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 5, 185 Hudson Street, Suite 3300 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, 2017

Item 1. Reports to Stockholders

SEASONS SERIES TRUST

SEMI-ANNUAL REPORT
SEPTEMBER 30, 2017

Table of Contents

Shareholder Letter	2
Expense Example	3
Seasons Strategies
Multi-Managed Growth Portfolio	6
Multi-Managed Moderate Growth Portfolio	31
Multi-Managed Income/Equity Portfolio	60
Multi-Managed Income Portfolio	83
Asset Allocation: Diversified Growth Portfolio	106
Stock Portfolio	144
Seasons Select
Large Cap Growth Portfolio	149
Large Cap Value Portfolio	157
Mid Cap Growth Portfolio	166
Mid Cap Value Portfolio	181
Small Cap Portfolio	195
International Equity Portfolio	211
Diversified Fixed Income Portfolio	225
Real Return Portfolio	276
Seasons Focused
SA Columbia Focused Growth Portfolio	281
SA Columbia Focused Value Portfolio	284
Seasons Managed Allocation
Allocation Growth Portfolio	287
Allocation Moderate Growth Portfolio	289
Allocation Moderate Portfolio	291
Allocation Balanced Portfolio	293
Statements of Assets and Liabilities	295
Statements of Operations	303
Statements of Changes in Net Assets	307
Notes to Financial Statements	314
Financial Highlights	363

Dear Seasons Series Trust Investor:

We are pleased to present the semi-annual report for Seasons Series Trust.

This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended September 30, 2017.

If you have any questions regarding your investment, 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. Securities listed may or may not be a part of the current portfolio construction. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59 1/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.

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

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

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

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

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

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

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

2

SEASONS SERIES TRUST
EXPENSE EXAMPLE  September 30, 2017

  (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, 2017 and held until September 30, 2017. 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, 2017" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 2017" 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, 2017" 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, 2017" 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, 2017" 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, 2017

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2017		Ending Account Value Using Actual Return at September 30, 2017		Expenses Paid During the Six Months Ended September 30, 2017*		Beginning Account Value at April 1, 2017		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2017		Expenses Paid During the Six Months Ended September 30, 2017*		Annualized Expense Ratio*
Multi-Managed Growth#
Class 1	$	1,000.00	$	1,065.53	$	6.47	$	1,000.00	$	1,018.80	$	6.33		1.25	%
Class 2	$	1,000.00	$	1,064.97	$	7.25	$	1,000.00	$	1,018.05	$	7.08		1.40	%
Class 3	$	1,000.00	$	1,063.87	$	7.76	$	1,000.00	$	1,017.55	$	7.59		1.50	%
Multi-Managed Moderate Growth#
Class 1	$	1,000.00	$	1,057.46	$	5.62	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 2	$	1,000.00	$	1,057.55	$	6.40	$	1,000.00	$	1,018.85	$	6.28		1.24	%
Class 3	$	1,000.00	$	1,056.85	$	6.91	$	1,000.00	$	1,018.35	$	6.78		1.34	%
Multi-Managed Income/ Equity
Class 1	$	1,000.00	$	1,048.23	$	5.60	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 2	$	1,000.00	$	1,047.40	$	6.36	$	1,000.00	$	1,018.85	$	6.28		1.24	%
Class 3	$	1,000.00	$	1,047.40	$	6.88	$	1,000.00	$	1,018.35	$	6.78		1.34	%
Multi-Managed Income
Class 1	$	1,000.00	$	1,038.04	$	5.67	$	1,000.00	$	1,019.50	$	5.62		1.11	%
Class 2	$	1,000.00	$	1,037.17	$	6.43	$	1,000.00	$	1,018.75	$	6.38		1.26	%
Class 3	$	1,000.00	$	1,036.26	$	6.94	$	1,000.00	$	1,018.25	$	6.88		1.36	%
Asset Allocation: Diversified Growth#
Class 1	$	1,000.00	$	1,082.70	$	5.17	$	1,000.00	$	1,020.10	$	5.01		0.99	%
Class 2	$	1,000.00	$	1,081.86	$	5.95	$	1,000.00	$	1,019.35	$	5.77		1.14	%
Class 3	$	1,000.00	$	1,081.15	$	6.47	$	1,000.00	$	1,018.85	$	6.28		1.24	%
Stock
Class 1	$	1,000.00	$	1,131.91	$	4.65	$	1,000.00	$	1,020.71	$	4.41		0.87	%
Class 2	$	1,000.00	$	1,130.83	$	5.45	$	1,000.00	$	1,019.95	$	5.16		1.02	%
Class 3	$	1,000.00	$	1,130.13	$	5.98	$	1,000.00	$	1,019.45	$	5.67		1.12	%
Large Cap Growth
Class 1	$	1,000.00	$	1,092.77	$	4.25	$	1,000.00	$	1,021.01	$	4.10		0.81	%
Class 2	$	1,000.00	$	1,091.52	$	5.03	$	1,000.00	$	1,020.26	$	4.86		0.96	%
Class 3	$	1,000.00	$	1,091.66	$	5.56	$	1,000.00	$	1,019.75	$	5.37		1.06	%
Large Cap Value
Class 1	$	1,000.00	$	1,045.67	$	3.95	$	1,000.00	$	1,021.21	$	3.90		0.77	%
Class 2	$	1,000.00	$	1,044.53	$	4.72	$	1,000.00	$	1,020.46	$	4.66		0.92	%
Class 3	$	1,000.00	$	1,043.98	$	5.23	$	1,000.00	$	1,019.95	$	5.16		1.02	%
Mid Cap Growth
Class 1	$	1,000.00	$	1,106.50	$	4.96	$	1,000.00	$	1,020.36	$	4.76		0.94	%
Class 2	$	1,000.00	$	1,105.90	$	5.75	$	1,000.00	$	1,019.60	$	5.52		1.09	%
Class 3	$	1,000.00	$	1,105.17	$	6.28	$	1,000.00	$	1,019.10	$	6.02		1.19	%
Mid Cap Value
Class 1	$	1,000.00	$	1,036.49	$	4.75	$	1,000.00	$	1,020.41	$	4.71		0.93	%
Class 2	$	1,000.00	$	1,035.46	$	5.51	$	1,000.00	$	1,019.65	$	5.47		1.08	%
Class 3	$	1,000.00	$	1,034.98	$	6.02	$	1,000.00	$	1,019.15	$	5.97		1.18	%
Small Cap#
Class 1	$	1,000.00	$	1,069.60	$	4.72	$	1,000.00	$	1,020.51	$	4.61		0.91	%
Class 2	$	1,000.00	$	1,069.09	$	5.50	$	1,000.00	$	1,019.75	$	5.37		1.06	%
Class 3	$	1,000.00	$	1,068.63	$	6.02	$	1,000.00	$	1,019.25	$	5.87		1.16	%

4

SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued)  September 30, 2017

  (unaudited)

	Actual						Hypothetical
Portfolio	Beginning Account Value at April 1, 2017		Ending Account Value Using Actual Return at September 30, 2017		Expenses Paid During the Six Months Ended September 30, 2017*		Beginning Account Value at April 1, 2017		Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2017		Expenses Paid During the Six Months Ended September 30, 2017*		Annualized Expense Ratio*
International Equity#
Class 1	$	1,000.00	$	1,134.12	$	5.08	$	1,000.00	$	1,020.31	$	4.81		0.95	%
Class 2	$	1,000.00	$	1,133.96	$	5.88	$	1,000.00	$	1,019.55	$	5.57		1.10	%
Class 3	$	1,000.00	$	1,133.25	$	6.42	$	1,000.00	$	1,019.05	$	6.07		1.20	%
Diversified Fixed Income
Class 1	$	1,000.00	$	1,025.73	$	3.40	$	1,000.00	$	1,021.71	$	3.40		0.67	%
Class 2	$	1,000.00	$	1,024.89	$	4.16	$	1,000.00	$	1,020.96	$	4.15		0.82	%
Class 3	$	1,000.00	$	1,024.18	$	4.67	$	1,000.00	$	1,020.46	$	4.66		0.92	%
Real Return#
Class 1	$	1,000.00	$	1,008.21	$	2.92	$	1,000.00	$	1,022.16	$	2.94		0.58	%
Class 3	$	1,000.00	$	1,007.25	$	4.18	$	1,000.00	$	1,020.91	$	4.20		0.83	%
SA Columbia Focused Growth#
Class 1	$	1,000.00	$	1,119.32	$	4.04	$	1,000.00	$	1,021.26	$	3.85		0.76	%
Class 2	$	1,000.00	$	1,117.44	$	4.83	$	1,000.00	$	1,020.51	$	4.61		0.91	%
Class 3	$	1,000.00	$	1,116.79	$	5.36	$	1,000.00	$	1,020.00	$	5.11		1.01	%
SA Columbia Focused Value#
Class 1	$	1,000.00	$	1,081.78	$	3.71	$	1,000.00	$	1,021.51	$	3.60		0.71	%
Class 2	$	1,000.00	$	1,081.38	$	4.49	$	1,000.00	$	1,020.76	$	4.36		0.86	%
Class 3	$	1,000.00	$	1,080.49	$	5.01	$	1,000.00	$	1,020.26	$	4.86		0.96	%
Allocation Growth#
Class 1	$	1,000.00	$	1,073.13	$	0.78	$	1,000.00	$	1,024.32	$	0.76		0.15	%
Class 3	$	1,000.00	$	1,072.50	$	2.08	$	1,000.00	$	1,023.06	$	2.03		0.40	%
Allocation Moderate Growth#
Class 1	$	1,000.00	$	1,064.06	$	0.57	$	1,000.00	$	1,024.52	$	0.56		0.11	%
Class 3	$	1,000.00	$	1,063.28	$	1.86	$	1,000.00	$	1,023.26	$	1.83		0.36	%
Allocation Moderate#
Class 1	$	1,000.00	$	1,056.66	$	0.62	$	1,000.00	$	1,024.47	$	0.61		0.12	%
Class 3	$	1,000.00	$	1,055.86	$	1.91	$	1,000.00	$	1,023.21	$	1.88		0.37	%
Allocation Balanced#
Class 1	$	1,000.00	$	1,046.69	$	0.62	$	1,000.00	$	1,024.47	$	0.61		0.12	%
Class 3	$	1,000.00	$	1,046.77	$	1.90	$	1,000.00	$	1,023.21	$	1.88		0.37	%

*  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). 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, 2017" 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, 2017" and the "Annualized Expense Ratio" would have been lower.

5

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Financial Services	8.8	%
United States Treasury Notes	4.8
Federal National Mtg. Assoc.	3.5
Applications Software	3.0
Web Portals/ISP	3.0
Medical-Biomedical/Gene	2.9
Electronic Components-Semiconductors	2.8
Federal Home Loan Mtg. Corp.	2.7
Real Estate Investment Trusts	2.5
Finance-Credit Card	2.3
Government National Mtg. Assoc.	2.2
Retail-Restaurants	2.2
Computers	2.1
Medical-Drugs	2.1
E-Commerce/Products	1.9
Diversified Banking Institutions	1.9
Banks-Commercial	1.9
Internet Content-Entertainment	1.8
Medical-HMO	1.6
Cable/Satellite TV	1.3
Aerospace/Defense	1.2
Diversified Manufacturing Operations	1.2
Electronic Forms	1.2
Electronic Components-Misc.	1.1
United States Treasury Bonds	1.0
Beverages-Non-alcoholic	1.0
Enterprise Software/Service	1.0
Transport-Rail	1.0
Foreign Government Obligations	1.0
Tobacco	0.9
Entertainment Software	0.9
Multimedia	0.9
Commercial Services	0.9
Sovereign	0.8
Retail-Building Products	0.8
Consulting Services	0.8
Medical-Hospitals	0.8
Computer Aided Design	0.8
Oil Companies-Exploration & Production	0.8
Auto/Truck Parts & Equipment-Original	0.7
Industrial Gases	0.7
E-Commerce/Services	0.7
U.S. Government Agencies	0.7
Building Products-Cement	0.7
Medical Instruments	0.7
Insurance-Property/Casualty	0.7
Medical Products	0.7
Cosmetics & Toiletries	0.6
Containers-Paper/Plastic	0.6
Commercial Services-Finance	0.6
Electric Products-Misc.	0.6
Retail-Discount	0.6
Coatings/Paint	0.6
Electronic Connectors	0.6
Electric-Integrated	0.6
Finance-Other Services	0.6
Airlines	0.5
Drug Delivery Systems	0.5
Instruments-Controls	0.5
Computer Services	0.5

Finance-Investment Banker/Broker	0.5	%
Diagnostic Equipment	0.5
Savings & Loans/Thrifts	0.5
Agricultural Chemicals	0.5
Athletic Footwear	0.5
Recreational Vehicles	0.4
Food-Confectionery	0.4
Medical Information Systems	0.4
Telephone-Integrated	0.4
Retail-Gardening Products	0.4
Municipal Bonds & Notes	0.4
Retail-Apparel/Shoe	0.4
Pipelines	0.4
Food-Catering	0.4
Cellular Telecom	0.4
Finance-Consumer Loans	0.4
Building-Residential/Commercial	0.3
Time Deposits	0.3
Distribution/Wholesale	0.3
Energy-Alternate Sources	0.3
Computer Software	0.3
Independent Power Producers	0.3
Engineering/R&D Services	0.3
Human Resources	0.3
Medical-Generic Drugs	0.3
Apparel Manufacturers	0.3
Chemicals-Specialty	0.3
Banks-Super Regional	0.2
Retail-Auto Parts	0.2
Therapeutics	0.2
Data Processing/Management	0.2
Machinery-General Industrial	0.2
Medical-Wholesale Drug Distribution	0.2
Insurance-Life/Health	0.2
Cruise Lines	0.2
Aerospace/Defense-Equipment	0.2
Office Supplies & Forms	0.2
Food-Misc./Diversified	0.2
Gambling (Non-Hotel)	0.2
Wireless Equipment	0.2
Printing-Commercial	0.2
Transport-Truck	0.2
Brewery	0.2
Oil-Field Services	0.2
Oil Refining & Marketing	0.2
Rubber/Plastic Products	0.2
Racetracks	0.2
Semiconductor Equipment	0.1
Gas-Distribution	0.1
Power Converter/Supply Equipment	0.1
Telecommunication Equipment	0.1
Telecom Services	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Television	0.1
Auto-Truck Trailers	0.1
Electronic Parts Distribution	0.1
Satellite Telecom	0.1
Patient Monitoring Equipment	0.1
Building & Construction Products-Misc.	0.1
Real Estate Operations & Development	0.1

6

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
Financial Guarantee Insurance	0.1	%
Water	0.1
Poultry	0.1
Web Hosting/Design	0.1
Transactional Software	0.1
Metal Products-Distribution	0.1
Auto-Cars/Light Trucks	0.1
Engines-Internal Combustion	0.1
Broadcast Services/Program	0.1
Retail-Drug Store	0.1
Footwear & Related Apparel	0.1
Banks-Mortgage	0.1
Computers-Periphery Equipment	0.1
Home Furnishings	0.1
E-Services/Consulting	0.1
Electric-Generation	0.1
Building-Heavy Construction	0.1
Retail-Jewelry	0.1
Office Automation & Equipment	0.1
Insurance-Multi-line	0.1
Coal	0.1
Retail-Hair Salons	0.1
Internet Security	0.1
Medical-Nursing Homes	0.1
Oil & Gas Drilling	0.1
Circuit Boards	0.1
Medical-Outpatient/Home Medical	0.1
Protection/Safety	0.1
B2B/E-Commerce	0.1
Retail-Pawn Shops	0.1
Hotels/Motels	0.1
Transport-Marine	0.1
Retail-Vitamins & Nutrition Supplements	0.1
Retail-Home Furnishings	0.1
Metal-Iron	0.1
	105.4	%

*  Calculated as a percentage of net assets

#  See Note 1

7

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 72.4%
Aerospace/Defense — 1.2%
General Dynamics Corp.		1,986	$	408,282
Northrop Grumman Corp.		906		260,674
				668,956
Aerospace/Defense-Equipment — 0.2%
AAR Corp.		575		21,724
Curtiss-Wright Corp.		475		49,656
Moog, Inc., Class A†		425		35,458
				106,838
Agricultural Chemicals — 0.5%
Monsanto Co.		2,096		251,143
Airlines — 0.5%
United Continental Holdings, Inc.†		4,621		281,326
Apparel Manufacturers — 0.3%
Carter's, Inc.		1,396		137,855
Applications Software — 2.9%
HubSpot, Inc.†		325		27,316
Microsoft Corp.		14,214		1,058,801
Progress Software Corp.		3,100		118,327
salesforce.com, Inc.†		4,261		398,063
				1,602,507
Athletic Footwear — 0.5%
NIKE, Inc., Class B		4,789		248,310
Auto-Truck Trailers — 0.1%
Wabash National Corp.		3,075		70,171
Auto/Truck Parts & Equipment-Original — 0.7%
Delphi Automotive PLC		3,410		335,544
Tenneco, Inc.		1,175		71,287
				406,831
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		1,825		71,905
B2B/E-Commerce — 0.1%
ePlus, Inc.†		325		30,046
Banks-Commercial — 1.8%
1st Source Corp.		375		19,050
BancFirst Corp.		1,150		65,262
BancorpSouth, Inc.		1,525		48,876
Cadence BanCorp†		100		2,292
Capital Bank Financial Corp., Class A		1,200		49,260
Cathay General Bancorp, Class B		600		24,120
Central Pacific Financial Corp.		1,950		62,751
Central Valley Community Bancorp		150		3,345
Citizens & Northern Corp.		150		3,684
City Holding Co.		375		26,966
CVB Financial Corp.		2,475		59,821
East West Bancorp, Inc.		24		1,435
FCB Financial Holdings, Inc., Class A†		1,825		88,147
First Commonwealth Financial Corp.		2,500		35,325
First Community Bancshares, Inc.		175		5,094
First Financial Bancorp		400		10,460

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Hawaiian, Inc.		550	$	16,660
First Interstate BancSystem, Inc., Class A		400		15,300
Fulton Financial Corp.		650		12,188
Great Western Bancorp, Inc.		200		8,256
Guaranty Bancorp		250		6,950
Hope Bancorp, Inc.		1,219		21,588
Independent Bank Corp.		700		15,855
Independent Bank Corp./ Rockland Bank Corp.		75		5,599
Kearny Financial Corp.		1,900		29,165
MainSource Financial Group, Inc.		175		6,276
OFG Bancorp		1,375		12,581
PacWest Bancorp		400		20,204
Sierra Bancorp		175		4,751
Simmons First National Corp., Class A		250		14,475
Southside Bancshares, Inc.		110		4,000
Southwest Bancorp, Inc.		275		7,576
TCF Financial Corp.		1,525		25,986
Trustmark Corp.		525		17,388
UMB Financial Corp.		375		27,934
Union Bankshares Corp.		1,866		65,870
Webster Financial Corp.		350		18,393
West Bancorporation, Inc.		250		6,100
Westamerica Bancorporation		1,525		90,798
				959,781
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		925		48,405
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		150		5,354
Beverages-Non-alcoholic — 1.0%
Coca-Cola Co.		12,019		540,975
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		875		27,256
Ply Gem Holdings, Inc.†		800		13,640
				40,896
Building & Construction-Misc. — 0.0%
MYR Group, Inc.†		875		25,498
Building Products-Cement — 0.7%
Continental Building Products, Inc.†		2,650		68,900
Vulcan Materials Co.		2,681		320,648
				389,548
Building-Heavy Construction — 0.0%
MasTec, Inc.†		375		17,400
Building-Residential/Commercial — 0.3%
AV Homes, Inc.†		350		6,003
Beazer Homes USA, Inc.†		2,550		47,787
Taylor Morrison Home Corp., Class A†		5,750		126,787
				180,577

8

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Cable/Satellite TV — 0.9%
Comcast Corp., Class A		12,276	$	472,380
Cellular Telecom — 0.3%
T-Mobile US, Inc.†		2,378		146,627
Chemicals-Diversified — 0.0%
Olin Corp.		275		9,419
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.		1,700		23,290
Chemicals-Other — 0.0%
American Vanguard Corp.		500		11,450
Chemicals-Specialty — 0.2%
Minerals Technologies, Inc.		775		54,754
OMNOVA Solutions, Inc.†		1,775		19,436
Venator Materials PLC†		400		9,040
				83,230
Circuit Boards — 0.1%
TTM Technologies, Inc.†		2,025		31,124
Coal — 0.1%
NACCO Industries, Inc., Class A		400		34,320
SunCoke Energy, Inc.†		325		2,970
				37,290
Coatings/Paint — 0.6%
Sherwin-Williams Co.		844		302,186
Commercial Services — 0.9%
Acacia Research Corp.†		1,128		5,132
Care.com, Inc.†		657		10,440
CoStar Group, Inc.†		866		232,305
HMS Holdings Corp.†		1,550		30,783
Medifast, Inc.		100		5,937
RPX Corp.†		1,450		19,256
ServiceMaster Global Holdings, Inc.†		3,440		160,751
				464,604
Commercial Services-Finance — 0.6%
Equifax, Inc.		1,433		151,884
Euronet Worldwide, Inc.†		175		16,588
EVERTEC, Inc.		225		3,566
MarketAxess Holdings, Inc.		325		59,966
Travelport Worldwide, Ltd.		5,250		82,425
				314,429
Computer Aided Design — 0.8%
Aspen Technology, Inc.†		2,100		131,901
Cadence Design Systems, Inc.†		7,089		279,803
				411,704
Computer Services — 0.5%
Amdocs, Ltd.		2,618		168,390
Convergys Corp.		1,175		30,421
Science Applications International Corp.		825		55,151
Unisys Corp.†		4,825		41,012
				294,974
Computer Software — 0.3%
SS&C Technologies Holdings, Inc.		3,487		140,003
Tintri, Inc.†		1,850		5,809

Security Description	Shares		Value (Note 2)
Computer Software (continued)
Workiva, Inc.†		750	$	15,638
				161,450
Computers — 2.0%
Apple, Inc.		7,129		1,098,721
Nutanix, Inc., Class A†		900		20,151
				1,118,872
Computers-Integrated Systems — 0.0%
NetScout Systems, Inc.†		450		14,558
Computers-Periphery Equipment — 0.1%
Electronics For Imaging, Inc.†		1,125		48,015
Consulting Services — 0.8%
Franklin Covey Co.†		275		5,583
Gartner, Inc.†		1,445		179,772
Huron Consulting Group, Inc.†		2,100		72,030
Verisk Analytics, Inc.†		2,133		177,444
				434,829
Containers-Paper/Plastic — 0.6%
Graphic Packaging Holding Co.		4,695		65,495
Sealed Air Corp.		6,324		270,162
				335,657
Cosmetics & Toiletries — 0.6%
Estee Lauder Cos., Inc., Class A		3,163		341,098
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		2,014		108,857
Data Processing/Management — 0.2%
CSG Systems International, Inc.		725		29,072
Fair Isaac Corp.		550		77,275
				106,347
Diagnostic Equipment — 0.5%
Thermo Fisher Scientific, Inc.		1,383		261,664
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		125		9,194
Distribution/Wholesale — 0.3%
Essendant, Inc.		425		5,597
Fastenal Co.		2,958		134,826
ScanSource, Inc.†		100		4,365
Titan Machinery, Inc.†		2,225		34,554
				179,342
Diversified Manufacturing Operations — 1.2%
A.O. Smith Corp.		3,931		233,619
Actuant Corp., Class A		1,475		37,760
Harsco Corp.†		425		8,883
Illinois Tool Works, Inc.		2,673		395,497
				675,759
Drug Delivery Systems — 0.5%
DexCom, Inc.†		4,562		223,196
Nektar Therapeutics†		1,850		44,400
Revance Therapeutics, Inc.†		1,100		30,305
				297,901
E-Commerce/Products — 1.8%
Amazon.com, Inc.†		1,045		1,004,611

9

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services — 0.7%
Bankrate, Inc.†		1,375	$	19,181
Priceline Group, Inc.†		202		369,826
Stamps.com, Inc.†		75		15,199
				404,206
E-Services/Consulting — 0.1%
Perficient, Inc.†		2,350		46,224
Electric Products-Misc. — 0.6%
AMETEK, Inc.		4,774		315,275
Graham Corp.		250		5,207
				320,482
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		1,000		15,000
Electric-Generation — 0.1%
Atlantic Power Corp.†		13,325		32,646
Electric-Integrated — 0.3%
Avista Corp.		175		9,060
El Paso Electric Co.		725		40,056
NorthWestern Corp.		200		11,388
PNM Resources, Inc.		525		21,157
Portland General Electric Co.		1,275		58,191
				139,852
Electronic Components-Misc. — 1.1%
Bel Fuse, Inc., Class B		150		4,680
Benchmark Electronics, Inc.†		2,925		99,889
Flex, Ltd.†		18,327		303,678
Knowles Corp.†		2,650		40,466
Stoneridge, Inc.†		2,325		46,058
Vishay Intertechnology, Inc.		4,325		81,310
				576,081
Electronic Components-Semiconductors — 2.7%
Alpha & Omega Semiconductor, Ltd.†		1,600		26,384
Amkor Technology, Inc.†		4,800		50,640
Broadcom, Ltd.		1,909		463,009
Microchip Technology, Inc.		3,738		335,598
Silicon Laboratories, Inc.†		125		9,987
Synaptics, Inc.†		1,375		53,872
Texas Instruments, Inc.		4,953		443,987
Xperi Corp.		3,250		82,225
				1,465,702
Electronic Connectors — 0.6%
Amphenol Corp., Class A		3,540		299,626
Electronic Forms — 1.2%
Adobe Systems, Inc.†		4,289		639,833
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		775		68,859
Energy-Alternate Sources — 0.3%
FutureFuel Corp.		975		15,346
Pattern Energy Group, Inc.		1,000		24,100
Renewable Energy Group, Inc.†		2,400		29,160
REX American Resources Corp.†		1,125		105,559
				174,165

Security Description	Shares		Value (Note 2)
Engineering/R&D Services — 0.3%
EMCOR Group, Inc.		1,550	$	107,539
VSE Corp.		675		38,380
				145,919
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		2,275		53,462
Enterprise Software/Service — 1.0%
Manhattan Associates, Inc.†		300		12,471
Tyler Technologies, Inc.†		1,840		320,749
Ultimate Software Group, Inc.†		1,074		203,630
				536,850
Entertainment Software — 0.9%
Activision Blizzard, Inc.		7,906		510,016
Take-Two Interactive Software, Inc.†		50		5,112
				515,128
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		75		21,013
Finance-Consumer Loans — 0.3%
Nelnet, Inc., Class A		500		25,250
Regional Management Corp.†		125		3,026
Synchrony Financial		3,560		110,538
				138,814
Finance-Credit Card — 2.3%
MasterCard, Inc., Class A		4,049		571,719
Visa, Inc., Class A		6,598		694,373
				1,266,092
Finance-Investment Banker/Broker — 0.5%
Houlihan Lokey, Inc.		825		32,282
TD Ameritrade Holding Corp.		5,071		247,465
				279,747
Finance-Other Services — 0.5%
Intercontinental Exchange, Inc.		3,078		211,459
WageWorks, Inc.†		725		44,007
				255,466
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		3,625		31,537
MGIC Investment Corp.†		1,575		19,735
NMI Holdings, Inc., Class A†		725		8,990
				60,262
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		150		5,175
Food-Catering — 0.4%
Aramark		4,756		193,141
Food-Confectionery — 0.4%
Hershey Co.		2,126		232,095
Food-Dairy Products — 0.0%
Dean Foods Co.		1,825		19,856
Food-Flour & Grain — 0.0%
Post Holdings, Inc.†		175		15,447
Food-Misc./Diversified — 0.2%
Darling Ingredients, Inc.†		5,475		95,922

10

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Retail — 0.0%
Ingles Markets, Inc., Class A		625	$	16,063
Footwear & Related Apparel — 0.1%
Iconix Brand Group, Inc.†		1,525		8,677
Wolverine World Wide, Inc.		1,400		40,390
				49,067
Gambling (Non-Hotel) — 0.2%
Pinnacle Entertainment, Inc.†		4,875		103,886
Gas-Distribution — 0.1%
Northwest Natural Gas Co.		175		11,270
Southwest Gas Holdings, Inc.		350		27,167
Spire, Inc.		425		31,726
				70,163
Home Furnishings — 0.1%
Select Comfort Corp.†		1,500		46,575
Hotels/Motels — 0.1%
La Quinta Holdings, Inc.†		1,700		29,750
Human Resources — 0.3%
Barrett Business Services, Inc.		1,250		70,662
Cross Country Healthcare, Inc.†		4,800		68,304
TriNet Group, Inc.†		200		6,724
				145,690
Independent Power Producers — 0.3%
Dynegy, Inc.†		5,625		55,069
NRG Energy, Inc.		3,663		93,736
				148,805
Industrial Gases — 0.7%
Air Products & Chemicals, Inc.		2,694		407,387
Instruments-Controls — 0.5%
Sensata Technologies Holding NV†		6,181		297,121
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc.		2,125		49,597
Primerica, Inc.		600		48,930
				98,527
Insurance-Multi-line — 0.1%
Kemper Corp.		500		26,500
Insurance-Property/Casualty — 0.7%
Ambac Financial Group, Inc.†		100		1,726
First American Financial Corp.		400		19,988
Global Indemnity, Ltd.†		150		6,360
Kinsale Capital Group, Inc.		150		6,475
Navigators Group, Inc.		575		33,551
ProAssurance Corp.		475		25,959
Progressive Corp.		5,485		265,584
Third Point Reinsurance, Ltd.†		750		11,700
Universal Insurance Holdings, Inc.		425		9,775
				381,118
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		175		7,070
Blue Capital Reinsurance Holdings, Ltd.		100		1,645
				8,715

Security Description	Shares		Value (Note 2)
Internet Application Software — 0.0%
Okta, Inc.†		675	$	19,042
Internet Content-Entertainment — 1.8%
Facebook, Inc., Class A†		5,764		984,895
Internet Content-Information/News — 0.0%
DHI Group, Inc.†		1,200		3,120
Internet Security — 0.1%
Proofpoint, Inc.†		175		15,263
VASCO Data Security International, Inc.†		625		7,531
Zix Corp.†		2,775		13,570
				36,364
Investment Management/Advisor Services — 0.0%
Federated Investors, Inc., Class B		225		6,683
Virtus Investment Partners, Inc.		125		14,506
				21,189
Machinery-General Industrial — 0.2%
Applied Industrial Technologies, Inc.		525		34,545
DXP Enterprises, Inc.†		925		29,128
Kadant, Inc.		500		49,275
				112,948
Marine Services — 0.0%
SEACOR Marine Holdings, Inc.†		201		3,144
Medical Information Systems — 0.4%
Allscripts Healthcare Solutions, Inc.†		1,100		15,653
athenahealth, Inc.†		1,509		187,659
				203,312
Medical Instruments — 0.7%
Boston Scientific Corp.†		11,741		342,485
Halyard Health, Inc.†		1,100		49,533
				392,018
Medical Products — 0.6%
Cooper Cos., Inc.		597		141,555
Orthofix International NV†		1,225		57,881
Wright Medical Group NV†		4,575		118,355
				317,791
Medical-Biomedical/Gene — 2.8%
Achillion Pharmaceuticals, Inc.†		875		3,929
Alder Biopharmaceuticals, Inc.†		2,300		28,175
Arena Pharmaceuticals, Inc.†		1,705		43,477
Axovant Sciences, Ltd.†		150		1,032
Biogen, Inc.†		1,218		381,380
Biohaven Pharmaceutical Holding Co., Ltd.†		750		28,035
Celgene Corp.†		3,223		469,978
CytomX Therapeutics, Inc.†		1,300		23,621
Edge Therapeutics, Inc.†		2,075		22,265
Myriad Genetics, Inc.†		1,075		38,893
Novavax, Inc.†		20,825		23,740
Paratek Pharmaceuticals, Inc.†		875		21,963
Prothena Corp. PLC†		550		35,623
Regeneron Pharmaceuticals, Inc.†		698		312,090
Sage Therapeutics, Inc.†		175		10,903
Selecta Biosciences, Inc.†		575		10,494

11

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Seres Therapeutics, Inc.†		1,700	$	27,268
Ultragenyx Pharmaceutical, Inc.†		500		26,630
Versartis, Inc.†		2,925		7,166
				1,516,662
Medical-Drugs — 2.0%
ACADIA Pharmaceuticals, Inc.†		575		21,660
Aimmune Therapeutics, Inc.†		1,375		34,086
Allergan PLC		1,202		246,350
Amicus Therapeutics, Inc.†		3,575		53,911
Eli Lilly & Co.		6,314		540,100
Global Blood Therapeutics, Inc.†		950		29,497
Ignyta, Inc.†		2,475		30,566
MyoKardia, Inc.†		75		3,214
Pacira Pharmaceuticals, Inc.†		775		29,101
Prestige Brands Holdings, Inc.†		200		10,018
Reata Pharmaceuticals, Inc., Class A†		950		29,545
Synergy Pharmaceuticals, Inc.†		8,275		23,998
TG Therapeutics, Inc.†		1,950		23,108
				1,075,154
Medical-Generic Drugs — 0.1%
Avexis, Inc.†		300		29,019
Medical-HMO — 1.5%
Aetna, Inc.		1,930		306,889
Humana, Inc.		1,199		292,112
Molina Healthcare, Inc.†		1,375		94,545
Tivity Health, Inc.†		3,050		124,440
WellCare Health Plans, Inc.†		125		21,468
				839,454
Medical-Hospitals — 0.7%
Community Health Systems, Inc.†		450		3,456
Envision Healthcare Corp.†		3,166		142,312
Tenet Healthcare Corp.†		1,925		31,628
Universal Health Services, Inc., Class B		1,892		209,898
				387,294
Medical-Nursing Homes — 0.1%
Genesis Healthcare, Inc.†		6,575		7,627
Kindred Healthcare, Inc.		3,875		26,350
				33,977
Medical-Outpatient/Home Medical — 0.1%
Civitas Solutions, Inc.†		1,650		30,443
Medical-Wholesale Drug Distribution — 0.1%
Owens & Minor, Inc.		2,275		66,430
Metal Products-Distribution — 0.1%
Worthington Industries, Inc.		1,200		55,200
Motion Pictures & Services — 0.0%
Eros International PLC†		1,700		24,310
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		950		10,973

Security Description	Shares		Value (Note 2)
Multimedia — 0.8%
E.W. Scripps Co., Class A†		1,825	$	34,876
Walt Disney Co.		3,996		393,885
				428,761
Networking Products — 0.0%
Extreme Networks, Inc.†		1,050		12,485
Office Furnishings-Original — 0.0%
Interface, Inc.		461		10,096
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		8,925		106,207
Oil & Gas Drilling — 0.1%
Parker Drilling Co.†		2,175		2,392
Rowan Cos. PLC, Class A†		2,375		30,519
				32,911
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp.		2,949		144,059
Bill Barrett Corp.†		7,450		31,960
Denbury Resources, Inc.†		9,300		12,462
EP Energy Corp., Class A†		5,681		18,520
Sanchez Energy Corp.†		2,275		10,966
Unit Corp.†		850		17,493
				235,460
Oil Field Machinery & Equipment — 0.0%
Natural Gas Services Group, Inc.†		375		10,650
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		100		4,150
Delek US Holdings, Inc.		2,400		64,152
				68,302
Oil-Field Services — 0.2%
Archrock, Inc.		2,300		28,865
MRC Global, Inc.†		3,100		54,219
SEACOR Holdings, Inc.†		200		9,222
				92,306
Paper & Related Products — 0.0%
Domtar Corp.		275		11,932
Patient Monitoring Equipment — 0.1%
Masimo Corp.†		725		62,756
Pollution Control — 0.0%
CECO Environmental Corp.		2,450		20,727
Poultry — 0.1%
Pilgrim's Pride Corp.†		1,175		33,382
Sanderson Farms, Inc.		150		24,228
				57,610
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		175		14,133
Generac Holdings, Inc.†		1,025		47,078
Powell Industries, Inc.		625		18,744
				79,955
Printing-Commercial — 0.2%
ARC Document Solutions, Inc.†		550		2,249
Deluxe Corp.		750		54,720
Ennis, Inc.		2,100		41,265
				98,234

12

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Protection/Safety — 0.1%
Landauer, Inc.		450	$	30,285
Publishing-Books — 0.0%
Houghton Mifflin Harcourt Co.†		1,150		13,858
Publishing-Newspapers — 0.0%
Gannett Co., Inc.		2,600		23,400
Publishing-Periodicals — 0.0%
Time, Inc.		1,400		18,900
Racetracks — 0.2%
Penn National Gaming, Inc.†		2,900		67,831
Speedway Motorsports, Inc.		600		12,780
				80,611
Real Estate Investment Trusts — 2.5%
American Assets Trust, Inc.		650		25,850
American Tower Corp.		3,839		524,715
Ashford Hospitality Trust, Inc.		4,425		29,515
Capstead Mtg. Corp.		4,200		40,530
CBL & Associates Properties, Inc.		725		6,083
CoreSite Realty Corp.		950		106,305
CubeSmart		475		12,331
CYS Investments, Inc.		10,375		89,640
DCT Industrial Trust, Inc.		575		33,304
DiamondRock Hospitality Co.		700		7,665
EastGroup Properties, Inc.		300		26,436
EPR Properties		25		1,744
Equity LifeStyle Properties, Inc.		175		14,889
First Industrial Realty Trust, Inc.		350		10,531
Franklin Street Properties Corp.		600		6,372
Gladstone Commercial Corp.		150		3,341
Government Properties Income Trust		675		12,670
Hersha Hospitality Trust		1,225		22,871
Highwoods Properties, Inc.		275		14,325
Hospitality Properties Trust		725		20,655
InfraREIT, Inc.		200		4,474
LTC Properties, Inc.		750		35,235
Mack-Cali Realty Corp.		650		15,411
National Retail Properties, Inc.		100		4,166
Pennsylvania Real Estate Investment Trust		375		3,934
Potlatch Corp.		1,000		51,000
PS Business Parks, Inc.		175		23,362
Ramco-Gershenson Properties Trust		1,300		16,913
RLJ Lodging Trust		3,400		74,800
Saul Centers, Inc.		350		21,668
Starwood Waypoint Homes		2,884		104,891
Summit Hotel Properties, Inc.		225		3,598
Taubman Centers, Inc.		225		11,182
				1,380,406
Real Estate Management/Services — 0.0%
Redfin Corp.†		100		2,509
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		225		10,424
Forestar Group, Inc.†(8)		2,850		49,020
St. Joe Co.†		150		2,828
				62,272

Security Description	Shares		Value (Note 2)
Recreational Vehicles — 0.4%
Polaris Industries, Inc.		2,227	$	233,011
Rental Auto/Equipment — 0.0%
Aaron's, Inc.		350		15,271
Research & Development — 0.0%
INC Research Holdings, Inc., Class A†		425		22,228
Retail-Apparel/Shoe — 0.4%
Children's Place, Inc.		925		109,289
L Brands, Inc.		2,060		85,716
				195,005
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		225		133,900
Retail-Bookstores — 0.0%
Barnes & Noble Education, Inc.†		244		1,588
Retail-Building Products — 0.8%
Floor & Decor Holdings, Inc., Class A†		100		3,893
Lowe's Cos., Inc.		5,382		430,237
				434,130
Retail-Discount — 0.6%
Big Lots, Inc.		950		50,892
Costco Wholesale Corp.		1,605		263,685
				314,577
Retail-Gardening Products — 0.4%
Tractor Supply Co.		3,268		206,832
Retail-Hair Salons — 0.1%
Regis Corp.†		2,550		36,388
Retail-Home Furnishings — 0.1%
Pier 1 Imports, Inc.		6,850		28,702
Retail-Jewelry — 0.1%
Movado Group, Inc.		1,450		40,600
Retail-Office Supplies — 0.0%
Office Depot, Inc.		2,450		11,123
Retail-Pawn Shops — 0.1%
EZCORP, Inc., Class A†		3,150		29,925
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		200		11,214
Retail-Restaurants — 2.2%
Bloomin' Brands, Inc.		3,600		63,360
Brinker International, Inc.		1,200		38,232
DineEquity, Inc.		75		3,223
Dunkin' Brands Group, Inc.		4,227		224,369
McDonald's Corp.		2,957		463,303
Ruby Tuesday, Inc.†		1,326		2,838
Sonic Corp.		2,675		68,079
Starbucks Corp.		6,701		359,911
				1,223,315
Retail-Vitamins & Nutrition Supplements — 0.1%
GNC Holdings, Inc., Class A		3,250		28,730
Rubber/Plastic Products — 0.2%
Myers Industries, Inc.		225		4,714
Trinseo SA		1,250		83,875
				88,589

13

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Satellite Telecom — 0.1%
DigitalGlobe, Inc.†		1,875	$	66,094
Savings & Loans/Thrifts — 0.5%
BankFinancial Corp.		325		5,164
Beneficial Bancorp, Inc.		4,767		79,132
Capitol Federal Financial, Inc.		150		2,205
Charter Financial Corp.		400		7,412
First Defiance Financial Corp.		125		6,561
Flushing Financial Corp.		500		14,860
Investors Bancorp, Inc.		1,675		22,847
Meridian Bancorp, Inc.		3,625		67,607
Northfield Bancorp, Inc.		3,375		58,556
People's United Financial, Inc.		823		14,929
Provident Financial Holdings, Inc.		100		1,960
				281,233
Schools — 0.0%
Strayer Education, Inc.		50		4,364
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		1,075		14,018
Semiconductor Components-Integrated Circuits — 0.0%
Cirrus Logic, Inc.†		475		25,327
Semiconductor Equipment — 0.1%
Cohu, Inc.		875		20,860
Entegris, Inc.†		1,000		28,850
Xcerra Corp.†		700		6,895
				56,605
Steel-Producers — 0.0%
Carpenter Technology Corp.		375		18,011
Telecom Equipment-Fiber Optics — 0.0%
Ciena Corp.†		850		18,675
Telecom Services — 0.1%
Consolidated Communications Holdings, Inc.		2,025		38,637
RigNet, Inc.†		950		16,340
West Corp.		850		19,949
				74,926
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		2,356		78,243
Telephone-Integrated — 0.1%
IDT Corp., Class B		1,400		19,712
Windstream Holdings, Inc.		6,376		11,286
				30,998
Television — 0.1%
ION Media Networks, Inc.†(1)(8)(12)		2		1,523
Sinclair Broadcast Group, Inc., Class A		1,975		63,298
				64,821
Textile-Apparel — 0.0%
Perry Ellis International, Inc.†		425		10,056
Theaters — 0.0%
National CineMedia, Inc.		2,225		15,531

Security Description	Shares/ Principal Amount(13)		Value (Note 2)
Therapeutics — 0.2%
Cara Therapeutics, Inc.†		1,200	$	16,428
Flexion Therapeutics, Inc.†		900		21,762
Mersana Therapeutics, Inc.†		975		16,858
Sarepta Therapeutics, Inc.†		925		41,958
Xencor, Inc.†		1,050		24,066
				121,072
Tobacco — 0.8%
Altria Group, Inc.		6,338		401,956
Universal Corp.		725		41,542
				443,498
Transactional Software — 0.1%
ACI Worldwide, Inc.†		1,625		37,018
Synchronoss Technologies, Inc.†		2,025		18,893
				55,911
Transport-Marine — 0.1%
Costamare, Inc.		3,125		19,312
International Seaways, Inc.†		525		10,343
				29,655
Transport-Rail — 0.9%
CSX Corp.		9,055		491,324
Transport-Truck — 0.2%
ArcBest Corp.		800		26,760
Knight-Swift Transportation Holdings, Inc.†		1,109		46,079
Schneider National, Inc., Class B		350		8,855
YRC Worldwide, Inc.†		875		12,075
				93,769
Travel Services — 0.0%
Liberty TripAdvisor Holdings, Inc., Class A†		1,800		22,230
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		125		8,479
Water — 0.1%
American States Water Co.		1,200		59,100
Web Hosting/Design — 0.1%
NIC, Inc.		1,625		27,869
Web.com Group, Inc.†		1,150		28,750
				56,619
Web Portals/ISP — 3.0%
Alphabet, Inc., Class C†		1,703		1,633,364
Wireless Equipment — 0.2%
InterDigital, Inc.		1,250		92,187
Total Common Stocks (cost $31,386,261)				39,656,225
PREFERRED SECURITIES/ CAPITAL SECURITIES — 0.5%
Diversified Banking Institutions — 0.5%
Societe Generale SA 8.25% due 11/29/2018(2)	$	270,000		285,497

14

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
PREFERRED SECURITIES/ CAPITAL SECURITIES (continued)
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(8)	$	6,000	$	1
Total Preferred Securities/Capital Securities (cost $290,816)				285,498
ASSET BACKED SECURITIES — 8.8%
Diversified Financial Services — 8.8%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 1.41% (1 ML+0.17%) due 01/25/2037(3)		11,759		11,238
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		5,000		5,014
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 2.81% (3 ML+1.51%) due 01/15/2029*(6)		250,915		254,625
Apidos CLO XXI FRS Series 2015-21A, Class A1 2.73% (3 ML+1.43%) due 07/18/2027*(6)		255,000		258,264
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.81% (1 ML+1.58%) due 10/25/2034(8)		2,372		2,371
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class A 2.76% (3 ML+1.45%) due 08/05/2027*(6)		265,000		265,737
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(14)		98,584		101,121
Bayview Opportunity Master Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(1)(14)		200,000		205,219
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(14)		90,389		94,204
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(4)		100,000		102,357
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.30% due 02/25/2036(3)(14)		32,296		30,257
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		2,542		2,532

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020	$	15,000	$	15,032
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048(4)		39,000		40,885
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4)		39,000		40,933
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(4)		20,000		21,139
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.43% due 12/10/2049(4)(14)		653		653
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.25% (1 Yr USTYCR+2.40%) due 03/25/2036(3)		21,059		19,517
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(14)		100,000		99,999
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(4)		43,000		45,275
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(4)		35,000		35,451
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(4)		45,267		46,853
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4)		100,000		108,070
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.27% due 12/10/2049(4)(14)		1,669		1,667
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3)		9,757		8,853
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.00% due 06/15/2057(4)(5)(14)		329,686		15,389
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(4)		40,000		41,907
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.23% due 05/25/2035(3)(14)		32,931		32,976
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		10,176		10,176
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		50,000		50,150

15

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		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(4)	$	46,000	$	48,252
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(4)		40,000		42,509
GSAA Home Equity Trust FRS Series 2007-4, Class A1 1.34% (1 ML+0.10%) due 03/25/2037(8)		60,917		33,023
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.39% due 01/25/2036(3)(14)		14,195		14,224
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.42% due 03/25/2047(3)(14)		6,645		6,150
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		45,000		44,852
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		14,528		14,581
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.78% (1 ML+0.54%) due 05/25/2035(3)		16,822		16,854
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(4)		16,968		16,982
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(4)		39,000		40,501
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4)		25,000		26,308
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(4)		60,000		63,806
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(4)(14)		22,288		22,524
LSTAR Securities Investment Trust FRS Series 2017-3, Class A1 3.24% (1 ML+2.00%) due 04/01/2022*(3)		75,401		75,412
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.47% (3 ML+1.16%) due 07/23/2029*(6)		250,000		251,145

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 2.31% (3 ML+1.00%) due 07/25/2026*(6)	$	270,000	$	270,535
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.19% due 12/25/2034(3)(14)		8,486		8,647
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.28% due 12/15/2047(4)(5)(14)		97,733		4,896
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3)		10,596		9,052
MortgageIT Trust FRS Series 2005-4, Class A1 1.52% (1 ML+0.28%) due 10/25/2035(3)		40,371		39,838
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 2.74% (1 ML+1.50%) due 07/25/2056*(3)		95,866		98,541
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(14)		86,171		89,725
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(14)		92,396		96,139
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(14)		92,889		96,744
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.08% due 06/25/2036(3)(14)		34,641		31,329
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(14)		8,001		8,078
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1)		100,000		98,892
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		100,000		99,570
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		100,000		101,737
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.34% (1 ML+0.10%) due 02/25/2037(8)		9,967		6,313

16

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(8)(9)	$	61,059	$	34,021
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3)		1,108		1,110
Santander Drive Auto Receivables Trust Series 2014-1, Class C 2.36% due 04/15/2020		6,809		6,820
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 1.37% (1 ML+0.13%) due 05/25/2037(8)		27,674		21,540
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 3.30% due 02/20/2047(3)(14)		28,918		25,836
Shackleton 2015-VIII CLO, Ltd. FRS Series 2015-8A, Class A1 2.82% (3 ML+1.51%) due 10/20/2027*(6)		270,000		269,918
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.49% (1 ML+0.25%) due 11/25/2036(8)		50,000		40,816
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(14)		86,782		87,239
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(14)		98,142		98,589
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 2.68% (3 ML+1.37%) due 04/20/2027*(6)		265,000		267,227
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(4)		30,000		31,634
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.10% due 01/25/2035(3)(14)		24,517		24,603
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.17% due 03/25/2035(3)(14)		17,734		17,909
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.29% due 11/25/2034(3)(14)		1,062		1,070
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.52% due 10/25/2036(3)(14)		11,482		11,295

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Financial Services (continued)
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*	$	30,000	$	29,933
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(4)		35,000		37,246
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(4)		36,000		38,480
Total Asset Backed Securities (cost $4,721,014)				4,790,309
U.S. CORPORATE BONDS & NOTES — 5.4%
Aerospace/Defense — 0.0%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052*		11,000		11,000
Airlines — 0.0%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		20,000		20,556
Applications Software — 0.1%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		10,000		9,665
Microsoft Corp. Senior Notes 3.30% due 02/06/2027		5,000		5,177
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		15,000		15,127
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		10,000		10,305
				40,274
Auto-Cars/Light Trucks — 0.1%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		10,000		10,434
General Motors Co. Senior Notes 5.20% due 04/01/2045		5,000		5,034
General Motors Co. Senior Notes 6.75% due 04/01/2046		20,000		24,092
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		15,000		15,363
				54,923
Auto/Truck Parts & Equipment-Original — 0.0%
Lear Corp. Senior Notes 3.80% due 09/15/2027		15,000		14,943

17

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial — 0.1%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022*	$	25,000	$	25,471
Banks-Super Regional — 0.2%
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		10,000		9,779
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		55,000		55,942
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		30,000		30,364
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		30,000		33,463
				129,548
Beverages-Wine/Spirits — 0.0%
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		5,000		5,017
Constellation Brands, Inc. Company Guar. Notes 3.50% due 05/09/2027		5,000		5,067
				10,084
Brewery — 0.2%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		50,000		51,726
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		25,000		27,563
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		15,000		14,433
				93,722
Broadcast Services/Program — 0.1%
Discovery Communications LLC Company Guar. Notes 3.45% due 03/15/2025		5,000		4,924
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		7,000		7,215
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		5,000		4,964
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		10,000		10,676
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		15,000		16,575

Security Description	Principal Amount(13)		Value (Note 2)
Broadcast Services/Program (continued)
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025	$	8,000	$	8,116
				52,470
Building & Construction Products-Misc. — 0.0%
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		5,000		5,314
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		15,000		16,364
				21,678
Building Products-Cement — 0.0%
Eagle Materials, Inc. Company Guar. Notes 4.50% due 08/01/2026		5,000		5,213
Building-Heavy Construction — 0.1%
SBA Tower Trust Mtg. Notes 3.60% due 04/09/2043*		25,000		24,980
Building-Residential/Commercial — 0.0%
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		5,000		5,325
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,712
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		10,000		10,415
				21,452
Cable/Satellite TV — 0.4%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		5,000		5,181
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020		10,000		10,266
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		25,000		26,451
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		5,000		5,345
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		7,000		8,216

18

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (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 3.40% due 07/15/2046	$	10,000	$	9,217
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		15,000		16,130
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		15,000		14,906
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		5,000		5,044
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		8,000		8,055
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		4,087
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		15,000		15,722
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		20,000		18,955
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		10,000		10,973
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018		15,000		15,543
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		40,000		43,450
				217,541
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		10,000		10,937
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		10,000		11,250
				22,187
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		5,000		5,025
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		10,000		10,325
Computers — 0.1%
Apple, Inc. Senior Notes 3.35% due 02/09/2027		15,000		15,444

Security Description	Principal Amount(13)		Value (Note 2)
Computers (continued)
Apple, Inc. Senior Notes 3.45% due 02/09/2045	$	15,000	$	14,215
Dell International LLC/EMC Corp. Senior Sec. Notes 4.42% due 06/15/2021*		10,000		10,499
Hewlett Packard Enterprise Co. Senior Notes 3.60% due 10/15/2020		10,000		10,366
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025		20,000		21,157
				71,681
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		10,000		10,383
Diagnostic Equipment — 0.0%
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		20,000		20,330
Diversified Banking Institutions — 1.2%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		35,000		35,050
Bank of America Corp. Senior Notes 3.12% due 01/20/2023		30,000		30,534
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		30,000		30,473
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		5,000		5,182
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		40,000		44,027
Citigroup, Inc. FRS Senior Notes 2.41% (3 ML+1.10%) due 05/17/2024		15,000		15,033
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		15,000		14,763
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		25,000		26,388
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		6,000		6,642
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		25,000		28,059
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		10,000		10,090

19

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		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	$	25,000	$	25,323
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		10,000		10,141
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		10,000		10,007
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		5,000		5,039
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		5,000		5,724
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		37,000		39,748
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		9,000		11,303
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		15,000		19,801
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		13,000		17,151
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		15,000		14,989
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		10,000		10,034
JPMorgan Chase & Co. FRS Senior Notes 2.54% (3 ML+1.23%) due 10/24/2023		10,000		10,217
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		15,000		15,241
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		34,000		35,150
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		15,000		15,819
Morgan Stanley Senior Notes 2.63% due 11/17/2021		25,000		25,089
Morgan Stanley Senior Notes 2.65% due 01/27/2020		35,000		35,401
Morgan Stanley Senior Notes 3.59% due 07/22/2028		35,000		35,130
Morgan Stanley Senior Notes 3.63% due 01/20/2027		20,000		20,272

Security Description	Principal Amount(13)		Value (Note 2)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 3.70% due 10/23/2024	$	20,000	$	20,720
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		10,000		10,173
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		5,000		5,235
				643,948
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.90% due 08/21/2020*		10,000		10,025
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024*		5,000		5,019
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037*		15,000		15,265
				30,309
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021		5,000		5,027
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		5,000		5,362
				10,389
Electric-Integrated — 0.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		4,000		4,120
AES Corp. Senior Notes 5.50% due 03/15/2024		15,000		15,619
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		10,000		9,855
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		15,000		14,138
Exelon Corp. Senior Notes 2.85% due 06/15/2020		15,000		15,298
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		15,000		15,233
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		5,000		5,290
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024*		10,000		10,025
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		5,000		4,998

20

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031	$	20,000	$	26,979
Southern Co. Senior Notes 1.85% due 07/01/2019		10,000		9,995
Southern Co. Senior Notes 2.95% due 07/01/2023		5,000		5,025
				136,575
Electronic Components-Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022*		40,000		40,667
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024*		15,000		15,411
Intel Corp. Senior Notes 4.10% due 05/19/2046		7,000		7,344
				63,422
Electronic Measurement Instruments — 0.0%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		10,000		9,968
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 7.25% due 09/25/2023		20,000		21,725
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		10,000		10,186
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(8)		7,000		437
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(8)		7,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(8)		10,000		1
				10,625
Finance-Other Services — 0.1%
CBOE Holdings, Inc. Senior Notes 3.65% due 01/12/2027		15,000		15,360
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		10,000		10,222
				25,582

Security Description	Principal Amount(13)		Value (Note 2)
Food-Misc./Diversified — 0.0%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046	$	10,000	$	9,874
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		15,000		15,096
Gas-Distribution — 0.0%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		10,000		10,538
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		5,000		5,170
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		5,000		5,115
				10,285
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		10,000		10,675
Insurance-Multi-line — 0.0%
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		15,000		12,825
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		2,000		3,244
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		5,000		5,300
Medical Information Systems — 0.0%
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023*		10,000		10,400
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		30,000		30,280
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		15,000		15,123
Celgene Corp. Senior Notes 4.63% due 05/15/2044		5,000		5,394
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		5,000		4,950

21

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022	$	5,000	$	5,164
				30,631
Medical-HMO — 0.1%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		5,000		5,031
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		25,000		25,108
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		15,000		17,286
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		10,000		10,612
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		5,000		5,774
				63,811
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		5,000		4,938
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		10,000		9,825
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		15,000		15,848
				30,611
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		10,000		10,015
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		30,000		29,975
Cardinal Health, Inc. Senior Notes 4.37% due 06/15/2047		5,000		5,120
				45,110
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		10,000		10,700
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		15,000		18,645

Security Description	Principal Amount(13)		Value (Note 2)
Multimedia (continued)
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029	$	12,000	$	14,968
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		5,000		4,308
				37,921
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		15,000		15,412
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		20,000		19,666
Xerox Corp. Senior Notes 3.63% due 03/15/2023		20,000		19,832
				39,498
Oil Companies-Exploration & Production — 0.3%
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024		15,000		14,886
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		5,000		4,759
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		5,000		6,190
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,164
Apache Corp. Senior Notes 4.25% due 01/15/2044		5,000		4,695
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,012
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		5,000		5,081
Hess Corp. Senior Notes 4.30% due 04/01/2027		10,000		9,912
Hess Corp. Senior Notes 6.00% due 01/15/2040		10,000		10,353
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		5,000		5,942
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		10,000		10,000
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		10,000		9,722

22

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027	$	15,000	$	15,296
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		10,000		9,825
SM Energy Co. Senior Notes 6.13% due 11/15/2022		5,000		5,013
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		10,000		10,025
				142,875
Oil Refining & Marketing — 0.0%
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		22,000		21,703
Pipelines — 0.4%
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,800
Kinder Morgan, Inc. Company Guar. Notes 3.15% due 01/15/2023		60,000		60,324
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045		15,000		16,161
MPLX LP Senior Notes 4.13% due 03/01/2027		10,000		10,182
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,235
Phillips 66 Partners LP Senior Notes 3.55% due 10/01/2026		5,000		4,892
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 4.50% due 12/15/2026		5,000		5,075
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		15,000		15,719
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		5,000		5,040
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		10,000		10,318
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047		5,000		5,086

Security Description	Principal Amount(13)		Value (Note 2)
Pipelines (continued)
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022	$	5,000	$	5,319
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		15,000		14,768
Williams Cos., Inc. Senior Notes 4.55% due 06/24/2024		5,000		5,175
Williams Partners LP Senior Notes 4.00% due 11/15/2021		5,000		5,220
Williams Partners LP Senior Notes 4.30% due 03/04/2024		10,000		10,549
				188,863
Real Estate Investment Trusts — 0.0%
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		5,000		4,976
Rental Auto/Equipment — 0.0%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		5,000		5,356
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		10,000		10,663
				16,019
Retail-Building Products — 0.0%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		13,000		11,988
Retail-Drug Store — 0.1%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		10,000		10,172
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		9,000		9,387
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		15,000		17,251
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		4,076		4,585
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		7,658		8,746
				50,141
Semiconductor Equipment — 0.0%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		15,000		15,174

23

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025*	$	5,000	$	5,041
Telephone-Integrated — 0.3%
AT&T, Inc. Senior Notes 3.40% due 08/14/2024		25,000		25,039
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		5,000		5,144
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		10,000		10,417
AT&T, Inc. Senior Notes 3.90% due 08/14/2027		25,000		25,049
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		2,000		1,835
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		10,000		9,873
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		20,000		19,234
AT&T, Inc. Senior Notes 5.15% due 02/14/2050		20,000		20,097
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		5,000		5,262
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		22,000		21,613
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		20,000		20,492
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		10,000		10,323
				174,378
Tobacco — 0.1%
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		5,000		4,887
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		15,000		15,048
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		15,000		15,393
Philip Morris International, Inc. Senior Notes 3.13% due 08/17/2027		25,000		25,096

Security Description	Principal Amount(13)		Value (Note 2)
Tobacco (continued)
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020	$	12,000	$	12,332
				72,756
Transport-Rail — 0.1%
CSX Corp. Senior Notes 3.25% due 06/01/2027		20,000		20,055
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		10,000		9,912
				29,967
Transport-Services — 0.0%
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		15,000		14,817
Total U.S. Corporate Bonds & Notes (cost $2,910,682)				2,977,238
FOREIGN CORPORATE BONDS & NOTES — 0.9%
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		15,000		14,840
Methanex Corp. Senior Notes 5.65% due 12/01/2044		5,000		4,928
				19,768
Diversified Banking Institutions — 0.2%
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020		20,000		20,081
HSBC Holdings PLC Senior Notes 4.00% due 03/30/2022		25,000		26,426
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021		50,000		54,352
				100,859
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		5,000		4,909
Medical-Drugs — 0.1%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		20,000		19,930
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		10,000		9,856
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		5,000		4,814

24

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Drugs (continued)
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022*	$	10,000	$	10,575
				45,175
Medical-Generic Drugs — 0.2%
Allergan Funding SCS Company Guar. Notes 2.35% due 03/12/2018		50,000		50,146
Allergan Funding SCS Company Guar. Notes 3.00% due 03/12/2020		35,000		35,732
Mylan NV Company Guar. Notes 3.00% due 12/15/2018		10,000		10,113
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		10,000		10,175
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		10,000		10,368
				116,534
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		25,000		28,368
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		5,000		5,055
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		10,000		12,007
Encana Corp. Senior Notes 3.90% due 11/15/2021		10,000		10,305
				27,367
Oil Companies-Integrated — 0.1%
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027*		5,000		4,957
Petroleos Mexicanos Company Guar. Notes 6.50% due 03/13/2027*		10,000		11,082
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		11,000		11,703
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		10,000		10,723
YPF Sociedad Anonima SA Senior Notes 16.50% due 05/09/2022*	ARS	546,996		29,700
				68,165

Security Description	Principal Amount(13)		Value (Note 2)
Pipelines — 0.0%
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027	$	5,000	$	5,069
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		15,000		15,811
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		15,000		17,250
Telephone-Integrated — 0.0%
Telecom Italia Capital SA Company Guar. Notes 6.00% due 09/30/2034		5,000		5,531
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		5,000		5,425
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		15,000		15,233
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		10,000		12,348
Wireless Equipment — 0.0%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		5,000		5,144
Nokia OYJ Senior Notes 6.63% due 05/15/2039		5,000		5,770
				10,914
Total Foreign Corporate Bonds & Notes (cost $494,171)				498,726
MUNICIPAL BONDS & NOTES — 0.4%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		20,000		26,135
City of Chicago, IL General Obligation Bonds 7.05% due 01/01/2029		15,000		16,586
City of Chicago, IL Series B 7.38% due 01/01/2033		15,000		17,219
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		5,000		6,319

25

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038	$	75,000	$	28,875
State of California General Obligation Bonds 7.55% due 04/01/2039		25,000		38,340
State of California General Obligation Bonds 7.63% due 03/01/2040		5,000		7,662
State of Illinois 5.38% due 07/01/2018		15,000		15,321
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		35,000		35,491
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		10,000		10,455
Total Municipal Bonds & Notes (cost $207,261)				202,403
U.S. GOVERNMENT AGENCIES — 8.4%
Federal Home Loan Mtg. Corp. — 2.7%
2.50% due 01/01/2028		3,765		3,818
2.50% due 04/01/2028		10,972		11,124
3.00% due 10/01/2042		9,013		9,105
3.00% due 11/01/2042		5,197		5,246
3.00% due 02/01/2043		15,582		15,733
3.00% due 08/01/2043		79,618		80,308
3.00% due October TBA		500,000		501,816
3.50% due 03/01/2042		3,272		3,392
3.50% due 09/01/2043		29,990		31,146
3.50% due October TBA		400,000		412,547
4.00% due 09/01/2040		6,342		6,704
4.00% due October TBA		200,000		210,578
4.50% due 01/01/2039		695		746
5.00% due 07/01/2021		11,956		12,257
5.50% due 07/01/2034		3,951		4,413
6.00% due 08/01/2036		2,070		2,328
6.50% due 05/01/2029		599		671
7.50% due 08/01/2023		45		45
7.50% due 04/01/2028		632		726
Federal Home Loan Mtg. Corp. FRS 2.91% (6 ML+1.53%) due 02/01/2037		1,311		1,357
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.07% due 10/25/2047*(4)(14)		20,000		20,184
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K67, Class B 3.94% due 08/25/2027*(4)(14)		5,000		5,028

Security Description	Principal Amount(13)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K725, Class B 4.01% due 02/25/2024*(4)(14)	$	10,000	$	10,149
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K726, Class B 4.11% due 07/25/2049*(4)(14)		15,000		15,186
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K64, Class B 4.12% due 03/25/2027*(4)(14)		10,000		10,063
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2012-K706, Class B 4.17% due 11/25/2044*(4)(14)		20,000		20,320
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K66, Class B 4.17% due 07/25/2027*(4)(14)		13,000		12,930
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K65, Class B 4.21% due 05/25/2027*(4)(14)		15,000		15,437
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.44% due 09/25/2043*(4)(14)		25,000		26,734
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.75% due 03/25/2027(4)(5)(14)		124,857		6,121
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)		790		787
Series 1577, Class PK 6.50% due 09/15/2023(3)		1,355		1,452
Series 1226, Class Z 7.75% due 03/15/2022(3)		232		252
				1,458,703
Federal National Mtg. Assoc. — 3.5%
2.50% due 02/01/2043		74,308		72,288
2.64% due 03/01/2027		23,843		23,607
2.78% due 03/01/2027		21,000		20,992
2.97% due 06/01/2027		34,852		35,290
2.97% due 06/01/2030		40,000		39,974
3.00% due 01/01/2028		7,172		7,389
3.00% due October 15 TBA 3.00% due 10/17/2032		300,000		308,250
3.13% due 02/01/2027		45,000		46,060
3.50% due 08/01/2026		10,179		10,602
3.50% due 09/01/2026		9,835		10,267
3.50% due 10/01/2028		12,915		13,531
3.50% due October TBA		500,000		515,449
4.00% due 11/01/2025		1,878		1,974
4.00% due 09/01/2040		4,656		4,924

26

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
4.00% due 11/01/2040	$	1,544	$	1,633
4.00% due 12/01/2040		20,188		21,355
4.00% due 10/01/2041		6,096		6,445
4.00% due 11/01/2041		7,207		7,621
4.00% due 01/01/2042		7,532		7,964
4.00% due 12/01/2043		18,736		20,016
4.00% due October TBA		100,000		105,289
4.50% due 11/01/2022		4,838		4,990
4.50% due 01/01/2039		1,926		2,071
4.50% due 06/01/2039		21,827		23,643
4.50% due 09/01/2039		3,870		4,172
4.50% due 09/01/2040		7,959		8,614
4.50% due 05/01/2041		3,503		3,790
4.50% due October TBA		200,000		214,687
5.00% due 06/01/2019		182		186
5.00% due 05/01/2035		699		770
5.00% due 06/01/2040		30,341		33,147
5.00% due 07/01/2040		6,834		7,465
5.00% due October TBA		100,000		109,078
5.50% due 11/01/2020		1,505		1,546
5.50% due 04/01/2021		31,154		32,445
5.50% due 12/01/2029		1,158		1,280
5.50% due 06/01/2035		80,279		90,161
5.50% due 08/01/2037		11,573		12,923
5.50% due 06/01/2038		5,664		6,319
6.00% due 12/01/2033		5,266		6,023
6.00% due 05/01/2034		408		466
6.00% due 06/01/2040		145		164
6.50% due 10/01/2037		191		212
7.00% due 06/01/2037		5,322		6,052
Federal National Mtg. Assoc. FRS 3.13% (12 ML+1.82%) due 10/01/2040		1,898		1,984
Federal National Mtg. Assoc. FRS 3.21% (12 ML+1.57%) due 05/01/2037		1,929		2,017
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 4.79% (1 ML+3.55%) due 07/25/2029		10,000		10,546
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C07, Class 2M2 5.59% (1 ML+4.35%) due 05/25/2029		20,143		21,900
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3)		7,250		7,197
				1,894,768
Government National Mtg. Assoc. — 2.2%
3.00% due October TBA		200,000		202,781
3.50% due October TBA		500,000		519,688
4.00% due 09/15/2041		189,659		200,825
4.00% due October TBA		200,000		210,617

Security Description	Principal Amount(13)		Value (Note 2)
Government National Mtg. Assoc. (continued)
4.50% due 06/15/2041	$	67,119	$	72,614
6.00% due 11/15/2031		17,880		20,154
7.00% due 05/15/2033		6,252		7,312
9.00% due 11/15/2021		74		80
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(3)		130		149
Series 2005-74, Class HC 7.50% due 09/16/2035(3)		1,814		2,130
				1,236,350
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		6,000		6,020
Total U.S. Government Agencies (cost $4,589,282)				4,595,841
U.S. GOVERNMENT TREASURIES — 5.8%
United States Treasury Bonds — 1.0%
2.88% due 08/15/2045(10)(11)		196,000		196,842
2.88% due 11/15/2046		93,000		93,331
3.00% due 05/15/2045		16,000		16,475
3.00% due 11/15/2045		101,000		103,892
3.00% due 02/15/2047		83,000		85,376
5.00% due 05/15/2037		38,000		51,938
				547,854
United States Treasury Notes — 4.8%
0.25% due 01/15/2025 TIPS(7)		347,259		343,815
1.13% due 02/28/2019		221,000		220,111
1.13% due 09/30/2021		147,000		143,136
1.25% due 06/30/2019		930,000		926,730
1.25% due 10/31/2021		211,000		206,285
1.63% due 11/30/2020		220,000		219,673
1.88% due 03/31/2022		104,000		103,968
2.00% due 02/15/2025		460,000		453,711
				2,617,429
Total U.S. Government Treasuries (cost $3,187,680)				3,165,283
FOREIGN GOVERNMENT OBLIGATIONS — 0.8%
Sovereign — 0.8%
Government of Canada Bonds 1.00% due 09/01/2022	CAD	558,000		431,061
United Mexican States Senior Notes 5.75% due 10/12/2110		16,000		17,152
Total Foreign Government Obligations (cost $448,849)				448,213
Total Long-Term Investment Securities (cost $48,236,016)				56,619,736
SHORT-TERM INVESTMENT SECURITIES — 2.0%
Foreign Government Obligations — 1.0%
Government of Japan Bills (0.09)% due 10/10/2017	JPY	16,250,000		144,415
Government of Japan Bills (0.21)% due 10/10/2017	JPY	30,800,000		273,723

27

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(13)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
Foreign Government Obligations (continued)
Republic of Argentina Bills 2.80% due 11/24/2017	$	3,497		$	3,482
Republic of Argentina Bills 2.81% due 11/10/2017		3,466			3,455
Republic of Argentina Bills 2.81% due 01/26/2018		8,075			7,997
Republic of Argentina Bills 3.06% due 06/15/2018		38,147			37,356
Republic of Argentina Bills 3.13% due 05/24/2018		11,516			11,277
Republic of Argentina Bills 3.17% due 12/15/2017		21,368			21,240
Republic of Argentina Bills 3.30% due 04/27/2018		21,521			21,132
					524,077
Time Deposits — 0.3%
Euro Time Deposit with State Street Bank and Trust Co. 0.12% due 10/02/2017		194,000			194,000
U.S. Government Agencies — 0.7%
Federal Home Loan Bank Disc. Notes 0.61% due 10/02/2017		400,000			399,993
Total Short-Term Investment Securities (cost $1,125,753)					1,118,070
TOTAL INVESTMENTS (cost $49,361,769)(15)		105.4	%		57,737,806
Liabilities in excess of other assets		(5.4	)		(2,936,093	)
NET ASSETS		100.0	%	$	54,801,713

#  See Note 1

†  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, 2017, the aggregate value of these securities was $4,217,308 representing 7.7% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security classified as Level 3 (see Note 2).

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

(3)  Collateralized Mortgage Obligation

(4)  Commercial Mortgage Backed Security

(5)  Interest Only

(6)  Collateralized Loan Obligation

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

(8)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $189,067 representing 0.4% of net assets.

(9)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2017.

(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)  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, 2017, 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	$	1,523	$	761.35		0.00	%

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

(14)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

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

ARS — Argentine Peso

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2017 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

5 Yr UIRS — 5 Year USD Interest Rate Swap

28

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	3	Long	E-Mini Russell 2000 Index	December 2017	$	219,965	$	223,935	$	3,970
	2	Short	Long Gilt Future	December 2017		340,132		331,998		8,134
	7	Short	U.S. Treasury 10 Year Notes	December 2017		886,211		877,188		9,023
	2	Long	U.S. Treasury 10 Year Ultra Bonds	December 2017		273,422		268,656		(4,766	)
	1	Long	U.S. Treasury 2 Year Notes	December 2017		215,719		215,703		(16	)
	9	Long	U.S. Treasury 5 Year Notes	December 2017		1,063,880		1,057,500		(6,380	)
	3	Long	U.S. Treasury Long Bonds	December 2017		463,359		458,438		(4,921	)
	1	Long	U.S. Treasury Ultra Bonds	December 2017		167,719		165,125		(2,594	)
									$	2,450

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	JPY	16,254,000	USD	144,133	10/10/2017	$	—	$	(363	)
Deutsche Bank AG	JPY	30,800,000	USD	283,216	10/10/2017		9,408		—
Goldman Sachs International	EGP	71,000	USD	3,654	03/06/2018		—		(205	)
	EGP	105,000	USD	5,374	03/29/2018		—		(298	)
	USD	3,820	EGP	71,000	03/06/2018		39		—
	USD	5,713	EGP	105,000	03/29/2018		—		(41	)
							39		(544	)
HSBC Bank USA	CAD	171,000	USD	137,791	10/31/2017		717		—
Royal Bank of Canada	CAD	366,000	USD	296,355	10/31/2017		2,967		—
Net Unrealized Appreciation (Depreciation)						$	13,131	$	(907	)

CAD — Canadian Dollar

EGP — Egyptian Pound

JPY — Japanese Yen

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged			Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency		Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	75	11/14/2026	1 Year USD Federal Funds — H.15-OIS-Compound/Annually		1.63%/Annually	$	—	$	1,498

OIS — Overnight Index Swap

USD — United States Dollar

29

Seasons Series Trust Multi-Managed Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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:
Real Estate Operation & Development	$	13,252	$	49,020	$	—	$	62,272
Television		63,298		—		1,523		64,821
Other Industries		39,529,132		—		—		39,529,132
Preferred Securities/Capital Securities:
Diversified Banking Institutions		—		285,497		—		285,497
Finance-Investment Banker/Broker		—		—		1		1
Asset Backed Securities:
Diversified Financial Services		—		4,486,198		304,111		4,790,309
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		10,623		2		10,625
Other Industries		—		2,966,613		—		2,966,613
Foreign Corporate Bonds & Notes		—		498,726		—		498,726
Municipal Bond & Notes		—		202,403		—		202,403
U.S. Government Agencies		—		4,595,841		—		4,595,841
U.S. Government Treasuries		—		3,165,283		—		3,165,283
Foreign Government Obligations		—		448,213		—		448,213
Short-Term Investment Securities		—		1,118,070		—		1,118,070
Total Investments at Value	$	39,605,682	$	17,826,487	$	305,637	$	57,737,806
Other Financial Instruments:†
Futures Contracts	$	21,127	$	—	$	—	$	21,127
Forward Foreign Currency Contracts		—		13,131		—		13,131
Centrally Cleared Interest Rate Swap Contracts		—		1,498		—		1,498
Total Other Financial Instruments	$	21,127	$	14,629	$	—	$	35,756
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	18,677	$	—	$	—	$	18,677
Forward Foreign Currency Contracts		—		907		—		907
Total Other Financial Instruments	$	18,677	$	907	$	—	$	19,584

*  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

30

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Financial Services	13.3	%
United States Treasury Notes	9.7
Federal National Mtg. Assoc.	6.3
Federal Home Loan Mtg. Corp.	3.7
Government National Mtg. Assoc.	3.6
Diversified Banking Institutions	3.0
Applications Software	2.3
Electronic Components-Semiconductors	2.3
Medical-Biomedical/Gene	2.3
Web Portals/ISP	2.3
Real Estate Investment Trusts	2.1
Banks-Commercial	1.8
Finance-Credit Card	1.8
Computers	1.7
Retail-Restaurants	1.7
Medical-Drugs	1.6
Foreign Government Obligations	1.5
E-Commerce/Products	1.5
Medical-HMO	1.4
Internet Content-Entertainment	1.4
Sovereign	1.3
Cable/Satellite TV	1.3
Aerospace/Defense	0.9
Diversified Manufacturing Operations	0.9
Electronic Forms	0.9
United States Treasury Bonds	0.9
Electronic Components-Misc.	0.9
Tobacco	0.8
Oil Companies-Exploration & Production	0.8
Transport-Rail	0.8
Enterprise Software/Service	0.8
Beverages-Non-alcoholic	0.7
Entertainment Software	0.7
Multimedia	0.7
Commercial Services	0.7
Auto/Truck Parts & Equipment-Original	0.7
Retail-Building Products	0.6
Electric-Integrated	0.6
Medical-Hospitals	0.6
Consulting Services	0.6
Computer Aided Design	0.6
Municipal Bonds & Notes	0.6
Building Products-Cement	0.6
Insurance-Property/Casualty	0.6
E-Commerce/Services	0.6
Medical Products	0.6
Telephone-Integrated	0.6
U.S. Government Agencies	0.6
Industrial Gases	0.6
Medical Instruments	0.6
Commercial Services-Finance	0.5
Pipelines	0.5
Cosmetics & Toiletries	0.5
Savings & Loans/Thrifts	0.5
Containers-Paper/Plastic	0.5
Finance-Investment Banker/Broker	0.5
Airlines	0.5
Finance-Other Services	0.5
Diagnostic Equipment	0.5
Electric Products-Misc.	0.4

Retail-Discount	0.4	%
Computer Services	0.4
Coatings/Paint	0.4
Drug Delivery Systems	0.4
Electronic Connectors	0.4
Instruments-Controls	0.4
Medical-Generic Drugs	0.4
Banks-Super Regional	0.4
Building-Residential/Commercial	0.4
Athletic Footwear	0.3
Agricultural Chemicals	0.3
Food-Confectionery	0.3
Recreational Vehicles	0.3
Medical Information Systems	0.3
Time Deposits	0.3
Retail-Apparel/Shoe	0.3
Building-Heavy Construction	0.3
Retail-Gardening Products	0.3
Energy-Alternate Sources	0.3
Cellular Telecom	0.3
Finance-Consumer Loans	0.3
Brewery	0.3
Distribution/Wholesale	0.3
Wireless Equipment	0.3
Food-Catering	0.2
Human Resources	0.2
Engineering/R&D Services	0.2
Computer Software	0.2
Medical-Wholesale Drug Distribution	0.2
Independent Power Producers	0.2
Oil Companies-Integrated	0.2
Therapeutics	0.2
Data Processing/Management	0.2
Insurance-Life/Health	0.2
Chemicals-Specialty	0.2
Apparel Manufacturers	0.2
Machinery-General Industrial	0.2
Food-Misc./Diversified	0.2
Retail-Auto Parts	0.2
Aerospace/Defense-Equipment	0.2
Office Supplies & Forms	0.2
Gambling (Non-Hotel)	0.2
Cruise Lines	0.2
Broadcast Services/Program	0.2
Oil Refining & Marketing	0.2
Printing-Commercial	0.2
Auto-Cars/Light Trucks	0.2
Transport-Truck	0.2
Oil-Field Services	0.2
Building & Construction Products-Misc.	0.2
Semiconductor Equipment	0.1
Rubber/Plastic Products	0.1
Gas-Distribution	0.1
Retail-Drug Store	0.1
Power Converter/Supply Equipment	0.1
Racetracks	0.1
Telecom Services	0.1
Television	0.1
Auto/Truck Parts & Equipment-Replacement	0.1
Auto-Truck Trailers	0.1

31

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
Electronic Parts Distribution	0.1	%
Telecommunication Equipment	0.1
Satellite Telecom	0.1
Patient Monitoring Equipment	0.1
Real Estate Operations & Development	0.1
Financial Guarantee Insurance	0.1
Office Automation & Equipment	0.1
Steel-Producers	0.1
Water	0.1
Poultry	0.1
Web Hosting/Design	0.1
Transactional Software	0.1
Metal Products-Distribution	0.1
Engines-Internal Combustion	0.1
Footwear & Related Apparel	0.1
Banks-Mortgage	0.1
Computers-Periphery Equipment	0.1
Home Furnishings	0.1
E-Services/Consulting	0.1
Metal-Iron	0.1
Electric-Generation	0.1
Retail-Jewelry	0.1
Retail-Hair Salons	0.1
Internet Security	0.1
Housewares	0.1
Medical-Nursing Homes	0.1
Oil & Gas Drilling	0.1
Circuit Boards	0.1
Protection/Safety	0.1
Medical-Outpatient/Home Medical	0.1
Retail-Pawn Shops	0.1
Transport-Marine	0.1
Transport-Services	0.1
	110.0	%

*  Calculated as a percentage of net assets

#  See Note 1

32

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 57.1%
Aerospace/Defense — 0.9%
General Dynamics Corp.		2,419	$	497,298
Northrop Grumman Corp.		1,113		320,232
				817,530
Aerospace/Defense-Equipment — 0.2%
AAR Corp.		850		32,113
Curtiss-Wright Corp.		700		73,178
Moog, Inc., Class A†		650		54,229
				159,520
Agricultural Chemicals — 0.3%
Monsanto Co.		2,560		306,739
Airlines — 0.4%
United Continental Holdings, Inc.†		5,645		343,668
Apparel Manufacturers — 0.2%
Carter's, Inc.		1,740		171,825
Applications Software — 2.2%
HubSpot, Inc.†		475		39,924
Microsoft Corp.		17,712		1,319,367
Progress Software Corp.		4,600		175,582
salesforce.com, Inc.†		5,253		490,735
				2,025,608
Athletic Footwear — 0.3%
NIKE, Inc., Class B		5,967		309,389
Auto-Truck Trailers — 0.1%
Wabash National Corp.		4,575		104,401
Auto/Truck Parts & Equipment-Original — 0.6%
Delphi Automotive PLC		4,222		415,445
Tenneco, Inc.		1,750		106,172
				521,617
Auto/Truck Parts & Equipment-Replacement — 0.1%
Douglas Dynamics, Inc.		2,725		107,365
B2B/E-Commerce — 0.0%
ePlus, Inc.†		475		43,914
Banks-Commercial — 1.6%
1st Source Corp.		560		28,448
BancFirst Corp.		1,725		97,894
BancorpSouth, Inc.		2,275		72,914
Cadence BanCorp†		150		3,438
Capital Bank Financial Corp., Class A		1,775		72,864
Cathay General Bancorp, Class B		900		36,180
Central Pacific Financial Corp.		2,925		94,126
Central Valley Community Bancorp		200		4,460
Citizens & Northern Corp.		225		5,526
City Holding Co.		575		41,348
CVB Financial Corp.		3,675		88,825
East West Bancorp, Inc.		43		2,571
FCB Financial Holdings, Inc., Class A†		2,725		131,617
First Commonwealth Financial Corp.		3,725		52,634

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
First Community Bancshares, Inc.		250	$	7,278
First Financial Bancorp		600		15,690
First Hawaiian, Inc.		825		24,989
First Interstate BancSystem, Inc., Class A		600		22,950
Fulton Financial Corp.		950		17,812
Great Western Bancorp, Inc.		300		12,384
Guaranty Bancorp		375		10,425
Hope Bancorp, Inc.		1,808		32,020
Independent Bank Corp.		1,050		23,782
Independent Bank Corp./ Rockland Bank Corp.		125		9,331
Kearny Financial Corp.		2,825		43,364
MainSource Financial Group, Inc.		275		9,862
OFG Bancorp		2,075		18,986
PacWest Bancorp		600		30,306
Sierra Bancorp		250		6,788
Simmons First National Corp., Class A		375		21,712
Southside Bancshares, Inc.		177		6,436
Southwest Bancorp, Inc.		425		11,709
TCF Financial Corp.		2,300		39,192
Trustmark Corp.		775		25,668
UMB Financial Corp.		550		40,969
Union Bankshares Corp.		2,759		97,393
Webster Financial Corp.		525		27,589
West Bancorporation, Inc.		375		9,150
Westamerica Bancorporation		2,275		135,453
				1,434,083
Banks-Mortgage — 0.1%
Walker & Dunlop, Inc.†		1,375		71,954
Banks-Super Regional — 0.0%
National Bank Holdings Corp., Class A		205		7,316
Beverages-Non-alcoholic — 0.7%
Coca-Cola Co.		14,661		659,892
Building & Construction Products-Misc. — 0.1%
Gibraltar Industries, Inc.†		1,300		40,495
Ply Gem Holdings, Inc.†		1,200		20,460
				60,955
Building & Construction-Misc. — 0.0%
MYR Group, Inc.†		1,300		37,882
Building Products-Cement — 0.6%
Continental Building Products, Inc.†		3,950		102,700
Vulcan Materials Co.		3,312		396,115
				498,815
Building-Heavy Construction — 0.0%
MasTec, Inc.†		575		26,680
Building-Residential/Commercial — 0.3%
AV Homes, Inc.†		500		8,575
Beazer Homes USA, Inc.†		3,775		70,744

33

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building-Residential/Commercial (continued)
Taylor Morrison Home Corp., Class A†		8,550	$	188,527
				267,846
Cable/Satellite TV — 0.7%
Comcast Corp., Class A		15,580		599,518
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		2,982		183,870
Chemicals-Diversified — 0.0%
Olin Corp.		400		13,700
Chemicals-Fibers — 0.0%
Rayonier Advanced Materials, Inc.		2,550		34,935
Chemicals-Other — 0.0%
American Vanguard Corp.		750		17,175
Chemicals-Specialty — 0.1%
Minerals Technologies, Inc.		1,150		81,247
OMNOVA Solutions, Inc.†		2,650		29,018
Venator Materials PLC†		575		12,995
				123,260
Circuit Boards — 0.1%
TTM Technologies, Inc.†		3,025		46,494
Coal — 0.0%
SunCoke Energy, Inc.†		475		4,342
Coatings/Paint — 0.4%
Sherwin-Williams Co.		1,042		373,078
Commercial Services — 0.7%
Acacia Research Corp.†		1,647		7,494
Care.com, Inc.†		700		11,123
CoStar Group, Inc.†		1,138		305,268
HMS Holdings Corp.†		2,300		45,678
Medifast, Inc.		150		8,906
RPX Corp.†		2,150		28,552
ServiceMaster Global Holdings, Inc.†		4,307		201,266
				608,287
Commercial Services-Finance — 0.5%
Equifax, Inc.		1,786		189,298
Euronet Worldwide, Inc.†		275		26,067
EVERTEC, Inc.		350		5,548
MarketAxess Holdings, Inc.		475		87,642
Travelport Worldwide, Ltd.		7,625		119,713
				428,268
Computer Aided Design — 0.6%
Aspen Technology, Inc.†		3,125		196,281
Cadence Design Systems, Inc.†		8,742		345,047
				541,328
Computer Services — 0.4%
Amdocs, Ltd.		3,224		207,368
Convergys Corp.		1,775		45,955
Science Applications International Corp.		1,200		80,220

Security Description	Shares		Value (Note 2)
Computer Services (continued)
Unisys Corp.†		7,175	$	60,987
				394,530
Computer Software — 0.2%
SS&C Technologies Holdings, Inc.		4,345		174,452
Tintri, Inc.†		2,725		8,556
Workiva, Inc.†		1,125		23,456
				206,464
Computers — 1.5%
Apple, Inc.		8,847		1,363,500
Nutanix, Inc., Class A†		1,350		30,226
				1,393,726
Computers-Integrated Systems — 0.0%
NetScout Systems, Inc.†		675		21,836
Computers-Periphery Equipment — 0.1%
Electronics For Imaging, Inc.†		1,675		71,489
Consulting Services — 0.6%
Franklin Covey Co.†		564		11,449
Gartner, Inc.†		1,763		219,335
Huron Consulting Group, Inc.†		3,125		107,187
Verisk Analytics, Inc.†		2,657		221,036
				559,007
Containers-Paper/Plastic — 0.5%
Graphic Packaging Holding Co.		6,975		97,301
Sealed Air Corp.		7,461		318,734
				416,035
Cosmetics & Toiletries — 0.5%
Estee Lauder Cos., Inc., Class A		4,080		439,987
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		2,851		154,097
Data Processing/Management — 0.2%
CSG Systems International, Inc.		1,075		43,108
Fair Isaac Corp.		825		115,912
				159,020
Diagnostic Equipment — 0.4%
Thermo Fisher Scientific, Inc.		1,700		321,640
Disposable Medical Products — 0.0%
Utah Medical Products, Inc.		200		14,710
Distribution/Wholesale — 0.3%
Essendant, Inc.		625		8,231
Fastenal Co.		3,616		164,817
ScanSource, Inc.†		150		6,548
Titan Machinery, Inc.†		3,325		51,637
				231,233
Diversified Manufacturing Operations — 0.9%
A.O. Smith Corp.		4,786		284,432
Actuant Corp., Class A		2,200		56,320
Harsco Corp.†		650		13,585

34

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Diversified Manufacturing Operations (continued)
Illinois Tool Works, Inc.		3,269	$	483,681
				838,018
Drug Delivery Systems — 0.4%
DexCom, Inc.†		5,611		274,518
Nektar Therapeutics†		2,750		66,000
Revance Therapeutics, Inc.†		1,650		45,458
				385,976
E-Commerce/Products — 1.4%
Amazon.com, Inc.†		1,304		1,253,600
E-Commerce/Services — 0.6%
Bankrate, Inc.†		2,025		28,249
Priceline Group, Inc.†		252		461,366
Stamps.com, Inc.†		100		20,265
				509,880
E-Services/Consulting — 0.1%
Perficient, Inc.†		3,500		68,845
Electric Products-Misc. — 0.4%
AMETEK, Inc.		5,890		388,976
Graham Corp.		375		7,811
				396,787
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		1,550		23,250
Electric-Generation — 0.1%
Atlantic Power Corp.†		19,850		48,632
Electric-Integrated — 0.2%
Avista Corp.		275		14,237
El Paso Electric Co.		1,075		59,393
NorthWestern Corp.		300		17,082
PNM Resources, Inc.		800		32,240
Portland General Electric Co.		1,900		86,716
				209,668
Electronic Components-Misc. — 0.9%
Bel Fuse, Inc., Class B		225		7,020
Benchmark Electronics, Inc.†		4,350		148,552
Flex, Ltd.†		22,620		374,813
Knowles Corp.†		3,950		60,317
Stoneridge, Inc.†		3,450		68,345
Vishay Intertechnology, Inc.		6,425		120,790
				779,837
Electronic Components-Semiconductors — 2.1%
Alpha & Omega Semiconductor, Ltd.†		2,375		39,164
Amkor Technology, Inc.†		7,150		75,432
Broadcom, Ltd.		2,379		577,003
Microchip Technology, Inc.		4,650		417,477
Silicon Laboratories, Inc.†		200		15,980
Synaptics, Inc.†		2,050		80,319
Texas Instruments, Inc.		6,172		553,258
Xperi Corp.		4,850		122,705
				1,881,338
Electronic Connectors — 0.4%
Amphenol Corp., Class A		4,417		373,855

Security Description	Shares		Value (Note 2)
Electronic Forms — 0.9%
Adobe Systems, Inc.†		5,344	$	797,218
Electronic Parts Distribution — 0.1%
Tech Data Corp.†		1,150		102,177
Energy-Alternate Sources — 0.3%
FutureFuel Corp.		1,450		22,823
Pattern Energy Group, Inc.		1,475		35,548
Renewable Energy Group, Inc.†		3,550		43,132
REX American Resources Corp.†		1,675		157,165
				258,668
Engineering/R&D Services — 0.2%
EMCOR Group, Inc.		2,300		159,574
VSE Corp.		1,000		56,860
				216,434
Engines-Internal Combustion — 0.1%
Briggs & Stratton Corp.		3,375		79,312
Enterprise Software/Service — 0.8%
Manhattan Associates, Inc.†		450		18,706
Tyler Technologies, Inc.†		2,394		417,322
Ultimate Software Group, Inc.†		1,321		250,462
				686,490
Entertainment Software — 0.7%
Activision Blizzard, Inc.		9,756		629,360
Take-Two Interactive Software, Inc.†		75		7,667
				637,027
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		100		28,017
Finance-Consumer Loans — 0.2%
Nelnet, Inc., Class A		750		37,875
Regional Management Corp.†		175		4,237
Synchrony Financial		4,513		140,128
				182,240
Finance-Credit Card — 1.8%
MasterCard, Inc., Class A		5,046		712,495
Visa, Inc., Class A		8,222		865,283
				1,577,778
Finance-Investment Banker/Broker — 0.4%
Houlihan Lokey, Inc.		1,275		49,891
TD Ameritrade Holding Corp.		6,290		306,952
				356,843
Finance-Other Services — 0.4%
Intercontinental Exchange, Inc.		3,745		257,281
WageWorks, Inc.†		1,100		66,770
				324,051
Financial Guarantee Insurance — 0.1%
MBIA, Inc.†		5,375		46,763
MGIC Investment Corp.†		2,325		29,132

35

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Financial Guarantee Insurance (continued)
NMI Holdings, Inc., Class A†		1,075	$	13,330
				89,225
Food-Canned — 0.0%
Seneca Foods Corp., Class A†		200		6,900
Food-Catering — 0.2%
Aramark		5,443		221,040
Food-Confectionery — 0.3%
Hershey Co.		2,632		287,335
Food-Dairy Products — 0.0%
Dean Foods Co.		2,700		29,376
Food-Flour & Grain — 0.0%
Post Holdings, Inc.†		250		22,068
Food-Misc./Diversified — 0.2%
Darling Ingredients, Inc.†		8,150		142,788
Food-Retail — 0.0%
Ingles Markets, Inc., Class A		950		24,415
Footwear & Related Apparel — 0.1%
Iconix Brand Group, Inc.†		2,250		12,802
Wolverine World Wide, Inc.		2,100		60,585
				73,387
Gambling (Non-Hotel) — 0.2%
Pinnacle Entertainment, Inc.†		7,250		154,497
Gas-Distribution — 0.1%
Northwest Natural Gas Co.		275		17,710
Southwest Gas Holdings, Inc.		525		40,751
Spire, Inc.		625		46,656
				105,117
Home Furnishings — 0.1%
Select Comfort Corp.†		2,250		69,862
Hotels/Motels — 0.0%
La Quinta Holdings, Inc.†		2,525		44,188
Housewares — 0.1%
NACCO Industries, Inc., Class A		600		51,480
Human Resources — 0.2%
Barrett Business Services, Inc.		1,900		107,407
Cross Country Healthcare, Inc.†		7,150		101,744
TriNet Group, Inc.†		300		10,086
				219,237
Independent Power Producers — 0.2%
Dynegy, Inc.†		8,350		81,747
NRG Energy, Inc.		4,565		116,818
				198,565
Industrial Gases — 0.6%
Air Products & Chemicals, Inc.		3,287		497,060
Instruments-Controls — 0.4%
Sensata Technologies Holding NV†		7,370		354,276

Security Description	Shares		Value (Note 2)
Insurance-Life/Health — 0.2%
CNO Financial Group, Inc.		3,150	$	73,521
Primerica, Inc.		900		73,395
				146,916
Insurance-Multi-line — 0.0%
Kemper Corp.		725		38,425
Insurance-Property/Casualty — 0.6%
Ambac Financial Group, Inc.†		175		3,021
First American Financial Corp.		575		28,733
Global Indemnity, Ltd.†		200		8,480
Kinsale Capital Group, Inc.		225		9,713
Navigators Group, Inc.		875		51,056
ProAssurance Corp.		700		38,255
Progressive Corp.		7,009		339,376
Third Point Reinsurance, Ltd.†		1,125		17,550
Universal Insurance Holdings, Inc.		625		14,375
				510,559
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		250		10,100
Blue Capital Reinsurance Holdings, Ltd.		150		2,468
				12,568
Internet Application Software — 0.0%
Okta, Inc.†		1,000		28,210
Internet Content-Entertainment — 1.4%
Facebook, Inc., Class A†		7,247		1,238,295
Internet Content-Information/News — 0.0%
DHI Group, Inc.†		1,775		4,615
Internet Security — 0.1%
Proofpoint, Inc.†		250		21,805
VASCO Data Security International, Inc.†		950		11,448
Zix Corp.†		4,150		20,293
				53,546
Investment Management/Advisor Services — 0.0%
Federated Investors, Inc., Class B		325		9,653
Virtus Investment Partners, Inc.		200		23,210
				32,863
Machinery-General Industrial — 0.2%
Applied Industrial Technologies, Inc.		775		50,995
DXP Enterprises, Inc.†		1,375		43,299
Kadant, Inc.		750		73,912
				168,206
Marine Services — 0.0%
SEACOR Marine Holdings, Inc.†		326		5,099
Medical Information Systems — 0.3%
Allscripts Healthcare Solutions, Inc.†		1,650		23,479

36

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical Information Systems (continued)
athenahealth, Inc.†		1,858	$	231,061
				254,540
Medical Instruments — 0.6%
Boston Scientific Corp.†		14,471		422,119
Halyard Health, Inc.†		1,625		73,174
				495,293
Medical Products — 0.5%
Cooper Cos., Inc.		722		171,194
Orthofix International NV†		1,825		86,231
Wright Medical Group NV†		6,800		175,916
				433,341
Medical-Biomedical/Gene — 2.2%
Achillion Pharmaceuticals, Inc.†		1,300		5,837
Alder Biopharmaceuticals, Inc.†		3,400		41,650
Arena Pharmaceuticals, Inc.†		2,545		64,897
Axovant Sciences, Ltd.†		225		1,548
Biogen, Inc.†		1,501		469,993
Biohaven Pharmaceutical Holding Co., Ltd.†		1,125		42,052
Celgene Corp.†		3,994		582,405
CytomX Therapeutics, Inc.†		1,950		35,432
Edge Therapeutics, Inc.†		3,075		32,995
Myriad Genetics, Inc.†		1,625		58,792
Novavax, Inc.†		31,000		35,340
Paratek Pharmaceuticals, Inc.†		1,300		32,630
Prothena Corp. PLC†		800		51,816
Regeneron Pharmaceuticals, Inc.†		859		384,076
Sage Therapeutics, Inc.†		250		15,575
Selecta Biosciences, Inc.†		875		15,969
Seres Therapeutics, Inc.†		2,550		40,902
Ultragenyx Pharmaceutical, Inc.†		750		39,945
Versartis, Inc.†		4,350		10,658
				1,962,512
Medical-Drugs — 1.5%
ACADIA Pharmaceuticals, Inc.†		850		32,020
Aimmune Therapeutics, Inc.†		2,025		50,200
Allergan PLC		1,478		302,916
Amicus Therapeutics, Inc.†		5,325		80,301
Eli Lilly & Co.		7,768		664,475
Global Blood Therapeutics, Inc.†		1,425		44,246
Ignyta, Inc.†		3,575		44,151
MyoKardia, Inc.†		100		4,285
Pacira Pharmaceuticals, Inc.†		1,150		43,182
Prestige Brands Holdings, Inc.†		300		15,027
Reata Pharmaceuticals, Inc., Class A†		1,400		43,540
Synergy Pharmaceuticals, Inc.†		12,325		35,743

