103		—			—
Unrealized appreciation on swap contracts		—		—		40,582		—			—
Total assets		328,475,305		721,018,129		1,340,830,379		598,003,297			158,391,770
LIABILITIES:
Payable for:
Fund shares redeemed		181,922		218,246		91,933		8,283			195,322
Investments purchased		3,569,149		1,213,536		144,909,469		9,236,579			469,752
Payments on swap contracts		—		—		3,614,202		—			—
Investment advisory and management fees		222,495		533,132		612,395		282,104			133,984
Service fees — Class 2		2,246		2,596		3,801		—			3,217
Service fees — Class 3		2,584		3,678		3,869		82,284			4,461
Transfer agent fees and expenses		535		616		600		681			535
Trustees' fees and expenses		2,019		4,912		8,022		3,915			1,323
Other accrued expenses		48,253		98,349		149,181		67,287			34,597
Interest on securities sold short		—		—		—		—			—
Accrued foreign tax on capital gains		—		—		—		—			—
Line of credit		—		—		—		—			—
Variation margin on future contracts		—		—		196,338		—			—
Due to custodian		—		—		—		—			—
Due to custodian for foreign cash		—		—		—		3,339			—
Due to broker		—		—		—		—			—
Securities sold short, at value#		—		—		—		—			—
Unrealized depreciation on forward foreign currency contracts		—		—		268,658		279,599			—
Swap premiums received		—		—		224,333		—			—
Unrealized depreciation on swap contracts		—		—		70,941		—			—
Commitments (Note 13)		—		—		60,267		—			—
Total liabilities		4,029,203		2,075,065		150,214,009		9,964,071			843,191
NET ASSETS	$	324,446,102	$	718,943,064	$	1,190,616,370	$	588,039,226		$	157,548,579
* Cost
Investments (unaffiliated)	$	281,207,449	$	703,870,749	$	1,233,113,079	$	559,872,373		$	148,444,778
Investments (affiliated)	$	—	$	—	$	—	$	—		$	—
Foreign cash	$	—	$	644,308	$	19,853	$	(3,345	)	$	—
# Proceeds from securities sold short	$	—	$	—	$	—	$	—		$	—

See Notes to Financial Statements

314

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (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	$	272,513,147	$	783,761,318		$	1,124,897,239		$	596,930,937		$	134,842,201
Accumulated undistributed net investment income (loss)		904,216		20,956,965			26,950,884			(2,351,749	)		(468,317	)
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		5,374,663		(86,106,700	)		(4,770,122	)		851,419			14,235,013
Unrealized appreciation (depreciation) on investments		45,563,623		172,310			43,723,966			(7,122,045	)		8,942,108
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		90,453		233,259			9,118			25,234			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—		(74,088	)		(194,715	)		(294,570	)		(2,426	)
Unrealized appreciation (depreciation) on securities sold short		—		—			—			—			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—			—			—			—
NET ASSETS	$	324,446,102	$	718,943,064		$	1,190,616,370		$	588,039,226		$	157,548,579
Class 1 (unlimited shares authorized):
Net assets	$	293,749,665	$	680,295,593		$	1,140,873,621		$	178,517,494		$	110,248,069
Shares of beneficial interest issued and outstanding		22,345,116		83,352,129			94,324,968			18,247,786			11,359,701
Net asset value, offering and redemption price per share	$	13.15	$	8.16		$	12.10		$	9.78		$	9.71
Class 2 (unlimited shares authorized):
Net assets	$	18,197,787	$	20,979,507		$	30,837,971		$	—		$	25,830,987
Shares of beneficial interest issued and outstanding		1,417,816		2,568,152			2,554,525			—			2,760,169
Net asset value, offering and redemption price per share	$	12.84	$	8.17		$	12.07		$	—		$	9.36
Class 3 (unlimited shares authorized):
Net assets	$	12,498,650	$	17,667,964		$	18,904,778		$	409,521,732		$	21,469,523
Shares of beneficial interest issued and outstanding		988,084		2,171,267			1,575,168			42,140,425			2,343,689
Net asset value, offering and redemption price per share	$	12.65	$	8.14		$	12.00		$	9.72		$	9.16

See Notes to Financial Statements

315

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (unaudited)

	SA Columbia Focused Value Portfolio		Allocation Growth Portfolio		Allocation Moderate Growth Portfolio		Allocation Moderate Portfolio		Allocation Balanced Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	354,948,390	$	—	$	—	$	—	$	—
Investments at value (affiliated)*		—		88,338,247		520,399,064		328,180,068		252,358,224
Repurchase agreements (cost approximates value)		12,196,000		—		—		—		—
Total investments		367,144,390		88,338,247		520,399,064		328,180,068		252,358,224
Cash		961		—		—		—		—
Foreign cash*		—		—		—		—		—
Due from broker		—		—		—		—		—
Receivable for:
Fund shares sold		159,477		3,932		673,147		496,260		463,904
Dividends and interest		279,137		—		—		—		—
Investments sold		4,824,176		116,659		—		—		—
Prepaid expenses and other assets		4,813		3,986		3,984		3,984		3,985
Due from investment adviser for expense reimbursements/fee waivers		195,601		1,496		8,756		5,521		4,254
Variation margin on futures contracts		—		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		372,608,555		88,464,320		521,084,951		328,685,833		252,830,367
LIABILITIES:
Payable for:
Fund shares redeemed		45,773		119,375		18,074		6,988		45,803
Investments purchased		—		—		653,856		488,055		416,885
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		299,520		7,310		42,791		26,995		20,770
Service fees — Class 2		1,728		—		—		—		—
Service fees — Class 3		2,426		18,272		106,975		67,483		51,921
Transfer agent fees and expenses		584		243		243		243		243
Trustees' fees and expenses		2,164		603		3,419		2,114		1,681
Other accrued expenses		48,850		22,630		44,255		32,543		32,628
Interest on securities sold short		—		—		—		—		—
Accrued foreign tax on capital gains		—		—		—		—		—
Line of credit		—		—		—		—		—
Variation margin on future contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to custodian for foreign cash		—		—		—		—		—
Due to broker		—		—		—		—		—
Securities sold short, at value#		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Commitments (Note 13)		—		—		—		—		—
Total liabilities		401,045		168,433		869,613		624,421		569,931
NET ASSETS	$	372,207,510	$	88,295,887	$	520,215,338	$	328,061,412	$	252,260,436
* Cost
Investments (unaffiliated)	$	336,873,925	$	—	$	—	$	—	$	—
Investments (affiliated)	$	—	$	84,125,151	$	488,771,552	$	310,477,239	$	239,879,935
Foreign cash	$	—	$	—	$	—	$	—	$	—
# Proceeds from securities sold short	$	—	$	—	$	—	$	—	$	—

See Notes to Financial Statements

316

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2016 (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	$	312,754,786	$	86,925,685		$	494,118,481		$	316,388,557		$	239,226,687
Accumulated undistributed net investment income (loss)		7,261,874		327,948			2,250,501			1,419,623			1,091,437
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		34,116,385		(3,170,842	)		(7,781,156	)		(7,449,597	)		(535,977	)
Unrealized appreciation (depreciation) on investments		18,074,465		4,213,096			31,627,512			17,702,829			12,478,289
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—		—			—			—			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—		—			—			—			—
Unrealized appreciation (depreciation) on securities sold short		—		—			—			—			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—			—			—			—
NET ASSETS	$	372,207,510	$	88,295,887		$	520,215,338		$	328,061,412		$	252,260,436
Class 1 (unlimited shares authorized):
Net assets	$	346,403,329	$	100,004		$	100,024		$	100,046		$	100,053
Shares of beneficial interest issued and outstanding		18,781,527		7,930			9,346			9,375			9,607
Net asset value, offering and redemption price per share	$	18.44	$	12.61		$	10.70		$	10.67		$	10.41
Class 2 (unlimited shares authorized):
Net assets	$	14,034,640	$	—		$	—		$	—		$	—
Shares of beneficial interest issued and outstanding		762,190		—			—			—			—
Net asset value, offering and redemption price per share	$	18.41	$	—		$	—		$	—		$	—
Class 3 (unlimited shares authorized):
Net assets	$	11,769,541	$	88,195,883		$	520,115,314		$	327,961,366		$	252,160,383
Shares of beneficial interest issued and outstanding		640,826		6,994,293			48,599,423			30,734,552			24,214,083
Net asset value, offering and redemption price per share	$	18.37	$	12.61		$	10.70		$	10.67		$	10.41

See Notes to Financial Statements

317

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

For the Six Months Ended September 30, 2016 (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)	$	255,828		$	346,093		$	122,763		$	51,483		$	1,288,017
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		257,059			708,721			838,195			858,585			457,005
Total investment income*		512,887			1,054,814			960,958			910,068			1,745,022
Expenses:
Investment advisory and management fees		251,977			404,537			282,266			217,714			539,191
Service Fees:
Class 2		14,709			33,265			28,103			22,956			44,811
Class 3		33,529			50,599			28,350			23,849			62,675
Transfer agent fees and expenses		392			392			392			425			1,892
Custodian and accounting fees		42,255			50,624			39,616			38,796			104,418
Reports to shareholders		1,665			2,758			2,321			2,011			2,981
Audit and tax fees		23,916			23,916			23,897			23,897			34,169
Legal fees		2,344			2,476			2,366			2,352			3,547
Trustees' fees and expenses		777			1,194			896			743			1,709
Interest expense		174			42			102			—			—
Other expenses		13,660			14,011			8,453			8,300			21,825
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		385,398			583,814			416,762			341,043			817,218
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			(63,434	)
Fees paid indirectly (Note 5)		(547	)		(674	)		(180	)		(81	)		(2,480	)
Net expenses		384,851			583,140			416,582			340,962			751,304
Net investment income (loss)		128,036			471,674			544,376			569,106			993,718
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		2,027,236			2,140,353			1,204,047			916,406			4,282,969
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		36,628			80,061			(11,886	)		(31,819	)		(1,263,882	)
Net realized foreign exchange gain (loss) on other assets and liabilities		(48,235	)		(112,258	)		(134,308	)		(129,326	)		152,303
Net realized gain (loss) on investments and foreign currencies		2,015,629			2,108,156			1,057,853			755,261			3,171,390
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		1,152,988			2,757,404			1,291,605			971,238			2,027,115
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts, swap contracts and securities sold short		(8,784	)		(16,262	)		4,685			371			850,978
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		5,075			23,361			29,653			28,455			(119,114	)
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			(9	)
Net unrealized gain (loss) on investments and foreign currencies		1,149,279			2,764,503			1,325,943			1,000,064			2,758,970
Net realized and unrealized gain (loss) on investments and foreign currencies		3,164,908			4,872,659			2,383,796			1,755,325			5,930,360
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	3,292,944		$	5,344,333		$	2,928,172		$	2,324,431		$	6,924,078
* Net of foreign withholding taxes on interest and dividends of	$	311		$	693		$	789		$	792		$	40,381
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	751

See Notes to Financial Statements

318

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2016 (unaudited)

	Stock Portfolio			Large Cap Growth Portfolio			Large Cap Value Portfolio			Mid Cap Growth Portfolio			Mid Cap Value Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,988,936		$	3,221,242		$	12,327,231		$	913,497		$	3,373,001
Dividends (affiliated)		—			—			26,914			—			1,512
Interest (unaffiliated)		11,819			2,483			12,289			2,865			2
Total investment income*		2,000,755			3,223,725			12,366,434			916,362			3,374,515
Expenses:
Investment advisory and management fees		1,949,848			1,862,614			3,734,468			882,649			1,321,901
Service Fees:
Class 2		35,563			25,993			22,242			16,635			20,473
Class 3		51,921			161,647			156,246			46,814			48,871
Transfer agent fees and expenses		2,177			1,339			1,224			1,354			1,532
Custodian and accounting fees		31,807			32,734			69,694			30,495			41,121
Reports to shareholders		12,364			14,106			42,266			4,550			9,212
Audit and tax fees		18,082			18,092			18,116			18,382			18,221
Legal fees		3,795			3,277			6,955			2,409			2,991
Trustees' fees and expenses		6,587			6,752			13,481			3,020			4,221
Interest expense		—			269			1,771			277			531
Other expenses		11,720			18,030			23,799			33,239			34,386
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		2,123,864			2,144,853			4,090,262			1,039,824			1,503,460
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			—
Fees paid indirectly (Note 5)		(906	)		(2,123	)		(668	)		(202	)		(8,453	)
Net expenses		2,122,958			2,142,730			4,089,594			1,039,622			1,495,007
Net investment income (loss)		(122,203	)		1,080,995			8,276,840			(123,260	)		1,879,508
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		21,181,752			12,247,832			18,860,242			12,094,060			11,622,921
Net realized gain (loss) on investments (affiliated)**		—			—			109,107			—			11,481
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			66,470			50,970			47,793			47,793
Net realized foreign exchange gain (loss) on other assets and liabilities		266			—			91,564			4,120			213
Net realized gain (loss) on investments and foreign currencies		21,182,018			12,314,302			19,111,883			12,145,973			11,682,408
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		10,252,895			8,741,580			39,452,163			2,641,670			9,868,379
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			106,929			—			3,948
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts, swap contracts and securities sold short		—			(5,600	)		5,800			(1,440	)		(1,440	)
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(93	)		—			114,628			(174	)		(31	)
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		10,252,802			8,735,980			39,679,520			2,640,056			9,870,856
Net realized and unrealized gain (loss) on investments and foreign currencies		31,434,820			21,050,282			58,791,403			14,786,029			21,553,264
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	31,312,617		$	22,131,277		$	67,068,243		$	14,662,769		$	23,432,772
* Net of foreign withholding taxes on interest and dividends of	$	8,136		$	—		$	48,005		$	1,744		$	5,892
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

319

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2016 (unaudited)

	Small Cap Portfolio			International Equity Portfolio			Diversified Fixed Income Portfolio			Real Return Portfolio			SA Columbia Focused Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,843,819		$	14,124,338		$	15,731		$	7		$	259,929
Dividends (affiliated)		3,846			—			—			—			—
Interest (unaffiliated)		—			9,509			17,361,451			5,882,149			107
Total investment income*		1,847,665			14,133,847			17,377,182			5,882,156			260,036
Expenses:
Investment advisory and management fees		1,336,420			3,349,829			3,821,491			1,728,188			897,850
Service Fees:
Class 2		13,609			16,216			25,192			—			19,599
Class 3		46,600			182,264			364,791			531,862			39,705
Transfer agent fees and expenses		1,224			1,378			1,385			1,515			1,166
Custodian and accounting fees		48,042			131,689			154,970			39,274			16,299
Reports to shareholders		16,174			25,643			43,975			28,325			7,194
Audit and tax fees		18,342			35,496			25,415			23,814			16,161
Legal fees		7,995			7,458			4,660			3,557			3,541
Trustees' fees and expenses		4,335			10,428			17,937			8,360			2,894
Interest expense		504			4,149			—			67			—
Other expenses		24,766			40,413			23,801			10,226			9,325
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,518,011			3,804,963			4,483,617			2,375,188			1,013,734
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			(148,791	)		—			—			(278,334	)
Fees paid indirectly (Note 5)		(1,551	)		(4,878	)		—			—			(7,047	)
Net expenses		1,516,460			3,651,294			4,483,617			2,375,188			728,353
Net investment income (loss)		331,205			10,482,553			12,893,565			3,506,968			(468,317	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		3,557,456			(15,039,774	)		7,868,884			(55,536	)		(3,459,468	)
Net realized gain (loss) on investments (affiliated)**		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		501,358			801,518			(3,273,321	)		(170,857	)		—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			37,124			(956,255	)		5,553,439			—
Net realized gain (loss) on investments and foreign currencies		4,058,814			(14,201,132	)		3,639,308			5,327,046			(3,459,468	)
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		—			34,383,100			19,029,564			900,936			25,777,366
Change in unrealized appreciation (depreciation) on investments (affiliated)		26,355,234			—			—			—			—
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts, swap contracts and securities sold short		11,600			70,671			242,130			25,234			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—			(146,431	)		452,375			3,690,691			(244	)
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		26,366,834			34,307,340			19,724,069			4,616,861			25,777,122
Net realized and unrealized gain (loss) on investments and foreign currencies		30,425,648			20,106,208			23,363,377			9,943,907			22,317,654
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	30,756,853		$	30,588,761		$	36,256,942		$	13,450,875		$	21,849,337
* Net of foreign withholding taxes on interest and dividends of	$	4,740		$	1,275,020		$	6,433		$	—		$	4,657
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