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
TG Therapeutics, Inc.†		2,900	$	34,365
				1,394,451
Medical-Generic Drugs — 0.0%
Avexis, Inc.†		425		41,110
Medical-HMO — 1.2%
Aetna, Inc.		2,378		378,126
Humana, Inc.		1,474		359,110
Molina Healthcare, Inc.†		2,025		139,239
Tivity Health, Inc.†		4,550		185,640
WellCare Health Plans, Inc.†		200		34,348
				1,096,463
Medical-Hospitals — 0.5%
Community Health Systems, Inc.†		650		4,992
Envision Healthcare Corp.†		3,899		175,260
Tenet Healthcare Corp.†		2,850		46,826
Universal Health Services, Inc., Class B		2,264		251,168
				478,246
Medical-Nursing Homes — 0.1%
Genesis Healthcare, Inc.†		9,800		11,368
Kindred Healthcare, Inc.		5,750		39,100
				50,468
Medical-Outpatient/Home Medical — 0.1%
Civitas Solutions, Inc.†		2,450		45,202
Medical-Wholesale Drug Distribution — 0.1%
Owens & Minor, Inc.		3,400		99,280
Metal Products-Distribution — 0.1%
Worthington Industries, Inc.		1,800		82,800
Motion Pictures & Services — 0.0%
Eros International PLC†		2,525		36,108
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		1,400		16,170
Multimedia — 0.6%
E.W. Scripps Co., Class A†		2,700		51,597
Walt Disney Co.		5,009		493,737
				545,334
Networking Products — 0.0%
Extreme Networks, Inc.†		1,375		16,349
Office Furnishings-Original — 0.0%
Interface, Inc.		682		14,936
Office Supplies & Forms — 0.2%
ACCO Brands Corp.†		13,300		158,270
Oil & Gas Drilling — 0.1%
Parker Drilling Co.†		3,225		3,548
Rowan Cos. PLC, Class A†		3,525		45,296
				48,844
Oil Companies-Exploration & Production — 0.3%
Anadarko Petroleum Corp.		3,634		177,521
Bill Barrett Corp.†		11,075		47,512
Denbury Resources, Inc.†		13,825		18,526
EP Energy Corp., Class A†		8,444		27,527
Sanchez Energy Corp.†		3,400		16,388

37

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Unit Corp.†		1,275	$	26,239
				313,713
Oil Field Machinery & Equipment — 0.0%
Natural Gas Services Group, Inc.†		550		15,620
Oil Refining & Marketing — 0.1%
Adams Resources & Energy, Inc.		150		6,225
Delek US Holdings, Inc.		3,600		96,228
				102,453
Oil-Field Services — 0.2%
Archrock, Inc.		3,425		42,984
MRC Global, Inc.†		4,625		80,891
SEACOR Holdings, Inc.†		300		13,833
				137,708
Paper & Related Products — 0.0%
Domtar Corp.		425		18,441
Patient Monitoring Equipment — 0.1%
Masimo Corp.†		1,075		93,052
Pollution Control — 0.0%
CECO Environmental Corp.		3,575		30,245
Poultry — 0.1%
Pilgrim's Pride Corp.†		1,725		49,007
Sanderson Farms, Inc.		225		36,342
				85,349
Power Converter/Supply Equipment — 0.1%
Advanced Energy Industries, Inc.†		275		22,209
Generac Holdings, Inc.†		1,525		70,043
Powell Industries, Inc.		950		28,491
				120,743
Printing-Commercial — 0.2%
ARC Document Solutions, Inc.†		875		3,579
Deluxe Corp.		1,100		80,256
Ennis, Inc.		3,100		60,915
				144,750
Protection/Safety — 0.1%
Landauer, Inc.		675		45,427
Publishing-Books — 0.0%
Houghton Mifflin Harcourt Co.†		1,700		20,485
Publishing-Newspapers — 0.0%
Gannett Co., Inc.		3,805		34,245
Publishing-Periodicals — 0.0%
Time, Inc.		2,100		28,350
Racetracks — 0.1%
Penn National Gaming, Inc.†		4,300		100,577
Speedway Motorsports, Inc.		875		18,637
				119,214
Real Estate Investment Trusts — 2.1%
American Assets Trust, Inc.		975		38,776

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
American Tower Corp.		4,783	$	653,740
Ashford Hospitality Trust, Inc.		6,600		44,022
Capstead Mtg. Corp.		6,250		60,312
CBL & Associates Properties, Inc.		1,075		9,019
CoreSite Realty Corp.		1,425		159,457
CubeSmart		700		18,172
CYS Investments, Inc.		15,450		133,488
DCT Industrial Trust, Inc.		843		48,827
DiamondRock Hospitality Co.		1,050		11,498
EastGroup Properties, Inc.		450		39,654
EPR Properties		50		3,487
Equity LifeStyle Properties, Inc.		275		23,397
First Industrial Realty Trust, Inc.		525		15,797
Franklin Street Properties Corp.		900		9,558
Gladstone Commercial Corp.		200		4,454
Government Properties Income Trust		1,000		18,770
Hersha Hospitality Trust		1,850		34,539
Highwoods Properties, Inc.		400		20,836
Hospitality Properties Trust		1,075		30,627
InfraREIT, Inc.		325		7,270
LTC Properties, Inc.		1,100		51,678
Mack-Cali Realty Corp.		950		22,525
National Retail Properties, Inc.		125		5,208
Pennsylvania Real Estate Investment Trust		550		5,770
Potlatch Corp.		1,475		75,225
PS Business Parks, Inc.		275		36,712
Ramco-Gershenson Properties Trust		1,950		25,369
RLJ Lodging Trust		5,050		111,100
Saul Centers, Inc.		525		32,503
Starwood Waypoint Homes		3,594		130,714
Summit Hotel Properties, Inc.		350		5,597
Taubman Centers, Inc.		350		17,395
				1,905,496
Real Estate Management/Services — 0.0%
Redfin Corp.†		150		3,764
Real Estate Operations & Development — 0.1%
Alexander & Baldwin, Inc.		325		15,057
Forestar Group, Inc.†(3)		4,250		73,100
St. Joe Co.†		200		3,770
				91,927
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		2,712		283,757
Rental Auto/Equipment — 0.0%
Aaron's, Inc.		525		22,906
Research & Development — 0.0%
INC Research Holdings, Inc., Class A†		650		33,995

38

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 0.3%
Children's Place, Inc.		1,370	$	161,865
L Brands, Inc.		2,537		105,565
				267,430
Retail-Auto Parts — 0.2%
AutoZone, Inc.†		281		167,226
Retail-Bookstores — 0.0%
Barnes & Noble Education, Inc.†		352		2,292
Retail-Building Products — 0.6%
Floor & Decor Holdings, Inc., Class A†		150		5,839
Lowe's Cos., Inc.		6,567		524,966
				530,805
Retail-Discount — 0.4%
Big Lots, Inc.		1,425		76,337
Costco Wholesale Corp.		1,941		318,887
				395,224
Retail-Gardening Products — 0.3%
Tractor Supply Co.		4,097		259,299
Retail-Hair Salons — 0.1%
Regis Corp.†		3,800		54,226
Retail-Home Furnishings — 0.0%
Pier 1 Imports, Inc.		10,200		42,738
Retail-Jewelry — 0.1%
Movado Group, Inc.		2,150		60,200
Retail-Office Supplies — 0.0%
Office Depot, Inc.		3,625		16,458
Retail-Pawn Shops — 0.1%
EZCORP, Inc., Class A†		4,675		44,412
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		300		16,821
Retail-Restaurants — 1.7%
Bloomin' Brands, Inc.		5,375		94,600
Brinker International, Inc.		1,775		56,551
DineEquity, Inc.		100		4,298
Dunkin' Brands Group, Inc.		5,267		279,572
McDonald's Corp.		3,685		577,366
Ruby Tuesday, Inc.†		1,975		4,227
Sonic Corp.		3,975		101,164
Starbucks Corp.		8,204		440,637
				1,558,415
Retail-Vitamins & Nutrition Supplements — 0.0%
GNC Holdings, Inc., Class A		4,850		42,874
Rubber/Plastic Products — 0.1%
Myers Industries, Inc.		325		6,809
Trinseo SA		1,875		125,812
				132,621
Satellite Telecom — 0.1%
DigitalGlobe, Inc.†		2,775		97,819

Security Description	Shares		Value (Note 2)
Savings & Loans/Thrifts — 0.5%
BankFinancial Corp.		475	$	7,548
Beneficial Bancorp, Inc.		7,092		117,727
Capitol Federal Financial, Inc.		200		2,940
Charter Financial Corp.		625		11,581
First Defiance Financial Corp.		200		10,498
Flushing Financial Corp.		750		22,290
Investors Bancorp, Inc.		2,500		34,100
Meridian Bancorp, Inc.		5,450		101,643
Northfield Bancorp, Inc.		5,075		88,051
People's United Financial, Inc.		1,247		22,621
Provident Financial Holdings, Inc.		150		2,940
				421,939
Schools — 0.0%
Strayer Education, Inc.		75		6,545
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		1,625		21,190
Semiconductor Components-Integrated Circuits — 0.0%
Cirrus Logic, Inc.†		700		37,324
Semiconductor Equipment — 0.1%
Cohu, Inc.		1,275		30,396
Entegris, Inc.†		1,475		42,554
Xcerra Corp.†		1,050		10,342
				83,292
Steel-Producers — 0.0%
Carpenter Technology Corp.		550		26,417
Telecom Equipment-Fiber Optics — 0.0%
Ciena Corp.†		1,275		28,012
Telecom Services — 0.1%
Consolidated Communications Holdings, Inc.		3,225		61,533
RigNet, Inc.†		1,400		24,080
West Corp.		1,250		29,337
				114,950
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		2,955		98,136
Telephone-Integrated — 0.1%
IDT Corp., Class B		2,100		29,568
Windstream Holdings, Inc.		9,434		16,698
				46,266
Television — 0.1%
ION Media Networks, Inc.†(1)(2)(3)		4		3,046
Sinclair Broadcast Group, Inc., Class A		2,925		93,746
				96,792
Textile-Apparel — 0.0%
Perry Ellis International, Inc.†		625		14,788
Theaters — 0.0%
National CineMedia, Inc.		3,300		23,034

39

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Therapeutics — 0.2%
Cara Therapeutics, Inc.†		1,775	$	24,300
Flexion Therapeutics, Inc.†		1,325		32,038
Mersana Therapeutics, Inc.†		1,450		25,071
Sarepta Therapeutics, Inc.†		1,400		63,504
Xencor, Inc.†		1,575		36,099
				181,012
Tobacco — 0.6%
Altria Group, Inc.		7,635		484,212
Universal Corp.		1,100		63,030
				547,242
Transactional Software — 0.1%
ACI Worldwide, Inc.†		2,425		55,242
Synchronoss Technologies, Inc.†		3,025		28,223
				83,465
Transport-Marine — 0.1%
Costamare, Inc.		4,625		28,582
International Seaways, Inc.†		775		15,268
				43,850
Transport-Rail — 0.7%
CSX Corp.		11,073		600,821
Transport-Truck — 0.2%
ArcBest Corp.		1,200		40,140
Knight-Swift Transportation Holdings, Inc.†		1,642		68,225
Schneider National, Inc., Class B		550		13,915
YRC Worldwide, Inc.†		1,300		17,940
				140,220
Travel Services — 0.0%
Liberty TripAdvisor Holdings, Inc., Class A†		2,650		32,728
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		175		11,870
Water — 0.1%
American States Water Co.		1,775		87,419
Web Hosting/Design — 0.1%
NIC, Inc.		2,425		41,589
Web.com Group, Inc.†		1,725		43,125
				84,714
Web Portals/ISP — 2.3%
Alphabet, Inc., Class C†		2,123		2,036,191
Wireless Equipment — 0.2%
InterDigital, Inc.		1,875		138,281
Total Common Stocks (cost $40,898,665)				51,797,802

Security Description	Principal Amount(11)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7%
Diversified Banking Institutions — 0.7%
Credit Agricole SA 8.13% due 12/23/2025*(4)	$	200,000	$	236,750
Credit Suisse Group AG 6.25% due 12/18/2024(4)		225,000		239,625
Societe Generale SA 8.25% due 11/29/2018(4)		200,000		211,480
				687,855
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(2)(3)		8,000		1
Total Preferred Securities/Capital Securities (cost $625,834)				687,856
ASSET BACKED SECURITIES — 13.3%
Diversified Financial Services — 13.3%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 1.41% (1 ML+0.17%) due 01/25/2037(5)		41,156		39,334
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		8,000		8,023
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 2.56% (3 ML+1.25%) due 07/25/2029*(6)		250,000		252,187
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(5)(13)		52,123		51,991
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.81% (1 ML+1.58%) due 10/25/2034(3)		9,488		9,485
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 2.42% (3 ML+1.12%) due 01/18/2025*(6)		250,000		250,362
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(7)		54,000		56,406
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(13)		98,584		101,121
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(13)		93,244		95,591

40

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(13)	$	95,052	$	97,393
Bayview Opportunity Master Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(2)(13)		258,000		264,732
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(13)		94,908		98,914
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(7)		200,000		204,714
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.08% (1 ML+0.85%) due 08/15/2036*(7)		131,000		131,183
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.30% due 02/25/2036(5)(13)		109,805		102,872
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		10,675		10,636
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class A1R 2.50% (3 ML+1.20%) due 10/15/2026*(6)		250,000		251,071
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.79% (3 ML+1.47%) due 04/27/2027*(6)		250,000		251,088
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020		35,000		35,076
CBAM CLO Management LLC FRS Series 2017-3A, Class A 2.60% (3ML+1.23%) due 10/17/2029*(6)		250,000		250,000
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 2.52% (3 ML+1.20%) due 05/24/2026*(6)		250,000		251,376
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(7)		101,000		106,006
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7)		65,000		69,410

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.43% due 12/10/2049(7)(13)	$	2,285	$	2,284
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.25% (1 Yr USTYCR+2.40%) due 03/25/2036(5)		57,914		53,671
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(5)(13)		120,000		119,999
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7)		60,000		63,925
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7)		90,000		91,160
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7)		105,000		109,838
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7)		125,267		129,656
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7)		123,000		130,349
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.27% due 12/10/2049(7)(13)		5,244		5,241
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5)		40,129		36,411
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.00% due 06/15/2057(7)(8)(13)		1,018,232		47,528
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(7)		105,000		110,005
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(5)(13)		48,336		48,759
Dryden 49 Senior Loan Fund FRS Series 2017-49A, Class A 2.54% (3 ML+1.21%) due 07/18/2030*(6)		250,000		252,092
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.23% due 05/25/2035(5)(13)		92,207		92,333
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020*		33,435		33,436
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		155,000		155,465

41

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019	$	6,000	$	6,000
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 2.54% (3 ML+1.22%) due 07/24/2030*(6)		250,000		251,835
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7)		110,000		111,266
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7)		30,000		34,585
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(7)		87,642		90,655
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(7)		120,000		125,876
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7)		115,000		122,213
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.42% due 03/25/2047(5)(13)		25,631		23,723
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.48% due 04/25/2036(5)(13)		8,599		7,458
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		135,000		134,557
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		43,584		43,744
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.78% (1 ML+0.54%) due 05/25/2035(5)		59,810		59,926
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(7)		95,389		99,336
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7)		64,000		68,710
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(7)		57,690		57,740
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7)		60,000		63,138

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(7)(13)	$	79,599	$	80,441
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 2.99% (1 ML+1.75%) due 09/01/2022*(2)(5)		100,000		99,909
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.47% (3 ML+1.16%) due 07/23/2029*(6)		250,000		251,145
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.97% due 02/25/2035(5)(13)		42,478		43,363
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.19% due 12/25/2034(5)(13)		27,580		28,101
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 02/25/2058*(5)(13)		100,000		100,534
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.28% due 12/15/2047(7)(8)(13)		288,311		14,445
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7)		20,000		21,303
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.62% due 06/15/2050(7)(8)(13)		109,817		10,758
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(7)		100,000		103,483
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.50% due 01/11/2043(7)(13)		25,223		25,378
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5)		35,047		29,942
Mortgage Repurchase Agreement Financing Trust FRS Series 2016-5, Class A 2.41% (1 ML+1.17%) due 06/10/2019*(5)		128,000		127,999
MortgageIT Trust FRS Series 2005-4, Class A1 1.52% (1 ML+0.28%) due 10/25/2035(5)		127,392		125,712

42

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049*	$	100,000	$	99,258
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 2.74% (1 ML+1.50%) due 07/25/2056*(5)		125,585		129,088
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(5)(13)		90,656		93,642
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(5)(13)		48,509		50,144
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(5)(13)		82,422		85,061
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(5)(13)		159,416		165,991
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(5)(13)		157,785		164,941
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(5)(13)		122,887		127,865
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(5)(13)		102,178		106,418
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)(13)		14,547		14,687
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(2)		100,000		98,892
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 2.82% (3 ML+1.45%) due 07/17/2029*(6)		250,000		254,347
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.87% (3 ML+1.55%) due 02/15/2026*(6)		250,000		250,134
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.83% (3 ML+1.53%) due 04/17/2027*(6)		215,000		215,027

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*	$	119,000	$	118,489
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		135,000		137,345
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.34% (1 ML+0.10%) due 02/25/2037(3)		38,205		24,200
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.76% (3 ML+1.45%) due 04/30/2027*(6)		250,000		251,277
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5)		2,217		2,220
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 1.37% (1 ML+0.13%) due 05/25/2037(3)		91,250		71,024
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.83% (3 ML+1.53%) due 04/15/2027*(6)		250,000		251,367
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.49% (1 ML+0.25%) due 11/25/2036(3)		160,000		130,613
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		120,000		120,005
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(13)		76,063		75,684
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(13)		164,018		164,881
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(13)		92,670		93,167
Towd Point Mtg. Trust VRS Series 2017-4, ClassA1 2.75% due 06/25/2057*(13)		108,938		109,434
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 06/25/2057*(13)		97,292		97,788
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 2.68% (3 ML+1.37%) due 04/20/2027*(6)		250,000		252,101

43

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Vibrant CLO VI, Ltd. FRS Series 2017-6A, Class A 2.57% (3 ML+1.24%) due 06/20/2029*(6)	$	250,000	$	251,779
Voya CLO, Ltd. FRS Series 2014-4A, Class A2AR 2.75% (3 ML+1.45%) due 10/14/2026*(6)		250,000		249,748
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.78% (3 ML+1.48%) due 04/18/2027*(6)		250,000		251,307
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.32% due 09/15/2057(7)(8)(13)		986,937		56,954
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7)		65,000		68,541
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.10% due 01/25/2035(5)(13)		78,805		79,081
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.17% due 03/25/2035(5)(13)		56,286		56,840
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.29% due 11/25/2034(5)(13)		1,858		1,873
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.52% due 10/25/2036(5)(13)		35,539		34,961
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		75,000		74,833
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7)		120,000		127,700
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7)		110,000		117,331
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7)		50,111		53,563
Total Asset Backed Securities (cost $11,861,546)				12,013,999

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 8.8%
Aerospace/Defense — 0.0%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052*	$	33,000	$	33,000
Airlines — 0.1%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		50,000		51,390
Applications Software — 0.1%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		25,000		24,164
Microsoft Corp. Senior Notes 3.30% due 02/06/2027		10,000		10,354
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		35,000		35,296
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		30,000		30,914
				100,728
Auto-Cars/Light Trucks — 0.2%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		35,000		36,519
General Motors Co. Senior Notes 6.75% due 04/01/2046		60,000		72,276
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		35,000		35,847
				144,642
Auto/Truck Parts & Equipment-Original — 0.1%
Lear Corp. Senior Notes 3.80% due 09/15/2027		45,000		44,829
Banks-Commercial — 0.1%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022*		65,000		66,225
Banks-Super Regional — 0.4%
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		25,000		24,556
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		20,000		19,557
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		120,000		122,056
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		70,000		70,850

44

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045	$	60,000	$	66,927
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		15,000		18,157
				322,103
Beverages-Wine/Spirits — 0.0%
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		5,000		5,017
Constellation Brands, Inc. Company Guar. Notes 3.50% due 05/09/2027		10,000		10,134
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		5,000		5,248
				20,399
Brewery — 0.3%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		125,000		129,314
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		60,000		66,152
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		40,000		38,489
				233,955
Broadcast Services/Program — 0.2%
Discovery Communications LLC Company Guar. Notes 3.45% due 03/15/2025		25,000		24,620
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		33,000		34,013
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		15,000		14,893
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		15,000		16,014
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		45,000		49,725
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025		12,000		12,174
				151,439

Security Description	Principal Amount(11)		Value (Note 2)
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*	$	50,000	$	54,548
Building Products-Cement — 0.0%
Eagle Materials, Inc. Company Guar. Notes 4.50% due 08/01/2026		15,000		15,638
Building-Heavy Construction — 0.3%
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044*		80,000		80,495
SBA Tower Trust Senior Sec. Notes 3.17% due 04/09/2047*		75,000		74,948
SBA Tower Trust Mtg. Notes 3.60% due 04/09/2043*		85,000		84,933
				240,376
Building-Residential/Commercial — 0.1%
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		25,000		26,625
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,713
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		25,000		26,037
				58,375
Cable/Satellite TV — 0.6%
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020		25,000		25,664
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		40,000		42,321
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		45,000		48,106
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		25,000		29,342

45

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046	$	20,000	$	18,434
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		45,000		48,389
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		40,000		39,749
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		35,000		35,306
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		5,000		5,035
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		4,087
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		40,000		44,000
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		40,000		37,910
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		40,000		43,894
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018		45,000		46,629
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		90,000		97,762
				566,628
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		10,000		10,937
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		40,000		45,000
				55,937
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		15,000		15,075
Commercial Services-Finance — 0.0%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		25,000		25,812
Computers — 0.2%
Apple, Inc. Senior Notes 3.00% due 02/09/2024		5,000		5,124

Security Description	Principal Amount(11)		Value (Note 2)
Computers (continued)
Apple, Inc. Senior Notes 3.35% due 02/09/2027	$	30,000	$	30,888
Apple, Inc. Senior Notes 3.45% due 02/09/2045		30,000		28,430
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		10,108
Dell International LLC/EMC Corp. Senior Sec. Notes 4.42% due 06/15/2021*		15,000		15,749
Dell International LLC/EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046*		10,000		12,843
Hewlett Packard Enterprise Co. Senior Notes 3.60% due 10/15/2020		45,000		46,645
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025		35,000		37,025
				186,812
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		20,000		20,766
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,787
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		35,000		35,578
				45,365
Diversified Banking Institutions — 2.0%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		50,000		50,071
Bank of America Corp. Senior Notes 3.12% due 01/20/2023		60,000		61,068
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		85,000		86,341
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		30,000		30,874
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		40,000		42,593
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		40,000		41,459

46

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 4.44% due 01/20/2048	$	5,000	$	5,414
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		75,000		82,551
Bank of America Corp. Senior Notes 5.00% due 01/21/2044		10,000		11,591
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		35,000		36,007
Citigroup, Inc. FRS Senior Notes 2.41% (3 ML+1.10%) due 05/17/2024		55,000		55,122
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		35,000		34,447
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		85,000		88,534
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		75,000		79,165
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		8,000		8,857
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		45,000		44,615
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		55,000		55,129
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		45,000		45,406
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		75,000		75,969
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		20,000		20,282
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		15,000		15,011
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		20,000		20,291
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		5,000		5,039
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		25,000		28,619

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020	$	27,000	$	29,005
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		17,000		21,349
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		45,000		59,404
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		21,000		27,705
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		10,000		9,992
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		25,000		25,085
JPMorgan Chase & Co. FRS Senior Notes 2.54% (3 ML+1.23%) due 10/24/2023		35,000		35,759
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		25,000		25,007
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		80,000		81,286
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		16,000		16,541
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		45,000		47,456
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		10,000		12,397
Morgan Stanley Senior Notes 2.50% due 04/21/2021		45,000		45,146
Morgan Stanley Senior Notes 2.63% due 11/17/2021		10,000		10,036
Morgan Stanley Senior Notes 2.65% due 01/27/2020		20,000		20,229
Morgan Stanley Senior Notes 3.13% due 07/27/2026		10,000		9,809
Morgan Stanley Senior Notes 3.59% due 07/22/2028		90,000		90,335
Morgan Stanley Senior Notes 3.63% due 01/20/2027		65,000		65,883

47

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Sub. Notes 3.95% due 04/23/2027	$	35,000	$	35,605
Morgan Stanley Senior Notes 4.00% due 07/23/2025		15,000		15,814
Morgan Stanley Senior Notes 6.63% due 04/01/2018		125,000		128,055
				1,836,353
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.90% due 08/21/2020*		20,000		20,049
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024*		10,000		10,038
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037*		50,000		50,884
				80,971
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021		5,000		5,027
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		10,000		10,723
				15,750
Electric-Integrated — 0.4%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		3,090
AES Corp. Senior Notes 5.50% due 03/15/2024		40,000		41,650
AES Corp. Senior Notes 5.50% due 04/15/2025		5,000		5,256
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		25,000		24,638
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		40,000		37,701
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		5,000
Exelon Corp. Senior Notes 2.85% due 06/15/2020		40,000		40,795
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		45,000		45,699

Security Description	Principal Amount(11)		Value (Note 2)
Electric-Integrated (continued)
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023	$	5,000	$	5,290
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024*		25,000		25,061
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		15,000		14,994
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		67,448
Southern Co. Senior Notes 1.85% due 07/01/2019		20,000		19,990
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,051
				346,663
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		11,982
Electronic Components-Semiconductors — 0.2%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022*		105,000		106,752
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024*		40,000		41,095
Intel Corp. Senior Notes 4.10% due 05/19/2046		20,000		20,983
				168,830
Electronic Measurement Instruments — 0.0%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		25,000		24,920
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 6.63% due 07/26/2021		10,000		10,700
Navient Corp. Senior Notes 7.25% due 09/25/2023		40,000		43,450
				54,150
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		40,000		40,745

48

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker (continued)
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(3)	$	10,000	$	625
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(2)(3)		11,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(2)(3)		15,000		2
				41,373
Finance-Other Services — 0.1%
CBOE Holdings, Inc. Senior Notes 3.65% due 01/12/2027		35,000		35,839
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		25,000		25,557
				61,396
Food-Misc./Diversified — 0.0%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		25,000		24,686
Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		35,000		35,223
Gas-Distribution — 0.0%
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		20,000		21,075
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026		5,000		5,200
				26,275
Insurance Brokers — 0.0%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		15,511
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		20,459
				35,970
Insurance-Life/Health — 0.0%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		30,000		32,025
Insurance-Multi-line — 0.0%
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		35,000		29,925

Security Description	Principal Amount(11)		Value (Note 2)
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*	$	7,000	$	11,353
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,900
Medical Information Systems — 0.0%
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023*		25,000		26,000
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		70,000		70,653
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		25,000		25,204
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		5,000		5,181
Celgene Corp. Senior Notes 4.63% due 05/15/2044		15,000		16,183
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		5,000		4,950
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		25,821
				77,339
Medical-HMO — 0.2%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		15,000		15,092
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,065
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		25,719
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		25,000		27,085
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		11,524
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		50,000		53,060
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		10,000		11,549
				159,094

49

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021	$	20,000	$	19,750
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		20,000		19,650
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		40,000		42,262
				81,662
Medical-Wholesale Drug Distribution — 0.1%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		25,000		25,037
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		75,000		74,939
Cardinal Health, Inc. Senior Notes 4.37% due 06/15/2047		5,000		5,119
				105,095
Metal-Aluminum — 0.0%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		25,000		26,750
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		40,000		49,721
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		14,000		17,463
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045		10,000		10,163
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		15,000		12,922
				90,269
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		35,000		35,962
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		40,000		39,331
Xerox Corp. Senior Notes 3.63% due 03/15/2023		50,000		49,582
				88,913

Security Description	Principal Amount(11)		Value (Note 2)
Oil Companies-Exploration & Production — 0.4%
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024	$	40,000	$	39,696
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		15,000		14,276
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		5,000		6,190
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		10,000		10,776
Apache Corp. Senior Notes 4.25% due 01/15/2044		5,000		4,695
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		5,000		5,022
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,013
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		15,000		15,244
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		10,000		13,201
Hess Corp. Senior Notes 4.30% due 04/01/2027		30,000		29,736
Hess Corp. Senior Notes 5.60% due 02/15/2041		5,000		5,010
Hess Corp. Senior Notes 5.80% due 04/01/2047		5,000		5,139
Hess Corp. Senior Notes 6.00% due 01/15/2040		20,000		20,706
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		40,000		47,534
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		15,000		15,000
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		30,000		29,165
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025		5,000		4,965
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027		30,000		30,592
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		25,000		24,562

50

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
SM Energy Co. Senior Notes 6.13% due 11/15/2022	$	15,000	$	15,037
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		15,000		15,037
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		10,338
				366,934
Oil Refining & Marketing — 0.1%
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		35,000		34,528
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		10,000		10,732
				45,260
Pipelines — 0.5%
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		20,000		19,600
DCP Midstream Operating LP Company Guar. Notes 9.75% due 03/15/2019*		5,000		5,463
Kinder Morgan Energy Partners LP Company Guar. Notes 5.30% due 09/15/2020		10,000		10,783
Kinder Morgan, Inc. Company Guar. Notes 3.15% due 01/15/2023		150,000		150,809
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045		40,000		43,097
MPLX LP Senior Notes 4.13% due 03/01/2027		30,000		30,545
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,235
Phillips 66 Partners LP Senior Notes 3.55% due 10/01/2026		10,000		9,783
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 4.50% due 12/15/2026		15,000		15,224
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		15,000		15,121
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		25,000		25,796

Security Description	Principal Amount(11)		Value (Note 2)
Pipelines (continued)
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047	$	35,000	$	35,603
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		15,000		15,956
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		35,000		34,459
Williams Cos., Inc. Senior Notes 3.70% due 01/15/2023		5,000		4,975
Williams Cos., Inc. Senior Notes 4.55% due 06/24/2024		10,000		10,350
				432,799
Real Estate Investment Trusts — 0.0%
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		10,000		9,952
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		5,000		5,148
				15,100
Rental Auto/Equipment — 0.0%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		21,425
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		15,000		15,994
				37,419
Retail-Building Products — 0.0%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		35,000		32,275
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		5,000		4,850
				37,125
Retail-Drug Store — 0.1%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		50,000		50,862
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		18,000		18,774
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		45,000		51,753
				121,389

51

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Semiconductor Equipment — 0.0%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021	$	35,000	$	35,407
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025*		15,000		15,122
Telephone-Integrated — 0.5%
AT&T, Inc. Senior Notes 3.40% due 08/14/2024		40,000		40,062
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		40,000		41,155
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		25,000		26,042
AT&T, Inc. Senior Notes 3.90% due 08/14/2027		55,000		55,107
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		3,000		2,754
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		25,000		24,682
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		55,000		52,893
AT&T, Inc. Senior Notes 5.15% due 02/14/2050		55,000		55,268
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		10,000		10,524
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		29,000		28,490
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		10,000		10,006
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		55,000		56,352
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		15,000		14,289
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		15,000		15,485
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		5,000		5,483
				438,592

Security Description	Principal Amount(11)		Value (Note 2)
Tobacco — 0.2%
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046	$	15,000	$	14,663
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		35,000		35,112
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		35,000		35,917
Philip Morris International, Inc. Senior Notes 3.13% due 08/17/2027		60,000		60,229
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		38,000		39,050
				184,971
Transport-Rail — 0.1%
CSX Corp. Senior Notes 3.25% due 06/01/2027		70,000		70,192
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		30,000		29,736
				99,928
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		20,000		21,302
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045		20,000		21,781
				43,083
Total U.S. Corporate Bonds & Notes (cost $7,765,309)				7,942,653
FOREIGN CORPORATE BONDS & NOTES — 1.6%
Banks-Commercial — 0.1%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		100,000		100,702
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		35,000		34,626
Methanex Corp. Senior Notes 5.65% due 12/01/2044		15,000		14,785
				49,411
Diversified Banking Institutions — 0.3%
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020		60,000		60,243
HSBC Holdings PLC Senior Notes 3.60% due 05/25/2023		200,000		208,130
				268,373

52

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021	$	10,000	$	9,818
Medical-Drugs — 0.1%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		40,000		39,860
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		20,000		19,711
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		10,000		9,628
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023		5,000		4,769
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022*		25,000		26,438
				100,406
Medical-Generic Drugs — 0.4%
Allergan Funding SCS Company Guar. Notes 2.35% due 03/12/2018		135,000		135,394
Allergan Funding SCS Company Guar. Notes 3.00% due 03/12/2020		95,000		96,988
Mylan NV Company Guar. Notes 3.00% due 12/15/2018		25,000		25,282
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		25,000		25,438
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		25,000		25,920
				309,022
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		55,000		62,408
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		5,000		5,731
				68,139
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		10,000		10,110

Security Description	Principal Amount(11)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038	$	25,000	$	30,018
Encana Corp. Senior Notes 3.90% due 11/15/2021		25,000		25,763
				65,891
Oil Companies-Integrated — 0.2%
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027*		5,000		4,957
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		5,000		5,756
Petroleos Mexicanos Company Guar. Notes 6.50% due 03/13/2027*		10,000		11,082
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047*		10,000		10,639
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		39,000		41,492
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		30,000		32,168
YPF Sociedad Anonima SA Senior Notes 16.50% due 05/09/2022*	ARS	1,419,989		77,101
				183,195
Pipelines — 0.0%
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027		15,000		15,208
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		35,000		36,892
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		40,000		46,000
Telephone-Integrated — 0.0%
Telecom Italia Capital SA Company Guar. Notes 6.00% due 09/30/2034		15,000		16,594
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		15,000		16,275
Tobacco — 0.0%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		35,000		35,544

53

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Transport-Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021	$	25,000	$	30,870
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		35,000		36,006
Nokia OYJ Senior Notes 6.63% due 05/15/2039		20,000		23,080
				59,086
Total Foreign Corporate Bonds & Notes (cost $1,393,884)				1,411,426
MUNICIPAL BONDS & NOTES — 0.6%
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		5,000		6,527
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		70,000		91,474
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029		45,000		49,757
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033		35,000		40,179
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		5,000		6,319
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		175,000		67,375
State of California General Obligation Bonds 7.55% due 04/01/2039		5,000		7,668
State of California General Obligation Bonds 7.63% due 03/01/2040		70,000		107,264
State of Illinois General Obligations Bonds 5.16% due 02/01/2018		5,000		5,046
State of Illinois General Obligations Bonds 5.38% due 07/01/2018		30,000		30,642
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		105,000		106,473

Security Description	Principal Amount(11)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
State of Illinois General Obligation Bonds 5.88% due 03/01/2019	$	15,000	$	15,682
Total Municipal Bonds & Notes (cost $541,981)				534,406
U.S. GOVERNMENT AGENCIES — 13.6%
Federal Home Loan Mtg. Corp. — 3.7%
2.50% due 01/01/2028		5,647		5,727
2.50% due 04/01/2028		19,201		19,467
3.00% due 08/01/2027		7,262		7,469
3.00% due 10/01/2042		14,646		14,796
3.00% due 11/01/2042		12,331		12,447
3.00% due 02/01/2043		31,164		31,465
3.00% due 08/01/2043		149,424		150,723
3.00% due October TBA		1,200,000		1,204,359
3.50% due 03/01/2042		7,480		7,753
3.50% due 08/01/2042		38,791		40,208
3.50% due 09/01/2043		27,263		28,315
3.50% due October TBA		700,000		721,957
4.00% due 03/01/2023		2,550		2,636
4.00% due 10/01/2043		35,125		37,075
4.00% due October TBA		500,000		526,445
4.50% due 01/01/2039		1,191		1,279
5.00% due 05/01/2020		46,804		47,983
5.00% due 05/01/2034		17,612		19,464
5.50% due 07/01/2034		5,926		6,619
5.50% due 05/01/2037		2,254		2,506
6.00% due 08/01/2026		16,121		18,135
6.50% due 05/01/2029		1,198		1,341
7.50% due 08/01/2023		45		45
7.50% due 08/01/2025		1,142		1,145
Federal Home Loan Mtg. Corp. FRS 2.91% (6 ML+1.53%) due 02/01/2037		2,404		2,487
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.07% due 10/25/2047*(7)(13)		70,000		70,643
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K67, Class B 3.94% due 08/25/2027*(7)(13)		20,000		20,113
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K725, Class B 4.01% due 02/25/2024*(7)(13)		25,000		25,373
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K726, Class B 4.11% due 07/25/2049*(7)(13)		45,000		45,558
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K64, Class B 4.12% due 03/25/2027*(7)(13)		20,000		20,127

54

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2012-K706, Class B 4.17% due 11/25/2044*(7)(13)	$	60,000	$	60,960
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K66, Class B 4.17% due 07/25/2027*(7)(13)		34,000		33,817
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K65, Class B 4.21% due 05/25/2027*(7)(13)		40,000		41,165
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.44% due 09/25/2043*(7)(13)		80,000		85,550
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.75% due 03/25/2027(7)(8)(13)		319,635		15,671
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5)		3,950		3,932
Series 1577, Class PK 6.50% due 09/15/2023(5)		2,710		2,905
Series 1226, Class Z 7.75% due 03/15/2022(5)		312		339
				3,337,999
Federal National Mtg. Assoc. — 6.3%
2.50% due 02/01/2043		74,308		72,288
2.50% due 03/01/2043		147,450		143,422
2.64% due 03/01/2027		28,612		28,328
2.78% due 03/01/2027		63,000		62,975
2.97% due 06/01/2027		109,535		110,912
2.97% due 06/01/2030		124,000		123,918
3.00% due 12/01/2027		9,882		10,177
3.00% due 01/01/2028		10,758		11,084
3.00% due October TBA		800,000		822,000
3.50% due October TBA		1,900,000		1,958,707
4.00% due 11/01/2040		15,437		16,331
4.00% due 12/01/2040		40,376		42,709
4.00% due 11/01/2041		5,092		5,384
4.00% due 01/01/2042		12,553		13,273
4.00% due 11/01/2043		21,079		22,255
4.00% due 12/01/2043		12,491		13,344
4.00% due October TBA		600,000		631,734
4.50% due 01/01/2039		3,211		3,451
4.50% due 06/01/2039		36,015		39,010
4.50% due 09/01/2039		8,257		8,901
4.50% due 05/01/2041		7,418		8,025
4.50% due October TBA		600,000		644,063
5.00% due 03/01/2018		197		202
5.00% due 06/01/2019		465		476

Security Description	Principal Amount(11)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
5.00% due 03/01/2020	$	2,130	$	2,189
5.00% due 05/01/2035		2,461		2,710
5.00% due 07/01/2040		49,643		54,227
5.00% due October TBA		300,000		327,235
5.50% due 05/01/2020		14,524		14,884
5.50% due 06/01/2020		10,967		11,197
5.50% due 12/01/2029		2,315		2,559
5.50% due 06/01/2035		154,661		173,700
5.50% due 06/01/2036		70,973		79,450
5.50% due 08/01/2037		12,400		13,846
5.50% due 06/01/2038		9,709		10,833
6.00% due 06/01/2021		30,484		31,542
6.00% due 12/01/2033		8,275		9,464
6.00% due 05/01/2034		7,029		8,031
6.00% due 08/01/2034		1,491		1,704
6.00% due 11/01/2038		1,940		2,203
7.00% due 06/01/2037		15,336		17,440
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 4.79% (1 ML+3.55%) due 07/25/2029		30,000		31,639
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C07, Class 2M2 5.59% (1 ML+4.35%) due 05/25/2029		60,000		65,233
Federal National Mtg. Assoc. FRS 3.13% (12 ML+1.82%) due 10/01/2040		3,479		3,638
Federal National Mtg. Assoc. FRS 3.21% (12 ML+1.57%) due 05/01/2037		3,517		3,678
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5)		7,250		7,197
				5,667,568
Government National Mtg. Assoc. — 3.6%
3.00% due October TBA		500,000		506,953
3.50% due October TBA		1,200,000		1,247,250
4.00% due 07/15/2041		31,153		32,890
4.00% due 08/15/2041		9,932		10,537
4.00% due 10/15/2041		18,708		19,746
4.00% due October TBA		1,200,000		1,264,276
4.50% due 06/15/2041		154,985		167,675
6.00% due 11/15/2028		19,938		22,513
7.00% due 07/15/2033		9,194		10,649
9.00% due 11/15/2021		110		119
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(5)		800		920
Series 2005-74, Class HC 7.50% due 09/16/2035(5)		5,555		6,522
				3,290,050

55

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018	$	10,000	$	10,033
Total U.S. Government Agencies (cost $12,279,312)				12,305,650
U.S. GOVERNMENT TREASURIES — 10.6%
United States Treasury Bonds — 0.9%
2.50% due 02/15/2045		5,000		4,663
2.88% due 11/15/2046		70,000		70,249
3.00% due 05/15/2045		58,000		59,722
3.00% due 11/15/2045		145,000		149,152
3.63% due 08/15/2043		160,000		183,613
4.38% due 11/15/2039(10)		99,200		126,224
5.00% due 05/15/2037		141,000		192,718
				786,341
United States Treasury Notes — 9.7%
0.25% due 01/15/2025 TIPS(9)(12)		946,695		937,304
1.13% due 08/31/2021		763,000		743,687
1.13% due 09/30/2021		801,000		779,943
1.25% due 10/31/2021		313,000		306,006
1.50% due 05/31/2019		1,705,000		1,706,598
1.50% due 07/15/2020		925,000		922,471
1.63% due 05/15/2026		468,000		443,905
1.88% due 02/28/2022		384,000		384,120
1.88% due 03/31/2022		1,019,000		1,018,682
2.00% due 02/15/2023		570,000		570,312
2.00% due 02/15/2025		1,010,000		996,191
				8,809,219
Total U.S. Government Treasuries (cost $9,665,520)				9,595,560
FOREIGN GOVERNMENT OBLIGATIONS — 1.3%
Sovereign — 1.3%
Government of Canada Bonds 1.00% due 09/01/2022	CAD	1,474,000		1,138,680
United Mexican States Senior Notes 5.75% due 10/12/2110		46,000		49,312
Total Foreign Government Obligations (cost $1,189,957)				1,187,992
Total Long-Term Investment Securities (cost $86,222,008)				97,477,344
SHORT-TERM INVESTMENT SECURITIES — 2.4%
Foreign Government Obligations — 1.5%
Government of Japan Bills (0.09)% due 10/10/2017	JPY	42,400,000		376,813
Government of Japan Bills (0.21)% due 10/10/2017	JPY	81,600,000		725,186
Republic of Argentina Bills 2.80% due 11/24/2017		9,243		9,204
Republic of Argentina Bills 2.81% due 11/10/2017		9,242		9,214
Republic of Argentina Bills 2.81% due 01/26/2018		21,034		20,831

Security Description	Principal Amount(11)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
Foreign Government Obligations (continued)
Republic of Argentina Bills 3.06% due 06/15/2018	$	101,133		$	99,036
Republic of Argentina Bills 3.08% due 05/24/2018		30,436			29,803
Republic of Argentina Bills 3.16% due 12/15/2017		55,557			55,224
Republic of Argentina Bills 3.30% due 04/27/2018		55,477			54,473
					1,379,784
Time Deposits — 0.3%
Euro Time Deposit with State Street Bank and Trust Co. 0.12% due 10/02/17		273,000			273,000
U.S. Government Agencies — 0.6%
Federal Home Loan Bank Disc. Notes 0.61% due 10/02/2017		500,000			499,992
Total Short-Term Investment Securities (cost $2,173,202)					2,152,776
TOTAL INVESTMENTS (cost $88,395,210)(14)		110.0	%		99,630,120
Liabilities in excess of other assets		(10.0	)		(9,062,682	)
NET ASSETS		100.0	%	$	90,567,438

#  See Note 1

†  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, 2017, the aggregate value of these securities was $10,942,528 representing 12.1% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  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, 2017, 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	$	3,046	$	761.35		0.00	%

56

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

(2)  Security is classified as Level 3 (see Note 2).

(3)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $312,097 representing 0.3% of net assets.

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

(5)  Collateralized Mortgage Obligation

(6)  Collateralized Loan Obligation

(7)  Commercial Mortgage Backed Security

(8)  Interest Only

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

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

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

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

(13)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

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

ARS — Argentina Peso

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2017 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

5 Yr UIRS — 5 Year USD Interest Rate Swap

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	E-Mini Russell 2000 Index	December 2017	$	293,850	$	298,580	$	4,730
	5	Short	Long Gilt Future	December 2017		850,337		829,996		20,341
	23	Short	U.S. Treasury 10 Year Notes	December 2017		2,911,836		2,882,188		29,648
	6	Long	U.S. Treasury 10 Year Ultra Bonds	December 2017		820,235		805,969		(14,266	)
	8	Long	U.S. Treasury 2 Year Notes	December 2017		1,727,813		1,725,625		(2,188	)
	4	Long	U.S. Treasury 5 Year Notes	December 2017		472,173		470,000		(2,173	)
	12	Long	U.S. Treasury Ultra Bonds	December 2017		2,009,913		1,981,500		(28,413	)
									$	7,679

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

57

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	JPY	42,410,000	USD	376,074	10/10/2017	$	—	$	(946	)
Deutsche Bank AG	JPY	81,600,000	USD	750,339	10/10/2017		24,925		—
Goldman Sachs International	EGP	191,000	USD	9,830	03/06/2018		—		(551	)
	EGP	275,000	USD	14,074	03/29/2018		—		(780	)
	USD	10,277	EGP	191,000	03/06/2018		104		—
	USD	14,962	EGP	275,000	03/29/2018		—		(108	)
							104		(1,439	)
HSBC Bank USA	CAD	450,000	USD	362,608	10/31/2017		1,886		—
Royal Bank of Canada	CAD	967,000	USD	782,993	10/31/2017		7,841		—
Net Unrealized Appreciation (Depreciation)						$	34,756	$	(2,385	)

CAD — Canadian Dollar

EGP — Egyptian Pound

JPY — Japanese Yen

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged			Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency		Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	200	11/14/2026	1 Year USD Federal Funds — H.15-OIS-COMPOUND/ Annually		1.63%/Annually	$	—	$	3,995

OIS — Overnight Index Swap

USD — United States Dollar

58

Seasons Series Trust Multi-Managed Moderate Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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:
Real Estate Operations & Development	$	18,827	$	73,100	$	—	$	91,927
Television		93,746		—		3,046		96,792
Other Industries		51,609,083		—		—		51,609,083
Preferred Securities/Capital Securities:
Diversified Banking Institutions		—		687,855		—		687,855
Finance-Investment Banker/Broker		—		—		1		1
Asset Backed Securities:
Diversified Financial Services		—		11,550,466		463,533		12,013,999
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		41,370		3		41,373
Other Industries		—		7,901,280		—		7,901,280
Foreign Corporate Bonds & Notes		—		1,411,426		—		1,411,426
Municipal Bonds & Notes		—		534,406		—		534,406
U.S. Government Agencies		—		12,305,650		—		12,305,650
U.S. Government Treasuries		—		9,595,560		—		9,595,560
Foreign Government Obligations		—		1,187,992		—		1,187,992
Short-Term Investment Securities		—		2,152,776		—		2,152,776
Total Investments at Value	$	51,721,656	$	47,441,881	$	466,583	$	99,630,120
Other Financial Instruments:†
Futures Contracts	$	54,719	$	—	$	—	$	54,719
Forward Foreign Currency Contracts		—		34,756		—		34,756
Centrally Cleared Interest Rate Swap Contracts		—		3,995		—		3,995
Total Other Financial Instruments	$	54,719	$	38,751	$	—	$	93,470
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	47,040	$	—	$	—	$	47,040
Forward Foreign Currency Contracts		—		2,385		—		2,385
Total Other Financial Instruments	$	47,040	$	2,385	$	—	$	49,425

*  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 Other 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

59

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Financial Services	22.8	%
United States Treasury Notes	12.3
Federal National Mtg. Assoc.	10.2
Federal Home Loan Mtg. Corp.	6.9
Government National Mtg. Assoc.	5.8
Diversified Banking Institutions	4.7
Sovereign	2.8
Foreign Government Obligations	2.6
United States Treasury Bonds	1.8
Web Portals/ISP	1.8
Applications Software	1.8
Electronic Components-Semiconductors	1.7
Cable/Satellite TV	1.5
Computers	1.5
Finance-Credit Card	1.4
Medical-Biomedical/Gene	1.3
E-Commerce/Products	1.2
Retail-Restaurants	1.1
Internet Content-Entertainment	1.1
Municipal Bonds & Notes	1.1
Medical-Drugs	1.0
Oil Companies-Exploration & Production	1.0
Medical-HMO	1.0
Tobacco	0.9
Telephone-Integrated	0.8
Pipelines	0.8
Aerospace/Defense	0.8
Transport-Rail	0.8
Real Estate Investment Trusts	0.7
Consulting Services	0.7
Electronic Forms	0.7
Diversified Manufacturing Operations	0.7
Banks-Commercial	0.7
Electric-Integrated	0.6
Multimedia	0.6
Medical-Generic Drugs	0.6
Beverages-Non-alcoholic	0.6
Banks-Super Regional	0.6
Enterprise Software/Service	0.6
Entertainment Software	0.6
Retail-Building Products	0.6
Medical-Hospitals	0.5
Auto/Truck Parts & Equipment-Original	0.5
Industrial Gases	0.4
Commercial Services	0.4
Brewery	0.4
Building-Heavy Construction	0.4
E-Commerce/Services	0.4
Airlines	0.4
Medical Instruments	0.4
Cosmetics & Toiletries	0.4
Diagnostic Equipment	0.4
Oil Companies-Integrated	0.4
Finance-Investment Banker/Broker	0.4
Building Products-Cement	0.3
Coatings/Paint	0.3
Finance-Other Services	0.3
Electric Products-Misc.	0.3
Electronic Components-Misc.	0.3
Electronic Connectors	0.3

Instruments-Controls	0.3	%
U.S. Government Agencies	0.3
Computer Aided Design	0.3
Insurance-Property/Casualty	0.3
Containers-Paper/Plastic	0.3
Broadcast Services/Program	0.3
Retail-Discount	0.3
Athletic Footwear	0.3
Auto-Cars/Light Trucks	0.3
Recreational Vehicles	0.3
Agricultural Chemicals	0.3
Cellular Telecom	0.3
Food-Confectionery	0.3
Medical Information Systems	0.3
Commercial Services-Finance	0.3
Medical Products	0.2
Drug Delivery Systems	0.2
Retail-Gardening Products	0.2
Retail-Drug Store	0.2
Finance-Consumer Loans	0.2
Medical-Wholesale Drug Distribution	0.2
Food-Catering	0.2
Computer Services	0.2
Office Automation & Equipment	0.2
Computer Software	0.2
Apparel Manufacturers	0.1
Retail-Auto Parts	0.1
Distribution/Wholesale	0.1
Metal-Iron	0.1
Cruise Lines	0.1
Steel-Producers	0.1
Semiconductor Equipment	0.1
Building-Residential/Commercial	0.1
Building & Construction Products-Misc.	0.1
Independent Power Producers	0.1
Wireless Equipment	0.1
Retail-Apparel/Shoe	0.1
Chemicals-Specialty	0.1
Oil Refining & Marketing	0.1
Telecommunication Equipment	0.1
Rental Auto/Equipment	0.1
Insurance Brokers	0.1
Transport-Services	0.1
Music	0.1
Food-Wholesale/Distribution	0.1
Insurance-Life/Health	0.1
Insurance-Multi-line	0.1
Metal-Aluminum	0.1
Gas-Distribution	0.1
	116.9	%

60

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Credit Quality†##
Aaa	59.2	%
Aa	1.3
A	6.5
Baa	11.6
Ba	5.5
B	0.7
Caa	0.8
Ca	0.2
Not Rated@	14.2
	100.0	%

*  Calculated as a percentage of net assets

#  See Note 1

†  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.

61

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 31.5%
Aerospace/Defense — 0.7%
General Dynamics Corp.		1,389	$	285,550
Northrop Grumman Corp.		622		178,962
				464,512
Agricultural Chemicals — 0.3%
Monsanto Co.		1,377		164,992
Airlines — 0.3%
United Continental Holdings, Inc.†		3,144		191,407
Apparel Manufacturers — 0.1%
Carter's, Inc.		968		95,590
Applications Software — 1.6%
Microsoft Corp.		9,911		738,270
salesforce.com, Inc.†		2,923		273,067
				1,011,337
Athletic Footwear — 0.3%
NIKE, Inc., Class B		3,321		172,194
Auto/Truck Parts & Equipment-Original — 0.4%
Delphi Automotive PLC		2,410		237,144
Beverages-Non-alcoholic — 0.6%
Coca-Cola Co.		8,245		371,107
Building Products-Cement — 0.3%
Vulcan Materials Co.		1,851		221,380
Cable/Satellite TV — 0.5%
Comcast Corp., Class A		8,276		318,460
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		1,672		103,096
Coatings/Paint — 0.3%
Sherwin-Williams Co.		582		208,379
Commercial Services — 0.4%
CoStar Group, Inc.†		641		171,948
ServiceMaster Global Holdings, Inc.†		2,408		112,526
				284,474
Commercial Services-Finance — 0.2%
Equifax, Inc.		994		105,354
Computer Aided Design — 0.3%
Cadence Design Systems, Inc.†		4,922		194,271
Computer Services — 0.2%
Amdocs, Ltd.		1,816		116,805
Computer Software — 0.2%
SS&C Technologies Holdings, Inc.		2,418		97,083
Computers — 1.2%
Apple, Inc.		4,959		764,281
Consulting Services — 0.4%
Gartner, Inc.†		997		124,037
Verisk Analytics, Inc.†		1,479		123,038
				247,075
Containers-Paper/Plastic — 0.3%
Sealed Air Corp.		4,169		178,100

Security Description	Shares		Value (Note 2)
Cosmetics & Toiletries — 0.4%
Estee Lauder Cos., Inc., Class A		2,194	$	236,601
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		1,397		75,508
Diagnostic Equipment — 0.3%
Thermo Fisher Scientific, Inc.		944		178,605
Distribution/Wholesale — 0.1%
Fastenal Co.		2,031		92,573
Diversified Manufacturing Operations — 0.7%
A.O. Smith Corp.		2,683		159,451
Illinois Tool Works, Inc.		1,836		271,654
				431,105
Drug Delivery Systems — 0.2%
DexCom, Inc.†		3,116		152,450
E-Commerce/Products — 1.1%
Amazon.com, Inc.†		728		699,863
E-Commerce/Services — 0.4%
Priceline Group, Inc.†		143		261,807
Electric Products-Misc. — 0.3%
AMETEK, Inc.		3,300		217,932
Electronic Components-Misc. — 0.3%
Flex, Ltd.†		12,743		211,152
Electronic Components-Semiconductors — 1.4%
Broadcom, Ltd.		1,324		321,123
Microchip Technology, Inc.		2,588		232,351
Texas Instruments, Inc.		3,435		307,913
				861,387
Electronic Connectors — 0.3%
Amphenol Corp., Class A		2,462		208,384
Electronic Forms — 0.7%
Adobe Systems, Inc.†		2,983		445,004
Enterprise Software/Service — 0.6%
Tyler Technologies, Inc.†		1,303		227,139
Ultimate Software Group, Inc.†		745		141,252
				368,391
Entertainment Software — 0.6%
Activision Blizzard, Inc.		5,430		350,289
Finance-Consumer Loans — 0.1%
Synchrony Financial		2,426		75,327
Finance-Credit Card — 1.4%
MasterCard, Inc., Class A		2,808		396,490
Visa, Inc., Class A		4,576		481,578
				878,068
Finance-Investment Banker/Broker — 0.3%
TD Ameritrade Holding Corp.		3,501		170,849
Finance-Other Services — 0.2%
Intercontinental Exchange, Inc.		2,133		146,537
Food-Catering — 0.2%
Aramark		3,168		128,652
Food-Confectionery — 0.3%
Hershey Co.		1,472		160,698

62

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Independent Power Producers — 0.1%
NRG Energy, Inc.		2,541	$	65,024
Industrial Gases — 0.4%
Air Products & Chemicals, Inc.		1,890		285,806
Instruments-Controls — 0.3%
Sensata Technologies Holding NV†		4,244		204,009
Insurance-Property/Casualty — 0.3%
Progressive Corp.		3,824		185,158
Internet Content-Entertainment — 1.1%
Facebook, Inc., Class A†		4,013		685,701
Medical Information Systems — 0.2%
athenahealth, Inc.†		1,031		128,215
Medical Instruments — 0.4%
Boston Scientific Corp.†		8,147		237,648
Medical Products — 0.1%
Cooper Cos., Inc.		397		94,133
Medical-Biomedical/Gene — 1.2%
Biogen, Inc.†		845		264,587
Celgene Corp.†		2,134		311,180
Regeneron Pharmaceuticals, Inc.†		478		213,723
				789,490
Medical-Drugs — 0.8%
Allergan PLC		823		168,674
Eli Lilly & Co.		4,324		369,875
				538,549
Medical-HMO — 0.7%
Aetna, Inc.		1,339		212,914
Humana, Inc.		819		199,533
				412,447
Medical-Hospitals — 0.4%
Envision Healthcare Corp.†		2,164		97,272
Universal Health Services, Inc., Class B		1,249		138,564
				235,836
Multimedia — 0.4%
Walt Disney Co.		2,769		272,940
Oil Companies-Exploration & Production — 0.2%
Anadarko Petroleum Corp.		2,047		99,996
Real Estate Investment Trusts — 0.7%
American Tower Corp.		2,662		363,842
Starwood Waypoint Homes		2,000		72,740
				436,582
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		1,593		166,676
Retail-Apparel/Shoe — 0.1%
L Brands, Inc.		1,430		59,502
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		156		92,837
Retail-Building Products — 0.5%
Lowe's Cos., Inc.		3,580		286,185

Security Description	Shares/ Principal Amount(11)		Value (Note 2)
Retail-Discount — 0.3%
Costco Wholesale Corp.		1,061	$	174,312
Retail-Gardening Products — 0.2%
Tractor Supply Co.		2,293		145,124
Retail-Restaurants — 1.1%
Dunkin' Brands Group, Inc.		2,931		155,577
McDonald's Corp.		2,051		321,351
Starbucks Corp.		4,614		247,818
				724,746
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		1,655		54,963
Television — 0.0%
ION Media Networks, Inc.†(1)(8)(12)		10		7,614
Tobacco — 0.4%
Altria Group, Inc.		4,294		272,325
Transport-Rail — 0.5%
CSX Corp.		6,218		337,389
Web Portals/ISP — 1.8%
Alphabet, Inc., Class C†		1,181		1,132,709
Total Common Stocks (cost $15,898,820)				20,024,139
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.4%
Banks-Commercial — 0.4%
Banco Bilbao Vizcaya Argentaria SA 7.00% due 02/19/2019(2)	EUR	200,000		246,426
Diversified Banking Institutions — 1.0%
Credit Agricole SA 8.13% due 12/23/2025*(2)		200,000		236,750
Credit Suisse Group AG 6.25% due 12/18/2024*(2)		200,000		213,000
Societe Generale SA 8.25% due 11/29/2018(2)		200,000		211,480
				661,230
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(8)		16,000		2
Total Preferred Securities/Capital Securities (cost $893,205)				907,658
ASSET BACKED SECURITIES — 22.8%
Diversified Financial Services — 22.8%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 1.41% (1 ML+0.17%) due 01/25/2037(3)		47,035		44,954
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		15,000		15,042

63

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 2.56% (3 ML+1.25%) due 07/25/2029*(4)	$	250,000	$	252,188
Angel Oak Mtg. Trust LLC VRS Series 2017-2, ClassA1 2.48% due 07/25/2047*(3)(13)		61,600		61,444
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(13)		36,551		36,544
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.81% (1 ML+1.58%) due 10/25/2034(8)		18,976		18,969
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 2.42% (3 ML+1.12%) due 01/18/2025*(4)		250,000		250,362
Babson CLO, Ltd. FRS Series 2016-2A, Class A 2.76% (3 ML+1.45%) due 07/20/2028*(4)		250,000		250,925
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(5)		63,000		65,807
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(13)		103,513		106,177
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(13)		93,244		95,591
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(13)		95,052		97,393
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(13)		92,138		95,936
Bayview Opportunity Master Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(1)(13)		298,000		305,776
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(13)		108,467		113,045
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(5)		210,000		214,950

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.08% (1 ML+0.85%) due 08/15/2036*(5)	$	152,000	$	152,213
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.30% due 02/25/2036(3)(13)		127,337		119,297
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		12,708		12,661
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 2.42% (3 ML+1.12%) due 07/15/2025*(4)		250,000		250,239
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class A1R 2.50% (3 ML+1.20%) due 10/15/2026*(4)		250,000		251,071
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.79% (3 ML+1.47%) due 04/27/2027*(4)		250,000		251,088
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020		40,000		40,086
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 2.41% (3 ML+1.10%) due 01/25/2026*(4)		250,000		250,354
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 2.52% (3 ML+1.20%) due 05/24/2026*(4)		250,000		251,376
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(5)		122,000		128,046
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.43% due 12/10/2049(5)(13)		2,611		2,610
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.25% (1 Yr USTYCR+2.40%) due 03/25/2036(3)		72,204		66,915
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(13)		145,000		144,999
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(13)		80,642		81,637
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(5)		65,000		69,252

64

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5)	$	125,105	$	126,717
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(5)		140,000		146,451
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5)		155,000		160,431
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(5)		150,000		158,962
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(5)		195,000		210,737
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.27% due 12/10/2049(5)(13)		5,721		5,717
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3)		51,145		46,406
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.00% due 06/15/2057(5)(6)(13)		1,236,078		57,696
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(5)		125,000		130,958
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(13)		53,170		53,635
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(13)		87,884		87,388
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(13)		76,775		76,573
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 2.73% (3 ML+1.43%) due 10/15/2028*(4)		250,000		253,293
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.23% due 05/25/2035(3)(13)		115,258		115,416
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		190,570
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		12,000		12,000

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 2.54% (3 ML+1.22%) due 07/24/2030*(4)	$	250,000	$	251,835
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(5)		125,000		126,438
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(5)		30,445		35,098
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(5)		100,000		104,294
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(5)		146,000		153,149
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5)		140,000		148,781
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.42% due 03/25/2047(3)(13)		30,378		28,116
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.48% due 04/25/2036(3)(13)		9,554		8,287
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		160,000		159,475
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		50,848		51,034
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.78% (1 ML+0.54%) due 05/25/2035(3)		78,501		78,653
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(5)		114,467		119,203
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(5)		68,000		73,005
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(5)		67,870		67,929
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5)		65,000		68,400
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)(13)		92,334		93,312
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(8)		100,000		100,043

65

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment Ltd. FRS Series 2016-5, Class A1 3.24% (1 ML+2.00%) due 11/01/2021*(3)	$	49,541	$	49,560
LSTAR Securities Investment, Ltd. FRS Series 2, Class A1 3.24% (1 ML+2.00%) due 02/01/2022*(3)		73,320		73,119
Madison Park Funding XIV, Ltd. FRS Series 2014-14A, Class A1R 2.43% (3 ML+1.12%) due 07/20/2026*(4)		250,000		251,976
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.47% (3 ML+1.16%) due 07/23/2029*(4)		250,000		251,145
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.97% due 02/25/2035(3)(13)		21,495		21,943
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.19% due 12/25/2034(3)(13)		35,005		35,667
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.28% due 12/15/2047(5)(6)(13)		351,837		17,627
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.62% due 06/15/2050(5)(6)(13)		124,792		12,225
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(5)		105,000		108,658
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.50% due 01/11/2043(5)(13)		27,516		27,685
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3)		40,752		34,816
Mortgage Repurchase Agreement Financing Trust FRS Series 2016-5, Class A 2.41% (1 ML+1.17%) due 06/10/2019*(3)		153,000		152,999
MortgageIT Trust FRS Series 2005-4, Class A1 1.52% (1 ML+0.28%) due 10/25/2035(3)		167,763		165,551
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049*		114,000		113,154

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051*	$	100,000	$	99,903
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 2.74% (1 ML+1.50%) due 07/25/2056*(3)		146,676		150,767
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(13)		108,787		112,371
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(13)		94,785		97,821
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(13)		184,405		192,011
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(13)		184,083		192,431
New Residential Mtg. Loan Trust VRS Series 2017-3A, ClassA1 4.00% due 04/25/2057*(3)(13)		145,062		150,938
New Residential Mtg. Loan Trust VRS Series 2017-4A, ClassA1 4.00% due 05/25/2057*(3)(13)		120,756		125,767
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(13)		28,366		28,640
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1)(8)		110,000		108,781
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 2.82% (3 ML+1.45%) due 07/17/2029*(4)		250,000		254,347
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.87% (3 ML+1.55%) due 02/15/2026*(4)		250,000		250,134
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.83% (3 ML+1.53%) due 04/17/2027*(4)		215,000		215,027
OneMain Financial Issuance Trust Series 2017-1A, ClassA1 2.37% due 09/14/2032*		139,000		138,403
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		170,000		172,953

66

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.34% (1 ML+0.10%) due 02/25/2037(8)	$	39,866	$	25,252
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.76% (3 ML+1.45%) due 04/30/2027*(4)		250,000		251,277
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3)		4,433		4,439
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 1.37% (1 ML+0.13%) due 05/25/2037(8)		102,470		79,756
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026*		92,301		92,263
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(8)		56,852		57,433
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.83% (3 ML+1.53%) due 04/15/2027*(4)		250,000		251,367
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.49% (1 ML+0.25%) due 11/25/2036(8)		200,000		163,266
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		145,000		145,006
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(13)		94,173		93,705
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(13)		76,316		76,654
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(13)		188,317		189,308
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(13)		92,670		93,167
Towd Point Mtg. Trust VRS Series 2017-4, ClassA1 2.75% due 06/25/2057*(13)		126,603		127,180
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 06/25/2057*(13)		97,292		97,788
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 2.68% (3 ML+1.37%) due 04/20/2027*(4)		250,000		252,101

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Financial Services (continued)
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(5)	$	80,000	$	81,890
Voya CLO, Ltd. FRS Series 2014-4A, Class A2AR 2.75% (3 ML+1.45%) due 10/14/2026*(4)		250,000		249,748
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.78% (3 ML+1.48%) due 04/18/2027*(4)		250,000		251,307
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.32% due 09/15/2057(5)(6)(13)		986,937		56,954
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5)		105,000		110,721
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(5)(13)		10,000		8,748
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.10% due 01/25/2035(3)(13)		105,073		105,441
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.17% due 03/25/2035(3)(13)		73,634		74,359
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.29% due 11/25/2034(3)(13)		3,673		3,701
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.52% due 10/25/2036(3)(13)		43,740		43,029
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		85,000		84,811
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.98% due 02/15/2044*(5)(6)(13)		502,873		10,778
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5)		145,280		154,602
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5)		55,111		58,908
Total Asset Backed Securities (cost $14,327,791)				14,498,327

67

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 14.5%
Aerospace/Defense — 0.1%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052*	$	39,000	$	39,000
Airlines — 0.1%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		60,000		61,668
Applications Software — 0.2%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		25,000		24,164
Microsoft Corp. Senior Notes 3.30% due 02/06/2027		5,000		5,177
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		45,000		45,380
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		35,000		36,067
				110,788
Auto-Cars/Light Trucks — 0.3%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		40,000		41,736
General Motors Co. Senior Notes 6.75% due 04/01/2046		75,000		90,346
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		35,000		35,847
				167,929
Auto/Truck Parts & Equipment-Original — 0.1%
Lear Corp. Senior Notes 3.80% due 09/15/2027		50,000		49,810
Banks-Commercial — 0.1%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022*		75,000		76,413
Banks-Super Regional — 0.6%
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		29,467
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		20,000		19,557
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		130,000		132,227
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		85,000		86,032

Security Description	Principal Amount(11)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045	$	10,000	$	11,155
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		75,000		90,784
				369,222
Beverages-Wine/Spirits — 0.0%
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		5,000		5,017
Constellation Brands, Inc. Company Guar. Notes 3.50% due 05/09/2027		10,000		10,134
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		5,000		5,248
				20,399
Brewery — 0.4%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		150,000		155,177
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		70,000		77,177
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		48,111
				280,465
Broadcast Services/Program — 0.3%
Discovery Communications LLC Company Guar. Notes 3.45% due 03/15/2025		30,000		29,544
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		36,000		37,105
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		20,000		19,857
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		15,000		16,014
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		50,000		55,250
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025		19,000		19,276
				177,046
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		60,000		65,458

68

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building Products-Cement — 0.0%
Eagle Materials, Inc. Company Guar. Notes 4.50% due 08/01/2026	$	15,000	$	15,637
Building-Heavy Construction — 0.4%
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044*		90,000		90,557
SBA Tower Trust Senior Sec. Notes 3.17% due 04/09/2047*		85,000		84,942
SBA Tower Trust Mtg. Notes 3.60% due 04/09/2043*		100,000		99,920
				275,419
Building-Residential/Commercial — 0.1%
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		31,950
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,712
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		30,000		31,245
				68,907
Cable/Satellite TV — 1.0%
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020		25,000		25,664
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022		25,000		26,451
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		80,000		85,521
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		25,000		29,342
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		20,000		18,434

Security Description	Principal Amount(11)		Value (Note 2)
Cable/Satellite TV (continued)
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033	$	50,000	$	53,766
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		5,000		5,589
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		40,000		39,749
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		40,000		40,349
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		5,000		5,035
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		10,000		10,219
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		41,000		45,100
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		45,000		42,649
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		45,000		49,381
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018		50,000		51,810
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		120,000		130,349
				659,408
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		10,000		10,937
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		45,000		50,625
				61,562
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		15,000		15,075
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		30,000		30,975
Computers — 0.3%
Apple, Inc. Senior Notes 3.00% due 02/09/2024		5,000		5,124

69

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Apple, Inc. Senior Notes 3.35% due 02/09/2027	$	20,000	$	20,592
Apple, Inc. Senior Notes 3.45% due 02/09/2045		45,000		42,645
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		10,108
Dell International LLC/EMC Corp. Senior Sec. Notes 4.42% due 06/15/2021*		20,000		20,998
Dell International LLC/EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046*		5,000		6,422
Hewlett Packard Enterprise Co. Senior Notes 3.60% due 10/15/2020		50,000		51,827
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025		40,000		42,315
				200,031
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		25,000		25,957
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,787
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		45,000		45,744
				55,531
Diversified Banking Institutions — 3.3%
Bank of America Corp. Senior Notes 1.95% due 05/12/2018		45,000		45,064
Bank of America Corp. Senior Notes 3.12% due 01/20/2023		100,000		101,780
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		100,000		101,578
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		40,000		41,459
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		35,000		37,900
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		95,000		104,564

Security Description	Principal Amount(11)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Senior Notes 6.88% due 04/25/2018	$	90,000	$	92,591
Citigroup, Inc. FRS Senior Notes 2.41% (3 ML+1.10%) due 05/17/2024		70,000		70,155
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		45,000		44,289
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		140,000		147,775
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		7,000		7,749
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		45,000		44,615
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		50,000		50,118
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		35,000		35,316
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		70,000		70,905
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		50,000		50,705
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		35,000		35,025
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		10,000		10,078
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		49,000		52,639
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		32,000		40,187
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		55,000		72,605
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		44,000		58,049
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		5,000		4,996
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		30,000		30,102
JPMorgan Chase & Co. FRS Senior Notes 2.54% (3 ML+1.23%) due 10/24/2023		30,000		30,650

70

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023	$	30,000	$	30,008
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		95,000		96,527
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		33,000		34,116
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		50,000		52,729
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		10,000		12,397
Morgan Stanley Senior Notes 2.50% due 04/21/2021		30,000		30,097
Morgan Stanley Senior Notes 2.63% due 11/17/2021		15,000		15,053
Morgan Stanley Senior Notes 2.65% due 01/27/2020		15,000		15,172
Morgan Stanley Senior Notes 3.13% due 07/27/2026		25,000		24,522
Morgan Stanley Senior Notes 3.59% due 07/22/2028		105,000		105,391
Morgan Stanley Senior Notes 3.63% due 01/20/2027		40,000		40,543
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		40,691
Morgan Stanley Senior Notes 4.00% due 07/23/2025		20,000		21,085
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		1,000		1,047
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		108,631
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		102,444
				2,111,347
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 1.90% due 08/21/2020*		20,000		20,049
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024*		15,000		15,058

Security Description	Principal Amount(11)		Value (Note 2)
E-Commerce/Products (continued)
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037*	$	55,000	$	55,972
				91,079
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021		10,000		10,054
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		10,000		10,723
				20,777
Electric-Integrated — 0.6%
AES Corp. Senior Notes 4.88% due 05/15/2023		8,000		8,240
AES Corp. Senior Notes 5.50% due 03/15/2024		45,000		46,856
AES Corp. Senior Notes 5.50% due 04/15/2025		5,000		5,256
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		30,000		29,566
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		50,000		47,126
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		5,000
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		50,994
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		45,000		45,699
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		10,000		10,580
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024*		30,000		30,074
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		20,000		19,991
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		67,448
Southern Co. Senior Notes 1.85% due 07/01/2019		25,000		24,987
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,051
				401,868

71

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022	$	10,000	$	11,982
Electronic Components-Semiconductors — 0.3%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022*		120,000		122,002
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024*		40,000		41,095
Intel Corp. Senior Notes 4.10% due 05/19/2046		25,000		26,229
				189,326
Electronic Measurement Instruments — 0.0%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		30,000		29,905
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 6.63% due 07/26/2021		20,000		21,400
Navient Corp. Senior Notes 7.25% due 09/25/2023		40,000		43,450
				64,850
Finance-Investment Banker/Broker — 0.1%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		50,000		50,931
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(8)		19,000		1,188
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(8)		21,000		2
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(8)		26,000		3
				52,124
Finance-Other Services — 0.1%
CBOE Holdings, Inc. Senior Notes 3.65% due 01/12/2027		40,000		40,959
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		30,000		30,668
				71,627
Food-Misc./Diversified — 0.0%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		30,000		29,623

Security Description	Principal Amount(11)		Value (Note 2)
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021	$	40,000	$	40,255
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		25,000		26,344
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026		5,000		5,200
				31,544
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		25,000		25,851
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		20,460
				46,311
Insurance-Life/Health — 0.1%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		35,000		37,362
Insurance-Multi-line — 0.1%
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		40,000		34,200
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		7,000		11,353
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		21,200
Medical Information Systems — 0.1%
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023*		30,000		31,200
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024		80,000		80,746
Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		30,000		30,245
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		5,000		5,181
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		21,578

72

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene (continued)
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023	$	10,000	$	9,899
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		25,821
				92,724
Medical-HMO — 0.3%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		20,000		20,123
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		15,000		15,065
Anthem, Inc. Senior Notes 3.50% due 08/15/2024		25,000		25,719
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		54,171
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		58,367
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		10,000		11,548
				184,993
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		25,000		24,687
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		20,000		19,650
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		45,000		47,545
				91,882
Medical-Wholesale Drug Distribution — 0.2%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,044
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		90,000		89,927
Cardinal Health, Inc. Senior Notes 4.37% due 06/15/2047		10,000		10,239
				130,210
Metal-Aluminum — 0.1%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		30,000		32,100

Security Description	Principal Amount(11)		Value (Note 2)
Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034	$	50,000	$	62,151
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		23,000		28,689
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045		5,000		5,082
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		15,000		12,922
				108,844
Music — 0.1%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		40,000		41,100
Office Automation & Equipment — 0.2%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		55,000		54,080
Xerox Corp. Senior Notes 3.63% due 03/15/2023		60,000		59,498
				113,578
Oil Companies-Exploration & Production — 0.7%
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024		45,000		44,658
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		20,000		19,035
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		5,000		6,190
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,164
Apache Corp. Senior Notes 4.25% due 01/15/2044		5,000		4,695
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		5,000		5,022
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,012
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022		20,000		20,325
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		10,000		13,201
Hess Corp. Senior Notes 4.30% due 04/01/2027		35,000		34,692

73

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Hess Corp. Senior Notes 5.60% due 02/15/2041	$	5,000	$	5,010
Hess Corp. Senior Notes 5.80% due 04/01/2047		5,000		5,139
Hess Corp. Senior Notes 6.00% due 01/15/2040		25,000		25,883
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		45,000		53,476
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		20,000		20,000
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		40,000		38,887
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027		40,000		40,789
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		30,000		29,475
SM Energy Co. Senior Notes 6.13% due 11/15/2022		15,000		15,037
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		20,000		20,050
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		10,337
				433,077
Oil Refining & Marketing — 0.1%
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		45,000		44,393
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		10,000		10,732
				55,125
Pipelines — 0.8%
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		5,000		4,975
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,800
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		5,188
DCP Midstream Operating LP Company Guar. Notes 9.75% due 03/15/2019*		5,000		5,463

Security Description	Principal Amount(11)		Value (Note 2)
Pipelines (continued)
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020	$	5,000	$	5,467
Kinder Morgan, Inc. Company Guar. Notes 3.15% due 01/15/2023		175,000		175,944
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045		50,000		53,871
MPLX LP Senior Notes 4.13% due 03/01/2027		35,000		35,636
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,235
Phillips 66 Partners LP Senior Notes 3.55% due 10/01/2026		10,000		9,783
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 4.50% due 12/15/2026		15,000		15,224
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		15,000		15,121
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		30,000		30,955
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047		35,000		35,602
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		20,000		21,275
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		45,000		44,305
Williams Cos., Inc. Senior Notes 3.70% due 01/15/2023		5,000		4,975
Williams Cos., Inc. Senior Notes 4.55% due 06/24/2024		15,000		15,525
				494,344
Real Estate Investment Trusts — 0.0%
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		15,000		14,929
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		5,000		5,148
				20,077

74

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025	$	20,000	$	21,425
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		25,000		26,656
				48,081
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		40,000		36,885
Retail-Drug Store — 0.2%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		70,000		71,207
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		9,000		9,387
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		55,000		63,253
				143,847
Semiconductor Equipment — 0.0%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		30,000		30,349
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025*		15,000		15,122
Telephone-Integrated — 0.8%
AT&T, Inc. Senior Notes 3.40% due 08/14/2024		70,000		70,109
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		40,000		41,155
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		20,000		20,833
AT&T, Inc. Senior Notes 3.90% due 08/14/2027		70,000		70,136
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		25,000		24,682
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		65,000		62,510
AT&T, Inc. Senior Notes 5.15% due 02/14/2050		65,000		65,317
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		15,000		15,786

Security Description	Principal Amount(11)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036	$	31,000	$	30,455
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		50,000		50,032
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		20,000		20,492
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		39,000		37,151
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		5,000		5,483
				514,141
Tobacco — 0.4%
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		19,550
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		50,000		50,160
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		35,000		35,917
Philip Morris International, Inc. Senior Notes 3.13% due 08/17/2027		70,000		70,267
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		46,000		47,271
				223,165
Transport-Rail — 0.2%
CSX Corp. Senior Notes 3.25% due 06/01/2027		75,000		75,206
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		35,000		34,691
				109,897
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		25,000		26,627
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045		15,000		16,336
				42,963
Total U.S. Corporate Bonds & Notes (cost $8,996,220)				9,197,883

75

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES — 2.9%
Banks-Commercial — 0.2%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*	$	105,000	$	105,737
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		45,000		44,519
Methanex Corp. Senior Notes 5.65% due 12/01/2044		15,000		14,785
				59,304
Consulting Services — 0.3%
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039*		200,000		206,109
Diversified Banking Institutions — 0.4%
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020		55,000		55,223
HSBC Holdings PLC Senior Notes 3.26% due 03/13/2023		200,000		204,135
				259,358
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		15,000		14,727
Medical-Drugs — 0.2%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		50,000		49,825
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		20,000		19,711
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		10,000		9,628
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023		5,000		4,769
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022*		30,000		31,725
				115,658

Security Description	Principal Amount(11)		Value (Note 2)
Medical-Generic Drugs — 0.6%
Allergan Funding SCS Company Guar. Notes 2.35% due 03/12/2018	$	175,000	$	175,510
Allergan Funding SCS Company Guar. Notes 3.00% due 03/12/2020		105,000		107,198
Mylan NV Company Guar. Notes 3.00% due 12/15/2018		25,000		25,282
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		35,000		35,613
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		30,000		31,104
				374,707
Metal-Iron — 0.1%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		70,000		79,429
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		10,000		11,462
				90,891
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		10,000		10,110
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		25,000		30,018
Encana Corp. Senior Notes 3.90% due 11/15/2021		30,000		30,915
				71,043
Oil Companies-Integrated — 0.4%
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027*		5,000		4,957
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		5,000		5,756
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		13,000		12,123
Petroleos Mexicanos Company Guar. Notes 6.50% due 03/13/2027*		15,000		16,623
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047*		20,000		21,278
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		34,000		36,173

76

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045	$	40,000	$	42,891
YPF Sociedad Anonima SA Senior Notes 16.50% due 05/09/2022*	ARS	1,657,987		90,023
				229,824
Pipelines — 0.0%
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027		20,000		20,277
Semiconductor Equipment — 0.1%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		40,000		42,162
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		50,000		57,500
Telephone-Integrated — 0.0%
Telecom Italia Capital SA Company Guar. Notes 6.00% due 09/30/2034		15,000		16,594
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		20,000		21,700
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		45,000		45,700
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		37,044
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		40,000		41,150
Nokia OYJ Senior Notes 6.63% due 05/15/2039		20,000		23,080
				64,230
Total Foreign Corporate Bonds & Notes (cost $1,812,954)				1,832,565
MUNICIPAL BONDS & NOTES — 1.1%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		90,000		117,610
City of Chicago, IL General Obligation Bonds 7.05% due 01/01/2029		50,000		55,285

Security Description	Principal Amount(11)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
City of Chicago, IL Series B 7.38% due 01/01/2033	$	45,000	$	51,659
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		5,000		6,319
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		300,000		115,500
State of California General Obligation Bonds 7.63% due 03/01/2040		85,000		130,249
State of Illinois General Obligation Bonds 5.16% due 02/01/2018		10,000		10,093
State of Illinois 5.38% due 07/01/2018		30,000		30,642
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		120,000		121,684
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		25,000		26,136
Total Municipal Bonds & Notes (cost $683,887)				665,177
U.S. GOVERNMENT AGENCIES — 22.9%
Federal Home Loan Mtg. Corp. — 6.9%
2.50% due 01/01/2028		13,177		13,364
2.50% due 04/01/2028		32,916		33,372
3.00% due 08/01/2027		48,740		50,145
3.00% due 10/01/2042		33,236		33,575
3.00% due 11/01/2042		16,890		17,049
3.00% due 08/01/2043		290,437		292,966
3.00% due 04/01/2046		187,583		188,459
3.00% due October TBA		1,100,000		1,103,996
3.50% due 03/01/2042		11,687		12,114
3.50% due 08/01/2042		67,884		70,364
3.50% due 09/01/2043		49,074		50,967
3.50% due October TBA		800,000		825,094
4.00% due 03/01/2023		5,100		5,272
4.00% due 09/01/2040		6,342		6,704
4.00% due 10/01/2043		70,250		74,149
4.00% due October TBA		900,000		947,601
4.50% due 01/01/2039		2,323		2,494
5.00% due 12/01/2020		4,187		4,376
5.00% due 05/01/2021		43,034		44,602
5.00% due 07/01/2021		12,633		12,951
5.00% due 05/01/2034		32,680		36,131
5.50% due 05/01/2037		7,066		7,858
5.50% due 06/01/2037		3,821		4,277
6.00% due 08/01/2036		3,881		4,366
6.50% due 05/01/2029		1,796		2,012
6.50% due 07/01/2035		2,119		2,375

77

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. FRS 2.91% (6 ML+1.53%) due 02/01/2037	$	4,371	$	4,522
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.07% due 10/25/2047*(5)(13)		80,000		80,735
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K67, Class B 3.94% due 08/25/2027*(5)(13)		25,000		25,141
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K725, Class B 4.01% due 02/25/2024*(5)(13)		30,000		30,448
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K726, Class B 4.11% due 07/25/2049*(5)(13)		50,000		50,620
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K64, Class B 4.12% due 03/25/2027*(5)(13)		20,000		20,126
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2012-K706, Class B 4.17% due 11/25/2044*(5)(13)		70,000		71,120
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K66, Class B 4.17% due 07/25/2027*(5)(13)		40,000		39,785
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2017-K65, Class B 4.21% due 05/25/2027*(5)(13)		45,000		46,310
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.44% due 09/25/2043*(5)(13)		90,000		96,244
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.75% due 03/25/2027(5)(6)(13)		374,572		18,364
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)		7,637		7,603
Series 1577, Class PK 6.50% due 09/15/2023(3)		4,064		4,357
Series 1226, Class Z 7.75% due 03/15/2022(3)		445		484
				4,342,492

Security Description	Principal Amount(11)		Value (Note 2)
Federal National Mtg. Assoc. — 10.2%
2.50% due 04/01/2028	$	52,871	$	53,565
2.50% due 02/01/2043		74,308		72,288
2.50% due 03/01/2043		144,127		140,194
2.64% due 03/01/2027		38,149		37,771
2.66% due 03/01/2027		410,000		405,446
2.78% due 03/01/2027		78,000		77,969
3.00% due 10/01/2027		20,445		21,065
3.00% due 12/01/2027		11,859		12,212
3.00% due 01/01/2028		28,687		29,558
3.00% due October TBA		900,000		924,750
3.50% due October TBA		2,200,000		2,267,976
4.00% due 11/01/2025		7,042		7,401
4.00% due 09/01/2040		4,656		4,924
4.00% due 12/01/2040		90,845		96,095
4.00% due 11/01/2041		8,387		8,868
4.00% due 01/01/2042		25,105		26,546
4.00% due 12/01/2043		25,606		27,355
4.00% due October TBA		500,000		526,445
4.50% due 01/01/2039		6,421		6,903
4.50% due 09/01/2039		15,482		16,688
4.50% due 09/01/2040		31,427		34,016
4.50% due 05/01/2041		13,806		14,936
4.50% due October TBA		800,000		858,750
5.00% due 03/01/2018		1,117		1,143
5.00% due 06/01/2019		1,417		1,451
5.00% due 05/01/2035		332		366
5.00% due 07/01/2040		23,676		25,861
5.00% due October TBA		300,000		327,235
5.50% due 10/01/2021		6,864		7,191
5.50% due 06/01/2022		2,609		2,716
5.50% due 12/01/2029		4,784		5,289
5.50% due 05/01/2034		17,137		19,180
5.50% due 08/01/2037		24,800		27,692
5.50% due 06/01/2038		6,068		6,771
6.00% due 06/01/2026		14,902		16,762
6.00% due 04/01/2027		73,186		82,320
6.00% due 12/01/2033		22,568		25,812
6.00% due 05/01/2034		14,831		16,945
6.50% due 06/01/2035		50,386		56,487
6.50% due 10/01/2037		3,413		3,790
7.00% due 06/01/2037		15,941		18,127
Federal National Mtg. Assoc. FRS 3.13% (12 ML+1.82%) due 10/01/2040		6,643		6,945
Federal National Mtg. Assoc. FRS 3.21% (12 ML+1.57%) due 05/01/2037		6,239		6,525
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 4.79% (1 ML+3.55%) due 07/25/2029		35,000		36,912

78

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C07, Class 2M2 5.59% (1 ML+4.35%) due 05/25/2029	$	70,143	$	76,260
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3)		10,513		10,436
				6,453,937
Government National Mtg. Assoc. — 5.8%
3.00% due October TBA		700,000		709,734
3.50% due October TBA		1,500,000		1,559,062
4.00% due 09/15/2040		18,690		19,809
4.00% due 11/15/2040		72,667		77,002
4.00% due October TBA		1,000,000		1,053,086
4.50% due 02/15/2039		7,209		7,716
4.50% due 08/15/2041		158,702		171,100
5.50% due 05/15/2036		7,667		8,542
6.00% due 09/15/2032		10,953		12,843
6.00% due 12/15/2033		37,658		43,714
7.00% due 07/15/2033		9,534		11,043
7.00% due 11/15/2033		10,532		12,327
8.00% due 11/15/2031		3,655		3,719
9.00% due 11/15/2021		119		129
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(3)		124		137
Series 2005-74, Class HB 7.50% due 09/16/2035(3)		7,993		9,184
				3,699,147
Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		25,000		25,084
Total U.S. Government Agencies (cost $14,503,144)				14,520,660
U.S. GOVERNMENT TREASURIES — 14.1%
United States Treasury Bonds — 1.8%
2.50% due 02/15/2045(9)		213,000		198,656
2.88% due 11/15/2046		228,000		228,811
3.00% due 11/15/2045		170,000		174,868
3.00% due 02/15/2047		108,000		111,092
5.00% due 05/15/2037		324,000		442,842
				1,156,269
United States Treasury Notes — 12.3%
0.25% due 01/15/2025 TIPS(7)(10)		1,147,196		1,135,816
1.25% due 06/30/2019		2,395,000		2,386,580
1.25% due 10/31/2021		418,000		408,660
1.63% due 03/15/2020		1,020,000		1,021,634
2.00% due 02/15/2023		580,000		580,317
2.00% due 06/30/2024		340,000		336,945

Security Description	Principal Amount(11)		Value (Note 2)
United States Treasury Notes (continued)
2.00% due 02/15/2025	$	1,605,000	$	1,583,057
2.63% due 11/15/2020		340,000		350,001
				7,803,010
Total U.S. Government Treasuries (cost $9,022,848)				8,959,279
FOREIGN GOVERNMENT OBLIGATIONS — 2.8%
Sovereign — 2.8%
Government of Canada Bonds 1.00% due 09/01/2022	CAD	1,710,000		1,320,993
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047*		200,000		201,208
Sultanate of Oman Senior Bonds 5.38% due 03/08/2027*		200,000		205,483
United Mexican States Senior Notes 5.75% due 10/12/2110		54,000		57,888
Total Foreign Government Obligations (cost $1,779,515)				1,785,572
Total Long-Term Investment Securities (cost $67,918,384)				72,391,260
SHORT-TERM INVESTMENT SECURITIES — 2.9%
Foreign Government Obligations — 2.6%
Government of Japan Bills (0.09)% due 10/10/2017	JPY	49,500,000		439,911
Government of Japan Bills (0.21)% due 10/10/2017	JPY	95,000,000		844,274
Republic of Argentina Bills 2.80% due 11/24/2017		10,867		10,821
Republic of Argentina Bills 2.81% due 11/10/2017		10,728		10,695
Republic of Argentina Bills 2.81% due 01/26/2018		24,977		24,736
Republic of Argentina Bills 3.06% due 06/15/2018		119,763		117,279
Republic of Argentina Bills 3.13% due 05/24/2018		35,783		35,039
Republic of Argentina Bills 3.17% due 12/15/2017		64,816		64,428
Republic of Argentina Bills 3.30% due 04/27/2018		65,521		64,335
				1,611,518

79

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(11)			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
U.S. Government Agencies — 0.3%
Federal Home Loan Bank Disc. Notes 0.61% due 10/02/2017	$	200,000		$	199,997
Total Short-Term Investment Securities (cost $1,835,280)					1,811,515
TOTAL INVESTMENTS (cost $69,753,664)(14)		116.9	%		74,202,775
Liabilities in excess of other assets		(16.9	)		(10,726,872	)
NET ASSETS		100.0	%	$	63,475,903

#  See Note 1

†  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, 2017, the aggregate value of these securities was $14,134,425 representing 22.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security classified as Level 3 (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)  Principal amount of security is adjusted for inflation.

(8)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $562,309 representing 0.9% of net assets.

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

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

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

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

markets exist. As of September 30, 2017, 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	$	7,614	$	761.35		0.01	%

(13)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

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

ARS — Argentine Peso

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EUR — Euro Dollar

JPY — Japanese Yen

REMIC — Real Estate Mortgage Investment Conduit

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2017 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

5 Yr ES — 5 Year EUR Swap

5 Yr UIRS — 5 Year USD Interest Rate Swap

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

80

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	6	Short	Long Gilt Futures	December 2017	$	1,020,396	$	995,995	$	24,401
	31	Short	U.S. Treasury 10 Year Notes	December 2017		3,924,648		3,884,687		39,961
	8	Long	U.S. Treasury 10 Year Ultra Bonds	December 2017		1,093,609		1,074,625		(18,984	)
	6	Long	U.S. Treasury 2 Year Notes	December 2017		1,294,313		1,294,219		(94	)
	22	Long	U.S. Treasury 5 Year Notes	December 2017		2,601,700		2,585,000		(16,700	)
	11	Long	U.S. Treasury Ultra Bonds	December 2017		1,844,820		1,816,375		(28,445	)
									$	139

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	JPY	49,511,000	USD	439,042	10/10/2017	$	—	$	(1,105	)
Deutsche Bank AG	JPY	95,000,000	USD	873,556	10/10/2017		29,017		—
Goldman Sachs International	EGP	220,000	USD	11,323	03/06/2018		—		(634	)
	EGP	325,000	USD	16,633	03/29/2018		—		(922	)
	USD	11,837	EGP	220,000	03/06/2018		120		—
	USD	17,682	EGP	325,000	03/29/2018		—		(128	)
							120		(1,684	)
HSBC Bank USA	CAD	523,000	USD	421,432	10/31/2017		2,192		—
Morgan Stanley and Co., Inc.	EUR	204,000	USD	241,466	10/31/2017		—		(1	)
Royal Bank of Canada	CAD	1,121,000	USD	907,689	10/31/2017		9,090		—
Net Unrealized Appreciation (Depreciation)						$	40,419	$	(2,790	)

CAD — Canadian Dollar

EGP — Egyptian Pound

EUR — Euro Currency

JPY — Japanese Yen

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged		Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency	Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	240	11/14/2026	H.15-OIS-Compound/Annually	1 Year USD Federal Funds — 1.63%/Annually	$	—	$	4,794

OIS — Overnight Index Swap

USD — United States Dollar

81

Seasons Series Trust Multi-Managed Income/Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as September 30, 2017 (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	$	—	$	—	$	7,614	$	7,614
Other Industries		20,016,525		—		—		20,016,525
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		2		2
Other Industries		—		907,656		—		907,656
Asset Backed Securities:
Diversified Financial Services		—		14,083,770		414,557		14,498,327
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		52,119		5		52,124
Other Industries		—		9,145,759		—		9,145,759
Foreign Corporate Bonds & Notes		—		1,832,565		—		1,832,565
Municipal Bond & Notes		—		665,177		—		665,177
U.S. Government Agencies		—		14,520,660		—		14,520,660
U.S. Government Treasuries		—		8,959,279		—		8,959,279
Foreign Government Obligations		—		1,785,572		—		1,785,572
Short-Term Investment Securities		—		1,811,515		—		1,811,515
Total Investments at Value	$	20,016,525	$	53,764,072	$	422,178	$	74,202,775
Other Financial Instruments:†
Futures Contracts	$	64,362	$	—	$	—	$	64,362
Forward Foreign Currency Contracts		—		40,419		—		40,419
Centrally Cleared Interest Rate Swap Contracts		—		4,794		—		4,794
Total Other Financial Instruments	$	64,362	$	45,213	$	—	$	109,575
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	64,223	$	—	$	—	$	64,223
Forward Foreign Currency Contracts		—		2,790		—		2,790
Total Other Financial Instruments	$	64,223	$	2,790	$	—	$	67,013

*  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

82

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Financial Services	28.2	%
United States Treasury Notes	15.0
Federal National Mtg. Assoc.	13.9
Government National Mtg. Assoc.	8.0
Federal Home Loan Mtg. Corp.	7.7
Diversified Banking Institutions	6.2
Sovereign	3.5
Foreign Government Obligations	3.1
United States Treasury Bonds	2.7
Cable/Satellite TV	1.5
Municipal Bonds & Notes	1.2
Oil Companies-Exploration & Production	1.1
Electronic Components-Semiconductors	1.1
Pipelines	1.1
Telephone-Integrated	1.0
Applications Software	1.0
Computers	1.0
Web Portals/ISP	0.9
Medical-Biomedical/Gene	0.9
Electric-Integrated	0.8
E-Commerce/Products	0.8
Tobacco	0.7
Medical-Generic Drugs	0.7
Banks-Super Regional	0.7
Finance-Credit Card	0.7
Medical-Drugs	0.6
Medical-HMO	0.6
Consulting Services	0.6
Retail-Restaurants	0.6
Building-Heavy Construction	0.6
Transport-Rail	0.6
Internet Content-Entertainment	0.6
Brewery	0.5
Aerospace/Defense	0.5
Multimedia	0.4
Oil Companies-Integrated	0.4
Real Estate Investment Trusts	0.4
Medical-Hospitals	0.4
Electronic Forms	0.4
Banks-Commercial	0.3
Broadcast Services/Program	0.3
Diversified Manufacturing Operations	0.3
Retail-Building Products	0.3
Auto-Cars/Light Trucks	0.3
Beverages-Non-alcoholic	0.3
Enterprise Software/Service	0.3
Auto/Truck Parts & Equipment-Original	0.3
Entertainment Software	0.3
Retail-Drug Store	0.3
Airlines	0.3
Medical-Wholesale Drug Distribution	0.3
Medical Products	0.3
Finance-Other Services	0.2
Diagnostic Equipment	0.2
Commercial Services	0.2
Industrial Gases	0.2
Office Automation & Equipment	0.2
E-Commerce/Services	0.2
Coatings/Paint	0.2
Building Products-Cement	0.2

Cellular Telecom	0.2	%
Cosmetics & Toiletries	0.2
Finance-Consumer Loans	0.2
Medical Instruments	0.2
Metal-Iron	0.2
Electric Products-Misc.	0.2
Electronic Connectors	0.2
Electronic Components-Misc.	0.2
Instruments-Controls	0.2
Medical Information Systems	0.2
Computer Aided Design	0.2
Commercial Services-Finance	0.2
Semiconductor Equipment	0.2
Finance-Investment Banker/Broker	0.1
Containers-Paper/Plastic	0.1
Insurance-Property/Casualty	0.1
Retail-Discount	0.1
Steel-Producers	0.1
Agricultural Chemicals	0.1
Athletic Footwear	0.1
Recreational Vehicles	0.1
Building-Residential/Commercial	0.1
Food-Confectionery	0.1
Building & Construction Products-Misc.	0.1
Wireless Equipment	0.1
Drug Delivery Systems	0.1
Retail-Gardening Products	0.1
Chemicals-Specialty	0.1
Oil Refining & Marketing	0.1
Food-Catering	0.1
Computer Services	0.1
Rental Auto/Equipment	0.1
Transport-Services	0.1
Insurance-Life/Health	0.1
Music	0.1
Computer Software	0.1
Food-Wholesale/Distribution	0.1
Apparel Manufacturers	0.1
Retail-Auto Parts	0.1
Distribution/Wholesale	0.1
Insurance Brokers	0.1
Insurance-Multi-line	0.1
Metal-Aluminum	0.1
Cruise Lines	0.1
Gas-Distribution	0.1
Beverages-Wine/Spirits	0.1
Electronic Measurement Instruments	0.1
Food-Misc./Diversified	0.1
Independent Power Producers	0.1
Data Processing/Management	0.1
Television	0.1
Tennessee Valley Authority	0.1
	122.7	%

83

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Credit Quality†##
Aaa	59.7	%
Aa	1.8
A	6.5
Baa	11.6
Ba	5.4
B	0.7
Caa	0.9
Ca	0.2
Not Rated@	13.2
	100.0	%

*  Calculated as a percentage of net assets

#  See Note 1

†  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.