320

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2016 (unaudited)

	SA Columbia Focused Value Portfolio			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			Allocation Balanced Portfolio
Investment Income:
Dividends (unaffiliated)	$	4,001,836		$	—		$	—		$	—		$	—
Dividends (affiliated)		—			440,521			2,779,223			1,761,129			1,362,685
Interest (unaffiliated)		1,043			—			—			—			—
Total investment income*		4,002,879			440,521			2,779,223			1,761,129			1,362,685
Expenses:
Investment advisory and management fees		1,788,094			45,409			261,515			162,838			127,941
Service Fees:
Class 2		10,554			—			—			—			—
Class 3		30,015			39,266			229,718			144,837			111,627
Transfer agent fees and expenses		1,310			570			571			571			570
Custodian and accounting fees		17,532			5,968			5,957			5,973			5,981
Reports to shareholders		18,958			3,366			21,491			13,605			11,007
Audit and tax fees		16,158			12,209			12,209			12,209			12,209
Legal fees		4,324			4,587			10,113			7,566			6,676
Trustees' fees and expenses		4,633			1,224			7,029			4,368			3,463
Interest expense		—			—			—			—			—
Other expenses		9,751			4,515			6,270			5,823			4,568
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,901,329			117,114			554,873			357,790			284,042
Fees waived and expenses reimbursed by investment advisor (Note 3)		(571,217	)		(4,541	)		(26,152	)		(16,284	)		(12,794	)
Fees paid indirectly (Note 5)		(10,223	)		—			—			—			—
Net expenses		1,319,889			112,573			528,721			341,506			271,248
Net investment income (loss)		2,682,990			327,948			2,250,502			1,419,623			1,091,437
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		576,636			—			—			—			—
Net realized gain (loss) on investments (affiliated)**		—			2,403,320			12,085,157			3,305,776			2,754,670
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			130,458			590,187			236,021			124,105
Net realized gain (loss) on futures contracts, written options contracts and swap contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		576,636			2,533,778			12,675,344			3,541,797			2,878,775
Change in unrealized appreciation (depreciation) on investments (unaffiliated)		30,735,400			—			—			—			—
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			1,778,046			10,284,435			10,011,639			6,977,642
Change in unrealized appreciation (depreciation) on futures contracts, written options contracts, swap contracts and securities sold short		—			—			—			—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			—
Change in acrrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		30,735,400			1,778,046			10,284,435			10,011,639			6,977,642
Net realized and unrealized gain (loss) on investments and foreign currencies		31,312,036			4,311,824			22,959,779			13,553,436			9,856,417
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	33,995,026		$	4,639,772		$	25,210,281		$	14,973,059		$	10,947,854
* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements

321

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, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	128,036		$	249,183		$	471,674		$	960,433		$	544,376		$	1,235,122
Net realized gain (loss) on investments and foreign currencies		2,015,629			3,409,491			2,108,156			6,420,150			1,057,853			2,591,045
Net unrealized gain (loss) on investments and foreign currencies		1,149,279			(5,813,709	)		2,764,503			(10,413,853	)		1,325,943			(4,493,722	)
Net increase (decrease) in net assets resulting from operations		3,292,944			(2,155,035	)		5,344,333			(3,033,270	)		2,928,172			(667,555	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(76,135	)		—			(153,179	)		—			(214,682	)
Net investment income — Class 2		—			(101,473	)		—			(570,968	)		—			(782,126	)
Net investment income — Class 3		—			(96,646	)		—			(406,431	)		—			(415,401	)
Net realized gain on investments — Class 1		—			(1,717,725	)		—			(1,581,001	)		—			(1,037,953	)
Net realized gain on investments — Class 2		—			(3,074,786	)		—			(6,716,357	)		—			(4,108,047	)
Net realized gain on investments — Class 3		—			(4,258,366	)		—			(6,135,987	)		—			(2,583,431	)
Total distributions to shareholders		—			(9,325,131	)		—			(15,563,923	)		—			(9,141,640	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(6,452,816	)		(1,826,870	)		(7,539,898	)		(23,076,160	)		(5,735,586	)		(21,758,371	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(3,159,872	)		(13,307,036	)		(2,195,565	)		(41,673,353	)		(2,807,414	)		(31,567,566	)
NET ASSETS:
Beginning of period		58,261,168			71,568,204			96,233,061			137,906,414			70,676,993			102,244,559
End of period†	$	55,101,296		$	58,261,168		$	94,037,496		$	96,233,061		$	67,869,579		$	70,676,993
† Includes accumulated undistributed net investment income (loss)	$	333,462		$	205,426		$	1,298,735		$	827,061		$	1,467,581		$	923,205

See Notes to Financial Statements

322

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, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	569,106		$	1,291,861		$	993,718		$	1,814,844		$	(122,203	)	$	(1,082,728	)
Net realized gain (loss) on investments and foreign currencies		755,261			888,663			3,171,390			10,612,661			21,182,018			42,303,175
Net unrealized gain (loss) on investments and foreign currencies		1,000,064			(2,439,896	)		2,758,970			(19,254,477	)		10,252,802			(47,052,900	)
Net increase (decrease) in net assets resulting from operations		2,324,431			(259,372	)		6,924,078			(6,826,972	)		31,312,617			(5,832,453	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(166,509	)		—			(603,961	)		—			—
Net investment income — Class 2		—			(688,623	)		—			(1,962,557	)		—			—
Net investment income — Class 3		—			(394,848	)		—			(1,614,810	)		—			—
Net realized gain on investments — Class 1		—			(489,233	)		—			(1,972,435	)		—			(27,443,745	)
Net realized gain on investments — Class 2		—			(2,184,962	)		—			(6,760,536	)		—			(3,603,791	)
Net realized gain on investments — Class 3		—			(1,431,258	)		—			(5,787,933	)		—			(3,241,802	)
Total distributions to shareholders		—			(5,355,433	)		—			(18,702,232	)		—			(34,289,338	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(5,213,195	)		(18,352,189	)		(11,624,417	)		(5,813	)		(63,376,681	)		28,910,730
TOTAL INCREASE (DECREASE) IN NET ASSETS		(2,888,764	)		(23,966,994	)		(4,700,339	)		(25,535,017	)		(32,064,064	)		(11,211,061	)
NET ASSETS:
Beginning of period		58,339,880			82,306,874			129,071,286			154,606,303			477,203,370			488,414,431
End of period†	$	55,451,116		$	58,339,880		$	124,370,947		$	129,071,286		$	445,139,306		$	477,203,370
† Includes accumulated undistributed net investment income (loss)	$	1,536,263		$	967,157		$	2,081,770		$	1,088,052		$	(303,280	)	$	(181,077	)

See Notes to Financial Statements

323

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, 2016 (unaudited)		For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)		For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,080,995	$	1,893,942		$	8,276,840	$	17,194,556		$	(123,260	)	$	(348,260	)
Net realized gain (loss) on investments and foreign currencies		12,314,302		14,967,012			19,111,883		35,578,324			12,145,973			9,916,343
Net unrealized gain (loss) on investments and foreign currencies		8,735,980		(19,388,343	)		39,679,520		(82,631,667	)		2,640,056			(26,717,335	)
Net increase (decrease) in net assets resulting from operations		22,131,277		(2,527,389	)		67,068,243		(29,858,787	)		14,662,769			(17,149,252	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—		(1,272,811	)		—		(10,426,855	)		—			—
Net investment income — Class 2		—		(137,762	)		—		(361,829	)		—			—
Net investment income — Class 3		—		(675,291	)		—		(1,666,122	)		—			—
Net realized gain on investments — Class 1		—		(22,304,836	)		—		(39,921,882	)		—			(8,223,992	)
Net realized gain on investments — Class 2		—		(3,493,704	)		—		(1,606,628	)		—			(1,485,218	)
Net realized gain on investments — Class 3		—		(20,669,368	)		—		(8,988,200	)		—			(4,393,643	)
Total distributions to shareholders		—		(48,553,772	)		—		(62,971,516	)		—			(14,102,853	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		98,471		76,675,942			9,418,609		68,454,598			(35,677,037	)		30,343,137
TOTAL INCREASE (DECREASE) IN NET ASSETS		22,229,748		25,594,781			76,486,852		(24,375,705	)		(21,014,268	)		(908,968	)
NET ASSETS:
Beginning of period		479,099,039		453,504,258			956,403,337		980,779,042			221,481,039			222,390,007
End of period†	$	501,328,787	$	479,099,039		$	1,032,890,189	$	956,403,337		$	200,466,771		$	221,481,039
† Includes accumulated undistributed net investment income (loss)	$	3,138,556	$	2,057,561		$	25,216,998	$	16,940,158		$	(128,941	)	$	(5,681	)

See Notes to Financial Statements

324

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Mid Cap Value						Small Cap						International Equity
	For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,879,508		$	3,148,894		$	331,205		$	609,936		$	10,482,553		$	11,264,801
Net realized gain (loss) on investments and foreign currencies		11,682,408			4,612,804			4,058,814			4,071,954			(14,201,132	)		(11,282,390	)
Net unrealized gain (loss) on investments and foreign currencies		9,870,856			(30,228,309	)		26,366,834			(26,202,759	)		34,307,340			(75,408,082	)
Net increase (decrease) in net assets resulting from operations		23,432,772			(22,466,611	)		30,756,853			(21,520,869	)		30,588,761			(75,425,671	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(1,377,801	)		—			(708,035	)		—			(6,074,171	)
Net investment income — Class 2		—			(117,685	)		—			(37,291	)		—			(265,717	)
Net investment income — Class 3		—			(189,523	)		—			—			—			(2,505,468	)
Net realized gain on investments — Class 1		—			(39,558,389	)		—			(13,558,703	)		—			—
Net realized gain on investments — Class 2		—			(4,702,201	)		—			(1,419,975	)		—			—
Net realized gain on investments — Class 3		—			(10,276,593	)		—			(3,973,748	)		—			—
Total distributions to shareholders		—			(56,222,192	)		—			(19,697,752	)		—			(8,845,356	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(31,572,052	)		48,662,594			(19,465,283	)		97,811,846			(65,399,788	)		121,746,995
TOTAL INCREASE (DECREASE) IN NET ASSETS		(8,139,280	)		(30,026,209	)		11,291,570			56,593,225			(34,811,027	)		37,475,968
NET ASSETS:
Beginning of period		311,995,923			342,022,132			313,154,532			256,561,307			753,754,091			716,278,123
End of period†	$	303,856,643		$	311,995,923		$	324,446,102		$	313,154,532		$	718,943,064		$	753,754,091
† Includes accumulated undistributed net investment income (loss)	$	5,024,472		$	3,144,964		$	904,216		$	573,011		$	20,956,965		$	10,474,412

See Notes to Financial Statements

325

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, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	12,893,565		$	22,372,662		$	3,506,968		$	(215,798	)	$	(468,317	)	$	(940,275	)
Net realized gain (loss) on investments and foreign currencies		3,639,308			(3,837,906	)		5,327,046			(4,905,041	)		(3,459,468	)		18,634,757
Net unrealized gain (loss) on investments and   foreign currencies		19,724,069			(4,142,594	)		4,616,861			4,898,088			25,777,122			(40,302,103	)
Net increase (decrease) in net assets resulting from operations		36,256,942			14,392,162			13,450,875			(222,751	)		21,849,337			(22,607,621	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(14,449,739	)		—			(6,524,327	)		—			—
Net investment income — Class 2		—			(592,495	)		—			—			—			—
Net investment income — Class 3		—			(7,913,570	)		—			(17,083,216	)		—			—
Net realized gain on investments — Class 1		—			(5,010,064	)		—			—			—			(12,385,264	)
Net realized gain on investments — Class 2		—			(226,267	)		—			—			—			(2,909,028	)
Net realized gain on investments — Class 3		—			(3,122,581	)		—			—			—			(4,223,892	)
Total distributions to shareholders		—			(31,314,716	)		—			(23,607,543	)		—			(19,518,184	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(68,475,432	)		158,095,411			(21,997,734	)		(68,578,496	)		(69,810,781	)		68,598,372
TOTAL INCREASE (DECREASE) IN NET ASSETS		(32,218,490	)		141,172,857			(8,546,859	)		(92,408,790	)		(47,961,444	)		26,472,567
NET ASSETS:
Beginning of period		1,222,834,860			1,081,662,003			596,586,085			688,994,875			205,510,023			179,037,456
End of period†	$	1,190,616,370		$	1,222,834,860		$	588,039,226		$	596,586,085		$	157,548,579		$	205,510,023
† Includes accumulated undistributed net investment income (loss)	$	26,950,884		$	14,057,319		$	(2,351,749	)	$	(5,858,717	)	$	(468,317	)	$	—

See Notes to Financial Statements

326

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, 2016 (unaudited)		For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	2,682,990	$	4,578,802		$	327,948		$	726,514		$	2,250,502		$	5,199,658
Net realized gain (loss) on investments and foreign currencies		576,636		33,605,724			2,533,778			16,453,274			12,675,344			76,101,933
Net unrealized gain (loss) on investments and foreign currencies		30,735,400		(53,926,796	)		1,778,046			(22,341,122	)		10,284,435			(103,748,466	)
Net increase (decrease) in net assets resulting from operations		33,995,026		(15,742,270	)		4,639,772			(5,161,334	)		25,210,281			(22,446,875	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—		(2,795,890	)		—			—			—			—
Net investment income — Class 2		—		(120,419	)		—			—			—			—
Net investment income — Class 3		—		(211,679	)		(1,524,052	)		(1,393,950	)		(9,027,944	)		(7,563,752	)
Net realized gain on investments — Class 1		—		(2,595,028	)		—			—			—			—
Net realized gain on investments — Class 2		—		(136,763	)		—			—			—			—
Net realized gain on investments — Class 3		—		(282,281	)		(2,089,038	)		—			(68,945,877	)		(43,890,397	)
Total distributions to shareholders		—		(6,142,060	)		(3,613,090	)		(1,393,950	)		(77,973,821	)		(51,454,149	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		7,197,506		24,557,664			(4,982,205	)		(11,962,635	)		49,652,512			(8,005,359	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		41,192,532		2,673,334			(3,955,523	)		(18,517,919	)		(3,111,028	)		(81,906,383	)
NET ASSETS:
Beginning of period		331,014,978		328,341,644			92,251,410			110,769,329			523,326,366			605,232,749
End of period†	$	372,207,510	$	331,014,978		$	88,295,887		$	92,251,410		$	520,215,338		$	523,326,366
† Includes accumulated undistributed net investment income (loss)	$	7,261,874	$	4,578,884		$	327,948		$	1,524,052		$	2,250,501		$	9,027,943

See Notes to Financial Statements

327

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Allocation Moderate						Allocation Balanced
	For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016			For the six months ended September 30, 2016 (unaudited)			For the year ended March 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,419,623		$	3,566,249		$	1,091,437		$	3,242,929
Net realized gain (loss) on investments and foreign currencies		3,541,797			41,189,516			2,878,775			27,912,018
Net unrealized gain (loss) on investments and foreign currencies		10,011,639			(56,411,240	)		6,977,642			(37,157,371	)
Net increase (decrease) in net assets resulting from operations		14,973,059			(11,655,475	)		10,947,854			(6,002,424	)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			—			—			—
Net investment income — Class 2		—			—			—			—
Net investment income — Class 3		(5,699,000	)		(4,404,705	)		(4,597,839	)		(3,490,952	)
Net realized gain on investments — Class 1		—			—			—			—
Net realized gain on investments — Class 2		—			—			—			—
Net realized gain on investments — Class 3		(33,441,168	)		(23,424,981	)		(22,831,891	)		(17,983,880	)
Total distributions to shareholders		(39,140,168	)		(27,829,686	)		(27,429,730	)		(21,474,832	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		29,047,028			(11,318,833	)		12,136,978			(14,976,875	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		4,879,919			(50,803,994	)		(4,344,898	)		(42,454,131	)
NET ASSETS:
Beginning of period		323,181,493			373,985,487			256,605,334			299,059,465
End of period†	$	328,061,412		$	323,181,493		$	252,260,436		$	256,605,334
† Includes accumulated undistributed net investment income (loss)	$	1,419,623		$	5,699,000		$	1,091,437		$	4,597,839

See Notes to Financial Statements

328

SEASONS SERIES TRUST
NOTES TO FINANCIALS STATEMENTS

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 are offered through the Variable Contracts issued 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 "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 charges 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) 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, pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class' average daily net assets.