84

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 16.3%
Aerospace/Defense — 0.4%
General Dynamics Corp.		568	$	116,770
Northrop Grumman Corp.		271		77,972
				194,742
Agricultural Chemicals — 0.1%
Monsanto Co.		606		72,611
Airlines — 0.2%
United Continental Holdings, Inc.†		1,324		80,605
Apparel Manufacturers — 0.1%
Carter's, Inc.		406		40,093
Applications Software — 0.8%
Microsoft Corp.		4,136		308,091
salesforce.com, Inc.†		1,226		114,533
				422,624
Athletic Footwear — 0.1%
NIKE, Inc., Class B		1,393		72,227
Auto/Truck Parts & Equipment-Original — 0.2%
Delphi Automotive PLC		1,036		101,942
Beverages-Non-alcoholic — 0.3%
Coca-Cola Co.		3,495		157,310
Building Products-Cement — 0.2%
Vulcan Materials Co.		743		88,863
Cable/Satellite TV — 0.3%
Comcast Corp., Class A		3,558		136,912
Cellular Telecom — 0.1%
T-Mobile US, Inc.†		691		42,607
Coatings/Paint — 0.2%
Sherwin-Williams Co.		252		90,226
Commercial Services — 0.2%
CoStar Group, Inc.†		265		71,086
ServiceMaster Global Holdings, Inc.†		996		46,543
				117,629
Commercial Services-Finance — 0.1%
Equifax, Inc.		417		44,198
Computer Aided Design — 0.2%
Cadence Design Systems, Inc.†		2,027		80,006
Computer Services — 0.1%
Amdocs, Ltd.		749		48,176
Computer Software — 0.1%
SS&C Technologies Holdings, Inc.		1,015		40,752
Computers — 0.6%
Apple, Inc.		2,065		318,258
Consulting Services — 0.2%
Gartner, Inc.†		405		50,386
Verisk Analytics, Inc.†		620		51,578
				101,964
Containers-Paper/Plastic — 0.1%
Sealed Air Corp.		1,823		77,879

Security Description	Shares		Value (Note 2)
Cosmetics & Toiletries — 0.2%
Estee Lauder Cos., Inc., Class A		920	$	99,213
Cruise Lines — 0.1%
Norwegian Cruise Line Holdings, Ltd.†		586		31,673
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc.		397		75,112
Distribution/Wholesale — 0.1%
Fastenal Co.		857		39,062
Diversified Manufacturing Operations — 0.3%
A.O. Smith Corp.		1,051		62,461
Illinois Tool Works, Inc.		766		113,337
				175,798
Drug Delivery Systems — 0.1%
DexCom, Inc.†		1,310		64,092
E-Commerce/Products — 0.6%
Amazon.com, Inc.†		303		291,289
E-Commerce/Services — 0.2%
Priceline Group, Inc.†		59		108,018
Electric Products-Misc. — 0.2%
AMETEK, Inc.		1,367		90,277
Electronic Components-Misc. — 0.2%
Flex, Ltd.†		5,251		87,009
Electronic Components-Semiconductors — 0.7%
Broadcom, Ltd.		555		134,610
Microchip Technology, Inc.		1,118		100,374
Texas Instruments, Inc.		1,441		129,171
				364,155
Electronic Connectors — 0.2%
Amphenol Corp., Class A		1,029		87,095
Electronic Forms — 0.4%
Adobe Systems, Inc.†		1,248		186,177
Enterprise Software/Service — 0.3%
Tyler Technologies, Inc.†		556		96,922
Ultimate Software Group, Inc.†		307		58,207
				155,129
Entertainment Software — 0.3%
Activision Blizzard, Inc.		2,278		146,954
Finance-Consumer Loans — 0.1%
Synchrony Financial		1,087		33,751
Finance-Credit Card — 0.7%
MasterCard, Inc., Class A		1,178		166,334
Visa, Inc., Class A		1,926		202,692
				369,026
Finance-Investment Banker/Broker — 0.1%
TD Ameritrade Holding Corp.		1,469		71,687
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc.		891		61,212
Food-Catering — 0.1%
Aramark		1,323		53,727
Food-Confectionery — 0.1%
Hershey Co.		622		67,904

85

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Independent Power Producers — 0.1%
NRG Energy, Inc.		1,065	$	27,253
Industrial Gases — 0.2%
Air Products & Chemicals, Inc.		773		116,893
Instruments-Controls — 0.2%
Sensata Technologies Holding NV†		1,771		85,132
Insurance-Property/Casualty — 0.1%
Progressive Corp.		1,588		76,891
Internet Content-Entertainment — 0.6%
Facebook, Inc., Class A†		1,679		286,891
Medical Information Systems — 0.1%
athenahealth, Inc.†		433		53,848
Medical Instruments — 0.2%
Boston Scientific Corp.†		3,361		98,040
Medical Products — 0.1%
Cooper Cos., Inc.		184		43,628
Medical-Biomedical/Gene — 0.7%
Biogen, Inc.†		350		109,592
Celgene Corp.†		938		136,779
Regeneron Pharmaceuticals, Inc.†		200		89,424
				335,795
Medical-Drugs — 0.4%
Allergan PLC		345		70,708
Eli Lilly & Co.		1,809		154,742
				225,450
Medical-HMO — 0.3%
Aetna, Inc.		552		87,773
Humana, Inc.		344		83,809
				171,582
Medical-Hospitals — 0.2%
Envision Healthcare Corp.†		908		40,815
Universal Health Services, Inc., Class B		516		57,245
				98,060
Multimedia — 0.2%
Walt Disney Co.		1,155		113,848
Oil Companies-Exploration & Production — 0.1%
Anadarko Petroleum Corp.		844		41,229
Real Estate Investment Trusts — 0.4%
American Tower Corp.		1,117		152,672
Starwood Waypoint Homes		839		30,514
				183,186
Recreational Vehicles — 0.1%
Polaris Industries, Inc.		689		72,090
Retail-Apparel/Shoe — 0.0%
L Brands, Inc.		589		24,508
Retail-Auto Parts — 0.1%
AutoZone, Inc.†		66		39,277
Retail-Building Products — 0.2%
Lowe's Cos., Inc.		1,530		122,308

Security Description	Shares/ Principal Amount(10)		Value (Note 2)
Retail-Discount — 0.1%
Costco Wholesale Corp.		453	$	74,423
Retail-Gardening Products — 0.1%
Tractor Supply Co.		944		59,746
Retail-Restaurants — 0.6%
Dunkin' Brands Group, Inc.		1,230		65,288
McDonald's Corp.		855		133,962
Starbucks Corp.		2,010		107,957
				307,207
Telecommunication Equipment — 0.0%
CommScope Holding Co., Inc.†		685		22,749
Television — 0.0%
ION Media Networks, Inc.†(1)(11)(12)		4		3,045
Tobacco — 0.2%
Altria Group, Inc.		1,820		115,424
Transport-Rail — 0.3%
CSX Corp.		2,520		136,735
Web Portals/ISP — 0.9%
Alphabet, Inc., Class C†		496		475,719
Total Common Stocks (cost $6,695,698)				8,398,941
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5%
Diversified Banking Institutions — 1.5%
Credit Agricole SA 8.13% due 12/23/2025(2)	$	200,000		236,750
Credit Suisse Group AG 6.25% due 12/18/2024(2)		275,000		292,875
Societe Generale SA 8.25% due 11/29/2018(2)		225,000		237,915
				767,540
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(11)		8,000		1
Total Preferred Securities/Capital Securities (cost $699,526)				767,541
ASSET BACKED SECURITIES — 28.2%
Diversified Financial Services — 28.2%
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 1.41% (1 ML+0.17%) due 01/25/2037(3)		56,274		53,784
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020		7,000		7,020
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 2.56% (3 ML+1.25%) due 07/25/2029*(4)		250,000		252,188

86

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(13)	$	61,600	$	61,444
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(13)		36,551		36,544
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.81% (1 ML+1.58%) due 10/25/2034(11)		3,795		3,794
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 2.42% (3 ML+1.12%) due 01/18/2025*(4)		250,000		250,362
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(13)		103,513		106,177
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(13)		93,244		95,591
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(13)		95,052		97,393
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(13)		92,138		95,936
Bayview Opportunity Master Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(1)(13)		298,000		305,776
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(13)		112,986		117,755
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(5)		235,000		240,539
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.08% (1 ML+0.85%) due 08/15/2036*(5)		153,000		153,214
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.30% due 02/25/2036(3)(13)		151,328		141,774
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027*		15,250		15,194

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1A 2.42% (3 ML+1.12%) due 07/15/2025*(4)	$	250,000	$	250,239
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class A1R 2.50% (3 ML+1.20%) due 10/15/2026*(4)		250,000		251,071
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.79% (3 ML+1.47%) due 04/27/2027*(4)		250,000		251,088
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020		40,000		40,086
CBAM CLO Management LLC FRS Series 2017-3A, Class A 2.55% (3ML+1.23%) due 10/17/2029*(4)		250,000		250,000
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 2.41% (3 ML+1.10%) due 01/25/2026*(4)		250,000		250,354
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 2.52% (3 ML+1.20%) due 05/24/2026*(4)		250,000		251,376
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(5)		120,000		125,947
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(5)		75,000		80,089
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.43% due 12/10/2049(5)(13)		2,938		2,936
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.25% (1 Yr USTYCR+2.40%) due 03/25/2036(3)		79,725		73,885
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(13)		80,642		81,637
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(5)		75,000		79,906
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5)		110,000		111,417

87

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(5)	$	155,000	$	162,142
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5)		155,059		160,492
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(5)		149,000		157,902
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.27% due 12/10/2049(5)(13)		6,436		6,432
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3)		55,867		50,689
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.00% due 06/15/2057(5)(6)(13)		1,226,353		57,242
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(5)		125,000		130,958
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(13)		53,170		53,635
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(13)		87,884		87,388
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(13)		76,775		76,573
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class AR 2.38% (3 ML+1.08%) due 04/18/2026*(4)		250,000		250,693
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.23% due 05/25/2035(3)(13)		128,431		128,606
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020*		190,000		190,570
Ford Credit Auto Owner Trust Series 2013-D, Class B 1.54% due 03/15/2019		6,000		6,000
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 2.54% (3 ML+1.22%) due 07/24/2030*(4)		250,000		251,835

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(5)	$	160,000	$	161,841
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(5)		40,000		46,113
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(5)		100,000		104,294
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(5)		145,000		152,100
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5)		140,000		148,781
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.42% due 03/25/2047(3)(13)		30,378		28,116
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.48% due 04/25/2036(3)(13)		11,465		9,945
GTP Acquisition Partners I LLC Series 2015-2, Class A 3.48% due 06/15/2050*		160,000		159,475
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019*		50,848		51,034
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.78% (1 ML+0.54%) due 05/25/2035(3)		82,239		82,398
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(5)		138,314		144,037
JP Morgan Chase Commercial Mtg. Securities Trust Series 2008-C2, Class A4 6.07% due 02/12/2051(5)		67,870		67,929
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5)		64,000		67,347
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)(13)		38,207		38,612
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(11)		100,000		100,044
LSTAR Securities Investment Ltd. FRS Series 2016-5, Class A1 3.24% (1 ML+2.00%) due 11/01/2021*(3)		49,541		49,560

88

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 2.99% (1 ML+1.75%) due 09/01/2022*(1)(3)	$	100,000	$	99,909
LSTAR Securities Investment, Ltd. FRS Series 2, Class A1 3.24% (1 ML+2.00%) due 02/01/2022*(3)		73,320		73,119
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.47% (3 ML+1.16%) due 07/23/2029*(4)		250,000		251,145
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 2.81% (3 ML+1.50%) due 07/25/2026*(4)		250,000		249,748
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.97% due 02/25/2035(3)(13)		20,472		20,898
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.19% due 12/25/2034(3)(13)		37,127		37,828
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.28% due 12/15/2047(5)(6)(13)		351,837		17,627
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(5)		25,000		26,629
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.62% due 06/15/2050(5)(6)(13)		129,784		12,714
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(5)		105,000		108,658
Morgan Stanley Capital I Trust VRS Series 2008-T29, Class A4 6.50% due 01/11/2043(5)(13)		32,103		32,299
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3)		37,492		32,031
Mortgage Repurchase Agreement Financing Trust FRS Series 2016-5, Class A 2.41% (1 ML+1.17%) due 06/10/2019*(3)		153,000		152,999

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
MortgageIT Trust FRS Series 2005-4, Class A1 1.52% (1 ML+0.28%) due 10/25/2035(3)	$	174,940	$	172,633
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049*		115,000		114,146
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051*		100,000		99,904
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 2.74% (1 ML+1.50%) due 07/25/2056*(3)		147,634		151,753
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(13)		105,160		108,625
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(13)		94,872		97,910
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(13)		186,129		193,805
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(13)		188,466		197,013
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(13)		145,062		150,938
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(13)		120,756		125,767
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(13)		13,819		13,953
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1)		110,000		108,781
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 2.44% (3 ML+1.13%) due 07/20/2026*(4)		250,000		250,776

89

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.87% (3 ML+1.55%) due 02/15/2026*(4)	$	250,000	$	250,134
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.83% (3 ML+1.53%) due 04/17/2027*(4)		215,000		215,027
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032*		138,000		137,407
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		170,000		172,953
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.34% (1 ML+0.10%) due 02/25/2037(11)		48,172		30,513
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.76% (3 ML+1.45%) due 04/30/2027*(4)		250,000		251,277
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3)		1,939		1,942
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 1.37% (1 ML+0.13%) due 05/25/2037(11)		118,925		92,564
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026*		92,301		92,263
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(11)		56,852		57,433
Sound Point CLO VIII, Ltd. FRS Series 2015-1A, Class A 2.83% (3 ML+1.53%) due 04/15/2027*(4)		250,000		251,367
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.49% (1 ML+0.25%) due 11/25/2036(11)		195,000		159,184
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030*		145,000		145,006
Springleaf Mtg. Loan Trust VRS Series 2013-2A, Class M1 3.52% due 12/25/2065*(3)(13)		100,000		99,792
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(13)		90,551		90,101

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Financial Services (continued)
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(13)	$	76,316	$	76,654
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(13)		190,920		191,925
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(13)		92,670		93,167
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(13)		127,585		128,166
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 06/25/2057*(13)		97,292		97,788
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 2.68% (3 ML+1.37%) due 04/20/2027*(4)		250,000		252,101
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 04/25/2059*		83,715		84,037
Voya CLO, Ltd. FRS Series 2014-4A, Class A2AR 2.75% (3 ML+1.45%) due 10/14/2026*(4)		250,000		249,748
Voya CLO, Ltd. FRS Series 2015-1A, Class A1 2.78% (3 ML+1.48%) due 04/18/2027*(4)		250,000		251,307
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.32% due 09/15/2057(5)(6)(13)		986,937		56,954
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5)		80,000		84,359
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(5)(13)		10,000		8,748
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.10% due 01/25/2035(3)(13)		113,829		114,228
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.17% due 03/25/2035(3)(13)		77,104		77,863
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.29% due 11/25/2034(3)(13)		1,770		1,784
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.52% due 10/25/2036(3)(13)		46,474		45,718

90

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*	$	85,000	$	84,811
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.98% due 02/15/2044*(5)(6)(13)		568,607		12,187
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5)		145,000		154,304
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(5)		130,000		138,664
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5)		60,000		64,133
Total Asset Backed Securities (cost $14,335,950)				14,534,516
U.S. CORPORATE BONDS & NOTES — 18.0%
Aerospace/Defense — 0.1%
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052*		45,000		45,000
Airlines — 0.1%
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022		60,000		61,668
Applications Software — 0.2%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		25,000		24,164
Microsoft Corp. Senior Notes 3.30% due 02/06/2027		5,000		5,177
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		45,000		45,380
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		35,000		36,067
				110,788
Auto-Cars/Light Trucks — 0.3%
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		40,000		41,736
General Motors Co. Senior Notes 5.20% due 04/01/2045		10,000		10,067
General Motors Co. Senior Notes 6.75% due 04/01/2046		55,000		66,253
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		40,000		40,968
				159,024

Security Description	Principal Amount(10)		Value (Note 2)
Auto/Truck Parts & Equipment-Original — 0.1%
Lear Corp. Senior Notes 3.80% due 09/15/2027	$	50,000	$	49,810
Banks-Commercial — 0.1%
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022*		75,000		76,413
Banks-Super Regional — 0.7%
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		30,000		29,468
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		25,000		24,446
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		130,000		132,227
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		90,000		91,093
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		85,000		94,813
				372,047
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		10,000		10,034
Constellation Brands, Inc. Company Guar. Notes 3.50% due 05/09/2027		15,000		15,201
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		5,000		5,248
				30,483
Brewery — 0.5%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		145,000		150,004
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		75,000		82,690
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042		50,000		48,111
				280,805
Broadcast Services/Program — 0.3%
Discovery Communications LLC Company Guar. Notes 3.45% due 03/15/2025		30,000		29,544

91

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Broadcast Services/Program (continued)
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024	$	36,000	$	37,105
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		20,000		19,857
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		15,000		16,014
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		50,000		55,250
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025		19,000		19,276
				177,046
Building & Construction Products-Misc. — 0.1%
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		60,000		65,458
Building Products-Cement — 0.0%
Eagle Materials, Inc. Company Guar. Notes 4.50% due 08/01/2026		15,000		15,638
Building-Heavy Construction — 0.6%
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044*		100,000		100,619
SBA Tower Trust Senior Sec. Notes 3.17% due 04/09/2047*		85,000		84,941
SBA Tower Trust Mtg. Notes 3.60% due 04/09/2043*		120,000		119,905
				305,465
Building-Residential/Commercial — 0.1%
Meritage Homes Corp. Company Guar. Notes 6.00% due 06/01/2025		30,000		31,950
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		5,000		5,713
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		30,000		31,245
				68,908
Cable/Satellite TV — 1.2%
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020		25,000		25,665

Security Description	Principal Amount(10)		Value (Note 2)
Cable/Satellite TV (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025	$	80,000	$	85,521
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		30,000		35,210
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		20,000		18,434
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033		55,000		59,142
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024*		40,000		39,749
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		40,000		40,350
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		5,000		5,035
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		4,000		4,088
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		45,000		49,500
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		50,000		47,387
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		45,000		49,381
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018		40,000		41,448
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		105,000		114,055
				614,965
Cellular Telecom — 0.1%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*		5,000		5,469
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		50,000		56,250
				61,719

92

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024	$	15,000	$	15,075
Commercial Services-Finance — 0.1%
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022		30,000		30,975
Computers — 0.4%
Apple, Inc. Senior Notes 3.00% due 02/09/2024		5,000		5,124
Apple, Inc. Senior Notes 3.35% due 02/09/2027		20,000		20,592
Apple, Inc. Senior Notes 3.45% due 02/09/2045		45,000		42,645
Apple, Inc. Senior Notes 3.85% due 08/04/2046		10,000		10,108
Dell International LLC/ EMC Corp. Senior Sec. Notes 4.42% due 06/15/2021*		20,000		20,998
Dell International LLC/ EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046*		5,000		6,422
Hewlett Packard Enterprise Co. Senior Notes 3.60% due 10/15/2020		55,000		57,010
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025		40,000		42,315
				205,214
Data Processing/Management — 0.1%
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		25,000		25,958
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		10,000		9,787
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		45,000		45,744
				55,531
Diversified Banking Institutions — 4.2%
Bank of America Corp. Senior Notes 3.12% due 01/20/2023		85,000		86,513
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		105,000		106,656

Security Description	Principal Amount(10)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027	$	45,000	$	46,641
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		30,000		32,486
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045		100,000		110,068
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		100,000		102,878
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		4,000		4,909
Citigroup, Inc. FRS Senior Notes 2.41% (3 ML+1.10%) due 05/17/2024		70,000		70,155
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026		50,000		49,210
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		140,000		147,775
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		7,000		7,749
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		70,000		69,401
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		50,000		50,118
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		20,000		20,180
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		40,000		40,517
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		40,000		40,564
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		35,000		35,025
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025		60,000		60,873
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		95,000		108,754
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		38,000		40,822
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		15,000		18,838

93

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041	$	55,000	$	72,605
JPMorgan Chase & Co. FRS Senior Notes 2.54% (3 ML+1.23%) due 10/24/2023		30,000		30,650
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		75,000		75,020
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		50,000		50,804
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		15,000		15,507
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		55,000		58,002
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		15,000		18,595
JPMorgan Chase & Co. Senior Notes 6.00% due 01/15/2018		110,000		111,400
Morgan Stanley Senior Notes 2.50% due 04/21/2021		25,000		25,081
Morgan Stanley Senior Notes 2.63% due 11/17/2021		40,000		40,143
Morgan Stanley Senior Notes 3.13% due 07/27/2026		11,000		10,790
Morgan Stanley Senior Notes 3.59% due 07/22/2028		105,000		105,391
Morgan Stanley Senior Notes 3.63% due 01/20/2027		15,000		15,204
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		40,000		40,691
Morgan Stanley Senior Notes 4.00% due 07/23/2025		50,000		52,713
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		2,000		2,094
Morgan Stanley Senior Notes 5.50% due 07/24/2020		100,000		108,631
Morgan Stanley Senior Notes 6.63% due 04/01/2018		100,000		102,444
				2,185,897

Security Description	Principal Amount(10)		Value (Note 2)
E-Commerce/Products — 0.2%
Amazon.com, Inc. Senior Notes 1.90% due 08/21/2020*	$	20,000	$	20,049
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024*		15,000		15,058
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037*		55,000		55,972
				91,079
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021		10,000		10,054
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		10,000		10,723
				20,777
Electric-Integrated — 0.8%
AES Corp. Senior Notes 4.88% due 05/15/2023		3,000		3,090
AES Corp. Senior Notes 5.50% due 03/15/2024		45,000		46,856
AES Corp. Senior Notes 5.50% due 04/15/2025		10,000		10,513
DTE Energy Co. Senior Notes 1.50% due 10/01/2019		30,000		29,566
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		50,000		47,126
Exelon Corp. Senior Notes 2.45% due 04/15/2021		5,000		5,000
Exelon Corp. Senior Notes 2.85% due 06/15/2020		50,000		50,994
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		45,000		45,699
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		10,000		10,580
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024*		30,000		30,073
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		20,000		19,991
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031		50,000		67,448

94

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Southern Co. Senior Notes 1.85% due 07/01/2019	$	25,000	$	24,987
Southern Co. Senior Notes 2.95% due 07/01/2023		10,000		10,051
				401,974
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		10,000		11,982
Electronic Components-Semiconductors — 0.4%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022*		120,000		122,002
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024*		40,000		41,095
Intel Corp. Senior Notes 4.10% due 05/19/2046		25,000		26,229
				189,326
Electronic Measurement Instruments — 0.1%
Fortive Corp. Senior Notes 2.35% due 06/15/2021		30,000		29,905
Finance-Consumer Loans — 0.1%
Navient Corp. Senior Notes 5.50% due 01/15/2019		5,000		5,167
Navient Corp. Senior Notes 6.63% due 07/26/2021		10,000		10,700
Navient Corp. Senior Notes 7.25% due 09/25/2023		45,000		48,881
				64,748
Finance-Investment Banker/Broker — 0.0%
Bear Stearns Cos. LLC Company Guar. Notes 7.25% due 02/01/2018		10,000		10,186
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(11)		10,000		625
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(11)		9,000		1
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(11)		11,000		1
				10,813

Security Description	Principal Amount(10)		Value (Note 2)
Finance-Other Services — 0.1%
CBOE Holdings, Inc. Senior Notes 3.65% due 01/12/2027	$	40,000	$	40,959
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		30,000		30,668
				71,627
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		30,000		29,623
Food-Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		40,000		40,255
Gas-Distribution — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024		25,000		26,344
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026		5,000		5,200
				31,544
Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		15,000		15,511
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		20,000		20,459
				35,970
Insurance-Life/Health — 0.1%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		40,000		42,700
Insurance-Multi-line — 0.1%
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		40,000		34,200
Insurance-Mutual — 0.0%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		7,000		11,353
Machinery-Construction & Mining — 0.0%
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		20,000		21,200
Medical Information Systems — 0.1%
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023*		30,000		31,200

95

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Products — 0.2%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024	$	80,000	$	80,746
Medical-Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		30,000		30,245
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		6,000		6,217
Celgene Corp. Senior Notes 4.63% due 05/15/2044		20,000		21,578
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		10,000		9,899
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		25,000		25,821
				93,760
Medical-HMO — 0.3%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		20,000		20,123
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		50,000		54,171
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		10,000		11,524
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		55,000		58,367
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		10,000		11,548
				155,733
Medical-Hospitals — 0.2%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021		30,000		29,625
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		15,000		14,737
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		45,000		47,545
				91,907
Medical-Wholesale Drug Distribution — 0.3%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		30,000		30,044

Security Description	Principal Amount(10)		Value (Note 2)
Medical-Wholesale Drug Distribution (continued)
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022	$	90,000	$	89,927
Cardinal Health, Inc. Senior Notes 4.37% due 06/15/2047		10,000		10,239
				130,210
Metal-Aluminum — 0.1%
Kaiser Aluminum Corp. Company Guar. Notes 5.88% due 05/15/2024		30,000		32,100
Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034		50,000		62,151
Historic TW, Inc. Company Guar. Notes 6.63% due 05/15/2029		36,000		44,905
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		15,000		12,922
				119,978
Music — 0.1%
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024*		40,000		41,100
Office Automation & Equipment — 0.2%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		55,000		54,080
Xerox Corp. Senior Notes 3.63% due 03/15/2023		60,000		59,498
				113,578
Oil Companies-Exploration & Production — 0.9%
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024		55,000		54,583
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		15,000		14,276
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046		5,000		6,190
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		15,000		16,164
Apache Corp. Senior Notes 4.25% due 01/15/2044		10,000		9,391
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		5,000		5,022
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		5,000		5,012

96

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022	$	20,000	$	20,325
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		10,000		13,201
Hess Corp. Senior Notes 4.30% due 04/01/2027		40,000		39,647
Hess Corp. Senior Notes 5.60% due 02/15/2041		5,000		5,010
Hess Corp. Senior Notes 6.00% due 01/15/2040		25,000		25,883
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		45,000		53,476
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		20,000		20,000
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		40,000		38,887
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027		40,000		40,789
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		30,000		29,475
SM Energy Co. Senior Notes 6.13% due 11/15/2022		15,000		15,037
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		20,000		20,050
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		10,000		10,337
				442,755
Oil Refining & Marketing — 0.1%
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		45,000		44,393
Valero Energy Corp. Senior Notes 4.90% due 03/15/2045		10,000		10,732
				55,125
Pipelines — 1.0%
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		5,000		4,975
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		10,000		9,800
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022		5,000		5,187

Security Description	Principal Amount(10)		Value (Note 2)
Pipelines (continued)
DCP Midstream Operating LP Company Guar. Notes 9.75% due 03/15/2019*	$	5,000	$	5,462
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043		5,000		5,354
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		5,000		5,467
Kinder Morgan, Inc. Company Guar. Notes 3.15% due 01/15/2023		175,000		175,944
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045		50,000		53,871
MPLX LP Senior Notes 4.13% due 03/01/2027		35,000		35,636
MPLX LP Senior Notes 5.20% due 03/01/2047		5,000		5,235
Phillips 66 Partners LP Senior Notes 3.55% due 10/01/2026		10,000		9,783
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 4.50% due 12/15/2026		15,000		15,224
Regency Energy Partners LP/ Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		35,000		36,678
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		15,000		15,121
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		30,000		30,955
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047		20,000		20,344
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.25% due 10/15/2022		20,000		21,275
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		45,000		44,305
Williams Cos., Inc. Senior Notes 3.70% due 01/15/2023		5,000		4,975
Williams Cos., Inc. Senior Notes 4.55% due 06/24/2024		15,000		15,525
				521,116

97

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts — 0.0%
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024	$	10,000	$	9,952
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		10,000		10,296
				20,248
Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		20,000		21,425
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027		25,000		26,656
				48,081
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		40,000		36,885
Retail-Drug Store — 0.3%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		60,000		61,034
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		23,000		23,989
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		50,000		57,503
				142,526
Semiconductor Equipment — 0.1%
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		30,000		30,349
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025*		15,000		15,122
Telephone-Integrated — 1.0%
AT&T, Inc. Senior Notes 3.40% due 08/14/2024		75,000		75,117
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		40,000		41,155
AT&T, Inc. Senior Notes 3.90% due 08/14/2027		90,000		90,175
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		3,000		2,753

Security Description	Principal Amount(10)		Value (Note 2)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 4.50% due 05/15/2035	$	30,000	$	29,619
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		65,000		62,510
AT&T, Inc. Senior Notes 5.15% due 02/14/2050		55,000		55,268
AT&T, Inc. Senior Notes 5.25% due 03/01/2037		15,000		15,786
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		14,000		13,754
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		60,000		60,038
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		15,000		15,369
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		41,000		39,056
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		15,000		16,450
				517,050
Tobacco — 0.4%
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		20,000		19,550
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		50,000		50,160
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		40,000		41,048
Philip Morris International, Inc. Senior Notes 3.13% due 08/17/2027		70,000		70,267
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		49,000		50,354
				231,379
Transport-Rail — 0.2%
CSX Corp. Senior Notes 3.25% due 06/01/2027		80,000		80,220
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		35,000		34,691
				114,911
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		25,000		26,627

98

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Services (continued)
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045	$	15,000	$	16,336
				42,963
Total U.S. Corporate Bonds & Notes (cost $9,048,148)				9,261,785
FOREIGN CORPORATE BONDS & NOTES — 3.5%
Banks-Commercial — 0.2%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		120,000		120,842
Chemicals-Specialty — 0.1%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		45,000		44,519
Methanex Corp. Senior Notes 5.65% due 12/01/2044		15,000		14,785
				59,304
Consulting Services — 0.4%
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039*		200,000		206,109
Diversified Banking Institutions — 0.5%
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020		55,000		55,223
HSBC Holdings PLC Senior Notes 3.26% due 03/13/2023		200,000		204,135
				259,358
Electric-Integrated — 0.0%
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		15,000		14,727
Medical-Drugs — 0.2%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		50,000		49,825
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		20,000		19,711
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		10,000		9,628
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023		5,000		4,769

Security Description	Principal Amount(10)		Value (Note 2)
Medical-Drugs (continued)
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022*	$	30,000	$	31,725
				115,658
Medical-Generic Drugs — 0.7%
Allergan Funding SCS Company Guar. Notes 2.35% due 03/12/2018		165,000		165,481
Allergan Funding SCS Company Guar. Notes 3.00% due 03/12/2020		115,000		117,407
Mylan NV Company Guar. Notes 3.00% due 12/15/2018		25,000		25,282
Mylan NV Company Guar. Notes 3.15% due 06/15/2021		35,000		35,613
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		30,000		31,104
				374,887
Metal-Iron — 0.2%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		70,000		79,429
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		10,000		11,462
				90,891
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		10,000		10,110
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		25,000		30,018
Encana Corp. Senior Notes 3.90% due 11/15/2021		30,000		30,915
				71,043
Oil Companies-Integrated — 0.4%
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027*		5,000		4,957
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		5,000		5,756
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		10,000		9,325
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047*		20,000		21,278

99

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated (continued)
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047	$	39,000	$	41,492
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		40,000		42,891
YPF Sociedad Anonima SA Senior Notes 16.50% due 05/09/2022*	ARS	1,676,987		91,055
				216,754
Pipelines — 0.1%
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027		20,000		20,277
Semiconductor Equipment — 0.1%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		40,000		42,162
Steel-Producers — 0.1%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		50,000		57,500
Telephone-Integrated — 0.0%
Telecom Italia Capital SA Company Guar. Notes 6.00% due 09/30/2034		15,000		16,594
Television — 0.1%
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024*		20,000		21,700
Tobacco — 0.1%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		45,000		45,700
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021		30,000		37,044
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		40,000		41,150
Nokia OYJ Senior Notes 6.63% due 05/15/2039		20,000		23,080
				64,230
Total Foreign Corporate Bonds & Notes (cost $1,815,815)				1,834,780
MUNICIPAL BONDS & NOTES — 1.2%
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		90,000		117,610

Security Description	Principal Amount(10)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
City of Chicago, IL General Obligation Bonds 7.05% due 01/01/2029	$	45,000	$	49,757
City of Chicago IL Series B 7.38% due 01/01/2033		40,000		45,919
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		5,000		6,319
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038		250,000		96,250
State of California General Obligation Bonds 7.55% due 04/01/2039		45,000		69,012
State of California General Obligation Bonds 7.60% due 11/01/2040		5,000		7,824
State of California General Obligation Bonds 7.63% due 03/01/2040		35,000		53,632
State of Illinois General Obligations Bonds 5.16% due 02/01/2018		5,000		5,046
State of Illinois 5.38% due 07/01/2018		30,000		30,642
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		135,000		136,894
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		20,000		20,909
Total Municipal Bonds & Notes (cost $646,303)				639,814
U.S. GOVERNMENT AGENCIES — 29.7%
Federal Home Loan Mtg. Corp. — 7.7%
2.50% due 01/01/2028		7,530		7,636
2.50% due 04/01/2028		16,458		16,686
2.91% (6 ML+1.53%) due 02/01/2037 FRS		2,076		2,148
3.00% due 08/01/2027		9,077		9,336
3.00% due 10/01/2042		18,590		18,779
3.00% due 11/01/2042		7,146		7,213
3.00% due 02/01/2043		31,164		31,465
3.00% due 08/01/2043		68,117		68,755
3.00% due 04/01/2045		400,269		401,999
3.00% due October TBA		1,100,000		1,103,996
3.50% due 02/01/2042		8,160		8,458
3.50% due 03/01/2042		4,675		4,846
3.50% due 09/01/2043		27,263		28,315
3.50% due October TBA		1,000,000		1,031,368
4.00% due 03/01/2023		2,550		2,636
4.00% due 10/01/2043		13,510		14,259
4.00% due October TBA		600,000		631,734

100

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
4.50% due 01/01/2039	$	1,052	$	1,130
5.00% due 12/01/2020		1,271		1,326
5.00% due 07/01/2021		6,219		6,524
5.00% due 05/01/2034		11,124		12,310
5.50% due 07/01/2034		6,914		7,722
5.50% due 07/01/2035		7,080		7,940
5.50% due 04/01/2037		2,563		2,855
5.50% due 05/01/2037		2,484		2,762
5.50% due 08/01/2037		14,179		15,899
6.00% due 08/01/2036		1,294		1,455
6.50% due 05/01/2029		2,401		2,689
6.50% due 11/01/2034		4,015		4,451
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.07% due 10/25/2047*(5)(13)		90,000		90,827
Series 2017-K67, Class B 3.94% due 08/25/2027*(5)(13)		25,000		25,141
Series 2017-K725, Class B 4.01% due 02/25/2024*(5)(13)		30,000		30,448
Series 2017-K726, Class B 4.11% due 07/25/2049*(5)(13)		50,000		50,620
Series 2017-K64, Class B 4.12% due 03/25/2027*(5)(13)		20,000		20,126
Series 2012-K706, Class B 4.17% due 11/25/2044*(5)(13)		75,000		76,200
Series 2017-K66, Class B 4.17% due 07/25/2027*(5)(13)		40,000		39,785
Series 2017-K65, Class B 4.21% due 05/25/2027*(5)(13)		45,000		46,310
Series 2010-K8, Class B 5.44% due 09/25/2043*(5)(13)		100,000		106,938
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.75% due 03/25/2027(5)(6)(13)		379,566		18,609
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)		1,053		1,049
Series 1577, Class PK 6.50% due 09/15/2023(3)		6,503		6,971
Series 1226, Class Z 7.75% due 03/15/2022(3)		624		677
				3,970,393

Security Description	Principal Amount(10)		Value (Note 2)
Federal National Mtg. Assoc. — 13.9%
2.50% due 02/01/2043	$	148,617	$	144,575
2.50% due 03/01/2043		147,450		143,422
2.64% due 03/01/2027		38,149		37,771
2.66% due 03/01/2027		210,000		207,668
2.78% due 03/01/2027		76,000		75,970
2.97% due 06/01/2027		134,430		136,119
3.00% due 01/01/2028		10,758		11,084
3.00% due October TBA		1,025,000		1,053,188
3.13% (12 ML+1.82%) due 10/01/2040 FRS		3,163		3,307
3.21% (12 ML+1.57%) due 05/01/2037 FRS		3,063		3,203
3.50% due October TBA		2,400,000		2,474,156
4.00% due 11/01/2040		61,748		65,323
4.00% due 11/01/2041		3,295		3,484
4.00% due 10/01/2043		60,023		63,262
4.00% due 11/01/2043		7,528		7,948
4.00% due 12/01/2043		38,096		40,699
4.00% due October TBA		700,000		737,023
4.50% due 01/01/2039		2,568		2,761
4.50% due 06/01/2039		36,015		39,010
4.50% due 05/01/2041		7,212		7,802
4.50% due October TBA		800,000		858,750
5.00% due 03/01/2018		417		427
5.00% due 06/01/2019		709		725
5.00% due 07/01/2040		23,471		25,636
5.50% due 06/01/2020		42,549		43,779
5.50% due 07/01/2020		6,566		6,701
5.50% due 03/01/2021		13,727		14,276
5.50% due 04/01/2021		11,946		12,372
5.50% due 06/01/2021		45,032		46,830
5.50% due 10/01/2021		25,279		26,348
5.50% due 12/01/2021		46,772		48,405
5.50% due 06/01/2022		45,441		46,887
5.50% due 12/01/2029		1,543		1,706
5.50% due 05/01/2034		3,402		3,807
5.50% due 08/01/2037		8,267		9,231
5.50% due 06/01/2038		728		813
5.50% due October TBA		200,000		221,298
6.00% due 06/01/2026		14,903		16,763
6.00% due 03/01/2027		19,597		22,043
6.00% due 12/01/2033		2,004		2,292
6.00% due 05/01/2034		8,434		9,637
6.00% due 08/01/2034		695		794
6.00% due 06/01/2040		4,341		4,931
6.00% due October TBA		300,000		337,828
6.50% due 11/01/2035		4,127		4,601
6.50% due 10/01/2037		1,940		2,154
7.00% due 06/01/2037		15,941		18,127
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 4.79% (1 ML+3.55%) due 07/25/2029(3)		35,000		36,912
Series 2016-C07, Class 2M2 5.59% (1 ML+4.35%) due 05/25/2029(3)		70,142		76,259
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3)		7,250		7,197
				7,165,304

101

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(10)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. — 8.0%
3.00% due October TBA	$	700,000	$	709,734
3.50% due October TBA		1,400,000		1,455,125
4.00% due 10/15/2040		21,593		23,122
4.00% due 02/15/2041		14,271		15,062
4.00% due 09/15/2041		15,790		16,729
4.00% due 10/15/2041		9,118		9,658
4.00% due October TBA		1,000,000		1,053,086
4.50% due 06/15/2041		183,223		198,225
5.00% due 01/15/2033		1,619		1,769
5.00% due 01/15/2040		52,191		58,243
5.00% due October TBA		300,000		327,282
5.50% due 04/15/2036		84,312		94,258
6.00% due 02/15/2033		16,640		18,756
6.50% due 07/15/2028		83,117		91,729
6.50% due 08/15/2028		4,751		5,256
6.50% due 09/15/2028		10,420		11,966
6.50% due 11/15/2028		13,341		14,724
7.00% due 01/15/2033		6,371		7,472
7.00% due 05/15/2033		9,084		10,625
7.00% due 11/15/2033		4,118		4,820
8.00% due 02/15/2030		1,313		1,374
9.00% due 11/15/2021		134		145
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(3)		267		295
Series 2005-74, Class HB 7.50% due 09/16/2035(3)		2,931		3,368
Series 2005-74, Class HC 7.50% due 09/16/2035(3)		1,969		2,312
				4,135,135
Tennessee Valley Authority — 0.1%
1.75% due 10/15/2018		12,000		12,040
Total U.S. Government Agencies (cost $15,254,913)				15,282,872
U.S. GOVERNMENT TREASURIES — 17.7%
United States Treasury Bonds — 2.7%
2.50% due 02/15/2045(9)		150,000		139,899
2.88% due 11/15/2046		163,000		163,579
3.00% due 05/15/2045(7)		370,000		380,984
3.00% due 11/15/2045		202,000		207,784
4.38% due 11/15/2039		130,000		165,415
5.00% due 05/15/2037		256,000		349,900
				1,407,561
United States Treasury Notes — 15.0%
0.25% due 01/15/2025 TIPS(8)		1,086,219		1,075,444
1.13% due 02/28/2019		609,000		606,550
1.25% due 10/31/2021		422,000		412,571
1.50% due 08/15/2026		403,000		377,356
1.63% due 03/15/2020		734,000		735,175
1.88% due 02/28/2022		1,457,000		1,457,455
2.00% due 02/15/2023		665,000		665,364
2.00% due 02/15/2025		1,475,000		1,454,834
2.13% due 07/31/2024		665,000		664,039
2.25% due 02/15/2027		294,000		292,220
				7,741,008
Total U.S. Government Treasuries (cost $9,209,396)				9,148,569

Security Description	Principal Amount(10)			Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS — 3.5%
Sovereign — 3.5%
Government of Canada Bonds 1.00% due 09/01/2022	CAD	1,715,000		$	1,324,856
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047*		200,000			201,208
Sultanate of Oman Senior Notes 5.38% due 03/08/2027*		200,000			205,483
United Mexican States Senior Notes 5.75% due 10/12/2110	MXN	54,000			57,888
Total Foreign Government Obligations (cost $1,783,413)					1,789,435
Total Long-Term Investment Securities (cost $59,489,162)					61,658,253
SHORT-TERM INVESTMENT SECURITIES — 3.1%
Foreign Government Obligations — 3.1%
Government of Japan Bills (0.09)% due 10/10/2017	JPY	50,050,000			444,799
Government of Japan Bills (0.21)% due 10/10/2017	JPY	94,800,000			842,496
Republic of Argentina Bills 2.80% due 11/24/2017		10,992			10,945
Republic of Argentina Bills 2.81% due 11/10/2017		10,893			10,860
Republic of Argentina Bills 2.81% due 01/26/2018		25,165			24,922
Republic of Argentina Bills 3.06% due 06/15/2018		120,650			118,148
Republic of Argentina Bills 3.13% due 05/24/2018		36,194			35,442
Republic of Argentina Bills 3.17% due 12/15/2017		65,528			65,136
Republic of Argentina Bills 3.30% due 04/27/2018		65,521			64,335
Total Short-Term Investment Securities (cost $1,640,728)					1,617,083
TOTAL INVESTMENTS (cost $61,129,890)(14)		122.7	%		63,275,336
Liabilities in excess of other assets		(22.7	)		(11,695,014	)
NET ASSETS		100.0	%	$	51,580,322

102

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

†  Non-income producing security

#  See Note 1

*  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, 2017, the aggregate value of these securities was $13,775,642 representing 26.7% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Securities are classified as Level 3 (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)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

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

(11)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $447,205 representing 0.9% of net assets.

(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, 2017, the Multi-Managed Income Portfolio held the following restricted securities:

Acquisition

Acquisition

Value Per

% of Net

Description

Date

Shares

Cost

Value

Share

Assets

Common Stocks

ION Media Networks, Inc.

03/05/2014

4

$

0

$

3,045

$

761.35

0.01

%

(13)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

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

ARS — Argentine Peso

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

JPY — Japanese Yen

MXN — Mexican Peso

REMIC — Real Estate Mortgage Investment Conduit

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.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2017 and unless otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

5 Yr UIRS — 5 Year USD Interest Rate Swap

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	6	Short	Long Gilt Futures	December 2017	$	1,020,396	$	995,995	$	24,401
	9	Long	U.S. Treasury 2 Year Notes	December 2017		1,946,109		1,941,328		(4,781	)
	30	Long	U.S. Treasury 5 Year Notes	December 2017		3,546,324		3,525,000		(21,324	)
	1	Long	U.S. Treasury Long Bonds	December 2017		155,289		152,812		(2,477	)
	50	Short	U.S. Treasury 10 Year Notes	December 2017		6,330,078		6,265,625		64,453
	9	Long	U.S. Treasury Ultra Bonds	December 2017		1,509,414		1,486,125		(23,289	)
	8	Long	U.S. Treasury 10 Year Ultra Bonds	December 2017		1,093,578		1,074,625		(18,953	)
									$	18,030

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract

103

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	JPY	50,062,000	USD	443,928	10/10/2017	$	—	$	(1,117	)
Deutsche Bank AG	JPY	94,800,000	USD	871,717	10/10/2017		28,957		—
Goldman Sachs International	EGP	222,000	USD	11,426	03/06/2018		—		(640	)
	EGP	330,000	USD	16,888	03/29/2018		—		(936	)
	USD	11,945	EGP	222,000	03/06/2018		121		—
	USD	17,954	EGP	330,000	03/29/2018		—		(130	)
							121		(1,706	)
HSBC Bank USA	CAD	523,000	USD	421,432	10/31/2017		2,192		—
Royal Bank of Canada	CAD	1,126,000	USD	911,738	10/31/2017		9,130		—
Net Unrealized Appreciation (Depreciation)						$	40,400	$	(2,823	)

CAD — Canadian Dollar

EGP — Egyptian Pound

JPY — Japanese Yen

USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged			Value
Notional Amount (000's)		Maturity Date	Payments Received by the Portfolio/Frequency	Payments Made by the Portfolio/Frequency		Upfront Payments Made (Received) by the Portfolio		Unrealized Appreciation (Depreciation)
USD	355	09/29/2026	1 Year USD Federal Funds — H.15-OIS-Compound/Annually		1.00%/Annually	$	9,684	$	18,016

OIS — Overnight Index Swap

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	—	$	—	$	3,045	$	3,045
Other Industries		8,395,896		—		—		8,395,896
Preferred Securities/Capital Securities:
Diversified Banking Institutions		—		767,540		—		767,540
Finance-Investment Banker/Broker		—		—		1		1
Asset Backed Securities:
Diversified Financial Services		—		14,020,050		514,466		14,534,516
U.S. Corporate Bonds & Notes:
Finance-Investment Banker/Broker		—		10,811		2		10,813
Other Industries		—		9,250,972		—		9,250,972
Foreign Corporate Bonds & Notes		—		1,834,780		—		1,834,780
Municipal Bond & Notes		—		639,814		—		639,814
U.S. Government Agencies		—		15,282,872		—		15,282,872
U.S. Government Treasuries		—		9,148,569		—		9,148,569
Foreign Government Obligations		—		1,789,435		—		1,789,435
Short-Term Investment Securities		—		1,617,083		—		1,617,083
Total Investments at Value	$	8,395,896	$	54,361,926	$	517,514	$	63,275,336

104

Seasons Series Trust Multi-Managed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:†
Futures Contracts	$	88,854	$	—	$	—	$	88,854
Forward Foreign Currency Contracts		—		40,400		—		40,400
Centrally Cleared Interest Rate Swap Contracts		—		18,016		—		18,016
Total Other Financial Instruments	$	88,854	$	58,416	$	—	$	147,270
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	70,824	$	—	$	—	$	70,824
Forward Foreign Currency Contracts		—		2,823		—		2,823
Total Other Financial Instruments	$	70,824	$	2,823	$	—	$	73,647

*  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

105

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Banking Institutions	5.5	%
Repurchase Agreements	5.0
Medical-Drugs	4.1
Commercial Paper	3.4
Computers	2.9
Applications Software	2.8
United States Treasury Notes	2.5
Federal National Mtg. Assoc.	2.4
Real Estate Investment Trusts	2.2
Web Portals/ISP	2.2
Medical-Biomedical/Gene	2.2
U.S. Government Agencies	2.2
Exchange-Traded Funds	2.0
Electric-Integrated	1.9
Diversified Financial Services	1.7
Telephone-Integrated	1.6
Banks-Commercial	1.5
Medical-HMO	1.5
Oil Companies-Integrated	1.4
Retail-Restaurants	1.4
Insurance-Multi-line	1.4
Insurance-Life/Health	1.4
Electronic Components-Semiconductors	1.3
Retail-Building Products	1.3
Transport-Rail	1.3
Pipelines	1.2
Aerospace/Defense	1.2
Oil Companies-Exploration & Production	1.2
Semiconductor Equipment	1.0
Food-Misc./Diversified	1.0
Beverages-Non-alcoholic	1.0
Multimedia	0.9
Medical-Wholesale Drug Distribution	0.9
Computer Services	0.8
Chemicals-Diversified	0.8
Auto/Truck Parts & Equipment-Original	0.8
Building-Residential/Commercial	0.8
Consumer Products-Misc.	0.7
Retail-Major Department Stores	0.7
Airlines	0.7
Commercial Services-Finance	0.7
E-Commerce/Products	0.7
Gas-Distribution	0.6
Food-Meat Products	0.6
Internet Content-Entertainment	0.6
Oil Refining & Marketing	0.6
Retail-Apparel/Shoe	0.6
Aerospace/Defense-Equipment	0.6
Retail-Drug Store	0.6
United States Treasury Bonds	0.5
Finance-Investment Banker/Broker	0.5
Retail-Discount	0.5
Apparel Manufacturers	0.5
Insurance-Reinsurance	0.5
Cable/Satellite TV	0.5
Broadcast Services/Program	0.5
Auto-Cars/Light Trucks	0.5
Diversified Manufacturing Operations	0.4
Engines-Internal Combustion	0.4
Real Estate Operations & Development	0.4

Building & Construction-Misc.	0.4	%
Food-Retail	0.4
Cosmetics & Toiletries	0.4
Steel-Producers	0.4
Containers-Metal/Glass	0.4
Coatings/Paint	0.4
Import/Export	0.4
Banks-Super Regional	0.4
Medical Products	0.4
Distribution/Wholesale	0.4
Telecommunication Equipment	0.4
Cellular Telecom	0.4
Building & Construction Products-Misc.	0.4
Semiconductor Components-Integrated Circuits	0.3
Food-Wholesale/Distribution	0.3
Human Resources	0.3
Internet Application Software	0.3
Investment Management/Advisor Services	0.3
Commercial Services	0.3
Building-Heavy Construction	0.3
Electronic Measurement Instruments	0.3
Non-Hazardous Waste Disposal	0.3
Containers-Paper/Plastic	0.3
Disposable Medical Products	0.3
Oil-Field Services	0.3
Transport-Services	0.3
Finance-Auto Loans	0.3
Diagnostic Equipment	0.2
Electric-Distribution	0.2
Finance-Credit Card	0.2
Toys	0.2
Food-Confectionery	0.2
Private Equity	0.2
Software Tools	0.2
Retail-Perfume & Cosmetics	0.2
Building Products-Wood	0.2
Transactional Software	0.2
Diversified Operations	0.2
Casino Hotels	0.2
Gambling (Non-Hotel)	0.2
Chemicals-Specialty	0.2
Brewery	0.2
Tobacco	0.2
Insurance-Property/Casualty	0.2
Machinery-Electrical	0.2
Shipbuilding	0.2
Computer Data Security	0.2
Garden Products	0.2
Engineering/R&D Services	0.2
Agricultural Operations	0.2
Radio	0.2
Metal Processors & Fabrication	0.2
Paper & Related Products	0.2
Metal-Diversified	0.2
Real Estate Management/Services	0.2
Data Processing/Management	0.1
Machinery-Construction & Mining	0.1
Finance-Leasing Companies	0.1
Gold Mining	0.1
Electronic Forms	0.1

106

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
Internet Infrastructure Software	0.1	%
Television	0.1
Consulting Services	0.1
Electronic Components-Misc.	0.1
Office Supplies & Forms	0.1
Printing-Commercial	0.1
Hotels/Motels	0.1
Food-Catering	0.1
Medical-Hospitals	0.1
Cruise Lines	0.1
Computer Aided Design	0.1
Appliances	0.1
Computers-Integrated Systems	0.1
Independent Power Producers	0.1
Casino Services	0.1
Enterprise Software/Service	0.1
Oil & Gas Drilling	0.1
Telecom Services	0.1
Machine Tools & Related Products	0.1
Auction Houses/Art Dealers	0.1
Municipal Bonds & Notes	0.1
Banks-Special Purpose	0.1
Retail-Misc./Diversified	0.1
Federal Home Loan Mtg. Corp.	0.1
Financial Guarantee Insurance	0.1
Retail-Arts & Crafts	0.1
Insurance-Mutual	0.1
Building Products-Doors & Windows	0.1
Non-Ferrous Metals	0.1
Finance-Other Services	0.1
Energy-Alternate Sources	0.1
Retail-Catalog Shopping	0.1
Chemicals-Plastics	0.1
Batteries/Battery Systems	0.1
Transport-Truck	0.1
Publishing-Newspapers	0.1
Tools-Hand Held	0.1
Electric Products-Misc.	0.1
Food-Flour & Grain	0.1
Cable TV	0.1
Rental Auto/Equipment	0.1
Building Products-Air & Heating	0.1
	101.3	%

*  Calculated as a percentage of net assets

#  See Note 1

107

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 73.4%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc.		1,500	$	31,185
Aerospace/Defense — 1.1%
Northrop Grumman Corp.		2,300		661,756
Raytheon Co.		3,500		653,030
Spirit AeroSystems Holdings, Inc., Class A		2,600		202,072
				1,516,858
Aerospace/Defense-Equipment — 0.5%
L3 Technologies, Inc.		3,700		697,191
Agricultural Operations — 0.2%
Bunge, Ltd.		2,900		201,434
Airlines — 0.7%
ANA Holdings, Inc.		2,800		105,978
Delta Air Lines, Inc.		11,700		564,174
Deutsche Lufthansa AG		701		19,478
easyJet PLC		1,169		19,064
International Consolidated Airlines Group SA		4,010		31,944
Japan Airlines Co., Ltd.		600		20,305
Qantas Airways, Ltd.		25,649		117,294
				878,237
Airport Development/Maintenance — 0.0%
Beijing Capital International Airport Co., Ltd.		24,000		35,762
Apparel Manufacturers — 0.5%
Carter's, Inc.		700		69,125
Ralph Lauren Corp.		6,700		591,543
				660,668
Appliances — 0.1%
Electrolux AB, Series B		4,746		161,174
Applications Software — 2.8%
Citrix Systems, Inc.†		3,900		299,598
Intuit, Inc.		3,500		497,490
Microsoft Corp.		40,172		2,992,412
				3,789,500
Athletic Footwear — 0.0%
Yue Yuen Industrial Holdings, Ltd.		8,500		32,317
Auction Houses/Art Dealers — 0.1%
KAR Auction Services, Inc.		2,100		100,254
Auto-Cars/Light Trucks — 0.4%
Fiat Chrysler Automobiles NV†		9,004		161,330
Ford Motor Co.		2,800		33,516
Mazda Motor Corp.		1,400		21,462
Peugeot SA		7,149		170,256
Renault SA		791		77,698
Suzuki Motor Corp.		200		10,490
				474,752
Auto/Truck Parts & Equipment-Original — 0.7%
Allison Transmission Holdings, Inc.		9,600		360,288
JTEKT Corp.		2,500		34,615
Lear Corp.		1,400		242,312
Minth Group, Ltd.		8,000		41,886

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original (continued)
Valeo SA		1,327	$	98,463
Visteon Corp.†		1,100		136,147
				913,711
Banks-Commercial — 1.4%
Banco Macro SA ADR		803		94,232
Bank of China, Ltd.		201,000		99,064
China Construction Bank Corp.		218,000		180,839
DNB ASA		5,049		101,747
Dubai Islamic Bank PJSC		37,029		60,999
East West Bancorp, Inc.		1,600		95,648
First Hawaiian, Inc.		3,900		118,131
Grupo Supervielle SA ADR		3,550		87,649
HDFC Bank, Ltd. ADR		588		56,666
Industrial & Commercial Bank of China, Ltd.		205,000		152,210
Itau Unibanco Holding SA ADR		8,417		115,313
Japan Post Bank Co., Ltd.		800		9,882
Popular, Inc.		2,800		100,632
Resona Holdings, Inc.		34,200		175,673
Sberbank of Russia PJSC ADR		9,085		129,325
Sumitomo Mitsui Financial Group, Inc.		5,700		218,831
Sumitomo Mitsui Trust Holdings, Inc.		1,400		50,526
TCF Financial Corp.		3,700		63,048
				1,910,415
Banks-Special Purpose — 0.1%
Industrial Bank of Korea		7,715		96,997
Banks-Super Regional — 0.3%
Moneta Money Bank AS*		16,311		57,430
SunTrust Banks, Inc.		5,100		304,827
				362,257
Batteries/Battery Systems — 0.1%
Energizer Holdings, Inc.		1,600		73,680
Beverages-Non-alcoholic — 1.0%
Coca-Cola Amatil, Ltd.		21,077		127,798
Dr Pepper Snapple Group, Inc.		1,300		115,011
Grape King Bio, Ltd.		1,000		6,035
PepsiCo, Inc.		9,600		1,069,728
				1,318,572
Brewery — 0.1%
Heineken Holding NV		1,844		173,264
Broadcast Services/Program — 0.4%
Discovery Communications, Inc., Class A†		21,800		464,122
Building & Construction Products-Misc. — 0.2%
Owens Corning		2,700		208,845
Building & Construction-Misc. — 0.4%
China Communications Construction Co., Ltd., Class H		30,000		37,444
China State Construction International Holdings, Ltd.		42,000		61,186
CIMIC Group, Ltd.		4,472		155,081
HOCHTIEF AG		964		162,643

108

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building & Construction-Misc. (continued)
Kajima Corp.		5,000	$	49,678
Taisei Corp.		1,600		83,892
				549,924
Building Products-Doors & Windows — 0.1%
Nien Made Enterprise Co., Ltd.		6,000		61,535
Building Products-Wood — 0.2%
Masco Corp.		5,700		222,357
Building-Heavy Construction — 0.3%
ACS Actividades de Construccion y Servicios SA		4,008		148,530
Bouygues SA		3,909		185,495
Mota-Engil SGPS SA		10,562		39,597
Waskita Beton Precast Tbk PT		1,126,400		30,107
				403,729
Building-Maintenance & Services — 0.0%
ISS A/S		1,289		51,836
Building-Residential/Commercial — 0.6%
Barratt Developments PLC		13,552		111,591
Berkeley Group Holdings PLC		217		10,808
MRV Engenharia e Participacoes SA		15,449		67,120
NVR, Inc.†		60		171,300
Persimmon PLC		5,322		184,135
Taylor Wimpey PLC		72,955		191,120
				736,074
Cable TV — 0.1%
Megacable Holdings SA de CV		14,710		61,271
Cable/Satellite TV — 0.2%
Cable One, Inc.		100		72,212
I-CABLE Communications, Ltd.†		12,963		431
Sky PLC		14,084		172,684
				245,327
Casino Hotels — 0.0%
Genting Bhd		18,900		42,746
Casino Services — 0.1%
Aristocrat Leisure, Ltd.		4,984		82,098
Cellular Telecom — 0.2%
PLAY Communications SA†*		5,026		51,073
Telstra Corp., Ltd.		53,213		145,674
Turkcell Iletisim Hizmetleri AS		12,373		44,068
				240,815
Chemicals-Diversified — 0.7%
Asahi Kasei Corp.		7,000		86,159
BASF SE		2,748		292,437
Celanese Corp., Series A		400		41,708
Covestro AG*		727		62,510
Evonik Industries AG		4,904		175,156
Grand Pacific Petrochemical		63,000		47,265
Hitachi Chemical Co., Ltd.		1,700		46,607
Kuraray Co., Ltd.		3,300		61,704
Mitsubishi Chemical Holdings Corp.		9,900		94,315
Mitsubishi Gas Chemical Co., Inc.		1,700		39,839
				947,700

Security Description	Shares		Value (Note 2)
Chemicals-Plastics — 0.1%
Formosa Plastics Corp.		21,000	$	63,573
Chemicals-Specialty — 0.1%
Cabot Corp.		900		50,220
Shin-Etsu Chemical Co., Ltd.		500		44,701
				94,921
Coatings/Paint — 0.4%
Sherwin-Williams Co.		1,300		465,452
Commercial Services — 0.3%
CoreLogic, Inc.†		900		41,598
Quanta Services, Inc.†		5,800		216,746
ServiceMaster Global Holdings, Inc.†		1,600		74,768
Sporton International, Inc.		9,000		45,113
				378,225
Commercial Services-Finance — 0.6%
Euronet Worldwide, Inc.†		400		37,916
Square, Inc., Class A†		18,300		527,223
TransUnion†		3,100		146,506
Vantiv, Inc., Class A†		1,200		84,564
				796,209
Computer Aided Design — 0.1%
Synopsys, Inc.†		2,100		169,113
Computer Data Security — 0.2%
Fortinet, Inc.†		5,900		211,456
Computer Services — 0.8%
Amdocs, Ltd.		3,900		250,848
Atos SE		1,405		217,950
Dell Technologies, Inc., Class V†		2,600		200,746
DST Systems, Inc.		800		43,904
DXC Technology Co.		4,500		386,460
				1,099,908
Computers — 2.8%
Apple, Inc.		20,022		3,085,791
HP, Inc.		31,600		630,736
				3,716,527
Computers-Integrated Systems — 0.1%
Fujitsu, Ltd.		1,000		7,429
NCR Corp.†		2,700		101,304
Otsuka Corp.		700		44,852
				153,585
Consulting Services — 0.1%
Booz Allen Hamilton Holding Corp.		3,000		112,170
Qualicorp SA		6,050		72,398
				184,568
Consumer Products-Misc. — 0.7%
Clorox Co.		2,600		342,966
Kimberly-Clark Corp.		4,900		576,632
Spectrum Brands Holdings, Inc.		700		74,144
				993,742
Containers-Metal/Glass — 0.3%
Crown Holdings, Inc.†		7,400		441,928
Containers-Paper/Plastic — 0.2%
Packaging Corp. of America		2,300		263,764

109

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Cosmetics & Toiletries — 0.4%
Beiersdorf AG		188	$	20,226
Kao Corp.		3,400		200,027
Procter & Gamble Co.		2,200		200,156
Unilever NV CVA		900		53,228
				473,637
Cruise Lines — 0.1%
Carnival PLC		2,736		173,890
Data Processing/Management — 0.1%
Dun & Bradstreet Corp.		1,400		162,974
Diagnostic Equipment — 0.2%
Danaher Corp.		3,700		317,386
Disposable Medical Products — 0.3%
C.R. Bard, Inc.		1,100		352,550
Distribution/Wholesale — 0.3%
HD Supply Holdings, Inc.†		3,700		133,459
Pool Corp.		300		32,451
Watsco, Inc.		1,100		177,177
WESCO International, Inc.†		800		46,600
				389,687
Diversified Banking Institutions — 5.0%
Banco Santander SA		16,077		112,241
BNP Paribas SA		2,282		184,077
Citigroup, Inc.		26,200		1,905,788
Credit Agricole SA		5,844		106,230
Goldman Sachs Group, Inc.		5,400		1,280,826
HSBC Holdings PLC		4,522		44,665
JPMorgan Chase & Co.		22,889		2,186,128
Mitsubishi UFJ Financial Group, Inc.		38,600		250,656
Mizuho Financial Group, Inc.		119,200		208,792
Morgan Stanley		4,400		211,948
Societe Generale SA		3,146		184,184
				6,675,535
Diversified Financial Services — 0.1%
CTBC Financial Holding Co., Ltd.		123,000		77,067
DGB Financial Group, Inc.		4,483		41,098
Unifin Financiera SAPI de CV SOFOM ENR		17,917		60,068
				178,233
Diversified Manufacturing Operations — 0.4%
Carlisle Cos., Inc.		1,200		120,348
Crane Co.		500		39,995
Parker-Hannifin Corp.		2,200		385,044
				545,387
Diversified Minerals — 0.0%
Anglo American PLC		3,142		56,397
Diversified Operations — 0.2%
Industrivarden AB, Class A		6,677		178,219
Itausa - Investimentos Itau SA (Preference Shares)		12,713		44,275
Wharf Holdings, Ltd.		5,000		44,549
				267,043

Security Description	Shares		Value (Note 2)
E-Commerce/Products — 0.6%
Alibaba Group Holding, Ltd. ADR†		2,456	$	424,176
Delivery Hero AG†*		922		36,505
eBay, Inc.†		9,193		353,563
				814,244
E-Commerce/Services — 0.0%
Liberty Ventures, Series A†		800		46,040
Electric-Distribution — 0.2%
CenterPoint Energy, Inc.		6,200		181,102
Innogy SE*		836		37,206
PPL Corp.		2,400		91,080
				309,388
Electric-Generation — 0.0%
Engie SA		1,027		17,443
Inter Rao UES PJSC†		450,616		29,236
Vistra Energy Corp. CVR†		1,362		1,430
				48,109
Electric-Integrated — 1.6%
American Electric Power Co., Inc.		5,300		372,272
Edison International		500		38,585
Endesa SA		3,475		78,343
Enel SpA		42,673		256,968
Entergy Corp.		8,100		618,516
Exelon Corp.		8,300		312,661
FirstEnergy Corp.		10,300		317,549
Iberdrola SA		3,696		28,708
Pampa Energia SA ADR†		505		32,876
RusHydro PJSC ADR		41,515		59,574
Tohoku Electric Power Co., Inc.		3,500		44,510
				2,160,562
Electronic Components-Misc. — 0.1%
Casetek Holdings, Ltd.		14,000		45,522
Elite Material Co., Ltd.		14,000		66,482
Hoya Corp.		1,300		70,184
				182,188
Electronic Components-Semiconductors — 1.3%
MediaTek, Inc.		8,000		75,056
Samsung Electronics Co., Ltd.		236		528,314
Samsung Electronics Co., Ltd. (Preference Shares)		31		55,810
SK Hynix, Inc.		948		68,616
Texas Instruments, Inc.		11,100		995,004
				1,722,800
Electronic Forms — 0.1%
Adobe Systems, Inc.†		1,300		193,934
Electronic Measurement Instruments — 0.3%
Agilent Technologies, Inc.		5,100		327,420
FLIR Systems, Inc.		2,200		85,602
				413,022
Energy-Alternate Sources — 0.1%
Vestas Wind Systems A/S		847		76,006

110

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Engineering/R&D Services — 0.2%
CTCI Corp.		32,000	$	51,392
Jacobs Engineering Group, Inc.		2,700		157,329
				208,721
Engines-Internal Combustion — 0.4%
Cummins, Inc.		3,200		537,696
Enterprise Software/Service — 0.0%
Chinasoft International, Ltd.		72,000		39,910
Finance-Auto Loans — 0.2%
Ally Financial, Inc.		8,700		211,062
Finance-Credit Card — 0.2%
Discover Financial Services		4,800		309,504
Finance-Investment Banker/Broker — 0.5%
Daiwa Securities Group, Inc.		4,000		22,655
E*TRADE Financial Corp.†		10,500		457,905
Nomura Holdings, Inc.		20,600		115,334
Raymond James Financial, Inc.		600		50,598
				646,492
Finance-Leasing Companies — 0.1%
ORIX Corp.		11,500		185,441
Financial Guarantee Insurance — 0.1%
Assured Guaranty, Ltd.		2,300		86,825
Food-Catering — 0.1%
Aramark		4,400		178,684
Food-Confectionery — 0.2%
Hershey Co.		2,900		316,593
Food-Flour & Grain — 0.1%
Gruma SAB de CV, Class B		4,214		61,886
Food-Meat Products — 0.6%
NH Foods, Ltd.		1,000		27,505
Tyson Foods, Inc., Class A		8,500		598,825
WH Group, Ltd.*		166,000		176,379
				802,709
Food-Misc./Diversified — 0.9%
Associated British Foods PLC		1,592		68,116
Campbell Soup Co.		4,600		215,372
Conagra Brands, Inc.		7,000		236,180
Ingredion, Inc.		1,400		168,896
Lamb Weston Holdings, Inc.		2,500		117,225
Nestle SA		1,607		134,587
Pinnacle Foods, Inc.		2,400		137,208
Tate & Lyle PLC		18,889		164,143
				1,241,727
Food-Retail — 0.4%
BIM Birlesik Magazalar AS		1,959		40,825
Dino Polska SA†*		2,969		53,985
Distribuidora Internacional de Alimentacion SA		4,401		25,670
J Sainsbury PLC		52,980		168,893
WM Morrison Supermarkets PLC		53,542		167,958
X5 Retail Group NV GDR†		1,679		75,370
				532,701

Security Description	Shares		Value (Note 2)
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		8,200	$	442,390
Funeral Services & Related Items — 0.0%
Fu Shou Yuan International Group, Ltd.		88,000		57,904
Gambling (Non-Hotel) — 0.1%
Bloomberry Resorts Corp.†		174,700		36,797
International Game Technology PLC		1,300		31,915
Tabcorp Holdings, Ltd.		27,946		93,602
				162,314
Garden Products — 0.2%
Scotts Miracle-Gro Co., Class A		1,400		136,276
Toro Co.		1,200		74,472
				210,748
Gas-Distribution — 0.6%
Centrica PLC		63,428		158,938
Gas Natural SDG SA		571		12,640
NiSource, Inc.		7,800		199,602
UGI Corp.		8,050		377,223
Vectren Corp.		900		59,193
				807,596
Gold Mining — 0.1%
Newmont Mining Corp.		4,900		183,799
Hazardous Waste Disposal — 0.0%
Tervita Corp.†(1)(6)		10		76
Hotels/Motels — 0.0%
Hyatt Hotels Corp., Class A†		800		49,432
Human Resources — 0.3%
Adecco Group AG		2,329		181,346
ManpowerGroup, Inc.		1,500		176,730
Randstad Holding NV		786		48,623
				406,699
Import/Export — 0.4%
ITOCHU Corp.		12,400		203,095
Marubeni Corp.		26,100		178,252
Toyota Tsusho Corp.		3,400		111,646
				492,993
Insurance-Life/Health — 1.2%
Aflac, Inc.		5,100		415,089
AIA Group, Ltd.		6,600		48,666
ING Life Insurance Korea, Ltd.*		1,381		57,213
Lincoln National Corp.		3,100		227,788
NN Group NV		4,167		174,393
Prudential Financial, Inc.		4,900		520,968
Unum Group		3,300		168,729
				1,612,846
Insurance-Multi-line — 1.2%
Allianz SE		1,359		305,098
Allstate Corp.		4,900		450,359
American Financial Group, Inc.		500		51,725
AXA SA		7,181		217,188
Hartford Financial Services Group, Inc.		6,200		343,666
Mapfre SA		12,907		42,012

111

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Multi-line (continued)
Ping An Insurance Group Co. of China, Ltd.		17,000	$	130,466
Voya Financial, Inc.		2,900		115,681
				1,656,195
Insurance-Property/Casualty — 0.2%
Dongbu Insurance Co., Ltd.		724		46,145
Hyundai Marine & Fire Insurance Co., Ltd.		1,025		40,540
Travelers Cos., Inc.		1,300		159,276
				245,961
Insurance-Reinsurance — 0.5%
Aspen Insurance Holdings, Ltd.		600		24,240
IRB Brasil Resseguros S/A†		6,960		66,476
Muenchener Rueckversicherungs- Gesellschaft AG		880		188,149
Reinsurance Group of America, Inc.		700		97,671
Swiss Re AG		2,118		191,820
Validus Holdings, Ltd.		1,200		59,052
				627,408
Internet Application Software — 0.3%
Tencent Holdings, Ltd.		10,200		438,993
Internet Content-Entertainment — 0.6%
Facebook, Inc., Class A†		4,000		683,480
NCSoft Corp.		162		65,700
YY, Inc., ADR†		608		52,762
				801,942
Internet Content-Information/News — 0.0%
Mixi, Inc.		200		9,651
Internet Infrastructure Software — 0.1%
F5 Networks, Inc.†		1,600		192,896
Investment Management/Advisor Services — 0.3%
Ameriprise Financial, Inc.		2,900		430,679
Machine Tools & Related Products — 0.1%
Sandvik AB		6,150		106,088
Machinery-Construction & Mining — 0.1%
Oshkosh Corp.		1,900		156,826
Machinery-Electrical — 0.2%
BWX Technologies, Inc.		2,000		112,040
Hitachi, Ltd.		19,000		133,882
				245,922
Medical Imaging Systems — 0.0%
Vieworks Co., Ltd.		875		29,909
Medical Instruments — 0.0%
Bruker Corp.		1,500		44,625
Medical Labs & Testing Services — 0.0%
Fleury SA		4,017		37,378
Medical Products — 0.3%
Baxter International, Inc.		6,100		382,775
Medical-Biomedical/Gene — 2.2%
Celgene Corp.†		8,700		1,268,634

Security Description	Shares		Value (Note 2)
Medical-Biomedical/Gene (continued)
Charles River Laboratories International, Inc.†		1,100	$	118,822
Gilead Sciences, Inc.		19,100		1,547,482
				2,934,938
Medical-Drugs — 4.0%
AstraZeneca PLC		415		27,555
Bayer AG		1,934		263,552
China Traditional Chinese Medicine Holdings Co., Ltd.		116,000		64,596
Eli Lilly & Co.		7,700		658,658
GlaxoSmithKline PLC		13,200		263,286
Johnson & Johnson		15,500		2,015,155
Merck & Co., Inc.		12,000		768,360
Mitsubishi Tanabe Pharma Corp.		4,000		91,713
Novartis AG		3,337		285,679
Richter Gedeon Nyrt		2,726		67,704
Roche Holding AG		1,400		357,392
Sanofi		3,106		308,399
Shanghai Fosun Pharmaceutical Group Co., Ltd.		8,000		33,181
Shionogi & Co., Ltd.		2,700		147,591
				5,352,821
Medical-Generic Drugs — 0.0%
Taro Pharmaceutical Industries, Ltd.†		154		17,354
Medical-HMO — 1.4%
UnitedHealth Group, Inc.		8,400		1,645,140
WellCare Health Plans, Inc.†		1,300		223,262
				1,868,402
Medical-Wholesale Drug Distribution — 0.9%
Alfresa Holdings Corp.		700		12,809
AmerisourceBergen Corp.		4,900		405,475
McKesson Corp.		4,300		660,523
Medipal Holdings Corp.		3,200		55,568
Premier, Inc., Class A†		1,400		45,598
				1,179,973
Metal Processors & Fabrication — 0.1%
Timken Co.		2,100		101,955
Metal-Aluminum — 0.0%
United Co. RUSAL PLC		57,000		43,051
Metal-Diversified — 0.1%
Rio Tinto PLC		1,443		67,155
Metal-Iron — 0.0%
Fortescue Metals Group, Ltd.		12,283		49,523
Motion Pictures & Services — 0.0%
Dolby Laboratories, Inc., Class A		900		51,768
Multimedia — 0.8%
Lagardere SCA		812		27,183
Naspers, Ltd., Class N		1,020		219,991
Walt Disney Co.		8,800		867,416
				1,114,590
Non-Ferrous Metals — 0.1%
Korea Zinc Co., Ltd.		140		60,567
Mitsubishi Materials Corp.		500		17,285
				77,852

112

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Non-Hazardous Waste Disposal — 0.3%
China Water Affairs Group, Ltd.		124,000	$	87,941
Waste Management, Inc.		3,400		266,118
				354,059
Office Automation & Equipment — 0.0%
Xerox Corp.		1,475		49,103
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		1,900		186,846
Oil & Gas Drilling — 0.1%
Nabors Industries, Ltd.		3,500		28,245
Rowan Cos. PLC, Class A†		2,800		35,980
				64,225
Oil Companies-Exploration & Production — 0.7%
Cimarex Energy Co.		3,300		375,111
Halcon Resources Corp.†		729		4,957
MWO Holdings LLC†(1)(6)		10		810
Parsley Energy, Inc., Class A†		18,700		492,558
QEP Resources, Inc.†		2,600		22,282
SandRidge Energy, Inc.†		323		6,489
				902,207
Oil Companies-Integrated — 1.3%
Eni SpA		1,063		17,589
Exxon Mobil Corp.		11,293		925,800
Lukoil PJSC ADR		1,294		68,491
Petroleo Brasileiro SA ADR†		2,947		29,588
Petroleo Brasileiro SA ADR (Preference Shares)†		1,778		17,176
PTT PCL		5,600		68,510
Repsol SA		11,378		209,649
Royal Dutch Shell PLC, Class B		3,550		109,149
TOTAL SA		5,880		315,823
				1,761,775
Oil Refining & Marketing — 0.6%
Caltex Australia, Ltd.		1,469		36,988
Valero Energy Corp.		9,900		761,607
				798,595
Oil-Field Services — 0.2%
Baker Hughes a GE Co., LLC		7,000		256,340
Superior Energy Services, Inc.†		2,200		23,496
				279,836
Paper & Related Products — 0.1%
UPM-Kymmene Oyj		3,248		88,024
Pipelines — 0.8%
ONEOK, Inc.		8,500		470,985
Williams Cos., Inc.		17,900		537,179
				1,008,164
Printing-Commercial — 0.1%
Dai Nippon Printing Co., Ltd.		3,000		71,797
LSC Communications, Inc.		1,300		21,463
Novus Holdings, Ltd.		361		174
RR Donnelley & Sons Co.		2,066		21,280
Toppan Printing Co., Ltd.		7,000		69,425
				184,139

Security Description	Shares		Value (Note 2)
Private Equity — 0.2%
3i Group PLC		21,554	$	263,696
Publishing-Books — 0.0%
John Wiley & Sons, Inc., Class A		700		37,450
Publishing-Newspapers — 0.1%
GEDI Gruppo Editoriale SpA†		277		246
News Corp., Class A		5,100		67,626
				67,872
Radio — 0.1%
Liberty Media Corp. - Liberty SiriusXM, Series A†		2,800		117,320
Real Estate Investment Trusts — 2.0%
AGNC Investment Corp.		6,700		145,256
Annaly Capital Management, Inc.		14,500		176,755
Apartment Investment & Management Co., Class A		2,100		92,106
Apple Hospitality REIT, Inc.		3,300		62,403
Brandywine Realty Trust		3,000		52,470
Brixmor Property Group, Inc.		5,400		101,520
Camden Property Trust		1,600		146,320
Chimera Investment Corp.		3,400		64,328
Colony NorthStar, Inc., Class A		7,900		99,224
Duke Realty Corp.		4,700		135,454
Equity Commonwealth†		1,200		36,480
Equity LifeStyle Properties, Inc.		700		59,556
Equity Residential		4,300		283,499
Forest City Realty Trust, Inc., Class A		4,000		102,040
Gaming and Leisure Properties, Inc.		1,400		51,646
HCP, Inc.		7,200		200,376
Highwoods Properties, Inc.		1,800		93,762
Liberty Property Trust		1,800		73,908
MFA Financial, Inc.		4,500		39,420
Mid-America Apartment Communities, Inc.		400		42,752
Outfront Media, Inc.		1,900		47,842
Park Hotels & Resorts, Inc.		4,300		118,508
Quality Care Properties, Inc.†		2,300		35,650
Senior Housing Properties Trust		1,800		35,190
Spirit Realty Capital, Inc.		13,300		113,981
Starwood Property Trust, Inc.		4,100		89,052
Two Harbors Investment Corp.		5,400		54,432
VEREIT, Inc.		16,300		135,127
WP Carey, Inc.		600		40,434
				2,729,491
Real Estate Management/Services — 0.1%
Chailease Holding Co., Ltd.		26,000		62,676
Real Estate Operations & Development — 0.4%
CK Asset Holdings, Ltd.		21,000		173,799
Kerry Properties, Ltd.		16,500		68,331
New World Development Co., Ltd.		70,000		100,543
Nomura Real Estate Holdings, Inc.		1,600		34,098
Sun Hung Kai Properties, Ltd.		4,000		64,980
Wheelock & Co., Ltd.		15,000		105,516
				547,267

113

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 0.6%
Padini Holdings Bhd		32,300	$	34,805
PVH Corp.		2,800		352,968
Ross Stores, Inc.		6,000		387,420
				775,193
Retail-Arts & Crafts — 0.1%
Michaels Cos., Inc.†		3,900		83,733
Retail-Building Products — 1.3%
Home Depot, Inc.		2,700		441,612
Kingfisher PLC		34,745		138,976
Lowe's Cos., Inc.		13,700		1,095,178
				1,675,766
Retail-Catalog Shopping — 0.1%
MSC Industrial Direct Co., Inc., Class A		1,000		75,570
Retail-Discount — 0.5%
Harvey Norman Holdings, Ltd.		22,429		68,262
Wal-Mart Stores, Inc.		7,600		593,864
				662,126
Retail-Drug Store — 0.5%
Walgreens Boots Alliance, Inc.		8,000		617,760
Retail-Hypermarkets — 0.0%
Atacadao Distribuicao Comercio e Industria, Ltd.†		10,024		49,089
Retail-Major Department Stores — 0.7%
Marks & Spencer Group PLC		35,564		168,415
TJX Cos., Inc.		11,200		825,776
				994,191
Retail-Misc./Diversified — 0.1%
Poya International Co., Ltd.		4,040		48,228
Robinsons Retail Holdings, Inc.		23,830		46,441
				94,669
Retail-Perfume & Cosmetics — 0.2%
Beauty Community PCL†		67,500		32,384
Ulta Beauty, Inc.†		1,100		248,666
				281,050
Retail-Restaurants — 1.3%
Darden Restaurants, Inc.		3,100		244,218
Gourmet Master Co., Ltd.		1,000		10,635
McDonald's Corp.		7,800		1,222,104
Yum! Brands, Inc.		3,200		235,552
				1,712,509
Satellite Telecom — 0.0%
Eutelsat Communications SA		643		19,045
Schools — 0.0%
Ser Educacional SA*		5,392		53,117
Semiconductor Components-Integrated Circuits — 0.3%
Maxim Integrated Products, Inc.		5,400		257,634
Taiwan Semiconductor Manufacturing Co., Ltd.		27,039		193,047
				450,681

Security Description	Shares		Value (Note 2)
Semiconductor Equipment — 1.0%
Applied Materials, Inc.		23,300	$	1,213,697
Teradyne, Inc.		4,800		178,992
				1,392,689
Shipbuilding — 0.2%
Huntington Ingalls Industries, Inc.		900		203,796
Yangzijiang Shipbuilding Holdings, Ltd.		28,100		29,624
				233,420
Software Tools — 0.2%
VMware, Inc., Class A†		2,500		272,975
Steel-Producers — 0.3%
Reliance Steel & Aluminum Co.		1,200		91,404
Steel Dynamics, Inc.		8,200		282,654
voestalpine AG		795		40,540
				414,598
Telecom Services — 0.1%
PCCW, Ltd.		9,000		4,874
Telekomunikasi Indonesia Persero Tbk PT		222,300		77,241
				82,115
Telecommunication Equipment — 0.3%
Juniper Networks, Inc.		13,000		361,790
Telephone-Integrated — 1.4%
KDDI Corp.		2,500		65,919
Nippon Telegraph & Telephone Corp.		4,300		197,068
Verizon Communications, Inc.		33,282		1,647,126
				1,910,113
Television — 0.0%
RTL Group SA		637		48,214
Tobacco — 0.2%
Altria Group, Inc.		3,100		196,602
Swedish Match AB		1,548		54,299
				250,901
Tools-Hand Held — 0.1%
Basso Industry Corp.		24,000		66,878
Toys — 0.2%
Bandai Namco Holdings, Inc.		1,100		37,734
Hasbro, Inc.		2,900		283,243
				320,977
Transactional Software — 0.2%
Amadeus IT Group SA		3,608		234,494
Transport-Rail — 1.2%
Central Japan Railway Co.		1,000		175,339
Norfolk Southern Corp.		3,400		449,616
Union Pacific Corp.		8,300		962,551
				1,587,506
Transport-Services — 0.3%
Deutsche Post AG		5,565		247,733
Royal Mail PLC		18,621		95,866
				343,599

114

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
COMMON STOCKS (continued)
Transport-Truck — 0.1%
Landstar System, Inc.		700	$	69,755
Travel Services — 0.0%
TUI AG		1,410		23,920
Web Portals/ISP — 2.2%
Alphabet, Inc., Class A†		3,021		2,941,608
Yandex NV, Class A†		1,737		57,234
				2,998,842
X-Ray Equipment — 0.0%
Hologic, Inc.†		1,200		44,028
Total Common Stocks (cost $84,145,990)				98,096,026
CONVERTIBLE PREFERRED SECURITIES — 0.0%
Real Estate Investment Trusts — 0.0%
EPR Properties Series C 5.75% (cost $9,209)		505		13,994
PREFERRED SECURITIES — 0.0%
Diversified Banking Institutions — 0.0%
GMAC Capital Trust I FRS Series 2 7.10% (3 ML+5.79%) (cost $14,579)		580		15,312
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.6%
Banks-Super Regional — 0.1%
Fifth Third Bancorp 5.10% due 06/30/2023(2)	$	9,000		9,225
Wells Fargo & Co. Series U 5.88% due 06/15/2025(2)		85,000		94,605
				103,830
Diversified Banking Institutions — 0.3%
Bank of America Corp. Series AA 6.10% due 03/17/2025(2)		61,000		67,252
Bank of America Corp. Series Z 6.50% due 10/23/2024(2)		5,000		5,653
Citigroup, Inc. 5.90% due 02/15/2023(2)		24,000		25,860
Citigroup, Inc. Series T 6.25% due 08/15/2026(2)		168,000		189,000
JPMorgan Chase & Co. Series Z 5.30% due 05/01/2020(2)		63,000		65,678
Lloyds Banking Group PLC 6.66% due 05/21/2037*(2)		30,000		34,350
				387,793
Diversified Manufacturing Operations — 0.0%
General Electric Co. Series D 5.00% due 01/21/2021(2)		51,000		53,943

Security Description	Principal Amount(18)		Value (Note 2)
Electric-Integrated — 0.1%
Puget Sound Energy, Inc. Series A 6.97% due 06/01/2067	$	40,000	$	39,000
WEC Energy Group, Inc. FRS 3.43% (3 ML+2.11%) due 05/15/2067		50,000		47,999
				86,999
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. 5.20% due 03/15/2044		37,000		39,336
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. 8.13% due 06/15/2068		50,000		51,875
MetLife, Inc. 6.40% due 12/15/2066		45,000		51,862
				103,737
Insurance-Mutual — 0.0%
Liberty Mutual Group, Inc. FRS 4.23% (3 ML+2.91%) due 03/07/2067*		10,000		9,775
Pipelines — 0.0%
TransCanada Trust 5.30% due 03/15/2077		40,000		40,950
Total Preferred Securities/Capital Securities (cost $768,343)				826,363
ASSET BACKED SECURITIES — 1.6%
Diversified Financial Services — 1.6%
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 1.83% (12 MTA+0.94%) due 06/25/2046(3)		15,366		13,094
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(4)(5)(6)(17)		246,514		2
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.57% due 11/10/2041*(4)(5)(6)(17)		26,628		220
Capmark Mortgage Securities, Inc. VRS Series 1997-C1, Class X 1.61% due 07/15/2029(4)(5)(17)		43,260		881
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.98% due 09/10/2045*(4)(5)(6)(17)		254,003		15,652
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(4)		28,000		29,726
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(4)(17)		57,000		58,651
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 3.25% due 05/25/2035(3)(17)		37,715		38,854

115

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
COMM Mtg. Trust VRS Series 2014-CR20, Class XA 1.32% due 11/10/2047(4)(5)(17)	$	300,970	$	17,201
COMM Mtg. Trust VRS Series 2013-CR11, Class C 5.17% due 08/10/2050*(4)(6)(17)		54,000		57,121
COMM Mtg. Trust VRS Series 2013-CR11, Class XA 1.15% due 08/10/2050(4)(5)(17)		515,629		24,501
COMM Mtg. Trust VRS Series 2014-UBS4, Class XA 1.39% due 08/10/2047(4)(5)(17)		348,630		19,364
COMM Mtg. Trust VRS Series 2014-CR19, Class XA 1.39% due 08/10/2047(4)(5)(17)		977,372		51,907
COMM Mtg. Trust VRS Series 2013-LC13, Class XA 1.49% due 08/10/2046(4)(5)(17)		624,291		25,474
COMM Mtg. Trust VRS Series 2010-C1, Class D 6.32% due 07/10/2046*(4)(6)(17)		41,000		43,416
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.85% due 12/10/2046*(4)(5)(6)(17)		310,985		11
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.17% due 12/10/2047(4)(5)(17)		435,186		21,208
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.30% due 05/10/2047(4)(5)(17)		355,894		17,369
Commercial Mtg. Trust VRS Series 2014-CR18, Class XA 1.39% due 07/15/2047(4)(5)(17)		122,127		6,167
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.61% due 12/10/2047(4)(17)		59,000		57,787
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(4)(17)		12,000		13,071
Commercial Mtg. Trust Series LC6, Class AM 3.28% due 01/10/2046(4)		20,000		20,323
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.26% due 05/15/2038*(4)(5)(6)(17)		13,541		2
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.41% due 09/15/2039*(4)(5)(6)(17)		23,893		1
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.68% due 02/15/2040*(4)(5)(6)(17)		133,988		4
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.44% due 04/15/2050(4)(17)		36,000		36,651

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
CSMC Trust VRS Series 2016-NXSR, Class C 4.51% due 12/15/2049(4)(17)	$	37,000	$	37,545
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.35% due 08/10/2044*(4)(17)		100,000		103,333
GE Capital Commercial Mtg. Corp. VRS Series 2005-C3, Class XC 0.11% due 07/10/2045*(4)(5)(6)(17)		84,595		0
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 0.79% due 05/10/2043*(4)(5)(6)(17)		134,106		414
GS Mtg. Securities Corp. VRS Series 2015-GC30, Class XA 1.02% due 05/10/2050(4)(5)(17)		406,857		18,504
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.59% due 02/10/2046(4)(5)(17)		870,820		55,561
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(4)		22,000		22,330
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.80% due 06/10/2047(4)(17)		56,000		57,543
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.43% due 09/12/2037*(4)(5)(6)(17)		126,490		278
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(4)(17)		19,000		18,948
JP Morgan Chase Commercial Mtg. Securities Trust Series 2004-LN2, Class A2 5.12% due 07/15/2041(4)		152		152
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.31% due 05/15/2045(4)(17)		57,000		58,511
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 1.04% due 01/15/2047(4)(5)(17)		904,814		35,945
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C12, Class C 4.22% due 07/15/2045(4)(17)		82,000		79,340
JPMBB Commercial Mtg. Securities Trust VRS Series C14, Class C 4.72% due 08/15/2046(4)(17)		56,000		56,880
JPMBB Commercial Mtg. Securities Trust VRS Series C15, Class B 4.93% due 11/15/2045(4)(17)		38,000		40,390

116

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (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 2013-C15, Class C 5.25% due 11/15/2045(4)(17)	$	40,000	$	41,435
LB-UBS Commercial Mtg. Trust VRS Series 2005-C2, Class XCL 0.20% due 04/15/2040*(4)(5)(6)(17)		35,814		2
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.49% due 11/15/2040*(4)(5)(6)(17)		138,033		744
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.32% due 04/15/2041(4)(17)		69,000		68,489
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.97% due 02/25/2035(3)(17)		15,354		15,673
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.01% due 06/12/2043*(4)(5)(6)(17)		59,256		0
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 6.79% due 07/15/2045*(4)(5)(6)(17)		7,960		358
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 7.16% due 05/15/2044*(4)(5)(6)(17)		5,119		471
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.40% due 08/15/2047(4)(5)(17)		158,429		7,953
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C6, Class XA 1.93% due 11/15/2045*(4)(5)(17)		259,532		16,194
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.70% due 12/15/2048(4)(17)		19,000		19,265
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C11, Class C 4.52% due 08/15/2046(4)(17)		64,000		61,360
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C12, Class C 4.92% due 10/15/2046(4)(17)		55,000		57,314
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class E 5.33% due 07/15/2049*(4)(17)		58,000		57,990
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC 0.00% due 04/15/2042*(4)(5)(6)(17)		50,344		4
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 1.70% (1 ML+0.46%) due 10/25/2044(3)		42,384		41,576

Security Description	Principal Amount(18)		Value (Note 2)
Diversified Financial Services (continued)
Wells Fargo Commercial Mtg. Trust VRS Series 2012-LC5, Class D 4.78% due 10/15/2045*(4)(17)	$	34,000	$	32,840
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.53% due 12/15/2045(4)(17)		36,000		35,465
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.43% due 03/15/2045*(4)(5)(17)		292,723		13,438
WF-RBS Commercial Mtg. Trust VRS Series 2013-C12, Class XA 1.50% due 03/15/2048*(4)(5)(17)		163,331		7,758
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.75% due 12/15/2045*(4)(5)(17)		188,785		12,309
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.17% due 11/15/2045*(4)(5)(17)		132,572		9,708
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(4)		18,000		18,440
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(4)(17)		24,000		25,584
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(4)(17)		67,000		72,168
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class C15 4.63% due 08/15/2046(4)(17)		56,000		57,010
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class C 4.65% due 03/15/2047(4)(17)		56,000		56,756
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.96% due 11/15/2045*(4)(17)		44,000		42,484
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.98% due 06/15/2045*(4)(17)		55,000		46,359
WF-RBS Commercial Mtg. Trust VRS Series 2011-C4, Class E 5.41% due 06/15/2044*(4)(17)		55,000		53,164
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.81% due 03/15/2044*(4)(17)		34,000		31,542
WFRBS Commercial Mtg. Trust VRS Series 2014-C22, Class C 3.91% due 09/15/2057(4)(17)		30,000		29,095
Total Asset Backed Securities (cost $2,918,113)				2,087,280
CONVERTIBLE BONDS & NOTES — 0.0%
Semiconductor Equipment — 0.0%
Jazz US Holdings, Inc. Company Guar. Notes 8.00% due 12/31/2018 (cost $5,691)		6,000		18,619

117

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES — 6.4%
Advertising Agencies — 0.0%
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026	$	15,000	$	15,121
Advertising Sales — 0.0%
Lamar Media Corp. Company Guar. Notes 5.38% due 01/15/2024		5,000		5,263
Lamar Media Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,420
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024		7,000		7,297
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025		10,000		10,475
				37,455
Aerospace/Defense — 0.1%
Rockwell Collins, Inc. Senior Notes 4.35% due 04/15/2047		59,000		61,113
Aerospace/Defense-Equipment — 0.1%
L-3 Technologies, Inc. Company Guar. Notes 3.85% due 12/15/2026		5,000		5,188
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		15,000		15,637
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026		20,000		20,488
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024		3,000		3,097
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025		5,000		5,150
United Technologies Corp. Senior Notes 5.70% due 04/15/2040		5,000		6,208
				55,768
Agricultural Chemicals — 0.0%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		10,000		9,275
Airlines — 0.0%
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021		1,710		1,877
United Airline Pass-Through Trust Pass-Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024		7,679		8,370
				10,247

Security Description	Principal Amount(18)		Value (Note 2)
Apparel Manufacturers — 0.0%
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024*	$	10,000	$	10,413
Applications Software — 0.0%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		20,000		19,331
Auto-Cars/Light Trucks — 0.1%
Ford Motor Co. Senior Notes 4.35% due 12/08/2026		30,000		31,187
General Motors Financial Co., Inc. Company Guar. Notes 3.25% due 05/15/2018		20,000		20,179
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026		8,000		8,015
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025		9,000		9,292
				68,673
Auto-Heavy Duty Trucks — 0.0%
Navistar International Corp. Company Guar. Notes 8.25% due 11/01/2021		25,000		25,094
Auto-Truck Trailers — 0.0%
Wabash National Corp. Company Guar. Notes 5.50% due 10/01/2025*(6)		5,000		5,094
Auto/Truck Parts & Equipment-Original — 0.1%
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019		16,000		17,540
Lear Corp. Senior Notes 3.80% due 09/15/2027		23,000		22,913
Tenneco, Inc. Company Guar. Notes 5.00% due 07/15/2026		10,000		10,250
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024		15,000		15,750
TI Group Automotive Systems, LLC Company Guar. Notes 8.75% due 07/15/2023*		35,000		37,100
				103,553
Auto/Truck Parts & Equipment-Replacement — 0.0%
Allison Transmission, Inc. Company Guar. Notes 4.75% due 10/01/2027*(6)		5,000		5,037
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024*		15,000		15,568
				20,605

118

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial — 0.0%
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019	$	6,000	$	6,113
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022		17,000		18,397
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023		16,000		17,240
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		6,000		6,270
				48,020
Banks-Mortgage — 0.0%
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025*		15,000		15,750
Beverages-Wine/Spirits — 0.0%
Constellation Brands, Inc. Company Guar. Notes 3.70% due 12/06/2026		5,000		5,114
Brewery — 0.1%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		18,000		18,621
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		55,000		62,126
				80,747
Broadcast Services/Program — 0.1%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 6.50% due 11/15/2022		28,000		28,840
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020		10,000		9,875
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019		21,000		15,855
Nexstar Escrow Corp. Company Guar. Notes 5.63% due 08/01/2024*		15,000		15,525
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025*		15,000		15,131
				85,226
Building & Construction Products-Misc. — 0.2%
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024*		25,000		26,062
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024*		25,000		26,437

Security Description	Principal Amount(18)		Value (Note 2)
Building & Construction Products-Misc. (continued)
Builders FirstSource, Inc. Company Guar. Notes 10.75% due 08/15/2023*	$	15,000	$	17,138
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021*		5,000		5,163
Louisiana-Pacific Corp. Company Guar. Notes 4.88% due 09/15/2024		25,000		25,759
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027*		50,000		52,125
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		20,000		21,256
USG Corp. Company Guar. Notes 4.88% due 06/01/2027*		15,000		15,656
USG Corp. Company Guar. Notes 5.50% due 03/01/2025*		10,000		10,700
				200,296
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		11,000		10,780
Building Products-Cement — 0.0%
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024		20,000		21,550
Vulcan Materials Co. Senior Notes 4.50% due 04/01/2025		5,000		5,335
				26,885
Building Products-Wood — 0.0%
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024*		20,000		21,025
Building-Heavy Construction — 0.0%
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023		25,000		25,563
Building-Residential/Commercial — 0.1%
CalAtlantic Group, Inc. Company Guar. Notes 5.88% due 11/15/2024		15,000		16,387
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		25,000		28,422
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022		9,000		9,518
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026		10,000		10,904

119

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Building-Residential/Commercial (continued)
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032	$	20,000	$	24,506
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.25% due 04/15/2021*		6,000		6,158
Taylor Morrison Communities, Inc./ Monarch Communities, Inc. Company Guar. Notes 5.63% due 03/01/2024*		11,000		11,440
TRI Pointe Group Inc./TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024		15,000		16,050
				123,385
Cable/Satellite TV — 0.3%
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020		6,000		6,653
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023*(6)		5,000		5,206
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022		11,000		11,330
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		20,000		20,725
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*		5,000		5,243
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024*		20,000		21,225
Cequel Communications Holdings I LLC/Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		35,000		35,613
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		12,000		12,828
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047*		22,000		22,855

Security Description	Principal Amount(18)		Value (Note 2)
Cable/Satellite TV (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045	$	28,000	$	32,863
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022		10,000		13,293
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026		55,000		54,969
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035		10,000		13,352
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027*(6)		25,000		24,604
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		51,000		51,574
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021		9,000		9,945
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		25,000		26,203
				368,481
Casino Hotels — 0.1%
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026		5,000		5,456
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023		10,000		10,694
CRC Escrow Issuer LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025*(6)		20,000		20,000
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Senior Sec. Notes 6.75% due 11/15/2021*		30,000		31,462
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Sec. Notes 10.25% due 11/15/2022*		25,000		27,313
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		22,050
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019		15,000		16,163

120

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Casino Hotels (continued)
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025*	$	10,000	$	9,825
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027*		10,000		10,187
				170,025
Casino Services — 0.0%
CCM Merger, Inc. Senior Notes 6.00% due 03/15/2022*		5,000		5,169
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023		15,000		16,238
Rivers Pittsburgh Borrower LP/ Rivers Pittsburgh Finance Corp. Senior Sec. Notes 6.13% due 08/15/2021*		20,000		20,200
				41,607
Cellular Telecom — 0.2%
Crown Castle Towers LLC Senior Sec. Notes 4.88% due 08/15/2040*		45,000		47,667
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020		6,000		6,556
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*		8,000		8,593
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		16,000		17,780
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		43,000		49,880
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022		5,000		5,178
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027		20,000		21,556
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023		5,000		5,269
T-Mobile USA, Inc. Company Guar. Notes 6.13% due 01/15/2022		3,000		3,120
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025		10,000		10,767
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/01/2023		20,000		21,050

Security Description	Principal Amount(18)		Value (Note 2)
Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.84% due 04/28/2023	$	3,000	$	3,169
				200,585
Chemicals-Diversified — 0.1%
Blue Cube Spinco, Inc. Company Guar. Notes 9.75% due 10/15/2023		15,000		18,225
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022		19,000		20,505
Eastman Chemical Co. Senior Notes 3.80% due 03/15/2025		29,000		29,778
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026		35,000		34,955
				103,463
Chemicals-Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023		10,000		10,375
Chemicals-Specialty — 0.1%
Chemours Co. Company Guar. Notes 5.38% due 05/15/2027		10,000		10,375
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023		10,000		10,638
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025		10,000		11,075
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023*		25,000		28,250
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020		14,000		14,822
INVISTA Finance LLC Senior Sec. Notes 4.25% due 10/15/2019*		11,000		11,330
Kraton Polymers LLC Company Guar. Notes 10.50% due 04/15/2023*		15,000		17,137
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025*		10,000		10,725
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024*		25,000		27,469
				141,821
Circuit Boards — 0.0%
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025*(6)		10,000		10,119

121

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Coal — 0.0%
Murray Energy Corp. Sec. Notes 11.25% due 04/15/2021*(6)	$	10,000	$	5,963
Coatings/Paint — 0.0%
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027		35,000		35,243
Commercial Services — 0.0%
Brand Energy & Infrastructure Services, Inc. Senior Notes 8.50% due 07/15/2025*		10,000		10,825
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024*		5,000		5,175
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022*(6)		10,000		10,363
TMS International Corp. Senior Notes 7.25% due 08/15/2025*(6)		15,000		15,337
				41,700
Commercial Services-Finance — 0.0%
Moody's Corp. Senior Notes 3.25% due 01/15/2028*(6)		20,000		19,865
Computer Software — 0.0%
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024*		30,000		32,013
Computers — 0.1%
Apple, Inc. Senior Notes 4.38% due 05/13/2045		28,000		30,426
Dell International LLC/EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046*		8,000		10,275
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 5.45% due 06/15/2023*		55,000		60,192
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 5.88% due 06/15/2021*		5,000		5,227
Diamond 1 Finance Corp./Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024*		54,000		59,660
				165,780
Consulting Services — 0.0%
Gartner, Inc. Company Guar. Notes 5.13% due 04/01/2025*		5,000		5,275

Security Description	Principal Amount(18)		Value (Note 2)
Consumer Products-Misc. — 0.0%
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025	$	10,000	$	10,650
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024		5,000		5,356
				16,006
Containers-Metal/Glass — 0.1%
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024*		15,000		15,675
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025*		35,000		36,050
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		10,000		11,750
				63,475
Containers-Paper/Plastic — 0.1%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023		15,000		15,675
Berry Plastics Corp. Sec. Notes 5.50% due 05/15/2022		6,000		6,262
Flex Acquisition Co, Inc. Senior Notes 6.88% due 01/15/2025*		15,000		15,572
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC Company Guar. Notes 7.00% due 07/15/2024*		15,000		15,975
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*		5,000		5,381
Sealed Air Corp. Company Guar. Notes 5.50% due 09/15/2025*		5,000		5,500
Sealed Air Corp. Company Guar. Notes 6.88% due 07/15/2033*		10,000		11,725
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031		1,000		1,390
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030		20,000		28,022
				105,502
Cosmetics & Toiletries — 0.0%
High Ridge Brands Co. Company Guar. Notes 8.88% due 03/15/2025*		10,000		9,525
Revlon Consumer Products Corp. Company Guar. Notes 5.75% due 02/15/2021		10,000		8,725

122

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cosmetics & Toiletries (continued)
Revlon Consumer Products Corp. Company Guar. Notes 6.25% due 08/01/2024	$	20,000	$	15,450
				33,700
Data Processing/Management — 0.0%
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		10,000		10,460
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		15,000		15,694
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023*		25,000		26,695
				52,849
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022*		17,000		16,660
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		10,650
American Tire Distributors, Inc. Senior Sub. Notes 10.25% due 03/01/2022*		20,000		20,856
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023		20,000		21,300
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023*		10,000		10,475
				63,281
Diversified Banking Institutions — 0.1%
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027		60,000		61,300
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		9,000		11,873
				73,173
Diversified Financial Services — 0.0%
CNG Holdings, Inc. Senior Sec. Notes 9.38% due 05/15/2020*		15,000		13,125
DFC Finance Corp. Senior Sec. Notes 10.50% due 06/15/2020*(6)		10,000		5,550
				18,675

Security Description	Principal Amount(18)		Value (Note 2)
E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027*(6)	$	30,000	$	30,214
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047*(6)		30,000		30,574
				60,788
E-Commerce/Services — 0.0%
Expedia, Inc. Company Guar. Notes 5.00% due 02/15/2026		7,000		7,613
Priceline Group, Inc. Senior Notes 3.65% due 03/15/2025		6,000		6,179
				13,792
Educational Software — 0.0%
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025*(6)		5,000		5,275
Electric-Distribution — 0.0%
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033		25,000		30,420
Electric-Generation — 0.0%
Emera US Finance LP Company Guar. Notes 3.55% due 06/15/2026		13,000		13,088
Electric-Integrated — 0.2%
AES Corp. Senior Notes 4.88% due 05/15/2023		6,000		6,180
AES Corp. Senior Notes 5.13% due 09/01/2027		20,000		20,500
AES Corp. Senior Notes 5.50% due 04/15/2025		30,000		31,538
AES Corp. Senior Notes 7.38% due 07/01/2021		28,000		31,993
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035		20,000		24,029
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		25,000		32,090
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037		5,000		6,681
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		10,000		10,611
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		4,000		4,062

123

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047	$	6,000	$	6,297
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044*		35,000		40,654
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024*(6)		10,000		10,024
Pacific Gas & Electric Co. Senior Notes 5.80% due 03/01/2037		20,000		25,501
Pacific Gas & Electric Co. Senior Notes 6.35% due 02/15/2038		10,000		13,511
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037		15,000		20,108
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020†(6)		11,000		55
Texas-New Mexico Power Co. 1st Mtg. Notes 9.50% due 04/01/2019*		25,000		27,627
				311,461
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022		20,000		21,321
Electronic Components-Misc. — 0.0%
Jabil Circuit, Inc. Senior Notes 8.25% due 03/15/2018		5,000		5,122
Electronic Components-Semiconductors — 0.0%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027*		36,000		37,079
Micron Technology, Inc. Senior Notes 5.25% due 01/15/2024*(6)		10,000		10,525
				47,604
Engines-Internal Combustion — 0.0%
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020		30,000		33,075
Enterprise Software/Service — 0.1%
Infor Software Parent LLC/Infor Software Parent, Inc. Company Guar. Notes 7.13% due 05/01/2021*(7)		25,000		25,445

Security Description	Principal Amount(18)		Value (Note 2)
Enterprise Software/Service (continued)
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*	$	7,000	$	7,201
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022		20,000		20,738
Oracle Corp. Senior Notes 2.65% due 07/15/2026		30,000		29,468
				82,852
Finance-Auto Loans — 0.1%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		30,000		32,526
Ally Financial, Inc. Company Guar. Notes 6.25% due 12/01/2017		17,000		17,098
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018		14,000		14,962
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020		14,000		15,759
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031		31,000		39,987
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021		6,000		6,090
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023		5,000		5,288
				131,710
Finance-Commercial — 0.0%
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025*		20,000		19,250
Finance-Consumer Loans — 0.0%
OneMain Financial Holdings LLC Company Guar. Notes 6.75% due 12/15/2019*		5,000		5,188
OneMain Financial Holdings, Inc. Company Guar. Notes 7.25% due 12/15/2021*		10,000		10,437
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 8.50% due 09/15/2018*		7,000		6,475
				22,100
Finance-Credit Card — 0.0%
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022*		15,000		15,450
Finance-Investment Banker/Broker — 0.0%
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022*		30,000		33,778

124

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Investment Banker/Broker (continued)
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*	$	15,000	$	15,551
				49,329
Finance-Leasing Companies — 0.0%
Air Lease Corp. Senior Notes 3.63% due 04/01/2027		15,000		15,010
Finance-Other Services — 0.1%
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021		5,000		5,263
CSTN Merger Sub, Inc. Senior Sec. Notes 6.75% due 08/15/2024*(6)		10,000		9,975
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021		25,000		25,500
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025*		15,000		15,150
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025*		20,000		20,200
				76,088
Food-Dairy Products — 0.0%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		15,000		15,225
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		45,000		44,434
Kraft Heinz Foods Co. Company Guar. Notes 6.50% due 02/09/2040		9,000		11,272
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026*		48,000		50,400
				106,106
Food-Retail — 0.0%
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023*(6)		10,000		6,100
Footwear & Related Apparel — 0.0%
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026*		10,000		10,003
Funeral Services & Related Items — 0.0%
Service Corp. International Senior Notes 5.38% due 01/15/2022		14,000		14,385

Security Description	Principal Amount(18)		Value (Note 2)
Funeral Services & Related Items (continued)
Service Corp. International Senior Notes 5.38% due 05/15/2024	$	24,000	$	25,500
				39,885
Gambling (Non-Hotel) — 0.1%
Jacobs Entertainment, Inc. Sec. Notes 7.88% due 02/01/2024*		5,000		5,388
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		25,000		26,531
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		40,000		44,300
				76,219
Gas-Transportation — 0.0%
Southern Star Central Corp. Senior Notes 5.13% due 07/15/2022*		15,000		15,469
Golf — 0.0%
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025*(6)		30,000		29,475
Home Decoration Products — 0.0%
Newell Rubbermaid, Inc. Senior Notes 4.20% due 04/01/2026		30,000		31,591
Hospital Beds/Equipment — 0.0%
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 12.50% due 11/01/2021*(6)		5,000		5,563
Hotels/Motels — 0.1%
Diamond Resorts International, Inc. Senior Sec. Notes 7.75% due 09/01/2023*		25,000		26,875
Diamond Resorts International, Inc. Senior Notes 10.75% due 09/01/2024*		10,000		10,650
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		5,000		5,100
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027		55,000		57,750
Hyatt Hotels Corp. Senior Notes 3.38% due 07/15/2023		10,000		10,276
Wyndham Worldwide Corp. Senior Notes 4.50% due 04/01/2027		20,000		20,070
				130,721
Human Resources — 0.0%
Ceridian HCM Holding, Inc. Senior Notes 11.00% due 03/15/2021*		31,000		32,899

125

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026*(6)	$	10,000	$	9,950
Calpine Corp. Senior Notes 5.75% due 01/15/2025		20,000		18,875
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024*		3,000		3,101
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		20,000		20,825
Dynegy, Inc. Company Guar. Notes 7.63% due 11/01/2024		10,000		10,363
Dynegy, Inc. Company Guar. Notes 8.00% due 01/15/2025*(6)		5,000		5,175
Dynegy, Inc. Company Guar. Notes 8.13% due 01/30/2026*(6)		15,000		15,450
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020†(8)(9)		20,000		14,550
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027		15,000		15,712
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026		10,000		10,725
NRG Energy, Inc. Company Guar. Notes 7.88% due 05/15/2021		20,000		20,575
				145,301
Insurance Brokers — 0.0%
Alliant Holdings Intermediated LLC Senior Notes 8.25% due 08/01/2023*		10,000		10,573
HUB International, Ltd. Senior Notes 7.88% due 10/01/2021*		17,000		17,701
USIS Merger Sub, Inc. Senior Notes 6.88% due 05/01/2025*		10,000		10,188
				38,462
Insurance-Life/Health — 0.1%
Aflac, Inc. Senior Notes 6.45% due 08/15/2040		5,000		6,533
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		20,000		21,350
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033*		20,000		25,844

Security Description	Principal Amount(18)		Value (Note 2)
Insurance-Life/Health (continued)
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039*	$	15,000	$	20,691
				74,418
Insurance-Multi-line — 0.1%
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040		25,000		34,004
Nationwide Mutual Insurance Co. Sub. Notes 8.25% due 12/01/2031*		15,000		21,439
				55,443
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		45,000		72,984
Insurance-Reinsurance — 0.0%
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043		25,000		27,235
Machinery-Construction & Mining — 0.0%
BlueLine Rental Finance Corp./ BlueLine Rental LLC Sec. Notes 9.25% due 03/15/2024*		20,000		21,525
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2022		10,000		10,400
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025		15,000		15,900
				47,825
Machinery-General Industrial — 0.0%
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025*		10,000		10,375
Welbilt, Inc. Company Guar. Notes 9.50% due 02/15/2024		30,000		34,462
				44,837
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022		20,000		20,750
Medical Instruments — 0.0%
Halyard Health, Inc. Company Guar. Notes 6.25% due 10/15/2022		5,000		5,219
Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027		31,000		31,344
Becton Dickinson and Co. Senior Notes 4.67% due 06/06/2047		36,000		37,768
				69,112

126

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Biomedical/Gene — 0.0%
AMAG Pharmaceuticals, Inc. Company Guar. Notes 7.88% due 09/01/2023*	$	20,000	$	20,250
Medical-Drugs — 0.0%
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025		4,000		4,147
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*		45,000		36,675
				40,822
Medical-HMO — 0.1%
Centene Corp. Senior Notes 4.75% due 05/15/2022		15,000		15,656
Centene Corp. Senior Notes 4.75% due 01/15/2025		5,000		5,188
Centene Corp. Senior Notes 6.13% due 02/15/2024		15,000		16,219
Molina Healthcare, Inc. Company Guar. Notes 4.88% due 06/15/2025*		5,000		4,925
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022		10,000		10,306
WellCare Health Plans, Inc. Senior Notes 5.25% due 04/01/2025		5,000		5,262
				57,556
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		15,000		14,737
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		28,000		21,980
CHS/Community Health Systems, Inc. Company Guar. Notes 7.13% due 07/15/2020		10,000		9,025
CHS/Community Health Systems, Inc. Company Guar. Notes 8.00% due 11/15/2019		5,000		4,869
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		6,000		6,127
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024		5,000		5,325
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		30,000		32,325
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047		30,000		31,087

Security Description	Principal Amount(18)		Value (Note 2)
Medical-Hospitals (continued)
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020	$	24,000	$	26,130
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022		3,000		3,442
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020		14,000		14,920
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022		5,000		5,088
				175,055
Medical-Outpatient/Home Medical — 0.0%
Air Medical Group Holdings, Inc. Senior Notes 6.38% due 05/15/2023*		35,000		33,688
Metal Processors & Fabrication — 0.1%
Grinding Media, Inc./Moly-Cop AltaSteel, Ltd. Senior Sec. Notes 7.38% due 12/15/2023*		5,000		5,425
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		15,000		15,225
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024*		10,000		10,427
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027		15,000		16,162
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023*		10,000		11,275
				58,514
Metal-Copper — 0.0%
Freeport-McMoRan, Inc. Company Guar. Notes 6.75% due 02/01/2022		5,000		5,213
Freeport-McMoRan, Inc. Company Guar. Notes 6.88% due 02/15/2023		15,000		16,350
				21,563
Metal-Diversified — 0.1%
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025*		16,000		16,246
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024*		34,000		36,014
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022*		10,000		11,200
				63,460

127

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Multimedia — 0.1%
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024	$	20,000	$	24,553
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045		10,000		15,146
21st Century Fox America, Inc. Company Guar. Notes 7.85% due 03/01/2039		9,000		13,072
Historic TW, Inc. Company Guar. Notes 9.15% due 02/01/2023		10,000		12,893
NBCUniversal Media LLC Company Guar. Notes 6.40% due 04/30/2040		20,000		26,967
				92,631
Music — 0.0%
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023*		10,000		10,325
Non-Hazardous Waste Disposal — 0.0%
Advanced Disposal Services, Inc. Company Guar. Notes 5.63% due 11/15/2024*		20,000		20,900
Wrangler Buyer Corp. Senior Notes 6.00% due 10/01/2025*(6)		15,000		15,262
				36,162
Oil & Gas Drilling — 0.0%
Nabors Industries, Inc. Company Guar. Notes 4.63% due 09/15/2021		20,000		19,620
Oil Companies-Exploration & Production — 0.4%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. Company Guar. Notes 7.88% due 12/15/2024*		20,000		21,600
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022		6,000		6,135
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021		11,000		11,289
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023		5,000		5,213
Ascent Resources Utica Holdings LLC/ ARU Finance Corp. Senior Notes 10.00% due 04/01/2022*		10,000		10,725
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020		10,000		6,250
California Resources Corp. Sec. Notes 8.00% due 12/15/2022*		9,000		5,850

Security Description	Principal Amount(18)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Chesapeake Energy Corp. Sec. Notes 8.00% due 12/15/2022*	$	13,000	$	14,007
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025*		35,000		35,350
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025*(6)		5,000		5,050
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 06/15/2027*		5,000		4,950
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		43,000		43,191
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024		10,000		9,650
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023		10,000		10,025
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044		10,000		9,075
Covey Park Energy LLC/Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025*		5,000		5,181
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021		10,000		6,000
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021*		12,000		11,715
Devon Energy Corp. Senior Notes 3.25% due 05/15/2022		7,000		7,083
Diamondback Energy, Inc. Company Guar. Notes 4.75% due 11/01/2024		5,000		5,100
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025		20,000		20,850
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 8.13% due 09/15/2023*(6)		15,000		16,125
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 8.00% due 11/29/2024*		10,000		10,100
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Bonds 8.00% due 02/15/2025*		5,000		3,894
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020		18,000		14,985

128

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
EQT Corp. Senior Notes 3.90% due 10/01/2027	$	30,000	$	30,005
Laredo Petroleum, Inc. Company Guar. Notes 5.63% due 01/15/2022		5,000		5,038
Laredo Petroleum, Inc. Company Guar. Notes 7.38% due 05/01/2022		10,000		10,350
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		15,000		15,769
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022		15,000		16,012
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022		15,000		15,262
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023		10,000		10,150
Range Resources Corp. Company Guar. Notes 5.75% due 06/01/2021*(6)		20,000		20,800
SM Energy Co. Senior Notes 5.00% due 01/15/2024		10,000		9,425
SM Energy Co. Senior Notes 6.13% due 11/15/2022		5,000		5,013
SM Energy Co. Senior Notes 6.50% due 11/15/2021		11,000		11,110
SM Energy Co. Senior Notes 6.50% due 01/01/2023		3,000		3,023
SM Energy Co. Senior Notes 6.75% due 09/15/2026		5,000		5,000
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		21,000		21,709
WPX Energy, Inc. Senior Notes 7.50% due 08/01/2020		11,000		11,962
				490,021
Oil Companies-Integrated — 0.0%
Murphy Oil Corp. Senior Notes 5.75% due 08/15/2025		10,000		10,299
Oil-Field Services — 0.1%
Calfrac Holdings LP Company Guar. Notes 7.50% due 12/01/2020*		5,000		4,806
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019(1)(6)		20,000		2

Security Description	Principal Amount(18)		Value (Note 2)
Oil-Field Services (continued)
FTS International, Inc. FRS Senior Sec. Notes 8.82% (3 ML+7.50%) due 06/15/2020*	$	15,000	$	15,244
Jonah Energy LLC/Jonah Energy Finance Corp. Company Guar. Notes 7.25% due 10/15/2025*(6)		25,000		25,218
SESI LLC Company Guar. Notes 7.13% due 12/15/2021		5,000		5,100
SESI LLC Company Guar. Notes 7.75% due 09/15/2024*(6)		5,000		5,175
Seventy Seven Energy, Inc. Escrow Notes 6.50% due 07/15/2022(1)(6)		5,000		1
				55,546
Paper & Related Products — 0.1%
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029		10,000		13,893
International Paper Co. Senior Notes 8.70% due 06/15/2038		5,000		7,466
Mercer International, Inc. Senior Notes 6.50% due 02/01/2024		15,000		15,600
Mercer International, Inc. Senior Notes 7.75% due 12/01/2022		15,000		15,918
				52,877
Pharmacy Services — 0.0%
BioScrip, Inc. Company Guar. Notes 8.88% due 02/15/2021		5,000		4,575
Pipelines — 0.4%
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.25% due 01/15/2025		5,000		5,356
Boardwalk Pipelines LP Company Guar. Notes 4.45% due 07/15/2027		10,000		10,182
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027*		30,000		30,900
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025		25,000		26,906
DCP Midstream Operating LP Company Guar. Notes 2.70% due 04/01/2019		10,000		9,950
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023		4,000		3,920
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032		30,000		38,695

129

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Energy Transfer Equity LP Senior Sec. Notes 5.88% due 01/15/2024	$	52,000	$	55,835
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		9,000		9,431
Energy Transfer Partners LP Senior Notes 4.20% due 04/15/2027		25,000		25,312
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		16,971
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024*		20,000		20,975
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044		4,000		4,158
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032		24,000		30,840
MPLX LP Senior Notes 4.13% due 03/01/2027		20,000		20,364
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		35,000		35,282
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027		35,000		37,330
SemGroup Corp. Company Guar. Notes 6.38% due 03/15/2025*		10,000		9,800
SemGroup Corp/Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023		10,000		9,725
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028*(6)		5,000		5,081
Texas Gas Transmission LLC Senior Notes 4.50% due 02/01/2021*		18,000		18,750
Valero Energy Partners LP Senior Notes 4.38% due 12/15/2026		7,000		7,224
Williams Cos., Inc. Senior Notes 7.75% due 06/15/2031		10,000		12,174
Williams Cos., Inc. Senior Notes 8.75% due 03/15/2032		5,000		6,463

Security Description	Principal Amount(18)		Value (Note 2)
Pipelines (continued)
Williams Partners LP Senior Notes 3.60% due 03/15/2022	$	5,000	$	5,166
Williams Partners LP Senior Notes 4.30% due 03/04/2024		30,000		31,648
Williams Partners LP/ACMP Finance Corp Senior Notes 4.88% due 03/15/2024		10,000		10,466
				515,162
Poultry — 0.0%
Pilgrim's Pride Corp. Company Guar. Notes 5.75% due 03/15/2025*		10,000		10,325
Private Equity — 0.0%
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022		14,000		14,420
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020		11,000		11,351
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 02/01/2022		5,000		5,213
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024		10,000		10,550
				41,534
Quarrying — 0.0%
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024*		20,000		19,650
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.88% due 11/01/2020		7,000		7,394
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		10,000		10,912
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027*		10,000		10,375
				28,681
Radio — 0.1%
CBS Radio, Inc. Company Guar. Notes 7.25% due 11/01/2024*		5,000		5,338
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027*		50,000		51,000
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024*		9,000		9,686

130

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Radio (continued)
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023*(6)	$	5,000	$	5,075
				71,099
Real Estate Investment Trusts — 0.2%
American Tower Corp. Senior Notes 3.38% due 10/15/2026		25,000		24,712
American Tower Corp. Senior Notes 4.00% due 06/01/2025		20,000		20,680
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027		26,000		25,986
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047		5,000		5,108
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022		11,000		11,947
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		15,000		15,506
Healthcare Realty Trust, Inc. Senior Notes 3.88% due 05/01/2025		20,000		20,162
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025		10,000		10,277
Host Hotels & Resorts LP Senior Notes 5.25% due 03/15/2022		2,000		2,176
Host Hotels & Resorts LP Senior Notes 6.00% due 10/01/2021		3,000		3,339
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027*(6)		20,000		20,300
iStar, Inc. Senior Notes 5.25% due 09/15/2022		5,000		5,075
iStar, Inc. Senior Notes 6.00% due 04/01/2022		5,000		5,175
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Senior Notes 4.50% due 01/15/2028*(6)		5,000		5,044
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024		5,000		5,418
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		10,000		9,994

Security Description	Principal Amount(18)		Value (Note 2)
Real Estate Investment Trusts (continued)
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024	$	25,000	$	26,249
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032		20,000		27,745
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024		35,000		36,672
				281,565
Real Estate Management/Services — 0.1%
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026		17,000		18,324
CBRE Services, Inc. Company Guar. Notes 5.00% due 03/15/2023		11,000		11,398
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025		13,000		14,250
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 4.88% due 06/01/2023*(6)		10,000		10,275
				54,247
Real Estate Operations & Development — 0.0%
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025*		20,000		20,400
Rental Auto/Equipment — 0.1%
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024*		15,000		15,574
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042*		39,000		45,100
				60,674
Research & Development — 0.0%
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023*		10,000		10,463
Resorts/Theme Parks — 0.0%
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024*		20,000		20,350
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027*		15,000		15,375
				35,725
Retail-Apparel/Shoe — 0.0%
L Brands, Inc. Company Guar. Notes 5.63% due 02/15/2022		10,000		10,674

131

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Auto Parts — 0.0%
O'Reilly Automotive, Inc. Company Guar. Notes 3.55% due 03/15/2026	$	10,000	$	10,023
O'Reilly Automotive, Inc. Company Guar. Notes 3.85% due 06/15/2023		10,000		10,453
				20,476
Retail-Automobile — 0.0%
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020		3,000		3,204
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024		10,000		10,300
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026		10,000		10,338
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022		14,000		14,456
				38,298
Retail-Discount — 0.0%
Dollar General Corp. Senior Notes 3.25% due 04/15/2023		10,000		10,220
Retail-Drug Store — 0.1%
CVS Health Corp. Senior Notes 4.75% due 12/01/2022		2,000		2,188
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032*		64,999		80,507
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023*		15,000		14,569
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026		20,000		19,933
				117,197
Retail-Fabric Store — 0.0%
Jo-Ann Stores Holdings, Inc. Senior Notes 9.75% due 10/15/2019*(7)		10,000		9,725
Retail-Mail Order — 0.0%
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024		15,000		15,534
Retail-Major Department Stores — 0.0%
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021*		10,000		5,200
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(7)		5,000		2,350
				7,550

Security Description	Principal Amount(18)		Value (Note 2)
Retail-Pet Food & Supplies — 0.0%
PetSmart, Inc. Company Guar. Notes 7.13% due 03/15/2023*	$	5,000	$	3,899
Retail-Regional Department Stores — 0.0%
Bon-Ton Department Stores, Inc. Sec. Notes 8.00% due 06/15/2021		11,000		3,960
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028		15,000		8,700
				12,660
Retail-Restaurants — 0.1%
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022		20,000		20,750
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024*		35,000		35,394
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025*(6)		25,000		25,437
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027*		5,000		5,150
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024*		10,000		10,538
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		10,000		10,588
McDonald's Corp. Senior Notes 5.70% due 02/01/2039		18,000		21,939
				129,796
Rubber/Plastic Products — 0.0%
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022*		30,000		30,825
Software Tools — 0.0%
VMware, Inc. Senior Notes 3.90% due 08/21/2027		15,000		15,163
Steel-Producers — 0.1%
AK Steel Corp. Company Guar. Notes 6.38% due 10/15/2025		5,000		4,938
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 7.25% due 09/01/2025*(6)		15,000		15,915
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025*(6)		35,000		35,284

132

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Steel-Producers (continued)
Steel Dynamics, Inc. Company Guar. Notes 5.00% due 12/15/2026	$	5,000	$	5,337
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		15,000		16,050
United States Steel Corp. Senior Notes 6.88% due 08/15/2025		5,000		5,113
				82,637
Steel-Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021		10,000		10,200
Allegheny Technologies, Inc. Senior Notes 9.38% due 06/01/2019		10,000		10,925
				21,125
Telecom Services — 0.0%
West Corp. Company Guar. Notes 5.38% due 07/15/2022*		25,000		25,250
Telecommunication Equipment — 0.1%
Avaya, Inc. Senior Sec. Notes 7.00% due 04/01/2019†*(8)(9)		31,000		26,195
CommScope Technologies Finance LLC Company Guar. Notes 6.00% due 06/15/2025*		20,000		21,375
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		20,000		20,750
				68,320
Telephone-Integrated — 0.2%
AT&T, Inc. Senior Notes 4.25% due 03/01/2027		50,000		51,464
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		5,000		4,808
AT&T, Inc. Senior Notes 5.15% due 02/14/2050		50,000		50,244
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2020		3,000		3,130
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023		14,000		14,162
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024		3,000		2,280
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		15,000		13,013

Security Description	Principal Amount(18)		Value (Note 2)
Telephone-Integrated (continued)
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025	$	5,000	$	4,238
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028		35,000		39,200
Verizon Communications, Inc. Senior Notes 4.13% due 03/16/2027		5,000		5,217
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048		18,000		17,427
Windstream Services LLC Company Guar. Notes 6.38% due 08/01/2023		16,000		11,320
				216,503
Television — 0.1%
CBS Corp. Company Guar. Notes 2.90% due 01/15/2027		11,000		10,400
CBS Corp. Company Guar. Notes 3.50% due 01/15/2025		13,000		13,226
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045		35,000		35,610
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026*		15,000		15,450
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024*		30,000		30,787
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022		10,000		10,400
				115,873
Theaters — 0.0%
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.75% due 06/15/2025		10,000		9,825
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 11/15/2026		10,000		9,862
AMC Entertainment, Inc. Company Guar. Notes 5.88% due 02/15/2022		6,000		6,045
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023		13,000		13,130
Regal Entertainment Group Senior Notes 5.75% due 06/15/2023		11,000		11,330
				50,192
Transactional Software — 0.0%
Solera LLC Senior Notes 10.50% due 03/01/2024*		30,000		34,153

133

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Rail — 0.1%
Burlington Northern Santa Fe LLC Senior Notes 5.40% due 06/01/2041	$	15,000	$	18,551
Burlington Northern Santa Fe LLC Senior Notes 5.75% due 05/01/2040		15,000		19,107
Norfolk Southern Corp. Senior Notes 4.05% due 08/15/2052*(6)		26,000		25,466
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023*		19,000		19,712
				82,836
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		15,000		15,545
Trucking/Leasing — 0.0%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026*		16,000		15,805
Wire & Cable Products — 0.0%
Belden, Inc. Company Guar. Notes 5.25% due 07/15/2024*		25,000		26,063
Total U.S. Corporate Bonds & Notes (cost $8,127,313)				8,513,954
FOREIGN CORPORATE BONDS & NOTES — 0.8%
Banks-Commercial — 0.1%
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019*		10,000		10,600
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		10,000		10,707
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031		19,000		18,919
				40,226
Building Products-Air & Heating — 0.1%
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047		35,000		37,144
Building Products-Doors & Windows — 0.0%
Masonite International Corp. Company Guar. Notes 5.63% due 03/15/2023*		20,000		20,931
Building Products-Wood — 0.0%
Norbord, Inc. Senior Sec. Notes 6.25% due 04/15/2023*		25,000		27,375

Security Description	Principal Amount(18)		Value (Note 2)
Building-Residential/Commercial — 0.1%
Brookfield Residential Properties, Inc. Company Guar. Notes 6.50% due 12/15/2020*	$	27,000	$	27,641
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022*		11,000		11,495
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025*(6)		10,000		10,250
Mattamy Group Corp. Senior Notes 6.88% due 12/15/2023*		5,000		5,222
				54,608
Cable/Satellite TV — 0.0%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,000		1,087
Videotron, Ltd./Videotron Ltee Senior Notes 5.13% due 04/15/2027*		30,000		31,191
				32,278
Chemicals-Diversified — 0.0%
NOVA Chemicals Corp. Senior Notes 4.88% due 06/01/2024*		8,000		8,100
NOVA Chemicals Corp. Senior Notes 5.25% due 06/01/2027*		12,000		12,120
Trinseo Materials Operating SCA/ Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025*(6)		10,000		10,287
				30,507
Chemicals-Specialty — 0.0%
Tronox Finance PLC Company Guar. Notes 5.75% due 10/01/2025*(6)		5,000		5,125
Venator Finance SARL/Venator Materials Corp. Company Guar. Notes 5.75% due 07/15/2025*		15,000		15,600
				20,725
Commercial Services — 0.0%
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025*		5,000		5,206
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.50% due 10/01/2021*		5,000		5,138
				10,344
Commercial Services-Finance — 0.1%
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025*		60,000		64,200

134

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Manufacturing Operations — 0.0%
Bombardier, Inc. Senior Notes 8.75% due 12/01/2021*	$	15,000	$	16,080
Diversified Minerals — 0.0%
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041*		5,000		5,838
Teck Resources, Ltd. Company Guar. Notes 3.75% due 02/01/2023		5,000		5,064
Teck Resources, Ltd. Company Guar. Notes 4.75% due 01/15/2022		5,000		5,286
				16,188
Electric Products-Misc. — 0.1%
Legrand France SA Senior Notes 8.50% due 02/15/2025		51,000		65,449
Electric-Integrated — 0.0%
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036		10,000		13,090
Gambling (Non-Hotel) — 0.0%
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022*	CAD	24,000		19,932
Gold Mining — 0.0%
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022*		10,000		10,387
New Gold, Inc. Company Guar. Notes 6.38% due 05/15/2025*		5,000		5,288
				15,675
Machinery-General Industrial — 0.0%
ATS Automation Tooling Systems, Inc. Company Guar. Notes 6.50% due 06/15/2023*		5,000		5,231
Medical Products — 0.0%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025*		10,000		9,025
Medical-Biomedical/Gene — 0.0%
Concordia International Corp. Senior Notes 7.00% due 04/15/2023*		15,000		2,438
Medical-Drugs — 0.1%
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023		23,000		22,857
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026		28,000		27,603

Security Description	Principal Amount(18)		Value (Note 2)
Medical-Drugs (continued)
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026	$	29,000	$	26,729
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		10,000		9,987
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023*		5,000		4,388
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*		19,000		16,791
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.13% due 04/15/2025*		20,000		17,525
Valeant Pharmaceuticals International, Inc.* Senior Sec. Notes 6.50% due 03/15/2022		5,000		5,288
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 7.00% due 03/15/2024*		15,000		16,014
				147,182
Medical-Generic Drugs — 0.0%
Actavis Funding SCS Company Guar. Notes 4.75% due 03/15/2045		2,000		2,164
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 7.00% due 02/15/2021*		30,000		30,862
Motion Pictures & Services — 0.0%
LG FinanceCo Corp. Company Guar. Notes 5.88% due 11/01/2024*		15,000		15,750
Oil & Gas Drilling — 0.0%
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024		15,000		13,312
Precision Drilling Corp. Company Guar. Notes 7.75% due 12/15/2023		10,000		10,200
Shelf Drilling Holdings, Ltd. Sec. Notes 9.50% due 11/02/2020*(6)		10,000		10,113
				33,625
Oil Companies-Exploration & Production — 0.1%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		15,000		15,164

135

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*	$	5,000	$	4,363
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		5,000		4,881
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*		5,000		4,288
Seven Generations Energy, Ltd. Company Guar. Notes 5.38% due 09/30/2025*(6)		10,000		10,075
Seven Generations Energy, Ltd. Company Guar. Notes 6.75% due 05/01/2023*		10,000		10,537
Seven Generations Energy, Ltd. Company Guar. Notes 8.25% due 05/15/2020*		14,000		14,630
				63,938
Oil Companies-Integrated — 0.1%
BP Capital Markets PLC Company Guar. Notes 3.12% due 05/04/2026		20,000		19,993
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027*(6)		25,000		24,787
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		30,000		34,536
Statoil ASA Company Guar. Notes 5.10% due 08/17/2040		30,000		34,882
				114,198
Oil-Field Services — 0.0%
Weatherford International, Ltd. Company Guar. Notes 8.25% due 06/15/2023		5,000		5,150
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024*(6)		5,000		5,500
				10,650
Paper & Related Products — 0.0%
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025		15,000		18,279
Pipelines — 0.0%
Enbridge, Inc. Senior Notes 4.25% due 12/01/2026		15,000		15,776
Retail-Convenience Store — 0.0%
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027*(6)		25,000		25,211

Security Description	Principal Amount(18)		Value (Note 2)
Retail-Restaurants — 0.0%
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025*(6)	$	15,000	$	15,186
New Red Finance, Inc. Senior Sec. Notes 4.25% due 05/15/2024*		10,000		10,035
New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022*		5,000		5,131
New Red Finance, Inc. Sec. Notes 6.00% due 04/01/2022*		4,000		4,126
				34,478
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		2,000		1,895
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025*		25,000		25,250
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		6,000		3,870
				31,015
Security Services — 0.0%
GW Honos Security Corp. Senior Notes 8.75% due 05/15/2025*		15,000		15,994
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		10,000		11,500
ArcelorMittal Senior Notes 7.50% due 10/15/2039		7,000		8,400
				19,900
Telephone-Integrated — 0.0%
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030		5,000		6,953
Television — 0.0%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		25,000		27,000
Total Foreign Corporate Bonds & Notes (cost $1,088,476)				1,114,421
LOANS(10)(11)(12) — 0.1%
Building & Construction Products-Misc. — 0.0%
CPG International, Inc. FRS BTL-B 5.05% (3 ML +3.75%) due 09/30/2020		4,728		4,735

136

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)		Value (Note 2)
LOANS(10)(11)(12) (continued)
Casino Hotels — 0.1%
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 11.75% (1 ML +7.75%) due 03/01/2017(13)	$	38,791	$	46,791
Caesars Growth Properties Holdings LLC FRS BTL-B 4.24% (1 ML +3.00%) due 05/08/2021		4,634		4,637
				51,428
Cosmetics & Toiletries — 0.0%
Revlon Consumer Products Corp. FRS BTL-B 4.74% (1 ML +3.50%) due 09/07/2023		14,850		13,295
Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. FRS BTL-B 5.05% (3 ML +3.75%) due 06/30/2021		14,923		14,952
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.55% (3 ML +3.25%) due 07/06/2021		6,989		7,014
Telecommunication Equipment — 0.0%
Avaya Inc. FRS BTL 6.56% (3 ML +5.25%) due 04/30/2020†(8)(9)		14,689		12,486
Total Loans (cost $99,318)				103,910
MUNICIPAL BONDS & NOTES — 0.1%
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049		25,000		37,093
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040		15,000		17,955
State of California General Obligation Bonds 7.50% due 04/01/2034		30,000		43,588
Total Municipal Bonds & Notes (cost $70,184)				98,636
U.S. GOVERNMENT AGENCIES — 2.5%
Federal Home Loan Mtg. Corp. — 0.1%
5.50% due 06/01/2035		4,078		4,567
7.50% due 10/01/2029		4,810		5,442

Security Description	Principal Amount(18)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 13.79% (16.95%-1 ML) due 06/15/2034(3)(14)	$	14,216	$	17,119
Federal Home Loan Mtg. Corp., REMIC FRS Series 3065, Class DC 16.16% (19.86%-1 ML) due 03/15/2035(3)(14)		30,206		40,025
Federal Home Loan Mtg. Corp., REMIC FRS Series 3072, Class SM 19.27% (23.80%-1 ML) due 11/15/2035(3)(14)		15,869		22,753
				89,906
Federal National Mtg. Assoc. — 2.4%
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C03, Class 2M1 2.44% (1 ML+1.20%) due 07/25/2024		75		75
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C05, Class 2M1 2.59% (1 ML+1.35%) due 01/25/2029		7,509		7,549
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 4.79% (1 ML+3.55%) due 07/25/2029		15,000		15,820
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C03, Class 1M2 6.54% (1 ML+5.30%) due 10/25/2028		10,000		11,487
Federal National Mtg. Assoc. 3.00% due November TBA		1,000,000		1,001,289
3.50% due November TBA		1,000,000		1,028,613
4.00% due 05/01/2019		24,316		25,142
4.00% due 09/01/2020		4,201		4,344
4.00% due 08/01/2047		998,541		1,051,854
4.50% due 04/01/2018		124		127
4.50% due 03/01/2020		1,979		2,027
4.50% due 04/01/2020		2,949		3,016
4.50% due 09/01/2020		3,157		3,229
4.50% due 11/01/2020		1,854		1,910
5.00% due 03/01/2021		1,406		1,439
5.50% due 03/01/2018		217		217
6.00% due 06/01/2036		1,610		1,839
6.50% due 01/01/2036		382		423
6.50% due 06/01/2036		6,853		7,635
6.50% due 07/01/2036		4,455		5,148
6.50% due 09/01/2036		12,937		14,688
6.50% due 11/01/2036		21,182		23,646
7.00% due 06/01/2033		4,184		4,714
7.00% due 04/01/2035		6,664		7,710
7.50% due 04/01/2024		5,249		5,663

137

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.40% due 10/25/2041(3)(5)(17)	$	90,216	$	1,563
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 16.54% (20.25%-1 ML) due 08/25/2035(3)(14)		8,360		11,207
Federal National Mtg. Assoc., REMIC FRS Series 2005-122, Class SE 18.77% (23.10%-1 ML) due 11/25/2035(3)(14)		9,962		13,942
Federal National Mtg. Assoc., REMIC FRS Series 2006-8, Class HP 20.03% (24.57%-1 ML) due 03/25/2036(3)(14)		17,102		24,781
				3,281,097
Government National Mtg. Assoc. — 0.0%
6.50% due 08/20/2037		16,747		19,659
6.50% due 09/20/2037		4,107		4,861
				24,520
Total U.S. Government Agencies (cost $3,426,879)				3,395,523
U.S. GOVERNMENT TREASURIES — 3.0%
United States Treasury Bonds — 0.5%
2.75% due 08/15/2042(15)		610,000		602,613
3.00% due 02/15/2047		40,000		41,146
3.75% due 11/15/2043		70,000		82,053
				725,812
United States Treasury Notes — 2.5%
0.88% due 06/15/2019		300,000		297,106
1.00% due 08/31/2019		490,000		485,693
1.13% due 12/31/2019		420,000		416,407
1.13% due 03/31/2020		600,000		593,648
1.38% due 09/30/2018		430,000		429,983
1.63% due 04/30/2019		100,000		100,281
1.88% due 11/30/2021		430,000		430,924
2.00% due 11/30/2020		30,000		30,304
2.00% due 02/15/2022		510,000		513,327
				3,297,673
Total U.S. Government Treasuries (cost $4,017,332)				4,023,485
EXCHANGE-TRADED FUNDS — 2.0%
iShares MSCI India ETF		16,672		547,675
SPDR S&P 500 ETF Trust, Series 1		7,447		1,870,910
SPDR S&P MidCap 400 ETF Trust		788		257,148
Total Exchange Traded Funds (cost $2,592,136)				2,675,733

Security Description	Shares/ Principal Amount(18)		Value (Note 2)
EQUITY CERTIFICATES(6) — 0.2%
Airport Development/Maintenance — 0.0%
UBS AG - Shanghai International Airport Co., Ltd.		7,200	$	41,166
Beverages-Wine/Spirits — 0.0%
UBS AG - Wuliangye Yibin Co., Ltd.		3,428		29,559
Diversified Banking Institutions — 0.1%
UBS AG-Qingdao Haier Co., Ltd.		31,800		72,238
Insurance-Life/Health — 0.1%
Merrill Lynch International -Bupa Arabia for Cooperative Insurance Co.		1,559		49,105
Medical-Biomedical/Gene — 0.0%
UBS AG - Jiangsu Nhwa Pharmaceutical Co., Ltd.		19,300		41,170
Total Equity Certificates (cost $218,128)				233,238
WARRANTS† — 0.0%
Oil Companies-Exploration & Production — 0.0%
Halcon Resources Corp. Expires 09/09/2020 (Strike Price $14.04) (cost $0)		198		109
OPTIONS – PURCHASED†(6)(16) — 0.0%
iShares Core MSCI Emerging Markets ETF		9,579		2,634
iShares MSCI Emerging Markets ETF		15,012		9,693
Total Options - Purchased (cost $20,682)				12,327
Total Long-Term Investment Securities (cost $107,522,373)				121,228,930
SHORT-TERM INVESTMENT SECURITIES — 5.6%
Commercial Paper — 3.4%
BNP Paribas Fortis SA NY 1.19% due 10/04/2017	$	670,000		669,894
Chariot Funding LLC 1.20% due 10/11/2017*		670,000		669,728
Fairway Finance Corp. 1.32% due 12/18/2017*		670,000		668,020
MetLife Short Term Funding LLC 1.14% due 10/25/2017*		600,000		599,506
Nestle Finance International, Ltd. 1.13% due 10/16/2017		660,000		659,664
Roche Holdings, Inc. 1.11% due 10/19/2017*		670,000		669,590
Wal-Mart Stores, Inc. 1.11% due 10/23/2017*		670,000		669,506
				4,605,908
U.S. Government Agencies — 2.2%
Federal Home Loan Bank Disc. Notes 1.03% due 11/10/2017		2,910,000		2,906,848
Total Short-Term Investment Securities (cost $7,512,998)				7,512,756

138

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(18)			Value (Note 2)
REPURCHASE AGREEMENTS — 5.0%
Agreement with Bank of America Securities LLC, bearing interest at 1.04%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $6,681,579 collateralized by $5,926,000 of United States Treasury Bonds, bearing interest at 3.63% due 08/15/2043 and having an approximate value of $6,819,067. (cost $6,681,000)	$	6,681,000		$	6,681,000
TOTAL INVESTMENTS (cost $121,716,371)(19)		101.3	%		135,422,686
Liabilities in excess of other assets		(1.3	)		(1,690,812	)
NET ASSETS		100.0	%	$	133,731,874

#  See Note 1

†  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, 2017, the aggregate value of these securities was $8,631,411 representing 6.5% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security classified as Level 3 (see Note 2).

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

(3)  Collateralized Mortgage Obligation

(4)  Commercial Mortgage Backed Security

(5)  Interest Only

(6)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $1,012,688 representing 0.8% of net assets.

(7)  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.

(8)  Security in default of interest.

(9)  Company has filed for bankruptcy protection.

(10)  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.

(11)  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.

(12)  All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.

(13)  Security in default of interest and principal at maturity.

(14)  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, 2017.

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

(16)  Options Purchased

Over the Counter Put Options — Purchased

Issue	Counterparty	Expiration Month	Strike Price		Number of Contracts		Notional Amount*		Premiums Paid		Value at September 30, 2017		Unrealized Appreciation (Depreciation)
iShares MSCI Emerging Market	UBS AG	November 2017	$	42.00		9,579	$	429,235	$	7,472	$	2,634	$	(4,838	)
iShares MSCI Emerging Market	UBS AG	December 2017		43.00		15,012		672,688		13,210		9,693		(3,517	)
								1,101,923	$	20,682	$	12,327	$	(8,355	)

*  Notional amount is calculated by multiplying the number of contracts by the multiplier by the market value of the underlying security or index.

(17)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

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

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

ADR — American Depositary Receipt

BTL — Bank Term Loan

CAD — Canadian Dollar

CVA — Certification Van Aandelen (Dutch Cert.)

CVR — Contingent Value Rights

DAC — Designated Activity Company

GDR — Global Depositary Receipt

REMIC — Real Estate Mortgage Investment Conduit

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

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2017 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

5 Yr USR — 5 Year USD Swap Rate

12 MTA — 12 Month USD Treasury Average Index

139

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Over the Counter Put Options — Written

Issue	Counterparty	Expiration Month	Strike Price		Number of Contracts		Notional Amount*		Premiums Received		Value at September 30, 2017		Unrealized Appreciation (Depreciation)
iShares MSCI Emerging Market	UBS AG	November 2017	$	40.00		9,579	$	429,235	$	3,927	$	1,694	$	2,233
iShares MSCI Emerging Market	UBS AG	December 2017		41.00		15,012		672,688		7,656		5,237		2,419
							$	1,101,923	$	11,583	$	6,931	$	4,652

Over the Counter Call Options — Written

Issue	Counterparty	Expiration Month	Strike Price		Number of Contracts		Notional Amount*		Premiums Received		Value at September 30, 2017		Unrealized Appreciation (Depreciation)
Tencent Holdings	UBS AG	November 2017	HKD	320		919	$	44,138	$	2,135	$	2,827	$	(692	)

*  Notional amount is calculated by multiplying the number of contracts by the multiplier by the market value of the underlying security or index.

HKD — Hong Kong Dollar

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	106	Long	E-Mini Russell 2000 Index	December 2017	$	7,415,760	$	7,912,370	$	496,610
	10	Long	S&P 500 E-Mini Index	December 2017		1,252,757		1,258,050		5,293
	10	Short	S&P 500 E-Mini Index	December 2017		1,242,900		1,258,050		(15,150	)
	9	Long	TOPIX Index	December 2017		1,255,440		1,339,702		84,262
	66	Long	U.S. Treasury 10 Year Notes	December 2017		8,358,297		8,270,625		(87,672	)
	46	Short	U.S. Treasury 10 Year Notes	December 2017		5,822,625		5,764,375		58,250
	2	Short	U.S. Treasury 10 Year Ultra Notes	December 2017		271,781		268,656		3,125
	4	Long	U.S. Treasury 2 Year Notes	December 2017		864,876		862,813		(2,063	)
	43	Short	U.S. Treasury 2 Year Notes	December 2017		9,296,875		9,275,234		21,641
	53	Short	U.S. Treasury 5 Year Notes	December 2017		6,270,609		6,227,500		43,109
									$	607,405

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Over the Counter Total Return Swap Contracts

						Value
Swap Counterparty	Notional Amount (000's)		Maturity Date	Payments Received (Paid) by Portfolio/Frequency	Total Return Received or Paid by Portfolio/Frequency	Upfront Premiums Paid/(Received)		Unrealized Appreciation (Depreciation)
Citibank N.A.	$	6,290	12/01/2017	(3 Month USD LIBOR-BBA plus 37 bps)/Quarterly	Citibank U.S. Equity Custom Basket(1)/Quarterly	$	—	$	141,671
Citibank N.A.		5,271	11/27/2017	3 Month USD LIBOR plus 9 bps/Quarterly	Russell 1000 Index Total Return/ Quarterly		—		(180,770	)
Net Unrealized Appreciation (Depreciation)						$	—	$	(39,099	)

BBA — British Banker's Association

LIBOR — London Interbank Offered Rate

USD — United States Dollar

140

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

(1)  The following are the 50 largest components in the Citibank U.S. Equity Custom Basket:

Common Stock	Percentage*			Shares		Value
Adobe Systems, Inc.		0.8	%		10	$	1,476
Aflac, Inc.		1.1	%		26		2,081
Allstate Corp.		1.2	%		24		2,175
Alphabet, Inc., Class A		1.1	%		2		2,073
Altria Group, Inc.		1.8	%		53		3,330
Apple, Inc.		2.0	%		24		3,651
Applied Materials, Inc.		2.0	%		72		3,751
Automatic Data Processing, Inc.		1.4	%		24		2,646
Baker Hughes, a GE Company		1.0	%		48		1,757
Berkshire Hathaway, Inc., Class B		1.0	%		10		1,916
CBS Corp., Class B		1.4	%		44		2,577
CME Group, Inc.		1.0	%		14		1,916
CVS Health Corp.		1.2	%		26		2,136
Danaher Corp.		1.7	%		36		3,113
eBay, Inc.		1.8	%		87		3,359
Edison International		0.8	%		19		1,450
Equity Residential		0.8	%		23		1,534
Exxon Mobil Corp.		1.7	%		39		3,185
F5 Networks, Inc.		1.0	%		15		1,798
Fidelity National Information Services, Inc.		1.0	%		20		1,873
General Dynamics Corp.		1.1	%		10		1,953
Harris Corp.		0.8	%		11		1,459
Honeywell International, Inc.		1.7	%		22		3,081
Humana, Inc.		1.7	%		13		3,085
Intu Properties PLC		1.8	%		23		3,251
Johnson & Johnson		3.0	%		43		5,550
JPMorgan Chase & Co.		2.6	%		51		4,843
Juniper Networks, Inc.		1.2	%		77		2,136
Kimberly-Clark Corp.		1.5	%		23		2,743
Kinder Morgan, Inc.		1.0	%		97		1,859
Lowe's Cos., Inc.		1.4	%		32		2,552
Marathon Petroleum Corp.		0.9	%		29		1,653
McDonald's Corp.		2.1	%		25		3,861
Merck KGaA		0.9	%		25		1,584
Microsoft Corp.		0.8	%		20		1,483
Norfolk Southern Corp.		1.7	%		24		3,156
Northrop Grumman Corp.		1.7	%		11		3,129
Pfizer, Inc.		2.4	%		125		4,470
PG&E Corp.		1.0	%		27		1,825
PNC Financial Services Group, Inc.		1.8	%		25		3,394
Raytheon Co.		1.9	%		19		3,517
Ross Stores, Inc.		1.0	%		27		1,758
Sherwin-Williams Co.		1.4	%		7		2,518
Sysco Corp.		0.9	%		29		1,574
Texas Instruments, Inc.		2.0	%		41		3,672
TJX Cos., Inc.		1.4	%		35		2,611
UnitedHealth Group, Inc.		1.9	%		18		3,477
Verizon Communications, Inc.		1.1	%		39		1,942
Walt Disney Co.		1.4	%		27		2,662
Zoetis, Inc.		1.4	%		40		2,556

*  Represents the weighting of the component in the custom basket.

141

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Bank of America, N.A.	HKD	1,954,200	USD	250,150	11/15/2017	$	—	$	(290	)
	USD	578,419	GBP	444,500	12/20/2017		18,639		—
							18,639		(290	)
Barclays Bank PLC	USD	89,685	HKD	698,700	11/15/2017		—		(143	)
Citibank N.A.	CAD	17,600	USD	13,586	10/18/2017		—		(521	)
	USD	176,634	DKK	1,100,000	12/20/2017		—		(1,113	)
	USD	315,300	EUR	263,500	12/20/2017		—		(2,514	)
							—		(4,148	)
Credit Suisse AG	USD	207,544	AUD	271,400	10/18/2017		5,308		—
	USD	570,825	JPY	62,757,400	11/15/2017		—		(12,038	)
	USD	428,319	CHF	409,700	12/20/2017		—		(2,988	)
	USD	107,887	GBP	82,800	12/20/2017		3,331		—
							8,639		(15,026	)
JPMorgan Chase Bank	NOK	450,600	USD	58,061	12/20/2017		1,384		—
	USD	289,795	AUD	379,000	10/18/2017		7,445		—
	USD	305,402	JPY	33,571,000	11/15/2017		—		(6,488	)
	USD	161,215	SGD	218,600	11/15/2017		18		—
	USD	270,235	CHF	258,400	12/20/2017		—		(1,977	)
	USD	473,176	EUR	394,900	12/20/2017		—		(4,413	)
	USD	293,209	GBP	225,000	12/20/2017		9,014		—
	USD	199,797	SEK	1,581,500	12/20/2017		—		(4,734	)
							17,861		(17,612	)
State Street Bank and Trust Co.	USD	12,591	ILS	43,900	10/18/2017		—		(165	)
UBS AG	USD	181,181	AUD	236,900	10/18/2017		4,613		—
Net Unrealized Appreciation (Depreciation)						$	49,752	$	(37,384	)

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 — Singpore Dollar
USD — United States Dollar

142

Seasons Series Trust Asset Allocation: Diversified Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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:
Electric-Generation	$	17,443	$	30,666	$	—	$	48,109
Hazardous Waste Disposal		—		—		76		76
Oil Companies-Exploration & Production		901,397		—		810		902,207
Other Industries		97,145,634		—		—		97,145,634
Convertible Preferred Securities		13,994		—		—		13,994
Preferred Securities		15,312		—		—		15,312
Preferred Securities/Capital Securities		—		826,363		—		826,363
Asset Backed Securities		—		2,087,280		—		2,087,280
Convertible Bonds & Notes		—		18,619		—		18,619
U.S. Corporate Bonds & Notes:
Oil-Field Services		—		55,543		3		55,546
Other Industries		—		8,458,408		—		8,458,408
Foreign Corporate Bonds & Notes		—		1,114,421		—		1,114,421
Loans		—		103,910		—		103,910
Municipal Bonds & Notes		—		98,636		—		98,636
U.S. Government Agencies		—		3,395,523		—		3,395,523
U.S. Government Treasuries		—		4,023,485		—		4,023,485
Exchange-Traded Funds		2,675,733		—		—		2,675,733
Equity Certificates		—		233,238		—		233,238
Warrants		109		—		—		109
Options — Purchased		—		12,327		—		12,327
Short-Term Investment Securities		—		7,512,756		—		7,512,756
Repurchase Agreements		—		6,681,000		—		6,681,000
Total Investments at Value	$	100,769,622	$	34,652,175	$	889	$	135,422,686
Other Financial Instruments:†
Over the Counter Put Options — Written	$	—	$	4,652	$	—	$	4,652
Futures Contracts		712,290		—		—		712,290
Over the Counter Total Return Swap Contracts		—		141,671		—		141,671
Forward Foreign Currency Contracts		—		49,752		—		49,752
Total Other Financial Instruments	$	712,290	$	196,075	$	—	$	908,365
LIABILITIES:
Other Financial Instruments:†
Over the Counter Call Options — Written	$	—	$	692	$	—	$	692
Futures Contracts		104,885		—		—		104,885
Over the Counter Total Return Swap Contracts		—		180,770		—		180,770
Forward Foreign Currency Contracts		—		37,384		—		37,384
Total Other Financial Instruments	$	104,885	$	218,846	$	—	$	323,731

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

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

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

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

See Notes to Financial Statements

143

Seasons Series Trust Stock Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
E-Commerce/Products	8.6	%
Applications Software	7.3
Computers	5.9
Medical-HMO	5.6
Web Portals/ISP	5.0
Commercial Services-Finance	4.8
Internet Content-Entertainment	4.6
Medical-Biomedical/Gene	4.6
Finance-Credit Card	4.5
E-Commerce/Services	4.1
Real Estate Investment Trusts	3.1
Medical Products	2.9
Diversified Banking Institutions	2.6
Aerospace/Defense	2.5
Tobacco	2.2
Auto-Cars/Light Trucks	2.0
Airlines	1.9
Data Processing/Management	1.7
Medical Instruments	1.6
Retail-Restaurants	1.6
Electronic Components-Semiconductors	1.4
Machinery-General Industrial	1.3
Registered Investment Companies	1.3
Internet Security	1.2
Medical-Drugs	1.2
Instruments-Controls	1.1
Finance-Other Services	1.1
Internet Application Software	1.1
Finance-Investment Banker/Broker	1.1
Entertainment Software	1.0
Lighting Products & Systems	0.9
Diversified Manufacturing Operations	0.9
Cellular Telecom	0.8
Electric-Integrated	0.8
Medical-Hospitals	0.7
Electronic Measurement Instruments	0.7
Banks-Commercial	0.6
Building & Construction Products-Misc.	0.6
Banks-Fiduciary	0.6
Food-Misc./Diversified	0.5
Enterprise Software/Service	0.5
Diagnostic Equipment	0.5
Retail-Auto Parts	0.5
Hotels/Motels	0.4
Insurance-Multi-line	0.4
Auto/Truck Parts & Equipment-Original	0.4
Retail-Discount	0.3
Retail-Building Products	0.3
Water	0.3
Semiconductor Equipment	0.3
Real Estate Management/Services	0.2
Casino Hotels	0.1
	100.2	%

*  Calculated as a percentage of net assets

#  See Note 1

144

Seasons Series Trust Stock Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.4%
Aerospace/Defense — 2.5%
Boeing Co.		43,890	$	11,157,277
Airlines — 1.9%
American Airlines Group, Inc.		142,600		6,772,074
United Continental Holdings, Inc.†		31,567		1,921,799
				8,693,873
Applications Software — 7.2%
Dropbox, Inc., Class A†(1)(2)(3)		38,413		401,288
Intuit, Inc.		38,300		5,443,962
Microsoft Corp.		236,500		17,616,885
salesforce.com, Inc.†		59,600		5,567,832
ServiceNow, Inc.†		30,337		3,565,507
				32,595,474
Auto-Cars/Light Trucks — 2.0%
Ferrari NV		39,275		4,339,102
Tesla, Inc.†		13,896		4,739,926
				9,079,028
Auto/Truck Parts & Equipment-Original — 0.4%
Delphi Automotive PLC		18,300		1,800,720
Banks-Commercial — 0.6%
First Republic Bank		27,898		2,914,225
Banks-Fiduciary — 0.6%
State Street Corp.		27,100		2,589,134
Building & Construction Products-Misc. — 0.6%
Fortune Brands Home & Security, Inc.		40,383		2,714,949
Casino Hotels — 0.1%
MGM Resorts International		18,680		608,781
Cellular Telecom — 0.8%
Altice USA, Inc., Class A†		38,200		1,043,242
T-Mobile US, Inc.†		43,000		2,651,380
				3,694,622
Commercial Services-Finance — 4.8%
Equifax, Inc.		32,556		3,450,610
PayPal Holdings, Inc.†		193,053		12,361,184
TransUnion†		60,708		2,869,060
Vantiv, Inc., Class A†		41,600		2,931,552
				21,612,406
Computers — 5.9%
Apple, Inc.		171,946		26,500,318
Data Processing/Management — 1.7%
Fidelity National Information Services, Inc.		46,200		4,314,618
Fiserv, Inc.†		27,517		3,548,592
				7,863,210
Diagnostic Equipment — 0.5%
Danaher Corp.		25,900		2,221,702
Diversified Banking Institutions — 2.6%
JPMorgan Chase & Co.		49,700		4,746,847
Morgan Stanley		143,600		6,917,212
				11,664,059

Security Description	Shares		Value (Note 2)
Diversified Manufacturing Operations — 0.9%
Illinois Tool Works, Inc.		27,600	$	4,083,696
E-Commerce/Products — 8.3%
Alibaba Group Holding, Ltd. ADR†		76,039		13,132,696
Amazon.com, Inc.†		25,193		24,219,290
Flipkart, Ltd.†(1)(2)(3)		922		81,241
				37,433,227
E-Commerce/Services — 3.2%
Priceline Group, Inc.†		7,911		14,483,617
Electric-Integrated — 0.8%
NextEra Energy, Inc.		24,500		3,590,475
Electronic Components-Semiconductors — 1.4%
NVIDIA Corp.		6,300		1,126,251
Xilinx, Inc.		72,868		5,161,240
				6,287,491
Electronic Measurement Instruments — 0.7%
Fortive Corp.		41,849		2,962,491
Enterprise Software/Service — 0.5%
Workday, Inc., Class A†		21,677		2,284,539
Entertainment Software — 1.0%
Electronic Arts, Inc.†		36,700		4,332,802
Finance-Credit Card — 4.5%
MasterCard, Inc., Class A		58,300		8,231,960
Visa, Inc., Class A		115,700		12,176,268
				20,408,228
Finance-Investment Banker/Broker — 1.1%
TD Ameritrade Holding Corp.		98,533		4,808,410
Finance-Other Services — 1.1%
Intercontinental Exchange, Inc.		72,700		4,994,490
Food-Misc./Diversified — 0.5%
Danone SA		2,147		168,417
Kraft Heinz Co.		29,700		2,303,235
				2,471,652
Hotels/Motels — 0.4%
Marriott International, Inc., Class A		18,064		1,991,737
Instruments-Controls — 1.1%
Honeywell International, Inc.		35,500		5,031,770
Insurance-Multi-line — 0.4%
Chubb, Ltd.		12,769		1,820,221
Internet Application Software — 1.1%
Tencent Holdings, Ltd.		111,900		4,816,015
Internet Content-Entertainment — 4.6%
Facebook, Inc., Class A†		106,328		18,168,265
Netflix, Inc.†		14,800		2,683,980
				20,852,245
Internet Security — 1.2%
Symantec Corp.		169,300		5,554,733
Lighting Products & Systems — 0.9%
Acuity Brands, Inc.		24,654		4,222,737

145

Seasons Series Trust Stock Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-General Industrial — 1.3%
Roper Technologies, Inc.		18,024	$	4,387,042
Wabtec Corp.		19,811		1,500,683
				5,887,725
Medical Instruments — 1.6%
Intuitive Surgical, Inc.†		6,751		7,060,736
Medical Products — 2.9%
Becton Dickinson and Co.		32,042		6,278,630
Stryker Corp.		46,579		6,615,150
				12,893,780
Medical-Biomedical/Gene — 4.6%
Alexion Pharmaceuticals, Inc.†		42,117		5,908,594
Biogen, Inc.†		17,702		5,542,850
Celgene Corp.†		17,800		2,595,596
Vertex Pharmaceuticals, Inc.†		44,186		6,718,040
				20,765,080
Medical-Drugs — 1.2%
Merck & Co., Inc.		52,900		3,387,187
Zoetis, Inc.		33,700		2,148,712
				5,535,899
Medical-HMO — 5.6%
Aetna, Inc.		19,459		3,094,176
Anthem, Inc.		19,300		3,664,684
Centene Corp.†		18,254		1,766,439
Cigna Corp.		24,755		4,627,700
Humana, Inc.		12,370		3,013,703
UnitedHealth Group, Inc.		46,600		9,126,610
				25,293,312
Medical-Hospitals — 0.7%
HCA Healthcare, Inc.†		42,700		3,398,493
Real Estate Investment Trusts — 3.1%
American Tower Corp.		34,700		4,742,796
Crown Castle International Corp.		74,600		7,458,508
Equinix, Inc.		3,916		1,747,711
				13,949,015
Real Estate Management/Services — 0.0%
WeWork Cos., Inc., Class A†(1)(2)(3)		1,490		77,197
Retail-Auto Parts — 0.5%
AutoZone, Inc.†		3,492		2,078,124
Retail-Building Products — 0.3%
Home Depot, Inc.		8,800		1,439,328
Retail-Discount — 0.3%
Dollar General Corp.		17,900		1,450,795
Retail-Restaurants — 1.6%
Restaurant Brands International, Inc.		42,497		2,714,708
Yum! Brands, Inc.		58,600		4,313,546
				7,028,254
Semiconductor Equipment — 0.3%
ASML Holding NV		7,100		1,215,520

Security Description	Shares			Value (Note 2)
Tobacco — 2.2%
British American Tobacco PLC		52,853		$	3,308,850
Philip Morris International, Inc.		61,601			6,838,327
					10,147,177
Water — 0.3%
American Water Works Co., Inc.		15,128			1,224,006
Web Portals/ISP — 5.0%
Alphabet, Inc., Class A†		11,500			11,197,780
Alphabet, Inc., Class C†		11,766			11,284,888
					22,482,668
Total Common Stocks (cost $327,706,937)					440,067,463
CONVERTIBLE PREFERRED SECURITIES — 1.5%
Applications Software — 0.1%
Magic Leap, Inc., Series C†(1)(2)(3)		26,666			631,091
E-Commerce/Products — 0.3%
Flipkart, Ltd., Series A†(1)(2)(3)		316			27,844
Flipkart, Ltd., Series C†(1)(2)(3)		556			48,991
Flipkart, Ltd., Series E†(1)(2)(3)		1,032			90,933
Flipkart, Ltd., Series G†(1)(2)(3)		4,576			548,022
Flipkart, Ltd., Series H†(1)(2)(3)		4,257			605,515
					1,321,305
E-Commerce/Services — 0.9%
Airbnb, Inc., Series D†(1)(2)(3)		13,329			1,431,535
Airbnb, Inc., Series E†(1)(2)(3)		8,841			949,523
Uber Technologies, Inc., Series G†(1)(2)(3)		20,747			873,345
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2)(3)		19,048			970,155
					4,224,558
Real Estate Management/Services — 0.2%
WeWork Cos., Inc., Series E†(1)(2)(3)		13,398			694,150
Total Convertible Preferred Securities (cost $5,325,447)					6,871,104
Total Long-Term Investment Securities (cost $333,032,384)					446,938,567
SHORT-TERM INVESTMENT SECURITIES — 1.3%
Registered Investment Companies — 1.3%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.92%(4)		636,625			636,625
T. Rowe Price Government Reserve Fund 1.07%(4)		5,039,223			5,039,223
Total Short-Term Investment Securities (cost $5,675,848)					5,675,848
TOTAL INVESTMENTS (cost $338,708,232)(5)		100.2	%		452,614,415
Liabilities in excess of other assets		(0.2	)		(762,281	)
NET ASSETS		100.0	%	$	451,852,134

#  See Note 1

†  Non-income producing security

146

Seasons Series Trust Stock Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

(1)  Securities are classified as Level 3 (see Note 2).

(2)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $7,430,830 representing 1.6% 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, 2017, the 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	$	401,288	$	10.45		0.09	%
Flipkart, Ltd.	03/19/2015		922		105,108		81,241		88.11		0.02
WeWork Cos., Inc., Class A	06/23/2015		1,490		49,006		77,197		51.81		0.02
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		13,329		542,664		1,431,535		107.40		0.32

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Convertible Preferred Securities (continued)
Airbnb, Inc., Series E	07/14/2015		8,841	$	823,048	$	949,523	$	107.40		0.21	%
Flipkart, Ltd. Series A	03/19/2015		316		36,022		27,844		88.11		0.01
Flipkart, Ltd. Series C	03/19/2015		556		63,384		48,991		88.11		0.01
Flipkart, Ltd. Series E	03/19/2015		1,032		117,648		90,933		88.11		0.02
Flipkart, Ltd. Series G	12/17/2014		4,576		548,022		548,022		119.76		0.12
Flipkart, Ltd. Series H	04/17/2015		4,257		605,516		605,515		142.24		0.13
Magic Leap, Inc., Series C	01/20/2016		26,666		614,198		631,091		23.67		0.14
Uber Technologies, Inc., Series G	12/03/2015		20,747		1,011,878		873,345		42.10		0.19
WeWork Cos., Inc., Series E	06/23/2015		13,398		440,655		694,150		51.81		0.15
Xiaoju Kuaizhi, Inc., Series A-17	10/19/2015		19,048		522,414		970,155		50.93		0.21
						$	7,430,830				1.64	%

(4)  The rate shown is the 7-day yield as of September 30, 2017.

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

ADR — American Depositary Receipt

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	32,194,186	$	—	$	401,288	$	32,595,474
E-Commerce/Products		37,351,986		—		81,241		37,433,227
Real Estate Management/Services		—		—		77,197		77,197
Other Industries		369,961,565		—		—		369,961,565
Convertible Preferred Securities		—		—		6,871,104		6,871,104
Short-Term Investment Securities		5,675,848		—		—		5,675,848
Total Investment at Value	$	445,183,585	$	—	$	7,430,830	$	452,614,415

*  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.

147

Seasons Series Trust Stock Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

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, 2017	$	488,832		$	6,388,402
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			—
Realized Loss		—			—
Change in unrealized appreciation(1)		76,570			632,956
Change in unrealized depreciation(1)		(5,676	)		(150,254	)
Net purchases		—			—
Net sales		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2017	$	559,726		$	6,871,104

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2017 includes:

Common Stocks		Convertible Preferred Securities
$	70,894	$	482,702

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, 2017.

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

Description	Value at September 30, 2017		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	158,438	Market Approach	Market Transaction Price*	$51.81 - $88.1135 ($69.96175)
	$	401,288	Market Approach with	Market Transaction Price*	$8.1500
			Option Pricing Method ("OPM")	2017 Estimated Revenue Multiple*	5.0x - 6.4x (5.7x)
				2018 Estimated Revenue Multiple*	5.2x - 6.04x (5.62x)
				2018 Estimated Gross Profit Multiple*	6.8x
				Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	36.5%
				Term to liquidity event in years	2.25
				Risk-free rate	1.49%
Convertible Preferred Securities	$	2,985,610	Market Approach	Market Transaction Price*	$50.9321 - $142.24 ($89.86894)
	$	631,091	Market Approach	Market Transaction Price*	$23.033000
				Pending Series D Offer Price"	$27.000000
				Discount for Lack of Marketability	10.0%
	$	2,381,058	Market Approach	Market Transaction Price*	$105.0000
				2020 Estimated Revenue Multiple*	5.3x
				2020 Estimated Gross Profit Multiple*	6.3x
				Discount for Lack of Marketability	10.0%
	$	873,345	Market Approach	Market Transaction Price*	$48.7722
				Enterprise Value/Estimated 2017 Gross
				Profit Multiple*	13.6x
				Enterprise Value/Projected 2019
				EBITDA Multiple*	28.2x
				Discount for Projected Multiple	30%
				Discount for Lack of Marketability	10% - 15% (12.5%)

(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

148

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Applications Software	5.9	%
Computers	5.6
Web Portals/ISP	5.3
Medical-Biomedical/Gene	4.4
Internet Content-Entertainment	4.2
Medical-Drugs	4.2
Electronic Components-Semiconductors	3.5
E-Commerce/Products	3.5
Finance-Credit Card	3.4
Real Estate Investment Trusts	3.1
Aerospace/Defense	2.7
Retail-Restaurants	2.2
Cable/Satellite TV	2.1
Medical-HMO	1.8
Beverages-Non-alcoholic	1.7
Diversified Manufacturing Operations	1.7
Tobacco	1.6
Cosmetics & Toiletries	1.4
Retail-Building Products	1.3
Enterprise Software/Service	1.3
Medical Instruments	1.3
Electronic Forms	1.3
Transport-Rail	1.2
Entertainment Software	1.2
E-Commerce/Services	1.2
Commercial Services-Finance	1.2
Instruments-Controls	1.2
Oil Companies-Exploration & Production	1.0
Exchange-Traded Funds	1.0
Multimedia	1.0
Athletic Footwear	0.9
Diagnostic Equipment	0.9
Finance-Other Services	0.9
Retail-Discount	0.9
Retail-Apparel/Shoe	0.9
Machinery-General Industrial	0.8
Auto/Truck Parts & Equipment-Original	0.8
Coatings/Paint	0.8
Computer Services	0.7
Registered Investment Companies	0.7
Electronic Connectors	0.7
Electronic Measurement Instruments	0.6
Data Processing/Management	0.6
Semiconductor Equipment	0.6
Banks-Super Regional	0.6
Commercial Services	0.6
Industrial Gases	0.6
Banks-Fiduciary	0.5
Medical Products	0.5
Machinery-Pumps	0.5
Finance-Investment Banker/Broker	0.5
Consulting Services	0.5
Airlines	0.4
Building Products-Cement	0.4
Transport-Services	0.4
Computer Aided Design	0.4
Medical-Hospitals	0.4
Electronic Components-Misc.	0.4
Food-Misc./Diversified	0.4
Electric Products-Misc.	0.4

Agricultural Chemicals	0.4	%
Containers-Paper/Plastic	0.3
Casino Hotels	0.3
Distribution/Wholesale	0.3
Semiconductor Components-Integrated Circuits	0.3
Telephone-Integrated	0.3
Food-Confectionery	0.3
Insurance-Property/Casualty	0.3
Brewery	0.3
Recreational Vehicles	0.3
Retail-Auto Parts	0.3
Medical Information Systems	0.3
Insurance Brokers	0.3
Drug Delivery Systems	0.2
Retail-Gardening Products	0.2
Networking Products	0.2
U.S. Government Agencies	0.2
Repurchase Agreements	0.2
Oil-Field Services	0.2
Food-Catering	0.2
Chemicals-Specialty	0.2
Apparel Manufacturers	0.2
Electric-Integrated	0.2
Retail-Drug Store	0.2
Computer Software	0.2
Cellular Telecom	0.2
Cruise Lines	0.2
Hotels/Motels	0.2
Investment Management/Advisor Services	0.1
Retail-Major Department Stores	0.1
Non-Hazardous Waste Disposal	0.1
Finance-Consumer Loans	0.1
Beverages-Wine/Spirits	0.1
Machinery-Construction & Mining	0.1
Independent Power Producers	0.1
Telecommunication Equipment	0.1
Consumer Products-Misc.	0.1
Medical Labs & Testing Services	0.1
Engines-Internal Combustion	0.1
Pipelines	0.1
Disposable Medical Products	0.1
Industrial Automated/Robotic	0.1
Chemicals-Diversified	0.1
Aerospace/Defense-Equipment	0.1
Television	0.1
Gold Mining	0.1
Machinery-Farming	0.1
Advertising Agencies	0.1
	99.8	%

*  Calculated as a percentage of net assets

#  See Note 1

149

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 97.7%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc.		3,111	$	64,678
Omnicom Group, Inc.		2,390		177,027
				241,705
Aerospace/Defense — 2.7%
Boeing Co.		14,474		3,679,436
General Dynamics Corp.		19,090		3,924,522
Lockheed Martin Corp.		3,604		1,118,285
Northrop Grumman Corp.		15,586		4,484,404
Raytheon Co.		2,797		521,864
Rockwell Collins, Inc.		1,472		192,405
TransDigm Group, Inc.		694		177,421
				14,098,337
Aerospace/Defense-Equipment — 0.1%
Harris Corp.		1,723		226,885
L3 Technologies, Inc.		506		95,345
				322,230
Agricultural Chemicals — 0.4%
Monsanto Co.		15,804		1,893,635
Airlines — 0.4%
Alaska Air Group, Inc.		1,137		86,719
Southwest Airlines Co.		7,921		443,418
United Continental Holdings, Inc.†		28,862		1,757,118
				2,287,255
Apparel Manufacturers — 0.2%
Carter's, Inc.		7,866		776,767
Hanesbrands, Inc.		2,726		67,169
Michael Kors Holdings, Ltd.†		2,181		104,361
Under Armour, Inc., Class A†		2,660		43,837
Under Armour, Inc., Class C†		2,677		40,208
				1,032,342
Applications Software — 5.9%
Citrix Systems, Inc.†		2,070		159,017
Intuit, Inc.		17,355		2,466,840
Microsoft Corp.		298,114		22,206,512
Red Hat, Inc.†		2,553		283,025
salesforce.com, Inc.†		56,885		5,314,197
				30,429,591
Athletic Footwear — 0.9%
NIKE, Inc., Class B		94,569		4,903,403
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		2,628		190,110
Auto/Truck Parts & Equipment-Original — 0.8%
Delphi Automotive PLC		29,788		2,931,139
WABCO Holdings, Inc.†		6,951		1,028,748
				3,959,887
Banks-Fiduciary — 0.5%
Citizens Financial Group, Inc.		2,737		103,650
Northern Trust Corp.		28,810		2,648,503
				2,752,153

Security Description	Shares		Value (Note 2)
Banks-Super Regional — 0.6%
Comerica, Inc.		1,392	$	106,154
KeyCorp		7,665		144,255
SunTrust Banks, Inc.		33,106		1,978,746
US Bancorp		12,801		686,005
				2,915,160
Beverages-Non-alcoholic — 1.7%
Coca-Cola Co.		111,164		5,003,492
Dr Pepper Snapple Group, Inc.		1,568		138,721
Monster Beverage Corp.†		46,157		2,550,174
PepsiCo, Inc.		11,507		1,282,225
				8,974,612
Beverages-Wine/Spirits — 0.1%
Brown-Forman Corp., Class B		1,690		91,767
Constellation Brands, Inc., Class A		2,473		493,240
				585,007
Brewery — 0.3%
Molson Coors Brewing Co., Class B		17,478		1,426,904
Broadcast Services/Program — 0.0%
Discovery Communications, Inc., Class A†		2,214		47,136
Discovery Communications, Inc., Class C†		2,923		59,220
Scripps Networks Interactive, Inc., Class A		1,380		118,528
				224,884
Building & Construction Products-Misc. — 0.0%
Fortune Brands Home & Security, Inc.		1,573		105,753
Building Products-Cement — 0.4%
Martin Marietta Materials, Inc.		904		186,432
Vulcan Materials Co.		16,626		1,988,470
				2,174,902
Building Products-Wood — 0.0%
Masco Corp.		2,841		110,827
Cable/Satellite TV — 2.1%
Charter Communications, Inc., Class A†		2,893		1,051,374
Comcast Corp., Class A		246,858		9,499,096
DISH Network Corp., Class A†		1,867		101,247
				10,651,717
Casino Hotels — 0.3%
Las Vegas Sands Corp.		20,928		1,342,740
MGM Resorts International		4,691		152,880
Wynn Resorts, Ltd.		1,151		171,407
				1,667,027
Cellular Telecom — 0.2%
T-Mobile US, Inc.†		13,321		821,373
Chemicals-Diversified — 0.1%
FMC Corp.		1,273		113,692
PPG Industries, Inc.		1,955		212,430
				326,122

150

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.2%
Albemarle Corp.		1,589	$	216,597
International Flavors & Fragrances, Inc.		659		94,178
Valvoline, Inc.		30,941		725,566
				1,036,341
Coatings/Paint — 0.8%
Sherwin-Williams Co.		10,853		3,885,808
Commercial Services — 0.6%
Cintas Corp.		1,228		177,176
CoStar Group, Inc.†		5,096		1,367,002
Ecolab, Inc.		2,060		264,936
Nielsen Holdings PLC		2,657		110,133
Quanta Services, Inc.†		2,175		81,280
ServiceMaster Global Holdings, Inc.†		19,314		902,543
				2,903,070
Commercial Services-Finance — 1.2%
Automatic Data Processing, Inc.		6,392		698,773
Equifax, Inc.		9,806		1,039,338
Global Payments, Inc.		11,736		1,115,272
IHS Markit, Ltd.†		1,463		64,489
Moody's Corp.		2,390		332,712
PayPal Holdings, Inc.†		16,258		1,041,000
S&P Global, Inc.		9,508		1,486,195
Total System Services, Inc.		2,412		157,986
Western Union Co.		4,338		83,290
				6,019,055
Computer Aided Design — 0.4%
ANSYS, Inc.†		756		92,784
Autodesk, Inc.†		2,081		233,613
Cadence Design Systems, Inc.†		42,013		1,658,253
Synopsys, Inc.†		2,161		174,025
				2,158,675
Computer Services — 0.7%
Accenture PLC, Class A		8,889		1,200,637
Amdocs, Ltd.		14,427		927,945
Cognizant Technology Solutions Corp., Class A		5,947		431,395
CSRA, Inc.		1,129		36,433
DXC Technology Co.		2,170		186,360
International Business Machines Corp.		7,106		1,030,938
				3,813,708
Computer Software — 0.2%
Akamai Technologies, Inc.†		2,466		120,143
SS&C Technologies Holdings, Inc.		19,644		788,707
				908,850
Computers — 5.6%
Apple, Inc.		188,761		29,091,845
Computers-Memory Devices — 0.0%
NetApp, Inc.		2,406		105,287
Consulting Services — 0.5%
Gartner, Inc.†		9,613		1,195,954
Verisk Analytics, Inc.†		14,249		1,185,374
				2,381,328

Security Description	Shares		Value (Note 2)
Consumer Products-Misc. — 0.1%
Clorox Co.		1,021	$	134,680
Kimberly-Clark Corp.		2,643		311,028
				445,708
Containers-Paper/Plastic — 0.3%
Packaging Corp. of America		1,357		155,621
Sealed Air Corp.		36,340		1,552,445
				1,708,066
Cosmetics & Toiletries — 1.4%
Colgate-Palmolive Co.		30,933		2,253,469
Coty, Inc., Class A		2,850		47,110
Estee Lauder Cos., Inc., Class A		32,505		3,505,339
Procter & Gamble Co.		17,973		1,635,184
				7,441,102
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		11,344		613,143
Royal Caribbean Cruises, Ltd.		1,262		149,598
				762,741
Data Processing/Management — 0.6%
Fidelity National Information Services, Inc.		4,782		446,591
Fiserv, Inc.†		18,068		2,330,049
Paychex, Inc.		4,601		275,876
				3,052,516
Dental Supplies & Equipment — 0.0%
Align Technology, Inc.†		1,038		193,348
Diagnostic Equipment — 0.9%
Danaher Corp.		32,463		2,784,676
Thermo Fisher Scientific, Inc.		11,129		2,105,607
				4,890,283
Diagnostic Kits — 0.0%
IDEXX Laboratories, Inc.†		1,255		195,140
Disposable Medical Products — 0.1%
C.R. Bard, Inc.		1,045		334,923
Distribution/Wholesale — 0.3%
Fastenal Co.		29,997		1,367,263
LKQ Corp.†		4,443		159,904
WW Grainger, Inc.		755		135,711
				1,662,878
Diversified Manufacturing Operations — 1.7%
3M Co.		13,178		2,766,062
A.O. Smith Corp.		22,240		1,321,723
General Electric Co.		58,533		1,415,328
Illinois Tool Works, Inc.		19,291		2,854,297
Ingersoll-Rand PLC		3,649		325,381
Parker-Hannifin Corp.		1,302		227,876
				8,910,667
Drug Delivery Systems — 0.2%
DexCom, Inc.†		25,145		1,230,219
E-Commerce/Products — 3.5%
Amazon.com, Inc.†		18,466		17,752,289
eBay, Inc.†		5,584		214,761
				17,967,050

151

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
E-Commerce/Services — 1.2%
Expedia, Inc.		1,757	$	252,903
Priceline Group, Inc.†		3,189		5,838,485
TripAdvisor, Inc.†		904		36,639
				6,128,027
Electric Products-Misc. — 0.4%
AMETEK, Inc.		26,296		1,736,588
Emerson Electric Co.		4,235		266,127
				2,002,715
Electric-Distribution — 0.0%
CenterPoint Energy, Inc.		3,596		105,039
Electric-Integrated — 0.2%
Alliant Energy Corp.		1,562		64,932
Dominion Energy, Inc.		4,344		334,184
NextEra Energy, Inc.		3,300		483,615
WEC Energy Group, Inc.		2,360		148,161
				1,030,892
Electronic Components-Misc. — 0.4%
Corning, Inc.		12,992		388,720
Flex, Ltd.†		101,217		1,677,166
Garmin, Ltd.		1,596		86,136
				2,152,022
Electronic Components-Semiconductors — 3.5%
Advanced Micro Devices, Inc.†		11,576		147,594
Broadcom, Ltd.		16,604		4,027,134
Intel Corp.		32,444		1,235,468
Microchip Technology, Inc.		24,878		2,233,547
NVIDIA Corp.		17,846		3,190,329
Skyworks Solutions, Inc.		2,643		269,322
Texas Instruments, Inc.		75,146		6,736,087
Xilinx, Inc.		2,324		164,609
				18,004,090
Electronic Connectors — 0.7%
Amphenol Corp., Class A		37,958		3,212,765
TE Connectivity, Ltd.		2,542		211,139
				3,423,904
Electronic Forms — 1.3%
Adobe Systems, Inc.†		44,626		6,657,307
Electronic Measurement Instruments — 0.6%
Agilent Technologies, Inc.		21,434		1,376,063
FLIR Systems, Inc.		1,381		53,735
Fortive Corp.		23,161		1,639,567
				3,069,365
Electronic Security Devices — 0.0%
Allegion PLC		874		75,575
Engines-Internal Combustion — 0.1%
Cummins, Inc.		2,266		380,756
Enterprise Software/Service — 1.3%
Oracle Corp.		77,751		3,759,261
Tyler Technologies, Inc.†		10,715		1,867,839
Ultimate Software Group, Inc.†		5,914		1,121,294
				6,748,394

Security Description	Shares		Value (Note 2)
Entertainment Software — 1.2%
Activision Blizzard, Inc.		54,961	$	3,545,534
Electronic Arts, Inc.†		22,387		2,643,009
				6,188,543
Finance-Consumer Loans — 0.1%
Synchrony Financial		20,163		626,061
Finance-Credit Card — 3.4%
Alliance Data Systems Corp.		417		92,386
American Express Co.		5,066		458,270
Discover Financial Services		5,356		345,355
MasterCard, Inc., Class A		69,712		9,843,335
Visa, Inc., Class A		63,765		6,710,629
				17,449,975
Finance-Investment Banker/Broker — 0.5%
Charles Schwab Corp.		17,143		749,835
E*TRADE Financial Corp.†		3,956		172,521
Raymond James Financial, Inc.		1,015		85,595
TD Ameritrade Holding Corp.		28,432		1,387,482
				2,395,433
Finance-Other Services — 0.9%
CBOE Holdings, Inc.		1,054		113,442
CME Group, Inc.		3,080		417,894
Intercontinental Exchange, Inc.		61,955		4,256,309
Nasdaq, Inc.		773		59,962
				4,847,607
Food-Catering — 0.2%
Aramark		25,545		1,037,382
Food-Confectionery — 0.3%
Hershey Co.		13,825		1,509,275
Food-Misc./Diversified — 0.4%
Campbell Soup Co.		1,702		79,688
General Mills, Inc.		4,566		236,336
Kellogg Co.		1,930		120,374
Kraft Heinz Co.		19,321		1,498,343
McCormick & Co., Inc.		1,095		112,391
				2,047,132
Food-Wholesale/Distribution — 0.0%
Sysco Corp.		3,702		199,723
Gold Mining — 0.1%
Newmont Mining Corp.		7,670		287,702
Home Decoration Products — 0.0%
Newell Brands, Inc.		4,300		183,481
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,142		54,508
Hotels/Motels — 0.2%
Hilton Worldwide Holdings, Inc.		2,321		161,194
Marriott International, Inc., Class A		4,500		496,170
Wyndham Worldwide Corp.		991		104,461
				761,825
Independent Power Producers — 0.1%
NRG Energy, Inc.		20,636		528,075

152

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Industrial Automated/Robotic — 0.1%
Rockwell Automation, Inc.		1,846	$	328,976
Industrial Gases — 0.6%
Air Products & Chemicals, Inc.		16,596		2,509,647
Praxair, Inc.		2,304		321,961
				2,831,608
Instruments-Controls — 1.2%
Honeywell International, Inc.		29,383		4,164,746
Mettler-Toledo International, Inc.†		369		231,053
Sensata Technologies Holding NV†		33,697		1,619,815
				6,015,614
Instruments-Scientific — 0.0%
Waters Corp.†		758		136,076
Insurance Brokers — 0.3%
Aon PLC		3,658		534,434
Arthur J. Gallagher & Co.		2,592		159,538
Marsh & McLennan Cos., Inc.		7,372		617,847
				1,311,819
Insurance-Multi-line — 0.0%
Cincinnati Financial Corp.		1,202		92,037
Insurance-Property/Casualty — 0.3%
Progressive Corp.		31,064		1,504,119
Internet Content-Entertainment — 4.2%
Facebook, Inc., Class A†		109,188		18,656,954
Netflix, Inc.†		18,580		3,369,483
				22,026,437
Internet Infrastructure Software — 0.0%
F5 Networks, Inc.†		914		110,192
Internet Security — 0.0%
Symantec Corp.		4,331		142,100
Investment Management/Advisor Services — 0.1%
Ameriprise Financial, Inc.		1,035		153,708
BlackRock, Inc.		874		390,757
T. Rowe Price Group, Inc.		2,247		203,690
				748,155
Lighting Products & Systems — 0.0%
Acuity Brands, Inc.		605		103,624
Machinery-Construction & Mining — 0.1%
Caterpillar, Inc.		4,420		551,218
Machinery-Farming — 0.1%
Deere & Co.		2,254		283,080
Machinery-General Industrial — 0.8%
Middleby Corp.†		15,121		1,938,059
Roper Technologies, Inc.		9,603		2,337,370
				4,275,429
Machinery-Pumps — 0.5%
Xylem, Inc.		38,315		2,399,668
Medical Information Systems — 0.3%
athenahealth, Inc.†		8,367		1,040,520
Cerner Corp.†		4,531		323,151
				1,363,671

Security Description	Shares		Value (Note 2)
Medical Instruments — 1.3%
Boston Scientific Corp.†		144,902	$	4,226,791
Edwards Lifesciences Corp.†		17,375		1,899,261
Intuitive Surgical, Inc.†		536		560,592
				6,686,644
Medical Labs & Testing Services — 0.1%
Laboratory Corp. of America Holdings†		791		119,417
Quest Diagnostics, Inc.		1,217		113,960
Quintiles IMS Holdings, Inc.†		2,180		207,253
				440,630
Medical Products — 0.5%
Becton Dickinson and Co.		3,273		641,344
Cooper Cos., Inc.		4,029		955,316
Stryker Corp.		4,627		657,127
Varian Medical Systems, Inc.†		1,320		132,079
Zimmer Biomet Holdings, Inc.		1,861		217,905
				2,603,771
Medical-Biomedical/Gene — 4.4%
Alexion Pharmaceuticals, Inc.†		3,210		450,331
Amgen, Inc.		18,138		3,381,830
Biogen, Inc.†		9,756		3,054,799
Celgene Corp.†		28,760		4,193,783
Gilead Sciences, Inc.		18,785		1,521,961
Illumina, Inc.†		11,289		2,248,769
Incyte Corp.†		19,965		2,330,714
Regeneron Pharmaceuticals, Inc.†		8,657		3,870,718
Vertex Pharmaceuticals, Inc.†		12,079		1,836,491
				22,889,396
Medical-Drugs — 4.2%
AbbVie, Inc.		22,930		2,037,560
Allergan PLC		6,636		1,360,048
Bristol-Myers Squibb Co.		12,974		826,963
Eli Lilly & Co.		82,704		7,074,500
Johnson & Johnson		23,551		3,061,865
Merck & Co., Inc.		24,393		1,561,884
Pfizer, Inc.		48,072		1,716,170
Shire PLC ADR		13,042		1,997,252
Zoetis, Inc.		32,972		2,102,295
				21,738,537
Medical-HMO — 1.8%
Aetna, Inc.		28,051		4,460,389
Humana, Inc.		8,685		2,115,927
UnitedHealth Group, Inc.		13,908		2,723,882
				9,300,198
Medical-Hospitals — 0.4%
Envision Healthcare Corp.†		18,272		821,326
HCA Healthcare, Inc.†		2,120		168,731
Universal Health Services, Inc., Class B		10,499		1,164,759
				2,154,816
Metal-Copper — 0.0%
Freeport-McMoRan, Inc.†		11,806		165,756
Motorcycle/Motor Scooter — 0.0%
Harley-Davidson, Inc.		2,454		118,307

153

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Multimedia — 1.0%
Time Warner, Inc.		11,188	$	1,146,211
Twenty-First Century Fox, Inc., Class A		7,267		191,704
Twenty-First Century Fox, Inc., Class B		3,032		78,195
Walt Disney Co.		35,590		3,508,106
				4,924,216
Networking Products — 0.2%
Cisco Systems, Inc.		36,275		1,219,928
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		3,294		217,602
Waste Management, Inc.		5,823		455,766
				673,368
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		674		66,281
Oil Companies-Exploration & Production — 1.0%
Anadarko Petroleum Corp.		20,293		991,313
Apache Corp.		3,507		160,621
Cabot Oil & Gas Corp.		3,193		85,413
Chesapeake Energy Corp.†		6,139		26,398
Cimarex Energy Co.		767		87,185
Concho Resources, Inc.†		8,278		1,090,378
Devon Energy Corp.		4,159		152,677
Diamondback Energy, Inc.†		14,448		1,415,326
EOG Resources, Inc.		4,319		417,820
EQT Corp.		1,496		97,599
Newfield Exploration Co.†		1,920		56,967
Noble Energy, Inc.		2,939		83,350
Occidental Petroleum Corp.		4,729		303,649
Pioneer Natural Resources Co.		2,447		361,030
Range Resources Corp.		1,234		24,149
				5,353,875
Oil-Field Services — 0.2%
Baker Hughes a GE Co., LLC		2,647		96,933
Halliburton Co.		7,241		333,303
Schlumberger, Ltd.		8,994		627,422
				1,057,658
Pipelines — 0.1%
ONEOK, Inc.		3,825		211,943
Williams Cos., Inc.		5,351		160,584
				372,527
Real Estate Investment Trusts — 3.1%
Alexandria Real Estate Equities, Inc.		1,347		160,253
American Tower Corp.		50,115		6,849,718
Apartment Investment & Management Co., Class A		2,259		99,080
AvalonBay Communities, Inc.		1,986		354,342
Boston Properties, Inc.		1,443		177,316
Crown Castle International Corp.		3,799		379,824
Digital Realty Trust, Inc.		2,943		348,245
Duke Realty Corp.		5,117		147,472
Equinix, Inc.		7,135		3,184,350

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Equity Residential		3,540	$	233,392
Essex Property Trust, Inc.		503		127,777
Extra Space Storage, Inc.		1,811		144,735
Federal Realty Investment Trust		655		81,358
GGP, Inc.		9,008		187,096
Host Hotels & Resorts, Inc.		10,645		196,826
Iron Mountain, Inc.		2,168		84,335
Kimco Realty Corp.		6,123		119,705
Mid-America Apartment Communities, Inc.		997		106,559
Prologis, Inc.		7,650		485,469
Public Storage		1,399		299,372
Realty Income Corp.		2,444		139,772
Regency Centers Corp.		1,341		83,196
SBA Communications Corp.†		1,333		192,019
Simon Property Group, Inc.		2,951		475,140
Starwood Waypoint Homes		16,248		590,940
UDR, Inc.		3,849		146,377
Ventas, Inc.		2,920		190,180
Vornado Realty Trust		1,240		95,331
Welltower, Inc.		5,306		372,906
				16,053,085
Real Estate Management/Services — 0.0%
CBRE Group, Inc., Class A†		1,904		72,124
Recreational Vehicles — 0.3%
Polaris Industries, Inc.		13,198		1,380,907
Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		1,216		168,708
Respiratory Products — 0.0%
ResMed, Inc.		1,350		103,896
Retail-Apparel/Shoe — 0.9%
Coach, Inc.		2,032		81,849
Foot Locker, Inc.		1,152		40,574
L Brands, Inc.		13,043		542,719
PVH Corp.		11,121		1,401,913
Ross Stores, Inc.		40,772		2,632,648
				4,699,703
Retail-Auto Parts — 0.3%
Advance Auto Parts, Inc.		1,062		105,350
AutoZone, Inc.†		1,673		995,619
O'Reilly Automotive, Inc.†		1,266		272,659
				1,373,628
Retail-Automobile — 0.0%
CarMax, Inc.†		1,186		89,911
Retail-Building Products — 1.3%
Home Depot, Inc.		24,564		4,017,688
Lowe's Cos., Inc.		37,001		2,957,860
				6,975,548
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		1,527		86,978

154

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Discount — 0.9%
Costco Wholesale Corp.		25,239	$	4,146,515
Dollar General Corp.		3,747		303,694
Dollar Tree, Inc.†		3,407		295,796
				4,746,005
Retail-Drug Store — 0.2%
Walgreens Boots Alliance, Inc.		12,948		999,845
Retail-Gardening Products — 0.2%
Tractor Supply Co.		19,366		1,225,674
Retail-Jewelry — 0.0%
Tiffany & Co.		749		68,743
Retail-Major Department Stores — 0.1%
TJX Cos., Inc.		9,152		674,777
Retail-Perfume & Cosmetics — 0.0%
Ulta Beauty, Inc.†		839		189,664
Retail-Restaurants — 2.2%
Chipotle Mexican Grill, Inc.†		199		61,258
Darden Restaurants, Inc.		1,803		142,040
Dunkin' Brands Group, Inc.		23,809		1,263,782
McDonald's Corp.		42,468		6,653,886
Starbucks Corp.		58,729		3,154,335
Yum! Brands, Inc.		4,959		365,032
				11,640,333
Semiconductor Components-Integrated Circuits — 0.3%
Analog Devices, Inc.		5,289		455,753
QUALCOMM, Inc.		21,252		1,101,704
				1,557,457
Semiconductor Equipment — 0.6%
Applied Materials, Inc.		43,799		2,281,490
KLA-Tencor Corp.		2,256		239,136
Lam Research Corp.		2,337		432,438
				2,953,064
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		2,333		113,034
Steel-Producers — 0.0%
Nucor Corp.		2,711		151,924
Telecom Services — 0.0%
Level 3 Communications, Inc.†		2,366		126,084
Telecommunication Equipment — 0.1%
CommScope Holding Co., Inc.†		13,201		438,405
Juniper Networks, Inc.		3,063		85,244
				523,649
Telephone-Integrated — 0.3%
Verizon Communications, Inc.		31,100		1,539,139
Television — 0.1%
CBS Corp., Class B		5,237		303,746
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		427		105,687

Security Description	Shares		Value (Note 2)
Tobacco — 1.6%
Altria Group, Inc.		77,964	$	4,944,477
Philip Morris International, Inc.		30,656		3,403,122
				8,347,599
Tools-Hand Held — 0.0%
Snap-on, Inc.		439		65,416
Stanley Black & Decker, Inc.		1,057		159,575
				224,991
Toys — 0.0%
Hasbro, Inc.		1,637		159,886
Mattel, Inc.		2,810		43,499
				203,385
Transport-Rail — 1.2%
CSX Corp.		101,797		5,523,505
Union Pacific Corp.		7,944		921,266
				6,444,771
Transport-Services — 0.4%
C.H. Robinson Worldwide, Inc.		1,009		76,785
Expeditors International of Washington, Inc.		1,638		98,051
FedEx Corp.		3,550		800,809
United Parcel Service, Inc., Class B		9,907		1,189,731
				2,165,376
Transport-Truck — 0.0%
JB Hunt Transport Services, Inc.		1,228		136,406
Water — 0.0%
American Water Works Co., Inc.		2,564		207,453
Web Hosting/Design — 0.0%
VeriSign, Inc.†		1,236		131,498
Web Portals/ISP — 5.3%
Alphabet, Inc., Class A†		10,051		9,786,860
Alphabet, Inc., Class C†		18,359		17,608,300
				27,395,160
Wireless Equipment — 0.0%
Motorola Solutions, Inc.		2,340		198,596
X-Ray Equipment — 0.0%
Hologic, Inc.†		2,421		88,826
Total Common Stocks (cost $385,360,458)				508,545,457
EXCHANGE-TRADED FUNDS — 1.0%
iShares S&P 500 Growth Index Fund (cost $5,117,194)		36,375		5,216,902
Total Long-Term Investment Securities (cost $390,477,652)				513,762,359
SHORT-TERM INVESTMENT SECURITIES — 0.9%
Registered Investment Companies — 0.7%
State Street Institutional U.S. Government Money Market Fund, Administration Class 0.67%(1)		3,764,428		3,764,428

155

Seasons Series Trust Large Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount		Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES (continued)
U.S. Government Agencies — 0.2%
Federal Home Loan Bank Disc. Notes 0.61% due 10/02/2017	$	1,200,000	$	1,199,980
Total Short-Term Investment Securities (cost $4,964,408)				4,964,408
REPURCHASE AGREEMENTS — 0.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12% dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $1,118,011 and collateralized by $1,145,000 of United States Treasury Inflation Indexed Bonds, bearing interest at 0.38% due 07/15/2027 and having an approximate value of $1,140,706 (cost $1,118,000)		1,118,000		1,118,000

Security Description			Value (Note 2)
TOTAL INVESTMENTS (cost $396,560,060)(2)	99.8	%	$	519,844,767
Other assets less liabilities	0.2			1,219,972
NET ASSETS	100.0	%	$	521,064,739

#  See Note 1

†  Non-income producing security

(1)  The rate shown is the 7-day yield as of September 30, 2017.