The investment goal for each Portfolio is as follows:

Seasons Portfolios

The Multi-Managed Growth Portfolio seeks long-term growth of capital.

The Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective.

The Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital.

The Multi-Managed Income Portfolio seeks capital preservation.

The Asset Allocation: Diversified 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.

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 of a diversified group of growth companies.

329

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 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-cap 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 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 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.

Each Portfolio is diversified as such term is defined under the Investment Company Act of 1940, as amended (the "1940 Act").

330

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, 2016, 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		N/A			32			68
Multi-Managed Income		N/A			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 a professional Manager that actively selects a limited number of stocks that represent its best ideas. This "Focused" 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 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 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

331

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, 2016, 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 the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures 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, 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.

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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 Large Cap Value, Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth, 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 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

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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, Diversified Fixed Income and Real Return 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 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 Portfolio 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 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.

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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.

Option contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

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 and the changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolio's basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Portfolio are included as part of realized gain (loss).

Credit Default Swap Agreements: 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 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.

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Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection's right to choose the deliverable obligation with the lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer's default.

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation's default.

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule 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.

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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.

Interest Rate Swap Agreements: During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Diversified Fixed Income and Real Return Portfolios used interest rate swap agreements, including cross-currency swaps, to manage exposure to fluctuations in interest rates and to make active interest rate anticipation decisions. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Since interest rate swaps are individually negotiated, a Portfolio expects to achieve an acceptable degree of correlation between their respective portfolio investments and their interest rate positions. A Portfolio will enter into interest rate swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolios receiving or paying, as the case may be, only the net amount of the two payments.

A cross-currency swap is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.

Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio's risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.

Interest rate swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.

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Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss.

Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International 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, 2016, 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, 2016. 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, 2016, 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	$	7,447	$	59	$	—	$	—	$	—	$	—	$	—	$	1,521	$	1,220	$	10,247
Multi-Managed Moderate Growth Portfolio		26,987		160		—		14		—		—		—		4,216		3,344		34,721
Multi-Managed Income/Equity Portfolio		30,713		192		—		—		—		—		—		5,969		4,003		40,877
Multi-Managed Income Portfolio		29,963		193		—		—		—		—		—		6,119		4,019		40,294
Asset Allocation: Diversified Growth Portfolio		34,617		—		—		108,900		95,778		—		—		48,332		—		287,627
Large Cap Growth Portfolio		—		—		—		10,300		—		—		—		—		—		10,300
Large Cap Value Portfolio		—		—		—		9,800		—		—		—		7,077		—		16,877
Mid Cap Growth Portfolio		—		—		—		5,400		—		—		—		—		—		5,400
Mid Cap Value Portfolio		—		—		—		5,400		—		—		—		—		—		5,400
Small Cap Portfolio		—		—		—		35,090		—		—		—		—		—		35,090
International Equity Portfolio		—		—		—		86,825		—		—		—		—		—		86,825
Diversified Fixed Income Portfolio		452,225		2,275		—		—		—		—		38,307		77,062		52,602		622,471
Real Return Portfolio		54,000		—		—		—		—		—		—		386		—		54,386

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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 Written(6)		Total
Multi-Managed Growth Portfolio	$	7,944	$	—	$	—	$	1,136	$	—	$	—	$	—	$	9,984	$	—	$	19,064
Multi-Managed Moderate Growth Portfolio		31,097		—		—		—		—		—		—		30,747		—		61,844
Multi-Managed Income/Equity Portfolio		35,413		—		—		—		—		—		—		40,514		—		75,927
Multi-Managed Income Portfolio		36,319		—		—		—		—		—		—		36,361		—		72,680
Asset Allocation: Diversified Growth Portfolio		29,391		—		—		56,055		2,466		—		—		46,065		—		133,977
Large Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Large Cap Value Portfolio		—		—		—		—		—		—		—		79,688		—		79,688
Mid Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Mid Cap Value Portfolio		—		—		—		—		—		—		—		—		—		—
Small Cap Portfolio		—		—		—		—		—		—		—		—		—		—
International Equity Portfolio		—		—		—		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		196,338		—		—		—		—		—		70,941		268,658		—		535,937
Real Return Portfolio		—		—		—		—		—		—		—		279,599		—		279,599

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	$	(3,760	)
Multi-Managed Moderate Growth Portfolio		(17,047	)
Multi-Managed Income/Equity Portfolio		(17,956	)
Multi-Managed Income Portfolio		(11,704	)
Asset Allocation: Diversified Growth Portfolio		134,852
Large Cap Growth Portfolio		26,880
Large Cap Value Portfolio		19,980

340

Portfolio	Cumulative Appreciation (Depreciation)
Mid Cap Growth Portfolio	$	16,213
Mid Cap Value Portfolio		16,213
Small Cap Portfolio		90,453
International Equity Portfolio		233,259
Diversified Fixed Income Portfolio		39,477
Real Return Portfolio		25,234

	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*			Futures Contracts(1)			Swap Contracts(1)			Options*			Swap Contracts(1)			Foreign Exchange Contracts(2)			Options*			Total
Multi-Managed Growth Portfolio	$	779		$	(10,834	)	$	(22	)	$	47,585		$	—		$	—		$	(974	)	$	(46,314	)	$	567		$	(9,213	)
Multi-Managed Moderate Growth Portfolio		31,968			(26,677	)		(61	)		77,423			—			—			(2,838	)		(116,893	)		1,673			(35,405	)
Multi-Managed Income/Equity Portfolio		24,723			(33,429	)		(73	)		—			—			—			(3,402	)		(142,837	)		2,200			(152,818	)
Multi-Managed Income Portfolio		4,825			(33,466	)		(73	)		—			—			224			(3,402	)		(132,930	)		1,801			(163,021	)
Asset Allocation: Diversified Growth Portfolio		(16,164	)		—			—			(647,114	)		(601,204	)		(2,972	)		—			159,050			—			(1,108,404	)
Large Cap Growth Portfolio		—			—			—			66,470			—			—			—			—			—			66,470
Large Cap Value Portfolio		—			—			—			50,970			—			—			—			96,653			—			147,623
Mid Cap Growth Portfolio		—			—			—			47,793			—			—			—			—			—			47,793
Mid Cap Value Portfolio		—			—			—			47,793			—			—			—			—			—			47,793
Small Cap Portfolio		—			—			—			501,358			—			—			—			—			—			501,358
International Equity Portfolio		—			—			—			801,518			—			—			—			—			—			801,518
Diversified Fixed Income Portfolio		(1,332,755	)		(306,383	)		(955	)		—			—			—			(1,636,877	)		(952,527	)		(7,016	)		(4,236,513	)
Real Return Portfolio		(102,761	)		(68,096	)		—			—			—			—			—			3,867,622			—			3,696,765

341

	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*		Futures Contracts(3)			Swap Contracts(3)		Options*		Swap Contracts(3)			Foreign Exchange Contracts(4)			Options*			Total
Multi-Managed Growth Portfolio	$	(873	)	$	1,316	$	—	$	(9,227	)	$	—	$	—	$	—		$	5,147		$	(939	)	$	(4,576	)
Multi-Managed Moderate Growth Portfolio		(5,393	)		3,627		—		(14,496	)		—		—		—			23,633			(2,646	)		4,725
Multi-Managed Income/Equity Portfolio		(22	)		4,707		—		—			—		—		—			29,875			(3,157	)		31,403
Multi-Managed Income Portfolio		(4,414	)		4,785		—		—			—		—		—			28,686			(3,185	)		25,872
Asset Allocation: Diversified Growth Portfolio		(10,625	)		—		—		396,494			465,109		—		—			(112,430	)		—			738,548
Large Cap Growth Portfolio		—			—		—		(5,600	)		—		—		—			—			—			(5,600	)
Large Cap Value Portfolio		—			—		—		5,800			—		—		—			112,997			—			118,797
Mid Cap Growth Portfolio		—			—		—		(1,440	)		—		—		—			—			—			(1,440	)
Mid Cap Value Portfolio		—			—		—		(1,440	)		—		—		—			—			—			(1,440	)
Small Cap Portfolio		—			—		—		11,600			—		—		—			—			—			11,600
International Equity Portfolio		—			—		—		70,671			—		—		—			—			—			70,671
Diversified Fixed Income Portfolio		146,393			173,792		—		—			—		—		(78,055	)		459,029			(36,752	)		664,407
Real Return Portfolio		25,234			—		—		—			—		—		—			3,725,017			—			3,750,251

*  Includes amounts relating to purchased and written options as follows:

342

	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts					Equity Contracts					Foreign Exchange Contracts
	Options Purchased(6)			Options Written(1)		Options Purchased(6)			Options Written(1)		Options Purchased(6)			Options Written(1)
Multi-Managed Growth Portfolio	$	(22	)	$	—	$	—		$	—	$	495		$	72
Multi-Managed Moderate Growth Portfolio		(61	)		—		—			—		1,488			185
Multi-Managed Income/Equity Portfolio		(73	)		—		—			—		1,978			222
Multi-Managed Income Portfolio		(73	)		—		—			224		1,801			—
Asset Allocation: Diversified Growth Portfolio		—			—		(3,572	)		600		—			—
Diversified Fixed Income Portfolio		(955	)		—		—			—		(9,710	)		2,694
	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts					Equity Contracts					Foreign Exchange Contracts
	Options Purchased(5)			Options Written(3)		Options Purchased(5)			Options Written(3)		Options Purchased(5)			Options Written(3)
Multi-Managed Growth Portfolio	$	—		$	—	$	—		$	—	$	(939	)	$	—
Multi-Managed Moderate Growth Portfolio		—			—		—			—		(2,646	)		—
Multi-Managed Income/Equity Portfolio		—			—		—			—		(3,157	)		—
Multi-Managed Income Portfolio		—			—		—			—		(3,185	)		—
Asset Allocation: Diversified Growth Portfolio		—			—		—			—		—			—
Diversified Fixed Income Portfolio		—			—		—			—		(36,752	)		—

343

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 period ended September 30, 2016.

	Average Amount Outstanding During the Period
Portfolio	Futures Contracts(1)		Foreign Exchange Contracts(2)		Purchased Options Contracts(1)		Interest Rate Swap Contracts(2)		Credit Default Swap Contracts(2)		Total Return Swap Contracts(1)		Written Call Option Contracts(1)		Written Put Option Contracts(1)
Multi-Managed Growth Portfolio	$	7,224,457	$	866,321	$	1,532	$	204,052	$	21,667	$	—	$	—	$	—
Multi-Managed Moderate Growth Portfolio		22,756,662		2,893,733		4,090		512,791		70,833		—		—		—
Multi-Managed Income/Equity Portfolio		24,306,736		3,772,926		4,947		648,115		84,167		—		—		—
Multi-Managed Income Portfolio		26,958,249		3,495,616		4,958		646,278		84,167		—		—		—
Asset Allocation: Diversified Growth Portfolio		49,091,572		11,203,822		—		—		—		12,480,282		839		9
Large Cap Growth Portfolio		1,194,383		—		—		—		—		—		—		—
Large Cap Value Portfolio		923,817		15,185,874		—		—		—		—		—		—
Mid Cap Growth Portfolio		607,560		—		—		—		—		—		—		—
Mid Cap Value Portfolio		607,560		—		—		—		—		—		—		—
Small Cap Portfolio		4,103,207		—		—		—		—		—		—		—
International Equity Portfolio		15,606,098		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		221,393,208		32,016,667		72,801		635,487		29,023,362		—		—		—
Real Return Portfolio		45,275,091		247,333,333		—		—		—		—		—		—

(1)  Amounts represent values in US dollars.

(2)  Amounts represent notional amounts in US dollars.

344

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, 2016. The repurchase agreements held by the Portfolios as of September 30, 2016, 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.	$	—	$	—	$	—	$	—	$	161	$	—	$	—	$	161	$	(161	)	$	—	$	(161	)
BNP Paribas SA		21		—		—		21		—		—		—		—		21			—		21
Citibank N.A.		161		—		—		161		5,994		—		—		5,994		(5,833	)		—		(5,833	)
Credit Suisse AG		275		—		—		275		—		—		—		—		275			—		275
Goldman Sachs International		706		53		1,220		1,979		1,435		—		—		1,435		544			—		544
JPMorgan Chase Bank		354		—		—		354		205		—		—		205		149			—		149
Morgan Stanley and Co., Inc.		—		—		—		—		293		—		—		293		(293	)		—		(293	)
Standard Chartered Bank		—		—		—		—		1,154		—		—		1,154		(1,154	)		—		(1,154	)
State Street Bank and Trust Co.		4		—		—		4		742		—		—		742		(738	)		—		(738	)
Total	$	1,521	$	53	$	1,220	$	2,794	$	9,984	$	—	$	—	$	9,984	$	(7,190	)	$	—	$	(7,190	)

(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.

345

	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.	$	76	$	—	$	—	$	76	$	7,216	$	—	$	—	$	7,216	$	(7,140	)	$	—	$	(7,140	)
BNP Paribas SA		60		—		—		60		—		—		—		—		60			—		60
Citibank N.A.		442		—		—		442		12,734		—		—		12,734		(12,292	)		—		(12,292	)
Commonwealth Bank of Australia Sydney		—		—		—		—		432		—		—		432		(432	)		—		(432	)
Credit Suisse AG		750		—		—		750		—		—		—		—		750			—		750
Goldman Sachs International		1,913		145		3,344		5,402		3,863		—		—		3,863		1,539			—		1,539
JPMorgan Chase Bank		964		—		—		964		559		—		—		559		405			—		405
Morgan Stanley and Co., Inc.		—		—		—		—		795		—		—		795		(795	)		—		(795	)
Standard Chartered Bank		—		—		—		—		3,112		—		—		3,112		(3,112	)		—		(3,112	)
State Street Bank and Trust Co.		11		—		—		11		1,599		—		—		1,599		(1,588	)		—		(1,588	)
UBS AG		—		—		—		—		437		—		—		437		(437	)		—		(437	)
Total	$	4,216	$	145	$	3,344	$	7,705	$	30,747	$	—	$	—	$	30,747	$	(23,042	)	$	—	$	(23,042	)

(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.

346

	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 Amount(3)
Bank of America, N.A.	$	13	$	—	$	—	$	13	$	9,907	$	—	$	—	$	9,907	$	(9,894	)	$	—	$	(9,894	)
BNP Paribas SA		73		—		—		73		—		—		—		—		73			—		73
Citibank N.A.		1,511		—		—		1,511		15,799		—		—		15,799		(14,288	)		—		(14,288	)
Credit Suisse AG		896		—		—		896		—		—		—		—		896			—		896
Goldman Sachs International		2,306		173		4,003		6,482		4,651		—		—		4,651		1,831			—		1,831
JPMorgan Chase Bank		1,155		—		—		1,155		668		—		—		668		487			—		487
Morgan Stanley and Co., Inc.		—		—		—		—		960		—		—		960		(960	)		—		(960	)
Standard Chartered Bank		—		—		—		—		3,767		—		—		3,767		(3,767	)		—		(3,767	)
State Street Bank and Trust Co.		15		—		—		15		1,907		—		—		1,907		(1,892	)		—		(1,892	)
UBS AG		—		—		—		—		2,855		—		—		2,855		(2,855	)		—		(2,855	)
Total	$	5,969	$	173	$	4,003	$	10,145	$	40,514	$	—	$	—	$	40,514	$	(30,369	)	$	—	$	(30,369	)

(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.