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

ADR — American Depositary Receipt

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Growth Index	December 2017	$	1,438,420	$	1,439,600	$	1,180

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	508,545,457	$	—	$	—	$	508,545,457
Exchange-Traded Funds		5,216,902		—		—		5,216,902
Short-Term Investment Securities:
Registered Investment Companies		3,764,428		—		—		3,764,428
U.S. Government Agencies		—		1,199,980		—		1,199,980
Repurchase Agreements		—		1,118,000		—		1,118,000
Total Investments at Value	$	517,526,787	$	2,317,980	$	—	$	519,844,767
Other Financial Instruments:†
Futures Contracts	$	1,180	$	—	$	—	$	1,180

*  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, 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.

See Notes to Financial Statements

156

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Banking Institutions	7.9	%
Medical-Drugs	7.5
Oil Companies-Integrated	5.7
Banks-Super Regional	5.3
Electric-Integrated	3.6
Diversified Manufacturing Operations	3.3
Oil Companies-Exploration & Production	2.7
Banks-Commercial	2.5
Networking Products	2.4
Oil-Field Services	2.4
Cosmetics & Toiletries	2.1
Insurance-Multi-line	2.1
Chemicals-Diversified	2.1
Investment Management/Advisor Services	2.1
Telephone-Integrated	2.1
Food-Misc./Diversified	1.9
Electronic Components-Semiconductors	1.7
Real Estate Investment Trusts	1.6
Retail-Discount	1.5
Medical Instruments	1.5
Multimedia	1.3
Insurance-Life/Health	1.3
Insurance-Reinsurance	1.3
Aerospace/Defense-Equipment	1.2
Tobacco	1.2
Banks-Fiduciary	1.2
Building Products-Air & Heating	1.2
Transport-Rail	1.0
Exchange-Traded Funds	1.0
Medical-Biomedical/Gene	1.0
Semiconductor Components-Integrated Circuits	1.0
Retail-Drug Store	1.0
Diagnostic Equipment	0.9
Computer Services	0.9
Insurance-Property/Casualty	0.8
Enterprise Software/Service	0.8
Cruise Lines	0.8
Computers-Memory Devices	0.7
Medical Products	0.7
Pipelines	0.7
Building-Residential/Commercial	0.7
Gas-Distribution	0.6
Beverages-Non-alcoholic	0.6
Hotels/Motels	0.6
Machinery-Construction & Mining	0.6
Paper & Related Products	0.6
Auto-Cars/Light Trucks	0.5
Building & Construction Products-Misc.	0.5
Retail-Catalog Shopping	0.5
Finance-Consumer Loans	0.5
Retail-Apparel/Shoe	0.5
Electronic Connectors	0.5
Finance-Other Services	0.5
Wireless Equipment	0.5
Medical-Wholesale Drug Distribution	0.5
Agricultural Chemicals	0.5
Insurance Brokers	0.5
Retail-Auto Parts	0.4
Semiconductor Equipment	0.4
Oil Refining & Marketing	0.4

Medical-Hospitals	0.4	%
Medical-HMO	0.4
Commercial Services	0.4
Transport-Truck	0.3
Theaters	0.3
Electric-Distribution	0.3
Retail-Jewelry	0.3
Computers	0.3
Repurchase Agreements	0.3
Food-Wholesale/Distribution	0.3
Aerospace/Defense	0.3
Auto/Truck Parts & Equipment-Original	0.3
Containers-Paper/Plastic	0.2
Time Deposits	0.2
Toys	0.2
Airlines	0.2
Retail-Restaurants	0.2
Instruments-Controls	0.2
Finance-Credit Card	0.1
Electric Products-Misc.	0.1
Pharmacy Services	0.1
Industrial Gases	0.1
Apparel Manufacturers	0.1
Athletic Footwear	0.1
Food-Meat Products	0.1
Medical-Generic Drugs	0.1
Consumer Products-Misc.	0.1
Retail-Building Products	0.1
Agricultural Operations	0.1
E-Commerce/Products	0.1
Machinery-Farming	0.1
Commercial Services-Finance	0.1
Food-Retail	0.1
Dental Supplies & Equipment	0.1
Tools-Hand Held	0.1
Computer Aided Design	0.1
Brewery	0.1
Containers-Metal/Glass	0.1
Retail-Regional Department Stores	0.1
Oil Field Machinery & Equipment	0.1
Appliances	0.1
	99.8	%

*  Calculated as a percentage of net assets

#  See Note 1

157

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.3%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc.		5,594	$	116,299
Omnicom Group, Inc.		2,042		151,251
				267,550
Aerospace/Defense — 0.3%
Arconic, Inc.		12,267		305,203
Boeing Co.		5,795		1,473,147
Raytheon Co.		3,027		564,778
Rockwell Collins, Inc.		1,900		248,349
				2,591,477
Aerospace/Defense-Equipment — 1.2%
L3 Technologies, Inc.		1,360		256,265
United Technologies Corp.		94,904		11,016,456
				11,272,721
Agricultural Chemicals — 0.5%
Agrium, Inc.		28,902		3,098,583
CF Industries Holdings, Inc.		7,372		259,200
Monsanto Co.		4,582		549,015
Mosaic Co.		11,095		239,541
				4,146,339
Agricultural Operations — 0.1%
Archer-Daniels-Midland Co.		17,781		755,870
Airlines — 0.2%
Alaska Air Group, Inc.		1,406		107,235
American Airlines Group, Inc.		13,700		650,613
Delta Air Lines, Inc.		21,054		1,015,224
				1,773,072
Apparel Manufacturers — 0.1%
Hanesbrands, Inc.		5,530		136,259
Ralph Lauren Corp.		1,750		154,507
VF Corp.		10,326		656,424
				947,190
Appliances — 0.1%
Whirlpool Corp.		2,307		425,503
Athletic Footwear — 0.1%
NIKE, Inc., Class B		17,858		925,937
Auto-Cars/Light Trucks — 0.5%
Ford Motor Co.		123,623		1,479,768
General Motors Co.		41,453		1,673,872
Honda Motor Co., Ltd ADR		57,870		1,710,637
				4,864,277
Auto-Heavy Duty Trucks — 0.0%
PACCAR, Inc.		5,331		385,644
Auto/Truck Parts & Equipment-Original — 0.3%
BorgWarner, Inc.		6,271		321,263
Delphi Automotive PLC		22,784		2,241,946
				2,563,209
Banks-Commercial — 2.5%
BB&T Corp.		176,122		8,267,167
ING Groep NV ADR		225,211		4,148,387
M&T Bank Corp.		55,984		9,015,663

Security Description	Shares		Value (Note 2)
Banks-Commercial (continued)
Regions Financial Corp.		37,774	$	575,298
Zions Bancorporation		6,390		301,480
				22,307,995
Banks-Fiduciary — 1.2%
Bank of New York Mellon Corp.		169,916		9,008,946
Citizens Financial Group, Inc.		9,812		371,580
Northern Trust Corp.		2,444		224,677
State Street Corp.		11,820		1,129,283
				10,734,486
Banks-Super Regional — 5.3%
Capital One Financial Corp.		15,289		1,294,367
Comerica, Inc.		2,502		190,803
Fifth Third Bancorp		23,286		651,542
Huntington Bancshares, Inc.		34,453		480,964
KeyCorp		17,531		329,933
PNC Financial Services Group, Inc.		95,538		12,875,656
SunTrust Banks, Inc.		15,170		906,711
US Bancorp		161,411		8,650,015
Wells Fargo & Co.		409,577		22,588,172
				47,968,163
Beverages-Non-alcoholic — 0.6%
Coca-Cola Co.		59,455		2,676,069
Dr Pepper Snapple Group, Inc.		2,298		203,304
Monster Beverage Corp.†		5,244		289,731
PepsiCo, Inc.		19,867		2,213,780
				5,382,884
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class B		2,476		134,447
Brewery — 0.1%
Molson Coors Brewing Co., Class B		5,838		476,614
Building & Construction Products-Misc. — 0.5%
Fortune Brands Home & Security, Inc.		69,556		4,676,250
Building Products-Air & Heating — 1.2%
Johnson Controls International PLC		264,981		10,676,084
Building Products-Wood — 0.0%
Masco Corp.		3,827		149,291
Building-Residential/Commercial — 0.7%
D.R. Horton, Inc.		10,766		429,886
Lennar Corp., Class A		6,422		339,082
PulteGroup, Inc.		189,863		5,188,956
				5,957,924
Cable/Satellite TV — 0.0%
DISH Network Corp., Class A†		3,094		167,788
Casino Hotels — 0.0%
MGM Resorts International		6,054		197,300
Chemicals-Diversified — 2.1%
DowDuPont, Inc.		196,886		13,630,418
Eastman Chemical Co.		4,579		414,354
FMC Corp.		1,441		128,696
LyondellBasell Industries NV, Class A		41,459		4,106,514
PPG Industries, Inc.		3,810		413,994
				18,693,976

158

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Specialty — 0.0%
International Flavors & Fragrances, Inc.		1,048	$	149,770
Coatings/Paint — 0.0%
Sherwin-Williams Co.		805		288,222
Commercial Services — 0.4%
Ecolab, Inc.		3,704		476,372
Nielsen Holdings PLC		66,685		2,764,093
				3,240,465
Commercial Services-Finance — 0.1%
H&R Block, Inc.		6,608		174,980
IHS Markit, Ltd.†		8,267		364,409
Western Union Co.		5,133		98,554
				637,943
Computer Aided Design — 0.1%
ANSYS, Inc.†		1,018		124,939
Autodesk, Inc.†		2,356		264,484
Cadence Design Systems, Inc.†		2,480		97,886
				487,309
Computer Services — 0.9%
Cognizant Technology Solutions Corp., Class A		78,144		5,668,566
CSRA, Inc.		2,687		86,709
DXC Technology Co.		4,229		363,187
International Business Machines Corp.		11,780		1,709,042
				7,827,504
Computers — 0.3%
Apple, Inc.		5,800		893,896
Hewlett Packard Enterprise Co.		51,920		763,743
HP, Inc.		52,793		1,053,748
				2,711,387
Computers-Memory Devices — 0.7%
NetApp, Inc.		120,679		5,280,913
Seagate Technology PLC		9,098		301,781
Western Digital Corp.		9,320		805,248
				6,387,942
Consumer Products-Misc. — 0.1%
Clorox Co.		1,836		242,187
Kimberly-Clark Corp.		5,360		630,765
				872,952
Containers-Metal/Glass — 0.1%
Ball Corp.		11,119		459,215
Containers-Paper/Plastic — 0.2%
Sealed Air Corp.		2,823		120,599
WestRock Co.		36,598		2,076,204
				2,196,803
Cosmetics & Toiletries — 2.1%
Colgate-Palmolive Co.		12,250		892,413
Coty, Inc., Class A		8,647		142,935
Estee Lauder Cos., Inc., Class A		2,972		320,500
Procter & Gamble Co.		130,476		11,870,706

Security Description	Shares		Value (Note 2)
Cosmetics & Toiletries (continued)
Unilever NV		81,816	$	4,830,417
Unilever NV CVA		23,790		1,406,995
				19,463,966
Cruise Lines — 0.8%
Carnival Corp.		30,371		1,961,055
Norwegian Cruise Line Holdings, Ltd.†		86,136		4,655,651
Royal Caribbean Cruises, Ltd.		2,665		315,909
				6,932,615
Dental Supplies & Equipment — 0.1%
DENTSPLY SIRONA, Inc.		7,254		433,862
Patterson Cos., Inc.		2,603		100,606
				534,468
Diagnostic Equipment — 0.9%
Abbott Laboratories		124,947		6,667,172
Danaher Corp.		9,082		779,054
Thermo Fisher Scientific, Inc.		4,933		933,323
				8,379,549
Dialysis Centers — 0.0%
DaVita, Inc.†		4,835		287,151
Diversified Banking Institutions — 7.9%
Bank of America Corp.		857,298		21,723,931
Citigroup, Inc.		246,260		17,912,953
Goldman Sachs Group, Inc.		11,372		2,697,325
JPMorgan Chase & Co.		285,236		27,242,890
Morgan Stanley		44,699		2,153,151
				71,730,250
Diversified Manufacturing Operations — 3.3%
3M Co.		6,036		1,266,956
Dover Corp.		4,920		449,639
Eaton Corp. PLC		98,893		7,593,994
General Electric Co.		501,960		12,137,393
Ingersoll-Rand PLC		57,523		5,129,326
Parker-Hannifin Corp.		1,347		235,752
Pentair PLC		5,220		354,751
Textron, Inc.		52,557		2,831,771
				29,999,582
Diversified Operations — 0.0%
Leucadia National Corp.		10,008		252,702
E-Commerce/Products — 0.1%
eBay, Inc.†		19,192		738,124
E-Commerce/Services — 0.0%
TripAdvisor, Inc.†		1,438		58,282
Electric Products-Misc. — 0.1%
AMETEK, Inc.		7,295		481,762
Emerson Electric Co.		10,924		686,464
				1,168,226
Electric-Distribution — 0.3%
CenterPoint Energy, Inc.		5,722		167,139
PPL Corp.		72,244		2,741,660
				2,908,799

159

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated — 3.6%
AES Corp.		20,869	$	229,976
Alliant Energy Corp.		3,871		160,917
Ameren Corp.		7,669		443,575
American Electric Power Co., Inc.		15,546		1,091,951
CMS Energy Corp.		8,914		412,896
Consolidated Edison, Inc.		9,793		790,099
Dominion Energy, Inc.		51,772		3,982,820
DTE Energy Co.		5,670		608,731
Duke Energy Corp.		22,122		1,856,478
Edison International		90,883		7,013,441
Entergy Corp.		5,674		433,267
Eversource Energy		10,016		605,367
Exelon Corp.		30,346		1,143,134
FirstEnergy Corp.		14,044		432,977
NextEra Energy, Inc.		7,547		1,106,013
PG&E Corp.		46,619		3,174,288
Pinnacle West Capital Corp.		3,528		298,328
Public Service Enterprise Group, Inc.		15,990		739,537
SCANA Corp.		4,517		219,029
Southern Co.		31,591		1,552,382
WEC Energy Group, Inc.		4,788		300,591
Xcel Energy, Inc.		132,834		6,285,705
				32,881,502
Electronic Components-Semiconductors — 1.7%
Intel Corp.		345,254		13,147,272
Micron Technology, Inc.†		35,213		1,384,927
Qorvo, Inc.†		4,023		284,346
Xilinx, Inc.		2,750		194,783
				15,011,328
Electronic Connectors — 0.5%
TE Connectivity, Ltd.		50,595		4,202,421
Electronic Measurement Instruments — 0.0%
Agilent Technologies, Inc.		3,555		228,231
FLIR Systems, Inc.		1,301		50,622
				278,853
Electronic Security Devices — 0.0%
Allegion PLC		1,081		93,474
Engineering/R&D Services — 0.0%
Fluor Corp.		4,422		186,166
Jacobs Engineering Group, Inc.		3,803		221,601
				407,767
Enterprise Software/Service — 0.8%
CA, Inc.		9,987		333,366
Micro Focus International PLC ADR†		90		2,871
Oracle Corp.		143,269		6,927,056
				7,263,293
Finance-Consumer Loans — 0.5%
Navient Corp.		8,664		130,133
Synchrony Financial		138,167		4,290,086
				4,420,219

Security Description	Shares		Value (Note 2)
Finance-Credit Card — 0.1%
Alliance Data Systems Corp.		610	$	135,146
American Express Co.		12,059		1,090,857
				1,226,003
Finance-Investment Banker/Broker — 0.0%
Raymond James Financial, Inc.		1,825		153,902
Finance-Other Services — 0.5%
CBOE Holdings, Inc.		1,248		134,322
CME Group, Inc.		3,975		539,328
Nasdaq, Inc.		45,433		3,524,238
				4,197,888
Food-Confectionery — 0.0%
J.M. Smucker Co.		3,590		376,699
Food-Meat Products — 0.1%
Hormel Foods Corp.		8,520		273,833
Tyson Foods, Inc., Class A		9,143		644,124
				917,957
Food-Misc./Diversified — 1.9%
Campbell Soup Co.		2,391		111,947
Conagra Brands, Inc.		73,068		2,465,314
General Mills, Inc.		53,498		2,769,057
Kellogg Co.		3,613		225,343
Kraft Heinz Co.		18,868		1,463,213
McCormick & Co., Inc.		1,353		138,872
Mondelez International, Inc., Class A		247,247		10,053,063
				17,226,809
Food-Retail — 0.1%
Kroger Co.		28,363		568,962
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		48,225		2,601,739
Gas-Distribution — 0.6%
NiSource, Inc.		10,300		263,577
Sempra Energy		45,237		5,162,899
				5,426,476
Hazardous Waste Disposal — 0.0%
Stericycle, Inc.†		2,697		193,159
Home Decoration Products — 0.0%
Newell Brands, Inc.		6,042		257,812
Home Furnishings — 0.0%
Leggett & Platt, Inc.		1,673		79,852
Hotels/Motels — 0.6%
Hilton Worldwide Holdings, Inc.		74,757		5,191,874
Wyndham Worldwide Corp.		1,072		112,999
				5,304,873
Human Resources — 0.0%
Robert Half International, Inc.		3,988		200,756
Independent Power Producers — 0.0%
NRG Energy, Inc.		9,503		243,182
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		2,962		447,913
Praxair, Inc.		3,978		555,886
				1,003,799

160

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Instruments-Controls — 0.2%
Honeywell International, Inc.		9,879	$	1,400,249
Instruments-Scientific — 0.0%
PerkinElmer, Inc.		3,484		240,292
Waters Corp.†		858		154,028
				394,320
Insurance Brokers — 0.5%
Marsh & McLennan Cos., Inc.		41,527		3,480,378
Willis Towers Watson PLC		4,245		654,706
				4,135,084
Insurance-Life/Health — 1.3%
Aflac, Inc.		42,782		3,482,027
Brighthouse Financial, Inc.†		3,029		184,163
Lincoln National Corp.		7,002		514,507
Principal Financial Group, Inc.		83,907		5,398,577
Prudential Financial, Inc.		13,497		1,435,001
Torchmark Corp.		3,419		273,828
Unum Group		7,133		364,710
				11,652,813
Insurance-Multi-line — 2.1%
Allstate Corp.		11,422		1,049,796
American International Group, Inc.(1)		28,555		1,752,991
Assurant, Inc.		1,703		162,671
Chubb, Ltd.		78,849		11,239,925
Cincinnati Financial Corp.		2,075		158,883
Hartford Financial Services Group, Inc.		11,515		638,276
Loews Corp.		8,724		417,531
MetLife, Inc.		71,555		3,717,282
				19,137,355
Insurance-Property/Casualty — 0.8%
Progressive Corp.		18,393		890,589
Travelers Cos., Inc.		8,722		1,068,619
XL Group, Ltd.		140,031		5,524,223
				7,483,431
Insurance-Reinsurance — 1.3%
Berkshire Hathaway, Inc., Class B†		60,819		11,149,339
Everest Re Group, Ltd.		1,298		296,450
				11,445,789
Internet Security — 0.0%
Symantec Corp.		9,906		325,016
Investment Management/Advisor Services — 2.1%
Affiliated Managers Group, Inc.		1,769		335,809
Ameriprise Financial, Inc.		20,934		3,108,908
BlackRock, Inc.		10,514		4,700,704
Franklin Resources, Inc.		10,400		462,904
Invesco, Ltd.		279,232		9,784,289
T. Rowe Price Group, Inc.		2,659		241,039
				18,633,653
Machinery-Construction & Mining — 0.6%
Caterpillar, Inc.		41,200		5,138,052

Security Description	Shares		Value (Note 2)
Machinery-Farming — 0.1%
Deere & Co.		5,156	$	647,542
Machinery-General Industrial — 0.0%
Roper Technologies, Inc.		1,454		353,904
Machinery-Pumps — 0.0%
Flowserve Corp.		4,129		175,854
Medical Instruments — 1.5%
Medtronic PLC		175,852		13,676,010
Medical Labs & Testing Services — 0.0%
Laboratory Corp. of America Holdings†		1,480		223,436
Quest Diagnostics, Inc.		1,638		153,382
				376,818
Medical Products — 0.7%
Baxter International, Inc.		15,844		994,211
Cooper Cos., Inc.		432		102,432
Henry Schein, Inc.†		5,015		411,180
Zimmer Biomet Holdings, Inc.		40,481		4,739,920
				6,247,743
Medical-Biomedical/Gene — 1.0%
Amgen, Inc.		29,564		5,512,208
Illumina, Inc.†		1,431		285,055
Vertex Pharmaceuticals, Inc.†		21,950		3,337,278
				9,134,541
Medical-Drugs — 7.5%
Allergan PLC		51,938		10,644,693
AstraZeneca PLC ADR		119,747		4,057,028
Bristol-Myers Squibb Co.		103,447		6,593,712
Eli Lilly & Co.		17,149		1,466,925
Johnson & Johnson		82,956		10,785,110
Merck & Co., Inc.		184,752		11,829,671
Pfizer, Inc.		357,788		12,773,032
Roche Holding AG		20,040		5,115,803
Roche Holding AG ADR		134,490		4,303,680
				67,569,654
Medical-Generic Drugs — 0.1%
Mylan NV†		16,951		531,753
Perrigo Co. PLC		4,192		354,853
				886,606
Medical-HMO — 0.4%
Anthem, Inc.		8,300		1,576,004
Centene Corp.†		5,452		527,590
Cigna Corp.		7,958		1,487,669
				3,591,263
Medical-Hospitals — 0.4%
Envision Healthcare Corp.†		2,253		101,272
HCA Healthcare, Inc.†		42,836		3,409,317
Universal Health Services, Inc., Class B		1,536		170,404
				3,680,993

161

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Wholesale Drug Distribution — 0.5%
AmerisourceBergen Corp.		5,125	$	424,094
Cardinal Health, Inc.		10,002		669,334
McKesson Corp.		20,066		3,082,338
				4,175,766
Metal-Copper — 0.0%
Freeport-McMoRan, Inc.†		16,587		232,881
Multimedia — 1.3%
Thomson Reuters Corp.		63,689		2,922,051
Time Warner, Inc.		23,070		2,363,521
Twenty-First Century Fox, Inc., Class A		17,300		456,374
Twenty-First Century Fox, Inc., Class B		7,219		186,178
Viacom, Inc., Class B		146,434		4,076,723
Walt Disney Co.		20,002		1,971,597
				11,976,444
Networking Products — 2.4%
Cisco Systems, Inc.		635,864		21,384,106
Office Automation & Equipment — 0.0%
Xerox Corp.		6,748		224,641
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		1,313		129,120
Oil & Gas Drilling — 0.0%
Helmerich & Payne, Inc.		3,432		178,841
Oil Companies-Exploration & Production — 2.7%
Anadarko Petroleum Corp.		76,656		3,744,646
Apache Corp.		4,335		198,543
Cabot Oil & Gas Corp.		7,602		203,353
Chesapeake Energy Corp.†		15,212		65,412
Cimarex Energy Co.		1,325		150,613
Concho Resources, Inc.†		2,162		284,779
ConocoPhillips		38,465		1,925,173
Devon Energy Corp.		7,477		274,481
EOG Resources, Inc.		54,012		5,225,121
EQT Corp.		2,191		142,941
Hess Corp.		8,541		400,487
Marathon Oil Corp.		26,867		364,317
Newfield Exploration Co.†		2,078		61,654
Noble Energy, Inc.		8,920		252,971
Occidental Petroleum Corp.		104,605		6,716,687
Pioneer Natural Resources Co.		22,621		3,337,502
Range Resources Corp.		4,425		86,597
Southwestern Energy Co.†		154,299		942,767
				24,378,044
Oil Companies-Integrated — 5.7%
Chevron Corp.		207,309		24,358,807
Exxon Mobil Corp.		160,031		13,119,341
Imperial Oil, Ltd.		156,210		4,990,207
Royal Dutch Shell PLC, Class B ADR		35,380		2,212,665
TOTAL SA ADR		128,880		6,897,658
				51,578,678

Security Description	Shares		Value (Note 2)
Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		12,012	$	429,189
Oil Refining & Marketing — 0.4%
Andeavor		4,563		470,674
Marathon Petroleum Corp.		16,002		897,392
Phillips 66		13,581		1,244,155
Valero Energy Corp.		13,960		1,073,943
				3,686,164
Oil-Field Services — 2.4%
Baker Hughes a GE Co., LLC		81,052		2,968,124
Halliburton Co.		115,826		5,331,471
Schlumberger, Ltd.		180,805		12,612,957
TechnipFMC PLC†		13,882		387,585
				21,300,137
Paper & Related Products — 0.6%
International Paper Co.		89,251		5,071,242
Pharmacy Services — 0.1%
Express Scripts Holding Co.†		18,255		1,155,907
Pipelines — 0.7%
Kinder Morgan, Inc.		279,239		5,355,804
ONEOK, Inc.		3,602		199,587
Williams Cos., Inc.		14,371		431,274
				5,986,665
Publishing-Newspapers — 0.0%
News Corp., Class A		12,080		160,181
News Corp., Class B		3,849		52,539
				212,720
Real Estate Investment Trusts — 1.6%
Boston Properties, Inc.		18,217		2,238,505
Brixmor Property Group, Inc.		175,133		3,292,500
Crown Castle International Corp.		4,494		449,310
Equity Residential		3,831		252,578
Essex Property Trust, Inc.		980		248,949
Federal Realty Investment Trust		845		104,957
HCP, Inc.		14,823		412,524
Iron Mountain, Inc.		3,593		139,768
Macerich Co.		3,442		189,207
Mid-America Apartment Communities, Inc.		1,400		149,632
Park Hotels & Resorts, Inc.		139,735		3,851,097
Public Storage		1,655		354,154
Realty Income Corp.		3,292		188,270
Regency Centers Corp.		1,730		107,329
SBA Communications Corp.†		875		126,044
Simon Property Group, Inc.		3,340		537,773
SL Green Realty Corp.		3,128		316,929
Ventas, Inc.		4,841		315,294
Vornado Realty Trust		2,725		209,498
Weyerhaeuser Co.		23,799		809,880
				14,294,198
Real Estate Management/Services — 0.0%
CBRE Group, Inc., Class A†		5,324		201,673
Respiratory Products — 0.0%
ResMed, Inc.		1,528		117,595

162

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe — 0.5%
Coach, Inc.		4,466	$	179,890
Foot Locker, Inc.		1,619		57,021
Gap, Inc.		6,941		204,968
L Brands, Inc.		87,193		3,628,101
PVH Corp.		2,447		308,469
				4,378,449
Retail-Auto Parts — 0.4%
Advance Auto Parts, Inc.		34,010		3,373,792
Genuine Parts Co.		4,641		443,912
				3,817,704
Retail-Automobile — 0.0%
CarMax, Inc.†		3,186		241,531
Retail-Building Products — 0.1%
Lowe's Cos., Inc.		9,606		767,904
Retail-Catalog Shopping — 0.5%
Liberty Interactive Corp. QVC Group, Class A†		192,795		4,544,178
Retail-Consumer Electronics — 0.0%
Best Buy Co., Inc.		5,032		286,623
Retail-Discount — 1.5%
Costco Wholesale Corp.		13,863		2,277,552
Target Corp.		41,654		2,458,003
Wal-Mart Stores, Inc.		118,715		9,276,390
				14,011,945
Retail-Drug Store — 1.0%
CVS Health Corp.		80,522		6,548,049
Walgreens Boots Alliance, Inc.		29,088		2,246,175
				8,794,224
Retail-Gardening Products — 0.0%
Tractor Supply Co.		1,722		108,985
Retail-Jewelry — 0.3%
Signet Jewelers, Ltd.		39,609		2,635,979
Tiffany & Co.		1,581		145,104
				2,781,083
Retail-Major Department Stores — 0.0%
Nordstrom, Inc.		3,678		173,418
Retail-Regional Department Stores — 0.1%
Kohl's Corp.		5,328		243,223
Macy's, Inc.		9,626		210,039
				453,262
Retail-Restaurants — 0.2%
Chipotle Mexican Grill, Inc.†		357		109,895
McDonald's Corp.		9,729		1,524,340
				1,634,235
Rubber-Tires — 0.0%
Goodyear Tire & Rubber Co.		7,958		264,603
Savings & Loans/Thrifts — 0.0%
People's United Financial, Inc.		10,884		197,436
Semiconductor Components-Integrated Circuits — 1.0%
QUALCOMM, Inc.		169,854		8,805,231

Security Description	Shares		Value (Note 2)
Semiconductor Equipment — 0.4%
Applied Materials, Inc.		43,110	$	2,245,600
Lam Research Corp.		8,120		1,502,525
				3,748,125
Soap & Cleaning Preparation — 0.0%
Church & Dwight Co., Inc.		2,760		133,722
Steel-Producers — 0.0%
Nucor Corp.		4,140		232,006
Telecom Services — 0.0%
Level 3 Communications, Inc.†		4,086		217,743
Telecommunication Equipment — 0.0%
Juniper Networks, Inc.		5,289		147,193
Telephone-Integrated — 2.1%
AT&T, Inc.		194,073		7,601,839
CenturyLink, Inc.		17,372		328,331
Verizon Communications, Inc.		215,242		10,652,327
				18,582,497
Textile-Home Furnishings — 0.0%
Mohawk Industries, Inc.†		1,059		262,113
Theaters — 0.3%
Regal Entertainment Group, Class A		184,000		2,944,000
Tobacco — 1.2%
British American Tobacco PLC ADR		85,133		5,316,556
Philip Morris International, Inc.		51,671		5,735,998
				11,052,554
Tools-Hand Held — 0.1%
Snap-on, Inc.		855		127,404
Stanley Black & Decker, Inc.		2,517		379,991
				507,395
Toys — 0.2%
Mattel, Inc.		120,568		1,866,393
Transport-Rail — 1.0%
CSX Corp.		10,681		579,551
Kansas City Southern		3,332		362,122
Norfolk Southern Corp.		9,109		1,204,574
Union Pacific Corp.		63,364		7,348,323
				9,494,570
Transport-Services — 0.0%
C.H. Robinson Worldwide, Inc.		2,218		168,790
Expeditors International of Washington, Inc.		2,114		126,544
				295,334
Transport-Truck — 0.3%
Schneider National, Inc., Class B		123,324		3,120,097
Wireless Equipment — 0.5%
Nokia OYJ ADR		700,671		4,190,013
X-Ray Equipment — 0.0%
Hologic, Inc.†		3,546		130,103
Total Common Stocks (cost $782,016,972)				891,679,312

163

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
EXCHANGE-TRADED FUNDS — 1.0%
iShares Russell 1000 Value ETF		12,240	$	1,450,562
iShares S&P 500 Value ETF		72,888		7,865,344
Total Exchange-Traded Funds (cost $9,094,773)				9,315,906
Total Long-Term Investment Securities (cost $791,111,745)				900,995,218
SHORT-TERM INVESTMENT SECURITIES — 0.2%
Time Deposits — 0.2%
Euro Time Deposit with State Street Bank and Trust Co. 0.12% due 10/02/2017 (cost $2,127,000)	$	2,127,000		2,127,000
REPURCHASE AGREEMENTS — 0.3%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $382,004 collateralized by $290,000 of United States Treasury Bonds, bearing interest at 4.75% due 02/15/2041 and having an approximate value of $390,882		382,000		382,000
Bank of America Securities LLC Joint Repurchase Agreement(2)		285,000		285,000

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Barclays Capital, Inc. Joint Repurchase Agreement(2)	$	355,000		$	355,000
BNP Paribas SA Joint Repurchase Agreement(2)		610,000			610,000
Deutsche Bank AG Joint Repurchase Agreement(2)		235,000			235,000
RBS Securities, Inc. Joint Repurchase Agreement(2)		790,000			790,000
Total Repurchase Agreements (cost $2,657,000)					2,657,000
TOTAL INVESTMENTS (cost $795,895,745)(3)		99.8	%		905,779,218
Other assets less liabilities		0.2			1,572,879
NET ASSETS		100.0	%	$	907,352,097

#  See Note 1

†  Non-income producing security

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

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

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

ADR — American Depositary Receipt

CVA — Certification Van Aandelen (Dutch Cert.)

ETF — Exchange-Traded Fund

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	S&P 500 Citigroup Value Index	December 2017	$	1,045,020	$	1,063,200	$	18,180

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Credit Suisse AG	CHF	4,209,719	USD	4,358,428	12/29/2017	$	—	$	(15,109	)
	JPY	164,615,488	USD	1,480,801	12/29/2017		11,443		—
							11,443		(15,109	)
Morgan Stanley and Co., Inc.	CAD	5,182,345	USD	4,190,767	12/29/2017		35,070		—
	GBP	1,384,515	USD	1,870,020	12/29/2017		9,711		—
							44,781		—
UBS AG	EUR	6,061,632	USD	7,184,671	12/29/2017		—		(15,061	)
Net Unrealized Appreciation (Depreciation)						$	56,224	$	(30,170	)

164

Seasons Series Trust Large Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

CAD — Canadian Dollar

CHF — Swiss Franc

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	891,679,312	$	—	$	—	$	891,679,312
Exchange-Traded Funds		9,315,906		—		—		9,315,906
Short-Term Investment Securities		—		2,127,000		—		2,127,000
Repurchase Agreements		—		2,657,000		—		2,657,000
Total Investments at Value	$	900,995,218	$	4,784,000	$	—	$	905,779,218
Other Financial Instruments:†
Futures Contracts	$	18,180	$	—	$	—	$	18,180
Forward Foreign Currency Contracts		—		56,224		—		56,224
Total Other Financial Instruments	$	18,180	$	56,224	$	—	$	74,404
LIABILITIES:
Other Financial Instruments:†
Forward Foreign Currency Contracts	$	—	$	30,170	$	—	$	30,170

*  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

165

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Electronic Components-Semiconductors	5.4	%
Commercial Services-Finance	4.0
Enterprise Software/Service	3.9
Applications Software	3.7
Medical-Biomedical/Gene	3.6
Machinery-General Industrial	2.6
E-Commerce/Services	2.0
Medical Instruments	1.9
Medical-Drugs	1.9
Real Estate Investment Trusts	1.9
Commercial Services	1.8
Computer Aided Design	1.8
Retail-Restaurants	1.7
Data Processing/Management	1.7
Hotels/Motels	1.6
Finance-Investment Banker/Broker	1.6
Oil Companies-Exploration & Production	1.5
Repurchase Agreements	1.5
Food-Misc./Diversified	1.5
Casino Hotels	1.3
Retail-Apparel/Shoe	1.2
Retail-Perfume & Cosmetics	1.2
Networking Products	1.2
Electronic Measurement Instruments	1.2
Banks-Commercial	1.1
Dental Supplies & Equipment	1.1
Transport-Truck	1.0
Chemicals-Specialty	1.0
Medical Products	1.0
Industrial Automated/Robotic	1.0
Web Hosting/Design	1.0
Computer Services	0.9
E-Commerce/Products	0.9
Auto/Truck Parts & Equipment-Original	0.9
Semiconductor Equipment	0.9
X-Ray Equipment	0.8
Beverages-Non-alcoholic	0.8
Patient Monitoring Equipment	0.8
Retail-Auto Parts	0.8
Retail-Discount	0.8
Internet Security	0.8
Exchange-Traded Funds	0.8
Consulting Services	0.8
Aerospace/Defense-Equipment	0.8
Containers-Paper/Plastic	0.8
Paper & Related Products	0.7
Building Products-Cement	0.7
Distribution/Wholesale	0.7
Semiconductor Components-Integrated Circuits	0.6
Diversified Manufacturing Operations	0.6
Airlines	0.6
Electronic Connectors	0.5
Insurance-Property/Casualty	0.5
Instruments-Controls	0.5
Rental Auto/Equipment	0.5
Aerospace/Defense	0.5
Computer Software	0.5
Building-Residential/Commercial	0.5
Entertainment Software	0.5
Retail-Automobile	0.5

Medical Information Systems	0.5	%
Finance-Other Services	0.5
Drug Delivery Systems	0.5
Security Services	0.5
Chemicals-Diversified	0.5
Advertising Agencies	0.5
Containers-Metal/Glass	0.5
Apparel Manufacturers	0.5
Medical-HMO	0.4
Investment Management/Advisor Services	0.4
Hazardous Waste Disposal	0.4
Resorts/Theme Parks	0.4
Auto-Cars/Light Trucks	0.4
Real Estate Management/Services	0.4
Machinery-Pumps	0.4
Food-Confectionery	0.4
Coatings/Paint	0.4
Diagnostic Kits	0.4
Pipelines	0.3
Auction Houses/Art Dealers	0.3
Disposable Medical Products	0.3
Building & Construction Products-Misc.	0.3
Transport-Services	0.3
Finance-Credit Card	0.3
Banks-Fiduciary	0.3
Soap & Cleaning Preparation	0.3
Oil-Field Services	0.3
Medical-Hospitals	0.3
Beverages-Wine/Spirits	0.3
Electronic Security Devices	0.3
Consumer Products-Misc.	0.3
Therapeutics	0.2
Food-Meat Products	0.2
Decision Support Software	0.2
Human Resources	0.2
Medical-Wholesale Drug Distribution	0.2
Funeral Services & Related Items	0.2
Finance-Mortgage Loan/Banker	0.2
Shipbuilding	0.2
Power Converter/Supply Equipment	0.2
Lighting Products & Systems	0.2
Garden Products	0.2
Insurance Brokers	0.2
Retail-Gardening Products	0.2
Medical Labs & Testing Services	0.2
Retail-Jewelry	0.2
Building-Maintenance & Services	0.2
Gas-Distribution	0.2
Instruments-Scientific	0.2
Lasers-System/Components	0.2
Cruise Lines	0.2
Transactional Software	0.2
Computers-Memory Devices	0.2
Transport-Rail	0.1
Textile-Home Furnishings	0.1
Recreational Vehicles	0.1
Non-Hazardous Waste Disposal	0.1
Home Decoration Products	0.1
Tools-Hand Held	0.1
Filtration/Separation Products	0.1

166

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
Food-Catering	0.1	%
Machinery-Electrical	0.1
Multimedia	0.1
Internet Infrastructure Software	0.1
Computer Data Security	0.1
Electric Products-Misc.	0.1
Respiratory Products	0.1
Banks-Super Regional	0.1
Industrial Gases	0.1
E-Services/Consulting	0.1
Home Furnishings	0.1
Toys	0.1
Retail-Misc./Diversified	0.1
Appliances	0.1
Engines-Internal Combustion	0.1
Office Supplies & Forms	0.1
Building Products-Wood	0.1
Batteries/Battery Systems	0.1
Wireless Equipment	0.1
Radio	0.1
Agricultural Chemicals	0.1
Auto-Heavy Duty Trucks	0.1
Oil Refining & Marketing	0.1
Retail-Mail Order	0.1
Retail-Convenience Store	0.1
Retail-Catalog Shopping	0.1
Metal-Copper	0.1
Steel Pipe & Tube	0.1
Food-Retail	0.1
Dialysis Centers	0.1
Footwear & Related Apparel	0.1
Telephone-Integrated	0.1
Building Products-Air & Heating	0.1
Building-Mobile Home/Manufactured Housing	0.1
Motorcycle/Motor Scooter	0.1
Web Portals/ISP	0.1
Retail-Arts & Crafts	0.1
Retail-Major Department Stores	0.1
Machine Tools & Related Products	0.1
Precious Metals	0.1
Vitamins & Nutrition Products	0.1
Computers-Integrated Systems	0.1
	100.1	%

*  Calculated as a percentage of net assets

#  See Note 1

167

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.4%
Advanced Materials — 0.0%
Hexcel Corp.		1,413	$	81,134
Advertising Agencies — 0.5%
Interpublic Group of Cos., Inc.		15,298		318,045
Omnicom Group, Inc.		9,081		672,630
				990,675
Aerospace/Defense — 0.5%
Rockwell Collins, Inc.		3,847		502,842
TransDigm Group, Inc.		2,471		631,711
				1,134,553
Aerospace/Defense-Equipment — 0.8%
Harris Corp.		11,593		1,526,566
HEICO Corp.		580		52,090
HEICO Corp., Class A		1,142		87,020
				1,665,676
Agricultural Chemicals — 0.1%
CF Industries Holdings, Inc.		4,800		168,768
Airlines — 0.6%
Alaska Air Group, Inc.		5,947		453,578
American Airlines Group, Inc.		10,315		489,859
Copa Holdings SA, Class A		1,054		131,255
United Continental Holdings, Inc.†		4,200		255,696
				1,330,388
Apparel Manufacturers — 0.5%
Carter's, Inc.		2,220		219,225
Hanesbrands, Inc.		11,704		288,387
Michael Kors Holdings, Ltd.†		252		12,058
Under Armour, Inc., Class A†		3,174		52,308
Under Armour, Inc., Class C†		3,222		48,394
VF Corp.		5,727		364,065
				984,437
Appliances — 0.1%
Whirlpool Corp.		1,135		209,339
Applications Software — 3.5%
CDK Global, Inc.		8,198		517,212
Citrix Systems, Inc.†		3,581		275,092
Dropbox, Inc., Class A†(1)(2)(3)		3,515		36,720
Dropbox, Inc., Class B†(1)(2)(3)		844		8,817
Intuit, Inc.		1,800		255,852
PTC, Inc.†		16,582		933,235
Red Hat, Inc.†		9,500		1,053,170
ServiceNow, Inc.†		34,276		4,028,458
Tableau Software, Inc., Class A†		5,768		431,966
				7,540,522
Auction Houses/Art Dealers — 0.3%
KAR Auction Services, Inc.		10,347		493,966
Ritchie Bros. Auctioneers, Inc.		4,200		132,804
Sotheby's†		2,000		92,220
				718,990
Auto-Cars/Light Trucks — 0.4%
Ferrari NV		1,840		203,283
Tesla, Inc.†		1,987		677,766
				881,049

Security Description	Shares		Value (Note 2)
Auto-Heavy Duty Trucks — 0.1%
PACCAR, Inc.		2,300	$	166,382
Auto/Truck Parts & Equipment-Original — 0.9%
Allison Transmission Holdings, Inc.		3,163		118,707
BorgWarner, Inc.		4,516		231,355
Delphi Automotive PLC		9,052		890,717
Lear Corp.		1,333		230,715
Visteon Corp.†		740		91,590
WABCO Holdings, Inc.†		2,399		355,052
				1,918,136
Banks-Commercial — 1.1%
Bank of the Ozarks		1,315		63,186
BankUnited, Inc.		4,600		163,622
East West Bancorp, Inc.		208		12,434
First Republic Bank		6,478		676,692
Pinnacle Financial Partners, Inc.		533		35,684
Signature Bank†		6,314		808,445
SVB Financial Group†		2,320		434,049
Webster Financial Corp.		4,200		220,710
Western Alliance Bancorp†		1,304		69,216
				2,484,038
Banks-Fiduciary — 0.3%
Citizens Financial Group, Inc.		6,600		249,942
Northern Trust Corp.		1,300		119,509
State Street Corp.		2,500		238,850
				608,301
Banks-Super Regional — 0.1%
Fifth Third Bancorp		8,800		246,224
Batteries/Battery Systems — 0.1%
Energizer Holdings, Inc.		4,150		191,108
Beverages-Non-alcoholic — 0.8%
Dr. Pepper Snapple Group, Inc.		8,097		716,342
Monster Beverage Corp.†		20,054		1,107,983
				1,824,325
Beverages-Wine/Spirits — 0.3%
Brown-Forman Corp., Class A		1,211		67,441
Brown-Forman Corp., Class B		9,494		515,524
				582,965
Broadcast Services/Program — 0.0%
Scripps Networks Interactive, Inc., Class A		1,121		96,283
Building & Construction Products-Misc. — 0.3%
Armstrong World Industries, Inc.†		1,044		53,505
Fortune Brands Home & Security, Inc.		9,680		650,786
				704,291
Building Products-Air & Heating — 0.1%
Lennox International, Inc.		842		150,693
Building Products-Cement — 0.7%
Eagle Materials, Inc.		3,011		321,274
Martin Marietta Materials, Inc.		1,347		277,792
Vulcan Materials Co.		7,800		932,880
				1,531,946

168

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Building Products-Wood — 0.1%
Masco Corp.		4,913	$	191,656
Building-Maintenance & Services — 0.2%
Rollins, Inc.		8,265		381,347
Building-Mobile Home/Manufactured Housing — 0.1%
Thor Industries, Inc.		1,169		147,189
Building-Residential/Commercial — 0.5%
D.R. Horton, Inc.		4,443		177,409
NVR, Inc.†		179		511,045
PulteGroup, Inc.		5,655		154,551
Toll Brothers, Inc.		6,081		252,179
				1,095,184
Cable/Satellite TV — 0.0%
Cable One, Inc.		111		80,155
Casino Hotels — 1.3%
Melco Resorts & Entertainment, Ltd. ADR		51,943		1,252,865
MGM Resorts International		9,677		315,374
Wynn Resorts, Ltd.		8,775		1,306,773
				2,875,012
Cellular Telecom — 0.0%
Altice USA, Inc., Class A†		2,387		65,189
Chemicals-Diversified — 0.5%
Celanese Corp., Series A		4,245		442,626
FMC Corp.		3,170		283,113
Huntsman Corp.		2,302		63,121
PPG Industries, Inc.		1,700		184,722
Westlake Chemical Corp.		422		35,064
				1,008,646
Chemicals-Plastics — 0.0%
PolyOne Corp.		2,200		88,066
Chemicals-Specialty — 1.0%
Albemarle Corp.		489		66,656
Ashland Global Holdings, Inc.		2,300		150,397
Chemours Co.		4,377		221,520
International Flavors & Fragrances, Inc.		1,873		267,671
NewMarket Corp.		463		197,122
Platform Specialty Products Corp.†		70,369		784,614
Univar, Inc.†		2,452		70,937
Valvoline, Inc.		12,014		281,728
Versum Materials, Inc.		232		9,006
W.R. Grace & Co.		1,614		116,450
				2,166,101
Coatings/Paint — 0.4%
Axalta Coating Systems, Ltd.†		5,035		145,612
RPM International, Inc.		9,046		464,422
Sherwin-Williams Co.		600		214,824
				824,858
Commercial Services — 1.8%
Cintas Corp.		3,537		510,318
CoreLogic, Inc.†		7,479		345,680

Security Description	Shares		Value (Note 2)
Commercial Services (continued)
CoStar Group, Inc.†		9,161	$	2,457,438
Live Nation Entertainment, Inc.†		3,173		138,184
Nielsen Holdings PLC		6,900		286,005
Quanta Services, Inc.†		891		33,297
ServiceMaster Global Holdings, Inc.†		3,182		148,695
				3,919,617
Commercial Services-Finance — 4.0%
Equifax, Inc.		6,524		691,479
Euronet Worldwide, Inc.†		1,188		112,611
FleetCor Technologies, Inc.†		4,626		715,966
Global Payments, Inc.		18,438		1,752,163
H&R Block, Inc.		755		19,992
IHS Markit, Ltd.†		12,084		532,663
MarketAxess Holdings, Inc.		1,269		234,143
Moody's Corp.		6,942		966,396
Morningstar, Inc.		421		35,781
Sabre Corp.		15,853		286,939
Square, Inc., Class A†		5,760		165,946
Total System Services, Inc.		4,300		281,650
TransUnion†		35,294		1,667,994
Vantiv, Inc., Class A†		12,305		867,133
Western Union Co.		11,179		214,637
WEX, Inc.†		2,142		240,375
				8,785,868
Computer Aided Design — 1.8%
ANSYS, Inc.†		2,822		346,344
Autodesk, Inc.†		23,963		2,690,086
Cadence Design Systems, Inc.†		11,968		472,377
Synopsys, Inc.†		3,877		312,215
				3,821,022
Computer Data Security — 0.1%
Fortinet, Inc.†		7,286		261,130
Computer Services — 0.9%
CSRA, Inc.		11,335		365,781
Dell Technologies, Inc., Class V†		4,861		375,318
DST Systems, Inc.		148		8,122
DXC Technology Co.		6,714		576,598
EPAM Systems, Inc.†		1,800		158,274
Genpact, Ltd.		8,396		241,385
Leidos Holdings, Inc.		4,500		266,490
				1,991,968
Computer Software — 0.4%
Splunk, Inc.†		7,261		482,348
SS&C Technologies Holdings, Inc.		11,052		443,738
				926,086
Computers-Integrated Systems — 0.1%
NCR Corp.†		2,856		107,157
Computers-Memory Devices — 0.2%
NetApp, Inc.		5,507		240,986
Western Digital Corp.		990		85,536
				326,522

169

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Consulting Services — 0.8%
Booz Allen Hamilton Holding Corp.		9,162	$	342,567
Gartner, Inc.†		4,776		594,182
Verisk Analytics, Inc.†		8,892		739,726
				1,676,475
Consumer Products-Misc. — 0.3%
Clorox Co.		3,808		502,314
Spectrum Brands Holdings, Inc.		572		60,586
				562,900
Containers-Metal/Glass — 0.5%
Ball Corp.		17,638		728,449
Crown Holdings, Inc.†		2,167		129,413
Owens-Illinois, Inc.†		3,010		75,732
Silgan Holdings, Inc.		1,756		51,679
				985,273
Containers-Paper/Plastic — 0.8%
Ardagh Group SA		233		4,989
Berry Global Group, Inc.†		3,068		173,802
Graphic Packaging Holding Co.		5,158		71,954
Packaging Corp. of America		9,300		1,066,524
Sealed Air Corp.		8,057		344,195
				1,661,464
Cruise Lines — 0.2%
Norwegian Cruise Line Holdings, Ltd.†		2,800		151,340
Royal Caribbean Cruises, Ltd.		1,600		189,664
				341,004
Data Processing/Management — 1.7%
Broadridge Financial Solutions, Inc.		2,776		224,356
Dun & Bradstreet Corp.		346		40,278
Fidelity National Information Services, Inc.		10,836		1,011,974
First Data Corp., Class A†		10,773		194,345
Fiserv, Inc.†		10,528		1,357,691
Jack Henry & Associates, Inc.		1,834		188,517
Paychex, Inc.		10,175		610,093
				3,627,254
Decision Support Software — 0.2%
MSCI, Inc.		4,306		503,371
Dental Supplies & Equipment — 1.1%
Align Technology, Inc.†		12,025		2,239,897
DENTSPLY SIRONA, Inc.		3,072		183,736
Patterson Cos., Inc.		188		7,266
				2,430,899
Diagnostic Kits — 0.4%
IDEXX Laboratories, Inc.†		4,668		725,827
OPKO Health, Inc.†		863		5,920
QIAGEN NV		1,761		55,472
				787,219
Dialysis Centers — 0.1%
DaVita, Inc.†		2,600		154,414

Security Description	Shares		Value (Note 2)
Disposable Medical Products — 0.3%
C.R. Bard, Inc.		1,721	$	551,580
STERIS PLC		1,800		159,120
				710,700
Distribution/Wholesale — 0.7%
Fastenal Co.		8,755		399,053
HD Supply Holdings, Inc.†		11,085		399,836
LKQ Corp.†		1,033		37,178
Pool Corp.		951		102,869
Watsco, Inc.		1,717		276,557
WW Grainger, Inc.		1,161		208,690
				1,424,183
Diversified Manufacturing Operations — 0.6%
A.O. Smith Corp.		3,409		202,597
Colfax Corp.†		3,300		137,412
Dover Corp.		392		35,825
Ingersoll-Rand PLC		3,045		271,523
Parker-Hannifin Corp.		2,713		474,829
Textron, Inc.		4,000		215,520
				1,337,706
Diversified Operations — 0.0%
Leucadia National Corp.		1,817		45,879
Drug Delivery Systems — 0.5%
Catalent, Inc.†		3,800		151,696
DexCom, Inc.†		17,832		872,431
				1,024,127
E-Commerce/Products — 0.8%
The Honest Co., Inc. †(1)(2)(3)		1,850		32,708
Wayfair, Inc., Class A†		25,584		1,724,362
				1,757,070
E-Commerce/Services — 1.3%
Ctrip.com International, Ltd. ADR†		4,200		221,508
Expedia, Inc.		2,878		414,259
IAC/InterActiveCorp†		3,553		417,762
Liberty Expedia Holdings, Inc., Class A†		238		12,640
Match Group, Inc.†		10,166		235,750
MercadoLibre, Inc.		700		181,251
TripAdvisor, Inc.†		1,229		49,811
Zillow Group, Inc., Class A†		3,961		159,034
Zillow Group, Inc., Class C†		28,102		1,129,982
				2,821,997
E-Services/Consulting — 0.1%
CDW Corp.		3,634		239,844
Electric Products-Misc. — 0.1%
AMETEK, Inc.		3,883		256,433
Electronic Components-Misc. — 0.0%
Gentex Corp.		4,317		85,477
Electronic Components-Semiconductors — 5.4%
Advanced Micro Devices, Inc.†		190,171		2,424,680
Cavium, Inc.†		12,031		793,324
IPG Photonics Corp.†		1,951		361,052
Microchip Technology, Inc.		36,222		3,252,011

170

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors (continued)
Micron Technology, Inc.†		26,973	$	1,060,848
Microsemi Corp.†		9,315		479,536
NVIDIA Corp.		8,851		1,582,294
ON Semiconductor Corp.†		9,332		172,362
Qorvo, Inc.†		1,562		110,402
Skyworks Solutions, Inc.		7,972		812,347
Xilinx, Inc.		10,983		777,926
				11,826,782
Electronic Connectors — 0.5%
Amphenol Corp., Class A		14,087		1,192,324
Electronic Forms — 0.0%
DocuSign, Inc. CVR†(1)(2)(3)		2,581		0
Electronic Measurement Instruments — 1.2%
Agilent Technologies, Inc.		6,259		401,828
FLIR Systems, Inc.		1,713		66,653
Fortive Corp.		10,990		777,982
Keysight Technologies, Inc.†		5,600		233,296
National Instruments Corp.		1,987		83,792
Trimble, Inc.†		25,602		1,004,878
				2,568,429
Electronic Security Devices — 0.3%
Allegion PLC		6,659		575,804
Engines-Internal Combustion — 0.1%
Cummins, Inc.		1,214		203,988
Enterprise Software/Service — 3.9%
Atlassian Corp. PLC, Class A†		12,893		453,189
Guidewire Software, Inc.†		34,274		2,668,574
Manhattan Associates, Inc.†		1,635		67,967
Tyler Technologies, Inc.†		2,317		403,899
Ultimate Software Group, Inc.†		2,234		423,566
Veeva Systems, Inc., Class A†		18,704		1,055,093
Workday, Inc., Class A†		31,614		3,331,799
				8,404,087
Entertainment Software — 0.5%
DraftKings, Inc.†(1)(2)(3)		74,969		116,202
Electronic Arts, Inc.†		3,600		425,016
Take-Two Interactive Software, Inc.†		2,469		252,406
Zynga, Inc., Class A†		75,400		285,012
				1,078,636
Filtration/Separation Products — 0.1%
Donaldson Co., Inc.		6,593		302,882
Finance-Auto Loans — 0.0%
Credit Acceptance Corp.†		239		66,961
Finance-Credit Card — 0.3%
Alliance Data Systems Corp.		2,406		533,049
Discover Financial Services		2,200		141,856
				674,905
Finance-Investment Banker/Broker — 1.6%
E*TRADE Financial Corp.†		5,600		244,216
Lazard, Ltd., Class A		8,958		405,081
LPL Financial Holdings, Inc.		2,091		107,833

Security Description	Shares		Value (Note 2)
Finance-Investment Banker/Broker (continued)
Raymond James Financial, Inc.		789	$	66,536
TD Ameritrade Holding Corp.		52,559		2,564,879
				3,388,545
Finance-Leasing Companies — 0.0%
Air Lease Corp.		139		5,924
Finance-Mortgage Loan/Banker — 0.2%
Ellie Mae, Inc.†		1,200		98,556
FNF Group		8,000		379,680
				478,236
Finance-Other Services — 0.5%
BGC Partners, Inc., Class A		1,382		19,998
CBOE Holdings, Inc.		7,715		830,365
SEI Investments Co.		3,173		193,743
				1,044,106
Food-Baking — 0.0%
Flowers Foods, Inc.		3,850		72,419
Food-Canned — 0.0%
TreeHouse Foods, Inc.†		391		26,482
Food-Catering — 0.1%
Aramark		7,145		290,158
Food-Confectionery — 0.4%
Hershey Co.		7,362		803,710
J.M. Smucker Co.		500		52,465
				856,175
Food-Meat Products — 0.2%
Hormel Foods Corp.		5,500		176,770
Tyson Foods, Inc., Class A		4,700		331,115
				507,885
Food-Misc./Diversified — 1.5%
Blue Buffalo Pet Products, Inc.†		46,017		1,304,582
Campbell Soup Co.		2,781		130,206
Conagra Brands, Inc.		5,300		178,822
Hain Celestial Group, Inc.†		3,600		148,140
Kellogg Co.		5,424		338,295
Lamb Weston Holdings, Inc.		801		37,559
McCormick & Co., Inc.		6,747		692,512
Pinnacle Foods, Inc.		2,700		154,359
Snyder's-Lance, Inc.		5,400		205,956
				3,190,431
Food-Retail — 0.1%
Sprouts Farmers Market, Inc.†		8,339		156,523
Footwear & Related Apparel — 0.1%
Skechers U.S.A., Inc., Class A†		1,338		33,570
Wolverine World Wide, Inc.		4,100		118,285
				151,855
Funeral Services & Related Items — 0.2%
Service Corp. International		14,005		483,172
Garden Products — 0.2%
Scotts Miracle-Gro Co., Class A		959		93,349
Toro Co.		5,098		316,382
				409,731

171

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Gas-Distribution — 0.2%
Atmos Energy Corp.		2,300	$	192,832
NiSource, Inc.		6,600		168,894
				361,726
Gold Mining — 0.0%
Royal Gold, Inc.		572		49,215
Hazardous Waste Disposal — 0.4%
Clean Harbors, Inc.†		14,729		835,134
Stericycle, Inc.†		1,400		100,268
				935,402
Home Decoration Products — 0.1%
Newell Brands, Inc.		7,300		311,491
Home Furnishings — 0.1%
Leggett & Platt, Inc.		2,515		120,041
Tempur Sealy International, Inc.†		1,823		117,620
				237,661
Hotels/Motels — 1.6%
Choice Hotels International, Inc.		3,491		223,075
Extended Stay America, Inc.		10,148		202,960
Hilton Grand Vacations, Inc.†		1,632		63,044
Hilton Worldwide Holdings, Inc.		37,071		2,574,581
Marriott International, Inc., Class A		1,166		128,563
Wyndham Worldwide Corp.		2,421		255,198
				3,447,421
Housewares — 0.0%
Tupperware Brands Corp.		1,199		74,122
Human Resources — 0.2%
ManpowerGroup, Inc.		1,600		188,512
Robert Half International, Inc.		6,021		303,097
				491,609
Independent Power Producers — 0.0%
NRG Energy, Inc.		1,397		35,749
Industrial Automated/Robotic — 1.0%
Cognex Corp.		3,466		382,230
Nordson Corp.		2,562		303,597
Rockwell Automation, Inc.		8,037		1,432,274
				2,118,101
Industrial Gases — 0.1%
Air Products & Chemicals, Inc.		1,600		241,952
Instruments-Controls — 0.5%
Mettler-Toledo International, Inc.†		1,265		792,093
Sensata Technologies Holding NV†		7,933		381,339
				1,173,432
Instruments-Scientific — 0.2%
PerkinElmer, Inc.		493		34,002
Waters Corp.†		1,806		324,213
				358,215
Insurance Brokers — 0.2%
Arthur J. Gallagher & Co.		2,892		178,003
Willis Towers Watson PLC		1,500		231,345
				409,348

Security Description	Shares		Value (Note 2)
Insurance-Multi-line — 0.0%
Assurant, Inc.		264	$	25,217
Voya Financial, Inc.		247		9,853
				35,070
Insurance-Property/Casualty — 0.5%
Arch Capital Group, Ltd.†		405		39,892
Erie Indemnity Co., Class A		429		51,724
Progressive Corp.		20,947		1,014,254
XL Group, Ltd.		1,897		74,837
				1,180,707
Insurance-Reinsurance — 0.0%
Aspen Insurance Holdings, Ltd.		441		17,816
RenaissanceRe Holdings, Ltd.		68		9,190
				27,006
Internet Application Software — 0.0%
Zendesk, Inc.†		1,800		52,398
Internet Content-Entertainment — 0.0%
Pandora Media, Inc.†		5,349		41,187
Twitter, Inc.†		999		16,853
				58,040
Internet Infrastructure Software — 0.1%
F5 Networks, Inc.†		2,308		278,252
Internet Security — 0.8%
Palo Alto Networks, Inc.†		3,910		563,431
Proofpoint, Inc.†		2,300		200,606
Symantec Corp.		29,194		957,855
				1,721,892
Investment Management/Advisor Services — 0.4%
Ameriprise Financial, Inc.		3,197		474,787
Eaton Vance Corp.		2,620		129,349
Federated Investors, Inc., Class B		614		18,236
Financial Engines, Inc.		2,400		83,400
Invesco, Ltd.		4,167		146,012
Legg Mason, Inc.		466		18,318
T. Rowe Price Group, Inc.		865		78,412
				948,514
Lasers-System/Components — 0.2%
Coherent, Inc.†		1,509		354,872
Lighting Products & Systems — 0.2%
Acuity Brands, Inc.		1,938		331,941
Universal Display Corp.		985		126,917
				458,858
Machine Tools & Related Products — 0.1%
Lincoln Electric Holdings, Inc.		1,392		127,619
Machinery-Electrical — 0.1%
BWX Technologies, Inc.		5,121		286,878
Machinery-General Industrial — 2.6%
IDEX Corp.		12,374		1,503,070
Middleby Corp.†		15,760		2,019,959
Roper Technologies, Inc.		3,491		849,709
Wabtec Corp.		3,250		246,188
Welbilt, Inc.†		3,045		70,187
Zebra Technologies Corp., Class A†		8,413		913,484
				5,602,597

172

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Machinery-Pumps — 0.4%
Flowserve Corp.		3,200	$	136,288
Gardner Denver Holdings, Inc.†		1,015		27,933
Graco, Inc.		3,305		408,795
Xylem, Inc.		4,714		295,238
				868,254
Medical Information Systems — 0.5%
athenahealth, Inc.†		1,435		178,457
Cerner Corp.†		10,425		743,511
Medidata Solutions, Inc.†		1,700		132,702
				1,054,670
Medical Instruments — 1.9%
Bio-Techne Corp.		875		105,779
Bruker Corp.		5,599		166,570
Edwards Lifesciences Corp.†		16,556		1,809,736
Intuitive Surgical, Inc.†		1,658		1,734,069
Teleflex, Inc.		1,574		380,861
				4,197,015
Medical Labs & Testing Services — 0.2%
Quintiles IMS Holdings, Inc.†		4,167		396,157
Medical Products — 1.0%
ABIOMED, Inc.†		972		163,879
Cooper Cos., Inc.		2,990		708,959
Henry Schein, Inc.†		7,549		618,942
Hill-Rom Holdings, Inc.		1,458		107,892
Varian Medical Systems, Inc.†		2,179		218,031
West Pharmaceutical Services, Inc.		3,135		301,775
				2,119,478
Medical-Biomedical/Gene — 3.6%
Alexion Pharmaceuticals, Inc.†		1,000		140,290
Alnylam Pharmaceuticals, Inc.†		4,644		545,624
BioMarin Pharmaceutical, Inc.†		8,236		766,525
Bioverativ, Inc.†		4,967		283,467
Bluebird Bio, Inc.†		900		123,615
Charles River Laboratories International, Inc.†		1,115		120,442
Exact Sciences Corp.†		26,465		1,247,031
Exelixis, Inc.†		12,044		291,826
Illumina, Inc.†		5,756		1,146,595
Incyte Corp.†		12,674		1,479,563
Intercept Pharmaceuticals, Inc.†		424		24,609
Intrexon Corp.†		1,042		19,808
Ionis Pharmaceuticals, Inc.†		20,175		1,022,872
Seattle Genetics, Inc.†		4,766		259,318
Ultragenyx Pharmaceutical, Inc.†		1,000		53,260
United Therapeutics Corp.†		700		82,033
Vertex Pharmaceuticals, Inc.†		1,358		206,470
				7,813,348
Medical-Drugs — 1.9%
ACADIA Pharmaceuticals, Inc.†		6,387		240,598
Akorn, Inc.†		2,014		66,845
Alkermes PLC†		8,808		447,799
Eisai Co., Ltd.		9,500		487,643
Ironwood Pharmaceuticals, Inc.†		9,900		156,123

Security Description	Shares		Value (Note 2)
Medical-Drugs (continued)
Jazz Pharmaceuticals PLC†		1,000	$	146,250
Mallinckrodt PLC†		1,400		52,318
Ono Pharmaceutical Co., Ltd.		25,400		575,492
TESARO, Inc.†		4,737		611,547
Zoetis, Inc.		20,467		1,304,976
				4,089,591
Medical-HMO — 0.4%
Centene Corp.†		4,308		416,885
Molina Healthcare, Inc.†		2,100		144,396
WellCare Health Plans, Inc.†		2,271		390,022
				951,303
Medical-Hospitals — 0.3%
Acadia Healthcare Co., Inc.†		6,546		312,637
Envision Healthcare Corp.†		2,204		99,070
LifePoint Health, Inc.†		147		8,511
Universal Health Services, Inc., Class B		1,500		166,410
				586,628
Medical-Wholesale Drug Distribution — 0.2%
AmerisourceBergen Corp.		5,768		477,302
Premier, Inc., Class A†		349		11,367
				488,669
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.†		6,360		89,294
Southern Copper Corp.		1,734		68,944
				158,238
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		341		29,432
Motion Pictures & Services — 0.0%
Lions Gate Entertainment Corp., Class A†		795		26,593
Lions Gate Entertainment Corp., Class B†		1,555		49,433
				76,026
Motorcycle/Motor Scooter — 0.1%
Harley-Davidson, Inc.		3,024		145,787
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		331		20,350
Multimedia — 0.1%
FactSet Research Systems, Inc.		1,563		281,512
Networking Products — 1.2%
Arista Networks, Inc.†		13,293		2,520,486
LogMeIn, Inc.		769		84,628
				2,605,114
Non-Hazardous Waste Disposal — 0.1%
Waste Connections, Inc.		4,500		314,820
Office Supplies & Forms — 0.1%
Avery Dennison Corp.		1,975		194,222
Oil Companies-Exploration & Production — 1.5%
Antero Resources Corp.†		2,694		53,610
Apache Corp.		470		21,526
Cabot Oil & Gas Corp.		10,493		280,688

173

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production (continued)
Centennial Resource Development LLC†(2)(3)		1,300	$	22,193
Centennial Resource Development, Inc., Class A†		7,074		127,120
Chesapeake Energy Corp.†		1,458		6,269
Cimarex Energy Co.		3,073		349,308
Concho Resources, Inc.†		1,000		131,720
Continental Resources, Inc.†		908		35,058
Devon Energy Corp.		897		32,929
Diamondback Energy, Inc.†		1,728		169,275
EQT Corp.		1,600		104,384
Gulfport Energy Corp.†		373		5,349
Jagged Peak Energy, Inc.†		6,800		92,888
Laredo Petroleum, Inc.†		3,841		49,664
Newfield Exploration Co.†		26,182		776,820
Parsley Energy, Inc., Class A†		5,306		139,760
Pioneer Natural Resources Co.		5,467		806,601
Rice Energy, Inc.†		2,055		59,472
RSP Permian, Inc.†		1,565		54,133
				3,318,767
Oil Refining & Marketing — 0.1%
Andeavor		1,600		165,040
Oil-Field Services — 0.3%
Baker Hughes, Inc.		12,880		471,666
Oceaneering International, Inc.		3,300		86,691
RPC, Inc.		1,264		31,334
				589,691
Paper & Related Products — 0.7%
International Paper Co.		28,511		1,619,995
Patient Monitoring Equipment — 0.8%
Insulet Corp.†		33,006		1,817,970
Pipelines — 0.3%
Cheniere Energy, Inc.†		3,200		144,128
ONEOK, Inc.		8,958		496,363
Williams Cos., Inc.		2,865		85,978
				726,469
Poultry — 0.0%
Pilgrim's Pride Corp.†		1,117		31,734
Power Converter/Supply Equipment — 0.2%
Generac Holdings, Inc.†		3,600		165,348
Hubbell, Inc.		2,530		293,531
				458,879
Precious Metals — 0.1%
Wheaton Precious Metals Corp.		6,100		116,449
Professional Sports — 0.0%
Madison Square Garden Co., Class A†		36		7,708
Quarrying — 0.0%
Compass Minerals International, Inc.		1,300		84,370
Radio — 0.1%
Sirius XM Holdings, Inc.		32,768		180,879

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts — 1.9%
American Campus Communities, Inc.		2,900	$	128,035
Boston Properties, Inc.		548		67,338
CoreSite Realty Corp.		803		89,856
CubeSmart		6,895		178,994
CyrusOne, Inc.		1,802		106,192
Digital Realty Trust, Inc.		3,696		437,348
Douglas Emmett, Inc.		2,781		109,627
Equinix, Inc.		606		270,458
Equity LifeStyle Properties, Inc.		1,927		163,949
Extra Space Storage, Inc.		2,446		195,484
Federal Realty Investment Trust		1,460		181,347
Gaming and Leisure Properties, Inc.		1,527		56,331
Hudson Pacific Properties, Inc.		381		12,775
Iron Mountain, Inc.		9,436		367,061
Lamar Advertising Co., Class A		1,755		120,270
MGM Growth Properties LLC, Class A		6,500		196,365
Outfront Media, Inc.		462		11,633
SBA Communications Corp.†		7,147		1,029,525
SL Green Realty Corp.		1,700		172,244
Tanger Factory Outlet Centers, Inc.		146		3,565
Taubman Centers, Inc.		693		34,442
VEREIT, Inc.		16,401		135,964
				4,068,803
Real Estate Management/Services — 0.2%
CBRE Group, Inc., Class A†		3,056		115,761
Jones Lang LaSalle, Inc.		1,600		197,600
WeWork Cos., Inc., Class A†(1)(2)(3)		2,244		116,262
				429,623
Recreational Vehicles — 0.1%
Brunswick Corp.		1,716		96,045
Polaris Industries, Inc.		2,096		219,304
				315,349
Rental Auto/Equipment — 0.5%
AerCap Holdings NV†		14,976		765,423
Avis Budget Group, Inc.†		2,500		95,150
United Rentals, Inc.†		2,001		277,619
				1,138,192
Resorts/Theme Parks — 0.4%
Marriott Vacations Worldwide Corp.		4,943		615,552
Six Flags Entertainment Corp.		1,593		97,077
Vail Resorts, Inc.		939		214,205
				926,834
Respiratory Products — 0.1%
ResMed, Inc.		3,307		254,507
Retail-Apparel/Shoe — 1.2%
Burlington Stores, Inc.†		4,738		452,289
Coach, Inc.		8,028		323,368
Foot Locker, Inc.		217		7,643
Gap, Inc.		281		8,298
L Brands, Inc.		4,711		196,025
Lululemon Athletica, Inc.†		4,094		254,851

174

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Apparel/Shoe (continued)
PVH Corp.		1,600	$	201,696
Ross Stores, Inc.		18,908		1,220,890
				2,665,060
Retail-Arts & Crafts — 0.1%
Michaels Cos., Inc.†		6,406		137,537
Retail-Auto Parts — 0.8%
Advance Auto Parts, Inc.		450		44,640
AutoZone, Inc.†		1,241		738,531
Genuine Parts Co.		1,281		122,528
O'Reilly Automotive, Inc.†		4,200		904,554
				1,810,253
Retail-Automobile — 0.5%
CarMax, Inc.†		9,132		692,297
Copart, Inc.†		11,103		381,610
				1,073,907
Retail-Building Products — 0.0%
Floor & Decor Holdings, Inc., Class A†		519		20,205
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		5,506		129,777
MSC Industrial Direct Co., Inc., Class A		427		32,268
				162,045
Retail-Convenience Store — 0.1%
Casey's General Stores, Inc.		1,500		164,175
Retail-Discount — 0.8%
Dollar General Corp.		10,696		866,911
Dollar Tree, Inc.†		10,373		900,584
				1,767,495
Retail-Drug Store — 0.0%
Rite Aid Corp.†		11,618		22,771
Retail-Gardening Products — 0.2%
Tractor Supply Co.		6,349		401,828
Retail-Jewelry — 0.2%
Signet Jewelers, Ltd.		1,800		119,790
Tiffany & Co.		3,000		275,340
				395,130
Retail-Mail Order — 0.1%
Williams-Sonoma, Inc.		3,300		164,538
Retail-Major Department Stores — 0.1%
Nordstrom, Inc.		2,769		130,558
Retail-Misc./Diversified — 0.1%
Five Below, Inc.†		2,300		126,224
PriceSmart, Inc.		800		71,400
Sally Beauty Holdings, Inc.†		1,077		21,088
				218,712
Retail-Perfume & Cosmetics — 1.2%
Ulta Beauty, Inc.†		11,558		2,612,801

Security Description	Shares		Value (Note 2)
Retail-Restaurants — 1.7%
Chipotle Mexican Grill, Inc.†		849	$	261,348
Darden Restaurants, Inc.		2,953		232,638
Dave & Buster's Entertainment, Inc.†		14,463		759,018
Domino's Pizza, Inc.		5,235		1,039,409
Dunkin' Brands Group, Inc.		5,737		304,520
Papa John's International, Inc.		2,100		153,447
Restaurant Brands International LP		20		1,273
Restaurant Brands International, Inc.		2,300		146,924
Wendy's Co.		4,368		67,835
Yum China Holdings, Inc.†		11,558		461,973
Yum! Brands, Inc.		3,800		279,718
				3,708,103
Retail-Sporting Goods — 0.0%
Dick's Sporting Goods, Inc.		1,583		42,757
Schools — 0.0%
Bright Horizons Family Solutions, Inc.†		1,198		103,280
Security Services — 0.5%
Brink's Co.		12,033		1,013,780
Semiconductor Components-Integrated Circuits — 0.6%
Analog Devices, Inc.		8,679		747,869
Cypress Semiconductor Corp.		655		9,838
Integrated Device Technology, Inc.†		3,700		98,346
Marvell Technology Group, Ltd.		12,064		215,946
Maxim Integrated Products, Inc.		6,666		318,035
				1,390,034
Semiconductor Equipment — 0.9%
Entegris, Inc.†		4,900		141,365
KLA-Tencor Corp.		7,919		839,414
Lam Research Corp.		3,826		707,963
Teradyne, Inc.		4,392		163,778
				1,852,520
Shipbuilding — 0.2%
Huntington Ingalls Industries, Inc.		2,084		471,901
Soap & Cleaning Preparation — 0.3%
Church & Dwight Co., Inc.		12,504		605,819
Steel Pipe & Tube — 0.1%
Valmont Industries, Inc.		1,000		158,100
Steel-Producers — 0.0%
Carpenter Technology Corp.		1,400		67,242
Steel Dynamics, Inc.		711		24,508
				91,750
Telecommunication Equipment — 0.0%
CommScope Holding Co., Inc.†		2,284		75,852
Telephone-Integrated — 0.1%
Zayo Group Holdings, Inc.†		4,404		151,586
Television — 0.0%
AMC Networks, Inc., Class A†		1,271		74,315
Textile-Home Furnishings — 0.1%
Mohawk Industries, Inc.†		1,292		319,783
Theaters — 0.0%
Regal Entertainment Group, Class A		705		11,280

175

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Therapeutics — 0.2%
Agios Pharmaceuticals, Inc.†		2,309	$	154,126
Neurocrine Biosciences, Inc.†		5,952		364,738
				518,864
Tools-Hand Held — 0.1%
Snap-on, Inc.		1,680		250,337
Stanley Black & Decker, Inc.		370		55,859
				306,196
Toys — 0.1%
Hasbro, Inc.		2,037		198,954
Mattel, Inc.		1,544		23,901
				222,855
Transactional Software — 0.2%
Black Knight Financial Services, Inc., Class A†		7,870		338,803
Transport-Marine — 0.0%
Kirby Corp.†		1,400		92,330
Transport-Rail — 0.1%
Genesee & Wyoming, Inc., Class A†		2,000		148,020
Kansas City Southern		1,600		173,888
				321,908
Transport-Services — 0.3%
C.H. Robinson Worldwide, Inc.		5,023		382,250
Expeditors International of Washington, Inc.		5,200		311,272
				693,522
Transport-Truck — 1.0%
JB Hunt Transport Services, Inc.		3,951		438,877
Knight-Swift Transportation Holdings, Inc.†		23,476		975,428
Landstar System, Inc.		2,389		238,064
Old Dominion Freight Line, Inc.		2,902		319,539
Schneider National, Inc., Class B		5,636		142,591
XPO Logistics, Inc.†		2,031		137,661
				2,252,160
Vitamins & Nutrition Products — 0.1%
Herbalife, Ltd.†		1,625		110,224
Web Hosting/Design — 1.0%
GoDaddy, Inc., Class A†		29,220		1,271,362
Shopify, Inc., Class A†		800		93,192
VeriSign, Inc.†		6,748		717,920
				2,082,474
Wireless Equipment — 0.1%
Motorola Solutions, Inc.		2,164		183,659
X-Ray Equipment — 0.8%
Hologic, Inc.†		49,798		1,827,089
Total Common Stocks (cost $163,482,532)				210,451,104

Security Description	Shares		Value (Note 2)
CONVERTIBLE PREFERRED SECURITIES — 1.4%
Advertising Services — 0.0%
Nanigans, Inc., Series B†(1)(2)(3)		6,300	$	38,493
Applications Software — 0.2%
Dropbox, Inc., Series A†(1)(2)(3)		1,047		10,938
Dropbox, Inc., Series A-1†(1)(2)(3)		5,146		53,759
Dropbox, Inc., Series C†(1)(2)(3)		3,310		38,561
Magic Leap, Inc., Series C†(1)(2)(3)		4,974		117,717
Tanium, Inc., Series G†(1)(2)(3)		32,619		161,930
				382,905
Computer Software — 0.1%
Zuora, Inc., Series F†(1)(2)(3)		35,671		189,413
E-Commerce/Products — 0.1%
Flipkart, Ltd., Series G†(1)(2)(3)		721		86,347
The Honest Co., Inc., Series C†(1)(2)(3)		4,317		131,841
One Kings Lane Inc., Series E†(1)(2)(3)		11,800		2,950
				221,138
E-Commerce/Services — 0.7%
Airbnb, Inc., Series D†(1)(2)(3)		2,091		224,573
Airbnb, Inc., Series E†(1)(2)(3)		2,711		291,162
Uber Technologies, Inc., Series D†(1)(2)(3)		25,472		1,072,244
				1,587,979
Real Estate Management/Services — 0.2%
WeWork Cos., Inc., Series D-1†(1)(2)(3)		3,588		185,894
WeWork Cos., Inc., Series D-2†(1)(2)(3)		2,819		146,053
WeWork Cos., Inc., Series E†(1)(2)(3)		2,120		109,837
				441,784
Web Portals/ISP — 0.1%
Pinterest, Inc., Series G†(1)(2)(3)		19,490		139,920
Total Convertible Preferred Securities (cost $1,855,166)				3,001,632
EXCHANGE-TRADED FUNDS — 0.8%
iShares Russell Midcap Growth Index Fund (cost $4,291,407)		15,063		1,704,981
Total Long-Term Investment Securities (cost $169,629,105)				215,157,717
SHORT-TERM INVESTMENT SECURITIES — 0.0%
Registered Investment Companies — 0.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.92%(5)		66,582		66,582
T. Rowe Price Government Reserve Fund 1.07%(5)		640		640
Total Short-Term Investment Securities (cost $67,222)				67,222

176

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS — 1.5%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $516,005 collateralized by $395,000 of United States Treasury Bonds, bearing interest at 4.75% due 02/15/2041 and having an approximate value of $532,409	$	516,000		$	516,000
Bank of America Securities LLC Joint Repurchase Agreement(4)		340,000			340,000
Barclays Capital, Inc. Joint Repurchase Agreement(4)		425,000			425,000
BNP Paribas SA Joint Repurchase Agreement(4)		720,000			720,000
Deutsche Bank AG Joint Repurchase Agreement(4)		275,000			275,000
RBS Securities, Inc. Joint Repurchase Agreement(4)		940,000			940,000
Total Repurchase Agreements (cost $3,216,000)					3,216,000
TOTAL INVESTMENTS (cost $172,912,327)(6)		100.1	%		218,440,939
Liabilities in excess of other assets		(0.1	)		(130,081	)
NET ASSETS		100.0	%	$	218,310,858

#  See Note 1

†  Non-income producing security

(1)  Security classified as Level 3 (see Note 2).

(2)  Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2017, the Portfolio held the following restricted securities:

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks
Centennial Resource Development LLC	06/08/2017		1,300	$	18,850	$	22,193	$	17.07		0.01	%

Description	Acquisition Date	Shares/ Principal Amount		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks (continued)
DocuSign, Inc. CVR	08/12/2016		2,581	$	0	$	0	$	0.00		0.00	%
DraftKings, Inc.	07/13/2015		17,116		62,500
	07/17/2015		1,238		4,519
	08/11/2015		40,282		155,799
	08/11/2015		16,333		59,638
			74,969		282,456		116,202		1.55		0.05
Dropbox, Inc., Class A	11/07/2014		3,515		67,141		36,720		10.45		0.02
Dropbox, Inc., Class B	05/01/2012		844		7,637		8,817		10.45		0.00
The Honest Co., Inc.	08/20/2014		1,850		50,056		32,708		17.68		0.01
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		116,262		51.81		0.05
Convertible Preferred Securities
Airbnb, Inc., Series D	04/16/2014		2,091		85,131		224,573		107.40		0.10
Airbnb, Inc., Series E	06/24/2015		2,392		222,682
	07/14/2015		319		29,697
			2,711		252,379		291,162		107.40		0.13
Dropbox, Inc., Series A	05/01/2012		1,047		9,474		10,938		10.45		0.01
Dropbox, Inc., Series A-1	05/01/2012		5,146		46,567		53,759		10.45		0.02
Dropbox, Inc., Series C	01/28/2014		3,310		63,225		38,561		11.65		0.02
Flipkart, Ltd., Series G	12/17/2014		721		86,347		86,347		119.76		0.04
The Honest Co., Inc., Series C	08/20/2014		4,317		116,806		131,841		30.54		0.06
Magic Leap, Inc., Series C	12/28/2015		4,974		114,566		117,717		23.67		0.05
Nanigans, Inc., Series B	03/16/2015		6,300		68,787		38,493		6.11		0.02
One Kings Lane, Inc., Series E	01/28/2014		11,800		181,921		2,950		0.25		0.00
Pinterest, Inc., Series G	03/19/2015		19,490		139,921		139,920		7.18		0.06
Tanium, Inc., Series G	08/26/2015		32,619		161,930		161,930		4.96		0.07
Uber Technologies, Inc., Series D	06/05/2014		25,472		395,148		1,072,244		42.10		0.49
WeWork Cos., Inc., Series D-1	12/09/2014		3,588		59,744		185,894		51.81		0.09
WeWork Cos., Inc., Series D-2	12/09/2014		2,819		46,940		146,053		51.81		0.07
WeWork Cos., Inc., Series E	06/23/2015		2,120		69,726		109,837		51.81		0.06
Zuora, Inc., Series F	01/15/2015		35,671		135,525		189,413		5.31		0.10
						$	3,334,534				1.53	%

(3)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $3,334,534 representing 1.5% of net assets.

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

(5)  The rate shown is the 7-day yield as of September 30, 2017.

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

177

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

ADR — American Depositary Receipt

CVR — Contingent Value Rights

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2017	$	700,167	$	718,280	$	18,113

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	7,494,985	$	—	$	45,537	$	7,540,522
E-Commerce/Products		1,724,362		—		32,708		1,757,070
Electronic Forms		—		—		0		0
Entertainment Software		962,434		—		116,202		1,078,636
Oil Companies-Exploration & Production		3,296,574		22,193		—		3,318,767
Real Estate Management/Services		313,361		—		116,262		429,623
Other Industries		196,326,486		—		—		196,326,486
Convertible Preferred Securities		—		—		3,001,632		3,001,632
Exchange-Traded Funds		1,704,981		—		—		1,704,981
Short-Term Investment Securities		67,222		—		—		67,222
Repurchase Agreements		—		3,216,000		—		3,216,000
Total Investments at Value	$	211,890,405	$	3,238,193	$	3,312,341	$	218,440,939
Other Financial Instruments:†
Futures Contracts	$	18,113	$	—	$	—	$	18,113

*  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 Fund'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.

178

Seasons Series Trust Mid Cap Growth Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

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, 2017	$	217,915		$	3,228,081
Accrued Discounts		—			—
Accrued Premiums		—			—
Realized Gain		—			—
Realized Loss		—			(169,122	)
Change in unrealized appreciation(1)		8,689			424,506
Change in unrealized depreciation(1)		(198,352	)		(189,528	)
Net purchases		282,457			2,950
Net sales		—			(295,254	)
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of September 30, 2017	$	310,709		$	3,001,632

(1)  The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2017 includes:

Common Stocks			Convertible Preferred Securities
$	(189,663	)	$	(87,577	)

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, 2017.