347

	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 Amount(3)
Bank of America, N.A.	$	150	$	—	$	—	$	150	$	7,310	$	—	$	—	$	7,310	$	(7,160	)	$	—	$	(7,160	)
BNP Paribas SA		73		—		—		73		—		—		—		—		73			—		73
Citibank N.A.		1,514		—		—		1,514		15,777		—		—		15,777		(14,263	)		—		(14,263	)
Credit Suisse AG		900		—		—		900		—		—		—		—		900			—		900
Goldman Sachs International		2,309		174		4,019		6,502		4,660		—		—		4,660		1,842			—		1,842
JPMorgan Chase Bank		1,159		—		—		1,159		670		—		—		670		489			—		489
Morgan Stanley and Co., Inc.		—		—		—		—		949		—		—		949		(949	)		—		(949	)
Standard Chartered Bank		—		—		—		—		3,742		—		—		3,742		(3,742	)		—		(3,742	)
State Street Bank and Trust Co.		14		—		—		14		1,909		—		—		1,909		(1,895	)		—		(1,895	)
UBS AG		—		—		—		—		1,344		—		—		1,344		(1,344	)		—		(1,344	)
Total	$	6,119	$	174	$	4,019	$	10,312	$	36,361	$	—	$	—	$	36,361	$	(26,049	)	$	—	$	(26,049	)

(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.

348

	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 Amount(3)
Bank of America, N.A.	$	4	$	—	$	—	$	4	$	37,409	$	—	$	—	$	37,409	$	(37,405	)	$	—	$	(37,405	)
Barclays Bank PLC		2,505		—		—		2,505		26		—		—		26		2,479			—		2,479
Citibank N.A.		1,390		95,778		—		97,168		—		—		—		—		97,168			—		97,168
Credit Suisse AG		20,861		—		—		20,861		2,482		—		—		2,482		18,379			—		18,379
Goldman Sachs International		—		—		—		—		—		2,466		—		2,466		(2,466	)		—		(2,466	)
JPMorgan Chase Bank		5,364		—		—		5,364		6,148		—		—		6,148		(784	)		—		(784	)
State Street Bank and Trust Co.		9,384		—		—		9,384		—		—		—		—		9,384			—		9,384
UBS AG		8,824		—		—		8,824		—		—		—		—		8,824			—		8,824
Total	$	48,332	$	95,778	$	—	$	144,110	$	46,065	$	2,466	$	—	$	48,531	$	95,579		$	—	$	95,579

(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.

349

	Large Cap Value 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)
Credit Suisse AG	$	7,077					$	7,077	$	279					$	279	$	6,798		$	—	$	6,798
Morgan Stanley Capital Services, Inc.		—		—		—		—		54,615		—		—		54,615		(54,615	)		—		(54,615	)
UBS AG		—		—		—		—		24,794		—		—		24,794		(24,794	)		—		(24,794	)
Total	$	7,077	$	—	$	—	$	7,077	$	79,688	$	—	$	—	$	79,688	$	(72,611	)	$	—	$	(72,611	)

(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.

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	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 Amount(3)
Bank of America, N.A.	$	—	$	—	$	—	$	—	$	69,422	$	—	$	—	$	69,422	$	(69,422	)	$	—	$	(69,422	)
BNP Paribas SA		950		—		—		950		—		—		—		—		950			—		950
Citibank N.A.		18,761		—		—		18,761		45,207		—		—		45,207		(26,446	)		—		(26,446	)
Credit Suisse AG		11,817		—		—		11,817		—		—		—		—		11,817			—		11,817
Goldman Sachs International		30,144		40,582		52,602		123,328		60,182		—		—		60,182		63,146			—		63,146
HSBC Bank USA, N.A.		—		—		—		—		11,529		—		—		11,529		(11,529	)		—		(11,529	)
JPMorgan Chase Bank		15,209		—		—		15,209		29,040		—		—		29,040		(13,831	)		—		(13,831	)
Morgan Stanley and Co., Inc.		—		—		—		—		12,685		—		—		12,685		(12,685	)		—		(12,685	)
Standard Chartered Bank		—		—		—		—		13,455		—		—		13,455		(13,455	)		—		(13,455	)
State Street Bank and Trust Co.		181		—		—		181		18,522		—		—		18,522		(18,341	)		—		(18,341	)
UBS AG		—		—		—		—		8,616		—		—		8,616		(8,616	)		—		(8,616	)
Total	$	77,062	$	40,582	$	52,602	$	170,246	$	268,658	$	—	$	—	$	268,658	$	(98,412	)	$	—	$	(98,412	)

(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.

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	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 Amount(3)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	18,761	$	—	$	—	$	18,761	$	(18,761	)	$	—	$	(18,761	)
Commonwealth Bank of Australia Sydney		—		—		—		—		15,807		—		—		15,807		(15,807	)		—		(15,807	)
National Australia Bank, Ltd.		—		—		—		—		38,248		—		—		38,248		(38,248	)		—		(38,248	)
Royal Bank of Canada		386		—		—		386		—		—		—		—		386			—		386
UBS AG		—		—		—		—		186,460		—		—		186,460		(186,460	)		—		(186,460	)
Westpac Banking Corp.		—		—		—		—		20,323		—		—		20,323		(20,323	)		—		(20,323	)
Total	$	386	$	—	$	—	$	386	$	279,599	$	—	$	—	$	279,599	$	(279,213	)	$	—	$	(279,213	)

(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.

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As of September 30, 2016, 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		0.27	%	$	160,000
Multi-Managed Moderate Growth		0.45			270,000
Multi-Managed Income/Equity		1.02			610,000
Multi-Managed Income		1.20			720,000
Large Cap Value		3.08			1,845,000
Mid Cap Growth		0.17			100,000
Diversified Fixed Income		9.20			5,520,000
Real Return		7.77			4,660,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Bank of America Securities LLC, dated September 30, 2016, bearing interest at a rate of 0.47% per annum, with a principal amount of $60,000,000, a repurchase price of $60,002,350, and a maturity date of October 03, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.13	%	02/28/21	$	60,995,900	$	61,197,638

As of September 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.27	%	$	80,000
Multi-Managed Moderate Growth		0.45			135,000
Multi-Managed Income/Equity		1.02			305,000
Multi-Managed Income		1.20			360,000
Large Cap Value		3.07			920,000
Mid Cap Growth		0.17			50,000
Diversified Fixed Income		9.20			2,760,000
Real Return		7.77			2,330,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated September 30, 2016, bearing interest at a rate of 0.45% per annum, with a principal amount of $30,000,000, a repurchase price of $30,001,125, and a maturity date of October 03, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.75	%	02/15/24	$	27,845,000	$	30,581,557

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As of September 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.27	%	$	160,000
Multi-Managed Moderate Growth		0.45			270,000
Multi-Managed Income/Equity		1.02			610,000
Multi-Managed Income		1.20			720,000
Large Cap Value		3.08			1,845,000
Mid Cap Growth		0.17			100,000
Diversified Fixed Income		9.20			5,520,000
Real Return		7.77			4,660,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated September 30, 2016, bearing interest at a rate of 0.45% per annum, with a principal amount of $60,000,000, a repurchase price of $60,002,250, and a maturity date of October 03, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.75	%	02/15/24	$	55,699,700	$	61,173,867

As of September 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.28	%	$	320,000
Multi-Managed Moderate Growth		0.46			520,000
Multi-Managed Income/Equity		1.02			1,155,000
Multi-Managed Income		1.21			1,360,000
Large Cap Value		3.10			3,490,000
Mid Cap Growth		0.17			195,000
Diversified Fixed Income		9.20			10,370,000
Real Return		7.77			8,755,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated September 30, 2016, bearing interest at a rate of 0.49% per annum, with a principal amount of $112,710,000, a repurchase price of $112,714,602, and a maturity date of October 03, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		3.63	%	02/15/20	$	105,238,000	$	115,081,516

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As of September 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Multi-Managed Growth		0.27	%	$	40,000
Multi-Managed Moderate Growth		0.43			65,000
Multi-Managed Income/Equity		1.00			150,000
Multi-Managed Income		1.20			180,000
Large Cap Value		3.07			460,000
Mid Cap Growth		0.17			25,000
Diversified Fixed Income		9.20			1,380,000
Real Return		7.77			1,165,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated September 30, 2016, bearing interest at a rate of 0.44% per annum, with a principal amount of $15,000,000, a repurchase price of $15,000,550, and a maturity date of October 03, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		0.50	%	01/31/17	$	15,288,000	$	15,311,076

As of September 30, 2016, 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		0.16	%	$	680,000
Large Cap Value		0.07			285,000
Mid Cap Growth		0.10			401,000
Mid Cap Value		0.05			220,000
Small Cap		0.14			595,000
International Equity		1.68			6,992,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

State Street Bank and Trust Co., dated September 30, 2016, bearing interest at a rate of 0.01% per annum, with a principal amount of $416,353,000, a repurchase price of $416,353,347, and a maturity date of October 03, 2016. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		3.38	%	11/15/19	$	98,560,000	$	107,353,425
U.S. Treasury Notes		3.50		05/15/20		200,000,000		220,500,000
U.S. Treasury Bonds		7.88		02/15/21		25,000,000		32,523,450
U.S. Treasury Bonds		8.50		02/15/20		25,000,000		31,566,400
U.S. Treasury Bonds		8.75		05/15/20		25,000,000		32,738,275

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, 2016, 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 Portfolio's 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, 2016, 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 2012-2014 or expected to be taken in each Portfolio's 2015 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 2012.

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

357

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(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, 2016, the amount of advisory fees waived was $63,434.

(2)  The Adviser contractually agreed to waive 0.04% of advisory fees for the International Equity Portfolio. For the six months ended September 30, 2016, the amount of advisory fees waived was $148,791.

(3)  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 six months ended September 30, 2016, the amount of advisory fees waived was $278,334.

(4)  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. For the six months ended September 30, 2016, the amount of advisory fees waived was $571,217.

(5)  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 SAAMCo equals 0.09% of average daily net assets. For the six months ended September 30, 2016, the amount of advisory fees waived was $4,541, $26,152, $16,284 and $12,794, respectively.

358

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 American Century Investment Management, Inc. 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	PNC Capital Advisors, LLC J.P. Morgan SAAMCo
International Equity	Janus T. Rowe Price SAAMCo
Diversified Fixed Income	PineBridge WMC
Real Return	WMC
SA Columbia Focused Growth	Columbia Management Investment Advisers LLC ("Columbia")
SA Columbia Focused Value	Columbia
Allocation Growth	SAAMCo
Allocation Moderate Growth	SAAMCo
Allocation Moderate	SAAMCo
Allocation Balanced	SAAMCo

The Adviser has voluntarily agreed to waive fees or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each of the Portfolios' average net assets. Annual operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and/or infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio

359

securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Portfolio's business.

Portfolio	Class 1			Class 2			Class 3
SA Columbia Focused Growth		1.30	%		1.45	%		1.55	%
SA Columbia Focused Value		1.30			1.45			1.55

The Adviser may voluntarily waive additional fees or reimburse expenses 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, 2016, none of the Portfolios listed above voluntarily 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 and certain other mutual funds advised by SAAMCo 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, 2016, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.

Class 2 and Class 3 shares of each Portfolio 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 are 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, 2016, service fees were paid (see Statement of Operations) based on the aforementioned rates.

The Board of Trustees has approved a Plan of Distribution pursuant to Rule 12b-1 (the "MAPs 12b-1 Plan") under the 1940 Act, on behalf of Class 3 shares of each Seasons Managed Allocation Portfolio. The MAPs 12b-1 Plan was approved by Class 3 shareholders with respect to each Portfolio at a special joint meeting of shareholders held on July 12, 2016. Effective July 29, 2016, Class 3 shares of each Portfolio are subject to a service fee under the MAPs 12b-1 Plan at the annual rate of up to 0.25% of the average daily net assets of the class. Upon the effective date of the MAPs 12b-1 Plan, each Managed Allocation Portfolio's holdings in the Underlying Portfolios converted from Class 3 shares to Class 1 shares of the Underlying Portfolios, which are not subject to any such service fees. As a result, the adoption of the MAPs 12b-1 Plan by the Managed Allocation Portfolios is not expected to have any impact on the total annual operating expenses payable by the Class 3 shares of the Portfolios.

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, 2016
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses		Unrealized Appreciation (Depreciation)*		Ordinary Income		Long-term Capital Gains
Multi-Managed Growth	$	207,179	$	3,536,614	$	5,153,178	$	2,021,499	$	7,303,632
Multi-Managed Moderate Growth		857,823		6,777,122		5,531,764		4,361,318		11,202,605
Multi-Managed Income/Equity		915,494		2,728,939		2,220,944		3,391,481		5,750,159
Multi-Managed Income		1,104,801		948,933		1,138,211		2,832,787		2,522,646
Asset Allocation: Diversified Growth		1,025,491		10,475,076		3,930,168		5,570,897		13,131,335
Stock		—		42,728,794		77,124,681		—		34,289,338

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	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2016
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-term Capital Gains
Large Cap Growth	$	2,057,560	$	15,155,845		$	78,905,660		$	10,989,284	$	37,564,488
Large Cap Value		16,754,547		32,660,324			29,057,543			24,267,991		38,703,525
Mid Cap Growth		—		10,247,877			24,533,030			641,489		13,461,364
Mid Cap Value		3,155,064		5,604,797			12,209,641			13,819,000		42,403,192
Small Cap		609,823		4,689,071			15,877,205			2,731,766		16,965,986
International Equity		13,033,332		(58,979,567	)		(43,888,422	)		8,845,356		—
Diversified Fixed Income		20,803,038		2,129,415			23,740,998			24,771,192		6,543,524
Real Return		—		(3,494,908	)		(11,406,294	)		23,607,543		—
SA Columbia Focused Growth		557,949		18,385,031			(18,085,938	)		188,685		19,329,499
SA Columbia Focused Value		4,586,558		33,617,554			(12,746,418	)		3,127,987		3,014,073
Allocation Growth		1,524,052		2,089,038			(3,269,571	)		1,393,950		—
Allocation Moderate Growth		9,027,944		68,945,877			886,575			7,563,752		43,890,397
Allocation Moderate		5,709,081		33,431,087			(3,300,204	)		4,415,304		23,414,382
Allocation Balanced		4,602,451		22,827,279			2,085,892			3,490,952		17,983,880

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

As of March 31, 2016, 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†
Portfolio	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		—		55,762,054		—		1,257,754		1,959,759
Diversified Fixed Income		—		—		—		—		—
Real Return		—		—		—		3,285,528		209,380
SA Columbia Focused Growth		—		—		—		—		—
SA Columbia Focused Value		—		—		—		—		—
Allocation Growth		—		—		—		—		—
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, a 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.

361

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, 2016, 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		181,075		—		—
Large Cap Growth		—		—		—
Large Cap Value		—		—		—
Mid Cap Growth		20,433		—		—
Mid Cap Value		—		—		—
Small Cap		—		—		—
International Equity		—		2,567,518		2,820,824
Diversified Fixed Income		—		—		—
Real Return		3,581,014		—		—
SA Columbia Focused Growth		—		—		—
SA Columbia Focused Value		—		—		—
Allocation Growth		—		—		—
Allocation Moderate Growth		—		—		—
Allocation Moderate		—		—		—
Allocation Balanced		—		—		—

The amounts of aggregate unrealized gain (loss) and the cost of investment securities for Federal tax purposes, including short-term securities and repurchase agreements, were as follows:

Portfolio	Aggregate Unrealized Gain		Aggregate Unrealized Loss			Net Unrealized Gain/(Loss)			Cost of Investments
Multi-Managed Growth	$	7,632,547	$	(1,324,346	)	$	6,308,201		$	52,903,249
Multi-Managed Moderate Growth10,558,931 (2,263,901) 8,295,030 98,632,233 Multi-Managed Income/Equity		4,668,605		(1,148,863	)		3,519,742			80,134,188
Multi-Managed Income		2,938,564		(821,456	)		2,117,108			67,090,766
Asset Allocation: Diversified Growth		10,497,450		(4,545,471	)		5,951,979			120,333,156
Stock		96,065,363		(8,687,178	)		87,378,185			355,134,873
Large Cap Growth		94,978,087		(7,330,848	)		87,647,239			412,970,316
Large Cap Value		106,300,381		(37,682,852	)		68,617,529			961,535,304
Mid Cap Growth		36,016,380		(8,841,759	)		27,174,621			172,894,811
Mid Cap Value		33,725,414		(11,643,511	)		22,081,903			280,959,645
Small Cap		54,818,797		(12,586,358	)		42,232,439			285,133,633
International Equity		59,662,241		(69,239,958	)		(9,577,717	)		723,799,776
Diversified Fixed Income		46,897,704		(3,928,766	)		42,968,938			1,271,527,107
Real Return		5,927,843		(16,452,170	)		(10,524,327	)		584,844,655
SA Columbia Focused Growth		16,313,759		(8,620,149	)		7,693,610			150,195,276
SA Columbia Focused Value		35,276,568		(17,287,586	)		17,988,982			349,155,408
Allocation Growth		4,670,207		(6,161,732	)		(1,491,525	)		89,829,772
Allocation Moderate Growth		33,316,393		(22,145,383	)		11,171,010			509,228,054
Allocation Moderate		18,478,380		(11,766,945	)		6,711,435			321,468,633
Allocation Balanced		12,843,397		(3,779,863	)		9,063,534			243,294,690

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Note 5.  Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the six months ended September 30, 2016, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.