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

Description	Value at September 30, 2017		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
Common Stocks	$	232,464	Market Approach	Market Transaction Price*	$51.8100
	$	32,708	Market Approach with	Valuation Based on Series E Offering*	$22.1100
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.00%
				OPM assumptions:
				Volatility*	15.0%
				Term to liquidity event in years	3.00
				Risk-free rate	1.60%
	$	45,537	Market Approach with	Market Transaction Price*	$8.1500
			Option Pricing Method ("OPM")	2017 Estimated Revenue Multiple*	5.0x - 6.4x (5.7x)
				2018 Estimated Revenue Multiple*	5.2x - 6.04x (5.62x)
				2018 Estimated Gross Profit Multiple*	6.8x
				Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	36.5%
				Term to liquidity event in years	2.25
				Risk-free rate	1.49%
	$	0	Income Approach	Potential Future Cash Flows*	$0.00
Convertible Preferred Securities	$	829,981	Market Approach	Market Transaction Price*	$4.9643 - $119.76 ($47.8889)
	$	117,717	Market Approach	Market Transaction Price*	$23.033000
				Pending Series D Offer Price"	$27.000000
				Discount for Lack of Marketability	10.0%
	$	515,735	Market Approach	Market Transaction Price*	$105.0000
				2020 Estimated Revenue Multiple*	5.3x
				2020 Estimated Gross Profit Multiple*	6.3x
				Discount for Lack of Marketability	10.0%

179

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Description	Value at September 30, 2017		Valuation Technique(s)	Unobservable Input (1)	Range (weighted average)
	$	1,072,244	Market Approach	Market Transaction Price*	$48.7722
				Enterprise Value/Estimated 2017 Gross
				Profit Multiple*	13.6x
				Enterprise Value/Projected 2019
				EBITDA Multiple*	28.2x
				Discount for Projected Multiple	30%
				Discount for Lack of Marketability	10% - 15% (12.5%)
	$	189,413	Market Approach	2017 Revenue Multiple*	7.5x
				Discount for Lack of Marketability	10.0%
	$	38,493	Market Approach with	Enterprise Value/Last Twelve Months
			Option Pricing Method ("OPM")	Revenue Multiple*	1.12
				Discount for Lack of Marketability	10.00%
				OPM assumptions:
				Volatility*	54.7%
				Term to liquidity event in years	3.00
				Risk-free rate	1.59%
	$	131,841	Market Approach with	Valuation Based on Series E Offering*	$22.1100
			Option Pricing Method ("OPM")	Discount for Lack of Marketability	10.00%
				OPM assumptions:
				Volatility*	15.0%
				Term to liquidity event in years	3.00
				Risk-free rate	1.60%
	$	103,258	Market Approach with	Market Transaction Price*	$8.1500
			Option Pricing Method ("OPM")	2017 Estimated Revenue Multiple*	5.0x - 6.4x (5.7x)
				2018 Estimated Revenue Multiple*	5.2x - 6.04x (5.62x)
				2018 Estimated Gross Profit Multiple*	6.8x
				Discount for Lack of Marketability	10.0%
				OPM assumptions:
				Volatility*	36.5%
				Term to liquidity event in years	2.25
				Risk-free rate	1.49%
	$	2,950	Income Approach	Future Cash Flows*	$0.25
				Discount for Potential Claims	35.0%

(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

180

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Real Estate Investment Trusts	8.6	%
Electric-Integrated	5.2
Oil Companies-Exploration & Production	5.1
Banks-Super Regional	3.3
Registered Investment Companies	3.0
Insurance-Multi-line	2.6
Banks-Commercial	2.4
Diversified Manufacturing Operations	2.1
Insurance-Property/Casualty	1.8
Gold Mining	1.6
Chemicals-Diversified	1.5
Medical Products	1.5
Banks-Fiduciary	1.4
Agricultural Operations	1.2
Insurance-Life/Health	1.2
Insurance Brokers	1.2
Transport-Services	1.1
Containers-Paper/Plastic	1.1
Semiconductor Components-Integrated Circuits	1.1
Food-Misc./Diversified	1.1
Independent Power Producers	1.1
Medical-Hospitals	1.0
Aerospace/Defense-Equipment	1.0
Retail-Apparel/Shoe	1.0
Exchange-Traded Funds	1.0
Medical-Generic Drugs	0.9
Finance-Investment Banker/Broker	0.9
Gas-Distribution	0.9
Real Estate Management/Services	0.9
Oil-Field Services	0.8
Investment Management/Advisor Services	0.8
Electronic Measurement Instruments	0.8
Airlines	0.8
Computer Services	0.8
Brewery	0.7
Medical-Drugs	0.7
Chemicals-Specialty	0.7
Diversified Operations	0.7
Finance-Consumer Loans	0.7
Insurance-Reinsurance	0.7
Oil Refining & Marketing	0.7
Distribution/Wholesale	0.7
Data Processing/Management	0.7
Tools-Hand Held	0.6
Cosmetics & Toiletries	0.6
Apparel Manufacturers	0.6
Building & Construction Products-Misc.	0.6
Publishing-Newspapers	0.6
Steel-Producers	0.6
Machinery-Pumps	0.6
Oil Companies-Integrated	0.6
Transport-Rail	0.6
Dental Supplies & Equipment	0.6
Food-Retail	0.6
Finance-Credit Card	0.5
Coatings/Paint	0.5
Food-Meat Products	0.5
Multimedia	0.5
Finance-Other Services	0.5
Home Decoration Products	0.5

Medical Labs & Testing Services	0.5	%
Pipelines	0.5
Cruise Lines	0.5
Building Products-Cement	0.5
Hazardous Waste Disposal	0.5
Office Automation & Equipment	0.4
Auto/Truck Parts & Equipment-Original	0.4
Medical-Wholesale Drug Distribution	0.4
Commercial Services	0.4
Food-Baking	0.4
Building-Residential/Commercial	0.4
X-Ray Equipment	0.4
Appliances	0.4
Commercial Services-Finance	0.4
Machinery-Farming	0.4
Medical Instruments	0.4
Engineering/R&D Services	0.4
Finance-Auto Loans	0.4
Toys	0.4
Physicians Practice Management	0.4
Telecommunication Equipment	0.4
Retail-Jewelry	0.4
Food-Confectionery	0.3
Disposable Medical Products	0.3
Schools	0.3
Food-Catering	0.3
Electric-Distribution	0.3
Savings & Loans/Thrifts	0.3
Wireless Equipment	0.3
Electronic Components-Misc.	0.3
U.S. Government Agencies	0.3
Medical-Biomedical/Gene	0.3
Advertising Agencies	0.3
Food-Wholesale/Distribution	0.3
Machinery-Electrical	0.3
Repurchase Agreements	0.3
Agricultural Chemicals	0.3
Rubber-Tires	0.3
Instruments-Controls	0.3
Food-Canned	0.3
Internet Security	0.3
Oil Field Machinery & Equipment	0.3
Computers-Integrated Systems	0.2
Retail-Auto Parts	0.2
Computers-Memory Devices	0.2
Retail-Discount	0.2
Non-Ferrous Metals	0.2
Beverages-Non-alcoholic	0.2
Instruments-Scientific	0.2
Investment Companies	0.2
Auto-Heavy Duty Trucks	0.2
Aerospace/Defense	0.2
Engines-Internal Combustion	0.2
Telephone-Integrated	0.2
Private Equity	0.2
Transport-Truck	0.2
Retail-Gardening Products	0.2
Electric-Generation	0.2
Motorcycle/Motor Scooter	0.2
Water	0.2

181

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
Computer Data Security	0.2	%
Retail-Arts & Crafts	0.2
Rental Auto/Equipment	0.1
Applications Software	0.1
Oil & Gas Drilling	0.1
Professional Sports	0.1
Telecom Services	0.1
Metal-Copper	0.1
Computer Aided Design	0.1
Casino Hotels	0.1
Non-Hazardous Waste Disposal	0.1
Retail-Consumer Electronics	0.1
Medical-HMO	0.1
Real Estate Operations & Development	0.1
Retail-Regional Department Stores	0.1
Cellular Telecom	0.1
Textile-Home Furnishings	0.1
Enterprise Software/Service	0.1
Electric Products-Misc.	0.1
Finance-Mortgage Loan/Banker	0.1
Cable/Satellite TV	0.1
Electronic Parts Distribution	0.1
Retail-Drug Store	0.1
Radio	0.1
Diagnostic Kits	0.1
E-Commerce/Services	0.1
Broadcast Services/Program	0.1
Semiconductor Equipment	0.1
Internet Content-Entertainment	0.1
Coal	0.1
Machinery-Construction & Mining	0.1
Publishing-Books	0.1
Containers-Metal/Glass	0.1
Dialysis Centers	0.1
Computer Software	0.1
Metal-Aluminum	0.1
Drug Delivery Systems	0.1
Human Resources	0.1
Marine Services	0.1
Food-Flour & Grain	0.1
Electronic Components-Semiconductors	0.1
Machinery-General Industrial	0.1
Retail-Catalog Shopping	0.1
Hotels/Motels	0.1
Television	0.1
	100.3	%

*  Calculated as a percentage of net assets

#  See Note 1

182

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 95.7%
Advanced Materials — 0.0%
Hexcel Corp.		630	$	36,175
Advertising Agencies — 0.3%
Interpublic Group of Cos., Inc.		34,622		719,791
Aerospace/Defense — 0.2%
Arconic, Inc.		8,181		203,543
Spirit AeroSystems Holdings, Inc., Class A		2,526		196,321
Teledyne Technologies, Inc.†		729		116,042
				515,906
Aerospace/Defense-Equipment — 1.0%
Cobham PLC		158,250		308,964
Harris Corp.		5,933		781,258
L3 Technologies, Inc.		6,621		1,247,595
Orbital ATK, Inc.		1,201		159,925
				2,497,742
Agricultural Chemicals — 0.3%
CF Industries Holdings, Inc.		7,571		266,196
Mosaic Co.		19,351		417,788
				683,984
Agricultural Operations — 1.2%
Archer-Daniels-Midland Co.		17,600		748,176
Bunge, Ltd.		33,334		2,315,380
				3,063,556
Airlines — 0.8%
Alaska Air Group, Inc.		5,808		442,976
American Airlines Group, Inc.		5,302		251,792
Copa Holdings SA, Class A		603		75,092
Delta Air Lines, Inc.		13,008		627,246
JetBlue Airways Corp.†		6,981		129,358
Spirit Airlines, Inc.†		1,452		48,511
United Continental Holdings, Inc.†		5,781		351,947
				1,926,922
Apparel Manufacturers — 0.6%
Hanesbrands, Inc.		20,574		506,943
Michael Kors Holdings, Ltd.†		2,781		133,071
Ralph Lauren Corp.		7,829		691,223
Under Armour, Inc., Class A†		1,042		17,172
Under Armour, Inc., Class C†		1,058		15,891
VF Corp.		1,798		114,299
				1,478,599
Appliances — 0.4%
Whirlpool Corp.		5,394		994,869
Applications Software — 0.1%
Nuance Communications, Inc.†		6,003		94,367
Verint Systems, Inc.†		6,376		266,836
				361,203
Auto-Heavy Duty Trucks — 0.2%
PACCAR, Inc.		7,183		519,618
Auto/Truck Parts & Equipment-Original — 0.4%
Adient PLC		1,967		165,208
BorgWarner, Inc.		3,972		203,486

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Original (continued)
Delphi Automotive PLC		7,042	$	692,933
Lear Corp.		248		42,924
				1,104,551
Banks-Commercial — 2.4%
Associated Banc-Corp.		3,167		76,800
Bank of Hawaii Corp.		881		73,440
Bank of the Ozarks		1,288		61,888
BankUnited, Inc.		2,178		77,471
BOK Financial Corp.		522		46,500
CIT Group, Inc.		2,828		138,713
Commerce Bancshares, Inc.		1,868		107,914
Cullen/Frost Bankers, Inc.		1,191		113,050
East West Bancorp, Inc.		2,824		168,819
First Hawaiian, Inc.		1,111		33,652
First Horizon National Corp.		34,740		665,271
First Republic Bank		645		67,377
FNB Corp.		6,718		94,253
M&T Bank Corp.		7,418		1,194,595
PacWest Bancorp		2,519		127,235
Pinnacle Financial Partners, Inc.		1,048		70,164
Popular, Inc.		15,006		539,316
Prosperity Bancshares, Inc.		1,387		91,167
Regions Financial Corp.		25,180		383,491
Signature Bank†		463		59,282
SVB Financial Group†		285		53,321
Synovus Financial Corp.		2,533		116,670
TCF Financial Corp.		3,321		56,590
Webster Financial Corp.		1,916		100,686
Westamerica Bancorporation		10,000		595,400
Western Alliance Bancorp†		887		47,082
Wintrust Financial Corp.		7,776		608,939
Zions Bancorporation		4,194		197,873
				5,966,959
Banks-Fiduciary — 1.4%
Citizens Financial Group, Inc.		34,428		1,303,788
Northern Trust Corp.		23,830		2,190,692
				3,494,480
Banks-Super Regional — 3.3%
Comerica, Inc.		15,474		1,180,047
Fifth Third Bancorp		107,409		3,005,304
Huntington Bancshares, Inc.		91,900		1,282,924
KeyCorp		80,040		1,506,353
SunTrust Banks, Inc.		22,511		1,345,482
				8,320,110
Beverages-Non-alcoholic — 0.2%
Coca-Cola European Partners PLC		13,526		562,952
Beverages-Wine/Spirits — 0.0%
Brown-Forman Corp., Class A		65		3,620
Brown-Forman Corp., Class B		211		11,457
				15,077
Brewery — 0.7%
Carlsberg A/S, Class B		9,925		1,086,095
Molson Coors Brewing Co., Class B		9,632		786,356
				1,872,451

183

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Broadcast Services/Program — 0.1%
Discovery Communications, Inc., Class A†		3,170	$	67,489
Discovery Communications, Inc., Class C†		4,386		88,860
Scripps Networks Interactive, Inc., Class A		813		69,829
				226,178
Building & Construction Products-Misc. — 0.6%
Armstrong World Industries, Inc.†		9,848		504,710
Fortune Brands Home & Security, Inc.		221		14,858
Louisiana-Pacific Corp.†		2,100		56,868
Owens Corning		10,861		840,098
USG Corp.†		1,836		59,946
				1,476,480
Building Products-Air & Heating — 0.0%
Lennox International, Inc.		59		10,559
Building Products-Cement — 0.5%
Martin Marietta Materials, Inc.		125		25,779
Vulcan Materials Co.		9,389		1,122,924
				1,148,703
Building Products-Wood — 0.0%
Masco Corp.		2,346		91,517
Building-Residential/Commercial — 0.4%
CalAtlantic Group, Inc.		1,688		61,832
D.R. Horton, Inc.		3,223		128,694
Lennar Corp., Class A		4,172		220,282
Lennar Corp., Class B		205		9,241
PulteGroup, Inc.		4,188		114,458
Toll Brothers, Inc.		12,569		521,236
				1,055,743
Cable/Satellite TV — 0.1%
Liberty Broadband Corp., Class A†		534		50,292
Liberty Broadband Corp., Class C†		2,174		207,182
				257,474
Casino Hotels — 0.1%
MGM Resorts International		9,840		320,686
Cellular Telecom — 0.1%
Altice USA, Inc., Class A†		10,633		290,387
United States Cellular Corp.†		293		10,372
				300,759
Chemicals-Diversified — 1.5%
Celanese Corp., Series A		9,057		944,373
Eastman Chemical Co.		7,794		705,279
FMC Corp.		14,358		1,282,313
Huntsman Corp.		2,168		59,447
Olin Corp.		3,450		118,163
PPG Industries, Inc.		5,857		636,422
Westlake Chemical Corp.		372		30,909
				3,776,906
Chemicals-Specialty — 0.7%
Albemarle Corp.		1,878		255,990
Ashland Global Holdings, Inc.		1,296		84,745

Security Description	Shares		Value (Note 2)
Chemicals-Specialty (continued)
Brenntag AG		5,780	$	321,861
Cabot Corp.		1,278		71,312
NewMarket Corp.		11		4,683
Platform Specialty Products Corp.†		2,507		27,953
Sensient Technologies Corp.		4,063		312,526
Univar, Inc.†		20,013		578,976
Valvoline, Inc.		4,279		100,343
Versum Materials, Inc.		2,069		80,319
				1,838,708
Coal — 0.1%
Arch Coal, Inc., Class A		1,900		136,306
CONSOL Energy, Inc.†		4,761		80,651
				216,957
Coatings/Paint — 0.5%
Axalta Coating Systems, Ltd.†		20,831		602,433
RPM International, Inc.		13,307		683,181
				1,285,614
Commercial Services — 0.4%
Cintas Corp.		3,600		519,408
CoreLogic, Inc.†		726		33,556
Macquarie Infrastructure Corp.		1,629		117,581
Nielsen Holdings PLC		7,481		310,087
Quanta Services, Inc.†		2,310		86,325
				1,066,957
Commercial Services-Finance — 0.4%
Global Payments, Inc.		5,127		487,219
H&R Block, Inc.		3,663		96,996
IHS Markit, Ltd.†		3,456		152,340
Morningstar, Inc.		25		2,125
Sabre Corp.		12,540		226,974
WEX, Inc.†		164		18,404
				984,058
Computer Aided Design — 0.1%
Autodesk, Inc.†		791		88,798
Synopsys, Inc.†		2,891		232,812
				321,610
Computer Data Security — 0.2%
Check Point Software Technologies, Ltd.†		3,700		421,874
Computer Services — 0.8%
Amdocs, Ltd.		14,564		936,756
Conduent, Inc.†		3,968		62,179
DST Systems, Inc.		1,150		63,112
Leidos Holdings, Inc.		12,177		721,122
Teradata Corp.†		2,702		91,301
				1,874,470
Computer Software — 0.1%
Akamai Technologies, Inc.†		3,529		171,933
SS&C Technologies Holdings, Inc.		288		11,563
				183,496
Computers — 0.0%
Hewlett Packard Enterprise Co.		6,600		97,086

184

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Computers-Integrated Systems — 0.2%
NCR Corp.†		16,032	$	601,521
Computers-Memory Devices — 0.2%
Brocade Communications Systems, Inc.		8,492		101,479
NetApp, Inc.		825		36,102
Western Digital Corp.		5,237		452,477
				590,058
Consulting Services — 0.0%
Booz Allen Hamilton Holding Corp.		181		6,768
Consumer Products-Misc. — 0.0%
Clorox Co.		400		52,764
Containers-Metal/Glass — 0.1%
Ball Corp.		3,240		133,812
Crown Holdings, Inc.†		832		49,687
Owens-Illinois, Inc.†		737		18,543
				202,042
Containers-Paper/Plastic — 1.1%
Ardagh Group SA		182		3,897
Bemis Co., Inc.		1,912		87,130
Berry Global Group, Inc.†		10,923		618,788
Graphic Packaging Holding Co.		41,465		578,437
Sealed Air Corp.		13,503		576,848
Sonoco Products Co.		2,050		103,422
WestRock Co.		12,500		709,125
				2,677,647
Cosmetics & Toiletries — 0.6%
Coty, Inc., Class A		35,216		582,121
Edgewell Personal Care Co.†		13,499		982,322
				1,564,443
Cruise Lines — 0.5%
Norwegian Cruise Line Holdings, Ltd.†		3,669		198,310
Royal Caribbean Cruises, Ltd.		8,536		1,011,857
				1,210,167
Data Processing/Management — 0.7%
Dun & Bradstreet Corp.		468		54,480
Fidelity National Information Services, Inc.		12,367		1,154,954
First Data Corp., Class A†		23,138		417,410
				1,626,844
Dental Supplies & Equipment — 0.6%
DENTSPLY SIRONA, Inc.		12,207		730,101
Patterson Cos., Inc.		16,863		651,755
				1,381,856
Diagnostic Equipment — 0.0%
VWR Corp.†		1,785		59,101
Diagnostic Kits — 0.1%
Alere, Inc.†		1,799		91,731
OPKO Health, Inc.†		6,165		42,292
QIAGEN NV		3,219		101,398
				235,421

Security Description	Shares		Value (Note 2)
Dialysis Centers — 0.1%
DaVita, Inc.†		3,199	$	189,989
Disposable Medical Products — 0.3%
STERIS PLC		9,286		820,882
Distribution/Wholesale — 0.7%
HD Supply Holdings, Inc.†		13,296		479,587
LKQ Corp.†		21,998		791,708
WESCO International, Inc.†		6,080		354,160
WW Grainger, Inc.		64		11,504
				1,636,959
Diversified Manufacturing Operations — 2.1%
Carlisle Cos., Inc.		1,325		132,884
Colfax Corp.†		1,850		77,034
Crane Co.		1,044		83,510
Dover Corp.		2,892		264,300
Eaton Corp. PLC		10,201		783,335
Ingersoll-Rand PLC		2,667		237,816
ITT, Inc.		14,499		641,871
Parker-Hannifin Corp.		374		65,457
Pentair PLC		3,469		235,753
Textron, Inc.		47,149		2,540,388
Trinity Industries, Inc.		3,143		100,262
				5,162,610
Diversified Minerals — 0.0%
US Silica Holdings, Inc.		1,231		38,247
Diversified Operations — 0.7%
Leucadia National Corp.		72,065		1,819,641
Drug Delivery Systems — 0.1%
DexCom, Inc.†		3,500		171,238
E-Commerce/Services — 0.1%
Liberty Expedia Holdings, Inc., Class A†		920		48,861
Liberty Ventures, Series A†		1,666		95,878
TripAdvisor, Inc.†		1,219		49,406
Zillow Group, Inc., Class A†		338		13,571
Zillow Group, Inc., Class C†		678		27,263
				234,979
Electric Products-Misc. — 0.1%
AMETEK, Inc.		3,974		262,443
Electric-Distribution — 0.3%
CenterPoint Energy, Inc.		9,034		263,883
PPL Corp.		14,349		544,545
				808,428
Electric-Generation — 0.2%
Vistra Energy Corp.		23,150		432,674
Electric-Integrated — 5.2%
AES Corp.		49,696		547,650
Alliant Energy Corp.		4,772		198,372
Ameren Corp.		13,171		761,811
Avangrid, Inc.		1,185		56,193
CMS Energy Corp.		22,193		1,027,980
Consolidated Edison, Inc.		6,413		517,401
DTE Energy Co.		11,325		1,215,852
Edison International		6,653		513,412

185

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electric-Integrated (continued)
Entergy Corp.		6,261	$	478,090
Eversource Energy		18,708		1,130,711
FirstEnergy Corp.		69,102		2,130,415
Great Plains Energy, Inc.		4,510		136,653
Hawaiian Electric Industries, Inc.		2,263		75,516
MDU Resources Group, Inc.		4,064		105,461
OGE Energy Corp.		4,175		150,425
Pinnacle West Capital Corp.		11,058		935,064
Public Service Enterprise Group, Inc.		28,023		1,296,064
SCANA Corp.		2,753		133,493
WEC Energy Group, Inc.		15,563		977,045
Westar Energy, Inc.		2,967		147,163
Xcel Energy, Inc.		10,642		503,579
				13,038,350
Electronic Components-Misc. — 0.3%
AVX Corp.		26,500		483,095
Garmin, Ltd.		2,526		136,328
Gentex Corp.		2,098		41,541
Jabil, Inc.		3,724		106,320
				767,284
Electronic Components-Semiconductors — 0.1%
Microsemi Corp.†		455		23,424
ON Semiconductor Corp.†		489		9,032
Qorvo, Inc.†		1,268		89,622
Xilinx, Inc.		281		19,903
				141,981
Electronic Measurement Instruments — 0.8%
Agilent Technologies, Inc.		5,114		328,319
FLIR Systems, Inc.		1,330		51,750
Fortive Corp.		611		43,253
Keysight Technologies, Inc.†		20,270		844,448
National Instruments Corp.		14,772		622,935
Trimble, Inc.†		1,095		42,979
				1,933,684
Electronic Parts Distribution — 0.1%
Arrow Electronics, Inc.†		1,850		148,758
Avnet, Inc.		2,603		102,298
				251,056
Energy-Alternate Sources — 0.0%
First Solar, Inc.†		1,705		78,225
Engineering/R&D Services — 0.4%
AECOM†		3,247		119,522
Fluor Corp.		2,925		123,143
Jacobs Engineering Group, Inc.		2,501		145,733
KBR, Inc.		29,743		531,805
				920,203
Engines-Internal Combustion — 0.2%
Cummins, Inc.		3,065		515,012
Enterprise Software/Service — 0.1%
CA, Inc.		6,596		220,174
Guidewire Software, Inc.†		944		73,500
				293,674

Security Description	Shares		Value (Note 2)
Entertainment Software — 0.0%
Zynga, Inc., Class A†		15,840	$	59,875
Filtration/Separation Products — 0.0%
Donaldson Co., Inc.		213		9,785
Finance-Auto Loans — 0.4%
Ally Financial, Inc.		37,037		898,518
Credit Acceptance Corp.†		23		6,444
				904,962
Finance-Consumer Loans — 0.7%
Navient Corp.		5,686		85,404
OneMain Holdings, Inc.†		1,114		31,403
Santander Consumer USA Holdings, Inc.†		3,091		47,509
SLM Corp.†		9,017		103,425
Synchrony Financial		49,586		1,539,645
				1,807,386
Finance-Credit Card — 0.5%
Discover Financial Services		20,955		1,351,178
Finance-Investment Banker/Broker — 0.9%
E*TRADE Financial Corp.†		5,766		251,455
Interactive Brokers Group, Inc., Class A		1,380		62,155
Lazard, Ltd., Class A		251		11,350
LPL Financial Holdings, Inc.		4,800		247,536
Raymond James Financial, Inc.		12,416		1,047,042
TD Ameritrade Holding Corp.		13,510		659,288
				2,278,826
Finance-Leasing Companies — 0.0%
Air Lease Corp.		1,895		80,765
Finance-Mortgage Loan/Banker — 0.1%
FNF Group		5,481		260,128
Finance-Other Services — 0.5%
BGC Partners, Inc., Class A		3,565		51,586
Nasdaq, Inc.		15,509		1,203,033
				1,254,619
Financial Guarantee Insurance — 0.0%
Assured Guaranty, Ltd.		2,513		94,866
Food-Baking — 0.4%
Flowers Foods, Inc.		56,197		1,057,066
Food-Canned — 0.3%
TreeHouse Foods, Inc.†		9,538		646,009
Food-Catering — 0.3%
Aramark		19,953		810,291
Food-Confectionery — 0.3%
Hershey Co.		304		33,188
Hostess Brands, Inc.†		2,540		34,696
J.M. Smucker Co.		7,258		761,582
				829,466
Food-Flour & Grain — 0.1%
Post Holdings, Inc.†		1,357		119,782
Seaboard Corp.		6		27,030
				146,812

186

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Meat Products — 0.5%
Hormel Foods Corp.		5,638	$	181,205
Tyson Foods, Inc., Class A		15,615		1,100,077
				1,281,282
Food-Misc./Diversified — 1.1%
Cal-Maine Foods, Inc.†		5,017		206,199
Campbell Soup Co.		1,288		60,304
Conagra Brands, Inc.		8,300		280,042
General Mills, Inc.		11,900		615,944
Hain Celestial Group, Inc.†		2,128		87,567
Ingredion, Inc.		1,493		180,115
Kellogg Co.		399		24,886
Lamb Weston Holdings, Inc.		2,355		110,426
Pinnacle Foods, Inc.		18,678		1,067,821
				2,633,304
Food-Retail — 0.6%
Kroger Co.		68,164		1,367,370
Safeway Casa Ley CVR†(1)(4)		7,948		8,066
Safeway PDC LLC CVR†(1)(4)		7,948		388
				1,375,824
Food-Wholesale/Distribution — 0.3%
Sysco Corp.		11,300		609,635
US Foods Holding Corp.†		3,637		97,108
				706,743
Footwear & Related Apparel — 0.0%
Skechers U.S.A., Inc., Class A†		1,559		39,115
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC		2,259		55,458
Garden Products — 0.0%
Scotts Miracle-Gro Co., Class A		72		7,009
Gas-Distribution — 0.9%
Atmos Energy Corp.		2,157		180,843
National Fuel Gas Co.		1,682		95,218
NiSource, Inc.		22,559		577,285
Sempra Energy		9,966		1,137,419
UGI Corp.		3,617		169,493
Vectren Corp.		1,740		114,440
				2,274,698
Gold Mining — 1.6%
Franco-Nevada Corp.		16,500		1,278,213
Newmont Mining Corp.		68,386		2,565,159
Royal Gold, Inc.		856		73,650
				3,917,022
Hazardous Waste Disposal — 0.5%
Clean Harbors, Inc.†		12,826		727,234
Stericycle, Inc.†		5,829		417,473
				1,144,707
Home Decoration Products — 0.5%
Newell Brands, Inc.		29,363		1,252,919

Security Description	Shares		Value (Note 2)
Home Furnishings — 0.0%
Leggett & Platt, Inc.		541	$	25,822
Tempur Sealy International, Inc.†		597		38,518
				64,340
Hotels/Motels — 0.1%
Extended Stay America, Inc.		1,752		35,040
Hilton Worldwide Holdings, Inc.		484		33,614
Hyatt Hotels Corp., Class A†		969		59,874
				128,528
Human Resources — 0.1%
ManpowerGroup, Inc.		1,401		165,066
Independent Power Producers — 1.1%
Calpine Corp.†		42,203		622,494
NRG Energy, Inc.		78,430		2,007,024
				2,629,518
Instruments-Controls — 0.3%
Sensata Technologies Holding NV†		13,587		653,127
Instruments-Scientific — 0.2%
PerkinElmer, Inc.		8,078		557,140
Insurance Brokers — 1.2%
Arthur J. Gallagher & Co.		11,413		702,470
Brown & Brown, Inc.		19,489		939,175
Marsh & McLennan Cos., Inc.		10,800		905,148
Willis Towers Watson PLC		2,650		408,710
				2,955,503
Insurance-Life/Health — 1.2%
Athene Holding, Ltd., Class A†		2,243		120,763
Brighthouse Financial, Inc.†		4,542		276,154
Lincoln National Corp.		11,480		843,550
Principal Financial Group, Inc.		5,582		359,146
Torchmark Corp.		2,414		193,337
Unum Group		23,406		1,196,749
				2,989,699
Insurance-Multi-line — 2.6%
American Financial Group, Inc.		1,470		152,072
American National Insurance Co.		155		18,302
Assurant, Inc.		910		86,923
Cincinnati Financial Corp.		3,220		246,555
CNA Financial Corp.		19,966		1,003,292
Hartford Financial Services Group, Inc.		29,986		1,662,124
Kemper Corp.		13,044		691,332
Loews Corp.		32,227		1,542,384
Old Republic International Corp.		5,101		100,439
Voya Financial, Inc.		23,843		951,097
				6,454,520
Insurance-Property/Casualty — 1.8%
Alleghany Corp.†		310		171,743
Arch Capital Group, Ltd.†		2,307		227,240
Erie Indemnity Co., Class A		137		16,518
First American Financial Corp.		2,249		112,383
Hanover Insurance Group, Inc.		6,068		588,171
Markel Corp.†		284		303,306
Mercury General Corp.		570		32,313

187

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Insurance-Property/Casualty (continued)
ProAssurance Corp.		1,098	$	60,006
Progressive Corp.		15,300		740,826
White Mountains Insurance Group, Ltd.		1,287		1,102,959
WR Berkley Corp.		1,993		133,013
XL Group, Ltd.		25,434		1,003,371
				4,491,849
Insurance-Reinsurance — 0.7%
Aspen Insurance Holdings, Ltd.		854		34,501
Axis Capital Holdings, Ltd.		1,743		99,891
Everest Re Group, Ltd.		3,515		802,791
Reinsurance Group of America, Inc.		1,343		187,389
RenaissanceRe Holdings, Ltd.		777		105,004
Validus Holdings, Ltd.		9,905		487,425
				1,717,001
Internet Content-Entertainment — 0.1%
Twitter, Inc.†		13,120		221,334
Internet Security — 0.3%
FireEye, Inc.†		3,667		61,496
Symantec Corp.		17,787		583,591
				645,087
Investment Companies — 0.2%
Groupe Bruxelles Lambert SA		1,792		188,499
Pargesa Holding SA		4,398		365,611
				554,110
Investment Management/Advisor Services — 0.8%
Affiliated Managers Group, Inc.		3,238		614,669
Ameriprise Financial, Inc.		319		47,375
Federated Investors, Inc., Class B		1,443		42,857
Invesco, Ltd.		22,140		775,786
Legg Mason, Inc.		1,383		54,366
T. Rowe Price Group, Inc.		4,166		377,648
Waddell & Reed Financial, Inc., Class A		5,800		116,406
				2,029,107
Lighting Products & Systems — 0.0%
Acuity Brands, Inc.		290		49,671
Machinery-Construction & Mining — 0.1%
Oshkosh Corp.		1,559		128,680
Terex Corp.		1,727		77,749
				206,429
Machinery-Electrical — 0.3%
Regal Beloit Corp.		8,822		696,938
Machinery-Farming — 0.4%
AGCO Corp.		3,994		294,637
Deere & Co.		5,239		657,966
				952,603
Machinery-General Industrial — 0.1%
IDEX Corp.		110		13,362
Roper Technologies, Inc.		114		27,748
Wabtec Corp.		1,219		92,339
				133,449

Security Description	Shares		Value (Note 2)
Machinery-Pumps — 0.6%
Flowserve Corp.		2,730	$	116,271
Gardner Denver Holdings, Inc.†		12,641		347,880
Xylem, Inc.		15,397		964,314
				1,428,465
Marine Services — 0.1%
SEACOR Marine Holdings, Inc.†		9,910		154,992
Medical Instruments — 0.4%
Bruker Corp.		1,392		41,412
Halyard Health, Inc.†		6,100		274,683
Teleflex, Inc.		2,533		612,910
				929,005
Medical Labs & Testing Services — 0.5%
Laboratory Corp. of America Holdings†		2,139		322,925
Quest Diagnostics, Inc.		8,932		836,392
Quintiles IMS Holdings, Inc.†		915		86,989
				1,246,306
Medical Products — 1.5%
Baxter International, Inc.		22,100		1,386,775
Cooper Cos., Inc.		225		53,350
Haemonetics Corp.†		5,400		242,298
Hill-Rom Holdings, Inc.		88		6,512
Zimmer Biomet Holdings, Inc.		17,652		2,066,872
				3,755,807
Medical-Biomedical/Gene — 0.3%
Alnylam Pharmaceuticals, Inc.†		208		24,438
Bio-Rad Laboratories, Inc., Class A†		439		97,555
Intrexon Corp.†		302		5,741
Juno Therapeutics, Inc.†		1,331		59,709
Seattle Genetics, Inc.†		7,900		429,839
United Therapeutics Corp.†		897		105,119
				722,401
Medical-Drugs — 0.7%
Akorn, Inc.†		96		3,186
Alkermes PLC†		16,800		854,112
Endo International PLC†		4,661		39,921
Mallinckrodt PLC†		2,072		77,431
Zoetis, Inc.		13,800		879,888
				1,854,538
Medical-Generic Drugs — 0.9%
Mylan NV†		20,671		648,449
Perrigo Co. PLC		20,304		1,718,734
				2,367,183
Medical-HMO — 0.1%
Centene Corp.†		3,111		301,052
WellCare Health Plans, Inc.†		73		12,537
				313,589
Medical-Hospitals — 1.0%
Acadia Healthcare Co., Inc.†		1,643		78,470
Envision Healthcare Corp.†		2,433		109,363
LifePoint Health, Inc.†		8,210		475,359

188

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Hospitals (continued)
Select Medical Holdings Corp.†		68,800	$	1,320,960
Universal Health Services, Inc., Class B		5,199		576,777
				2,560,929
Medical-Wholesale Drug Distribution — 0.4%
AmerisourceBergen Corp.		7,249		599,855
Cardinal Health, Inc.		6,623		443,211
Premier, Inc., Class A†		762		24,818
				1,067,884
Metal Processors & Fabrication — 0.0%
Timken Co.		1,445		70,155
Metal-Aluminum — 0.1%
Alcoa Corp.†		3,868		180,326
Metal-Copper — 0.1%
Freeport-McMoRan, Inc.†		22,749		319,396
Southern Copper Corp.		184		7,316
				326,712
Miscellaneous Manufacturing — 0.0%
AptarGroup, Inc.		979		84,498
Motion Pictures & Services — 0.0%
Dolby Laboratories, Inc., Class A		1,146		65,918
Lions Gate Entertainment Corp., Class A†		389		13,012
Lions Gate Entertainment Corp., Class B†		738		23,461
				102,391
Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.		8,923		430,178
Multilevel Direct Selling — 0.0%
Nu Skin Enterprises, Inc., Class A		787		48,385
Multimedia — 0.5%
Liberty Media Corp. - Liberty Formula One, Series A†		517		18,865
Liberty Media Corp. - Liberty Formula One, Series C†		3,600		137,124
Viacom, Inc., Class A		210		7,707
Viacom, Inc., Class B		39,658		1,104,079
				1,267,775
Networking Products — 0.0%
LogMeIn, Inc.		406		44,680
Non-Ferrous Metals — 0.2%
Cameco Corp.		58,700		567,629
Non-Hazardous Waste Disposal — 0.1%
Republic Services, Inc.		4,815		318,079
Office Automation & Equipment — 0.4%
Pitney Bowes, Inc.		25,477		356,933
Xerox Corp.		22,798		758,945
				1,115,878
Office Supplies & Forms — 0.0%
Avery Dennison Corp.		103		10,129

Security Description	Shares		Value (Note 2)
Oil & Gas Drilling — 0.1%
Helmerich & Payne, Inc.		2,219	$	115,632
Nabors Industries, Ltd.		5,805		46,846
Patterson-UTI Energy, Inc.		4,357		91,236
Transocean, Ltd.†		8,207		88,307
				342,021
Oil Companies-Exploration & Production — 5.1%
Antero Resources Corp.†		2,447		48,695
Apache Corp.		35,261		1,614,954
Cabot Oil & Gas Corp.		29,357		785,300
Canadian Natural Resources, Ltd.		5,700		190,893
Centennial Resource Development, Inc., Class A†		2,316		41,619
Chesapeake Energy Corp.†		17,640		75,852
Cimarex Energy Co.		133		15,118
Concho Resources, Inc.†		5,667		746,457
Continental Resources, Inc.†		1,021		39,421
Devon Energy Corp.		10,215		374,993
Diamondback Energy, Inc.†		1,587		155,463
Energen Corp.†		13,021		711,988
EQT Corp.		42,530		2,774,657
Extraction Oil & Gas, Inc.†		2,517		38,737
Gulfport Energy Corp.†		3,001		43,034
Hess Corp.		54,447		2,553,020
Kosmos Energy, Ltd.†		4,818		38,351
Marathon Oil Corp.		17,783		241,138
Noble Energy, Inc.		10,085		286,011
Parsley Energy, Inc., Class A†		1,647		43,382
PDC Energy, Inc.†		8,045		394,446
Pioneer Natural Resources Co.		4,317		636,930
QEP Resources, Inc.†		5,011		42,944
Range Resources Corp.		4,779		93,525
Rice Energy, Inc.†		16,009		463,300
RSP Permian, Inc.†		1,365		47,215
SM Energy Co.		2,316		41,086
Southwestern Energy Co.†		10,564		64,546
Whiting Petroleum Corp.†		7,529		41,108
WPX Energy, Inc.†		8,282		95,243
				12,739,426
Oil Companies-Integrated — 0.6%
Murphy Oil Corp.		53,512		1,421,279
Oil Field Machinery & Equipment — 0.3%
Forum Energy Technologies, Inc.†		21,942		348,878
National Oilwell Varco, Inc.		7,965		284,589
				633,467
Oil Refining & Marketing — 0.7%
Andeavor		3,265		336,785
HollyFrontier Corp.		17,425		626,777
Marathon Petroleum Corp.		10,512		589,513
Murphy USA, Inc.†		721		49,749
PBF Energy, Inc., Class A		2,288		63,172
				1,665,996
Oil-Field Services — 0.8%
Baker Hughes, Inc.		8,908		326,211
Frank's International NV		74,236		573,102

189

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil-Field Services (continued)
NOW, Inc.†		8,008	$	110,590
Oceaneering International, Inc.		5,554		145,904
Oil States International, Inc.†		12,840		325,494
RPC, Inc.		97		2,405
SEACOR Holdings, Inc.†		7,200		331,992
Superior Energy Services, Inc.†		19,471		207,950
Weatherford International PLC†		18,462		84,556
				2,108,204
Paper & Related Products — 0.0%
Domtar Corp.		1,301		56,450
International Paper Co.		785		44,604
				101,054
Physicians Practice Management — 0.4%
MEDNAX, Inc.†		20,552		886,202
Pipelines — 0.5%
Cheniere Energy, Inc.†		1,449		65,263
Plains GP Holdings LP, Class A		22,874		500,254
Targa Resources Corp.		4,435		209,776
Williams Cos., Inc.		14,800		444,148
				1,219,441
Poultry — 0.0%
Pilgrim's Pride Corp.†		121		3,438
Power Converter/Supply Equipment — 0.0%
Hubbell, Inc.		409		47,452
Precious Metals — 0.0%
Tahoe Resources, Inc.		6,453		34,007
Private Equity — 0.2%
Apollo Global Management LLC, Class A		15,434		464,563
Professional Sports — 0.1%
Madison Square Garden Co., Class A†		1,584		339,134
Publishing-Books — 0.1%
John Wiley & Sons, Inc., Class A		926		49,541
Scholastic Corp.		4,100		152,520
				202,061
Publishing-Newspapers — 0.6%
News Corp., Class A		107,473		1,425,092
News Corp., Class B		2,540		34,671
				1,459,763
Radio — 0.1%
Liberty Media Corp. - Liberty SiriusXM, Series A†		1,860		77,934
Liberty Media Corp. - Liberty SiriusXM, Series C†		3,740		156,594
Sirius XM Holdings, Inc.		1,605		8,859
				243,387
Real Estate Investment Trusts — 8.6%
AGNC Investment Corp.		7,938		172,096
Alexandria Real Estate Equities, Inc.		1,935		230,207
American Campus Communities, Inc.		2,799		123,576
American Homes 4 Rent, Class A		5,012		108,810

Security Description	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Annaly Capital Management, Inc.		49,964	$	609,061
Apartment Investment & Management Co., Class A		3,266		143,247
Apple Hospitality REIT, Inc.		4,391		83,034
AvalonBay Communities, Inc.		2,883		514,385
Boston Properties, Inc.		2,742		336,937
Brandywine Realty Trust		3,612		63,174
Brixmor Property Group, Inc.		6,387		120,076
Camden Property Trust		1,898		173,572
Chimera Investment Corp.		3,918		74,129
Colony NorthStar, Inc., Class A		11,259		141,413
Columbia Property Trust, Inc.		2,560		55,731
CoreCivic, Inc.		2,463		65,934
Corporate Office Properties Trust		2,083		68,385
CubeSmart		1,209		31,386
CyrusOne, Inc.		221		13,023
DCT Industrial Trust, Inc.		1,928		111,670
DDR Corp.		6,469		59,256
Digital Realty Trust, Inc.		1,000		118,330
Douglas Emmett, Inc.		580		22,864
Duke Realty Corp.		7,441		214,450
Empire State Realty Trust, Inc., Class A		2,663		54,698
EPR Properties		8,388		584,979
Equity Commonwealth†		29,720		903,488
Equity Residential		10,700		705,451
Essex Property Trust, Inc.		1,368		347,513
Extra Space Storage, Inc.		387		30,929
Federal Realty Investment Trust		923		114,646
Forest City Realty Trust, Inc., Class A		5,266		134,336
Gaming and Leisure Properties, Inc.		2,795		103,107
GGP, Inc.		12,900		267,933
Gramercy Property Trust		16,484		498,641
HCP, Inc.		9,830		273,569
Healthcare Trust of America, Inc., Class A		4,107		122,389
Highwoods Properties, Inc.		2,102		109,493
Hospitality Properties Trust		3,395		96,724
Host Hotels & Resorts, Inc.		15,283		282,583
Hudson Pacific Properties, Inc.		2,930		98,243
Invitation Homes, Inc.		1,841		41,699
Iron Mountain, Inc.		692		26,919
JBG SMITH Properties†		1,809		61,886
Kilroy Realty Corp.		2,019		143,591
Kimco Realty Corp.		8,642		168,951
Lamar Advertising Co., Class A		184		12,609
Liberty Property Trust		3,077		126,342
Life Storage, Inc.		11,347		928,298
Macerich Co.		2,863		157,379
Medical Properties Trust, Inc.		66,056		867,315
MFA Financial, Inc.		8,252		72,287
Mid-America Apartment Communities, Inc.		7,986		853,544
National Retail Properties, Inc.		3,109		129,521
New Residential Investment Corp.		6,422		107,440
Omega Healthcare Investors, Inc.		4,070		129,874
Outfront Media, Inc.		2,488		62,648

190

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Paramount Group, Inc.		4,149	$	66,384
Park Hotels & Resorts, Inc.		3,005		82,818
Piedmont Office Realty Trust, Inc., Class A		3,030		61,085
Prologis, Inc.		11,041		700,662
Rayonier, Inc.		56,990		1,646,441
Realty Income Corp.		5,719		327,070
Regency Centers Corp.		9,775		606,441
Retail Properties of America, Inc., Class A		4,956		65,072
Senior Housing Properties Trust		4,922		96,225
SL Green Realty Corp.		2,016		204,261
Spirit Realty Capital, Inc.		10,122		86,745
Starwood Property Trust, Inc.		5,334		115,854
STORE Capital Corp.		3,568		88,736
Sun Communities, Inc.		7,002		599,931
Tanger Factory Outlet Centers, Inc.		1,825		44,566
Taubman Centers, Inc.		8,622		428,513
Two Harbors Investment Corp.		7,243		73,009
UDR, Inc.		5,553		211,181
Uniti Group, Inc.†		3,461		50,738
Ventas, Inc.		7,427		483,720
VEREIT, Inc.		20,444		169,481
Vornado Realty Trust		3,600		276,768
Washington Prime Group, Inc.		19,248		160,336
Weingarten Realty Investors		2,511		79,699
Welltower, Inc.		7,677		539,540
Weyerhaeuser Co.		51,258		1,744,310
WP Carey, Inc.		2,207		148,730
				21,432,087
Real Estate Management/Services — 0.9%
CBRE Group, Inc., Class A†		3,450		130,686
Jones Lang LaSalle, Inc.		4,256		525,616
Realogy Holdings Corp.		45,762		1,507,858
				2,164,160
Real Estate Operations & Development — 0.1%
Howard Hughes Corp.†		713		84,084
St. Joe Co.†		11,900		224,315
				308,399
Recreational Vehicles — 0.0%
Brunswick Corp.		346		19,366
Rental Auto/Equipment — 0.1%
AMERCO		105		39,365
Element Fleet Management Corp.		43,886		325,342
				364,707
Retail-Apparel/Shoe — 1.0%
Burlington Stores, Inc.†		617		58,899
Chico's FAS, Inc.		39,200		350,840
Coach, Inc.		4,900		197,372
Express, Inc.†		16,167		109,289
Foot Locker, Inc.		2,544		89,600
Gap, Inc.		7,275		214,831
L Brands, Inc.		4,224		175,760

Security Description	Shares		Value (Note 2)
Retail-Apparel/Shoe (continued)
PVH Corp.		7,081	$	892,631
Urban Outfitters, Inc.†		16,112		385,077
				2,474,299
Retail-Arts & Crafts — 0.2%
Michaels Cos., Inc.†		17,196		369,198
Retail-Auto Parts — 0.2%
Advance Auto Parts, Inc.		1,091		108,227
AutoZone, Inc.†		523		311,242
Genuine Parts Co.		1,878		179,631
				599,100
Retail-Automobile — 0.0%
AutoNation, Inc.†		1,342		63,691
Penske Automotive Group, Inc.		744		35,392
				99,083
Retail-Bedding — 0.0%
Bed Bath & Beyond, Inc.		2,906		68,204
Retail-Catalog Shopping — 0.1%
Liberty Interactive Corp. QVC Group, Class A†		3,774		88,953
MSC Industrial Direct Co., Inc., Class A		544		41,110
				130,063
Retail-Computer Equipment — 0.0%
GameStop Corp., Class A		2,081		42,993
Retail-Consumer Electronics — 0.1%
Best Buy Co., Inc.		5,530		314,989
Retail-Convenience Store — 0.0%
Casey's General Stores, Inc.		815		89,202
Retail-Discount — 0.2%
Dollar General Corp.		3,566		289,024
Dollar Tree, Inc.†		3,419		296,838
				585,862
Retail-Drug Store — 0.1%
Rite Aid Corp.†		127,856		250,598
Retail-Gardening Products — 0.2%
Tractor Supply Co.		6,942		439,359
Retail-Jewelry — 0.4%
Signet Jewelers, Ltd.		1,430		95,167
Tiffany & Co.		8,459		776,367
				871,534
Retail-Mail Order — 0.0%
Williams-Sonoma, Inc.		1,457		72,646
Retail-Misc./Diversified — 0.0%
Sally Beauty Holdings, Inc.†		1,880		36,810
Retail-Petroleum Products — 0.0%
World Fuel Services Corp.		1,422		48,220
Retail-Regional Department Stores — 0.1%
Kohl's Corp.		3,595		164,112
Macy's, Inc.		6,391		139,451
				303,563

191

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Restaurants — 0.0%
Yum China Holdings, Inc.†		1,051	$	42,008
Retail-Sporting Goods — 0.0%
Dick's Sporting Goods, Inc.		396		10,696
Retirement/Aged Care — 0.0%
Brookdale Senior Living, Inc.†		3,851		40,821
Rubber-Tires — 0.3%
Goodyear Tire & Rubber Co.		19,979		664,302
Satellite Telecom — 0.0%
EchoStar Corp., Class A†		987		56,486
Savings & Loans/Thrifts — 0.3%
Capitol Federal Financial, Inc.		35,900		527,730
New York Community Bancorp, Inc.		9,952		128,281
People's United Financial, Inc.		7,164		129,955
TFS Financial Corp.		1,099		17,727
				803,693
Schools — 0.3%
Graham Holdings Co., Class B		91		53,244
Strayer Education, Inc.		8,700		759,249
				812,493
Semiconductor Components-Integrated Circuits — 1.1%
Analog Devices, Inc.		8,663		746,491
Cypress Semiconductor Corp.		6,304		94,686
Marvell Technology Group, Ltd.		64,632		1,156,913
Maxim Integrated Products, Inc.		13,790		657,921
				2,656,011
Semiconductor Equipment — 0.1%
Applied Materials, Inc.		4,100		213,569
Teradyne, Inc.		278		10,367
				223,936
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		156		35,325
Steel Pipe & Tube — 0.0%
Valmont Industries, Inc.		463		73,200
Steel-Producers — 0.6%
Nucor Corp.		19,385		1,086,335
Reliance Steel & Aluminum Co.		1,481		112,808
Steel Dynamics, Inc.		4,239		146,118
United States Steel Corp.		3,648		93,608
				1,438,869
Telecom Services — 0.1%
Level 3 Communications, Inc.†		6,185		329,599
Telecommunication Equipment — 0.4%
ARRIS International PLC†		3,772		107,464
CommScope Holding Co., Inc.†		1,977		65,656
Juniper Networks, Inc.		7,825		217,770
NICE, Ltd., ADR		6,073		493,796
				884,686
Telephone-Integrated — 0.2%
CenturyLink, Inc.		11,311		213,778
Telephone & Data Systems, Inc.		10,524		293,514
				507,292

Security Description	Shares		Value (Note 2)
Television — 0.1%
TEGNA, Inc.		4,492	$	59,878
Tribune Media Co., Class A		1,517		61,985
				121,863
Textile-Home Furnishings — 0.1%
Mohawk Industries, Inc.†		1,214		300,477
Theaters — 0.0%
Cinemark Holdings, Inc.		2,223		80,495
Regal Entertainment Group, Class A		1,735		27,760
				108,255
Therapeutics — 0.0%
Agios Pharmaceuticals, Inc.†		65		4,339
Tools-Hand Held — 0.6%
Snap-on, Inc.		1,046		155,865
Stanley Black & Decker, Inc.		9,628		1,453,539
				1,609,404
Toys — 0.4%
Hasbro, Inc.		577		56,356
Mattel, Inc.		54,613		845,409
				901,765
Transport-Marine — 0.0%
Kirby Corp.†		1,115		73,534
Transport-Rail — 0.6%
Genesee & Wyoming, Inc., Class A†		1,274		94,289
Kansas City Southern		12,088		1,313,724
				1,408,013
Transport-Services — 1.1%
C.H. Robinson Worldwide, Inc.		26,700		2,031,870
Expeditors International of Washington, Inc.		12,014		719,158
Ryder System, Inc.		1,112		94,020
				2,845,048
Transport-Truck — 0.2%
Old Dominion Freight Line, Inc.		483		53,183
Schneider National, Inc., Class B		14,438		365,281
XPO Logistics, Inc.†		610		41,346
				459,810
Water — 0.2%
American Water Works Co., Inc.		3,736		302,280
Aqua America, Inc.		3,721		123,500
				425,780
Wireless Equipment — 0.3%
Motorola Solutions, Inc.		9,362		794,553
X-Ray Equipment — 0.4%
Hologic, Inc.†		27,820		1,020,716
Total Common Stocks (cost $211,792,442)				240,008,330
EXCHANGE-TRADED FUNDS — 1.0%
iShares Russell Midcap Value Index Fund (cost $2,346,959)		28,412		2,413,031
Total Long-Term Investment Securities (cost $214,139,401)				242,421,361

192

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares/ Principal Amount		Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 3.3%
Registered Investment Companies — 3.0%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.92%(2)		2,043,059	$	2,043,059
T. Rowe Price Government Reserve Fund 1.07%(2)		5,486,753		5,486,753
				7,529,812
U.S. Government Agencies — 0.3%
Federal Home Loan Bank Disc. Notes 0.61% due 10/02/17	$	602,000		602,000
0.71% due 10/02/17		151,000		151,000
				753,000
Total Short-Term Investment Securities (cost $8,282,799)				8,282,812
REPURCHASE AGREEMENTS — 0.3%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $478,005 and collateralized by $490,000 of United States Treasury Notes, bearing interest at 0.38%, due 07/15/2027 and having an approximate value of $488,163		478,000		478,000

Security Description	Principal Amount			Value (Note 2)
REPURCHASE AGREEMENTS (continued)
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $218,002 and collateralized by $230,000 of United States Treasury Notes, bearing interest at 2.00%, due 11/15/2026 and having an approximate value of $226,123	$	218,000		$	218,000
Total Repurchase Agreements (cost $696,000) . .					696,000
TOTAL INVESTMENTS (cost $223,118,200)(3)		100.3	%		251,400,173
Liabilities in excess of other assets		(0.3	)		(650,766	)
NET ASSETS		100.0	%	$	250,749,407

#  See Note 1

†  Non-income producing security

(1)  Security classified as Level 3 (see Note 2).

(2)  The rate shown is the 7-day yield as of September 30, 2017.

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

(4)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $8,454 representing 0.0% of net assets.

ADR — American Depositary Receipt

CVR — Contingent Value Rights

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	4	Long	S&P 400 E-Mini Index	December 2017	$	700,167	$	718,280	$	18,113

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	1,367,370	$	—	$	8,454	$	1,375,824
Other Industries		238,632,506		—		—		238,632,506
Exchange-Traded Funds		2,413,031		—		—		2,413,031
Short-Term Investment Securities		7,529,812		753,000		—		8,282,812
Repurchase Agreements		—		696,000		—		696,000
Total Investments at Value	$	249,942,719	$	1,449,000	$	8,454	$	251,400,173

193

Seasons Series Trust Mid Cap Value Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
Other Financial Instruments:†
Futures Contracts	$	18,113	$	—	$	—	$	18,113

*  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 investment in securities were not considered a material portion of the Portfolio.

See Notes to Financial Statements

194

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Banks-Commercial	8.8	%
Real Estate Investment Trusts	4.2
Human Resources	3.9
Insurance-Property/Casualty	2.9
Aerospace/Defense-Equipment	2.4
Electronic Components-Misc.	2.1
Recreational Vehicles	2.0
Medical-Biomedical/Gene	1.8
Retail-Automobile	1.6
Chemicals-Specialty	1.6
Veterinary Diagnostics	1.5
Diversified Manufacturing Operations	1.5
Registered Investment Companies	1.4
Real Estate Management/Services	1.4
Building-Residential/Commercial	1.4
Commercial Services-Finance	1.4
Engineering/R&D Services	1.3
Finance-Auto Loans	1.3
Savings & Loans/Thrifts	1.3
Building & Construction Products-Misc.	1.1
Medical-Drugs	1.1
Enterprise Software/Service	1.1
Auto/Truck Parts & Equipment-Replacement	1.1
Finance-Other Services	1.0
Exchange-Traded Funds	1.0
Medical Products	1.0
Electronic Components-Semiconductors	1.0
Finance-Investment Banker/Broker	1.0
Miscellaneous Manufacturing	1.0
Applications Software	0.9
Retail-Restaurants	0.9
Computer Services	0.9
Medical-HMO	0.9
Retail-Apparel/Shoe	0.8
Paper & Related Products	0.8
Electric-Integrated	0.8
Finance-Consumer Loans	0.8
Professional Sports	0.8
Semiconductor Equipment	0.8
Building Products-Wood	0.7
Food-Misc./Diversified	0.7
Oil-Field Services	0.7
Batteries/Battery Systems	0.6
Oil Companies-Exploration & Production	0.6
Machinery-General Industrial	0.6
Energy-Alternate Sources	0.6
B2B/E-Commerce	0.6
Consumer Products-Misc.	0.6
Diversified Operations/Commercial Services	0.6
Bicycle Manufacturing	0.6
Commercial Services	0.6
Gas-Distribution	0.6
Transport-Truck	0.6
Time Deposits	0.6
Home Furnishings	0.5
Medical Instruments	0.5
Investment Management/Advisor Services	0.5
Machinery-Farming	0.5
Power Converter/Supply Equipment	0.5
Distribution/Wholesale	0.5

Auto/Truck Parts & Equipment-Original	0.5	%
Footwear & Related Apparel	0.4
Building-Heavy Construction	0.4
Insurance-Life/Health	0.4
Medical-Outpatient/Home Medical	0.4
Drug Delivery Systems	0.4
Therapeutics	0.4
Telecom Services	0.4
Computer Aided Design	0.4
Data Processing/Management	0.4
Rubber/Plastic Products	0.4
Consulting Services	0.3
Printing-Commercial	0.3
Water	0.3
Containers-Paper/Plastic	0.3
Racetracks	0.3
Office Supplies & Forms	0.3
Wireless Equipment	0.3
Repurchase Agreements	0.3
Gambling (Non-Hotel)	0.3
Building & Construction-Misc.	0.3
Transport-Rail	0.3
Auto-Truck Trailers	0.3
Electronic Measurement Instruments	0.3
Computers-Integrated Systems	0.3
Retail-Discount	0.3
Retail-Misc./Diversified	0.3
Building Products-Cement	0.3
Airlines	0.3
Chemicals-Diversified	0.2
Disposable Medical Products	0.2
E-Commerce/Services	0.2
Medical-Hospitals	0.2
Transactional Software	0.2
Satellite Telecom	0.2
Semiconductor Components-Integrated Circuits	0.2
Computers-Periphery Equipment	0.2
Retail-Home Furnishings	0.2
Telecom Equipment-Fiber Optics	0.2
Web Hosting/Design	0.2
Real Estate Operations & Development	0.2
Banks-Mortgage	0.2
Oil Refining & Marketing	0.2
Electronic Parts Distribution	0.2
Engines-Internal Combustion	0.2
Medical-Wholesale Drug Distribution	0.2
Patient Monitoring Equipment	0.2
Insurance-Multi-line	0.2
Television	0.2
Tobacco	0.2
Financial Guarantee Insurance	0.2
Oil & Gas Drilling	0.2
Medical-Nursing Homes	0.2
Medical-Generic Drugs	0.2
Telephone-Integrated	0.2
Metal Products-Distribution	0.2
Poultry	0.2
Lasers-System/Components	0.2
Circuit Boards	0.2
Networking Products	0.2

195

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
E-Services/Consulting	0.2	%
Independent Power Producers	0.2
Hotels/Motels	0.2
Multimedia	0.2
Metal Processors & Fabrication	0.1
Broadcast Services/Program	0.1
Computers-Other	0.1
Retail-Jewelry	0.1
Transport-Services	0.1
Health Care Cost Containment	0.1
Schools	0.1
Retail-Hair Salons	0.1
Resorts/Theme Parks	0.1
Steel-Producers	0.1
Aerospace/Defense	0.1
Internet Security	0.1
Protection/Safety	0.1
Building Products-Doors & Windows	0.1
Publishing-Newspapers	0.1
Environmental Consulting & Engineering	0.1
Publishing-Periodicals	0.1
Casino Hotels	0.1
Retail-Pawn Shops	0.1
Metal-Aluminum	0.1
Building-Mobile Home/Manufactured Housing	0.1
Diversified Minerals	0.1
Instruments-Controls	0.1
Diagnostic Equipment	0.1
Casino Services	0.1
Housewares	0.1
Wire & Cable Products	0.1
Linen Supply & Related Items	0.1
Building-Maintenance & Services	0.1
Electric-Generation	0.1
Chemicals-Fibers	0.1
Medical Information Systems	0.1
Oil Field Machinery & Equipment	0.1
Retail-Vitamins & Nutrition Supplements	0.1
Food-Wholesale/Distribution	0.1
Appliances	0.1
Food-Canned	0.1
Firearms & Ammunition	0.1
Transport-Marine	0.1
Office Furnishings-Original	0.1
Internet Connectivity Services	0.1
Publishing-Books	0.1
Funeral Services & Related Items	0.1
Food-Retail	0.1
Auto-Heavy Duty Trucks	0.1
Diagnostic Kits	0.1
Rental Auto/Equipment	0.1
E-Commerce/Products	0.1
Auto Repair Centers	0.1
Athletic Equipment	0.1
Identification Systems	0.1
Retail-Building Products	0.1
Machinery-Electrical	0.1
Motion Pictures & Services	0.1
Transport-Air Freight	0.1
Computer Data Security	0.1

Telecommunication Equipment	0.1	%
Machinery-Pumps	0.1
Respiratory Products	0.1
Research & Development	0.1
Textile-Apparel	0.1
Medical Imaging Systems	0.1
Travel Services	0.1
Storage/Warehousing	0.1
Computer Software	0.1
Pollution Control	0.1
Computers	0.1
Internet Content-Information/News	0.1
Chemicals-Other	0.1
Building Products-Air & Heating	0.1
Banks-Fiduciary	0.1
Food-Dairy Products	0.1
Transport-Equipment & Leasing	0.1
Golf	0.1
Audio/Video Products	0.1
Internet Application Software	0.1
Banks-Super Regional	0.1
X-Ray Equipment	0.1
Internet Telephone	0.1
E-Marketing/Info	0.1
Insurance-Reinsurance	0.1
Retail-Major Department Stores	0.1
Hazardous Waste Disposal	0.1
	100.1	%

*  Calculated as a percentage of net assets

#  See Note 1

196

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 96.8%
Aerospace/Defense — 0.1%
AeroVironment, Inc.†		2,576	$	139,413
Cubic Corp.		3,030		154,530
National Presto Industries, Inc.		609		64,828
				358,771
Aerospace/Defense-Equipment — 2.4%
AAR Corp.		8,809		332,804
Aerojet Rocketdyne Holdings, Inc.†		9,118		319,221
Curtiss-Wright Corp.		4,000		418,160
HEICO Corp.		36,507		3,278,694
Kaman Corp.		3,387		188,927
KLX, Inc.†		26,496		1,402,433
Moog, Inc., Class A†		7,622		635,903
Triumph Group, Inc.		6,025		179,244
				6,755,386
Agricultural Operations — 0.0%
Andersons, Inc.		3,202		109,669
Airlines — 0.3%
Allegiant Travel Co.		1,522		200,447
Hawaiian Holdings, Inc.†		6,503		244,188
SkyWest, Inc.		6,294		276,307
				720,942
Apparel Manufacturers — 0.0%
Oxford Industries, Inc.		2,041		129,685
Appliances — 0.1%
iRobot Corp.†		3,360		258,922
Applications Software — 0.9%
Ebix, Inc.		2,673		174,413
HubSpot, Inc.†		2,700		226,935
Progress Software Corp.		32,163		1,227,662
RealPage, Inc.†		25,750		1,027,425
				2,656,435
Athletic Equipment — 0.1%
Nautilus, Inc.†		3,738		63,172
Vista Outdoor, Inc.†		6,927		158,906
				222,078
Audio/Video Products — 0.1%
Daktronics, Inc.		4,732		50,017
Universal Electronics, Inc.†		1,757		111,394
				161,411
Auto Repair Centers — 0.1%
Monro, Inc.		3,973		222,687
Auto-Heavy Duty Trucks — 0.1%
REV Group, Inc.		8,327		239,485
Auto-Truck Trailers — 0.3%
Wabash National Corp.		33,265		759,107
Auto/Truck Parts & Equipment-Original — 0.5%
American Axle & Manufacturing Holdings, Inc.†		10,134		178,155
Cooper-Standard Holding, Inc.†		1,938		224,750
Gentherm, Inc.†		4,473		166,172
Superior Industries International, Inc.		2,812		46,820
Tenneco, Inc.		9,925		602,150
Titan International, Inc.		6,016		61,062
				1,279,109

Security Description	Shares		Value (Note 2)
Auto/Truck Parts & Equipment-Replacement — 1.1%
Dorman Products, Inc.†		32,185	$	2,305,090
Douglas Dynamics, Inc.		15,600		614,640
Motorcar Parts of America, Inc.†		2,263		66,668
Standard Motor Products, Inc.		2,489		120,094
				3,106,492
B2B/E-Commerce — 0.6%
ePlus, Inc.†		19,038		1,760,063
Banks-Commercial — 8.8%
1st Source Corp.		3,140		159,512
Ameris Bancorp		4,508		216,384
BancFirst Corp.		9,800		556,150
BancorpSouth, Inc.		13,000		416,650
Bank of the Ozarks		74,480		3,578,764
Banner Corp.		4,030		246,958
Cadence BanCorp†		800		18,336
Capital Bank Financial Corp., Class A		10,200		418,710
Cathay General Bancorp, Class B		5,100		205,020
Central Pacific Financial Corp.		20,396		656,343
Central Valley Community Bancorp		1,200		26,760
Citizens & Northern Corp.		1,300		31,928
City Holding Co.		5,096		366,453
Columbia Banking System, Inc.		7,088		298,476
Community Bank System, Inc.		6,137		339,069
Customers Bancorp, Inc.†		3,497		114,072
CVB Financial Corp.		33,438		808,197
Eagle Bancorp, Inc.†		35,765		2,398,043
East West Bancorp, Inc.		155		9,266
FCB Financial Holdings, Inc., Class A†		15,600		753,480
Fidelity Southern Corp.		2,659		62,859
First BanCorp†		22,026		112,773
First Commonwealth Financial Corp.		33,136		468,212
First Community Bancshares, Inc.		1,400		40,754
First Financial Bancorp		10,946		286,238
First Financial Bankshares, Inc.		8,034		363,137
First Hawaiian, Inc.		4,700		142,363
First Interstate BancSystem, Inc., Class A		3,400		130,050
First Midwest Bancorp, Inc.		12,474		292,141
Fulton Financial Corp.		5,500		103,125
Glacier Bancorp, Inc.		9,471		357,625
Great Western Bancorp, Inc.		8,826		364,337
Guaranty Bancorp		2,100		58,380
Hanmi Financial Corp.		3,935		121,788
Home BancShares, Inc.		79,516		2,005,394
HomeStreet, Inc.†		3,264		88,128
Hope Bancorp, Inc.		25,971		459,946
Independent Bank Corp.		6,100		138,165
Independent Bank Corp./Rockland Trust Co.		4,031		300,914
Kearny Financial Corp.		16,200		248,670
LegacyTexas Financial Group, Inc.		65,724		2,623,702
MainSource Financial Group, Inc.		1,500		53,790
NBT Bancorp, Inc.		5,283		193,992
OFG Bancorp		17,136		156,794
Old National Bancorp		16,454		301,108

197

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Banks-Commercial (continued)
Opus Bank†		2,179	$	52,296
PacWest Bancorp		3,500		176,785
S&T Bancorp, Inc.		4,247		168,096
ServisFirst Bancshares, Inc.		5,463		212,238
Sierra Bancorp		1,500		40,725
Simmons First National Corp., Class A		6,011		348,037
Southside Bancshares, Inc.		4,377		159,148
Southwest Bancorp, Inc.		2,400		66,120
TCF Financial Corp.		13,100		223,224
Tompkins Financial Corp.		1,500		129,210
TrustCo Bank Corp.		11,669		103,854
Trustmark Corp.		4,500		149,040
UMB Financial Corp.		3,100		230,919
Union Bankshares Corp.		15,763		556,434
United Community Banks, Inc.		8,864		252,979
Webster Financial Corp.		3,000		157,650
West Bancorporation, Inc.		2,050		50,020
Westamerica Bancorporation		16,094		958,237
				25,127,968
Banks-Fiduciary — 0.1%
Boston Private Financial Holdings, Inc.		10,209		168,959
Banks-Mortgage — 0.2%
Walker & Dunlop, Inc.†		11,252		588,817
Banks-Super Regional — 0.1%
National Bank Holdings Corp., Class A		4,444		158,606
Batteries/Battery Systems — 0.6%
EnerSys		26,646		1,843,104
Beverages-Non-alcoholic — 0.0%
Coca-Cola Bottling Co. Consolidated		564		121,683
Bicycle Manufacturing — 0.6%
Fox Factory Holding Corp.†		38,467		1,657,928
Broadcast Services/Program — 0.1%
TiVo Corp.		14,804		293,859
World Wrestling Entertainment, Inc., Class A		4,754		111,957
				405,816
Building & Construction Products-Misc. — 1.1%
Gibraltar Industries, Inc.†		11,337		353,148
Patrick Industries, Inc.†		24,300		2,043,630
Ply Gem Holdings, Inc.†		6,900		117,645
Quanex Building Products Corp.		4,182		95,977
Simpson Manufacturing Co., Inc.		5,108		250,496
Trex Co., Inc.†		3,570		321,550
				3,182,446
Building & Construction-Misc. — 0.3%
Aegion Corp.†		4,008		93,306
Comfort Systems USA, Inc.		4,527		161,614
MYR Group, Inc.†		9,402		273,974
TopBuild Corp.†		4,315		281,209
				810,103

Security Description	Shares		Value (Note 2)
Building Products-Air & Heating — 0.1%
AAON, Inc.		4,918	$	169,548
Building Products-Cement — 0.3%
Continental Building Products, Inc.†		22,600		587,600
US Concrete, Inc.†		1,827		139,400
				727,000
Building Products-Doors & Windows — 0.1%
Apogee Enterprises, Inc.		3,503		169,055
Griffon Corp.		3,672		81,518
PGT Innovations , Inc.†		6,023		90,044
				340,617
Building Products-Wood — 0.7%
Boise Cascade Co.†		4,679		163,297
Universal Forest Products, Inc.		17,507		1,718,487
				1,881,784
Building-Heavy Construction — 0.4%
Dycom Industries, Inc.†		11,515		988,908
MasTec, Inc.†		3,200		148,480
Orion Group Holdings, Inc.†		3,424		22,462
				1,159,850
Building-Maintenance & Services — 0.1%
ABM Industries, Inc.		6,738		281,042
Building-Mobile Home/Manufactured Housing — 0.1%
Cavco Industries, Inc.†		1,029		151,829
Winnebago Industries, Inc.		3,490		156,177
				308,006
Building-Residential/Commercial — 1.4%
AV Homes, Inc.†		2,900		49,735
Beazer Homes USA, Inc.†		21,100		395,414
Installed Building Products, Inc.†		28,463		1,844,403
LGI Homes, Inc.†		2,100		101,997
M/I Homes, Inc.†		3,048		81,473
MDC Holdings, Inc.		5,039		167,345
Meritage Homes Corp.†		4,602		204,329
Taylor Morrison Home Corp., Class A†		48,900		1,078,245
William Lyon Homes, Class A†		2,869		65,958
				3,988,899
Capacitors — 0.0%
KEMET Corp.†		5,943		125,576
Casino Hotels — 0.1%
Boyd Gaming Corp.		9,997		260,422
Monarch Casino & Resort, Inc.†		1,365		53,958
				314,380
Casino Services — 0.1%
Scientific Games Corp., Class A†		6,406		293,715
Cellular Telecom — 0.0%
ATN International, Inc.		1,338		70,513
Chemicals-Diversified — 0.2%
Aceto Corp.		3,656		41,057
AdvanSix, Inc.†		3,695		146,876
Innophos Holdings, Inc.		2,371		116,630
Innospec, Inc.		2,931		180,696

198

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Chemicals-Diversified (continued)
Koppers Holdings, Inc.†		2,519	$	116,252
Olin Corp.		2,300		78,775
				680,286
Chemicals-Fibers — 0.1%
Rayonier Advanced Materials, Inc.		19,854		272,000
Chemicals-Other — 0.1%
American Vanguard Corp.		7,482		171,338
Chemicals-Plastics — 0.0%
A. Schulman, Inc.		3,573		122,018
Chemicals-Specialty — 1.6%
Balchem Corp.		28,492		2,316,115
Calgon Carbon Corp.		6,167		131,974
H.B. Fuller Co.		6,136		356,256
Hawkins, Inc.		1,152		47,001
Ingevity Corp.†		5,112		319,347
Kraton Corp.†		3,783		152,984
Minerals Technologies, Inc.		6,600		466,290
OMNOVA Solutions, Inc.†		15,200		166,440
Quaker Chemical Corp.		1,616		239,087
Stepan Co.		2,401		200,868
Venator Materials PLC†		3,300		74,580
				4,470,942
Circuit Boards — 0.2%
Park Electrochemical Corp.		2,309		42,716
TTM Technologies, Inc.†		28,326		435,371
				478,087
Coal — 0.0%
Cloud Peak Energy, Inc.†		9,113		33,354
SunCoke Energy, Inc.†		10,608		96,957
				130,311
Commercial Services — 0.6%
Acacia Research Corp.†		9,700		44,135
Care.com, Inc.†		4,300		68,327
Healthcare Services Group, Inc.		8,886		479,578
HMS Holdings Corp.†		23,405		464,823
Medifast, Inc.		2,075		123,193
Nutrisystem, Inc.		3,647		203,867
RPX Corp.†		13,100		173,968
Team, Inc.†		3,623		48,367
				1,606,258
Commercial Services-Finance — 1.4%
Cardtronics PLC, Class A†		5,543		127,544
Euronet Worldwide, Inc.†		1,500		142,185
EVERTEC, Inc.		2,000		31,700
Green Dot Corp., Class A†		5,514		273,384
LendingTree, Inc.†		918		224,405
MarketAxess Holdings, Inc.		2,800		516,628
Travelport Worldwide, Ltd.		43,600		684,520
WEX, Inc.†		16,958		1,903,027
				3,903,393
Communications Software — 0.0%
Digi International, Inc.†		3,222		34,153

Security Description	Shares		Value (Note 2)
Computer Aided Design — 0.4%
Aspen Technology, Inc.†		17,900	$	1,124,299
Computer Data Security — 0.1%
Qualys, Inc.†		3,827		198,239
Computer Graphics — 0.0%
Monotype Imaging Holdings, Inc.		5,065		97,501
Computer Services — 0.9%
Barracuda Networks, Inc.†		4,888		118,436
CACI International, Inc., Class A†		2,970		413,870
Convergys Corp.		10,100		261,489
Engility Holdings, Inc.†		2,143		74,319
ExlService Holdings, Inc.†		4,089		238,470
Insight Enterprises, Inc.†		4,345		199,522
Science Applications International Corp.		7,350		491,348
Sykes Enterprises, Inc.†		4,857		141,630
TeleTech Holdings, Inc.		1,725		72,019
Unisys Corp.†		41,000		348,500
Virtusa Corp.†		3,305		124,863
				2,484,466
Computer Software — 0.1%
Tintri, Inc.†		15,700		49,298
Workiva, Inc.†		6,400		133,440
				182,738
Computers — 0.1%
Nutanix, Inc., Class A†		7,700		172,403
Computers-Integrated Systems — 0.3%
Agilysys, Inc.†		1,875		22,406
Cray, Inc.†		4,902		95,344
Mercury Systems, Inc.†		5,841		303,031
MTS Systems Corp.		2,059		110,054
NetScout Systems, Inc.†		3,900		126,165
Super Micro Computer, Inc.†		4,612		101,925
				758,925
Computers-Other — 0.1%
Lumentum Holdings, Inc.†		7,464		405,668
Computers-Periphery Equipment — 0.2%
Electronics For Imaging, Inc.†		15,242		650,529
Consulting Services — 0.3%
Forrester Research, Inc.		1,184		49,550
Franklin Covey Co.†		3,116		63,255
FTI Consulting, Inc.†		4,801		170,340
Huron Consulting Group, Inc.†		17,900		613,970
Navigant Consulting, Inc.†		5,674		96,004
				993,119
Consumer Products-Misc. — 0.6%
Central Garden & Pet Co.†		1,255		48,744
Central Garden & Pet Co., Class A†		4,241		157,723
Helen of Troy, Ltd.†		14,028		1,359,313
WD-40 Co.		1,702		190,454
				1,756,234

199

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Containers-Paper/Plastic — 0.3%
Graphic Packaging Holding Co.		39,900	$	556,605
KapStone Paper and Packaging Corp.		10,592		227,622
Multi-Color Corp.		1,676		137,348
				921,575
Cosmetics & Toiletries — 0.0%
Inter Parfums, Inc.		2,082		85,883
Data Processing/Management — 0.4%
CSG Systems International, Inc.		10,178		408,138
Fair Isaac Corp.		4,700		660,350
				1,068,488
Diagnostic Equipment — 0.1%
BioTelemetry, Inc.†		3,733		123,189
Repligen Corp.†		4,536		173,820
				297,009
Diagnostic Kits — 0.1%
Meridian Bioscience, Inc.		5,124		73,273
OraSure Technologies, Inc.†		7,219		162,428
				235,701
Disposable Medical Products — 0.2%
ICU Medical, Inc.†		1,819		338,061
Merit Medical Systems, Inc.†		6,087		257,785
Utah Medical Products, Inc.		1,100		80,905
				676,751
Distribution/Wholesale — 0.5%
Anixter International, Inc.†		3,511		298,435
Core-Mark Holding Co., Inc.		5,624		180,755
Essendant, Inc.		8,157		107,428
Fossil Group, Inc.†		5,243		48,917
G-III Apparel Group, Ltd.†		5,022		145,739
ScanSource, Inc.†		3,988		174,076
Titan Machinery, Inc.†		19,000		295,070
Veritiv Corp.†		1,352		43,940
				1,294,360
Diversified Manufacturing Operations — 1.5%
Actuant Corp., Class A		19,848		508,109
AZZ, Inc.		3,156		153,697
Barnes Group, Inc.		6,014		423,626
Colfax Corp.†		20,794		865,862
EnPro Industries, Inc.		2,589		208,492
Fabrinet†		4,537		168,141
Federal Signal Corp.		7,279		154,897
GP Strategies Corp.†		30,541		942,190
Harsco Corp.†		13,464		281,398
LSB Industries, Inc.†		2,449		19,445
Lydall, Inc.†		2,093		119,929
Raven Industries, Inc.		4,384		142,042
Standex International Corp.		1,551		164,716
Tredegar Corp.		3,088		55,584
				4,208,128
Diversified Minerals — 0.1%
US Silica Holdings, Inc.		9,861		306,381

Security Description	Shares		Value (Note 2)
Diversified Operations/Commercial Services — 0.6%
Colliers International Group, Inc.		30,799	$	1,530,710
Viad Corp.		2,478		150,910
				1,681,620
Drug Delivery Systems — 0.4%
Depomed, Inc.†		7,645		44,265
Nektar Therapeutics†		34,781		834,744
Revance Therapeutics, Inc.†		9,400		258,970
				1,137,979
E-Commerce/Products — 0.1%
FTD Cos., Inc.†		2,032		26,497
Shutterfly, Inc.†		4,051		196,393
				222,890
E-Commerce/Services — 0.2%
Bankrate, Inc.†		11,600		161,820
Stamps.com, Inc.†		2,534		513,515
				675,335
E-Marketing/Info — 0.1%
Liquidity Services, Inc.†		3,098		18,278
New Media Investment Group, Inc.		6,464		95,603
QuinStreet, Inc.†		4,301		31,612
				145,493
E-Services/Consulting — 0.2%
Perficient, Inc.†		24,264		477,273
Electric Products-Misc. — 0.0%
Graham Corp.		2,200		45,826
Electric-Distribution — 0.0%
Spark Energy, Inc., Class A		8,800		132,000
Electric-Generation — 0.1%
Atlantic Power Corp.†		113,500		278,075
Electric-Integrated — 0.8%
ALLETE, Inc.		6,175		477,266
Avista Corp.		9,321		482,548
El Paso Electric Co.		11,029		609,352
NorthWestern Corp.		1,700		96,798
PNM Resources, Inc.		4,500		181,350
Portland General Electric Co.		10,800		492,912
				2,340,226
Electronic Components-Misc. — 2.1%
Bel Fuse, Inc., Class B		2,598		81,058
Benchmark Electronics, Inc.†		30,862		1,053,937
CTS Corp.		3,989		96,135
Knowles Corp.†		22,500		343,575
Methode Electronics, Inc.		4,470		189,305
OSI Systems, Inc.†		26,236		2,397,183
Plexus Corp.†		4,080		228,806
Rogers Corp.†		2,207		294,149
Sanmina Corp.†		9,152		339,997
Stoneridge, Inc.†		19,700		390,257
Vishay Intertechnology, Inc.		36,800		691,840
				6,106,242

200

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Electronic Components-Semiconductors — 1.0%
Alpha & Omega Semiconductor, Ltd.†		13,600	$	224,264
Amkor Technology, Inc.†		43,400		457,870
CEVA, Inc.†		2,667		114,147
Diodes, Inc.†		4,648		139,115
DSP Group, Inc.†		2,702		35,126
Kopin Corp.†		7,392		30,825
Rambus, Inc.†		13,268		177,128
Semtech Corp.†		8,038		301,827
Silicon Laboratories, Inc.†		1,100		87,890
Synaptics, Inc.†		11,600		454,488
Xperi Corp.		33,712		852,913
				2,875,593
Electronic Measurement Instruments — 0.3%
Badger Meter, Inc.		3,535		173,215
ESCO Technologies, Inc.		3,136		188,003
FARO Technologies, Inc.†		2,029		77,609
Itron, Inc.†		4,135		320,256
				759,083
Electronic Parts Distribution — 0.2%
Tech Data Corp.†		6,550		581,967
Energy-Alternate Sources — 0.6%
FutureFuel Corp.		11,481		180,711
Green Plains, Inc.		4,735		95,410
Pattern Energy Group, Inc.		8,400		202,440
Renewable Energy Group, Inc.†		20,400		247,860
REX American Resources Corp.†		10,201		957,160
SolarEdge Technologies, Inc.†		4,292		122,537
				1,806,118
Engineering/R&D Services — 1.3%
EMCOR Group, Inc.		13,100		908,878
Exponent, Inc.		35,006		2,586,943
VSE Corp.		5,700		324,102
				3,819,923
Engines-Internal Combustion — 0.2%
Briggs & Stratton Corp.		24,491		575,538
Enterprise Software/Service — 1.1%
Donnelley Financial Solutions, Inc.†		4,092		88,223
LivePerson, Inc.†		6,579		89,145
Manhattan Associates, Inc.†		2,600		108,082
ManTech International Corp., Class A		3,120		137,748
MicroStrategy, Inc., Class A†		1,143		145,973
Omnicell, Inc.†		4,548		232,175
SPS Commerce, Inc.†		2,091		118,581
Tyler Technologies, Inc.†		12,849		2,239,838
				3,159,765
Entertainment Software — 0.0%
Take-Two Interactive Software, Inc.†		450		46,004
Environmental Consulting & Engineering — 0.1%
Tetra Tech, Inc.		6,866		319,612

Security Description	Shares		Value (Note 2)
Finance-Auto Loans — 1.3%
Credit Acceptance Corp.†		13,237	$	3,708,610
Finance-Consumer Loans — 0.8%
Encore Capital Group, Inc.†		2,875		127,362
Enova International, Inc.†		4,090		55,011
Nelnet, Inc., Class A		4,300		217,150
PRA Group, Inc.†		63,026		1,805,695
Regional Management Corp.†		1,000		24,210
World Acceptance Corp.†		715		59,266
				2,288,694
Finance-Investment Banker/Broker — 1.0%
Diamond Hill Investment Group, Inc.		6,515		1,383,460
Evercore, Inc., Class A		4,766		382,472
Greenhill & Co., Inc.		3,347		55,560
Houlihan Lokey, Inc.		7,200		281,736
Interactive Brokers Group, Inc., Class A		8,677		390,812
INTL. FCStone, Inc.†		1,887		72,310
Investment Technology Group, Inc.		4,022		89,047
Piper Jaffray Cos.		1,725		102,379
				2,757,776
Finance-Other Services — 1.0%
WageWorks, Inc.†		48,593		2,949,595
Financial Guarantee Insurance — 0.2%
MBIA, Inc.†		30,800		267,960
MGIC Investment Corp.†		13,300		166,649
NMI Holdings, Inc., Class A†		6,200		76,880
				511,489
Firearms & Ammunition — 0.1%
Axon Enterprise, Inc.†		6,415		145,428
Sturm Ruger & Co., Inc.		2,146		110,948
				256,376
Food-Canned — 0.1%
Bob Evans Farms, Inc.		2,419		187,497
Seneca Foods Corp., Class A†		2,031		70,069
				257,566
Food-Dairy Products — 0.1%
Dean Foods Co.		15,500		168,640
Food-Flour & Grain — 0.0%
Post Holdings, Inc.†		1,500		132,405
Food-Misc./Diversified — 0.7%
B&G Foods, Inc.		8,074		257,157
Cal-Maine Foods, Inc.†		3,614		148,535
Darling Ingredients, Inc.†		66,499		1,165,063
J&J Snack Foods Corp.		1,820		238,966
John B. Sanfilippo & Son, Inc.		1,056		71,079
				1,880,800
Food-Retail — 0.1%
Ingles Markets, Inc., Class A		5,400		138,780
SUPERVALU, Inc.†		4,657		101,290
				240,070

201

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Food-Wholesale/Distribution — 0.1%
Calavo Growers, Inc.		1,916	$	140,251
SpartanNash Co.		4,525		119,324
				259,575
Footwear & Related Apparel — 0.4%
Crocs, Inc.†		8,713		84,516
Iconix Brand Group, Inc.†		19,832		112,844
Steven Madden, Ltd.†		6,465		279,935
Wolverine World Wide, Inc.		23,733		684,697
				1,161,992
Forestry — 0.0%
Deltic Timber Corp.		1,317		116,462
Funeral Services & Related Items — 0.1%
Matthews International Corp., Class A		3,908		243,273
Gambling (Non-Hotel) — 0.3%
Pinnacle Entertainment, Inc.†		41,500		884,365
Gas-Distribution — 0.6%
Northwest Natural Gas Co.		4,980		320,712
South Jersey Industries, Inc.		9,650		333,214
Southwest Gas Holdings, Inc.		3,100		240,622
Spire, Inc.		9,460		706,189
				1,600,737
Golf — 0.1%
Callaway Golf Co.		11,458		165,339
Hazardous Waste Disposal — 0.1%
US Ecology, Inc.		2,650		142,570
Health Care Cost Containment — 0.1%
CorVel Corp.†		1,161		63,159
HealthEquity, Inc.†		6,190		313,090
				376,249
Home Furnishings — 0.5%
American Woodmark Corp.†		1,736		167,090
Ethan Allen Interiors, Inc.		3,066		99,338
Hooker Furniture Corp.		14,806		706,987
Select Comfort Corp.†		17,786		552,255
				1,525,670
Hotels/Motels — 0.2%
Belmond, Ltd., Class A†		10,188		139,066
La Quinta Holdings, Inc.†		14,500		253,750
Marcus Corp.		2,334		64,652
				457,468
Housewares — 0.1%
NACCO Industries, Inc., Class A		3,400		291,720
Human Resources — 3.9%
AMN Healthcare Services, Inc.†		71,842		3,283,179
Barrett Business Services, Inc.		10,796		610,298
Cross Country Healthcare, Inc.†		45,231		643,637
Heidrick & Struggles International, Inc.		2,281		48,243
Insperity, Inc.		27,411		2,412,168
Kelly Services, Inc., Class A		3,684		92,432

Security Description	Shares		Value (Note 2)
Human Resources (continued)
Korn/Ferry International		7,020	$	276,799
On Assignment, Inc.†		53,291		2,860,661
Resources Connection, Inc.		3,409		47,385
TriNet Group, Inc.†		1,700		57,154
TrueBlue, Inc.†		5,100		114,495
Willdan Group, Inc.†		15,525		503,941
				10,950,392
Identification Systems — 0.1%
Brady Corp., Class A		5,799		220,072
Independent Power Producers — 0.2%
Dynegy, Inc.†		47,800		467,962
Instruments-Controls — 0.1%
Control4 Corp.†		2,354		69,349
Watts Water Technologies, Inc., Class A		3,377		233,688
				303,037
Insurance Brokers — 0.0%
eHealth, Inc.†		1,980		47,302
Insurance-Life/Health — 0.4%
American Equity Investment Life Holding Co.		10,796		313,948
CNO Financial Group, Inc.		18,000		420,120
Primerica, Inc.		5,200		424,060
				1,158,128
Insurance-Multi-line — 0.2%
Horace Mann Educators Corp.		4,938		194,310
Kemper Corp.		4,200		222,600
United Fire Group, Inc.		2,583		118,353
				535,263
Insurance-Property/Casualty — 2.9%
Ambac Financial Group, Inc.†		900		15,534
AMERISAFE, Inc.		26,210		1,525,422
Employers Holdings, Inc.		3,936		178,891
First American Financial Corp.		3,300		164,901
Global Indemnity, Ltd.†		1,200		50,880
HCI Group, Inc.		982		37,562
Infinity Property & Casualty Corp.		1,340		126,228
Kinsale Capital Group, Inc.		1,300		56,121
National General Holdings Corp.		78,791		1,505,696
Navigators Group, Inc.		7,722		450,579
ProAssurance Corp.		10,483		572,896
RLI Corp.		44,970		2,579,479
Safety Insurance Group, Inc.		1,848		141,002
Selective Insurance Group, Inc.		7,086		381,581
Stewart Information Services Corp.		2,883		108,862
Third Point Reinsurance, Ltd.†		14,193		221,411
United Insurance Holdings Corp.		2,491		40,603
Universal Insurance Holdings, Inc.		7,535		173,305
				8,330,953
Insurance-Reinsurance — 0.1%
Aspen Insurance Holdings, Ltd.		1,500		60,600
Blue Capital Reinsurance Holdings, Ltd.		900		14,805
Maiden Holdings, Ltd.		8,624		68,561
				143,966

202

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Internet Application Software — 0.1%
Okta, Inc.†		5,700	$	160,797
Internet Connectivity Services — 0.1%
Cogent Communications Holdings, Inc.		5,020		245,478
Internet Content-Entertainment — 0.0%
Shutterstock, Inc.†		2,228		74,170
Internet Content-Information/News — 0.1%
DHI Group, Inc.†		16,053		41,738
HealthStream, Inc.†		3,097		72,377
XO Group, Inc.†		2,932		57,672
				171,787
Internet Security — 0.1%
Proofpoint, Inc.†		1,400		122,108
VASCO Data Security International, Inc.†		9,058		109,149
Zix Corp.†		23,700		115,893
				347,150
Internet Telephone — 0.1%
8x8, Inc.†		11,150		150,525
Investment Management/Advisor Services — 0.5%
Artisan Partners Asset Management, Inc., Class A		15,079		491,575
Federated Investors, Inc., Class B		1,900		56,430
Financial Engines, Inc.		7,668		266,463
Virtus Investment Partners, Inc.		1,976		229,315
Waddell & Reed Financial, Inc., Class A		10,149		203,691
WisdomTree Investments, Inc.		13,966		142,174
				1,389,648
Lasers-System/Components — 0.2%
Applied Optoelectronics, Inc.†		2,344		151,587
Electro Scientific Industries, Inc.†		4,023		56,000
II-VI, Inc.†		6,761		278,215
				485,802
Linen Supply & Related Items — 0.1%
UniFirst Corp.		1,872		283,608
Machinery-Construction & Mining — 0.0%
Astec Industries, Inc.		2,325		130,223
Machinery-Electrical — 0.1%
Franklin Electric Co., Inc.		4,685		210,122
Machinery-Farming — 0.5%
Alamo Group, Inc.		11,328		1,216,287
Lindsay Corp.		1,291		118,643
				1,334,930
Machinery-General Industrial — 0.6%
Albany International Corp., Class A		3,509		201,416
Applied Industrial Technologies, Inc.		9,141		601,478
Chart Industries, Inc.†		3,734		146,485
DXP Enterprises, Inc.†		9,823		309,326
Kadant, Inc.		4,200		413,910
Tennant Co.		2,164		143,257
				1,815,872

Security Description	Shares		Value (Note 2)
Machinery-Pumps — 0.1%
SPX FLOW, Inc.†		5,136	$	198,044
Marine Services — 0.0%
SEACOR Marine Holdings, Inc.†		1,810		28,308
Medical Imaging Systems — 0.1%
Analogic Corp.		1,514		126,798
Lantheus Holdings, Inc.†		3,574		63,617
				190,415
Medical Information Systems — 0.1%
Allscripts Healthcare Solutions, Inc.†		10,000		142,300
Computer Programs & Systems, Inc.		1,353		39,981
Quality Systems, Inc.†		5,694		89,567
				271,848
Medical Instruments — 0.5%
Abaxis, Inc.		2,755		123,011
AngioDynamics, Inc.†		4,442		75,914
CONMED Corp.		3,018		158,354
CryoLife, Inc.†		4,061		92,185
Halyard Health, Inc.†		9,300		418,779
Integra LifeSciences Holdings Corp.†		7,679		387,636
Natus Medical, Inc.†		4,025		150,937
				1,406,816
Medical Products — 1.0%
Cantel Medical Corp.		4,306		405,496
Haemonetics Corp.†		6,387		286,585
Integer Holdings Corp.†		3,414		174,626
Invacare Corp.		3,989		62,827
LeMaitre Vascular, Inc.		1,825		68,292
Luminex Corp.		4,976		101,162
MiMedx Group, Inc.†		12,563		149,248
Orthofix International NV†		12,556		593,271
Surmodics, Inc.†		1,592		49,352
Wright Medical Group NV†		38,900		1,006,343
				2,897,202
Medical-Biomedical/Gene — 1.8%
Achillion Pharmaceuticals, Inc.†		7,968		35,776
Acorda Therapeutics, Inc.†		5,664		133,954
Alder Biopharmaceuticals, Inc.†		19,600		240,100
AMAG Pharmaceuticals, Inc.†		4,285		79,058
ANI Pharmaceuticals, Inc.†		1,088		57,109
Arena Pharmaceuticals, Inc.†		14,530		370,515
Axovant Sciences, Ltd.†		1,300		8,944
Biohaven Pharmaceutical Holding Co., Ltd.†		6,500		242,970
Cambrex Corp.†		3,974		218,570
Cytokinetics, Inc.†		6,125		88,813
CytomX Therapeutics, Inc.†		11,100		201,687
Edge Therapeutics, Inc.†		17,800		190,994
Emergent BioSolutions, Inc.†		4,253		172,034
Innoviva, Inc.†		9,029		127,490
Ligand Pharmaceuticals, Inc.†		2,540		345,821
Medicines Co.†		7,761		287,467
Momenta Pharmaceuticals, Inc.†		9,256		171,236
Myriad Genetics, Inc.†		17,510		633,512
Novavax, Inc.†		177,700		202,578

203

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Medical-Biomedical/Gene (continued)
Paratek Pharmaceuticals, Inc.†		7,400	$	185,740
Prothena Corp. PLC†		4,600		297,942
Sage Therapeutics, Inc.†		1,400		87,220
Selecta Biosciences, Inc.†		5,000		91,250
Seres Therapeutics, Inc.†		14,600		234,184
Spectrum Pharmaceuticals, Inc.†		9,234		129,922
Ultragenyx Pharmaceutical, Inc.†		4,350		231,681
Versartis, Inc.†		25,000		61,250
				5,127,817
Medical-Drugs — 1.1%
ACADIA Pharmaceuticals, Inc.†		4,900		184,583
Aimmune Therapeutics, Inc.†		11,600		287,564
Amicus Therapeutics, Inc.†		30,500		459,940
Eagle Pharmaceuticals, Inc.†		1,035		61,727
Enanta Pharmaceuticals, Inc.†		1,733		81,104
Global Blood Therapeutics, Inc.†		8,100		251,505
Ignyta, Inc.†		20,500		253,175
Lannett Co., Inc.†		3,622		66,826
MyoKardia, Inc.†		500		21,425
Pacira Pharmaceuticals, Inc.†		6,500		244,075
PharMerica Corp.†		3,779		110,725
Prestige Brands Holdings, Inc.†		1,800		90,162
Progenics Pharmaceuticals, Inc.†		8,532		62,796
Reata Pharmaceuticals, Inc., Class A†		8,068		250,915
SciClone Pharmaceuticals, Inc.†		6,337		70,974
Sucampo Pharmaceuticals, Inc., Class A†.		3,052		36,014
Supernus Pharmaceuticals, Inc.†		6,156		246,240
Synergy Pharmaceuticals, Inc.†		70,500		204,450
TG Therapeutics, Inc.†		16,600		196,710
				3,180,910
Medical-Generic Drugs — 0.2%
Amphastar Pharmaceuticals, Inc.†		4,319		77,180
Avexis, Inc.†		2,500		241,825
Impax Laboratories, Inc.†		9,023		183,167
				502,172
Medical-HMO — 0.9%
Magellan Health, Inc.†		2,876		248,199
Molina Healthcare, Inc.†		11,600		797,616
Tivity Health, Inc.†		30,113		1,228,610
WellCare Health Plans, Inc.†		1,050		180,327
				2,454,752
Medical-Hospitals — 0.2%
Community Health Systems, Inc.†		17,734		136,197
Quorum Health Corp.†		3,447		17,855
Select Medical Holdings Corp.†		12,913		247,930
Tenet Healthcare Corp.†		16,300		267,809
				669,791
Medical-Nursing Homes — 0.2%
Ensign Group, Inc.		5,806		131,157
Genesis Healthcare, Inc.†		56,100		65,076
Kindred Healthcare, Inc.		45,566		309,849
				506,082

Security Description	Shares		Value (Note 2)
Medical-Outpatient/Home Medical — 0.4%
Almost Family, Inc.†		1,526	$	81,946
Amedisys, Inc.†		3,454		193,286
Chemed Corp.		1,942		392,381
Civitas Solutions, Inc.†		14,100		260,145
LHC Group, Inc.†		1,976		140,138
Providence Service Corp.†		1,377		74,468
				1,142,364
Medical-Wholesale Drug Distribution — 0.2%
Owens & Minor, Inc.		19,400		566,480
Metal Processors & Fabrication — 0.1%
CIRCOR International, Inc.		2,003		109,024
Haynes International, Inc.		1,519		54,547
Mueller Industries, Inc.		6,997		244,545
				408,116
Metal Products-Distribution — 0.2%
Olympic Steel, Inc.		1,105		24,310
Worthington Industries, Inc.		10,200		469,200
				493,510
Metal-Aluminum — 0.1%
Century Aluminum Co.†		6,043		100,193
Kaiser Aluminum Corp.		2,054		211,850
				312,043
Miscellaneous Manufacturing — 1.0%
Hillenbrand, Inc.		7,653		297,319
John Bean Technologies Corp.		23,876		2,413,864
				2,711,183
Motion Pictures & Services — 0.1%
Eros International PLC†		14,400		205,920
MRI/Medical Diagnostic Imaging — 0.0%
RadNet, Inc.†		8,100		93,555
Multimedia — 0.2%
E.W. Scripps Co., Class A†		23,138		442,167
Networking Products — 0.2%
Black Box Corp.		1,838		5,974
Extreme Networks, Inc.†		8,200		97,498
Gigamon, Inc.†		4,543		191,487
NETGEAR, Inc.†		3,837		182,641
				477,600
Non-Ferrous Metals — 0.0%
Materion Corp.		2,433		104,984
Office Furnishings-Original — 0.1%
Interface, Inc.		11,374		249,091
Office Supplies & Forms — 0.3%
ACCO Brands Corp.†		76,000		904,400
Oil & Gas Drilling — 0.2%
Atwood Oceanics, Inc.†		9,780		91,834
Noble Corp. PLC†		29,709		136,662
Parker Drilling Co.†		18,700		20,570
Rowan Cos. PLC, Class A†		20,200		259,570
				508,636

204

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Oil Companies-Exploration & Production — 0.6%
Bill Barrett Corp.†		72,662	$	311,720
Carrizo Oil & Gas, Inc.†		9,394		160,919
Contango Oil & Gas Co.†		2,794		14,054
Denbury Resources, Inc.†		128,037		171,570
EP Energy Corp., Class A†		48,283		157,403
PDC Energy, Inc.†		7,999		392,191
Sanchez Energy Corp.†		19,400		93,508
SRC Energy, Inc.†		24,390		235,851
Unit Corp.†		13,621		280,320
				1,817,536
Oil Field Machinery & Equipment — 0.1%
Exterran Corp.†		3,868		122,267
Flotek Industries, Inc.†		6,961		32,369
Gulf Island Fabrication, Inc.		1,641		20,841
Natural Gas Services Group, Inc.†		3,300		93,720
				269,197
Oil Refining & Marketing — 0.2%
Adams Resources & Energy, Inc.		900		37,350
Delek US Holdings, Inc.		20,500		547,965
				585,315
Oil-Field Services — 0.7%
Archrock, Inc.		28,118		352,881
Bristow Group, Inc.		3,903		36,493
CARBO Ceramics, Inc.†		2,670		23,042
Era Group, Inc.†		2,453		27,449
Helix Energy Solutions Group, Inc.†		16,856		124,566
Matrix Service Co.†		3,230		49,096
McDermott International, Inc.†		34,480		250,669
MRC Global, Inc.†		26,400		461,736
Newpark Resources, Inc.†		10,394		103,940
Oil States International, Inc.†		6,204		157,271
Pioneer Energy Services Corp.†		9,436		24,062
SEACOR Holdings, Inc.†		3,819		176,094
Tesco Corp.†		5,677		30,940
TETRA Technologies, Inc.†		14,072		40,246
				1,858,485
Paper & Related Products — 0.8%
Clearwater Paper Corp.†		1,995		98,254
Domtar Corp.		2,400		104,136
Neenah Paper, Inc.		22,199		1,899,125
P.H. Glatfelter Co.		5,292		102,929
Schweitzer-Mauduit International, Inc.		3,729		154,604
				2,359,048
Patient Monitoring Equipment — 0.2%
Masimo Corp.†		6,200		536,672
Pharmacy Services — 0.0%
Diplomat Pharmacy, Inc.†		5,805		120,222
Physical Therapy/Rehabilitation Centers — 0.0%
U.S. Physical Therapy, Inc.		1,528		93,896
Pollution Control — 0.1%
CECO Environmental Corp.		20,400		172,584

Security Description	Shares		Value (Note 2)
Poultry — 0.2%
Pilgrim's Pride Corp.†		9,900	$	281,259
Sanderson Farms, Inc.		1,300		209,976
				491,235
Power Converter/Supply Equipment — 0.5%
Advanced Energy Industries, Inc.†		6,350		512,826
Generac Holdings, Inc.†		8,700		399,591
Powell Industries, Inc.		6,455		193,585
SPX Corp.†		5,147		151,013
Vicor Corp.†		1,970		46,492
				1,303,507
Printing-Commercial — 0.3%
ARC Document Solutions, Inc.†		4,900		20,041
Deluxe Corp.		6,300		459,648
Ennis, Inc.		17,800		349,770
LSC Communications, Inc.		4,236		69,936
RR Donnelley & Sons Co.		8,500		87,550
				986,945
Professional Sports — 0.8%
Madison Square Garden Co., Class A†		10,499		2,247,836
Protection/Safety — 0.1%
Landauer, Inc.		5,070		341,211
Publishing-Books — 0.1%
Houghton Mifflin Harcourt Co.†		9,800		118,090
Scholastic Corp.		3,373		125,476
				243,566
Publishing-Newspapers — 0.1%
Gannett Co., Inc.		35,778		322,002
Publishing-Periodicals — 0.1%
Time, Inc.		23,656		319,356
Racetracks — 0.3%
Penn National Gaming, Inc.†		34,803		814,042
Speedway Motorsports, Inc.		5,000		106,500
				920,542
Real Estate Investment Trusts — 4.2%
Acadia Realty Trust		10,158		290,722
Agree Realty Corp.		3,477		170,651
American Assets Trust, Inc.		10,634		422,914
Apollo Commercial Real Estate Finance, Inc. .		11,650		210,982
Armada Hoffler Properties, Inc.		5,453		75,306
ARMOUR Residential REIT, Inc.		5,007		134,688
Ashford Hospitality Trust, Inc.		37,700		251,459
Capstead Mtg. Corp.		47,369		457,111
CareTrust REIT, Inc.		9,216		175,473
CBL & Associates Properties, Inc.		26,874		225,473
Cedar Realty Trust, Inc.		9,504		53,412
Chatham Lodging Trust		4,764		101,568
Chesapeake Lodging Trust		7,297		196,800
CoreSite Realty Corp.		8,100		906,390
CubeSmart		4,000		103,840
CYS Investments, Inc.		88,300		762,912
DCT Industrial Trust, Inc.		4,850		280,912

205

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
DiamondRock Hospitality Co.		30,321	$	332,015
EastGroup Properties, Inc.		6,765		596,132
EPR Properties		300		20,922
Equity LifeStyle Properties, Inc.		1,500		127,620
First Industrial Realty Trust, Inc.		3,000		90,270
Four Corners Property Trust, Inc.		7,430		185,156
Franklin Street Properties Corp.		18,220		193,496
Getty Realty Corp.		3,972		113,639
Gladstone Commercial Corp.		1,200		26,724
Government Properties Income Trust		17,380		326,223
Hersha Hospitality Trust		15,275		285,184
Highwoods Properties, Inc.		2,300		119,807
Hospitality Properties Trust		6,100		173,789
Independence Realty Trust, Inc.		9,913		100,815
InfraREIT, Inc.		1,800		40,266
Kite Realty Group Trust		10,150		205,538
Lexington Realty Trust		26,294		268,725
LTC Properties, Inc.		11,104		521,666
Mack-Cali Realty Corp.		5,400		128,034
National Retail Properties, Inc.		800		33,328
National Storage Affiliates Trust		5,374		130,266
Parkway, Inc.		5,259		121,115
Pennsylvania Real Estate Investment Trust		11,678		122,502
Potlatch Corp.		8,400		428,400
PS Business Parks, Inc.		3,937		525,589
Ramco-Gershenson Properties Trust		20,736		269,775
Retail Opportunity Investments Corp.		13,323		253,270
RLJ Lodging Trust		28,900		635,800
Saul Centers, Inc.		4,456		275,871
Summit Hotel Properties, Inc.		14,556		232,750
Taubman Centers, Inc.		2,000		99,400
Universal Health Realty Income Trust		1,518		114,594
Urstadt Biddle Properties, Inc., Class A		3,610		78,337
Whitestone REIT		4,677		61,035
				12,058,666
Real Estate Management/Services — 1.4%
FirstService Corp.		40,909		2,692,221
HFF, Inc., Class A		4,449		176,002
RE/MAX Holdings, Inc., Class A		18,130		1,152,162
Redfin Corp.†		800		20,072
				4,040,457
Real Estate Operations & Development — 0.2%
Alexander & Baldwin, Inc.		1,800		83,394
Forestar Group, Inc.†(1)		29,292		503,822
St. Joe Co.†		1,200		22,620
				609,836
Recreational Vehicles — 2.0%
Camping World Holdings, Inc., Class A		44,033		1,793,904
LCI Industries		32,427		3,756,668
				5,550,572

Security Description	Shares		Value (Note 2)
Rental Auto/Equipment — 0.1%
Aaron's, Inc.		3,000	$	130,890
Neff Corp., Class A†		800		20,000
Rent-A-Center, Inc.		6,472		74,299
				225,189
Research & Development — 0.1%
INC Research Holdings, Inc., Class A†		3,700		193,510
Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		2,921		363,752
Respiratory Products — 0.1%
Inogen, Inc.†		2,064		196,286
Retail-Apparel/Shoe — 0.8%
Abercrombie & Fitch Co., Class A		8,258		119,246
Ascena Retail Group, Inc.†		20,603		50,477
Buckle, Inc.		3,440		57,964
Caleres, Inc.		5,220		159,315
Cato Corp., Class A		2,876		38,050
Chico's FAS, Inc.		15,580		139,441
Children's Place, Inc.		9,917		1,171,694
DSW, Inc., Class A		8,817		189,389
Express, Inc.†		9,520		64,355
Finish Line, Inc., Class A		4,875		58,646
Francesca's Holdings Corp.†		4,508		33,179
Genesco, Inc.†		2,379		63,281
Guess?, Inc.		7,279		123,961
Shoe Carnival, Inc.		1,385		30,996
Tailored Brands, Inc.		5,955		85,990
Vera Bradley, Inc.†		2,337		20,589
				2,406,573
Retail-Automobile — 1.6%
Asbury Automotive Group, Inc.†		2,251		137,536
Group 1 Automotive, Inc.		2,380		172,455
Lithia Motors, Inc., Class A		35,448		4,264,749
Sonic Automotive, Inc., Class A		3,053		62,281
				4,637,021
Retail-Bookstores — 0.0%
Barnes & Noble Education, Inc.†		7,212		46,950
Barnes & Noble, Inc.		6,883		52,311
				99,261
Retail-Building Products — 0.1%
Floor & Decor Holdings, Inc., Class A†		800		31,144
Lumber Liquidators Holdings, Inc.†		3,450		134,481
Tile Shop Holdings, Inc.		4,156		52,781
				218,406
Retail-Discount — 0.3%
Big Lots, Inc.		8,100		433,917
Fred's, Inc., Class A		4,341		27,956
Ollie's Bargain Outlet Holdings, Inc.†		5,965		276,776
				738,649
Retail-Hair Salons — 0.1%
Regis Corp.†		25,926		369,964

206

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Retail-Home Furnishings — 0.2%
Haverty Furniture Cos., Inc.		2,358	$	61,662
Kirkland's, Inc.†		1,943		22,209
La-Z-Boy, Inc.		5,857		157,553
Pier 1 Imports, Inc.		58,300		244,277
RH†		2,282		160,470
				646,171
Retail-Jewelry — 0.1%
Movado Group, Inc.		14,182		397,096
Retail-Leisure Products — 0.0%
MarineMax, Inc.†		2,948		48,789
Retail-Major Department Stores — 0.1%
J.C. Penney Co., Inc.†		37,730		143,751
Retail-Misc./Diversified — 0.3%
FirstCash, Inc.		5,794		365,891
Five Below, Inc.†		6,702		367,806
				733,697
Retail-Office Supplies — 0.0%
Office Depot, Inc.		20,800		94,432
Retail-Pawn Shops — 0.1%
EZCORP, Inc., Class A†		32,931		312,845
Retail-Pet Food & Supplies — 0.0%
PetMed Express, Inc.		2,502		82,941
Retail-Regional Department Stores — 0.0%
Dillard's, Inc., Class A		1,775		99,524
Retail-Restaurants — 0.9%
Biglari Holdings, Inc.†		123		40,995
BJ's Restaurants, Inc.†		2,265		68,969
Bloomin' Brands, Inc.		30,700		540,320
Brinker International, Inc.		10,200		324,972
Chuy's Holdings, Inc.†		2,053		43,216
Dave & Buster's Entertainment, Inc.†		5,108		268,068
DineEquity, Inc.		2,785		119,699
El Pollo Loco Holdings, Inc.†		2,628		31,930
Fiesta Restaurant Group, Inc.†		3,286		62,434
Red Robin Gourmet Burgers, Inc.†		1,570		105,190
Ruby Tuesday, Inc.†		18,800		40,232
Ruth's Hospitality Group, Inc.		3,568		74,750
Shake Shack, Inc., Class A†		2,208		73,372
Sonic Corp.		27,776		706,899
Wingstop, Inc.		3,518		116,973
				2,618,019
Retail-Sporting Goods — 0.0%
Big 5 Sporting Goods Corp.		2,496		19,095
Hibbett Sports, Inc.†		2,521		35,924
Zumiez, Inc.†		2,203		39,874
				94,893
Retail-Vitamins & Nutrition Supplements — 0.1%
GNC Holdings, Inc., Class A		27,700		244,868
Vitamin Shoppe, Inc.†		2,892		15,472
				260,340

Security Description	Shares		Value (Note 2)
Rubber/Plastic Products — 0.4%
Myers Industries, Inc.		4,445	$	93,123
Proto Labs, Inc.†		3,005		241,301
Trinseo SA		10,700		717,970
				1,052,394
Satellite Telecom — 0.2%
DigitalGlobe, Inc.†		15,800		556,950
Iridium Communications, Inc.†		10,080		103,824
				660,774
Savings & Loans/Thrifts — 1.3%
Banc of California, Inc.		5,159		107,049
Bank Mutual Corp.		5,131		52,080
BankFinancial Corp.		2,900		46,081
Beneficial Bancorp, Inc.		42,999		713,783
BofI Holding, Inc.†		6,796		193,482
Brookline Bancorp, Inc.		9,301		144,166
Capitol Federal Financial, Inc.		1,200		17,640
Charter Financial Corp.		3,600		66,708
Dime Community Bancshares, Inc.		3,728		80,152
First Defiance Financial Corp.		1,200		62,988
Flushing Financial Corp.		4,300		127,796
Investors Bancorp, Inc.		14,300		195,052
Meridian Bancorp, Inc.		31,100		580,015
Meta Financial Group, Inc.		1,062		83,261
Northfield Bancorp, Inc.		34,635		600,917
Northwest Bancshares, Inc.		12,445		214,925
Oritani Financial Corp.		4,747		79,750
People's United Financial, Inc.		7,106		128,903
Provident Financial Holdings, Inc.		900		17,640
Provident Financial Services, Inc.		7,342		195,811
				3,708,199
Schools — 0.1%
American Public Education, Inc.†		1,973		41,532
Capella Education Co.		1,417		99,402
Career Education Corp.†		7,968		82,787
Strayer Education, Inc.		1,688		147,312
				371,033
Security Services — 0.0%
Ascent Capital Group, Inc., Class A†		9,300		121,272
Seismic Data Collection — 0.0%
Geospace Technologies Corp.†		1,632		29,082
Semiconductor Components-Integrated Circuits — 0.2%
Cirrus Logic, Inc.†		4,000		213,280
MaxLinear, Inc.†		7,352		174,610
Power Integrations, Inc.		3,613		264,472
				652,362
Semiconductor Equipment — 0.8%
Brooks Automation, Inc.		8,470		257,149
Cabot Microelectronics Corp.		3,073		245,625
Cohu, Inc.		10,795		257,353
Entegris, Inc.†		8,400		242,340
Kulicke & Soffa Industries, Inc.†		8,633		186,214
MKS Instruments, Inc.		6,590		622,425
Nanometrics, Inc.†		3,096		89,165
Rudolph Technologies, Inc.†		3,830		100,729

207

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Semiconductor Equipment (continued)
Veeco Instruments, Inc.†		5,879	$	125,811
Xcerra Corp.†		6,000		59,100
				2,185,911
Steel Pipe & Tube — 0.0%
TimkenSteel Corp.†		4,741		78,227
Steel-Producers — 0.1%
AK Steel Holding Corp.†		38,221		213,655
Carpenter Technology Corp.		3,100		148,893
				362,548
Storage/Warehousing — 0.1%
Mobile Mini, Inc.		5,365		184,824
Telecom Equipment-Fiber Optics — 0.2%
Ciena Corp.†		7,300		160,381
Harmonic, Inc.†		9,868		30,097
Oclaro, Inc.†		20,478		176,725
Viavi Solutions, Inc.†		27,628		261,361
				628,564
Telecom Services — 0.4%
Consolidated Communications Holdings, Inc.		28,127		536,663
Lumos Networks Corp.†		2,907		52,093
RigNet, Inc.†		8,000		137,600
Spok Holdings, Inc.		2,426		37,239
Vonage Holdings Corp.†		25,119		204,469
West Corp.		7,100		166,637
				1,134,701
Telecommunication Equipment — 0.1%
ADTRAN, Inc.		5,804		139,296
Comtech Telecommunications Corp.		2,862		58,757
				198,053
Telephone-Integrated — 0.2%
Cincinnati Bell, Inc.†		5,121		101,652
General Communication, Inc., Class A†		3,210		130,936
IDT Corp., Class B		12,000		168,960
Windstream Holdings, Inc.		54,871		97,121
				498,669
Television — 0.2%
Sinclair Broadcast Group, Inc., Class A		16,700		535,235
Textile-Apparel — 0.1%
Perry Ellis International, Inc.†		5,026		118,915
Unifi, Inc.†		2,058		73,327
				192,242
Theaters — 0.0%
National CineMedia, Inc.		18,800		131,224
Therapeutics — 0.4%
Anika Therapeutics, Inc.†		1,780		103,240
Cara Therapeutics, Inc.†		10,200		139,638
Flexion Therapeutics, Inc.†		7,600		183,768
Mersana Therapeutics, Inc.†		8,300		143,507

Security Description	Shares		Value (Note 2)
Therapeutics (continued)
Sarepta Therapeutics, Inc.†		7,900	$	358,344
Xencor, Inc.†		9,000		206,280
				1,134,777
Tobacco — 0.2%
Universal Corp.		9,325		534,323
Transactional Software — 0.2%
ACI Worldwide, Inc.†		13,800		314,364
Bottomline Technologies de, Inc.†		4,389		139,702
Synchronoss Technologies, Inc.†		22,480		209,738
				663,804
Transport-Air Freight — 0.1%
Atlas Air Worldwide Holdings, Inc.†		3,068		201,874
Transport-Equipment & Leasing — 0.1%
Greenbrier Cos., Inc.		3,461		166,647
Transport-Marine — 0.1%
Costamare, Inc.		26,500		163,770
International Seaways, Inc.†		4,400		86,680
				250,450
Transport-Rail — 0.3%
Genesee & Wyoming, Inc., Class A†		10,489		776,291
Transport-Services — 0.1%
Echo Global Logistics, Inc.†		3,257		61,395
Hub Group, Inc., Class A†		4,064		174,549
Matson, Inc.		5,235		147,522
				383,466
Transport-Truck — 0.6%
ArcBest Corp.		9,921		331,857
Forward Air Corp.		3,679		210,549
Heartland Express, Inc.		6,069		152,211
Knight-Swift Transportation Holdings, Inc.†		9,432		391,900
Marten Transport, Ltd.		4,697		96,523
Roadrunner Transportation Systems, Inc.†		3,816		36,366
Saia, Inc.†		3,090		193,589
Schneider National, Inc., Class B		3,100		78,430
YRC Worldwide, Inc.†		7,500		103,500
				1,594,925
Travel Services — 0.1%
Liberty TripAdvisor Holdings, Inc., Class A†		15,200		187,720
Veterinary Diagnostics — 1.5%
Heska Corp.†		790		69,591
Neogen Corp.†		53,546		4,147,673
Phibro Animal Health Corp., Class A		2,339		86,660
				4,303,924
Vitamins & Nutrition Products — 0.0%
Herbalife, Ltd.†		1,100		74,613
Water — 0.3%
American States Water Co.		14,549		716,538
California Water Service Group		5,825		222,224
				938,762

208

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Web Hosting/Design — 0.2%
NIC, Inc.		21,946	$	376,374
Web.com Group, Inc.†		9,900		247,500
				623,874
Web Portals/ISP — 0.0%
Blucora, Inc.†		5,455		138,012
Wire & Cable Products — 0.1%
Encore Wire Corp.		2,520		112,833
General Cable Corp.		6,041		113,873
Insteel Industries, Inc.		2,194		57,285
				283,991
Wireless Equipment — 0.3%
CalAmp Corp.†		4,298		99,929
InterDigital, Inc.		10,775		794,656
				894,585
X-Ray Equipment — 0.1%
Varex Imaging Corp.†		4,558		154,243
Total Common Stocks (cost $216,204,895)				275,090,571
EXCHANGE-TRADED FUNDS — 1.0%
iShares Core S&P Small-Cap ETF (cost $2,770,317)		39,531		2,933,991
Total Long-Term Investment Securities (cost $218,975,212)				278,024,562

Security Description	Principal Amount			Value (Note 2)
SHORT-TERM INVESTMENT SECURITIES — 2.0%
Registered Investment Companies — 1.4%
State Street Institutional U.S. Government Money Market Fund, Investor Class 0.84%(2)	$	4,074,484		$	4,074,484
Time Deposits — 0.6%
Euro Time Deposit with State Street Bank and Trust Co. 0.12% due 09/01/2017		1,521,000			1,521,000
Total Short-Term Investment Securities (cost $5,595,484)					5,595,484
REPURCHASE AGREEMENTS — 0.3%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $885,009 collateralized by $890,000 of United States Treasury Notes, bearing interest at 2.38% due 05/15/2027 and having an approximate value of $902,942 (cost $885,000)		885,000			885,000
TOTAL INVESTMENTS (cost $225,455,696)(3)		100.1	%		284,505,046
Liabilities in excess of other assets		(0.1	)		(280,470	)
NET ASSETS		100.0	%	$	284,224,576

#  See Note 1

†  Non-income producing security

(1)  Illiquid security. At September 30, 2017, the aggregate value of this security was $503,822 representing 0.2% of net assets.

(2)  The rate shown is the 7-day yield as of September 30, 2017.

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

ETF — Exchange-Traded Fund

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	37	Long	E-Mini Russell 2000 Index	December 2017	$	2,658,962	$	2,761,865	$	102,903

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

209

Seasons Series Trust Small Cap Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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:
Real Estate Operations & Development	$	106,014	$	503,822	$	—	$	609,836
Other Industries		274,480,735		—		—		274,480,735
Exchange-Traded Funds		2,933,991		—		—		2,933,991
Short-Term Investment Securities:
Registered Investment Companies		4,074,484		—		—		4,074,484
Time Deposits		—		1,521,000		—		1,521,000
Repurchase Agreements		—		885,000		—		885,000
Total Investments at Value	$	281,595,224	$	2,909,822	$	—	$	284,505,046
Other Financial Instruments:†
Futures Contracts	$	102,903	$	—	$	—	$	102,903

*  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.

See Notes to Financial Statements

210

Seasons Series Trust International Equity Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Banks-Commercial	9.9	%
Medical-Drugs	7.5
Diversified Banking Institutions	4.7
Telephone-Integrated	3.6
Food-Misc./Diversified	3.4
Insurance-Life/Health	3.4
Auto-Cars/Light Trucks	3.4
Oil Companies-Integrated	3.2
Cosmetics & Toiletries	2.3
Chemicals-Diversified	2.2
Insurance-Multi-line	2.1
Machinery-Electrical	1.9
Rubber-Tires	1.4
Cellular Telecom	1.2
Diversified Manufacturing Operations	1.1
Electronic Components-Semiconductors	1.1
Beverages-Wine/Spirits	1.1
Semiconductor Equipment	1.0
Auto/Truck Parts & Equipment-Original	1.0
Diversified Minerals	1.0
Electronic Components-Misc.	1.0
Semiconductor Components-Integrated Circuits	0.9
Chemicals-Specialty	0.9
Import/Export	0.9
Building-Residential/Commercial	0.8
Diversified Operations	0.8
Industrial Gases	0.8
Dialysis Centers	0.8
Aerospace/Defense	0.8
Apparel Manufacturers	0.8
Insurance-Property/Casualty	0.8
Real Estate Investment Trusts	0.7
Electric-Integrated	0.7
Real Estate Operations & Development	0.7
Tobacco	0.7
Enterprise Software/Service	0.7
Soap & Cleaning Preparation	0.7
Retail-Apparel/Shoe	0.7
Food-Retail	0.7
Brewery	0.7
Transport-Rail	0.6
Human Resources	0.6
Web Portals/ISP	0.6
E-Commerce/Products	0.6
Metal-Diversified	0.6
Textile-Apparel	0.6
Internet Application Software	0.6
Power Converter/Supply Equipment	0.6
Electric-Generation	0.6
Building & Construction Products-Misc.	0.6
Audio/Video Products	0.5
Electronic Measurement Instruments	0.5
Medical-Biomedical/Gene	0.5
Finance-Leasing Companies	0.5
Athletic Footwear	0.5
Exchange-Traded Funds	0.5
Insurance-Reinsurance	0.5
Building Products-Cement	0.5
Computer Data Security	0.5
Investment Management/Advisor Services	0.4

Machinery-Farming	0.4	%
Electronic Security Devices	0.4
Diagnostic Equipment	0.4
Toys	0.4
Consumer Products-Misc.	0.4
Metal Processors & Fabrication	0.4
Electric Products-Misc.	0.4
Metal-Copper	0.4
Machine Tools & Related Products	0.4
Wireless Equipment	0.4
Gas-Distribution	0.3
Machinery-General Industrial	0.3
Medical Instruments	0.3
Distribution/Wholesale	0.3
Food-Catering	0.3
Metal-Aluminum	0.3
Electric-Transmission	0.3
Oil Refining & Marketing	0.3
Retail-Major Department Stores	0.3
Diversified Operations/Commercial Services	0.3
Advertising Agencies	0.3
E-Commerce/Services	0.3
Optical Supplies	0.3
Retail-Building Products	0.3
Tools-Hand Held	0.3
Building Products-Air & Heating	0.3
Steel Pipe & Tube	0.3
Computer Services	0.3
Finance-Other Services	0.3
Gold Mining	0.3
Real Estate Management/Services	0.3
Telecom Services	0.3
Paper & Related Products	0.2
Beverages-Non-alcoholic	0.2
Agricultural Chemicals	0.2
Hotels/Motels	0.2
Repurchase Agreements	0.2
Energy-Alternate Sources	0.2
Containers-Paper/Plastic	0.2
Medical Products	0.2
Transport-Services	0.2
Registered Investment Companies	0.2
Commercial Services	0.2
Finance-Credit Card	0.2
Machinery-Construction & Mining	0.2
Public Thoroughfares	0.2
Building-Heavy Construction	0.1
Cable/Satellite TV	0.1
Retail-Jewelry	0.1
Aerospace/Defense-Equipment	0.1
Rental Auto/Equipment	0.1
Internet Content-Entertainment	0.1
Satellite Telecom	0.1
Steel-Producers	0.1
Transport-Marine	0.1
Medical Labs & Testing Services	0.1
Engineering/R&D Services	0.1
Networking Products	0.1
Office Automation & Equipment	0.1
Advertising Sales	0.1

211

Seasons Series Trust International Equity Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited) (continued)

Industry Allocation*
Investment Companies	0.1	%
Industrial Automated/Robotic	0.1
E-Marketing/Info	0.1
Finance-Investment Banker/Broker	0.1
Oil Companies-Exploration & Production	0.1
Auto-Heavy Duty Trucks	0.1
Internet Content-Information/News	0.1
Multimedia	0.1
Instruments-Scientific	0.1
Computers-Integrated Systems	0.1
Electronics-Military	0.1
Security Services	0.1
Transactional Software	0.1
Photo Equipment & Supplies	0.1
Resorts/Theme Parks	0.1
Commercial Services-Finance	0.1
Shipbuilding	0.1
Medical-Generic Drugs	0.1
	99.6	%
Country Allocation*
Japan	20.5	%
United Kingdom	16.0
Germany	11.4
France	9.1
Switzerland	8.0
Australia	4.8
Netherlands	3.2
Sweden	2.8
Spain	2.3
Cayman Islands	1.9
Italy	1.7
Norway	1.7
Singapore	1.7
Denmark	1.7
United States	1.6
Hong Kong	1.6
Canada	1.5
Belgium	0.9
South Korea	0.8
Ireland	0.8
Jersey	0.8
Finland	0.8
Luxembourg	0.7
Taiwan	0.7
Israel	0.6
Bermuda	0.4
India	0.4
Brazil	0.3
Mexico	0.2
Austria	0.2
Indonesia	0.2
China	0.1
New Zealand	0.1
Portugal	0.1
	99.6	%

*  Calculated as a percentage of net assets

#  See Note 1

212

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.7%
Australia — 4.8%
AGL Energy, Ltd.		9,683	$	177,503
Alumina, Ltd.		37,880		65,369
Amcor, Ltd.		115,463		1,377,557
AMP, Ltd.		43,243		163,833
APA Group		16,955		111,051
Aristocrat Leisure, Ltd.		8,137		134,036
ASX, Ltd.		2,890		118,854
Aurizon Holdings, Ltd.		30,560		117,459
AusNet Services		24,444		32,404
Australia & New Zealand Banking Group, Ltd.		134,009		3,111,453
Bank of Queensland, Ltd.		5,581		56,823
Bendigo & Adelaide Bank, Ltd.		6,901		62,847
BGP Holdings PLC†(1)(2)		98,723		1,618
BHP Billiton, Ltd.		63,598		1,286,068
BlueScope Steel, Ltd.		8,372		72,040
Boral, Ltd.		16,804		89,236
Brambles, Ltd.		282,396		1,993,602
Caltex Australia, Ltd.		4,039		101,699
Challenger, Ltd.		153,485		1,498,900
CIMIC Group, Ltd.		1,558		54,029
Coca-Cola Amatil, Ltd.		8,607		52,188
Cochlear, Ltd.		877		109,524
Commonwealth Bank of Australia		25,117		1,482,558
Computershare, Ltd.		7,027		79,758
Crown Resorts, Ltd.		5,397		47,880
CSL, Ltd.		29,561		3,106,217
Dexus		13,935		103,841
Domino's Pizza Enterprises, Ltd.		895		32,167
Flight Centre Travel Group, Ltd.		797		28,139
Fortescue Metals Group, Ltd.		23,606		95,175
Goodman Group		26,660		172,316
GPT Group		24,960		97,110
Harvey Norman Holdings, Ltd.		8,469		25,775
Healthscope, Ltd.		23,974		31,405
Incitec Pivot, Ltd.		25,276		71,375
Independence Group NL		281,992		765,333
Insurance Australia Group, Ltd.		35,617		177,965
LendLease Group		8,330		117,090
Macquarie Group, Ltd.		22,442		1,600,510
Medibank Private, Ltd.		41,423		94,877
Mirvac Group		55,331		99,390
National Australia Bank, Ltd.		38,992		963,438
Newcrest Mining, Ltd.		11,199		184,650
Orica, Ltd.		5,613		87,044
Origin Energy, Ltd.†		25,716		150,884
Qantas Airways, Ltd.		7,778		35,569
QBE Insurance Group, Ltd.		20,655		162,180
Ramsay Health Care, Ltd.		1,986		97,021
REA Group, Ltd.		800		42,044
Rio Tinto, Ltd.		17,330		904,386
Santos, Ltd.†		27,431		86,498
Scentre Group		401,123		1,236,538
SEEK, Ltd.		4,961		64,636
Sonic Healthcare, Ltd.		5,769		94,622

Security Description	Shares		Value (Note 2)
Australia (continued)
South32, Ltd.		477,791	$	1,225,528
Stockland		35,196		118,713
Suncorp Group, Ltd.		19,427		198,863
Sydney Airport		16,115		89,875
Tabcorp Holdings, Ltd.		12,293		41,174
Tatts Group, Ltd.		21,330		66,590
Telstra Corp., Ltd.		153,811		421,066
TPG Telecom, Ltd.		4,933		18,844
Transurban Group		29,711		276,867
Treasury Wine Estates, Ltd.		10,715		115,062
Vicinity Centres		50,758		105,907
Wesfarmers, Ltd.		16,484		534,399
Westfield Corp.		28,886		177,640
Westpac Banking Corp.		134,853		3,376,455
Woodside Petroleum, Ltd.		10,835		247,320
Woolworths, Ltd.		18,646		368,719
WorleyParsons, Ltd.†		68,791		728,455
				31,237,961
Austria — 0.2%
ANDRITZ AG		1,090		63,003
Erste Group Bank AG		27,340		1,180,884
OMV AG		2,219		129,270
Raiffeisen Bank International AG†		2,145		71,885
voestalpine AG		1,695		86,433
				1,531,475
Belgium — 0.9%
Ageas		2,771		130,216
Anheuser-Busch InBev SA/NV		11,102		1,329,204
Colruyt SA		889		45,532
Groupe Bruxelles Lambert SA		1,219		128,225
KBC Group NV		3,666		310,665
Proximus SADP		2,284		78,703
Solvay SA		1,086		162,240
Telenet Group Holding NV†		791		52,335
UCB SA		1,908		135,823
Umicore SA		42,576		3,521,938
				5,894,881
Bermuda — 0.4%
CK Infrastructure Holdings, Ltd.		10,000		86,026
First Pacific Co., Ltd.		38,000		30,306
Hongkong Land Holdings, Ltd.		17,200		123,840
Jardine Matheson Holdings, Ltd.		3,103		196,606
Jardine Strategic Holdings, Ltd.		48,062		2,076,279
Kerry Properties, Ltd.		10,000		41,413
Li & Fung, Ltd.		86,000		43,156
NWS Holdings, Ltd.		21,000		40,916
Shangri-La Asia, Ltd.		20,000		37,073
Yue Yuen Industrial Holdings, Ltd.		10,500		39,921
				2,715,536
Brazil — 0.3%
Lojas Renner SA		58,930		670,955
Telefonica Brasil SA (Preference Shares)		85,500		1,362,482
				2,033,437

213

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Canada — 1.5%
Element Fleet Management Corp.		101,500	$	752,454
Goldcorp, Inc.		68,029		883,246
Magna International, Inc.		26,100		1,393,218
National Bank of Canada		39,100		1,881,751
Potash Corp. of Saskatchewan, Inc.		74,213		1,428,648
Sun Life Financial, Inc.		37,400		1,489,406
Toronto-Dominion Bank		37,073		2,087,260
				9,915,983
Cayman Islands — 1.9%
Alibaba Group Holding, Ltd. ADR†		21,349		3,687,186
ASM Pacific Technology, Ltd.		4,000		57,607
Baidu, Inc. ADR†		4,500		1,114,605
CK Hutchison Holdings, Ltd.		188,524		2,409,765
Melco Resorts & Entertainment, Ltd. ADR		3,601		86,856
MGM China Holdings, Ltd.		14,400		34,509
Sands China, Ltd.		35,200		183,174
Tencent Holdings, Ltd.		89,100		3,834,735
WH Group, Ltd.*		117,000		124,315
Wynn Macau, Ltd.		23,600		63,595
YY, Inc., ADR†		11,600		1,006,648
				12,602,995
China — 0.1%
Ping An Insurance Group Co. of China, Ltd.		118,000		905,589
Denmark — 1.7%
AP Moller — Maersk A/S, Series A		57		104,743
AP Moller — Maersk A/S, Series B		412		782,612
Carlsberg A/S, Class B		1,555		170,164
Chr. Hansen Holding A/S		1,451		124,446
Coloplast A/S, Class B		1,766		143,328
Danske Bank A/S		44,982		1,798,923
DONG Energy A/S*		2,458		140,697
DSV A/S		2,808		212,420
Genmab A/S†		830		183,236
GN Store Nord A/S		43,723		1,498,578
H. Lundbeck A/S		1,013		58,451
ISS A/S		2,428		97,641
Novo Nordisk A/S, Class B		46,297		2,213,285
Novozymes A/S, Class B		3,435		176,271
Pandora A/S		1,610		158,922
TDC A/S		264,470		1,549,541
Tryg A/S		1,578		36,441
Vestas Wind Systems A/S		15,128		1,357,526
William Demant Holding A/S†		1,621		42,789
				10,850,014
Finland — 0.8%
Elisa Oyj		2,179		93,795
Fortum Oyj		6,729		134,326
Kone Oyj, Class B		5,034		266,546
Metso Oyj		1,688		61,926
Neste Oyj		1,923		83,980
Nokia OYJ		84,367		506,544
Nokian Renkaat Oyj		38,897		1,729,941

Security Description	Shares		Value (Note 2)
Finland (continued)
Orion Oyj, Class B		1,551	$	71,968
Sampo Oyj, Class A		6,641		351,007
Stora Enso Oyj, Class R		89,394		1,262,575
UPM-Kymmene Oyj		7,717		209,138
Wartsila Oyj Abp		2,240		158,583
				4,930,329
France — 9.1%
Accor SA		2,579		128,128
Aeroports de Paris		439		70,979
Air Liquide SA		14,433		1,925,037
Alstom SA		2,250		95,561
Amundi SA*		24,153		2,007,386
Arkema SA		993		121,764
Atos SE		1,372		212,831
AXA SA		140,833		4,259,470
BNP Paribas SA		90,029		7,262,162
Bollore SA		13,008		65,017
Bouygues SA		3,022		143,404
Bureau Veritas SA		3,970		102,453
Capgemini SE		2,415		283,031
Carrefour SA		8,257		166,829
Casino Guichard Perrachon SA		844		50,056
Cie de Saint-Gobain		37,753		2,249,755
Cie Generale des Etablissements Michelin		2,504		365,496
CNP Assurances		2,544		59,624
Credit Agricole SA		16,277		295,877
Danone SA		44,835		3,516,980
Dassault Aviation SA		34		54,991
Dassault Systemes SE		1,919		194,124
Edenred		3,122		84,868
Eiffage SA		1,070		110,782
Electricite de France SA		8,002		97,176
Engie SA		133,225		2,262,681
Essilor International SA		15,259		1,889,126
Eurazeo SA		671		59,979
Eutelsat Communications SA		28,934		856,979
Fonciere Des Regions		443		46,018
Gecina SA		675		109,456
Groupe Eurotunnel SE		7,059		85,099
Hermes International		466		234,929
ICADE		568		50,664
Iliad SA		398		105,769
Imerys SA		534		48,250
Ingenico Group SA		818		77,537
Ipsen SA		544		72,300
JCDecaux SA		1,005		37,630
Kering		4,496		1,791,024
Klepierre		3,248		127,487
L'Oreal SA		12,391		2,634,622
Lagardere SCA		1,770		59,255
Legrand SA		23,410		1,689,979
LVMH Moet Hennessy Louis Vuitton SE		14,101		3,890,672
Natixis SA		14,113		112,925
Orange SA		29,031		475,561

214

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
France (continued)
Pernod Ricard SA		3,119	$	431,487
Peugeot SA		7,549		179,782
Publicis Groupe SA		2,944		205,605
Remy Cointreau SA		378		44,765
Renault SA		2,592		254,606
Rexel SA		4,188		72,465
Safran SA		4,626		472,608
Sanofi		41,243		4,095,077
Schneider Electric SE		41,962		3,651,673
SCOR SE		2,484		104,149
SEB SA		326		59,798
Societe BIC SA		427		51,174
Societe Generale SA		11,205		656,002
Sodexo SA		1,353		168,706
Suez		5,396		98,501
Thales SA		1,557		176,256
TOTAL SA		92,071		4,945,268
Unibail-Rodamco SE		3,006		730,987
Unibail-Rodamco SE (Euronext Paris)		3,731		907,290
Valeo SA		3,419		253,689
Veolia Environnement SA		6,948		160,542
Vinci SA		7,315		695,106
Vivendi SA		14,930		377,972
Wendel SA		413		66,897
Zodiac Aerospace		2,774		80,211
				59,582,339
Germany — 11.4%
adidas AG		13,781		3,117,479
Allianz SE		6,632		1,488,897
Axel Springer SE		591		37,978
BASF SE		56,303		5,991,670
Bayer AG		83,583		11,390,116
Bayerische Motoren Werke AG		42,127		4,273,469
Bayerische Motoren Werke AG (Preference Shares)		819		72,966
Beiersdorf AG		1,523		163,857
Brenntag AG		2,355		131,139
Commerzbank AG†		55,928		760,826
Continental AG		11,321		2,873,418
Covestro AG*		10,041		863,358
Daimler AG		14,059		1,121,104
Deutsche Bank AG		30,030		519,255
Deutsche Boerse AG		2,790		302,414
Deutsche Lufthansa AG		3,482		96,752
Deutsche Post AG		14,222		633,110
Deutsche Telekom AG		237,122		4,423,819
Deutsche Wohnen AG		5,048		214,307
E.ON SE		88,081		996,890
Evonik Industries AG		39,512		1,411,251
Fraport AG Frankfurt Airport Services Worldwide		535		50,800
Fresenius Medical Care AG & Co. KGaA		18,611		1,820,638
Fresenius SE & Co. KGaA		40,648		3,278,859

Security Description	Shares		Value (Note 2)
Germany (continued)
FUCHS PETROLUB SE (Preference Shares)		1,034	$	61,214
GEA Group AG		34,079		1,550,300
Hannover Rueck SE		902		108,686
HeidelbergCement AG		20,191		2,075,430
Henkel AG & Co. KGaA		1,495		181,907
Henkel AG & Co. KGaA (Preference Shares)		2,603		354,257
HOCHTIEF AG		299		50,446
HUGO BOSS AG		1,001		88,246
Infineon Technologies AG		79,362		1,995,083
Innogy SE*		2,000		89,009
K+S AG		2,871		78,214
KION Group AG		1,038		99,335
LANXESS AG		1,386		109,360
Linde AG		2,693		561,615
Linde AG†		12,556		2,618,508
MAN SE		543		61,283
Merck KGaA		1,890		210,244
METRO AG†		2,609		55,150
Muenchener Rueckversicherungs- Gesellschaft AG		11,437		2,445,297
OSRAM Licht AG		1,222		97,503
Porsche Automobil Holding SE (Preference Shares)		2,311		147,767
ProSiebenSat.1 Media SE		3,390		115,532
RWE AG†		7,383		167,713
SAP SE		39,920		4,373,250
Schaeffler AG (Preference Shares)		2,430		39,203
Siemens AG		36,424		5,131,505
Stroeer SE & Co. KGaA		10,512		687,552
Symrise AG		22,712		1,725,220
Telefonica Deutschland Holding AG		324,894		1,823,196
thyssenkrupp AG		5,511		163,325
TUI AG		6,444		109,319
United Internet AG		1,853		115,351
Volkswagen AG		474		80,252
Volkswagen AG (Preference Shares)		2,743		447,389
Vonovia SE		6,801		289,372
Zalando SE†*		1,624		81,383
				74,422,788
Hong Kong — 1.6%
AIA Group, Ltd.		855,000		6,304,470
Bank of East Asia, Ltd.		17,600		76,041
BOC Hong Kong Holdings, Ltd.		55,500		269,628
CK Asset Holdings, Ltd.		38,860		321,611
CLP Holdings, Ltd.		24,000		245,942
Galaxy Entertainment Group, Ltd.		34,000		239,388
Hang Lung Group, Ltd.		14,000		50,271
Hang Lung Properties, Ltd.		29,000		68,828
Hang Seng Bank, Ltd.		11,100		270,551
Henderson Land Development Co., Ltd.		18,333		121,452
HKT Trust & HKT, Ltd.		55,000		66,888
Hong Kong & China Gas Co., Ltd.		123,289		231,692

215

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Hong Kong (continued)
Hong Kong Exchanges & Clearing, Ltd.		16,700	$	448,948
Hysan Development Co., Ltd.		10,000		47,045
I-CABLE Communications, Ltd.†		23,400		779
Link REIT		32,500		263,358
MTR Corp., Ltd.		20,500		119,668
New World Development Co., Ltd.		82,000		117,779
PCCW, Ltd.		59,000		31,949
Power Assets Holdings, Ltd.		20,500		177,534
Sino Land Co., Ltd.		42,000		73,767
SJM Holdings, Ltd.		33,000		30,205
Sun Hung Kai Properties, Ltd.		21,000		341,147
Swire Pacific, Ltd., Class A		8,000		77,628
Swire Properties, Ltd.		17,600		59,706
Techtronic Industries Co., Ltd.		21,000		112,103
Wharf Holdings, Ltd.		18,000		160,377
Wheelock & Co., Ltd.		13,000		91,447
				10,420,202
India — 0.4%
HDFC Bank, Ltd. ADR		15,951		1,537,198
Infosys, Ltd. ADR		67,000		977,530
				2,514,728
Indonesia — 0.2%
Bank Central Asia Tbk PT		799,200		1,204,526
Ireland — 0.8%
Allied Irish Banks PLC		154,887		930,865
Bank of Ireland Group PLC†		13,848		113,423
CRH PLC		12,049		459,619
DCC PLC		15,435		1,498,476
James Hardie Industries PLC CDI		6,778		94,211
Kerry Group PLC, Class A (ISE)		2,313		222,225
Kerry Group PLC, Class A (LSE)		19,572		1,892,210
Paddy Power Betfair PLC		1,158		115,541
				5,326,570
Isle of Man — 0.0%
Genting Singapore PLC		91,700		79,096
Israel — 0.6%
Azrieli Group, Ltd.		562		31,194
Bank Hapoalim B.M.		15,871		111,036
Bank Leumi Le-Israel B.M.		20,190		107,096
Bezeq The Israeli Telecommunication Corp., Ltd.		29,679		42,409
Check Point Software Technologies, Ltd.†		25,079		2,859,508
Elbit Systems, Ltd.		334		49,068
Frutarom Industries, Ltd.		551		42,383
Israel Chemicals, Ltd.		6,696		29,703
Mizrahi Tefahot Bank, Ltd.		2,101		37,642
NICE, Ltd.		845		67,365
Taro Pharmaceutical Industries, Ltd.†		220		24,792
Teva Pharmaceutical Industries, Ltd. ADR		13,284		233,798
				3,635,994

Security Description	Shares		Value (Note 2)
Italy — 1.7%
Assicurazioni Generali SpA		18,179	$	338,616
Atlantia SpA		6,607		208,573
Enel SpA		118,434		713,184
Eni SpA		37,209		615,683
GEDI Gruppo Editoriale SpA†		858		761
Intesa Sanpaolo SpA		1,597,018		5,647,448
Intesa Sanpaolo SpA RSP		13,999		46,327
Leonardo SpA		6,094		114,160
Luxottica Group SpA		2,536		141,742
Mediobanca SpA		8,329		89,384
Moncler SpA		37,252		1,075,167
Poste Italiane SpA*		7,590		55,887
Prysmian SpA		3,083		104,140
Recordati SpA		1,541		71,031
Saipem SpA†		8,889		38,326
Snam SpA		33,394		160,873
Telecom Italia SpA†		165,473		154,991
Telecom Italia SpA RSP		1,142,615		858,891
Terna Rete Elettrica Nazionale SpA		20,830		121,667
UniCredit SpA†		29,201		621,918
UnipolSai Assicurazioni SpA		13,784		32,192
				11,210,961
Japan — 20.5%
ABC-Mart, Inc.		500		26,394
Acom Co., Ltd.†		6,100		23,636
Aeon Co., Ltd.		8,900		131,493
AEON Financial Service Co., Ltd.		1,700		35,518
Aeon Mall Co., Ltd.		1,700		30,261
Air Water, Inc.		2,300		42,433
Aisin Seiki Co., Ltd.		14,700		774,681
Ajinomoto Co., Inc.		7,800		152,222
Alfresa Holdings Corp.		2,600		47,575
Alps Electric Co., Ltd.		2,925		77,177
Amada Holdings Co., Ltd.		4,600		50,487
ANA Holdings, Inc.		1,700		64,344
Aozora Bank, Ltd.		1,700		64,661
Asahi Glass Co., Ltd.		3,000		111,309
Asahi Group Holdings, Ltd.		5,600		226,737
Asahi Kasei Corp.		144,000		1,772,406
Asics Corp.		2,300		34,257
Astellas Pharma, Inc.		189,000		2,404,386
Bandai Namco Holdings, Inc.		2,900		99,480
Bank of Kyoto, Ltd.		1,000		50,833
Benesse Holdings, Inc.		1,200		43,297
Bridgestone Corp.		56,700		2,572,852
Brother Industries, Ltd.		3,300		76,778
Calbee, Inc.		1,400		49,207
Canon, Inc.		15,500		529,638
Casio Computer Co., Ltd.		3,300		46,454
Central Japan Railway Co.		9,400		1,648,185
Chiba Bank, Ltd.		12,000		85,848
Chubu Electric Power Co., Inc.		9,700		120,426
Chugai Pharmaceutical Co., Ltd.		3,300		136,956
Chugoku Bank, Ltd.		2,300		31,518
Chugoku Electric Power Co., Inc.		4,500		47,789
Coca-Cola Bottlers Japan, Inc.		1,838		59,620

216

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Concordia Financial Group, Ltd.		17,900	$	88,462
Credit Saison Co., Ltd.		42,800		888,140
CyberAgent, Inc.		23,100		673,344
CYBERDYNE, Inc.†		1,585		21,115
Dai Nippon Printing Co., Ltd.		4,500		107,696
Dai-ichi Life Holdings, Inc.		15,800		283,494
Daicel Corp.		4,400		53,023
Daiichi Sankyo Co., Ltd.		8,300		187,206
Daikin Industries, Ltd.		16,400		1,660,769
Daito Trust Construction Co., Ltd.		1,100		200,400
Daiwa House Industry Co., Ltd.		8,400		290,016
Daiwa House REIT Investment Corp.		20		47,883
Daiwa Securities Group, Inc.		24,000		135,927
DeNA Co., Ltd.		1,700		38,102
Denso Corp.		6,900		349,093
Dentsu, Inc.		3,100		136,094
Disco Corp.		500		101,711
Don Quijote Holdings Co., Ltd.		1,900		71,002
East Japan Railway Co.		16,900		1,559,711
Eisai Co., Ltd.		3,900		200,190
Electric Power Development Co., Ltd.		42,200		1,059,828
FamilyMart UNY Holdings Co., Ltd.		1,200		63,239
FANUC Corp.		2,900		587,345
Fast Retailing Co., Ltd.		900		265,461
Fuji Electric Co., Ltd.		9,000		49,909
FUJIFILM Holdings Corp.		6,000		232,855
Fujitsu, Ltd.		29,000		215,429
Fukuoka Financial Group, Inc.		12,000		55,454
Hachijuni Bank, Ltd.		5,500		34,361
Hakuhodo DY Holdings, Inc.		3,200		42,032
Hamamatsu Photonics KK		17,700		534,815
Hankyu Hanshin Holdings, Inc.		3,500		132,815
Hikari Tsushin, Inc.		300		37,592
Hino Motors, Ltd.		3,800		46,468
Hirose Electric Co., Ltd.		500		70,384
Hiroshima Bank, Ltd.		3,500		28,336
Hisamitsu Pharmaceutical Co., Inc.		1,000		47,989
Hitachi Chemical Co., Ltd.		1,600		43,866
Hitachi Construction Machinery Co., Ltd.		1,600		47,421
Hitachi High-Technologies Corp.		1,000		36,259
Hitachi Metals, Ltd.		3,300		45,926
Hitachi, Ltd.		72,000		507,343
Honda Motor Co., Ltd.		86,000		2,546,563
Hoshizaki Corp.		900		79,102
Hoya Corp.		5,700		307,732
Hulic Co., Ltd.		4,400		43,130
Idemitsu Kosan Co., Ltd.		2,000		56,432
IHI Corp.		2,300		79,920
Iida Group Holdings Co., Ltd.		2,300		41,002
Inpex Corp.		14,200		150,865
Isetan Mitsukoshi Holdings, Ltd.		4,900		51,166
Isuzu Motors, Ltd.		8,000		106,003
ITOCHU Corp.		21,800		357,053
J. Front Retailing Co., Ltd.		3,300		45,603
Japan Airlines Co., Ltd.		1,900		64,299

Security Description	Shares		Value (Note 2)
Japan (continued)
Japan Airport Terminal Co., Ltd.		700	$	24,946
Japan Exchange Group, Inc.		7,700		136,243
Japan Post Bank Co., Ltd.		6,000		74,117
Japan Post Holdings Co., Ltd.		6,800		80,313
Japan Prime Realty Investment Corp.		14		46,781
Japan Real Estate Investment Corp.		18		86,541
Japan Retail Fund Investment Corp.		35		62,799
Japan Tobacco, Inc.		16,000		524,399
JFE Holdings, Inc.		7,400		144,515
JGC Corp.		3,000		48,549
JSR Corp.		2,600		49,401
JTEKT Corp.		3,100		42,922
JXTG Holdings, Inc.		44,750		230,222
Kajima Corp.		14,000		139,098
Kakaku.com, Inc.		31,700		403,980
Kamigumi Co., Ltd.		2,000		46,301
Kaneka Corp.		5,000		38,836
Kansai Electric Power Co., Inc.		10,600		135,603
Kansai Paint Co., Ltd.		3,200		80,537
Kao Corp.		7,200		423,586
Kawasaki Heavy Industries, Ltd.		2,000		66,296
KDDI Corp.		120,800		3,185,191
Keihan Holdings Co., Ltd.		1,600		46,852
Keikyu Corp.		3,500		70,949
Keio Corp.		2,000		82,471
Keisei Electric Railway Co., Ltd.		2,000		55,365
Keyence Corp.		6,200		3,292,157
Kikkoman Corp.		2,100		64,572
Kintetsu Group Holdings Co., Ltd.		2,600		96,699
Kirin Holdings Co., Ltd.		70,300		1,654,338
Kobe Steel, Ltd.		4,600		52,571
Koito Manufacturing Co., Ltd.		9,500		596,045
Komatsu, Ltd.		13,400		381,190
Konami Holdings Corp.		1,400		67,309
Konica Minolta, Inc.		6,800		55,838
Kose Corp.		540		61,858
Kubota Corp.		149,500		2,717,638
Kuraray Co., Ltd.		5,000		93,490
Kurita Water Industries, Ltd.		1,500		43,324
Kyocera Corp.		4,700		291,628
Kyowa Hakko Kirin Co., Ltd.		3,700		62,935
Kyushu Electric Power Co., Inc.		6,300		66,905
Kyushu Financial Group, Inc.		5,100		31,364
Kyushu Railway Co.		2,400		71,344
Lawson, Inc.		800		52,966
LINE Corp.†		700		25,288
Lion Corp.		3,500		63,888
LIXIL Group Corp.		3,900		103,492
M3, Inc.		2,900		82,599
Mabuchi Motor Co., Ltd.		800		40,027
Makita Corp.		43,900		1,769,265
Marubeni Corp.		24,100		164,593
Marui Group Co., Ltd.		3,100		44,382
Maruichi Steel Tube, Ltd.		1,000		29,105
Mazda Motor Corp.		8,400		128,771
McDonald's Holdings Co. Japan, Ltd.		1,000		44,257

217

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Mebuki Financial Group, Inc.		13,600	$	52,575
Medipal Holdings Corp.		2,400		41,676
MEIJI Holdings Co., Ltd.		1,800		142,688
MinebeaMitsumi, Inc.		5,500		86,025
Miraca Holdings, Inc.		16,900		785,488
MISUMI Group, Inc.		4,000		105,328
Mitsubishi Chemical Holdings Corp.		20,400		194,346
Mitsubishi Corp.		70,400		1,636,358
Mitsubishi Electric Corp.		216,800		3,387,109
Mitsubishi Estate Co., Ltd.		18,200		316,448
Mitsubishi Gas Chemical Co., Inc.		2,300		53,900
Mitsubishi Heavy Industries, Ltd.		4,600		181,874
Mitsubishi Materials Corp.		1,700		58,769
Mitsubishi Motors Corp.		9,700		76,721
Mitsubishi Tanabe Pharma Corp.		3,300		75,663
Mitsubishi UFJ Financial Group, Inc.		515,000		3,344,239
Mitsubishi UFJ Lease & Finance Co., Ltd.		145,200		769,066
Mitsui & Co., Ltd.		25,000		369,473
Mitsui Chemicals, Inc.		2,800		85,101
Mitsui Fudosan Co., Ltd.		53,500		1,160,098
Mitsui OSK Lines, Ltd.		1,700		51,517
Mixi, Inc.		700		33,779
Mizuho Financial Group, Inc.		351,300		615,341
MS&AD Insurance Group Holdings, Inc.		6,900		222,161
Murata Manufacturing Co., Ltd.		2,800		411,571
Nabtesco Corp.		1,700		63,150
Nagoya Railroad Co., Ltd.		2,800		60,292
NEC Corp.		3,800		102,999
Nexon Co., Ltd.†		2,800		73,058
NGK Insulators, Ltd.		3,900		73,061
NGK Spark Plug Co., Ltd.		2,600		55,339
NH Foods, Ltd.		2,000		55,010
Nidec Corp.		3,400		417,578
Nikon Corp.		5,000		86,692
Nintendo Co., Ltd.		7,000		2,585,381
Nippon Building Fund, Inc.		20		99,711
Nippon Electric Glass Co., Ltd.		1,300		50,313
Nippon Express Co., Ltd.		1,300		84,683
Nippon Paint Holdings Co., Ltd.		2,300		78,183
Nippon Prologis REIT, Inc.		26		54,784
Nippon Steel & Sumitomo Metal Corp.		11,000		252,553
Nippon Telegraph & Telephone Corp.		86,700		3,973,445
Nippon Yusen KK†		2,300		47,809
Nissan Chemical Industries, Ltd.		1,800		63,346
Nissan Motor Co., Ltd.		34,000		336,752
Nisshin Seifun Group, Inc.		3,100		51,931
Nissin Foods Holdings Co., Ltd.		900		54,708
Nitori Holdings Co., Ltd.		1,300		185,888
Nitto Denko Corp.		2,400		200,105
NOK Corp.		1,500		33,593
Nomura Holdings, Inc.		53,500		299,533
Nomura Real Estate Holdings, Inc.		78,400		1,670,768

Security Description	Shares		Value (Note 2)
Japan (continued)
Nomura Real Estate Master Fund, Inc.		52	$	67,608
Nomura Research Institute, Ltd.		2,000		78,027
NSK, Ltd.		5,700		76,844
NTT Data Corp.		8,800		94,159
NTT DOCOMO, Inc.		20,100		459,161
Obayashi Corp.		9,300		111,493
OBIC Co., Ltd.		1,000		62,919
Odakyu Electric Railway Co., Ltd.		4,200		79,689
Oji Holdings Corp.		13,000		70,127
Olympus Corp.		4,200		142,208
Omron Corp.		25,500		1,298,511
Ono Pharmaceutical Co., Ltd.		5,900		133,677
Oracle Corp. Japan		600		47,136
Oriental Land Co., Ltd.		3,200		243,828
ORIX Corp.		155,300		2,504,260
Osaka Gas Co., Ltd.		5,400		100,394
Otsuka Corp.		800		51,260
Otsuka Holdings Co., Ltd.		5,800		230,454
Panasonic Corp.		147,400		2,135,843
Park24 Co., Ltd.		1,500		36,525
Pola Orbis Holdings, Inc.		24,344		736,648
Rakuten, Inc.		14,000		152,659
Recruit Holdings Co., Ltd.		177,200		3,837,693
Renesas Electronics Corp.†		62,221		677,920
Resona Holdings, Inc.		33,400		171,564
Ricoh Co., Ltd.		9,900		96,251
Rinnai Corp.		600		51,349
Rohm Co., Ltd.		1,400		119,938
Ryohin Keikaku Co., Ltd.		420		123,733
Sankyo Co., Ltd.		800		25,523
Santen Pharmaceutical Co., Ltd.		124,300		1,958,533
SBI Holdings, Inc.		3,300		49,680
Secom Co., Ltd.		3,100		225,960
Sega Sammy Holdings, Inc.		2,800		39,117
Seibu Holdings, Inc.		2,500		42,702
Seiko Epson Corp.		4,200		101,636
Sekisui Chemical Co., Ltd.		136,500		2,685,723
Sekisui House, Ltd.		8,900		150,001
Seven & i Holdings Co., Ltd.		49,200		1,899,791
Seven Bank, Ltd.		8,900		32,112
Sharp Corp.†		2,200		66,376
Shimadzu Corp.		3,600		70,896
Shimamura Co., Ltd.		400		47,989
Shimano, Inc.		1,100		146,536
Shimizu Corp.		8,800		97,521
Shin-Etsu Chemical Co., Ltd.		5,800		518,534
Shinsei Bank, Ltd.		2,700		43,214
Shionogi & Co., Ltd.		4,400		240,519
Shiseido Co., Ltd.		48,700		1,948,433
Shizuoka Bank, Ltd.		8,000		71,948
Showa Shell Sekiyu KK		2,800		32,224
SMC Corp.		10,300		3,633,033
SoftBank Group Corp.		24,100		1,945,562
Sohgo Security Services Co., Ltd.		1,100		50,442
Sompo Holdings, Inc.		5,100		198,425
Sony Corp.		35,100		1,305,742

218

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Japan (continued)
Sony Financial Holdings, Inc.		2,500	$	41,013
Stanley Electric Co., Ltd.		2,000		68,518
Start Today Co., Ltd.		2,830		89,660
Subaru Corp.		8,900		321,120
Sumitomo Chemical Co., Ltd.		23,000		143,693
Sumitomo Corp.		154,400		2,220,808
Sumitomo Dainippon Pharma Co., Ltd.		2,300		29,924
Sumitomo Electric Industries, Ltd.		11,000		179,676
Sumitomo Heavy Industries, Ltd.		1,800		72,144
Sumitomo Metal Mining Co., Ltd.		3,500		112,411
Sumitomo Mitsui Financial Group, Inc.		61,500		2,361,075
Sumitomo Mitsui Trust Holdings, Inc.		41,800		1,508,552
Sumitomo Realty & Development Co., Ltd.		6,000		181,560
Sumitomo Rubber Industries, Ltd.		32,600		597,389
Sundrug Co., Ltd.		1,096		45,389
Suntory Beverage & Food, Ltd.		30,300		1,349,060
Suruga Bank, Ltd.		2,300		49,587
Suzuken Co., Ltd.		1,100		39,102
Suzuki Motor Corp.		61,800		3,241,445
Sysmex Corp.		2,200		140,378
T&D Holdings, Inc.		7,900		114,683
Taiheiyo Cement Corp.		1,700		65,643
Taisei Corp.		3,200		167,785
Taisho Pharmaceutical Holdings Co., Ltd.		600		45,537
Taiyo Nippon Sanso Corp.		2,300		27,226
Takashimaya Co., Ltd.		5,000		46,834
Takeda Pharmaceutical Co., Ltd.		10,400		574,322
TDK Corp.		1,900		129,002
Teijin, Ltd.		2,600		51,249
Terumo Corp.		4,600		180,893
THK Co., Ltd.		50,300		1,712,055
Tobu Railway Co., Ltd.		3,000		82,382
Toho Co., Ltd.		1,700		59,298
Toho Gas Co., Ltd.		1,000		29,282
Tohoku Electric Power Co., Inc.		6,700		85,205
Tokio Marine Holdings, Inc.		60,100		2,351,124
Tokyo Electric Power Co. Holdings, Inc.†		22,100		89,166
Tokyo Electron, Ltd.		13,900		2,134,566
Tokyo Gas Co., Ltd.		5,600		137,257
Tokyo Tatemono Co., Ltd.		2,700		34,528
Tokyu Corp.		7,900		111,839
Tokyu Fudosan Holdings Corp.		7,200		43,446
Toppan Printing Co., Ltd.		9,000		89,260
Toray Industries, Inc.		21,100		204,671
Toshiba Corp.†		59,000		165,163
Tosoh Corp.		22,500		507,087
TOTO, Ltd.		2,000		84,248
Toyo Seikan Group Holdings, Ltd.		2,300		38,427
Toyo Suisan Kaisha, Ltd.		1,400		51,446
Toyoda Gosei Co., Ltd.		1,200		28,356
Toyota Industries Corp.		2,300		132,246

Security Description	Shares		Value (Note 2)
Japan (continued)
Toyota Motor Corp.		116,300	$	6,935,108
Toyota Tsusho Corp.		3,000		98,511
Trend Micro, Inc.		1,800		88,620
Tsuruha Holdings, Inc.		487		58,211
Unicharm Corp.		5,900		135,067
United Urban Investment Corp.		43		62,976
USS Co., Ltd.		3,300		66,572
West Japan Railway Co.		2,400		166,832
Yahoo Japan Corp.		211,500		1,003,697
Yakult Honsha Co., Ltd.		1,300		93,695
Yamada Denki Co., Ltd.		10,000		54,655
Yamaguchi Financial Group, Inc.		3,000		35,112
Yamaha Corp.		2,400		88,514
Yamaha Motor Co., Ltd.		4,100		122,790
Yamato Holdings Co., Ltd.		5,100		102,952
Yamazaki Baking Co., Ltd.		1,700		30,699
Yaskawa Electric Corp.		3,500		110,886
Yokogawa Electric Corp.		3,200		54,487
Yokohama Rubber Co., Ltd.		1,700		35,050
				134,152,077
Jersey — 0.8%
Experian PLC		14,006		281,333
Ferguson PLC		3,721		244,121
Glencore PLC		177,442		813,181
Randgold Resources, Ltd.		1,326		129,976
Shire PLC		13,111		665,503
Shire PLC ADR		7,100		1,087,294
WPP PLC		104,307		1,935,833
				5,157,241
Luxembourg — 0.7%
ArcelorMittal†		9,691		249,979
Eurofins Scientific SE		160		101,095
Millicom International Cellular SA SDR		991		65,398
RTL Group SA		568		42,991
Samsonite International SA		566,700		2,426,662
SES SA FDR		5,289		115,708
Tenaris SA		118,348		1,678,507
				4,680,340
Mauritius — 0.0%
Golden Agri-Resources, Ltd.		104,900		29,000
Mexico — 0.2%
America Movil SAB de CV, Series L ADR		40,100		711,775
Grupo Financiero Banorte SAB de CV, Class O		131,685		906,609
				1,618,384
Netherlands — 3.2%
Aalberts Industries NV		36,270		1,753,496
ABN AMRO Group NV CVA*		31,301		937,445
Aegon NV		25,468		148,336
AerCap Holdings NV†		2,223		113,617
Airbus SE		8,404		798,688
Akzo Nobel NV		3,617		333,958

219

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Netherlands (continued)
Altice NV, Class A†		6,986	$	139,911
Altice NV, Class B†		1,311		26,186
ASML Holding NV		25,067		4,267,726
Boskalis Westminster NV		1,297		45,336
CNH Industrial NV		14,811		177,852
EXOR NV		1,491		94,543
Ferrari NV		1,792		198,030
Fiat Chrysler Automobiles NV†		15,611		279,712
Gemalto NV		1,193		53,291
Heineken Holding NV		1,532		143,948
Heineken NV		3,376		333,771
ING Groep NV		206,180		3,801,474
Koninklijke Ahold Delhaize NV		18,572		347,253
Koninklijke DSM NV		2,587		211,768
Koninklijke KPN NV		50,022		171,747
Koninklijke Philips NV		78,502		3,240,859
Koninklijke Vopak NV		1,060		46,486
Mobileye NV†		3,046		189,461
NN Group NV		4,593		192,222
NXP Semiconductors NV†		5,002		565,676
QIAGEN NV		3,138		98,765
Randstad Holding NV		1,740		107,638
RELX NV		14,144		301,069
STMicroelectronics NV		9,641		186,531
Unilever NV CVA		23,725		1,403,151
Wolters Kluwer NV		4,423		204,371
				20,914,317
New Zealand — 0.1%
Auckland International Airport, Ltd.		13,815		64,262
Contact Energy, Ltd.		10,726		42,611
Fletcher Building, Ltd.		10,394		59,985
Mercury NZ, Ltd.		10,446		25,578
Meridian Energy, Ltd.		19,089		39,227
Ryman Healthcare, Ltd.		5,816		38,942
Spark New Zealand, Ltd.		28,130		74,162
				344,767
Norway — 1.7%
DNB ASA		289,068		5,825,277
Gjensidige Forsikring ASA		2,983		51,911
Marine Harvest ASA		6,059		119,818
Norsk Hydro ASA		278,049		2,021,349
Orkla ASA		12,366		126,851
Schibsted ASA, Class A		1,125		28,985
Schibsted ASA, Class B		1,313		30,993
Statoil ASA		60,729		1,214,656
Storebrand ASA		158,377		1,344,251
Telenor ASA		10,937		231,250
Yara International ASA		2,718		121,729
				11,117,070
Papua New Guinea — 0.0%
Oil Search, Ltd.		20,247		111,172
Portugal — 0.1%
Banco Espirito Santo SA†(1)(2)		59,101		0
EDP — Energias de Portugal SA		35,007		131,779

Security Description	Shares		Value (Note 2)
Portugal (continued)
Galp Energia SGPS SA		7,291	$	129,215
Jeronimo Martins SGPS SA		3,792		74,801
				335,795
Singapore — 1.7%
Ascendas Real Estate Investment Trust		35,200		69,027
Broadcom, Ltd.		7,800		1,891,812
CapitaLand Commercial Trust		31,000		37,823
CapitaLand Mall Trust		35,800		52,785
CapitaLand, Ltd.		38,100		100,555
City Developments, Ltd.		5,500		45,940
ComfortDelGro Corp., Ltd.		29,500		45,236
DBS Group Holdings, Ltd.		136,900		2,101,263
Global Logistic Properties, Ltd.		38,800		94,393
Hutchison Port Holdings Trust		84,000		36,120
Jardine Cycle & Carriage, Ltd.		1,400		40,603
Keppel Corp., Ltd.		22,200		106,217
Oversea-Chinese Banking Corp., Ltd.		361,200		2,971,722
SATS, Ltd.		9,500		32,286
Sembcorp Industries, Ltd.		113,900		248,549
Singapore Airlines, Ltd.		7,600		56,253
Singapore Exchange, Ltd.		12,400		67,556
Singapore Press Holdings, Ltd.		21,700		43,514
Singapore Technologies Engineering, Ltd.		21,700		55,032
Singapore Telecommunications, Ltd.		117,080		316,771
StarHub, Ltd.		7,700		14,759
Suntec Real Estate Investment Trust		36,500		50,184
United Overseas Bank, Ltd.		73,800		1,278,558
UOL Group, Ltd.		7,100		42,502
Wilmar International, Ltd.		459,600		1,077,465
Yangzijiang Shipbuilding Holdings, Ltd.		30,400		32,048
				10,908,973
South Korea — 0.8%
KT Corp.		26,726		680,196
NAVER Corp.		2,469		1,605,976
Samsung Electronics Co., Ltd.		1,369		3,064,667
				5,350,839
Spain — 2.3%
Abertis Infraestructuras SA		10,004		202,186
ACS Actividades de Construccion y Servicios SA		3,408		126,295
Aena SA*		1,016		183,424
Amadeus IT Group SA		6,484		421,413
Banco Bilbao Vizcaya Argentaria SA		401,122		3,584,566
Banco de Sabadell SA		77,650		162,074
Banco Santander SA		234,337		1,636,020
Bankia SA		14,693		70,852
Bankinter SA		10,150		96,018
CaixaBank SA		52,077		260,971
Distribuidora Internacional de Alimentacion SA		9,324		54,384
Enagas SA		3,271		92,107
Endesa SA		4,728		106,592
Ferrovial SA		7,030		154,751

220

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
Spain (continued)
Gas Natural SDG SA		5,272	$	116,706
Grifols SA		4,516		131,568
Iberdrola SA		84,654		657,546
Industria de Diseno Textil SA		65,867		2,482,191
International Consolidated Airlines Group SA		9,268		73,829
Mapfre SA		14,048		45,726
Red Electrica Corp. SA		90,871		1,909,580
Repsol SA		17,903		329,877
Siemens Gamesa Renewable Energy SA		3,487		45,520
Telefonica SA		178,326		1,937,339
				14,881,535
SupraNational — 0.0%
HK Electric Investments & HK Electric Investments, Ltd.*		38,000		34,684
Sweden — 2.8%
Alfa Laval AB		4,286		104,665
ASSA ABLOY AB, Class B		122,169		2,789,897
Atlas Copco AB, Class A		9,819		415,791
Atlas Copco AB, Class B		5,890		228,371
Boliden AB		4,127		139,696
Electrolux AB, Series B		3,649		123,920
Elekta AB, Series B		216,473		2,240,503
Essity AB, Class B†		8,913		242,498
Getinge AB, Class B		3,035		56,900
Hennes & Mauritz AB, Class B		14,021		363,225
Hexagon AB, Class B		3,872		191,915
Husqvarna AB, Class B		6,175		63,532
ICA Gruppen AB		1,168		43,895
Industrivarden AB, Class C		2,481		62,841
Investor AB, Class B		6,672		329,549
Kinnevik AB, Class B		3,559		116,057
L E Lundbergforetagen AB		524		41,882
Lundin Petroleum AB†		2,733		59,794
Nordea Bank AB		250,828		3,399,847
Sandvik AB		16,435		283,505
Securitas AB, Class B		4,678		78,341
Skandinaviska Enskilda Banken AB, Class A		22,090		291,011
Skanska AB, Class B		4,971		115,167
SKF AB, Class B		103,156		2,248,056
Svenska Handelsbanken AB, Class A		167,109		2,521,541
Swedbank AB, Class A		13,355		369,255
Swedish Match AB		2,836		99,479
Tele2 AB, Class B		4,738		54,216
Telefonaktiebolaget LM Ericsson, Class B		135,844		780,049
Telia Co AB		38,218		179,995
Volvo AB, Class B		22,525		434,189
				18,469,582
Switzerland — 8.0%
ABB, Ltd.		106,740		2,638,876
Adecco Group AG		2,446		190,456
Baloise Holding AG		718		113,593

Security Description	Shares		Value (Note 2)
Switzerland (continued)
Barry Callebaut AG		33	$	50,573
Chocoladefabriken Lindt & Spruengli AG		1		69,345
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate)		15		85,584
Cie Financiere Richemont SA		7,624		696,777
Coca-Cola HBC AG		2,653		89,764
Credit Suisse Group AG		35,458		561,337
Dufry AG†		503		79,890
EMS-Chemie Holding AG		124		82,466
GAM Holding AG		46,084		713,853
Geberit AG		553		261,609
Givaudan SA		135		293,742
Julius Baer Group, Ltd.		3,257		192,726
Kuehne & Nagel International AG		814		150,721
LafargeHolcim, Ltd.		6,639		388,049
Lonza Group AG		10,432		2,736,333
Nestle SA		181,961		15,239,363
Novartis AG		80,301		6,874,532
Pargesa Holding SA		468		38,905
Partners Group Holding AG		253		171,654
Roche Holding AG		39,020		9,961,010
Schindler Holding AG(AQXE)		298		64,102
Schindler Holding AG (Participation Certificate)(SIX)		9,138		2,018,504
SGS SA		79		189,515
Sika AG		31		230,655
Sonova Holding AG		3,155		535,309
Straumann Holding AG		139		89,284
Swatch Group AG(XEGT)		452		188,016
Swatch Group AG (TRQX)		760		60,550
Swiss Life Holding AG		483		170,136
Swiss Prime Site AG		953		85,670
Swiss Re AG		4,706		426,206
Swisscom AG		387		198,306
UBS Group AG		191,675		3,275,904
Vifor Pharma AG		710		83,586
Zurich Insurance Group AG		10,499		3,202,772
				52,499,673
Taiwan — 0.7%
Taiwan Semiconductor Manufacturing Co., Ltd.		361,000		2,577,381
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		51,427		1,931,084
				4,508,465
United Kingdom — 16.0%
3i Group PLC		14,751		180,467
Admiral Group PLC		2,957		71,996
Anglo American PLC		19,422		348,611
Antofagasta PLC		177,783		2,260,794
Ashtead Group PLC		7,590		182,969
Associated British Foods PLC		5,194		222,231
AstraZeneca PLC		18,444		1,224,626
Auto Trader Group PLC*		14,702		77,325
Aviva PLC		637,262		4,393,473

221

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares		Value (Note 2)
COMMON STOCKS (continued)
United Kingdom (continued)
Babcock International Group PLC		3,723	$	41,282
BAE Systems PLC		308,094		2,607,121
Barclays PLC		245,811		636,869
Barclays PLC ADR		33,300		344,655
Barratt Developments PLC		14,862		122,378
Berkeley Group Holdings PLC		1,901		94,685
BHP Billiton PLC		207,462		3,654,296
BP PLC		287,312		1,837,595
British American Tobacco PLC		33,555		2,100,703
British Land Co. PLC		14,682		118,437
BT Group PLC		123,789		470,925
Bunzl PLC		61,465		1,867,171
Burberry Group PLC		155,382		3,664,527
Capita PLC		9,994		75,665
Carnival PLC		2,773		176,241
Centrica PLC		79,128		198,279
Close Brothers Group PLC		11,980		236,785
Cobham PLC		34,772		67,888
Coca-Cola European Partners PLC		3,152		132,157
Compass Group PLC		92,518		1,962,509
ConvaTec Group PLC*		19,976		73,317
Croda International PLC		1,990		101,144
Diageo PLC		194,912		6,406,793
Direct Line Insurance Group PLC		309,383		1,507,388
Dixons Carphone PLC		14,769		38,275
easyJet PLC		2,402		39,171
Fresnillo PLC		3,376		63,560
G4S PLC		23,511		87,678
GKN PLC		216,567		1,004,091
GlaxoSmithKline PLC		71,524		1,426,610
GlaxoSmithKline PLC ADR		47,000		1,908,200
Great Portland Estates PLC		71,646		586,594
Hammerson PLC		12,004		86,378
Hargreaves Lansdown PLC		3,570		70,800
Hikma Pharmaceuticals PLC		2,107		34,191
HSBC Holdings PLC		292,806		2,892,085
IMI PLC		4,140		68,957
Imperial Brands PLC		14,004		597,489
Inmarsat PLC		6,394		55,135
InterContinental Hotels Group PLC		2,613		138,236
Intertek Group PLC		2,454		163,826
Intu Properties PLC		13,821		42,689
Investec PLC		9,531		69,605
ITV PLC		52,893		123,821
J Sainsbury PLC		23,531		75,014
Johnson Matthey PLC		12,037		551,631
Kingfisher PLC		450,147		1,800,542
Land Securities Group PLC		11,142		145,199
Legal & General Group PLC		87,861		305,990
Liberty Global PLC, Class A†		20,773		704,412
Lloyds Banking Group PLC		5,191,487		4,711,698
London Stock Exchange Group PLC		4,683		240,341
Marks & Spencer Group PLC		24,574		116,372
Mediclinic International PLC		5,370		46,773
Meggitt PLC		249,628		1,742,752
Merlin Entertainments PLC*		9,883		58,999

Security Description	Shares		Value (Note 2)
United Kingdom (continued)
Micro Focus International PLC		6,403	$	204,805
Mondi PLC		5,498		147,715
National Grid PLC		168,160		2,083,441
Next PLC		2,099		147,946
Old Mutual PLC		72,037		187,460
Pearson PLC		12,346		101,247
Persimmon PLC		52,745		1,824,913
Provident Financial PLC		2,159		24,027
Prudential PLC		241,233		5,774,898
Reckitt Benckiser Group PLC		42,807		3,908,029
RELX PLC		15,780		346,147
Rio Tinto PLC		18,088		841,783
Rolls-Royce Holdings PLC		24,166		287,232
Rolls-Royce Holdings PLC, Class C (Preference Shares)†		6,347,999		8,506
Royal Bank of Scotland Group PLC†		51,387		184,748
Royal Dutch Shell PLC, Class A(TRQX)		65,398		1,970,434
Royal Dutch Shell PLC, Class A (CHIX)		165,047		4,987,917
Royal Dutch Shell PLC, Class B		54,622		1,679,424
Royal Dutch Shell PLC, Class B ADR		28,500		1,782,390
Royal Mail PLC		13,258		68,256
RSA Insurance Group PLC		176,267		1,471,512
Sage Group PLC		16,156		151,218
Schroders PLC		1,903		85,553
Segro PLC		14,374		103,240
Severn Trent PLC		3,596		104,709
Sky PLC		15,525		190,352
Smith & Nephew PLC		13,128		237,134
Smiths Group PLC		6,011		127,023
SSE PLC		48,623		910,212
St James's Place PLC		7,793		119,672
Standard Chartered PLC†		138,383		1,375,172
Standard Life PLC		40,115		233,024
Tate & Lyle PLC		7,132		61,976
Taylor Wimpey PLC		48,719		127,629
Tesco PLC†		119,030		298,505
Travis Perkins PLC		3,735		72,471
Unilever PLC		129,859		7,515,534
United Utilities Group PLC		10,253		117,400
Vodafone Group PLC		1,071,066		2,996,756
Vodafone Group PLC ADR		84,200		2,396,332
Weir Group PLC		3,222		84,838
Whitbread PLC		24,974		1,260,297
WM Morrison Supermarkets PLC		31,415		98,547
Worldpay Group PLC*		29,057		158,471
				104,317,311
United States — 0.7%
Autoliv, Inc. SDR		9,049		1,121,001
Philip Morris International, Inc.		13,729		1,524,056
Priceline Group, Inc.†		1,006		1,841,805
				4,486,862
Total Common Stocks (cost $549,275,105)				644,933,491

222

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares/ Principal Amount			Value (Note 2)
EXCHANGE-TRADED FUNDS — 0.5%
iShares MSCI EAFE ETF Index Fund (cost $3,127,691)		45,640		$	3,125,427
RIGHTS — 0.0%
Singapore — 0.0%
CapitaLand Commercial Trust† Expires 17/10/2019 (Strike price SGD 1.36) (cost $0)		5,146			1,108
Total Long-Term Investment Securities (cost $552,402,796)					648,060,026
SHORT-TERM INVESTMENT SECURITIES — 0.2%
Registered Investment Companies — 0.2%
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.92%(3)		657,774			657,774
T. Rowe Price Government Reserve Fund 1.07%(3)		655,973			655,973
Total Short-Term Investment Securities (cost $1,313,747)					1,313,747
REPURCHASE AGREEMENTS — 0.2%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $1,509,015 collateralized by $1,520,000 of United States Treasury Notes, bearing interest at 2.38% due 05/15/2027 and having an approximate value of $1,542,104 (cost $ 1,509,000)	$	1,509,000			1,509,000
TOTAL INVESTMENTS (cost $555,225,543)(4)		99.6	%		650,882,773
Other assets less liabilities		0.4			2,713,775
NET ASSETS		100.0	%	$	653,596,548

#  See Note 1

†  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, 2017, the aggregate value of these securities was $4,885,700 representing 0.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)  Security classified as Level 3 (see Note 2).

(2)  Illiquid security. At September 30, 2017 the aggregate value of these securities was $1,618 representing 0.0% of net assets.

(3)  The rate shown is the 7-day yield as of September 30, 2017.

(4)  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

ISE — Irish Stock Exchange

LSE — London Stock Exchange

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

SDR — Swedish Depositary Receipt

SGD — Singapore Dollar

SIX — Swiss Stock Exchange

TRQX — Turquoise Stock Exchange

XEGT — Equiduct Stock Exchange

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	26	Long	E-Mini MSCI EAFE Index	December 2017	$	2,543,714	$	2,571,920	$	28,206

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

223

Seasons Series Trust International Equity Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	31,236,343	$	—	$	1,618	$	31,237,961
Portugal		335,795		—		0		335,795
United Kingdom		104,308,805		8,506		—		104,317,311
Other Countries		509,042,424		—		—		509,042,424
Exchange-Traded Funds .		3,125,427		—		—		3,125,427
Rights		1,108		—		—		1,108
Short-Term Investment Securities		1,313,747		—		—		1,313,747
Repurchase Agreements		—		1,509,000		—		1,509,000
Total Investments at Value	$	649,363,649	$	1,517,506	$	1,618	$	650,882,773
Other Financial Instruments:†
Futures Contracts	$	28,206	$	—	$	—	$	28,206

*  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

224

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
United States Treasury Notes	29.1	%
Diversified Financial Services	15.1
Federal National Mtg. Assoc.	11.4
Diversified Banking Institutions	7.4
United States Treasury Bonds	7.1
Federal Home Loan Mtg. Corp.	5.6
Government National Mtg. Assoc.	2.8
Repurchase Agreements	2.7
Sovereign	2.7
Pipelines	1.9
Telephone-Integrated	1.7
Cable/Satellite TV	1.4
Electric-Integrated	1.3
Banks-Super Regional	1.3
Oil Companies-Exploration & Production	1.2
Banks-Commercial	1.1
Brewery	0.8
Tobacco	0.7
Medical-Generic Drugs	0.7
Auto-Cars/Light Trucks	0.7
Municipal Bonds & Notes	0.6
Computers	0.6
Oil Companies-Integrated	0.6
Medical-HMO	0.5
Electronic Components-Semiconductors	0.5
Medical-Drugs	0.5
Foreign Government Obligations	0.4
Transport-Rail	0.4
Applications Software	0.3
Retail-Drug Store	0.3
Broadcast Services/Program	0.3
Medical-Biomedical/Gene	0.3
Real Estate Investment Trusts	0.3
Insurance-Multi-line	0.3
Multimedia	0.3
Food-Misc./Diversified	0.3
E-Commerce/Products	0.3
Chemicals-Specialty	0.3
Diversified Minerals	0.2
Medical-Wholesale Drug Distribution	0.2
Medical Products	0.2
Finance-Credit Card	0.2
Paper & Related Products	0.2
Insurance Brokers	0.2
Oil Refining & Marketing	0.2
Metal-Iron	0.2
Cellular Telecom	0.2
Enterprise Software/Service	0.2
Consulting Services	0.2
Semiconductor Equipment	0.2
Savings & Loans/Thrifts	0.2
Computer Services	0.2
Medical Labs & Testing Services	0.2
Auto/Truck Parts & Equipment-Original	0.1
Transport-Services	0.1
Office Automation & Equipment	0.1
Aerospace/Defense	0.1
Airlines	0.1
Trucking/Leasing	0.1
Retail-Building Products	0.1

Electric-Generation	0.1	%
Finance-Other Services	0.1
Commercial Services	0.1
Insurance-Life/Health	0.1
Coatings/Paint	0.1
Containers-Paper/Plastic	0.1
Aerospace/Defense-Equipment	0.1
Federal Home Loan Bank	0.1
Diversified Manufacturing Operations	0.1
Banks-Special Purpose	0.1
Electronic Measurement Instruments	0.1
Networking Products	0.1
Beverages-Wine/Spirits	0.1
Banks-Fiduciary	0.1
Diagnostic Equipment	0.1
Insurance-Property/Casualty	0.1
Tennessee Valley Authority	0.1
Electric-Distribution	0.1
Insurance-Mutual	0.1
Data Processing/Management	0.1
Medical-Hospitals	0.1
Wireless Equipment	0.1
Casino Hotels	0.1
Metal Processors & Fabrication	0.1
Airport Development/Maintenance	0.1
Retail-Restaurants	0.1
Food-Wholesale/Distribution	0.1
Investment Management/Advisor Services	0.1
Machinery-Construction & Mining	0.1
Building & Construction Products-Misc.	0.1
Building Products-Wood	0.1
Machinery-General Industrial	0.1
Finance-Consumer Loans	0.1
SupraNational Banks	0.1
Distribution/Wholesale	0.1
	111.0	%
Credit Quality†##
Aaa	60.4	%
Aa	1.5
A	8.4
Baa	15.7
Ba	4.3
B	1.5
Caa	0.9
Ca	0.3
Not Rated@	7.0
	100.0	%

*  Calculated as a percentage of net assets

#  See Note 1

†  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.

225

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES — 15.1%
Diversified Financial Services — 15.1%
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 1.74% (1 ML+0.50%) due 01/25/2036(1)	$	146,472	$	140,143
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 1.78% (1 ML+0.54%) due 11/25/2035(1)		193,983		192,760
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1)		214,972		189,776
American Express Credit Account Master Trust FRS Series 2014-1, Class A 1.60% (1 ML+0.37%) due 12/15/2021		145,000		145,635
American Home Mtg. Assets Trust FRS Series 2006-2, Class 2A1 1.43% (1 ML+0.19%) due 09/25/2046(1)		173,389		152,388
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.83% (12 MTA+0.94%) due 10/25/2046(1)		64,589		56,519
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 2.56% (3 ML+1.25%) due 07/25/2029*(2)		1,190,000		1,200,412
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 2.81% (3 ML+1.51%) due 01/15/2029*(2)		841,716		854,161
Angel Oak Mtg. Trust LLC VRS Series 2017-2, ClassA1 2.48% due 07/25/2047*(1)(15)		862,405		860,218
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(1)(15)		263,166		263,113
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 2.78% (3 ML+1.47%) due 04/24/2029*(2)		1,080,000		1,085,997
Apidos CLO XVI FRS Series 2013-16A, Class A1R 2.29% (3 ML+0.98%) due 01/19/2025*(2)		795,000		794,602
Apidos CLO XXI FRS Series 2015-21A, Class A1 2.73% (3 ML+1.43%) due 07/18/2027*(2)		1,500,000		1,519,197
Apidos CLO, Ltd. FRS Series 2015-20A, Class A1R 2.63% (3 ML+1.33%) due 01/16/2027*(2)		1,305,000		1,311,907

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Atlas Senior Loan Fund, Ltd. FRS Series 2014-6A, Class AR 2.55% (3 ML+1.25%) due 10/15/2026*(2)	$	1,705,000	$	1,709,370
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 2.41% (3 ML+1.10%) due 04/25/2026*(2)		1,205,000		1,210,382
Avis Budget Rental Car Funding AESOP LLC Series 2015-1A, Class A 2.50% due 07/20/2021*		100,000		99,851
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 2.46% (3 ML+1.15%) due 07/20/2025*(2)		295,000		296,020
Babson CLO, Ltd. FRS Series 2016-2A, Class A 2.76% (3 ML+1.45%) due 07/20/2028*(2)		1,834,000		1,840,786
Bain Capital Credit CLO FRS Series 2017-1A, Class A1 2.56% (3 ML+1.25%) due 07/20/2030*(2)		995,000		999,060
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 1.30% (1 ML+0.06%) due 01/25/2037(1)		15,819		12,560
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 1.47% (1 ML+0.23%) due 02/20/2047(1)		409,529		397,040
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(15)		1,434,391		1,471,309
Bayview Opportunity Master Fund Trust Series 2017-RN7, Class A1 3.10% due 09/28/2032*		368,000		368,000
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(15)		955,748		979,804
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(15)		1,131,113		1,158,975
Bayview Opportunity Master Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3)(15)		3,970,000		4,073,594
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(15)		806,207		839,444

226

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(15)	$	1,541,131	$	1,606,174
BB-UBS Trust Series 2012-SHOW, Class A 3.43% due 11/05/2036*(4)		1,155,000		1,182,226
BCAP LLC Trust FRS Series 2006-AA2, Class A1 1.41% (1 ML+0.17%) due 01/25/2037(1)		22,811		20,698
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 1.72% (1 ML+0.48%) due 02/25/2036(1)		67,106		61,533
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 1.74% (1 ML+0.50%) due 01/25/2036(1)		200,915		202,666
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 1.42% (1 ML+0.18%) due 10/25/2036(1)		101,364		93,387
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 1.44% (1 ML+0.20%) due 02/25/2037(1)		214,789		211,582
Benefit Street Partners CLO, Ltd. FRS Series 2016-10A, Class A1 2.79% (3 ML+1.49%) due 01/15/2029*(2)		680,000		687,498
BlueMountain CLO, Ltd. FRS Series 2014-1, Class A1R 2.57% (3 ML+1.26%) due 04/30/2026*(2)		1,320,000		1,334,557
BlueMountain CLO, Ltd. FRS Series 2014-4A, Class A1R 2.67% (3 ML+1.35%) due 11/30/2026*(2)		1,774,000		1,784,928
BlueMountain CLO, Ltd. FRS Series 2015-3A, Class A1 2.79% (3 ML+1.48%) due 10/20/2027*(2)		2,115,000		2,114,712
BMW Vehicle Lease Trust Series 2017-1, Class A3 1.98% due 05/20/2020		100,000		100,290
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A,Class A1 2.79% (3 ML+1.47%) due 04/27/2027*(2)		1,355,000		1,360,898
CarMax Auto Owner Trust Series 2016-4, ClassA4 1.60% due 06/15/2022		160,000		157,945

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
CBAM CLO Management LLC FRS Series 2017-3A, Class A 2.60% (3ML+1.23%) due 10/17/2029*(2)	$	1,180,000	$	1,180,000
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 2.41% (3 ML+1.10%) due 01/25/2026*(2)		1,495,000		1,497,117
Cent CLO, Ltd. FRS Series 2014-21A, Class A1AR 2.53% (3 ML+1.21%) due 07/27/2026*(2)		810,000		810,134
CGGS Commercial Mtg. Trust Series 2016-RNDA, Class AFX 2.76% due 02/10/2033*(4)		347,121		347,705
Chase Issuance Trust Series 2016-A2, Class A 1.37% due 06/15/2021		219,000		217,567
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 3.24% due 12/25/2035(1)(15)		187,638		182,363
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1)		309,045		295,421
Chase Mtg. Trust VRS Series 2016-2, Class M2 3.75% due 12/25/2045*(1)(15)		290,084		295,242
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 3.39% due 09/25/2047(1)(15)		257,461		240,727
CIFC Funding, Ltd. FRS Series 2014-1A, Class AR 2.35% (3 ML+1.05%) due 04/18/2025*(2)		1,285,000		1,287,019
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 2.52% (3 ML+1.20%) due 05/24/2026*(2)		1,495,000		1,503,227
Citibank Credit Card Issuance Trust Series 2017-A3, Class A3 1.92% due 04/07/2022		80,000		80,050
Citibank Credit Card Issuance Trust Series 2014-A6, Class A6 2.15% due 07/15/2021		150,000		150,998
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.20% due 07/10/2047(4)(5)(15)		4,139,750		228,459
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.30% due 04/10/2048(4)(5)(15)		3,669,276		220,379

227

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Citigroup Commercial Mtg. Trust Series 2016-SMPL, Class A 2.23% due 09/10/2031*(4)	$	100,000	$	99,132
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(4)		303,000		306,278
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(4)		435,965		441,542
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4)		1,029,000		1,079,998
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(4)		610,000		644,751
Citigroup Commercial Mtg. Trust VRS Series 2008-C7, Class A4 6.43% due 12/10/2049(4)(15)		22,533		22,522
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(1)(15)		1,875,000		1,874,989
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(1)(15)		800,775		810,655
COLT Mtg. Loan Trust VRS Series 2016-3, Class A1 2.80% due 12/26/2046*(1)(15)		434,850		435,064
Commercial Mtg. Trust Series 2015-DC1, Class A2 2.87% due 02/10/2048(4)		454,000		461,875
Commercial Mtg. Trust Series 2015-CR26, Class A4 3.63% due 10/10/2048(4)		1,205,000		1,253,086
Commercial Mtg. Trust Series 2014-UBS4, Class A5 3.69% due 08/10/2047(4)		1,135,000		1,185,260
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(4)		605,000		644,574
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4)		845,000		913,195
Commercial Mtg. Trust VRS Series 2008-LS1, Class A4B 6.27% due 12/10/2049(4)(15)		46,484		46,451
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 1.51% (1 ML+0.27%) due 01/25/2036(1)		140,401		133,069

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 1.56% (1 ML+0.32%) due 11/25/2035(1)	$	57,994	$	49,809
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 2.04% (1 ML+0.80%) due 12/25/2035(1)		132,678		115,355
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1)		204,097		160,815
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 1.92% (1 ML+0.68%) due 03/25/2035(1)		68,549		63,411
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.08% due 11/20/2035(1)(15)		40,020		36,297
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 3.38% due 06/20/2035(1)(15)		118,661		119,412
Covenant Credit Partners CLO III, Ltd. FRS Series 2017-1A, Class B 3.23% (3 ML+1.85%) due 10/15/2029*(2)		540,000		541,646
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 1.00% due 06/15/2057(4)(5)(15)		10,155,094		474,006
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.97% due 01/15/2049(4)(5)(15)		2,814,573		304,487
CSAIL Commercial Mtg. Trust Series 2017-C8, Class A2 2.99% due 06/15/2050(4)		730,000		747,157
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(4)		740,022		759,440
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(4)		1,448,000		1,496,010
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4)		703,000		733,889
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(1)(15)		725,793		732,143
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(4)		372,000		392,873

228

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
DBCG Mtg. Trust FRS Series 2017-BBG, Class A 1.93% (1 ML+0.70%) due 06/15/2034*(4)	$	300,000	$	300,280
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(1)(15)		707,463		703,476
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 1.39% (1 ML+0.15%) due 12/25/2036(1)		224,776		205,323
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 1.39% (1 ML+0.15%) due 03/25/2037(1)		20,047		18,125
Dryden 49 Senior Loan Fund FRS Series 2017-49A, Class A 2.54% (3 ML+1.21%) due 07/18/2030*(2)		1,535,000		1,547,842
Dryden Senior Loan Fund FRS Series 2017-50A, Class X 2.06% (3 ML+0.80%) due 07/15/2030*(2)		765,000		764,991
Dryden Senior Loan Fund FRS Series 2015-38A, Class A 2.73% (3 ML+1.43%) due 07/15/2027*(2)		575,000		579,744
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 2.73% (3 ML+1.43%) due 10/15/2028*(2)		1,370,000		1,388,048
Dryden XXXI Senior Loan Fund FRS Series 2014-31A, Class AR 2.38% (3 ML+1.08%) due 04/18/2026*(2)		1,255,000		1,258,479
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.81% (12 MTA+0.92%) due 03/19/2046(1)		478,990		434,691
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 1.55% (1 ML+0.31%) due 09/25/2036(11)		495,000		438,996
Flatiron CLO, Ltd. FRS Series 2017-1A, Class A 2.70% (3 ML+1.25%) due 05/15/2030*(2)		975,000		984,080
Ford Credit Auto Owner Trust Series 2014-C,Class B 1.97% due 04/15/2020		168,000		168,458

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Ford Credit Auto Owner Trust Series 2015-2, Class A 2.44% due 01/15/2027*	$	180,000	$	181,729
GM Financial Automobile Leasing Trust Series 2017-2, Class A4 2.18% due 06/21/2021		150,000		150,265
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 3.69% due 09/19/2035(1)(15)		46,245		45,474
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 3.85% due 04/19/2036(1)(15)		306,870		290,375
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 1.40% (1 ML+0.16%) due 02/25/2037(1)		76,777		75,678
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 2.29% (12 MTA+1.40%) due 10/25/2045(1)		214,870		182,123
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4)		1,285,000		1,299,786
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4)		155,000		178,688
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4)		1,225,000		1,277,605
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4)		1,307,000		1,370,996
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 1.29% (1 ML+0.05%) due 12/25/2046(11)		45,830		34,476
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 1.31% (1 ML+0.07%) due 12/25/2046(11)		85,816		51,256
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 1.32% (1 ML+0.08%) due 02/25/2037(11)		443,137		258,672
GSAA Home Equity Trust FRS Series 2006-19, Class A1 1.33% (1 ML+0.09%) due 12/25/2036(11)		15,287		7,771
GSAA Home Equity Trust FRS Series 2007-4, Class A1 1.34% (1 ML+0.10%) due 03/25/2037(11)		496,358		269,074

229

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 1.48% (1 ML+0.24%) due 11/25/2036(11)	$	112,990	$	70,052
GSAA Home Equity Trust FRS Series 2006-3, Class A3 1.54% (1 ML+0.30%) due 03/25/2036(11)		24,239		18,543
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 1.56% (1 ML+0.32%) due 04/25/2047(11)		195,293		144,435
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)(11)		112,325		59,523
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(11)(15)		366,484		193,945
GSAA Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)(11)		365,000		372,411
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 1.54% (1 ML+0.30%) due 01/25/2037(1)		626,470		441,097
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.39% due 01/25/2036(1)(15)		13,406		13,434
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 3.39% due 01/25/2036(1)(15)		173,487		173,374
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 3.59% due 10/25/2035(1)(15)		121,401		107,064
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 1.43% (1 ML+0.19%) due 01/19/2038(1)		13,015		12,230
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 1.48% (1 ML+0.24%) due 12/19/2036(1)		313,060		274,329
Honda Auto Receivables Owner Trust Series 2016-2, Class A4 1.62% due 08/15/2022		79,000		78,679
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 1.51% (1 ML+0.27%) due 02/25/2036		200,000		194,286
Hudson Yards Mtg. Trust Series 2016-10HY, Class A 2.84% due 08/10/2038*(4)		550,000		536,900

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 1.52% (1 ML+0.28%) due 07/25/2035(1)	$	6,540	$	5,698
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 3.51% due 12/25/2036(1)(15)		303,690		291,544
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.61% due 04/25/2037(1)(15)		170,391		133,623
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(4)		996,460		1,023,537
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-WLDN, Class A 3.91% due 05/05/2030*(4)		1,154,209		1,201,965
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 3.35% due 05/25/2036(1)(15)		154,177		152,174
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(4)		290,000		305,347
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4)		1,355,000		1,425,871
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(4)(15)		63,679		64,353
Lehman XS Trust FRS Series 2006-16N, Class A4A 1.43% (1 ML+0.19%) due 11/25/2046(1)(11)		435,036		394,897
Lehman XS Trust FRS Series 2007-16N, Class 2A2 2.09% (1 ML+0.85%) due 09/25/2047(1)		272,711		253,076
LSTAR Securities Investment Ltd. FRS Series 2016-5, Class A1 3.24% (1 ML+2.00%) due 11/01/2021*(1)		653,943		654,195
LSTAR Securities Investment Ltd. FRS Series 2017-3, Class A1 3.24% (1 ML+2.00%) due 04/01/2022*(1)		267,674		267,711

230

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 2.99% (1 ML+1.75%) due 09/01/2022*(1)(3)	$	715,000	$	714,349
LSTAR Securities Investment, Ltd. FRS Series 2, Class A1 3.24% (1 ML+2.00%) due 02/01/2022*(1)		971,493		968,829
Luminent Mtg. Trust FRS Series 2005-1, Class A1 1.50% (1 ML+0.26%) due 11/25/2035(1)		217,234		203,134
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 2.57% (3 ML+1.26%) due 07/20/2026*(2)		1,290,000		1,300,708
Madison Park Funding XIII, Ltd. FRS Series 13A, Class AR 2.42% (3 ML+1.11%) due 01/19/2025*(2)		740,000		740,084
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.47% (3 ML+1.16%) due 07/23/2029*(2)		1,235,000		1,240,656
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 2.31% (3 ML+1.00%) due 07/25/2026*(2)		2,515,000		2,519,985
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 2.81% (3 ML+1.50%) due 07/25/2026*(2)		880,000		879,111
Magnetite VIII, Ltd. FRS Series 2014-8A, Class AR 2.60% (3 ML+1.30%) due 04/15/2026*(2)		745,000		747,849
Magnetite XII, Ltd. FRS Series 2015-12A, Class AR 2.63% (3 ML+1.33%) due 04/15/2027*(2)		1,775,000		1,787,918
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 3.44% due 11/21/2034(1)(15)		120,932		123,841
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 3.50% due 07/25/2035(1)(15)		267,217		230,685
MFA Trust VRS Series 2017-RPL1, ClassA1 2.59% due 02/25/2057*(1)(15)		536,080		533,836

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 1.39% (1 ML+0.15%) due 06/25/2036(11)	$	19,127	$	17,341
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.28% due 12/15/2047(4)(5)(15)		2,746,287		137,590
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(4)		500,000		510,099
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(4)		791,000		802,219
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4)		1,857,000		1,896,939
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(4)		52,000		51,503
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.62% due 06/15/2050(4)(5)(15)		1,772,053		173,600
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4)		755,000		781,300
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 1.41% (1 ML+0.17%) due 11/25/2036(11)		278,983		132,222
Mortgage Repurchase Agreement Financing Trust FRS Series 2016-5, Class A 2.41% (1 ML+1.17%) due 06/10/2019*(1)		2,027,000		2,026,990
Nationstar HECM Loan Trust Series 2017-1A, Class A 1.97% due 05/25/2027*		314,927		314,993
Nationstar HECM Loan Trust VRS Series 2017-2A, Class A1 2.04% due 09/25/2027*(3)(15)		505,000		505,000
Nationstar HECM Loan Trust Series 2017-1A, Class M1 2.94% due 05/25/2027*		140,000		140,449
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 2.74% (1 ML+1.50%) due 06/25/2057*(1)		2,084,137		2,142,277

231

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(1)(15)	$	1,410,601	$	1,457,073
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(1)(15)		1,224,256		1,263,462
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(1)(15)		2,492,918		2,595,736
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(1)(15)		2,537,711		2,652,800
New Residential Mtg. Loan Trust VRS Series 2017-3A, ClassA1 4.00% due 04/25/2057*(1)(15)		2,058,594		2,141,974
New Residential Mtg. Loan Trust VRS Series 2017-4A, ClassA1 4.00% due 05/25/2057*(1)(15)		1,750,960		1,823,625
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.08% due 06/25/2036(1)(15)		190,853		172,603
Oak Hill Advisors Residential Loan Trust Series 2017-NPL1, ClassA1 3.00% due 06/25/2057*		617,745		618,065
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 2.44% (3 ML+1.13%) due 07/20/2026*(2)		405,000		406,257
Oaktree EIF II Series B1, Ltd. FRS Series BH3-B1A, Class A 2.87% (3 ML+1.55%) due 02/15/2026*(2)		1,325,000		1,325,712
Oaktree EIF II, Ltd. FRS Series 2014-A2, Class AR 2.47% (3 ML+1.15%) due 11/15/2025*(2)		1,780,000		1,782,971
OCP CLO, Ltd. FRS Series 2015-8A, Class A1 2.83% (3 ML+1.53%) due 04/17/2027*(2)		1,160,000		1,160,147
Octagon Investment Partners 30, Ltd. FRS Series 1A, Class A1 2.63% (3 ML+1.32%) due 03/17/2030*(2)		865,000		878,778

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Octagon Investment Partners XVI, Ltd. FRS Series 2013-A, Class 1A 2.42% (3 ML+1.12%) due 07/17/2025*(2)	$	705,000	$	705,763
OneMain Financial Issuance Trust Series 2017-1A, ClassA1 2.37% due 09/14/2032*		1,910,000		1,901,794
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028*		2,225,000		2,263,644
OZLM Funding V, Ltd. FRS Series 2013-5A, Class A1R 2.43% (3 ML+1.13%) due 01/17/2026*(2)		2,110,000		2,114,541
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 2.76% (3 ML+1.45%) due 04/30/2027*(2)		2,100,000		2,110,729
RALI Series Trust FRS Series 2006-QA3, Class A2 1.54% (1 ML+0.30%) due 04/25/2036(1)		343,798		314,798
RALI Series Trust VRS Series 2007-QH9, Class A1 2.28% due 11/25/2037(1)(15)		80,855		69,903
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1)		96,459		93,696
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(11)		342,871		191,041
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)(11)		160,666		98,155
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 3.99% due 04/25/2037(1)(15)		31,036		29,964
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 1.33% (1 ML+0.09%) due 07/25/2036(11)		193,941		104,356
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 2.42% (3 ML+1.12%) due 07/17/2026*(2)		955,000		962,757
Sequoia Mtg. Trust VRS Series 2007-3, Class 2AA1 3.51% due 07/20/2037(1)(15)		25,314		24,410
Shackleton CLO, Ltd. FRS Series 2014-6A, Class A2R 2.46% (3 ML+1.16%) due 07/17/2026*(2)		1,580,000		1,586,241

232

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026*	$	330,688	$	332,085
Sound Point CLO XV, Ltd. FRS Series 2017-1A, Class A 2.70% (3 ML+1.39%) due 01/23/2029*(2)		600,000		602,839
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 1.42% (1 ML+0.18%) due 07/25/2037(11)		50,000		42,570
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.49% (1 ML+0.25%) due 11/25/2036(11)		290,000		236,735
SPS Servicer Advance Receivables Trust Series 2016-T2, Class AT2 2.75% due 11/15/2049*		1,225,000		1,225,623
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 1.54% (1 ML+0.30%) due 09/25/2034(1)		28,109		26,166
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 1.47% (1 ML+0.23%) due 02/25/2036(1)		136,921		124,116
Symphony CLO LP FRS Series 2012-BR, Class 8AR 2.97% (1 ML+1.75%) due 01/09/2023*(2)		1,200,000		1,198,907
Symphony CLO XV, Ltd. FRS Series 2014-15A, Class AR 2.48% (3 ML+1.18%) due 10/17/2026*(2)		1,150,000		1,155,612
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2R 2.58% (3 ML+1.28%) due 07/14/2026*(2)		1,130,000		1,130,125
Synchrony Credit Card Master Note Trust Series 2016-1, Class A 2.04% due 03/15/2022		100,000		100,409
Synchrony Credit Card Master Note Trust Series 2016-2, Class A 2.21% due 05/15/2024		100,000		99,931
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 2.47% (3 ML+1.16%) due 10/20/2026*(2)		810,000		810,066

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(15)	$	434,277	$	436,468
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(15)		999,376		1,003,807
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(15)		2,511,465		2,524,687
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(15)		713,561		717,385
Towd Point Mtg. Trust VRS Series 2017-4, ClassA1 2.75% due 06/25/2057*(15)		1,810,720		1,818,970
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(15)		1,303,713		1,310,361
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 2.68% (3 ML+1.37%) due 04/20/2027*(2)		1,280,000		1,290,758
Venture XXVII CLO, Ltd. FRS Series 2017-27A, Class A 2.48% (3 ML+1.30%) due 07/20/2030*(2)		665,000		670,250
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 2.57% (3 ML+1.24%) due 06/20/2029*(2)		1,785,000		1,797,700
Vibrant CLO, Ltd. FRS Series 2015-3A, Class A1R 2.79% (3 ML+1.48%) due 04/20/2026*(2)		1,120,000		1,120,205
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(4)		1,195,000		1,219,237
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 04/25/2059*		619,491		621,870
VOLT LXII LLC Series 2017-NPL9, Class A1 3.13% due 09/25/2047*		408,000		408,111
Voya CLO, Ltd. FRS Series 2014-4A, Class A1R 2.25% (3 ML+0.95%) due 10/14/2026*(2)		350,000		350,774
Voya CLO, Ltd. FRS Series 2014-2A, Class A1R 2.55% (3 ML+1.25%) due 04/17/2030*(2)		250,000		250,980
Voya CLO, Ltd. FRS Series 2014-1A, Class A1R 2.63% (3 ML+1.33%) due 04/18/2026*(2)		565,000		565,059

233

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 1.65% (12 MTA+0.82%) due 12/25/2046(1)	$	556,847	$	502,301
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 1.77% (12 MTA+0.88%) due 10/25/2046(1)		232,835		208,545
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.21% (COFI 11+1.50%) due 11/25/2046(1)		76,859		72,938
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.08% due 06/25/2037(1)(15)		194,305		183,112
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2007-HY1, Class A1 1.33% (1 ML+0.09%) due 02/25/2037(1)		475,550		332,387
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 1.72% (12 MTA+0.83%) due 11/25/2046(1)		166,838		142,758
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 1.84% (1 ML+0.60%) due 07/25/2036(1)		97,819		69,725
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.32% due 05/15/2048(4)(5)(15)		3,707,302		221,568
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.32% due 09/15/2057(4)(5)(15)		9,610,794		554,615
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(4)(15)		75,000		65,607
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR16, Class 4A8 3.44% due 10/25/2035(1)(15)		575,000		585,315
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 3.72% due 10/25/2036(1)(15)		152,336		148,583
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022*		1,215,000		1,212,298