Note 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, 2016 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	$	11,299,951	$	17,860,448	$	712,661	$	843,235
Multi-Managed Moderate Growth		19,308,901		27,147,830		2,539,529		1,599,363
Multi-Managed Income/Equity		12,873,195		19,307,596		2,185,767		2,213,275
Multi-Managed Income		9,906,905		15,657,247		868,779		1,898,032
Asset Allocation: Diversified Growth		50,046,756		69,916,042		13,610,777		13,303,463
Stock		69,587,239		129,113,391		—		—
Large Cap Growth		98,886,646		95,184,416		—		—
Large Cap Value		197,614,841		186,997,982		—		—
Mid Cap Growth		53,658,168		87,665,196		—		—
Mid Cap Value		102,360,277		131,344,524		—		—
Small Cap		47,785,176		62,724,171		—		—
International Equity		106,669,205		147,473,048		—		—
Diversified Fixed Income		173,022,416		190,023,983		55,351,698		96,111,968
Real Return		40,363,455		40,115,664		98,449,823		125,311,494
SA Columbia Focused Growth Portfolio		31,505,105		99,123,811		—		—
SA Columbia Focused Value Portfolio		34,738,661		16,443,602		—		—
Allocation Growth		12,449,499		21,157,207		—		—
Allocation Moderate Growth		64,980,694		93,773,152		—		—
Allocation Moderate		48,449,584		58,852,769		—		—
Allocation Balanced		30,968,709		46,508,494		—		—

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, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,933		$	32,612			27,257		$	503,524			4,568		$	76,693			29,541		$	526,656
Reinvested dividends		—			—			113,064			1,793,860			—			—			200,275			3,176,259
Shares redeemed		(94,304	)		(1,536,317	)		(126,032	)		(2,157,173	)		(112,419	)		(1,836,039	)		(168,300	)		(2,926,075	)
Net increase (decrease)		(92,371	)	$	(1,503,705	)		14,289		$	140,211			(107,851	)	$	(1,759,346	)		61,516		$	776,840
	Multi-Managed Growth Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		17,751		$	294,395			159,207		$	2,864,770
Reinvested dividends		—			—			275,210			4,355,012
Shares redeemed		(213,880	)		(3,484,160	)		(552,220	)		(9,963,703	)
Net increase (decrease)		(196,129	)	$	(3,189,765	)		(117,803	)	$	(2,743,921	)

363

	Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,717		$	61,138			22,161		$	304,354			35,731		$	457,364			112,861		$	1,530,763
Reinvested dividends		—			—			140,524			1,734,180			—			—			591,168			7,287,325
Shares redeemed		(102,008	)		(1,311,597	)		(194,989	)		(2,738,686	)		(323,800	)		(4,121,648	)		(598,649	)		(8,225,278	)
Net increase (decrease)		(97,291	)	$	(1,250,459	)		(32,304	)	$	(700,152	)		(288,069	)	$	(3,664,284	)		105,380		$	592,810
	Multi-Managed Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		82,341		$	1,066,725			121,302		$	1,692,238
Reinvested dividends		—			—			531,730			6,542,418
Shares redeemed		(289,772	)		(3,691,880	)		(2,158,891	)		(31,203,474	)
Net increase (decrease)		(207,431	)	$	(2,625,155	)		(1,505,859	)	$	(22,968,818	)
	Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		15,433		$	175,041			71,822		$	850,936			44,433		$	506,949			230,349		$	2,652,739
Reinvested dividends		—			—			115,396			1,252,635			—			—			451,012			4,890,173
Shares redeemed		(79,392	)		(892,172	)		(247,331	)		(2,988,570	)		(278,860	)		(3,139,638	)		(766,684	)		(9,029,595	)
Net increase (decrease)		(63,959	)	$	(717,131	)		(60,113	)	$	(884,999	)		(234,427	)	$	(2,632,689	)		(85,323	)	$	(1,486,683	)
	Multi-Managed Income/Equity Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		75,252		$	851,180			147,267		$	1,744,343
Reinvested dividends		—			—			276,889			2,998,832
Shares redeemed		(286,318	)		(3,236,946	)		(1,977,063	)		(24,129,864	)
Net increase (decrease)		(211,066	)	$	(2,385,766	)		(1,552,907	)	$	(19,386,689	)

364

	Multi-Managed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		10,075		$	114,206			42,604		$	485,044			41,400		$	471,756			223,980		$	2,570,463
Reinvested dividends		—			—			60,661			655,742			—			—			266,142			2,873,585
Shares redeemed		(35,751	)		(403,614	)		(306,756	)		(3,610,191	)		(201,956	)		(2,274,880	)		(678,403	)		(7,821,587	)
Net increase (decrease)		(25,676	)	$	(289,408	)		(203,491	)	$	(2,469,405	)		(160,556	)	$	(1,803,124	)		(188,281	)	$	(2,377,539	)
	Multi-Managed Income Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		41,358		$	472,961			285,923		$	3,294,739
Reinvested dividends		—			—			169,345			1,826,106
Shares redeemed		(321,842	)		(3,593,624	)		(1,579,800	)		(18,626,090	)
Net increase (decrease)		(280,484	)	$	(3,120,663	)		(1,124,532	)	$	(13,505,245	)
	Asset Allocation: Diversified Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,531		$	88,033			89,981		$	1,180,420			23,124		$	270,956			315,354		$	4,035,338
Reinvested dividends		—			—			224,569			2,576,396			—			—			760,132			8,723,093
Shares redeemed		(158,656	)		(1,868,686	)		(371,269	)		(4,878,561	)		(421,552	)		(4,959,493	)		(882,127	)		(11,359,543	)
Net increase (decrease)		(151,125	)	$	(1,780,653	)		(56,719	)	$	(1,121,745	)		(398,428	)	$	(4,688,537	)		193,359		$	1,398,888
	Asset Allocation: Diversified Growth Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		86,175		$	1,026,425			376,802		$	4,923,428
Reinvested dividends		—			—			646,023			7,402,743
Shares redeemed		(525,347	)		(6,181,652	)		(966,844	)		(12,609,127	)
Net increase (decrease)		(439,172	)	$	(5,155,227	)		55,981		$	(282,956	)

365

	Stock Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		55,978		$	1,318,713			1,800,949		$	45,786,970			28,989		$	664,057			152,596		$	3,488,885
Reinvested dividends		—			—			1,141,023			27,443,745			—			—			152,647			3,603,791
Shares redeemed		(2,315,149	)		(55,838,671	)		(1,371,021	)		(35,765,242	)		(208,373	)		(4,892,881	)		(451,345	)		(11,048,022	)
Net increase (decrease)		(2,259,171	)	$	(54,519,958	)		1,570,951		$	37,465,473			(179,384	)	$	(4,228,824	)		(146,102	)	$	(3,955,346	)
	Stock Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		50,604		$	1,164,238			191,940		$	4,509,975
Reinvested dividends		—			—			138,864			3,241,802
Shares redeemed		(249,773	)		(5,792,137	)		(506,308	)		(12,351,174	)
Net increase (decrease)		(199,169	)	$	(4,627,899	)		(175,504	)	$	(4,599,397	)
	Large Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		15,816,474		$	206,568,857			5,277,473		$	73,551,908			14,357		$	179,849			70,598		$	924,653
Reinvested dividends		—			—			1,887,617			23,577,647			—			—			295,896			3,631,466
Shares redeemed		(1,063,852	)		(13,788,192	)		(3,221,995	)		(45,176,077	)		(276,880	)		(3,465,447	)		(517,556	)		(6,748,395	)
Net increase (decrease)		14,752,622		$	192,780,665			3,943,095		$	51,953,478			(262,523	)	$	(3,285,598	)		(151,062	)	$	(2,192,276	)
	Large Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		315,216		$	3,949,576			3,414,199		$	46,091,488
Reinvested dividends		—			—			1,754,760			21,344,659
Shares redeemed		(15,297,867	)		(193,346,172	)		(3,237,628	)		(40,521,407	)
Net increase (decrease)		(14,982,651	)	$	(189,396,596	)		1,931,331		$	26,914,740

366

	Large Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		12,122,413		$	198,465,656			7,724,485		$	127,451,345			38,862		$	621,995			24,206		$	372,610
Reinvested dividends		—			—			3,370,248			50,348,737			—			—			131,813			1,968,457
Shares redeemed		(2,199,458	)		(35,189,134	)		(394,525	)		(5,910,539	)		(191,978	)		(3,079,886	)		(408,267	)		(6,654,043	)
Net increase (decrease)		9,922,955		$	163,276,522			10,700,208		$	171,889,543			(153,116	)	$	(2,457,891	)		(252,248	)	$	(4,312,976	)
	Large Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		3,359,765		$	52,851,274			1,269,978		$	17,921,615
Reinvested dividends		—			—			713,633			10,654,322
Shares redeemed		(12,514,919	)		(204,251,296	)		(7,782,838	)		(127,697,906	)
Net increase (decrease)		(9,155,154	)	$	(151,400,022	)		(5,799,227	)	$	(99,121,969	)
	Mid Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,187,715		$	19,919,420			1,148,126		$	19,644,503			6,172		$	98,881			21,906		$	359,412
Reinvested dividends		—			—			523,751			8,223,992			—			—			97,964			1,485,218
Shares redeemed		(252,169	)		(4,138,450	)		(761,988	)		(13,446,053	)		(138,172	)		(2,161,026	)		(268,901	)		(4,366,846	)
Net increase (decrease)		935,546		$	15,780,970			909,889		$	14,422,442			(132,000	)	$	(2,062,145	)		(149,031	)	$	(2,522,216	)
	Mid Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		31,444		$	483,122			1,708,959		$	29,143,556
Reinvested dividends		—			—			295,610			4,393,643
Shares redeemed		(3,257,679	)		(49,878,984	)		(982,031	)		(15,094,288	)
Net increase (decrease)		(3,226,235	)	$	(49,395,862	)		1,022,538		$	18,442,911

367

	Mid Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,340,164		$	22,721,615			5,134,081		$	101,900,589			33,080		$	551,552			27,210		$	472,250
Reinvested dividends		—			—			2,686,104			40,936,190			—			—			316,915			4,819,886
Shares redeemed		(952,683	)		(16,100,098	)		(2,521,732	)		(46,472,269	)		(192,451	)		(3,181,614	)		(310,241	)		(5,665,997	)
Net increase (decrease)		387,481		$	6,621,517			5,298,453		$	96,364,510			(159,371	)	$	(2,630,062	)		33,884		$	(373,861	)
	Mid Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		79,433		$	1,288,786			303,355		$	4,554,584
Reinvested dividends		—			—			689,331			10,466,116
Shares redeemed		(2,201,393	)		(36,852,293	)		(3,361,398	)		(62,348,755	)
Net increase (decrease)		(2,121,960	)	$	(35,563,507	)		(2,368,712	)	$	(47,328,055	)
	Small Cap Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,563,955		$	32,663,725			10,284,839		$	128,196,216			3,227		$	39,454			47,465		$	583,969
Reinvested dividends		—			—			1,183,807			14,266,738			—			—			123,700			1,457,266
Shares redeemed		(633,953	)		(7,984,904	)		(1,370,610	)		(18,410,477	)		(139,861	)		(1,708,989	)		(321,768	)		(4,143,845	)
Net increase (decrease)		1,930,002		$	24,678,821			10,098,036		$	124,052,477			(136,634	)	$	(1,669,535	)		(150,603	)	$	(2,102,610	)
	Small Cap Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		51,703		$	622,444			532,898		$	6,275,721
Reinvested dividends		—			—			341,991			3,973,748
Shares redeemed		(3,525,590	)		(43,097,013	)		(2,611,278	)		(34,387,490	)
Net increase (decrease)		(3,473,887	)	$	(42,474,569	)		(1,736,389	)	$	(24,138,021	)

368

	International Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		25,085,115		$	197,476,360			18,200,311		$	150,914,235			59,227		$	456,784			113,059		$	954,716
Reinvested dividends		—			—			768,075			6,074,171			—			—			33,529			265,717
Shares redeemed		(5,625,140	)		(45,182,147	)		(2,896,787	)		(25,707,616	)		(326,015	)		(2,584,086	)		(577,790	)		(4,824,180	)
Net increase (decrease)		19,459,975		$	152,294,213			16,071,599		$	131,280,790			(266,788	)	$	(2,127,302	)		(431,202	)	$	(3,603,747	)
	International Equity Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		269,299		$	2,098,928			4,315,076		$	35,854,121
Reinvested dividends		—			—			317,135			2,505,468
Shares redeemed		(27,731,038	)		(217,665,627	)		(5,289,941	)		(44,289,637	)
Net increase (decrease)		(27,461,739	)	$	(215,566,699	)		(657,730	)	$	(5,930,048	)
	Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		34,853,516		$	421,061,964			10,836,140		$	127,561,044			84,935		$	1,011,652			383,721		$	4,424,604
Reinvested dividends		—			—			1,697,161			19,459,803			—			—			71,459			818,762
Shares redeemed		(4,488,610	)		(54,155,551	)		(2,080,306	)		(24,042,939	)		(556,448	)		(6,664,816	)		(682,980	)		(7,984,351	)
Net increase (decrease)		30,364,906		$	366,906,413			10,452,995		$	122,977,908			(471,513	)	$	(5,653,164	)		(227,800	)	$	(2,740,985	)
	Diversified Fixed Income Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		1,170,304		$	13,826,178			9,156,324		$	106,551,440
Reinvested dividends		—			—			968,057			11,036,151
Shares redeemed		(37,012,100	)		(443,554,859	)		(6,899,876	)		(79,729,103	)
Net increase (decrease)		(35,841,796	)	$	(429,728,681	)		3,224,505		$	37,858,488

369

	Real Return Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		3,821,914		$	37,109,870			1,752,756		$	17,195,684			2,277,366		$	21,946,912			4,459,950		$	42,734,697
Reinvested dividends		—			—			696,974			6,524,327			—			—			1,833,477			17,083,216
Shares redeemed		(1,940,475	)		(18,535,639	)		(5,130,324	)		(50,651,908	)		(6,500,190	)		(62,518,877	)		(10,494,299	)		(101,464,512	)
Net increase (decrease)		1,881,439		$	18,574,231			(2,680,594	)	$	(26,931,897	)		(4,222,824	)	$	(40,571,965	)		(4,200,872	)	$	(41,646,599	)
	SA Columbia Focused Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,771,484		$	17,101,672			5,877,695		$	55,110,827			3,752		$	32,607			55,312		$	502,132
Reinvested dividends		—			—			1,307,260			12,385,264			—			—			318,040			2,909,028
Shares redeemed		(7,115,483	)		(65,020,036	)		(103,638	)		(868,080	)		(312,428	)		(2,795,283	)		(582,304	)		(5,744,689	)
Net increase (decrease)		(5,343,999	)	$	(47,918,364	)		7,081,317		$	66,628,011			(308,676	)	$	(2,762,676	)		(208,952	)	$	(2,333,529	)
	SA Columbia Focused Growth Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		61,150		$	536,764			906,245		$	9,407,494
Reinvested dividends		—			—			471,393			4,223,892
Shares redeemed		(2,170,225	)		(19,666,505	)		(965,336	)		(9,327,496	)
Net increase (decrease)		(2,109,075	)	$	(19,129,741	)		412,302		$	4,303,890
	SA Columbia Focused Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		2,534,590		$	43,985,917			2,253,894		$	39,282,826			19,282		$	345,321			25,241		$	416,863
Reinvested dividends		—			—			324,908			5,390,918			—			—			15,507			257,182
Shares redeemed		(768,874	)		(13,849,088	)		(916,489	)		(16,504,009	)		(82,801	)		(1,468,339	)		(179,745	)		(3,082,466	)
Net increase (decrease)		1,765,716		$	30,136,829			1,662,313		$	28,169,735			(63,519	)	$	(1,123,018	)		(138,997	)	$	(2,408,421	)

370

	SA Columbia Focused Value Portfolio
	Class 3
	For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount
Shares sold		16,715		$	297,702			270,558		$	4,412,720
Reinvested dividends		—			—			29,837			493,960
Shares redeemed		(1,235,451	)		(22,114,007	)		(357,062	)		(6,110,330	)
Net increase (decrease)		(1,218,736	)	$	(21,816,305	)		(56,667	)	$	(1,203,650	)
	Allocation Growth Portfolio
	Class 1						Class 3
	For the period September 26, 2016@ through September 30, 2016 (unaudited)						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,930		$	100,000			160,550		$	2,058,686			513,079		$	6,617,382
Reinvested dividends		—			—			287,411			3,613,090			112,412			1,393,950
Shares redeemed		—			—			(841,191	)		(10,753,981	)		(1,560,052	)		(19,973,967	)
Net increase (decrease)		7,930		$	100,000			(393,230	)	$	(5,082,205	)		(934,561	)	$	(11,962,635	)
	Allocation Moderate Growth Portfolio
	Class 1						Class 3
	For the period September 26, 2016@ through September 30, 2016 (unaudited)						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,346		$	100,000			583,632		$	7,047,644			1,632,620		$	21,237,067
Reinvested dividends		—			—			7,310,179			77,973,821			4,333,500			51,454,149
Shares redeemed		—			—			(2,909,497	)		(35,468,953	)		(6,275,421	)		(80,696,575	)
Net increase (decrease)		9,346		$	100,000			4,984,314		$	49,552,512			(309,301	)	$	(8,005,359	)
	Allocation Moderate Portfolio
	Class 1						Class 3
	For the period September 26, 2016@ through September 30, 2016 (unaudited)						For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		9,375		$	100,000			1,085,442		$	12,923,287			1,196,851		$	14,824,131
Reinvested dividends		—			—			3,680,841			39,140,168			2,434,405			27,829,686
Shares redeemed		—			—			(1,961,852	)		(23,116,427	)		(4,440,781	)		(53,972,650	)
Net increase (decrease)		9,375		$	100,000			2,804,431		$	28,947,028			(809,525	)	$	(11,318,833	)

@  Commencement of operations

371

	Allocation Balanced Portfolio
	Class 1				Class 3
	For the period September 26, 2016@ through September 30, 2016 (unaudited)				For the six months ended September 30, 2016 (unaudited)						For the year ended March 31, 2016
	Shares		Amount		Shares			Amount			Shares			Amount
Shares sold		9,607	$	100,000		519,263		$	5,889,228			1,407,510		$	16,567,418
Reinvested dividends		—		—		2,643,737			27,429,730			1,946,524			21,474,832
Shares redeemed		—		—		(1,859,976	)		(21,281,980	)		(4,475,636	)		(53,019,125	)
Net increase (decrease)		9,607	$	100,000		1,303,024		$	12,036,978			(1,121,602	)	$	(14,976,875	)

@  Commencement of operations

Note 8.  Transactions with Affiliates: The following Portfolios incurred brokerage commissions with affiliated brokers for the six months ended September 30, 2016:

Portfolio	Goldman Sachs & Co.		Wells Fargo
Mid Cap Value	$	3,491	$	2,592
Large Cap Growth		—		431

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, 2016, transactions in these securities were as follows:

Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2016		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)		Value at September 30, 2016
American International Group, Inc.	$	26,914	$	—	$	2,274,100	$	51,784	$	264,391	$	109,107	$	106,929	$	2,277,529

Mid Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2016		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)		Value at September 30, 2016
Allied World Assurance Co. Holdings AG	$	1,512	$	—	$	117,853	$	—	$	23,582	$	11,481	$	3,948	$	109,700

372

Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2016		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	—	$	—	$	14,841,276	$	689,876	$	896,802	$	(26,063	)	$	71,711		$	—
Diversified Fixed Income Portfolio, Class 1		—		—		—		65,280		1,304,163		10,095			380,254			13,831,464
International Equity Portfolio, Class 3		—		—		23,642,611		57,944		5,394,172		815,211			(680,677	)		—
International Equity Portfolio, Class 1		—		—		—		83,253		911,858		(2,515	)		577,747			18,187,544
Large Cap Growth Portfolio, Class 3		—		—		17,066,641		440,618		2,135,017		473,393			(15,035	)		—
Large Cap Growth Portfolio, Class 1		—		—		—		72,949		711,380		191,373			63,569			15,447,111
Large Cap Value Portfolio, Class 3		—		—		13,539,406		5,042,695		958,375		298,558			(1,950,285	)		—
Large Cap Value Portfolio, Class 1		—		—		—		84,489		823,915		269,810			2,449,786			17,952,169
Mid Cap Growth Portfolio, Class 3		—		—		5,520,385		10,440		2,941,472		(5,372	)		402,443			—
Mid Cap Growth Portfolio, Class 1		—		—		—		12,364		220,573		(3,245	)		(147,049	)		2,627,921
Mid Cap Value Portfolio, Class 3		—		—		3,732,836		711,393		1,646,690		(21,782	)		228,193			—
Mid Cap Value Portfolio, Class 1		—		—		—		13,600		232,630		(31,644	)		125,102			2,878,378
Real Return Portfolio, Class 3		—		—		1,368,764		2,848		314,057		(8,246	)		34,053			—
Real Return Portfolio, Class 1		—		—		—		4,945		48,229		(481	)		34			1,039,631
SA Columbia Focused Growth Portfolio, Class 3		—		—		1,488,298		3,832		89,568		(9,397	)		386,411			—
SA Columbia Focused Growth Portfolio, Class 1		—		—		—		7,418		72,344		(3,916	)		(190,979	)		1,519,755
SA Columbia Focused Value Portfolio, Class 3		—		—		1,808,321		4,272		197,358		62,748			(448,375	)		—
SA Columbia Focused Value Portfolio, Class 1		—		—		—		8,244		80,382		28,773			515,256			1,701,499
Small Cap Portfolio, Class 3		—		—		4,759,989		12,073		1,362,362		315,983			(505,123	)		—
Small Cap Portfolio, Class 1		—		—		—		16,486		160,764		37,178			558,397			3,671,857
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3		—		—		1,825,083		4,004,746		135,381		(1,789	)		41,634			—
High Yield Bond Portfolio, Class 1		379,226		—		—		406,015		261,241		4,062			(58,049	)		5,825,080
Real Estate Portfolio, Class 3		—		—		2,700,000		106,620		116,856		4,180			—			—
Real Estate Portfolio, Class 1		61,295		130,458		—		204,117		120,573		6,411			(61,034	)		2,722,865
Ultra Short Bond Portfolio, Class 1		—		—		—		953,961		21,045		(5	)		62			932,973
	$	440,521	$	130,458	$	92,293,610	$	13,020,478	$	21,157,207	$	2,403,320		$	1,778,046		$	88,338,247

†  Includes reinvestment of distributions paid.

373

Allocation Moderate Growth Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2016		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	—	$	—	$	149,457,579	$	3,833,347	$	5,754,812	$	198,043		$	1,794,840		$	—
Diversified Fixed Income Portfolio, Class 1		—		—		—		262,747		12,248,979		239,945			2,128,610			139,911,320
International Equity Portfolio, Class 3		—		—		107,139,852		311,327		25,337,610		2,594,079			(4,182,838	)		—
International Equity Portfolio, Class 1		—		—		—		147,870		1,840,357		(10,222	)		4,887,040			83,709,141
Large Cap Growth Portfolio, Class 3		—		—		85,841,739		1,778,784		10,232,788		2,113,068			(1,419,903	)		—
Large Cap Growth Portfolio, Class 1		—		—		—		145,026		1,804,966		449,685			2,430,889			79,301,534
Large Cap Value Portfolio, Class 3		—		—		66,735,849		23,107,918		3,036,112		1,281,183			(13,615,560	)		—
Large Cap Value Portfolio, Class 1		—		—		—		165,880		2,064,504		854,323			16,886,876			90,315,853
Mid Cap Growth Portfolio, Class 3		—		—		22,185,738		42,384		12,735,107		352,883			1,150,835			—
Mid Cap Growth Portfolio, Class 1		—		—		—		18,011		224,146		(19,221	)		(567,101	)		10,204,276
Mid Cap Value Portfolio, Class 3		—		—		15,981,645		47,963		4,831,579		1,382,156			(1,220,789	)		—
Mid Cap Value Portfolio, Class 1		—		—		—		21,801		271,335		90,883			885,687			12,086,432
Real Return Portfolio, Class 3		—		—		15,063,095		45,820		2,394,400		(49,731	)		522,667			—
Real Return Portfolio, Class 1		—		—		—		23,697		294,929		(9,543	)		(160,257	)		12,746,419
SA Columbia Focused Growth Portfolio, Class 3		—		—		7,379,457		25,901		291,109		(5,378	)		1,450,745			—
SA Columbia Focused Growth Portfolio, Class 1		—		—		—		13,270		1,165,160		79,001			(618,846	)		6,867,881
SA Columbia Focused Value Portfolio, Class 3		—		—		8,913,953		29,325		616,416		315,323			(2,702,665	)		—
SA Columbia Focused Value Portfolio, Class 1		—		—		—		15,166		188,755		100,880			3,098,519			8,965,330
Small Cap Portfolio, Class 3		—		—		18,734,847		58,234		4,707,500		1,887,437			(3,210,277	)		—
Small Cap Portfolio, Class 1		—		—		—		27,489		342,118		126,131			2,842,346			15,416,589
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3		—		—		15,718,767		21,709,008		722,215		(15,233	)		89,867			—
High Yield Bond Portfolio, Class 1		2,501,930		—		—		2,572,073		872,990		22,277			155,781			38,657,335
Real Estate Portfolio, Class 3		—		—		10,299,999		3,042,798		1,316,340		91,504			1			—
Real Estate Portfolio, Class 1		277,293		590,187		—		891,177		294,929		15,722			(342,677	)		12,387,255
Ultra Short Bond Portfolio, Class 1		—		—		—		10,013,088		183,996		(38	)		645			9,829,699
	$	2,779,223	$	590,187	$	523,452,520	$	68,350,104	$	93,773,152	$	12,085,157		$	10,284,435		$	520,399,064

†  Includes reinvestment of distributions paid.

374

Allocation Moderate Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2016		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	—	$	—	$	119,648,913	$	5,455,560	$	5,254,468	$	5,593		$	1,190,848		$	—
Diversified Fixed Income Portfolio, Class 1		—		—		—		448,160		11,202,265		(9,251	)		2,292,597			112,575,687
International Equity Portfolio, Class 3		—		—		52,282,989		1,057,199		12,933,616		493,032			(628,450	)		—
International Equity Portfolio, Class 1		—		—		—		157,524		940,364		172,596			1,559,575			41,220,485
Large Cap Growth Portfolio, Class 3		—		—		47,881,542		1,194,802		4,764,509		991,383			(2,584,620	)		—
Large Cap Growth Portfolio, Class 1		—		—		—		178,182		2,063,691		504,239			3,140,703			44,478,031
Large Cap Value Portfolio, Class 3		—		—		36,108,833		15,784,996		1,760,446		604,291			(6,739,280	)		—
Large Cap Value Portfolio, Class 1		—		—		—		206,588		1,233,265		422,375			8,787,037			52,181,129
Mid Cap Growth Portfolio, Class 3		—		—		12,052,732		121,391		7,727,386		(974,683	)		1,540,300			—
Mid Cap Growth Portfolio, Class 1		—		—		—		18,077		107,911		(7,585	)		(180,836	)		4,734,099
Mid Cap Value Portfolio, Class 3		—		—		7,633,863		130,080		3,194,662		261,507			201,559			—
Mid Cap Value Portfolio, Class 1		—		—		—		19,368		115,619		(28,109	)		69,797			4,977,784
Real Return Portfolio, Class 3		—		—		11,794,884		285,727		1,417,280		(51,811	)		350,763			—
Real Return Portfolio, Class 1		—		—		—		42,610		254,361		74			(48,767	)		10,701,839
SA Columbia Focused Growth Portfolio, Class 3		—		—		3,881,817		103,901		161,234		1,770			876,809			—
SA Columbia Focused Growth Portfolio, Class 1		—		—		—		15,494		592,495		29,821			(429,982	)		3,725,901
SA Columbia Focused Value Portfolio, Class 3		—		—		5,060,351		121,217		677,028		211,844			(1,167,993	)		—
SA Columbia Focused Value Portfolio, Class 1		—		—		—		18,077		107,911		30,560			1,359,762			4,848,879
Small Cap Portfolio, Class 3		—		—		10,066,779		216,635		2,581,016		570,457			(807,579	)		—
Small Cap Portfolio, Class 1		—		—		—		32,280		192,698		63,796			1,059,917			8,428,571
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3		—		—		12,055,985		12,557,020		554,764		(11,717	)		76,453			—
High Yield Bond Portfolio, Class 1		1,650,237		—		—		1,748,366		585,801		15,341			208,337			25,509,220
Real Estate Portfolio, Class 3		—		—		4,800,000		129,876		118,453		4,250			—			—
Real Estate Portfolio, Class 1		110,892		236,021		—		366,282		115,619		6,045			(115,966	)		4,956,415
Ultra Short Bond Portfolio, Class 1		—		—		—		10,037,322		195,907		(42	)		655			9,842,028
	$	1,761,129	$	236,021	$	323,268,688	$	50,446,734	$	58,852,769	$	3,305,776		$	10,011,639		$	328,180,068

†  Includes reinvestment of distributions paid.

375

Allocation Balanced Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2016		Cost of Purchases†		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2016
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 3	$	—	$	—	$	127,361,777	$	2,907,022	$	6,268,537	$	177,009		$	803,742		$	—
Diversified Fixed Income Portfolio, Class 1		—		—		—		496,225		10,967,680		109,870			2,591,852			117,211,280
International Equity Portfolio, Class 3		—		—		29,716,424		129,057		7,836,617		591,250			(1,069,372	)		—
International Equity Portfolio, Class 1		—		—		—		91,530		632,534		126,079			1,209,118			22,324,935
Large Cap Growth Portfolio, Class 3		—		—		28,304,988		126,031		2,095,813		434,709			(1,903,743	)		—
Large Cap Growth Portfolio, Class 1		—		—		—		108,559		2,250,215		669,423			2,064,842			25,458,781
Large Cap Value Portfolio, Class 3		—		—		22,478,560		8,531,736		1,133,530		415,172			(3,997,269	)		—
Large Cap Value Portfolio, Class 1		—		—		—		130,908		904,671		356,886			5,136,517			31,014,309
Mid Cap Growth Portfolio, Class 3		—		—		6,302,906		15,249		5,037,834		(303,252	)		402,975			—
Mid Cap Growth Portfolio, Class 1		—		—		—		5,321		36,775		(3,159	)		9,054			1,354,485
Mid Cap Value Portfolio, Class 3		—		—		4,280,574		15,382		2,938,512		(586,124	)		597,291			—
Mid Cap Value Portfolio, Class 1		—		—		—		6,385		44,130		4,442			192,974			1,528,282
Real Return Portfolio, Class 3		—		—		12,733,326		55,404		1,280,859		(20,005	)		352,288			—
Real Return Portfolio, Class 1		—		—		—		48,957		338,332		816			(59,065	)		11,492,530
SA Columbia Focused Growth Portfolio, Class 3		—		—		2,576,812		12,863		112,090		(9,965	)		583,395			—
SA Columbia Focused Growth Portfolio, Class 1		—		—		—		10,643		573,550		(8,894	)		(249,953	)		2,229,261
SA Columbia Focused Value Portfolio, Class 3		—		—		3,653,173		14,452		625,441		214,148			(993,813	)		—
SA Columbia Focused Value Portfolio, Class 1		—		—		—		12,773		88,261		36,039			1,043,720			3,266,790
Small Cap Portfolio, Class 3		—		—		5,184,323		22,200		1,194,597		364,480			(314,075	)		—
Small Cap Portfolio, Class 1		—		—		—		17,029		617,681		156,907			239,706			3,858,292
SunAmerica Series Trust
High Yield Bond Portfolio, Class 3		—		—		11,486,044		8,067,065		562,861		(10,973	)		37,934			—
High Yield Bond Portfolio, Class 1		1,304,375		—		—		1,389,520		588,404		32,813			354,966			20,206,104
Real Estate Portfolio, Class 3		—		—		2,600,000		7,951		66,757		2,736			—			—
Real Estate Portfolio, Class 1		58,310		124,105		—		193,057		73,550		4,322			(56,090	)		2,611,669
Ultra Short Bond Portfolio, Class 1		—		—		—		10,040,180		239,263		(59	)		648			9,801,506
	$	1,362,685	$	124,105	$	256,678,907	$	32,455,499	$	46,508,494	$	2,754,670		$	6,977,642		$	252,358,224

†  Includes reinvestment of distributions paid.

376

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, 2016, the following affiliates owned outstanding shares of the following Portfolios:

	Holder
Portfolio	USL			AGL			VALIC			Allocation Balanced Portfolio			Allocation Growth Portfolio			Allocation Moderate Growth Portfolio			Allocation Moderate Portfolio			SAST SunAmerica Dynamic Allocation Portfolio			SAST SunAmerica Dynamic Strategy Portfolio
Allocation Balanced		9.21	%		90.69	%		0.10	%		—	%		—	%		—	%		—	%		—	%		—	%
Allocation Growth		6.69			92.77			0.54			—			—			—			—			—			—
Allocation Moderate		6.43			93.43			0.14			—			—			—			—			—			—
Allocation Moderate Growth		5.59			94.29			0.12			—			—			—			—			—			—
Asset Allocation: Diversified Growth		0.89			99.11			—			—			—			—			—			—			—
Diversified Fixed Income		0.08			4.40			—			9.84			1.16			11.75			9.45			54.66			8.66
SA Columbia Focused Growth		0.47			31.22			—			1.40			0.95			4.30			2.33			59.33			—
SA Columbia Focused Value		0.08			6.91			—			0.88			0.46			2.41			1.30			53.43			34.53
International Equity		0.11			5.46			—			3.11			2.53			11.64			5.73			42.75			28.67
Large Cap Growth		0.14			11.18			—			5.07			3.07			15.78			8.85			35.22			20.69
Large Cap Value		0.05			4.63			—			3.00			1.74			8.74			5.05			37.27			39.52
Mid Cap Growth		0.28			20.43			—			0.67			1.30			5.05			2.34			44.97			24.96
Mid Cap Value		0.21			15.77			—			0.50			0.95			3.98			1.64			59.37			17.58
Multi-Managed Growth		1.48			98.52			—			—			—			—			—			—			—
Multi-Managed Moderate Growth		0.81			99.19			—			—			—			—			—			—			—
Multi-Managed Income/Equity		0.52			99.48			—			—			—			—			—			—			—
Multi-Managed Income		0.84			99.16			—			—			—			—			—			—			—
Real Return		3.50			66.21			0.08			1.95			0.18			2.16			1.81			15.79			8.32
Small Cap		0.19			10.00			—			1.19			1.13			4.74			2.59			33.72			46.44
Stock		0.21			22.83			—			—			—			—			—			76.96			—

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 defaults, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the 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 ("State Street"), 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's discretionary bid rate on the uncommitted line of credit. The Trust, on behalf of each of the Portfolios, has paid State Street for its own account, such Portfolio's ratable portion of an upfront fee in an amount equal to $100,000 in the aggregate for the committed and uncommitted lines of credit and the committed line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. The $100,000 upfront fee is inclusive of a closing fee of 5 basis points 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. Borrowings under the line of credit will

377

commence when the respective Portfolio's cash shortfall exceeds $100,000. For the six months ended September 30, 2016, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
Multi-Managed Growth		32	$	174	$	112,975		1.73	%
Multi-Managed Moderate Growth		6		42		143,114		1.76
Multi-Managed Income/Equity		15		102		137,819		1.77
Large Cap Growth		6		61		213,909		1.39
Large Cap Value		60		1,636		570,562		1.74
Mid Cap Growth		7		277		817,810		1.75
Mid Cap Value		19		531		585,372		1.69
Small Cap		13		343		544,769		1.77
International Equity		14		460		681,673		1.72

As of September 30, 2016, the following Portfolio had an outstanding borrowing:

Portfolio	Amount
Multi-Managed Income/Equity	$	153,687

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, 2016, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain(Loss)
Stock	$	211,164	$	—	$	—
Large Cap Value		2,879,174		1,089,825		55,980
Mid Cap Value		—		175,158		61,347

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, 2016, none of the Portfolios participated in this program.

Note 13.  Unfunded Loan Commitments: At September 30, 2016, the Diversified Fixed Income Portfolio had the following unfunded loan commitments which may be extended at the option of the Borrower:

Borrower	Principal Type	Maturity Date	Amount		Value
Arch Coal, Inc.	DIP Delayed Draw	01/31/2017	$	55,000	$	54,966
Kenan Advantage Group, Inc.	Strip Delayed Draw	01/31/2017		5,267		5,235
			$	60,267	$	60,201

378

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
03/31/12	$	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
03/31/16		19.31		0.10		(0.64	)		(0.54	)		(0.12	)		(2.76	)		(2.88	)		15.89		(2.79	)		10,696		1.19			0.56			51
09/30/16@		15.89		0.05		0.92			0.97			—			—			—			16.86		6.10			9,792		1.19	#		0.62	#		20
Multi-Managed Growth Portfolio Class 2
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
03/31/16		19.29		0.07		(0.63	)		(0.56	)		(0.09	)		(2.76	)		(2.85	)		15.88		(2.90	)		19,939		1.34			0.40			51
09/30/16@		15.88		0.04		0.92			0.96			—			—			—			16.84		6.05			19,325		1.34	#		0.47	#		20
Multi-Managed Growth Portfolio Class 3
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
03/31/16		19.24		0.05		(0.63	)		(0.58	)		(0.06	)		(2.76	)		(2.82	)		15.84		(3.00	)		27,626		1.44			0.30			51
09/30/16@		15.84		0.03		0.92			0.95			—			—			—			16.79		6.00			25,985		1.44	#		0.37	#		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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
Multi-Managed Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%
Multi-Managed Growth Portfolio Class 2		0.00			0.00			0.01			0.00			0.00			0.00
Multi-Managed Growth Portfolio Class 3		0.00			0.00			0.01			0.00			0.00			0.00

See Notes to Financial Statements

379

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
03/31/12	$	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
03/31/16		15.05		0.14		(0.46	)		(0.32	)		(0.20	)		(2.10	)		(2.30	)		12.43		(2.00	)		10,538		1.04			1.01			48
09/30/16@		12.43		0.08		0.65			0.73			—			—			—			13.16		5.87			9,879		1.05	#		1.17	#		21
Multi-Managed Moderate Growth Portfolio Class 2
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
03/31/16		15.02		0.12		(0.45	)		(0.33	)		(0.18	)		(2.10	)		(2.28	)		12.41		(2.12	)		44,942		1.19			0.86			48
09/30/16@		12.41		0.07		0.65			0.72			—			—			—			13.13		5.80			43,774		1.20	#		1.02	#		21
Multi-Managed Moderate Growth Portfolio Class 3
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
03/31/16		14.97		0.11		(0.46	)		(0.35	)		(0.14	)		(2.10	)		(2.24	)		12.38		(2.25	)		40,753		1.29			0.75			48
09/30/16@		12.38		0.06		0.65			0.71			—			—			—			13.09		5.73			40,385		1.30	#		0.92	#		21

  *  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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%
Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.00			0.01			0.00			0.00			0.00
Multi-Managed Moderate Growth Portfolio Class 3		0.00			0.00			0.01			0.00			0.00			0.00

See Notes to Financial Statements

380

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
03/31/12	$	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
03/31/16		12.61		0.19		(0.22	)		(0.03	)		(0.27	)		(1.30	)		(1.57	)		11.01		(0.11	)		9,748		1.02			1.60			45
09/30/16@		11.01		0.10		0.38			0.48			—			—			—			11.49		4.36			9,439		1.03	#		1.72	#		18
Multi-Managed Income/Equity Portfolio Class 2
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
03/31/16		12.59		0.17		(0.22	)		(0.05	)		(0.25	)		(1.30	)		(1.55	)		10.99		(0.28	)		37,891		1.17			1.45			45
09/30/16@		10.99		0.09		0.38			0.47			—			—			—			11.46		4.28			36,831		1.18	#		1.57	#		18
Multi-Managed Income/Equity Portfolio Class 3
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
03/31/16		12.55		0.17		(0.23	)		(0.06	)		(0.21	)		(1.30	)		(1.51	)		10.98		(0.35	)		23,038		1.26			1.34			45
09/30/16@		10.98		0.08		0.38			0.46			—			—			—			11.44		4.19			21,600		1.28	#		1.47	#		18

  *  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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
Multi-Managed Income/Equity Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%
Multi-Managed Income/Equity Portfolio Class 2		0.00			0.00			0.01			0.00			0.00			0.00
Multi-Managed Income/Equity Portfolio Class 3		0.00			0.00			0.01			0.00			0.00			0.00

See Notes to Financial Statements

381

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
03/31/12	$	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
03/31/16		12.10		0.24		(0.22	)		0.02			(0.28	)		(0.82	)		(1.10	)		11.02		0.29			6,841		1.01			2.01			46
09/30/16@		11.02		0.12		0.35			0.47			—			—			—			11.49		4.26			6,840		1.04	#		2.18	#		16
Multi-Managed Income Portfolio Class 2
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
03/31/16		12.08		0.22		(0.22	)		0.00			(0.26	)		(0.82	)		(1.08	)		11.00		0.11			30,780		1.17			1.87			46
09/30/16@		11.00		0.12		0.34			0.46			—			—			—			11.46		4.18			30,238		1.19	#		2.03	#		16
Multi-Managed Income Portfolio Class 3
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
03/31/16		12.04		0.21		(0.22	)		(0.01	)		(0.23	)		(0.82	)		(1.05	)		10.98		0.01			20,719		1.26			1.75			46
09/30/16@		10.98		0.11		0.35			0.46			—			—			—			11.44		4.19			18,374		1.29	#		1.93	#		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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
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

382

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
03/31/12	$	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
03/31/16		13.99		0.19		(0.85	)		(0.66	)		(0.43	)		(1.42	)		(1.85	)		11.48		(4.69	)		17,363		0.98			1.46			94
09/30/16@		11.48		0.10		0.55			0.65			—			—			—			12.13		5.66			16,524		1.02	#		1.73	#		53
Asset Allocation: Diversified Growth Portfolio Class 2
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
03/31/16		13.98		0.17		(0.85	)		(0.68	)		(0.41	)		(1.42	)		(1.83	)		11.47		(4.88	)		60,314		1.13			1.31			94
09/30/16@		11.47		0.09		0.56			0.65			—			—			—			12.12		5.67			58,890		1.17	#		1.58	%#		53
Asset Allocation: Diversified Growth Portfolio Class 3
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
03/31/16		13.96		0.16		(0.85	)		(0.69	)		(0.40	)		(1.42	)		(1.82	)		11.45		(5.00	)		51,394		1.23			1.21			94
09/30/16@		11.45		0.09		0.55			0.64			—			—			—			12.09		5.59			48,957		1.27	#		1.48	#		53

  *  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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
Asset Allocation: Diversified Growth Portfolio Class 1		0.01	%		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.01			0.01			0.00			0.00			0.00			0.00
Asset Allocation: Diversified Growth Portfolio Class 3		0.01			0.01			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
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

383

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
03/31/12	$	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
03/31/16		25.28		(0.05	)		(0.22	)		(0.27	)		—		(1.80	)		(1.80	)		23.21		(1.32	)		387,062		0.87			(0.19	)		43
09/30/16@		23.21		(0.00	)		1.62			1.62			—		—			—			24.83		6.98			357,963		0.86	#		(0.02	)#		15
Stock Portfolio Class 2
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
03/31/16		24.88		(0.08	)		(0.23	)		(0.31	)		—		(1.80	)		(1.80	)		22.77		(1.51	)		47,757		1.02			(0.34	)		43
09/30/16@		22.77		(0.02	)		1.59			1.57			—		—			—			24.34		6.89			46,683		1.01	#		(0.16	)#		15
Stock Portfolio Class 3
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
03/31/16		24.64		(0.11	)		(0.22	)		(0.33	)		—		(1.80	)		(1.80	)		22.51		(1.61	)		42,384		1.12			(0.44	)		43
09/30/16@		22.51		(0.03	)		1.57			1.54			—		—			—			24.05		6.84			40,493		1.11	#		(0.26	)#		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, 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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
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

384

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
03/31/12	$	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
03/31/16		13.80		0.07		(0.07	)		(0.00	)		(0.07	)		(1.28	)		(1.35	)		12.45		(0.04	)		244,613		0.83			0.53			46
09/30/16@		12.45		0.03		0.58			0.61			—			—			—			13.06		4.90			449,181		0.82	#		0.57	#		20
Large Cap Growth Portfolio Class 2
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
03/31/16		13.58		0.05		(0.07	)		(0.02	)		(0.05	)		(1.28	)		(1.33	)		12.23		(0.20	)		35,318		0.98			0.37			46
09/30/16@		12.23		0.02		0.56			0.58			—			—			—			12.81		4.74			33,650		0.97	#		0.38	#		20
Large Cap Growth Portfolio Class 3
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
03/31/16		13.47		0.04		(0.08	)		(0.04	)		(0.04	)		(1.28	)		(1.32	)		12.11		(0.35	)		199,168		1.08			0.28			46
09/30/16@		12.11		0.01		0.57			0.58			—			—			—			12.69		4.79			18,498		1.06	#		0.18	#		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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
Large Cap Growth Portfolio Class 1		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%
Large Cap Growth Portfolio Class 2		0.00			0.00			0.01			0.00			0.00			0.00
Large Cap Growth Portfolio Class 3		0.00			0.00			0.01			0.00			0.00			0.00

See Notes to Financial Statements

385

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
03/31/12	$	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
03/31/16		17.04		0.30			(0.87	)		(0.57	)		(0.23	)		(0.87	)		(1.10	)		15.37		(3.19	)		771,124		0.78			1.87			62
09/30/16@		15.37		0.13			0.93			1.06			—			—			—			16.43		6.90			987,575		0.77	#		1.69	#		19
Large Cap Value Portfolio Class 2
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
03/31/16		17.02		0.27			(0.86	)		(0.59	)		(0.20	)		(0.87	)		(1.07	)		15.36		(3.32	)		29,350		0.93			1.69			62
09/30/16@		15.36		0.12			0.93			1.05			—			—			—			16.41		6.84			28,847		0.92	#		1.52	#		19
Large Cap Value Portfolio Class 3
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
03/31/16		16.99		0.26			(0.87	)		(0.61	)		(0.16	)		(0.87	)		(1.03	)		15.35		(3.42	)		155,929		1.03			1.56			62
09/30/16@		15.35		0.13			0.91			1.04			—			—			—			16.39		6.78			16,469		1.02	#		1.29	#		19
Mid Cap Growth Portfolio Class 1
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
03/31/16		17.86		(0.01	)		(1.19	)		(1.20	)		—			(1.02	)		(1.02	)		15.64		(6.77	)		137,158		0.94			(0.08	)		47
09/30/16@		15.64		(0.00	)		1.19			1.19			—			—			—			16.83		7.61			163,283		0.94	#		(0.05	)#		26
Mid Cap Growth Portfolio Class 2
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
03/31/16		17.30		(0.04	)		(1.14	)		(1.18	)		—			(1.02	)		(1.02	)		15.10		(6.87	)		22,390		1.09			(0.23	)		47
09/30/16@		15.10		(0.02	)		1.15			1.13			—			—			—			16.23		7.48			21,925		1.09	#		(0.20	)#		26
Mid Cap Growth Portfolio Class 3
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
03/31/16		17.00		(0.05	)		(1.14	)		(1.19	)		—			(1.02	)		(1.02	)		14.79		(7.06	)		61,932		1.19			(0.30	)		47
09/30/16@		14.79		(0.03	)		1.13			1.10			—			—			—			15.89		7.44			15,258		1.18	#		(0.35	)#		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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
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

386

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
03/31/12	$	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
03/31/16		20.42		0.19			(1.53	)		(1.34	)		(0.11	)		(3.15	)		(3.26	)		15.82		(5.94	)		233,605		0.91			1.05			67
09/30/16@		15.82		0.10			1.12			1.22			—			—			—			17.04		7.71			258,184		0.91	#		1.26	#		33
Mid Cap Value Portfolio Class 2
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
03/31/16		20.38		0.15			(1.52	)		(1.37	)		(0.08	)		(3.15	)		(3.23	)		15.78		(6.12	)		27,278		1.06			0.84			67
09/30/16@		15.78		0.09			1.12			1.21			—			—			—			16.99		7.67			26,648		1.06	#		1.08	#		33
Mid Cap Value Portfolio Class 3
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
03/31/16		20.34		0.13			(1.51	)		(1.38	)		(0.06	)		(3.15	)		(3.21	)		15.75		(6.18	)		51,112		1.15			0.65			67
09/30/16@		15.75		0.08			1.11			1.19			—			—			—			16.94		7.56			19,025		1.15	#		0.81	#		33
Small Cap Portfolio Class 1
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
03/31/16		14.28		0.04			(1.38	)		(1.34	)		(0.05	)		(0.95	)		(1.00	)		11.94		(9.43	)		243,707		0.93			0.32			65
09/30/16@		11.94		0.02			1.19			1.21			—			—			—			13.15		10.13			293,750		0.92	#		0.25	#		15
Small Cap Portfolio Class 2
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
03/31/16		13.97		0.02			(1.35	)		(1.33	)		(0.03	)		(0.95	)		(0.98	)		11.66		(9.61	)		18,131		1.08			0.13			65
09/30/16@		11.66		0.01			1.17			1.18			—			—			—			12.84		10.12			18,198		1.07	#		0.09	#		15
Small Cap Portfolio Class 3
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
03/31/16		13.78		0.00			(1.33	)		(1.33	)		—			(0.95	)		(0.95	)		11.50		(9.70	)		51,317		1.17			0.01			65
09/30/16@		11.50		0.00			1.15			1.15			—			—			—			12.65		10.00			12,499		1.16	#		(0.04	)#		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, 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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
Mid Cap Value Class 1		0.00	%		0.00	%		0.00	%		0.00	%		0.01	%		0.01	%
Mid Cap Value Class 2		0.01			0.00			0.00			0.00			0.01			0.01
Mid Cap Value Class 3		0.00			0.00			0.00			0.00			0.01			0.01
Small Cap Portfolio Class 1		0.00			0.00			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 2		0.00			0.00			0.00			0.00			0.00			0.00
Small Cap Portfolio Class 3		0.00			0.00			0.00			0.00			0.00			0.00

  (2)  The Portfolio's performance was increased by less than 0.01% from reimbursements for losses realized on the disposal of investments in violation of investment restrictions.

See Notes to Financial Statements

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			Ratio of net investment income to average net assets			Portfolio turnover
International Equity Portfolio Class 1
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
03/31/16		8.81		0.13		(1.00	)		(0.87	)		(0.11	)		—			(0.11	)		7.83		(9.94	)		500,027		0.92	(1)(2)		1.63	(1)(2)		28
09/30/16@		7.83		0.11		0.22			0.33			—			—			—			8.16		4.21			680,296		0.93	#(1)(2)		2.75	#(1)(2)		15
International Equity Portfolio Class 2
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
03/31/16		8.82		0.13		(1.02	)		(0.89	)		(0.09	)		—			(0.09	)		7.84		(10.09	)		22,223		1.08	(1)(2)		1.52	(1)(2)		28
09/30/16@		7.84		0.11		0.22			0.33			—			—			—			8.17		4.21			20,980		1.08	#(1)(2)		2.73	#(1)(2)		15
International Equity Portfolio Class 3
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
03/31/16		8.79		0.12		(1.02	)		(0.90	)		(0.08	)		—			(0.08	)		7.81		(10.21	)		231,504		1.18	(1)(2)		1.40	(1)(2)		28
09/30/16@		7.81		0.15		0.18			0.33			—			—			—			8.14		4.23			17,668		1.17	#(1)(2)		3.08	#(1)(2)		15
Diversified Fixed Income Portfolio Class 1
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
03/31/16		11.92		0.23		(0.10	)		0.13			(0.23	)		(0.08	)		(0.31	)		11.74		1.15			750,909		0.68			1.99			37
09/30/16@		11.74		0.12		0.24			0.36			—			—			—			12.10		3.07			1,140,874		0.67	#		2.16	#		17
Diversified Fixed Income Portfolio Class 2
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
03/31/16		11.90		0.22		(0.10	)		0.12			(0.21	)		(0.08	)		(0.29	)		11.73		1.05			35,485		0.83			1.84			37
09/30/16@		11.73		0.12		0.22			0.34			—			—			—			12.07		2.90			30,838		0.82	#		2.02	#		17
Diversified Fixed Income Portfolio Class 3
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
03/31/16		11.85		0.20		(0.11	)		0.09			(0.20	)		(0.08	)		(0.28	)		11.66		0.83			436,441		0.93			1.74			37
09/30/16@		11.66		0.15		0.19			0.34			—			—			—			12.00		2.92			18,905		0.92	#		1.96	#		17

  *  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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
International Equity Portfolio Class 1		0.00	%		0.01	%		0.01	%		0.01	%		0.00	%		0.00	%
International Equity Portfolio Class 2		0.00			0.01			0.01			0.01			0.00			0.00
International Equity Portfolio Class 3		0.00			0.01			0.01			0.01			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
International Equity Portfolio Class 1		—	%		—	%		—	%		0.01	%		0.04	%		0.04	%
International Equity Portfolio Class 2		—			—			—			0.01			0.04			0.04
International Equity Portfolio Class 3		—			—			—			0.01			0.04			0.04

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			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
03/31/16		9.94		0.01			0.01			0.02			(0.41	)		—		(0.41	)		9.55		0.24			156,274		0.63			0.09			32
09/30/16#		9.55		0.06			0.17			0.23			—			—		—			9.78		2.41			178,517		0.63	(1)		1.24	(1)		25
Real Return Portfolio Class 3
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
03/31/16		9.88		(0.01	)		0.01			(0.00	)		(0.38	)		—		(0.38	)		9.50		0.07			440,312		0.88			(0.08	)		32
09/30/16#		9.50		0.06			0.16			0.22			—			—		—			9.72		2.32			409,522		0.88	(1)		1.19	(1)		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.

  #  Unaudited

  @  Commencement of operations.

  (1)  Annualized

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
SA Columbia Focused Growth Portfolio Class 1
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
03/31/16		10.75		(0.04	)		(1.10	)		(1.14	)		—			(1.00	)		(1.00	)		8.61		(11.42	)		143,792		0.85	(2)		(0.42	)(2)		140
09/30/16@		8.61		(0.02	)		1.12			1.10			—			—			—			9.71		12.78			110,248		0.75	#(2)		(0.46	)#(2)		18
SA Columbia Focused Growth Portfolio Class 2
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
03/31/16		10.43		(0.06	)		(1.06	)		(1.12	)		—			(1.00	)		(1.00	)		8.31		(11.59	)		25,493		1.02	(2)		(0.59	)(2)		140
09/30/16@		8.31		(0.03	)		1.08			1.05			—			—			—			9.36		12.64			25,831		0.90	#(2)		(0.61	)#(2)		18
SA Columbia Focused Growth Portfolio Class 3
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
03/31/16		10.24		(0.06	)		(1.04	)		(1.10	)		—			(1.00	)		(1.00	)		8.14		(11.61	)		36,225		1.11	(2)		(0.69	)(2)		140
09/30/16@		8.14		(0.03	)		1.05			1.02			—			—			—			9.16		12.53			21,470		1.00	#(2)		(0.72	)#(2)		18

  *  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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#@
SA Columbia Focused Growth Portfolio Class 1		0.01	%		0.01	%		0.00	%		0.00	%		0.01	%		0.01	%
SA Columbia Focused Growth Portfolio Class 2		0.01			0.01			0.00			0.00			0.01			0.01
SA Columbia Focused Growth Portfolio Class 3		0.01			0.01			0.00			0.00			0.01			0.01

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/16			09/30/16#@
SA Columbia Focused Growth Portfolio Class 1		0.22	%		0.31	%
SA Columbia Focused Growth Portfolio Class 2		0.20			0.31
SA Columbia Focused Growth Portfolio Class 3		0.21			0.31

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(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
03/31/16		18.01		0.25		(1.12	)		(0.87	)		(0.17	)		(0.16	)		(0.33	)		16.81		(4.81	)		285,988		0.81	(3)		1.45	(3)		110
09/30/16#		16.81		0.13		1.50			1.63			—			—			—			18.44		9.70			346,403		0.71	(1)(3)		1.49	(1)(3)		5
SA Columbia Focused Value Portfolio Class 2
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
03/31/16		17.99		0.22		(1.12	)		(0.90	)		(0.14	)		(0.16	)		(0.30	)		16.79		(4.99	)		13,865		0.97	(3)		1.28	(3)		110
09/30/16#		16.79		0.12		1.50			1.62			—			—			—			18.41		9.65			14,035		0.86	(1)(3)		1.34	(1)(3)		5
SA Columbia Focused Value Portfolio Class 3
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
03/31/16		17.95		0.21		(1.12	)		(0.91	)		(0.12	)		(0.16	)		(0.28	)		16.76		(5.07	)		31,162		1.07	(3)		1.19	(3)		110
09/30/16#		16.76		0.12		1.49			1.61			—			—			—			18.37		9.61			11,770		0.96	(1)(3)		1.24	(1)(3)		5

  @  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

  (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:

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#(1)
SA Columbia Focused Value Portfolio Class 1		0.00	%		0.01	%		0.01	%		0.00	%		0.01	%		0.01	%
SA Columbia Focused Value Portfolio Class 2		0.01			0.01			0.01			0.00			0.01			0.01
SA Columbia Focused Value Portfolio Class 3		0.01			0.01			0.01			0.00			0.01			0.01

  (3)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/12			03/31/13			03/31/14			03/31/15			03/31/16			09/30/16#(1)
SA Columbia Focused Value Portfolio Class 1		—	%		—	%		0.03	%		0.05	%		0.23	%		0.31	%
SA Columbia Focused Value Portfolio Class 2		—			—			0.02			0.05			0.22			0.31
SA Columbia Focused Value Portfolio Class 3		—			—			0.02			0.05			0.22			0.31

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
Allocation Growth Portfolio Class 1
09/26/16##- 09/30/16@	$	12.61	$	0.00	$	0.00		$	—		$	—		$	—		$	—		$	12.61		0.00	%	$	100		0.33	%#(2)		(0.33	)%#(2)		14	%
Allocation Growth Portfolio Class 3
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
03/31/16		13.31		0.09		(0.73	)		(0.64	)		(0.18	)		—			(0.18	)		12.49		(4.78	)		92,251		0.16	(2)		0.72	(2)		28
09/30/16@		12.49		0.05		0.61			0.66			(0.23	)		(0.31	)		(0.54	)		12.61		5.25			88,196		0.25	#(2)		0.72	#(2)		14
Allocation Moderate Growth Portfolio Class 1
09/26/16##- 09/30/16@		10.70		0.00		0.00			—			—			—			—			10.70		0.00			100		0.24	#(2)		(0.24	)#(2)		12
Allocation Moderate Growth Portfolio Class 3
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
03/31/16		13.78		0.12		(0.65	)		(0.53	)		(0.18	)		(1.07	)		(1.25	)		12.00		(3.72	)		523,326		0.12	(2)		0.93	(2)		22
09/30/16@		12.00		0.05		0.54			0.59			(0.22	)		(1.67	)		(1.89	)		10.70		4.91			520,115		0.20	#(2)		0.86	#(2)		12
Allocation Moderate Portfolio Class 1
09/26/16##- 09/30/16@		10.67		0.00		0.00			—			—			—			—			10.67		0.00			100		0.25	#(2)		(0.25	)#(2)		15
Allocation Moderate Portfolio Class 3
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
03/31/16		13.01		0.13		(0.54	)		(0.41	)		(0.16	)		(0.87	)		(1.03	)		11.57		(3.02	)		323,181		0.12	(2)		1.03	(2)		24
09/30/16@		11.57		0.05		0.49			0.54			(0.21	)		(1.23	)		(1.44	)		10.67		4.75			327,961		0.21	#(2)		0.87	#(2)		15
Allocation Balanced Portfolio Class 1
09/26/16##- 09/30/16@		10.41		0.00		0.00			—			—			—			—			10.41		0.00			100		0.25	#(2)		(0.25	)#(2)		12
Allocation Balanced Portfolio Class 3
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
03/31/16		12.44		0.14		(0.39	)		(0.25	)		(0.16	)		(0.83	)		(0.99	)		11.20		(1.90	)		256,605		0.13	(2)		1.18	(2)		28
09/30/16@		11.20		0.05		0.43			0.48			(0.21	)		(1.06	)		(1.27	)		10.41		4.34			252,160		0.21	#(2)		0.85	#(2)		12

  *  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

  ##  Commencement of operations.

  @  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):

	03/31/16			09/30/16#@
Allocation Growth Portfolio Class 1		N/A			0.01	%
Allocation Growth Portfolio Class 3		0.01	%		0.01
Allocation Moderate Growth Portfolio Class 1		N/A			0.01
Allocation Moderate Growth Portfolio Class 3		0.01			0.01
Allocation Moderate Portfolio Class 1		N/A			0.01
Allocation Moderate Portfolio Class 3		0.01			0.01
Allocation Balanced Portfolio Class 1		N/A			0.01
Allocation Balanced Portfolio Class 3		0.01			0.01

See Notes to Financial Statements

392

PROXY VOTING RESULTS —
SPECIAL MEETING OF THE SHAREHOLDERS

On July 12, 2016, a special joint meeting (the "Meeting") of the shareholders of each of the Allocation Balanced Portfolio, the Allocation Growth Portfolio, the Allocation Moderate Growth Portfolio and the Allocation Moderate Portfolio (each, a "Portfolio"), each, a series of Seasons Series Trust, was held at the offices of SunAmerica Asset Management, LLC, located at Harborside Financial Center, 3200 Plaza 5, Jersey City, New Jersey 07311-4992, at 10:00 a.m. Eastern Time, to consider a proposal to approve a Plan of Distribution pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, for Class 3 shares of each Portfolio.

The voting results of the Meeting were as follows:

Final Vote:

	For		Against		Abstain		Total
Allocation Balanced Portfolio		19,116,116.078		988,319.659		2,514,682.140		22,619,117.877
Allocation Growth Portfolio		6,245,448.198		402,270.721		638,580.691		7,286,299.610
Allocation Moderate Growth Portfolio		36,561,068.980		1,967,031.127		4,400,282.895		42,928,383.002
Allocation Moderate Portfolio		24,196,862.597		653,469.490		2,689,298.516		27,539,630.603

393

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.

394

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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.13 (11/16)

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, 2016

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, 2016
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: December 8, 2016