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Financial Services (continued)
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.98% due 02/15/2044*(4)(5)(15)	$	528,016	$	11,317
World Financial Network Credit Card Master Trust Series 2016-A, Class A 2.03% due 04/15/2025		150,000		148,267
York, Ltd. FRS Series 2016-2A, Class A 2.94% (3 ML+1.63%) due 01/20/2030*(2)		1,240,000		1,250,820
Total Asset Backed Securities (cost $163,557,420)				165,464,974
U.S. CORPORATE BONDS & NOTES — 25.1%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		94,000		98,744
Aerospace/Defense — 0.1%
Lockheed Martin Corp. Senior Notes 2.90% due 03/01/2025		200,000		199,003
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052*		1,093,000		1,092,989
				1,291,992
Aerospace/Defense-Equipment — 0.1%
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		94,000		97,995
Triumph Group, Inc. Company Guar. Notes 4.88% due 04/01/2021		115,000		113,333
United Technologies Corp. Senior Notes 1.90% due 05/04/2020		165,000		164,467
United Technologies Corp. Senior Notes 3.75% due 11/01/2046		160,000		154,295
United Technologies Corp. Senior Notes 4.05% due 05/04/2047		120,000		121,636
				651,726
Agricultural Chemicals — 0.0%
Mosaic Co. Senior Notes 4.88% due 11/15/2041		66,000		62,166
Airlines — 0.1%
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2018(3)		14,422		14,474
Delta Air Lines, Inc. Senior Notes 2.88% due 03/13/2020		160,000		161,799

234

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Airlines (continued)
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022	$	855,000	$	878,769
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		113,561		117,820
United Airlines Pass-Through Trust Pass-Through Certs. Series 2013-1, Class B 5.38% due 02/15/2023		72,527		76,153
				1,249,015
Appliances — 0.0%
Whirlpool Corp. Senior Notes 4.50% due 06/01/2046		105,000		109,603
Applications Software — 0.3%
Microsoft Corp. Senior Notes 2.40% due 08/08/2026		495,000		478,447
Microsoft Corp. Senior Notes 3.30% due 02/06/2027		590,000		610,888
Microsoft Corp. Senior Notes 3.70% due 08/08/2046		1,120,000		1,129,454
Microsoft Corp. Senior Notes 3.95% due 08/08/2056		485,000		499,782
Microsoft Corp. Senior Notes 4.10% due 02/06/2037		126,000		136,548
Microsoft Corp. Senior Notes 4.45% due 11/03/2045		585,000		658,834
Nuance Communications, Inc. Company Guar. Notes 5.63% due 12/15/2026*		60,000		63,600
				3,577,553
Auction Houses/Art Dealers — 0.0%
KAR Auction Services, Inc. Company Guar. Notes 5.13% due 06/01/2025*		95,000		98,800
Auto-Cars/Light Trucks — 0.7%
American Honda Finance Corp. Senior Notes 1.20% due 07/12/2019		223,000		220,978
BMW US Capital LLC Company Guar. Notes 1.50% due 04/11/2019*		163,000		162,518
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021*		155,000		152,641

Security Description	Principal Amount(16)		Value (Note 2)
Auto-Cars/Light Trucks (continued)
Daimler Finance North America LLC Company Guar. Notes 2.30% due 01/06/2020*	$	318,000	$	319,320
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		287,000		289,016
Ford Motor Co. Senior Notes 5.29% due 12/08/2046		707,000		737,687
Ford Motor Credit Co. LLC Senior Notes 2.02% due 05/03/2019		212,000		211,875
General Motors Co. Senior Notes 4.00% due 04/01/2025		900,000		914,316
General Motors Co. Senior Notes 4.88% due 10/02/2023		1,315,000		1,422,233
General Motors Co. Senior Notes 5.15% due 04/01/2038		92,000		94,327
General Motors Co. Senior Notes 6.25% due 10/02/2043		240,000		274,282
General Motors Co. Senior Notes 6.75% due 04/01/2046		400,000		481,841
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023		1,275,000		1,299,327
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024		105,000		107,541
Nissan Motor Acceptance Corp. Senior Notes 2.15% due 09/28/2020*		138,000		138,063
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022*		258,000		258,658
Toyota Motor Credit Corp. Senior Notes 1.70% due 01/09/2019		354,000		354,083
				7,438,706
Auto-Heavy Duty Trucks — 0.0%
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		94,000		98,230
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		264,000		265,323
				363,553

235

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Auto/Truck Parts & Equipment-Original — 0.1%
Lear Corp. Senior Notes 3.80% due 09/15/2027	$	1,377,000	$	1,371,773
Banks-Commercial — 0.4%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		361,000		376,027
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020		458,000		471,554
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		258,000		260,671
PNC Bank NA Senior Notes 2.00% due 05/19/2020		250,000		249,832
Regions Financial Corp. Senior Notes 2.75% due 08/14/2022		234,000		233,597
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		671,000		903,997
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022*		1,413,000		1,439,623
Santander Holdings USA, Inc. Senior Notes 4.40% due 07/13/2027*		112,000		114,519
				4,049,820
Banks-Fiduciary — 0.1%
Bank of New York Mellon Corp. Senior Notes 2.66% due 05/16/2023		105,000		105,436
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		260,000		270,817
State Street Corp. Sub. Notes 3.10% due 05/15/2023		165,000		167,879
				544,132
Banks-Super Regional — 1.2%
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025		155,000		159,278
JPMorgan Chase Bank NA Sub. Notes 6.00% due 10/01/2017		625,000		625,000
National City Corp. Sub. Notes 6.88% due 05/15/2019		169,000		181,861
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035		600,000		706,788

Security Description	Principal Amount(16)		Value (Note 2)
Banks-Super Regional (continued)
Wells Fargo & Co. Senior Notes 2.63% due 07/22/2022	$	605,000	$	606,012
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026		655,000		643,370
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026		935,000		914,291
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023		1,836,000		1,867,454
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028		1,560,000		1,578,947
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046		18,000		18,689
Wells Fargo & Co. Sub. Notes 4.75% due 12/07/2046		876,000		961,729
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		1,085,000		1,210,258
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043		275,000		323,356
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044		1,580,000		1,912,511
Wells Fargo Bank NA Senior Notes 2.15% due 12/06/2019		1,075,000		1,080,673
				12,790,217
Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		99,000		102,960
Beverages-Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022		175,000		175,598
Constellation Brands, Inc. Company Guar. Notes 3.50% due 05/09/2027		320,000		324,280
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047		115,000		120,700
				620,578
Brewery — 0.8%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021		350,000		355,684

236

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Brewery (continued)
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023	$	2,170,000	$	2,249,800
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		401,000		414,840
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		2,394,000		2,639,464
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		1,718,000		1,940,597
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039		500,000		786,647
				8,387,032
Broadcast Services/Program — 0.3%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 6.50% due 11/15/2022		90,000		92,700
Discovery Communications LLC Company Guar. Notes 3.45% due 03/15/2025		667,000		656,875
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024		833,000		858,563
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028		575,000		570,879
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026		430,000		459,066
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037		76,000		77,171
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025		509,000		516,384
				3,231,638
Building & Construction Products-Misc. — 0.1%
Owens Corning Company Guar. Notes 4.30% due 07/15/2047		314,000		299,523
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		94,000		102,550
				402,073

Security Description	Principal Amount(16)		Value (Note 2)
Building & Construction-Misc. — 0.0%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023	$	100,000	$	98,000
Building Products-Air & Heating — 0.0%
Lennox International, Inc. Company Guar. Notes 3.00% due 11/15/2023		106,000		106,168
Building Products-Wood — 0.1%
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024*		85,000		89,356
Masco Corp. Senior Notes 4.45% due 04/01/2025		221,000		235,896
Masco Corp. Senior Notes 4.50% due 05/15/2047		116,000		116,318
				441,570
Building-Heavy Construction — 0.0%
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025*		120,000		130,200
Building-Residential/Commercial — 0.0%
Lennar Corp. Company Guar. Notes 4.13% due 01/15/2022		68,000		70,210
Lennar Corp. Company Guar. Notes 4.50% due 04/30/2024		72,000		74,144
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 03/15/2027		84,000		86,739
				231,093
Cable/Satellite TV — 1.2%
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025*		115,000		124,810
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020		600,000		615,946
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.75% due 02/15/2028*		356,000		348,363
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.20% due 03/15/2028*		32,000		32,381

237

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022	$	455,000	$	481,402
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025		980,000		1,047,635
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047*		531,000		551,638
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035		115,000		134,507
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045		1,610,000		1,889,621
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046		250,000		230,424
Comcast Corp. Company Guar. Notes 4.40% due 08/15/2035		405,000		439,096
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044		180,000		201,218
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038		250,000		329,796
Comcast Corp. Company Guar. Notes 6.95% due 08/15/2037		500,000		697,132
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033		215,000		294,424
Cox Communications, Inc. Senior Notes 3.25% due 12/15/2022*		370,000		373,233
Cox Communications, Inc. Senior Notes 3.35% due 09/15/2026*		200,000		195,714
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025*		680,000		684,722

Security Description	Principal Amount(16)		Value (Note 2)
Cable/Satellite TV (continued)
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035*	$	480,000	$	475,276
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027*		200,000		208,000
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		300,000		306,563
DISH DBS Corp. Company Guar. Notes 7.75% due 07/01/2026		120,000		137,780
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042		310,000		293,801
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040		125,000		137,171
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		1,100,000		1,292,004
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018		300,000		310,860
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019		1,190,000		1,292,627
				13,126,144
Casino Hotels — 0.0%
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. Sec. Notes 9.38% due 05/01/2022		90,000		96,750
Cellular Telecom — 0.1%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		166,000		184,467
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		366,000		424,560
Sprint Spectrum Co. LLC Senior Sec. Notes 3.36% due 03/20/2023*		650,000		659,750
United States Cellular Corp. Senior Notes 6.70% due 12/15/2033		18,000		18,743
				1,287,520
Chemicals-Diversified — 0.0%
Hexion, Inc. Senior Sec. Notes 6.63% due 04/15/2020		82,000		73,390
Chemicals-Specialty — 0.0%
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		108,000		142,106

238

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Circuit Boards — 0.0%
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025*	$	120,000	$	121,425
Coal — 0.0%
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025*		120,000		123,900
Coatings/Paint — 0.1%
RPM International, Inc. Senior Notes 3.75% due 03/15/2027		70,000		70,951
Sherwin-Williams Co. Senior Notes 2.25% due 05/15/2020		227,000		227,899
Sherwin-Williams Co. Senior Notes 2.75% due 06/01/2022		184,000		185,239
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024		215,000		216,080
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047		350,000		367,306
				1,067,475
Commercial Services — 0.0%
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022		223,000		222,754
Commercial Services-Finance — 0.0%
Automatic Data Processing, Inc. Senior Notes 2.25% due 09/15/2020		92,000		92,901
Computer Services — 0.1%
Harland Clarke Holdings Corp. Senior Sec. Notes 8.38% due 08/15/2022*		120,000		128,400
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		126,000		129,780
IBM Credit LLC Senior Notes 1.63% due 09/06/2019		262,000		261,799
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042		278,000		279,106
Leidos Holdings, Inc. Senior Sec. Notes 4.45% due 12/01/2020		75,000		78,863
				877,948
Computers — 0.6%
Apple, Inc. Senior Notes 2.85% due 05/06/2021		173,000		177,771

Security Description	Principal Amount(16)		Value (Note 2)
Computers (continued)
Apple, Inc. Senior Notes 2.85% due 02/23/2023	$	186,000	$	190,457
Apple, Inc. Senior Notes 3.00% due 02/09/2024		145,000		148,589
Apple, Inc. Senior Notes 3.35% due 02/09/2027		460,000		473,609
Apple, Inc. Senior Notes 3.45% due 02/09/2045		895,000		848,165
Apple, Inc. Senior Notes 3.85% due 08/04/2046		280,000		283,037
Apple, Inc. Senior Notes 4.45% due 05/06/2044		475,000		516,708
Dell International LLC/ EMC Corp. Senior Sec. Notes 4.42% due 06/15/2021*		440,000		461,963
Dell International LLC/ EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046*		418,000		536,851
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026*		195,000		216,557
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.10% due 07/15/2036*		415,000		519,372
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025		1,820,000		1,925,320
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035		210,000		225,456
				6,523,855
Containers-Metal/Glass — 0.0%
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		78,000		91,650
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*		105,000		112,744
				204,394
Containers-Paper/Plastic — 0.0%
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		103,000		108,047

239

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Containers-Paper/Plastic (continued)
WestRock Co. Company Guar. Notes 3.38% due 09/15/2027*	$	155,000	$	154,385
				262,432
Cosmetics & Toiletries — 0.0%
First Quality Finance Co., Inc. Company Guar. Notes 5.00% due 07/01/2025*		76,000		78,375
Procter & Gamble Co. Senior Notes 2.30% due 02/06/2022		136,000		137,054
				215,429
Data Processing/Management — 0.0%
Fidelity National Information Services, Inc. Senior Notes 4.50% due 08/15/2046		85,000		87,989
Diagnostic Equipment — 0.1%
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026		255,000		249,572
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023		555,000		564,171
				813,743
Distribution/Wholesale — 0.0%
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025*		55,000		58,025
Diversified Banking Institutions — 5.7%
Bank of America Corp. Senior Notes 2.37% due 07/21/2021		2,081,000		2,081,154
Bank of America Corp. Senior Notes 2.50% due 10/21/2022		2,585,000		2,560,653
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		1,815,000		1,829,670
Bank of America Corp. Senior Notes 3.59% due 07/21/2028		151,000		152,466
Bank of America Corp. Senior Notes 4.10% due 07/24/2023		715,000		761,341
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		2,523,000		2,615,029
Bank of America Corp. Senior Notes 4.44% due 01/20/2048		1,380,000		1,494,355
Bank of America Corp. Senior Notes 5.63% due 07/01/2020		525,000		571,799

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Banking Institutions (continued)
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037	$	694,000	$	867,735
Bank of America Corp. Senior Notes 6.88% due 04/25/2018		615,000		632,702
Citigroup, Inc. Senior Notes 1.70% due 04/27/2018		600,000		599,944
Citigroup, Inc. FRS Senior Notes 2.41% (3 ML+1.10%) due 05/17/2024		1,940,000		1,944,293
Citigroup, Inc. Senior Notes 2.88% due 07/24/2023		236,000		236,300
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028		133,000		134,303
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026		1,220,000		1,250,828
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026		2,025,000		2,109,195
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		319,000		335,827
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		2,689,000		2,838,338
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045		412,000		456,109
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025		860,000		965,232
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		99,000		120,059
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		1,115,000		1,105,463
Goldman Sachs Group, Inc. Senior Notes 2.38% due 01/22/2018		800,000		801,882
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020		820,000		827,392
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020		1,080,000		1,093,955
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021		75,000		76,057
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023		1,610,000		1,611,158

240

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Goldman Sachs Group, Inc. Senior Notes 2.91% due 06/05/2023	$	228,000	$	228,181
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023		206,000		213,439
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028		1,415,000		1,426,012
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024		1,135,000		1,198,415
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		775,000		861,845
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		575,000		658,247
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020		850,000		913,129
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		150,000		188,377
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041		610,000		805,253
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		874,000		1,153,061
JPMorgan Chase & Co. Senior Notes 2.20% due 10/22/2019		76,000		76,453
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021		1,375,000		1,373,959
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021		740,000		742,521
JPMorgan Chase & Co. FRS Senior Notes 2.54% (3 ML+1.23%) due 10/24/2023		460,000		469,970
JPMorgan Chase & Co. Senior Notes 2.55% due 03/01/2021		1,085,000		1,095,848
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023		675,000		675,179
JPMorgan Chase & Co. Senior Notes 3.20% due 01/25/2023		321,000		329,211
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025		1,105,000		1,122,760

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022	$	1,710,000	$	1,767,833
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038		445,000		448,617
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020		45,000		47,643
JPMorgan Chase & Co. Sub. Notes 4.25% due 10/01/2027		1,010,000		1,065,123
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021		450,000		482,123
JPMorgan Chase & Co. Senior Notes 4.63% due 05/10/2021		525,000		566,907
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041		125,000		154,962
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043		125,000		152,161
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038		650,000		954,959
Morgan Stanley Senior Notes 1.88% due 01/05/2018		650,000		650,639
Morgan Stanley Senior Notes 2.13% due 04/25/2018		790,000		792,244
Morgan Stanley Senior Notes 2.45% due 02/01/2019		75,000		75,524
Morgan Stanley Senior Notes 2.50% due 04/21/2021		275,000		275,891
Morgan Stanley Senior Notes 2.63% due 11/17/2021		605,000		607,155
Morgan Stanley Senior Notes 2.75% due 05/19/2022		339,000		340,876
Morgan Stanley Senior Notes 3.13% due 07/27/2026		1,445,000		1,417,352
Morgan Stanley Senior Notes 3.59% due 07/22/2028		3,374,000		3,386,571
Morgan Stanley Senior Notes 3.63% due 01/20/2027		565,000		572,675
Morgan Stanley Senior Notes 3.70% due 10/23/2024		510,000		528,347

241

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 3.75% due 02/25/2023	$	400,000	$	417,679
Morgan Stanley Senior Notes 3.88% due 01/27/2026		810,000		840,934
Morgan Stanley Sub. Notes 3.95% due 04/23/2027		550,000		559,504
Morgan Stanley Senior Notes 3.97% due 07/22/2038		111,000		111,634
Morgan Stanley Senior Notes 4.00% due 07/23/2025		980,000		1,033,179
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		340,000		355,514
Morgan Stanley Sub. Notes 4.35% due 09/08/2026		170,000		177,974
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		550,000		602,786
Morgan Stanley Senior Notes 5.50% due 07/24/2020		200,000		217,262
Morgan Stanley Senior Notes 6.63% due 04/01/2018		425,000		435,387
Morgan Stanley Senior Notes 7.30% due 05/13/2019		125,000		135,311
				62,779,865
Diversified Financial Services — 0.0%
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		275,000		275,933
Diversified Manufacturing Operations — 0.1%
Illinois Tool Works, Inc. Senior Notes 2.65% due 11/15/2026		108,000		105,335
Textron, Inc. Senior Notes 3.38% due 03/01/2028		209,000		207,505
Textron, Inc. Senior Notes 4.00% due 03/15/2026		161,000		168,013
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		134,000		135,431
				616,284
E-Commerce/Products — 0.3%
Amazon.com, Inc. Senior Notes 1.90% due 08/21/2020*		525,000		526,282

Security Description	Principal Amount(16)		Value (Note 2)
E-Commerce/Products (continued)
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024*	$	330,000	$	331,267
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037*		1,422,000		1,447,136
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044		290,000		334,902
				2,639,587
Electric Products-Misc. — 0.0%
WESCO Distribution, Inc. Company Guar. Notes 5.38% due 06/15/2024		39,000		41,145
Electric-Distribution — 0.1%
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046		465,000		457,540
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 09/15/2024*		58,000		59,232
NextEra Energy Operating Partners LP Company Guar. Notes 4.50% due 09/15/2027*		40,000		40,750
				557,522
Electric-Generation — 0.1%
Basin Electric Power Cooperative 1st Mtg. Notes 4.75% due 04/26/2047*		351,000		379,858
Emera US Finance LP Company Guar. Notes 2.70% due 06/15/2021		190,000		191,023
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		210,000		225,190
				796,071
Electric-Integrated — 1.2%
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036		505,000		648,224
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042		300,000		318,333
Dominion Energy, Inc. Junior Sub. Notes 2.58% due 07/01/2020		107,000		107,893
Dominion Resources, Inc. Junior Sub. Notes 2.96% due 07/01/2019		68,000		68,977
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		336,000		384,594

242

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
DTE Energy Co. Senior Notes 1.50% due 10/01/2019	$	750,000	$	739,139
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042		80,000		83,430
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038		40,000		52,389
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037		50,000		64,570
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024		1,110,000		1,160,964
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046		785,000		739,877
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043		195,000		226,066
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022		162,000		165,232
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044		900,000		959,952
Exelon Corp. Senior Notes 2.45% due 04/15/2021		240,000		240,021
Exelon Corp. Senior Notes 2.85% due 06/15/2020		565,000		576,232
Exelon Corp. Junior Sub. Notes 3.50% due 06/01/2022		218,000		224,560
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		129,000		131,282
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027		774,000		786,027
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023		750,000		793,472
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047		116,000		121,736
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		301,000		400,429
Georgia Power Co. Senior Notes 2.00% due 09/08/2020		137,000		136,600
Georgia Power Co. Senior Notes 4.75% due 09/01/2040		350,000		383,041

Security Description	Principal Amount(16)		Value (Note 2)
Electric-Integrated (continued)
Great Plains Energy, Inc. Senior Notes 4.85% due 06/01/2021	$	91,000	$	97,061
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024*		740,000		741,812
Massachusetts Electric Co. Notes 4.00% due 08/15/2046*		266,000		270,195
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 1.65% due 09/01/2018		445,000		444,806
Pacific Gas & Electric Co. Senior Notes 4.00% due 12/01/2046		173,000		181,323
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044		470,000		542,717
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065		102,000		118,320
Southern Co. Senior Notes 1.85% due 07/01/2019		650,000		649,668
Southern Co. Senior Notes 2.95% due 07/01/2023		270,000		271,376
				12,830,318
Electric-Transmission — 0.0%
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022		160,000		191,706
Electronic Components-Misc. — 0.0%
Corning, Inc. Senior Notes 1.50% due 05/08/2018		112,000		111,858
Electronic Components-Semiconductors — 0.5%
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022*		2,820,000		2,867,044
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024*		1,090,000		1,119,841
Intel Corp. Senior Notes 1.35% due 12/15/2017		178,000		178,025
Intel Corp. Senior Notes 2.35% due 05/11/2022		449,000		452,206
Intel Corp. Senior Notes 4.10% due 05/19/2046		665,000		697,703
				5,314,819

243

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Electronic Measurement Instruments — 0.1%
Fortive Corp. Senior Notes 2.35% due 06/15/2021	$	700,000	$	697,773
Electronic Parts Distribution — 0.0%
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024		95,000		97,507
Electronic Security Devices — 0.0%
Allegion US Holding Co., Inc. Company Guar. Notes 3.55% due 10/01/2027		107,000		106,073
Energy-Alternate Sources — 0.0%
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024*		116,000		122,380
TerraForm Power Operating LLC Company Guar. Notes 6.38% due 02/01/2023*		90,000		93,600
				215,980
Enterprise Software/Service — 0.1%
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024		179,000		191,530
Oracle Corp. Senior Notes 1.90% due 09/15/2021		334,000		331,563
Oracle Corp. Senior Notes 3.85% due 07/15/2036		244,000		252,525
Oracle Corp. Senior Notes 3.90% due 05/15/2035		45,000		47,193
Oracle Corp. Senior Notes 5.38% due 07/15/2040		310,000		384,838
				1,207,649
Finance-Auto Loans — 0.0%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		170,000		184,314
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023		100,000		105,750
				290,064
Finance-Consumer Loans — 0.1%
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024*		140,000		139,825
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021		17,000		17,935
Navient Corp. Senior Notes 5.63% due 08/01/2033		125,000		107,912

Security Description	Principal Amount(16)		Value (Note 2)
Finance-Consumer Loans (continued)
Springleaf Finance Corp. Company Guar. Notes 6.13% due 05/15/2022	$	140,000	$	148,267
				413,939
Finance-Credit Card — 0.2%
Alliance Data Systems Corp. Company Guar. Notes 5.88% due 11/01/2021*		100,000		104,000
American Express Co. Senior Notes 2.50% due 08/01/2022		528,000		527,395
American Express Credit Corp. Senior Notes 2.20% due 03/03/2020		1,350,000		1,357,064
Discover Financial Services Senior Notes 5.20% due 04/27/2022		160,000		173,920
				2,162,379
Finance-Investment Banker/Broker — 0.0%
E*TRADE Financial Corp. Senior Notes 3.80% due 08/24/2027		55,000		55,658
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(3)(11)		131,000		13
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(3)(11)		99,000		10
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		90,000		93,303
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022		123,000		125,530
				274,514
Finance-Leasing Companies — 0.0%
International Lease Finance Corp. Senior Notes 5.88% due 08/15/2022		127,000		142,205
Washington Prime Group LP Senior Notes 5.95% due 08/15/2024		105,000		107,003
				249,208
Finance-Mortgage Loan/Banker — 0.0%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		125,000		131,250
Finance-Other Services — 0.1%
Intercontinental Exchange, Inc. Company Guar. Notes 2.75% due 12/01/2020		500,000		511,135
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.00% due 01/27/2020		184,000		184,306

244

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Finance-Other Services (continued)
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020	$	89,000	$	89,717
National Rural Utilities Cooperative Finance Corp. Senior Notes 2.30% due 09/15/2022		145,000		144,016
National Rural Utilities Cooperative Finance Corp. Collateral Trust Notes 2.40% due 04/25/2022		118,000		118,726
				1,047,900
Food-Meat Products — 0.0%
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021*		82,000		81,918
Smithfield Foods, Inc. Company Guar. Notes 4.25% due 02/01/2027*		61,000		63,061
				144,979
Food-Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020		605,000		615,930
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046		445,000		439,408
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		221,000		236,196
				1,291,534
Food-Retail — 0.0%
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./ Albertson's LLC Company Guar. Notes 5.75% due 03/15/2025		125,000		110,000
Kroger Co. Senior Notes 4.65% due 01/15/2048		226,000		218,598
				328,598
Food-Wholesale/Distribution — 0.1%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*		36,000		35,640
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021		525,000		528,346
				563,986
Gambling (Non-Hotel) — 0.0%
Mohegan Gaming & Entertainment Company Guar. Notes 7.88% due 10/15/2024*		110,000		116,875

Security Description	Principal Amount(16)		Value (Note 2)
Gambling (Non-Hotel) (continued)
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022	$	85,000	$	94,137
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(3)(11)		1,320		20
				211,032
Gas-Distribution — 0.0%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		74,000		79,900
NiSource Finance Corp. Company Guar. Notes 3.49% due 05/15/2027		100,000		101,220
NiSource Finance Corp. Company Guar. Notes 4.38% due 05/15/2047		74,000		77,642
Sempra Energy Senior Notes 3.25% due 06/15/2027		63,000		62,217
				320,979
Gold Mining — 0.0%
Barrick North America Finance LLC Company Guar. Notes 5.75% due 05/01/2043		160,000		193,716
Hotels/Motels — 0.0%
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. Company Guar. Notes 6.13% due 12/01/2024*		85,000		93,202
Independent Power Producers — 0.0%
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026*		75,000		74,625
NRG Yield Operating LLC Company Guar. Notes 5.00% due 09/15/2026		65,000		67,600
				142,225
Industrial Gases — 0.0%
Airgas, Inc. Company Guar. Notes 3.05% due 08/01/2020		62,000		63,416
Insurance Brokers — 0.1%
Aon Corp. Company Guar. Notes 5.00% due 09/30/2020		275,000		296,084
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025		290,000		299,877

245

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Insurance Brokers (continued)
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023	$	295,000	$	313,442
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024		485,000		496,143
				1,405,546
Insurance-Life/Health — 0.1%
Aflac, Inc. Senior Notes 4.00% due 10/15/2046		109,000		108,757
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047*		272,000		265,707
Lincoln National Corp. Senior Notes 8.75% due 07/01/2019		103,000		114,502
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		185,000		199,464
				688,430
Insurance-Multi-line — 0.3%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		132,000		161,703
MetLife, Inc. Senior Notes 4.60% due 05/13/2046		99,000		108,962
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019*		2,725,000		2,743,993
				3,014,658
Insurance-Mutual — 0.1%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*		63,000		64,323
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.90% due 04/01/2077*		37,000		40,081
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039*		149,000		241,659
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020*		366,000		363,429
				709,492
Insurance-Reinsurance — 0.0%
Berkshire Hathaway, Inc. Senior Notes 1.15% due 08/15/2018		152,000		151,553

Security Description	Principal Amount(16)		Value (Note 2)
Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*	$	135,000	$	141,919
Zayo Group LLC/Zayo Capital, Inc. Company Guar. Notes 6.38% due 05/15/2025		80,000		86,210
				228,129
Internet Content-Entertainment — 0.0%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		110,000		120,312
Machinery-Construction & Mining — 0.1%
Caterpillar Financial Services Corp. Senior Notes 1.85% due 09/04/2020		218,000		216,994
Caterpillar Financial Services Corp. Senior Notes 3.30% due 06/09/2024		227,000		234,605
Terex Corp. Company Guar. Notes 5.63% due 02/01/2025*		65,000		68,494
				520,093
Machinery-Farming — 0.0%
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 04/05/2022		112,000		117,600
Machinery-General Industrial — 0.0%
Roper Technologies, Inc. Senior Notes 3.80% due 12/15/2026		57,000		58,674
Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022		120,000		124,500
Medical Labs & Testing Services — 0.1%
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022		50,000		51,175
Laboratory Corp of America Holdings Senior Notes 3.25% due 09/01/2024		93,000		93,271
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022*		204,000		199,701
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019*		278,000		279,729
				623,876

246

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical Products — 0.2%
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024	$	1,830,000	$	1,847,073
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027		368,000		372,081
				2,219,154
Medical-Biomedical/Gene — 0.3%
Amgen, Inc. Senior Notes 2.65% due 05/11/2022		1,377,000		1,388,243
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022		236,000		244,539
Celgene Corp. Senior Notes 3.63% due 05/15/2024		158,000		164,602
Celgene Corp. Senior Notes 4.63% due 05/15/2044		495,000		534,053
Gilead Sciences, Inc. Senior Notes 2.50% due 09/01/2023		165,000		163,336
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022		310,000		320,185
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024		515,000		543,909
				3,358,867
Medical-Drugs — 0.2%
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018		940,000		943,100
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023*		100,000		81,500
Forest Laboratories LLC Company Guar. Notes 4.88% due 02/15/2021*		85,000		91,278
Johnson & Johnson Senior Notes 3.63% due 03/03/2037		63,000		65,466
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034		750,000		1,012,189
				2,193,533
Medical-HMO — 0.4%
Aetna, Inc. Senior Notes 2.80% due 06/15/2023		120,000		120,738
Anthem, Inc. Senior Notes 2.30% due 07/15/2018		500,000		502,163

Security Description	Principal Amount(16)		Value (Note 2)
Medical-HMO (continued)
Anthem, Inc. Senior Notes 3.50% due 08/15/2024	$	785,000	$	807,574
Anthem, Inc. Senior Notes 4.63% due 05/15/2042		400,000		433,367
Anthem, Inc. Senior Notes 5.10% due 01/15/2044		325,000		374,520
Anthem, Inc. Senior Notes 6.38% due 06/15/2037		260,000		338,799
Cigna Corp. Senior Notes 3.88% due 10/15/2047		219,000		218,246
Coventry Health Care, Inc. Senior Notes 5.45% due 06/15/2021		80,000		88,122
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		158,000		157,982
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		111,000		115,921
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		485,000		514,687
UnitedHealth Group, Inc. Senior Notes 4.25% due 04/15/2047		130,000		139,414
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045		800,000		923,885
				4,735,418
Medical-Hospitals — 0.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023		85,000		83,513
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		80,000		86,200
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		113,000		116,672
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024*		136,000		134,771
				421,156
Medical-Wholesale Drug Distribution — 0.2%
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018		720,000		721,057
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022		1,245,000		1,243,985

247

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Medical-Wholesale Drug Distribution (continued)
Cardinal Health, Inc. Senior Notes 4.37% due 06/15/2047	$	285,000	$	291,820
				2,256,862
Metal Processors & Fabrication — 0.0%
Grinding Media, Inc./Moly-Cop AltaSteel, Ltd. Senior Sec. Notes 7.38% due 12/15/2023*		58,000		62,930
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		40,000		40,600
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024*		59,000		61,519
				165,049
Metal-Diversified — 0.0%
Glencore Funding LLC Company Guar. Notes 4.00% due 03/27/2027*		161,000		161,975
Multimedia — 0.3%
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022		380,000		387,323
21st Century Fox America, Inc. Company Guar. Notes 4.75% due 11/15/2046		15,000		15,990
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041		765,000		956,208
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035		150,000		190,411
21st Century Fox America, Inc. Company Guar. Notes 6.90% due 03/01/2019		150,000		160,215
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028		95,000		121,730
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045		724,000		735,787
Viacom, Inc. Senior Notes 3.45% due 10/04/2026		5,000		4,805
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		460,000		396,281
Viacom, Inc. Senior Notes 5.25% due 04/01/2044		57,000		54,590
Walt Disney Co. Senior Notes 1.65% due 01/08/2019		77,000		77,054
				3,100,394

Security Description	Principal Amount(16)		Value (Note 2)
Networking Products — 0.1%
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019	$	316,000	$	318,386
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		390,000		392,261
Cisco Systems, Inc. Senior Notes 5.50% due 01/15/2040		135,000		168,789
				879,436
Non-Hazardous Waste Disposal — 0.0%
Wrangler Buyer Corp. Senior Notes 6.00% due 10/01/2025*		53,000		53,927
Office Automation & Equipment — 0.1%
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023		660,000		648,967
Xerox Corp. Senior Notes 3.63% due 03/15/2023		810,000		803,219
				1,452,186
Oil Companies-Exploration & Production — 1.0%
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024		1,370,000		1,359,603
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044		820,000		780,422
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026		415,000		463,489
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		301,000		356,082
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019		205,000		220,903
Apache Corp. Senior Notes 4.25% due 01/15/2044		280,000		262,943
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023		90,000		91,350
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027		199,000		199,885
Concho Resources, Inc. Company Guar. Notes 4.38% due 01/15/2025		219,000		230,497
Concho Resources, Inc. Company Guar. Notes 4.88% due 10/01/2047		86,000		89,745
ConocoPhillips Co. Company Guar. Notes 5.95% due 03/15/2046		170,000		218,520

248

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Exploration & Production (continued)
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022	$	75,000	$	76,219
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021*		90,000		87,862
Devon Energy Corp. Senior Notes 5.00% due 06/15/2045		77,000		81,141
Devon Energy Corp. Senior Notes 5.60% due 07/15/2041		78,000		85,363
Devon Financing Co. LLC Company Guar. Notes 7.88% due 09/30/2031		275,000		363,019
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 8.00% due 11/29/2024*		140,000		141,400
Hess Corp. Senior Notes 4.30% due 04/01/2027		165,000		163,546
Hess Corp. Senior Notes 5.60% due 02/15/2041		463,000		463,909
Hess Corp. Senior Notes 5.80% due 04/01/2047		480,000		493,301
Hess Corp. Senior Notes 6.00% due 01/15/2040		305,000		315,773
Hess Corp. Senior Notes 7.30% due 08/15/2031		150,000		175,505
Hess Corp. Senior Notes 7.88% due 10/01/2029		230,000		279,137
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		119,000		116,620
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024		375,000		445,630
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020		215,000		214,995
Marathon Oil Corp. Senior Notes 2.80% due 11/01/2022		1,220,000		1,186,047
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027		452,000		460,916
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		212,000		243,890

Security Description	Principal Amount(16)		Value (Note 2)
Oil Companies-Exploration & Production (continued)
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026	$	90,000	$	94,612
Pioneer Natural Resources Co. Senior Notes 3.45% due 01/15/2021		725,000		741,294
RSP Permian, Inc. Company Guar. Notes 5.25% due 01/15/2025*		100,000		101,500
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023		110,000		94,050
WPX Energy, Inc. Senior Notes 7.50% due 08/01/2020		51,000		55,462
				10,754,630
Oil Companies-Integrated — 0.1%
Chevron Corp. Senior Notes 1.96% due 03/03/2020		110,000		110,430
Chevron Corp. Senior Notes 1.99% due 03/03/2020		349,000		350,314
Chevron Corp. Senior Notes 2.50% due 03/03/2022		99,000		99,822
Exxon Mobil Corp. Senior Notes 1.31% due 03/06/2018		100,000		99,947
				660,513
Oil Field Machinery & Equipment — 0.0%
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021		94,000		94,235
Oil Refining & Marketing — 0.2%
Murphy Oil USA, Inc. Company Guar. Notes 5.63% due 05/01/2027		65,000		69,875
PBF Holding Co LLC/PBF Finance Corp. Company Guar. Notes 7.25% due 06/15/2025*		112,000		114,520
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026		1,660,000		1,637,619
				1,822,014
Oil-Field Services — 0.0%
Bristow Group, Inc. Company Guar. Notes 6.25% due 10/15/2022		157,000		109,900
Halliburton Co. Senior Notes 4.85% due 11/15/2035		58,000		62,878
				172,778

249

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.2%
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044	$	130,000	$	143,837
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025*		373,000		385,447
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		396,000		417,454
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		127,000		139,166
International Paper Co. Senior Notes 4.35% due 08/15/2048		175,000		176,006
International Paper Co. Senior Notes 4.40% due 08/15/2047		43,000		43,495
International Paper Co. Senior Notes 5.00% due 09/15/2035		84,000		93,173
International Paper Co. Senior Notes 7.30% due 11/15/2039		200,000		276,000
P.H. Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		81,000		82,256
				1,756,834
Pharmacy Services — 0.0%
Express Scripts Holding Co. Company Guar. Notes 3.00% due 07/15/2023		83,000		83,100
Express Scripts Holding Co. Company Guar. Notes 4.80% due 07/15/2046		125,000		131,992
				215,092
Pipelines — 1.7%
Antero Midstream Partners LP/ Antero Midstream Finance Corp. Company Guar. Notes 5.38% due 09/15/2024		85,000		87,975
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027*		190,000		195,700
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025*		105,000		107,362
Columbia Pipeline Group, Inc. Company Guar. Notes 2.45% due 06/01/2018		41,000		41,141
Enable Midstream Partners LP Senior Notes 5.00% due 05/15/2044		128,000		124,608

Security Description	Principal Amount(16)		Value (Note 2)
Pipelines (continued)
Enbridge Energy Partners LP Senior Notes 7.38% due 10/15/2045	$	117,000	$	150,721
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023		425,000		445,371
Energy Transfer Partners LP Senior Notes 4.05% due 03/15/2025		275,000		278,806
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035		54,000		53,659
Energy Transfer Partners LP Senior Notes 5.15% due 02/01/2043		260,000		253,604
Energy Transfer Partners LP Senior Notes 6.05% due 06/01/2041		23,000		24,846
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		270,000		307,137
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026		146,000		152,773
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045		153,000		147,404
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 08/15/2042		185,000		198,624
Enterprise Products Operating LLC Company Guar. Notes 4.85% due 03/15/2044		155,000		166,420
Enterprise Products Operating LLC Company Guar. Notes 5.95% due 02/01/2041		140,000		167,888
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		74,000		71,780
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		102,777
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042		970,000		966,620

250

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		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	$	120,000	$	129,402
Kinder Morgan, Inc. Company Guar. Notes 3.15% due 01/15/2023		4,050,000		4,071,848
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*		115,000		123,380
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045		635,000		684,161
Kinder Morgan, Inc. Company Guar. Notes 5.63% due 11/15/2023*		620,000		690,576
MPLX LP Senior Notes 4.13% due 03/01/2027		595,000		605,815
MPLX LP Senior Notes 5.20% due 03/01/2047		310,000		324,566
NGPL PipeCo LLC Senior Notes 4.38% due 08/15/2022*		176,000		182,600
ONEOK, Inc. Company Guar. Notes 4.00% due 07/13/2027		184,000		186,282
Phillips 66 Partners LP Senior Notes 3.55% due 10/01/2026		280,000		273,928
Phillips 66 Partners LP Senior Notes 4.90% due 10/01/2046		69,000		69,060
Plains All American Pipeline LP/ PAA Finance Corp. Senior Notes 4.50% due 12/15/2026		470,000		477,008
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028		615,000		619,957
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027		108,000		115,191
SemGroup Corp. Company Guar. Notes 7.25% due 03/15/2026*		139,000		139,695
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		87,000		85,043
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		68,000		68,340

Security Description	Principal Amount(16)		Value (Note 2)
Pipelines (continued)
Sunoco Logistics Partners Operations LP Company Guar. Notes 3.90% due 07/15/2026	$	430,000	$	426,591
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024		320,000		330,191
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047		726,000		738,497
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 09/15/2024*		139,000		142,822
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.13% due 10/15/2021		104,000		107,250
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022*		980,000		964,862
Western Gas Partners LP Senior Notes 4.65% due 07/01/2026		156,000		163,508
Williams Partners LP Senior Notes 3.60% due 03/15/2022		1,060,000		1,095,186
Williams Partners LP Senior Notes 3.75% due 06/15/2027		884,000		882,721
Williams Partners LP Senior Notes 4.00% due 11/15/2021		260,000		271,462
Williams Partners LP Senior Notes 4.30% due 03/04/2024		415,000		437,793
Williams Partners LP Senior Notes 5.10% due 09/15/2045		275,000		289,050
				18,841,251
Poultry — 0.0%
Pilgrim's Pride Corp. Senior Notes 5.88% due 09/30/2027*		90,000		91,912
Power Converter/Supply Equipment — 0.0%
Hubbell, Inc. Senior Notes 3.15% due 08/15/2027		77,000		76,960
Hubbell, Inc. Senior Notes 3.35% due 03/01/2026		140,000		141,725
				218,685

251

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Precious Metals — 0.0%
Coeur Mining, Inc. Company Guar. Notes 5.88% due 06/01/2024	$	90,000	$	90,000
Publishing-Books — 0.0%
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance Senior Notes 7.88% due 05/15/2024*		90,000		88,762
Racetracks — 0.0%
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		90,000		98,212
Radio — 0.0%
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026*		120,000		126,300
Real Estate Investment Trusts — 0.3%
American Tower Corp. Senior Notes 3.45% due 09/15/2021		295,000		305,280
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024		425,000		422,983
Crown Castle International Corp. Senior Notes 3.40% due 02/15/2021		165,000		169,877
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025		111,000		114,230
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		120,000		124,050
GEO Group, Inc. Company Guar. Notes 6.00% due 04/15/2026		90,000		94,613
Goodman US Finance Three LLC Company Guar. Notes 3.70% due 03/15/2028*		75,000		74,753
Goodman US Finance Three LLC Company Guar. Notes 4.50% due 10/15/2037*		75,000		75,935
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027*		90,000		91,350
iStar, Inc. Senior Notes 5.25% due 09/15/2022		106,000		107,590
iStar, Inc. Senior Notes 6.00% due 04/01/2022		48,000		49,680

Security Description	Principal Amount(16)		Value (Note 2)
Real Estate Investment Trusts (continued)
Liberty Property LP Senior Notes 4.75% due 10/01/2020	$	80,000	$	84,889
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027		118,000		120,950
Simon Property Group LP Senior Notes 4.25% due 11/30/2046		36,000		36,755
Starwood Property Trust, Inc. Senior Notes 5.00% due 12/15/2021		126,000		131,512
Ventas Realty LP/Ventas Capital Corp. Company Guar. Notes 2.00% due 02/15/2018		1,050,000		1,050,958
				3,055,405
Real Estate Management/Services — 0.0%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		135,000		139,050
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 4.88% due 06/01/2023*		145,000		148,987
				288,037
Rental Auto/Equipment — 0.0%
Herc Rentals, Inc. Sec. Notes 7.75% due 06/01/2024*		90,000		97,650
United Rentals North America, Inc. Company Guar. Notes 4.88% due 01/15/2028		100,000		100,500
				198,150
Resort/Theme Parks — 0.0%
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024*		120,000		122,100
Retail-Appliances — 0.0%
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022		126,000		122,850
Retail-Auto Parts — 0.0%
O'Reilly Automotive, Inc. Senior Notes 3.60% due 09/01/2027		132,000		131,914
Retail-Automobile — 0.0%
Lithia Motors, Inc. Company Guar. Notes 5.25% due 08/01/2025*		87,000		90,371
Retail-Building Products — 0.1%
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056		650,000		599,387

252

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Retail-Building Products (continued)
Home Depot, Inc. Senior Notes 5.88% due 12/16/2036	$	230,000	$	298,749
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046		335,000		324,968
				1,223,104
Retail-Discount — 0.0%
Costco Wholesale Corp. Senior Notes 2.25% due 02/15/2022		206,000		206,717
Retail-Drug Store — 0.3%
CVS Health Corp. Senior Notes 2.80% due 07/20/2020		875,000		890,084
CVS Health Corp. Senior Notes 3.88% due 07/20/2025		408,000		425,549
CVS Health Corp. Senior Notes 5.13% due 07/20/2045		1,650,000		1,897,589
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036*		86,032		92,248
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		61,140		68,785
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		112,319		128,267
				3,502,522
Retail-Misc./Diversified — 0.0%
FirstCash, Inc. Company Guar. Notes 5.38% due 06/01/2024*		62,000		64,635
Retail-Office Supplies — 0.0%
Arch Merger Sub, Inc. Company Guar. Notes 8.50% due 09/15/2025*		185,000		179,912
Retail-Restaurants — 0.1%
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024*		140,000		138,775
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025*		105,000		106,838
McDonald's Corp. Senior Notes 4.88% due 12/09/2045		285,000		320,821
				566,434
Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026		135,000		144,450

Security Description	Principal Amount(16)		Value (Note 2)
Savings & Loans/Thrifts — 0.2%
Astoria Financial Corp. Senior Notes 3.50% due 06/08/2020	$	166,000	$	167,659
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		828,000		919,034
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		332,000		388,848
				1,475,541
Semiconductor Components-Integrated Circuits — 0.0%
QUALCOMM, Inc. Senior Notes 2.10% due 05/20/2020		169,000		170,287
Semiconductor Equipment — 0.2%
Applied Materials, Inc. Senior Notes 3.30% due 04/01/2027		220,000		224,075
Applied Materials, Inc. Senior Notes 4.35% due 04/01/2047		261,000		279,299
Lam Research Corp. Senior Notes 2.80% due 06/15/2021		960,000		971,160
				1,474,534
Steel-Producers — 0.0%
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025*		205,000		206,665
Telecom Services — 0.0%
Embarq Corp. Senior Notes 8.00% due 06/01/2036		120,000		121,800
Telecommunication Equipment — 0.0%
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023*		94,000		97,525
Telephone-Integrated — 1.5%
AT&T, Inc. Senior Notes 2.85% due 02/14/2023		230,000		228,556
AT&T, Inc. Senior Notes 3.00% due 06/30/2022		1,425,000		1,438,874
AT&T, Inc. Senior Notes 3.40% due 08/14/2024		2,010,000		2,013,130
AT&T, Inc. Senior Notes 3.60% due 02/17/2023		650,000		668,776
AT&T, Inc. Senior Notes 3.80% due 03/15/2022		210,000		218,750

253

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 3.90% due 08/14/2027	$	1,240,000	$	1,242,414
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		192,000		176,222
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		249,000		245,834
AT&T, Inc. Senior Notes 4.55% due 03/09/2049		999,000		921,352
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		384,000		369,289
AT&T, Inc. Senior Notes 4.90% due 08/14/2037		692,000		699,367
AT&T, Inc. Senior Notes 5.15% due 03/15/2042		735,000		742,841
AT&T, Inc. Senior Notes 5.15% due 02/14/2050		1,190,000		1,195,795
AT&T, Inc. Senior Notes 5.30% due 08/14/2058		276,000		278,996
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2025		39,000		37,343
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		45,000		44,852
Verizon Communications, Inc. Senior Notes 2.95% due 03/15/2022		805,000		818,640
Verizon Communications, Inc. Senior Notes 3.38% due 02/15/2025*		100,000		100,348
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		825,000		810,483
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		79,000		79,050
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033		1,850,000		1,895,492
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		374,000		356,271
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039		1,115,000		1,151,022
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		250,000		253,416

Security Description	Principal Amount(16)		Value (Note 2)
Telephone-Integrated (continued)
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037	$	589,000	$	645,919
				16,633,032
Television — 0.0%
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027		59,000		66,817
Tobacco — 0.5%
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046		570,000		557,171
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019		31,000		35,109
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020*		625,000		626,996
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037*		1,010,000		1,036,472
Philip Morris International, Inc. Senior Notes 3.13% due 08/17/2027		1,675,000		1,681,395
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043		315,000		323,480
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020		1,096,000		1,126,284
				5,386,907
Transport-Equipment & Leasing — 0.0%
GATX Corp. Senior Notes 3.25% due 09/15/2026		73,000		71,911
GATX Corp. Senior Notes 3.85% due 03/30/2027		113,000		114,840
				186,751
Transport-Rail — 0.3%
CSX Corp. Senior Notes 3.25% due 06/01/2027		1,960,000		1,965,382
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026		840,000		832,594
Union Pacific Corp. Senior Notes 3.60% due 09/15/2037		145,000		146,730
				2,944,706
Transport-Services — 0.1%
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045		480,000		474,129

254

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. CORPORATE BONDS & NOTES (continued)
Transport-Services (continued)
FedEx Corp. Company Guar. Notes 4.40% due 01/15/2047	$	245,000	$	254,684
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046		225,000		239,642
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045		260,000		283,156
United Parcel Service, Inc. Senior Notes 2.35% due 05/16/2022		202,000		203,599
				1,455,210
Travel Services — 0.0%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		163,000		168,917
Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.38% due 02/01/2022*		69,000		70,847
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022*		1,060,000		1,154,305
				1,225,152
Wire & Cable Products — 0.0%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		72,000		72,317
Wireless Equipment — 0.0%
ViaSat, Inc. Senior Notes 5.63% due 09/15/2025*		135,000		135,850
Total U.S. Corporate Bonds & Notes (cost $267,732,159)				274,760,953
FOREIGN CORPORATE BONDS & NOTES — 5.0%
Aerospace/Defense-Equipment — 0.0%
Airbus Finance BV Company Guar. Notes 2.70% due 04/17/2023*		155,000		156,544
Agricultural Chemicals — 0.0%
Agrium, Inc. Senior Notes 4.90% due 06/01/2043		200,000		218,460
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025*		150,000		157,313
				375,773
Airport Development/Maintenance — 0.1%
Mexico City Airport Trust Senior Sec. Notes 3.88% due 04/30/2028*		630,000		627,795

Security Description	Principal Amount(16)		Value (Note 2)
Auto-Cars/Light Trucks — 0.0%
Hyundai Capital Services, Inc. Senior Notes 3.00% due 08/29/2022*	$	201,000	$	198,282
Auto/Truck Parts & Equipment-Original — 0.0%
Delphi Jersey Holdings PLC Senior Notes 5.00% due 10/01/2025*		95,000		96,663
Banks-Commercial — 0.4%
Barclays Bank PLC Sub. Notes 6.05% due 12/04/2017*		1,700,000		1,711,927
BPCE SA Company Guar. Notes 3.00% due 05/22/2022*		345,000		346,906
BPCE SA Sub. Notes 4.50% due 03/15/2025*		255,000		263,516
Canadian Imperial Bank of Commerce Senior Notes 2.10% due 10/05/2020		357,000		356,916
Credit Suisse AG Senior Notes 3.00% due 10/29/2021		550,000		564,685
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		260,000		260,468
ICICI Bank, Ltd. Senior Notes 5.75% due 11/16/2020		150,000		163,353
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026*		265,000		279,275
National Bank of Canada Bank Guar. Notes 2.10% due 12/14/2018		253,000		253,594
Toronto-Dominion Bank Senior Notes 1.85% due 09/11/2020		253,000		252,004
Westpac Banking Corp. Sub. Notes 4.32% due 11/23/2031		104,000		106,851
				4,559,495
Beverages-Non-alcoholic — 0.0%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		294,000		295,969
Beverages-Wine/Spirits — 0.0%
Diageo Capital PLC Company Guar. Notes 5.75% due 10/23/2017		207,000		207,498
Building-Residential/Commercial — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025*		97,000		99,425

255

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV — 0.2%
Altice Financing SA Senior Sec. Notes 7.50% due 05/15/2026*	$	200,000	$	220,000
Numericable-SFR SA Senior Sec. Notes 7.38% due 05/01/2026*		400,000		432,000
Sky PLC Company Guar. Notes 2.63% due 09/16/2019*		765,000		770,205
UPCB Finance IV, Ltd. Senior Sec. Notes 5.38% due 01/15/2025*		200,000		208,000
Ziggo Secured Finance BV Senior Sec. Notes 5.50% due 01/15/2027*		150,000		153,703
				1,783,908
Chemicals-Diversified — 0.0%
LYB International Finance II BV Company Guar. Notes 3.50% due 03/02/2027		156,000		155,163
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		70,000		71,050
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025*		85,000		87,444
				313,657
Chemicals-Specialty — 0.2%
Methanex Corp. Senior Notes 4.25% due 12/01/2024		1,065,000		1,053,616
Methanex Corp. Senior Notes 5.65% due 12/01/2044		450,000		443,543
				1,497,159
Computers-Memory Devices — 0.0%
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025		120,000		116,817
Consulting Services — 0.2%
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039*		1,499,000		1,544,785
Cruise Lines — 0.0%
NCL Corp., Ltd. Senior Notes 4.75% due 12/15/2021*		100,000		103,750
Silversea Cruise Finance, Ltd. Senior Sec. Notes 7.25% due 02/01/2025*		130,000		139,100
				242,850

Security Description	Principal Amount(16)		Value (Note 2)
Diversified Banking Institutions — 0.8%
Barclays PLC Sub. Notes 4.84% due 05/09/2028	$	645,000	$	668,175
BNP Paribas SA Senior Notes 2.95% due 05/23/2022*		360,000		363,167
BNP Paribas SA Senior Notes 3.80% due 01/10/2024*		240,000		249,492
Credit Suisse Group AG Senior Notes 4.28% due 01/09/2028*		357,000		371,857
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020		1,125,000		1,129,562
HSBC Holdings PLC Senior Notes 2.95% due 05/25/2021		650,000		660,115
HSBC Holdings PLC Senior Notes 3.26% due 03/13/2023		200,000		204,135
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		1,485,000		1,531,235
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		1,200,000		1,243,604
HSBC Holdings PLC Sub. Notes 4.38% due 11/23/2026		565,000		588,997
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.67% due 07/25/2022		189,000		188,772
Mizuho Financial Group, Inc. Senior Notes 2.27% due 09/13/2021		602,000		592,897
UniCredit SpA Sub. Notes 5.86% due 06/19/2032*		247,000		258,843
				8,050,851
Diversified Financial Services — 0.0%
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035		255,000		277,286
Diversified Manufacturing Operations — 0.0%
Siemens Financieringsmaatschappij NV Company Guar. Notes 2.20% due 03/16/2020*		321,000		324,247
Diversified Minerals — 0.2%
Anglo American Capital PLC Company Guar. Notes 3.75% due 04/10/2022*		2,005,000		2,056,328

256

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Minerals (continued)
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 4.75% due 05/15/2022*	$	120,000	$	121,500
				2,177,828
Diversified Operations — 0.0%
Hutchison Whampoa International 09/19, Ltd. Company Guar. Notes 5.75% due 09/11/2019*		230,000		245,406
Electric-Generation — 0.0%
Electricite de France SA Senior Notes 2.35% due 10/13/2020*		208,000		209,210
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		85,000		94,728
				303,938
Electric-Integrated — 0.1%
EDP Finance BV Senior Notes 3.63% due 07/15/2024*		309,000		311,537
Enel Finance International NV Company Guar. Notes 3.63% due 05/25/2027*		425,000		425,864
Enel Finance International NV Company Guar. Notes 4.75% due 05/25/2047*		200,000		211,681
Fortis, Inc. Senior Notes 2.10% due 10/04/2021		340,000		333,826
				1,282,908
Electronic Connectors — 0.0%
Tyco Electronics Group SA Company Guar. Notes 3.13% due 08/15/2027		77,000		76,336
Finance-Leasing Companies — 0.0%
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		64,000		69,920
Food-Misc./Diversified — 0.2%
Danone SA Senior Notes 1.69% due 10/30/2019*		1,565,000		1,554,660
Gambling (Non-Hotel) — 0.0%
International Game Technology PLC Senior Sec. Notes 6.50% due 02/15/2025*		200,000		224,750
Gold Mining — 0.0%
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		84,000		94,324

Security Description	Principal Amount(16)		Value (Note 2)
Gold Mining (continued)
Kinross Gold Corp. Company Guar. Notes 4.50% due 07/15/2027*	$	228,000	$	229,995
				324,319
Insurance-Life/Health — 0.0%
Manulife Financial Corp. Sub. Notes 4.06% due 02/24/2032		115,000		116,150
Insurance-Property/Casualty — 0.0%
Enstar Group, Ltd. Senior Notes 4.50% due 03/10/2022		78,000		80,694
Medical-Drugs — 0.3%
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037		315,000		421,980
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021		1,160,000		1,155,944
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 1.70% due 07/19/2019		500,000		492,773
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.20% due 07/21/2021		325,000		312,911
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023		125,000		119,224
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*		130,000		114,888
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 7.00% due 03/15/2024*		91,000		97,151
				2,714,871
Medical-Generic Drugs — 0.7%
Actavis Funding SCS Company Guar. Notes 3.45% due 03/15/2022		500,000		518,457
Actavis Funding SCS Company Guar. Notes 4.55% due 03/15/2035		590,000		629,478
Allergan Funding SCS Company Guar. Notes 2.35% due 03/12/2018		3,280,000		3,289,555
Allergan Funding SCS Company Guar. Notes 3.00% due 03/12/2020		1,050,000		1,071,974
Mylan NV Company Guar. Notes 3.00% due 12/15/2018		345,000		348,895

257

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Medical-Generic Drugs (continued)
Mylan NV Company Guar. Notes 3.15% due 06/15/2021	$	1,320,000	$	1,343,131
Mylan NV Company Guar. Notes 3.75% due 12/15/2020		395,000		409,538
Mylan NV Company Guar. Notes 5.25% due 06/15/2046		175,000		189,831
				7,800,859
Metal-Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023*		200,000		206,000
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025*		91,000		98,509
				304,509
Metal-Diversified — 0.0%
Rio Tinto Finance USA, Ltd. Company Guar. Notes 3.75% due 06/15/2025		158,000		166,595
Metal-Iron — 0.2%
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026		1,340,000		1,520,498
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039		240,000		275,088
				1,795,586
Oil Companies-Exploration & Production — 0.2%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		280,000		283,069
Canadian Natural Resources, Ltd. Senior Notes 6.25% due 03/15/2038		665,000		798,489
CNOOC Curtis Funding No. 1 Pty, Ltd. Company Guar. Notes 4.50% due 10/03/2023		200,000		215,882
Encana Corp. Senior Notes 3.90% due 11/15/2021		650,000		669,825
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		198,000		172,755
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		123,000		120,079
Nexen Energy ULC Company Guar. Notes 6.20% due 07/30/2019		100,000		106,341
				2,366,440

Security Description	Principal Amount(16)		Value (Note 2)
Oil Companies-Integrated — 0.5%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017	$	25,000	$	24,996
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022		233,000		241,365
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027*		165,000		163,595
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039		130,000		149,654
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		61,000		56,882
Petroleos Mexicanos Company Guar. Notes 6.63% due 06/15/2035		120,000		129,300
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		482,000		512,800
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047*		541,000		575,570
Petronas Capital, Ltd. Company Guar. Notes 5.25% due 08/12/2019		100,000		105,473
Shell International Finance BV Company Guar. Notes 1.25% due 11/10/2017		149,000		148,967
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020		152,000		152,935
Shell International Finance BV Company Guar. Notes 2.25% due 11/10/2020		172,000		173,253
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045		1,140,000		1,222,379
Total Capital International SA Company Guar. Notes 3.75% due 04/10/2024		275,000		290,314
YPF Sociedad Anonima SA Senior Notes 16.50% due 05/09/2022*	ARS	22,904,817		1,243,657
				5,191,140
Oil-Field Services — 0.0%
KCA Deutag UK Finance PLC Senior Sec. Notes 9.88% due 04/01/2022*		200,000		207,500
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025*		25,000		23,375
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024*		50,000		55,000
				285,875

258

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022*	$	100,000	$	103,750
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		60,000		63,000
				166,750
Pipelines — 0.1%
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027		475,000		481,582
Printing-Commercial — 0.0%
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022*		150,000		155,437
Satellite Telecom — 0.0%
Intelsat Jackson Holdings SA Company Guar. Notes 5.50% due 08/01/2023		130,000		110,175
Intelsat Luxembourg SA Company Guar. Notes 8.13% due 06/01/2023		115,000		71,875
Telesat Canada/Telesat LLC Company Guar. Notes 8.88% due 11/15/2024*		113,000		127,266
				309,316
Semiconductor Equipment — 0.0%
Sensata Technologies BV Company Guar. Notes 4.88% due 10/15/2023*		64,000		67,280
Steel-Producers — 0.0%
ArcelorMittal Senior Notes 6.13% due 06/01/2025		120,000		138,000
SupraNational Banks — 0.1%
European Investment Bank Senior Notes 1.63% due 08/14/2020		394,000		392,226
Telephone-Integrated — 0.1%
Deutsche Telekom International Finance BV Company Guar. Notes 2.49% due 09/19/2023*		348,000		340,877
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		205,000		262,974
Telefonica Emisiones SAU Company Guar. Notes 5.21% due 03/08/2047		162,000		178,287
				782,138
Tobacco — 0.2%
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020*		490,000		497,623

Security Description	Principal Amount(16)		Value (Note 2)
Tobacco (continued)
Imperial Brands Finance PLC Company Guar. Notes 2.05% due 07/20/2018*	$	400,000	$	400,159
Imperial Brands Finance PLC Company Guar. Notes 2.95% due 07/21/2020*		1,050,000		1,065,937
Imperial Brands Finance PLC Company Guar. Notes 3.75% due 07/21/2022*		510,000		530,280
				2,493,999
Transport-Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 4.50% due 01/15/2022		425,000		455,029
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037		285,000		356,873
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		112,000		142,477
Kazakhstan Temir Zholy Finance BV Company Guar. Notes 6.95% due 07/10/2042		200,000		223,536
				1,177,915
Wireless Equipment — 0.1%
Nokia OYJ Senior Notes 4.38% due 06/12/2027		505,000		519,519
Total Foreign Corporate Bonds & Notes (cost $53,770,827)				54,535,950
U.S. GOVERNMENT AGENCIES — 20.0%
Federal Home Loan Bank — 0.1%
1.88% due 12/09/2022		1,000,000		990,429
Federal Home Loan Mtg. Corp. — 5.6%
1.25% due 10/02/2019		1,272,000		1,264,714
2.38% due 01/13/2022		1,097,000		1,116,464
2.50% due 01/01/2028		160,479		162,751
2.50% due 04/01/2028		548,596		556,195
2.50% due 03/01/2031		296,020		298,377
2.91% (6 ML+1.53%) due 02/01/2037 FRS		44,034		45,556
3.00% due 08/01/2027		471,546		485,142
3.00% due 10/01/2042		302,503		305,594
3.00% due 11/01/2042		322,863		325,903
3.00% due 02/01/2043		698,262		702,501
3.00% due 04/01/2043		373,046		376,386
3.00% due 08/01/2043		1,398,983		1,410,775
3.00% due 07/01/2045		1,202,655		1,207,987
3.00% due 10/01/2045		622,265		625,120
3.00% due 08/01/2046		739,771		743,226
3.00% due October TBA		19,969,000		20,041,543
3.50% due 01/01/2032		990,616		1,036,425
3.50% due 11/01/2041		328,203		340,173
3.50% due 03/01/2042		154,736		160,389
3.50% due 08/01/2042		286,952		298,007

259

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.50% due 09/01/2043	$	109,053	$	113,260
3.50% due 03/01/2045		956,988		987,793
3.50% due 07/01/2045		2,095,417		2,167,189
3.50% due 08/01/2045		480,476		497,997
3.50% due 10/01/2045		870,802		898,833
3.50% due 11/01/2045		1,099,464		1,134,855
3.50% due 01/01/2046		40,393		41,694
3.62% (12 ML+1.89%) due 11/01/2037 FRS		279,409		294,938
3.75% due 03/27/2019		796,000		822,334
4.00% due 09/01/2040		256,372		270,963
4.00% due 07/01/2044		441,654		465,219
4.00% due 10/01/2045		442,855		466,434
4.00% due 11/01/2045		868,337		914,570
4.00% due October TBA		6,800,000		7,159,656
4.50% due 04/01/2044		95,255		102,115
4.50% due 09/01/2044		989,239		1,060,433
4.50% due 03/01/2046		464,554		497,918
4.50% due October TBA		2,600,000		2,787,572
5.00% due 11/01/2043		472,900		518,665
5.00% due October TBA		2,000,000		2,173,351
5.50% due 01/01/2036		180,013		201,687
6.00% due 03/01/2040		14,258		16,185
6.25% due 07/15/2032		206,000		289,640
6.75% due 03/15/2031		100,000		143,761
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.07% due 10/25/2047*(4)(15)		730,000		736,707
Series 2017-K67, Class B 3.94% due 09/25/2049*(4)(15)		310,000		311,752
Series 2017-K725, Class B 4.01% due 02/25/2024*(4)(15)		395,000		400,899
Series 2017-K726, Class B 4.11% due 07/25/2049*(4)(15)		725,000		733,994
Series 2017-K64, Class B 4.12% due 03/25/2027*(4)(15)		290,000		291,835
Series 2017-K66, Class B 4.17% due 07/25/2027*(4)(15)		563,000		559,969
Series 2012-K19, Class B 4.17% due 05/25/2045*(4)(15)		20,037		20,954
Series 2017-K65, Class B 4.21% due 05/25/2027*(4)(15)		640,000		658,631
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.75% due 03/25/2027(4)(5)(15)		5,184,077		254,161
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2017-HQA1, Class M1 2.44% (1 ML+1.20%) due 08/25/2029(1)		477,844		481,761
Series 2015-DNA1, Class M2 3.09% (1 ML+1.85%) due 10/25/2027(1)		114,000		116,461

Security Description	Principal Amount(16)		Value (Note 2)
Federal Home Loan Mtg. Corp. (continued)
Series 2014-DN1, Class M2 3.44% (1 ML+2.20%) due 02/25/2024(1)	$	304,071	$	313,836
Series 2014-HQ2, Class M2 3.44% (1 ML+2.20%) due 09/25/2024(1)		500,000		516,351
Series 2014-HQ3, Class M2 3.89% (1 ML+2.65%) due 10/25/2024(1)		8,433		8,463
Series 2016-HQA1, Class M2 3.99% (1 ML+2.75%) due 09/25/2028(1)		339,000		350,213
Federal Home Loan Mtg. Corp., Structured Pass Through VRS Series K701, Class X1 0.20% due 11/25/2017(4)(5)(15)		963,072		7
Series K013, Class X1 0.71% due 01/25/2021(4)(5)(15)		2,064,416		33,346
				61,319,630
Federal National Mtg. Assoc. — 11.4%
zero coupon due 10/09/2019		7,452,000		7,183,451
0.88% due 10/26/2017		1,700,000		1,699,808
0.88% due 05/21/2018		5,955,000		5,939,779
1.88% due 09/24/2026		837,000		794,532
2.50% due 09/01/2027		79,081		80,146
2.50% due 04/01/2028		353,087		357,618
2.50% due 01/01/2032		1,216,029		1,225,261
2.50% due October TBA		2,600,000		2,516,719
2.63% due 09/06/2024		2,025,000		2,071,551
2.64% due 03/01/2027		295,658		292,721
2.78% due 03/01/2027		593,000		592,763
2.97% due 06/01/2027		1,085,397		1,099,037
2.97% due 06/01/2030		1,235,000		1,234,183
3.00% due 04/01/2027		40,175		41,396
3.00% due 10/01/2027		478,578		493,116
3.00% due 11/01/2027		167,044		172,110
3.00% due 10/01/2030		474,628		488,704
3.00% due 07/01/2032		678,444		697,542
3.00% due 10/01/2032		1,200,000		1,233,779
3.00% due 03/01/2042		582,974		588,107
3.00% due 12/01/2042		168,606		170,090
3.00% due 05/01/2043		414,442		418,089
3.00% due 02/01/2045		343,995		345,759
3.00% due 06/01/2045		428,121		431,292
3.00% due 09/01/2046		367,589		369,056
3.00% due October TBA		9,900,000		10,172,250
3.01% (6 ML+1.54%) due 09/01/2035 FRS		230,199		238,275
3.13% due 02/01/2027		402,000		411,471
3.15% (1 Yr USTYCR+2.19%) due 10/01/2035FRS		317,498		334,954
3.18% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS		112,294		118,466
3.27% (12 ML+1.57%) due 05/01/2037 FRS		63,529		66,437
3.34% (12 ML+1.77%) due 05/01/2040 FRS		277,819		291,437

260

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
3.38% (12 ML+1.66%) due 07/01/2039 FRS	$	195,658	$	206,106
3.38% (12 ML+1.83%) due 10/01/2040 FRS		134,630		141,214
3.50% due 08/01/2026		184,923		192,612
3.50% due 09/01/2026		221,277		231,002
3.50% due 08/01/2027		35,150		36,613
3.50% due 10/01/2028		77,490		81,187
3.50% due 03/01/2042		352,542		365,119
3.50% due 08/01/2042		768,187		793,345
3.50% due 07/01/2045		301,090		310,619
3.50% due 08/01/2045		699,148		723,413
3.50% due 09/01/2045		658,465		679,306
3.50% due 10/01/2045		522,042		541,092
3.50% due 11/01/2045		663,063		684,050
3.50% due 12/01/2045		900,113		928,602
3.50% due 02/01/2046		394,532		407,019
3.50% due 03/01/2046		606,044		625,225
3.50% due 07/01/2046		1,000,905		1,036,846
3.50% due October TBA		31,632,000		32,611,816
3.56% (12 ML+1.82%) due 10/01/2040 FRS		68,324		71,439
3.65% (12 ML+1.91%) due 08/01/2035 FRS		160,664		170,871
4.00% due 10/01/2040		173,974		184,005
4.00% due 11/01/2040		308,740		326,613
4.00% due 10/01/2041		269,882		285,391
4.00% due 11/01/2041		260,259		275,201
4.00% due 01/01/2043		943,049		1,004,772
4.00% due 10/01/2044		536,012		564,972
4.00% due 02/01/2045		1,019,671		1,083,303
4.00% due 02/01/2046		74,126		78,067
4.00% due 01/01/2047		1,128,614		1,188,988
4.00% due 05/01/2047		234,516		247,036
4.00% due October TBA		11,561,000		12,172,468
4.50% due 10/01/2024		68,136		70,099
4.50% due 06/01/2039		175,376		189,962
4.50% due 05/01/2041		110,242		119,264
4.50% due 03/01/2042		337,827		364,593
4.50% due 08/01/2045		1,124,741		1,234,580
4.50% due 04/01/2047		937,714		1,006,947
4.50% due October TBA		10,806,000		11,599,566
5.00% due 05/01/2040		276,810		302,577
5.00% due 06/01/2040		28,163		30,767
5.00% due 07/01/2040		595,797		650,834
5.00% due 02/01/2045		720,383		800,901
5.50% due 12/01/2029		44,372		49,050
5.50% due 08/01/2037		165,331		184,613
5.50% due 06/01/2038		97,089		108,332
5.50% due October TBA		1,900,000		2,102,330
6.00% due 11/01/2038		11,638		13,219
6.00% due 06/01/2040		94,059		106,842
6.50% due 10/01/2037		1,315		1,460
6.63% due 11/15/2030		871,000		1,232,804
7.25% due 05/15/2030		2,260,000		3,334,526

Security Description	Principal Amount(16)		Value (Note 2)
Federal National Mtg. Assoc. (continued)
Fannie Mae Connecticut Avenue Securities FRS Series 2013-C01, Class M1 3.24% (1 ML+2.00%) due 10/25/2023(1)	$	26,460	$	26,682
Series 2016-C07, Class 2M2 5.59% (1 ML+4.35%) due 05/25/2029(1)		940,000		1,021,980
Series 2014-C04, Class 1M2 6.14% (1 ML+4.90%) due 11/25/2024(1)		382,168		432,875
				125,403,014
Government National Mtg. Assoc. — 2.8%
3.00% due 02/20/2045		355,911		361,287
3.00% due 05/20/2045		286,355		290,671
3.00% due 07/20/2045		62,835		63,782
3.00% due October TBA		7,000,000		7,097,343
3.50% due 03/20/2045		250,137		260,439
3.50% due 04/20/2045		387,180		403,126
3.50% due 07/20/2045		116,740		121,548
3.50% due October TBA		14,300,000		14,865,769
4.00% due 03/15/2039		120,874		127,532
4.00% due 04/15/2039		10,706		11,295
4.00% due 05/15/2039		40,466		42,694
4.00% due 08/15/2039		11,788		12,437
4.00% due 10/15/2039		48,276		50,933
4.00% due 03/15/2040		35,338		37,283
4.00% due 09/15/2040		30,718		32,473
4.00% due 10/15/2040		25,992		27,539
4.00% due 12/15/2040		18,476		19,561
4.00% due 01/15/2041		11,790		12,441
4.00% due 02/15/2041		9,041		9,555
4.00% due 06/15/2041		139,765		148,844
4.00% due 07/15/2041		36,290		38,380
4.00% due 08/15/2041		380,048		402,063
4.00% due 09/15/2041		74,756		79,203
4.00% due 10/15/2041		160,252		169,644
4.00% due 11/15/2041		165,387		174,876
4.00% due 12/15/2041		207,012		218,867
4.00% due 01/15/2042		33,275		35,204
4.00% due 02/15/2042		14,272		15,089
4.00% due 03/15/2042		102,463		108,561
4.00% due 04/15/2042		4,360		4,600
4.00% due 03/20/2044		168,341		178,653
4.00% due 07/20/2045		485,549		514,072
4.00% due 10/20/2045		84,667		89,640
4.50% due 04/15/2018		1,556		1,579
4.50% due 05/15/2018		11,806		11,909
4.50% due 08/15/2018		752		761
4.50% due 09/15/2018		11,657		11,786
4.50% due 10/15/2018		53,701		54,384
4.50% due 09/15/2033		67,956		73,339
4.50% due 03/15/2039		101,634		108,814
4.50% due 05/15/2039		56,512		60,666
4.50% due 07/15/2039		37,162		39,919
4.50% due 10/15/2039		136,662		146,735

261

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT AGENCIES (continued)
Government National Mtg. Assoc. (continued)
4.50% due 11/15/2039	$	1,501	$	1,607
4.50% due 01/15/2040		38,788		41,551
4.50% due 02/15/2040		75,096		80,844
4.50% due 03/15/2040		32,018		34,277
4.50% due 04/15/2040		2,012		2,160
4.50% due 05/15/2040		9,398		10,115
4.50% due 07/15/2040		37,856		41,214
4.50% due 04/15/2041		10,643		11,392
4.50% due 05/15/2041		127,665		136,799
4.50% due 06/15/2041		22,797		24,810
4.50% due 07/15/2041		121,756		131,231
4.50% due 08/15/2041		74,705		80,811
4.50% due October TBA		22,000		23,451
5.00% due 06/15/2033		3,010		3,314
5.00% due 08/15/2033		20,726		22,934
5.00% due 09/15/2033		42,391		46,670
5.00% due 10/15/2033		21,558		23,720
5.00% due 11/15/2033		4,931		5,509
5.00% due 06/15/2034		88,018		96,896
5.00% due 05/15/2035		2,832		3,092
5.00% due 09/15/2035		2,625		2,876
5.00% due 11/15/2035		92,526		101,033
5.00% due 02/15/2036		25,905		28,296
5.00% due 02/20/2036		123,494		134,936
5.00% due 03/15/2036		25,574		27,922
5.00% due 05/15/2036		84,144		92,556
5.00% due 06/15/2036		42,428		46,341
5.00% due 08/15/2038		284,691		311,763
5.50% due 02/15/2032		1,705		1,899
5.50% due 03/15/2032		5,185		5,843
5.50% due 12/15/2032		6,370		7,184
5.50% due 01/15/2033		2,570		2,897
5.50% due 02/15/2033		15,692		17,710
5.50% due 03/15/2033		60,619		68,026
5.50% due 04/15/2033		55,330		62,326
5.50% due 05/15/2033		190		191
5.50% due 06/15/2033		60,361		67,711
5.50% due 07/15/2033		248,703		278,708
5.50% due 08/15/2033		51,453		57,508
5.50% due 09/15/2033		10,350		11,743
5.50% due 11/15/2033		35,911		40,009
5.50% due 12/15/2033		2,008		2,237
5.50% due 01/15/2034		87,197		98,004
5.50% due 02/15/2034		52,775		58,797
6.00% due 04/15/2028		107,689		122,527
6.00% due 01/15/2029		19,803		22,321
6.00% due 03/15/2029		22,021		24,821
6.00% due 11/15/2031		3,663		4,129
6.00% due 12/15/2031		3,685		4,153
6.00% due 04/15/2032		13,767		15,547
6.00% due 09/15/2032		12,286		13,974
6.00% due 10/15/2032		73,356		83,550
6.00% due 11/15/2032		20,284		23,070
6.00% due 01/15/2033		3,005		3,418
6.00% due 02/15/2033		30,274		34,479
6.00% due 03/15/2033		11,037		12,559

Security Description	Principal Amount(16)		Value (Note 2)
Government National Mtg. Assoc. (continued)
6.00% due 09/15/2033	$	15,336	$	17,286
6.00% due 01/15/2034		169,036		190,529
6.00% due 03/15/2034		15,761		17,765
6.00% due 05/15/2034		2,578		2,906
6.00% due 07/15/2034		7,333		8,266
6.00% due 08/15/2034		94,069		106,305
6.00% due 09/15/2034		8,110		9,174
6.00% due 11/15/2034		70,840		79,848
6.00% due 03/15/2035		44,397		50,041
6.00% due 08/15/2035		59,851		67,461
6.00% due 01/15/2036		28,502		32,357
6.00% due 02/15/2036		37,686		42,478
6.00% due 04/15/2036		65,602		73,942
6.00% due 05/15/2036		32,052		36,223
6.00% due 06/15/2036		59,444		67,407
6.00% due 07/15/2036		4,158		4,687
6.00% due 08/15/2036		68,682		78,520
6.00% due 09/15/2036		12,934		14,579
6.00% due 10/15/2036		160,409		180,983
6.00% due 11/15/2036		43,357		48,977
6.00% due 12/15/2036		12,263		13,889
6.50% due 09/15/2028		4,170		4,603
6.50% due 09/15/2031		7,601		8,388
6.50% due 10/15/2031		4,831		5,332
6.50% due 11/15/2031		1,225		1,352
6.50% due 12/15/2031		6,219		6,863
7.50% due 09/15/2030		19,121		19,580
				30,438,498
Tennessee Valley Authority — 0.1%
1.75% due 10/15/2018		105,000		105,352
4.25% due 09/15/2065		577,000		656,785
				762,137
Total U.S. Government Agencies (cost $218,664,039)				218,913,708
U.S. GOVERNMENT TREASURIES — 36.2%
United States Treasury Bonds — 7.1%
2.25% due 08/15/2046		2,722,000		2,393,340
2.50% due 02/15/2045		6,324,000		5,898,118
2.50% due 02/15/2046		1,638,000		1,523,276
2.50% due 05/15/2046		3,258,000		3,027,395
2.75% due 08/15/2042		2,787,000		2,753,251
2.75% due 11/15/2042		1,787,000		1,763,825
2.75% due 08/15/2047		568,000		555,664
2.88% due 05/15/2043		4,713,000		4,750,557
2.88% due 08/15/2045		2,826,000		2,838,143
3.00% due 11/15/2044		2,061,000		2,123,233
3.00% due 05/15/2045		787,000		810,364
3.00% due 11/15/2045		5,697,000		5,860,121
3.00% due 02/15/2047		293,000		301,389
3.00% due 05/15/2047		1,048,000		1,078,376
3.13% due 11/15/2041		1,061,000		1,122,546
3.13% due 02/15/2042		547,000		578,452
3.13% due 02/15/2043		1,770,000		1,867,696
3.13% due 08/15/2044		1,632,000		1,721,696
3.38% due 05/15/2044		869,000		957,835

262

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Bonds (continued)
3.63% due 08/15/2043	$	3,158,000	$	3,624,052
3.63% due 02/15/2044		2,405,000		2,763,401
3.88% due 08/15/2040		1,577,000		1,875,152
4.25% due 11/15/2040		1,100,000		1,380,242
4.38% due 11/15/2039		1,082,000		1,376,760
4.38% due 05/15/2040		953,000		1,214,889
4.50% due 02/15/2036		1,034,000		1,330,023
4.63% due 02/15/2040		1,159,000		1,525,398
4.75% due 02/15/2041		1,123,000		1,508,636
5.25% due 11/15/2028		1,045,000		1,340,906
5.25% due 02/15/2029		1,966,000		2,532,070
5.38% due 02/15/2031		1,289,000		1,727,461
6.13% due 11/15/2027		544,000		731,871
6.25% due 08/15/2023		1,613,000		1,989,031
6.38% due 08/15/2027		1,217,000		1,655,976
6.75% due 08/15/2026		377,000		513,648
7.88% due 02/15/2021		1,267,000		1,522,825
8.75% due 05/15/2020		1,035,000		1,226,879
8.75% due 08/15/2020		1,389,000		1,666,963
9.00% due 11/15/2018		3,727,000		4,043,941
				77,475,401
United States Treasury Notes — 29.1%
0.13% due 04/15/2018 TIPS(10)		533,721		533,929
0.13% due 07/15/2024 TIPS(10)		979,393		969,535
0.25% due 01/15/2025 TIPS(9)(10)		14,037,133		13,897,888
0.88% due 07/31/2019		9,173,000		9,077,328
1.00% due 06/30/2019		10,922,000		10,838,805
1.00% due 11/30/2019		7,446,000		7,367,468
1.13% due 05/31/2019		5,211,000		5,184,538
1.13% due 12/31/2019		4,241,000		4,204,720
1.13% due 04/30/2020		2,743,000		2,712,677
1.13% due 02/28/2021		2,872,000		2,815,906
1.13% due 07/31/2021		2,703,000		2,637,220
1.25% due 11/30/2018		393,000		392,355
1.25% due 01/31/2019		18,191,000		18,151,918
1.25% due 01/31/2020		3,306,000		3,284,304
1.25% due 02/29/2020		7,378,000		7,326,700
1.38% due 09/30/2018		420,000		419,984
1.38% due 12/31/2018		3,941,000		3,939,615
1.38% due 02/28/2019		6,215,000		6,210,873
1.38% due 02/29/2020		6,085,000		6,059,804
1.38% due 05/31/2020		4,553,000		4,528,634
1.38% due 08/31/2020		1,910,000		1,896,869
1.38% due 10/31/2020		1,229,000		1,218,822
1.50% due 07/15/2020		3,447,000		3,437,575
1.50% due 01/31/2022		12,752,000		12,561,218
1.50% due 02/28/2023		4,797,000		4,674,452
1.63% due 08/15/2022		1,664,000		1,642,810
1.63% due 11/15/2022		5,057,000		4,978,379
1.63% due 02/15/2026		3,744,000		3,559,725
1.63% due 05/15/2026		2,455,000		2,328,606
1.75% due 10/31/2020		3,843,000		3,854,559

Security Description	Principal Amount(16)		Value (Note 2)
United States Treasury Notes (continued)
1.75% due 12/31/2020	$	69,000	$	69,129
1.75% due 05/15/2022		4,641,000		4,616,345
1.75% due 09/30/2022		821,000		813,431
1.75% due 05/15/2023		18,344,000		18,076,722
1.88% due 02/28/2022		2,423,000		2,423,757
1.88% due 10/31/2022		967,000		963,525
1.88% due 08/31/2024		3,421,000		3,360,063
2.00% due 05/31/2021		3,075,000		3,102,387
2.00% due 11/15/2021		4,434,000		4,468,294
2.00% due 02/15/2023		15,709,000		15,717,591
2.00% due 02/15/2025		27,352,000		26,978,047
2.00% due 08/15/2025		7,530,000		7,401,166
2.00% due 11/15/2026		2,321,000		2,261,796
2.13% due 06/30/2021		6,094,000		6,173,508
2.13% due 08/15/2021		6,481,000		6,563,785
2.13% due 02/29/2024		4,967,000		4,971,075
2.13% due 03/31/2024		4,502,000		4,503,231
2.13% due 07/31/2024		9,130,000		9,116,804
2.13% due 09/30/2024		1,983,000		1,977,733
2.13% due 05/15/2025		3,749,000		3,724,690
2.25% due 11/15/2024		3,725,000		3,743,334
2.25% due 11/15/2025		5,147,000		5,146,799
2.25% due 02/15/2027		2,125,000		2,112,134
2.38% due 08/15/2024		5,657,000		5,736,773
2.50% due 08/15/2023		6,555,000		6,723,996
2.50% due 05/15/2024		315,000		322,186
2.63% due 08/15/2020		922,000		948,183
2.63% due 11/15/2020		2,646,000		2,723,830
2.75% due 02/15/2019		1,649,000		1,678,695
3.13% due 05/15/2019		2,092,000		2,148,549
3.38% due 11/15/2019		759,000		788,648
3.50% due 05/15/2020		671,000		704,340
3.63% due 02/15/2020		3,814,000		3,999,039
3.63% due 02/15/2021		3,869,000		4,114,137
				318,880,938
Total U.S. Government Treasuries (cost $392,306,996)				396,356,339
MUNICIPAL BONDS & NOTES — 0.6%
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040		90,000		117,485
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040		690,000		901,678
City of Chicago, IL General Obligation Bonds 7.05% due 01/01/2029		620,000		685,540
City of Chicago IL Series B 7.38% due 01/01/2033		535,000		614,164
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057		115,000		145,330

263

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
MUNICIPAL BONDS & NOTES (continued)
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038	$	2,400,000	$	924,000
State of California General Obligation Bonds 7.60% due 11/01/2040		655,000		1,024,911
State of Illinois General Obligations Bonds 5.16% due 02/01/2018		100,000		100,933
State of Illinois 5.38% due 07/01/2018		485,000		495,374
State of Illinois General Obligation Bonds 5.67% due 03/01/2018		1,535,000		1,556,536
State of Illinois General Obligation Bonds 5.88% due 03/01/2019		340,000		355,457
Total Municipal Bonds & Notes (cost $6,922,134)				6,921,408
LOANS(7)(8)(12) — 1.6%
Advertising Services — 0.0%
Advantage Sales & Marketing, Inc. FRS 1st Lien 4.49% (1 ML+3.25%) due 07/23/2021		141,472		133,382
Aerospace/Defense-Equipment — 0.0%
TransDigm, Inc. FRS BTL-E 4.27% (1 ML +3.00%) due 05/14/2022		210,031		210,452
Applications Software — 0.0%
SS&C European Holdings SARL FRS BTL-B2 3.49% (1 ML +2.25%) due 07/08/2022		6,183		6,208
SS&C Technologies, Inc. FRS BTL-B1 3.49% (1 ML +2.25%) due 07/08/2022		120,387		120,895
				127,103
Broadcast Services/Program — 0.0%
Univision Communications, Inc. FRS BTL 3.99% (1 ML +2.75%) due 03/15/2024		164,736		163,164
Building & Construction Products-Misc. — 0.0%
Summit Materials Co. I LLC FRS BTL-B 3.99% (1 ML +2.75%) due 07/18/2022		97,750		98,442

Security Description	Principal Amount(16)		Value (Note 2)
Building Products-Cement — 0.0%
Quikrete Holdings, Inc. FRS BTL-B 3.99% (1 ML +2.75%) due 11/15/2023	$	129,025	$	128,796
Cable/Satellite TV — 0.0%
CSC Holdings LLC FRS BTL-B 3.48% (1 ML+2.25%) due 07/17/2025		150,560		149,457
Unitymedia Finance LLC FRS BTL-B 3.49% (1 ML +2.25%) due 09/30/2025		145,000		144,615
				294,072
Casino Hotels — 0.1%
Boyd Gaming Corp. FRS BTL-B 3.70% (1 WL +2.50%) due 09/15/2023		126,780		127,026
Caesars Entertainment Corp. FRS BTL Coupon TBD due 04/04/2024		160,000		160,057
Caesars Entertainment Operating Co., Inc. FRS BTL-B6 11.75% (3 ML+7.25%) due 10/01/2017†(19)		94,978		114,568
Eldorado Resorts, Inc. FRS BTL-B 3.50% (3 ML+2.25%) due 04/17/2024		152,009		151,755
				553,406
Cellular Telecom — 0.1%
LTS Buyer LLC FRS 1st Lien 4.49% (1 ML +3.25%) due 04/13/2020		163,665		163,812
Sprint Communications, Inc. FRS BTL-B 3.75% (1 ML +2.50%) due 02/02/2024		323,375		323,779
				487,591
Chemicals-Diversified — 0.0%
Avantor, Inc. FRS 1st Lien Coupon TBD due 09/20/2024		100,000		100,161
Chemicals-Specialty — 0.1%
Chemours Co. FRS BTL-B1 3.74% (1 ML +2.50%) due 05/12/2022		139,316		140,013

264

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Chemicals-Specialty (continued)
MacDermid, Inc. FRS BTL-B6 4.24% (1 ML +3.00%) due 06/07/2023	$	199,000	$	199,684
Minerals Technologies, Inc. FRS BTL-B 3.52% (1 ML +2.25%) due 02/14/2024		65,808		66,013
				405,710
Coal — 0.0%
Foresight Energy LLC FRS 1st Lien 7.08% (3 ML+5.75%) due 03/28/2022		203,975		191,125
Commercial Services — 0.1%
AVSC Holding Corp. FRS BTL 4.79% (3 ML+3.50%) due 04/29/2024		194,513		194,148
Brand Energy & Infrastructure Services, Inc. FRS 1st Lien 5.52% (3 ML +4.25%) due 06/21/2024		299,250		300,440
Brickman Group, Ltd. FRS BTL-B 4.23% (1 ML+3.00%) due 12/18/2020		334,183		335,279
Camelot Finance LP FRS BTL 4.74% (1 ML +3.50%) due 10/03/2023		99,002		99,312
				929,179
Commercial Services-Finance — 0.0%
WEX, Inc. FRS BTL-B2 3.99% (1 ML +2.75%) due 06/30/2023		296,250		298,657
Computer Services — 0.1%
Tempo Acquisition LLC FRS BTL-B 4.24% (1 ML +3.00%) due 05/01/2024		219,450		219,495
Xerox Business Services LLC FRS BTL-B 5.24% (1 ML+4.00%) due 12/07/2023		129,025		129,429
				348,924
Computers — 0.0%
Dell International LLC FRS BTL 3.74% (1 ML+2.50%) due 09/07/2023		138,952		139,304

Security Description	Principal Amount(16)		Value (Note 2)
Containers-Paper/Plastic — 0.1%
Berry Plastics Corp. FRS BTL-L 3.49% (1 ML +2.25%) due 01/06/2021	$	427,179	$	428,015
Flex Acquisition Co, Inc. FRS BTL 4.34% (3 ML +3.00%) due 12/29/2023		99,750		99,700
Reynolds Group Holdings, Inc. FRS BTL-B 3.99% (1 ML +2.75%) due 02/05/2023		246,758		247,727
				775,442
Cosmetics & Toiletries — 0.0%
Galleria Co. FRS BTL-B 4.25% (1 ML +3.00%) due 09/29/2023		110,000		109,725
Data Processing/Management — 0.1%
First Data Corp. FRS BTL 3.49% (1 ML +2.25%) due 07/08/2022		590,944		591,461
Diagnostic Kits — 0.0%
Alere, Inc. FRS BTL-B 4.49% (1 ML+3.25%) due 06/20/2022		246,222		245,991
Dialysis Centers — 0.0%
U.S. Renal Care, Inc. FRS BTL 5.58% (3 ML +4.25%) due 12/30/2022		235,800		228,235
Direct Marketing — 0.0%
Acosta, Inc. FRS BTL 4.49% (1 ML +3.25%) due 09/26/2021		126,102		111,584
Distribution/Wholesale — 0.1%
Beacon Roofing Supply, Inc. FRS BTL 3.99% (1 ML +2.75%) due 10/01/2022		162,113		162,551
Univar USA, Inc. FRS BTL-B2 3.99% (1 ML +2.75%) due 07/01/2022		161,715		162,120
				324,671
Diversified Minerals — 0.0%
American Rock Salt Co. LLC FRS BTL 4.99% (1 ML +3.75%) due 05/20/2021		119,306		118,958

265

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Diversified Minerals (continued)
American Rock Salt Co. LLC FRS 1st Lien 4.99% (1 ML+3.75%) due 05/20/2021	$	170,513	$	169,874
				288,832
Electric-Generation — 0.0%
Helix Gen Funding LLC FRS BTL-B 5.08% (3 ML +3.75%) due 06/03/2024		109,246		110,354
Electric-Integrated — 0.0%
Pike Corp. FRS BTL 4.74% (1 ML +3.50%) due 09/20/2024		104,738		105,497
Electronic Measurement Instruments — 0.0%
Techem Gmbh FRS BTL-B Coupon TBD due 07/26/2024	EUR	160,000		190,155
Enterprise Software/Service — 0.1%
Ma FinanceCo. LLC FRS BTL-B3 3.99% (1 ML+2.75%) due 06/21/2024		14,833		14,825
Misys Europe SA FRS 1st Lien 4.82% (3 ML+3.50%) due 06/13/2024		240,000		240,913
Seattle SpinCo, Inc. FRS BTL-B3 3.99% (1 ML+2.75%) due 06/21/2024		100,168		100,114
				355,852
Extended Service Contracts — 0.0%
Sedgwick Claims Management Services, Inc. FRS 1st Lien 3.99% (1 ML +2.75%) due 03/01/2021		160,808		161,067
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 6.99% (1 ML +5.75%) due 02/28/2022		125,000		125,364
				286,431
Food-Baking — 0.0%
Hostess Brands LLC FRS BTL-B 3.74% (1 ML +2.50%) due 08/03/2022		147,012		147,472

Security Description	Principal Amount(16)		Value (Note 2)
Food-Flour & Grain — 0.0%
Post Holdings, Inc. FRS BTL 3.49% (1 ML +2.25%) due 05/24/2024	$	209,475	$	209,789
Food-Meat Products — 0.0%
JBS USA LLC FRS BTL-B 3.80% (3 ML +2.50%) due 10/30/2022		104,126		102,668
Food-Retail — 0.0%
Albertson's LLC FRS BTL-B4 3.99% (1 ML+2.75%) due 08/25/2021		140,462		134,998
Albertson's LLC FRS BTL-B5 4.33% (3 ML+3.00%) due 12/21/2022		99,004		95,090
				230,088
Gambling (Non-Hotel) — 0.0%
Golden Entertainment, Inc. FRS 1st Lien Coupon TBD due 08/15/2024(3)		210,000		209,212
Scientific Games International, Inc. BTL-B4 4.51% (1 ML+3.25%) due 08/14/2024		115,000		115,090
				324,302
Hotels/Motels — 0.0%
La Quinta Intermediate Holdings LLC FRS BTL-B 4.05% (3 ML +2.75%) due 04/14/2021		114,134		114,705
Human Resources — 0.0%
On Assignment, Inc. FRS BTL 3.24% (1 ML+2.00%) due 06/03/2022		165,600		166,290
Insurance Brokers — 0.1%
HUB International, Ltd. FRS BTL-B 4.31% (3 ML +3.00%) due 10/02/2020		337,750		339,711
USI, Inc. FRS BTL-B 4.31% (3 ML +3.00%) due 05/16/2024		110,000		109,381
				449,092
Insurance-Property/Casualty — 0.0%
Asurion LLC FRS BTL-B5 4.24% (1 ML +3.00%) due 11/03/2023		304,577		305,883

266

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Investment Management/Advisor Services — 0.1%
AlixPartners LLP FRS BTL-B 4.08% (3 ML+3.00%) due 04/04/2024	$	99,500	$	99,678
SAM Finance Luxembourg SARL FRS BTL 4.57% (3 ML +3.25%) due 12/17/2020		437,636		439,903
				539,581
Machinery-General Industrial — 0.1%
Gardner Denver, Inc. FRS BTL-B 4.08% (1 ML+2.75%) due 07/30/2024		170,179		170,245
Rexnord LLC FRS BTL-B 4.06% (3 ML +2.75%) due 08/21/2023		186,413		187,041
				357,286
Medical Labs & Testing Services — 0.1%
INC Research LLC FRS BTL-B 1.00% (1 ML+2.25%) due 08/01/2024		240,000		240,650
Jaguar Holding Co. II FRS BTL 4.04% (1 ML +2.75%) due 08/18/2022		221,218		222,249
				462,899
Medical-Drugs — 0.0%
Endo Luxembourg Finance Co. I SARL FRS BTL-B 5.50% (1 ML+4.25%) due 04/29/2024		184,538		186,191
Medical-HMO — 0.1%
MultiPlan, Inc. FRS BTL-B 4.33% (3 ML +3.00%) due 06/07/2023		374,641		377,035
Opal Acquisition, Inc. FRS 1st Lien 5.33% (3 ML +4.00%) due 11/27/2020		301,194		283,574
				660,609
Medical-Hospitals — 0.0%
CHS/Community Health Systems, Inc. FRS BTL-G 4.07% (3 ML+2.75%) due 12/31/2019		23,598		23,483

Security Description	Principal Amount(16)		Value (Note 2)
Medical-Hospitals (continued)
CHS/Community Health Systems, Inc. FRS BTL-H 4.32% (3 ML+3.00%) due 01/27/2021	$	105,950	$	105,332
Envision Healthcare Corp. FRS BTL-C 4.24% (1 ML +3.00%) due 12/01/2023		128,057		128,751
				257,566
Medical-Outpatient/Home Medical — 0.0%
Air Medical Group Holdings, Inc. FRS BTL-B1 5.24% (1 ML+4.00%) due 04/28/2022		109,723		109,256
Metal Processors & Fabrication — 0.1%
Crosby US Acquisition Corp. FRS 1st Lien 4.31% (3 ML+3.00%) due 11/23/2020		524,563		482,597
Miscellaneous Manufacturing — 0.0%
Gates Global LLC FRS BTL-B 4.58% (3 ML +3.25%) due 04/01/2024		125,329		125,771
Oil & Gas Drilling — 0.0%
Paragon Offshore Finance Co. FRS BTL-B Coupon TBD due 07/18/2022(3)(18)		5,491		4,557
Paragon Offshore, Ltd. Escrow Loans†(3)(11)(17)		899		0
Seadrill Operating LP FRS BTL-B 4.33% (3 ML +4.00%) due 02/21/2021		162,378		118,807
				123,364
Oil Companies-Exploration & Production — 0.0%
American Energy-Marcellus LLC FRS 1st Lien 5.47% (1 ML+4.25%) due 08/04/2020		94,456		69,661
California Resources Corp. FRS BTL 11.61% (1 ML+10.38%) due 12/31/2021		130,000		138,515
Chesapeake Energy Corp Term Loan FRS BTL 8.81% (3 ML +7.50%) due 08/23/2021		105,000		112,777
				320,953

267

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
LOANS(7)(8)(12) (continued)
Oil Companies-Integrated — 0.0%
Power Buyer LLC FRS BTL 4.58% (3 ML +3.25%) due 05/06/2020	$	244,490	$	242,962
Pharmacy Services — 0.0%
Change Healthcare Holdings LLC FRS BTL-B 3.99% (1 ML +2.75%) due 03/01/2024		149,250		149,511
Pipelines — 0.0%
Energy Transfer Equity LP FRS BTL 3.98% (1 ML+2.75%) due 02/02/2024		280,500		281,602
Professional Sports — 0.0%
Delta 2 Luxembourg SARL FRS BTL-B3 4.24% (1 ML+3.00%) due 02/01/2024		175,000		175,437
Real Estate Investment Trusts — 0.0%
MGM Growth Properties Operating Partnership LP FRS BTL-B 3.49% (1 ML +2.25%) due 04/07/2023		290,575		291,301
Real Estate Management/Services — 0.0%
DTZ US Borrower LLC FRS BTL-B 4.57% (3 ML+3.25%) due 11/04/2021		308,338		308,852
Recreational Centers — 0.0%
Town Sports International LLC FRS BTL-B 4.74% (1 ML +3.50%) due 11/15/2020		175,221		164,708
Rental Auto/Equipment — 0.0%
Fly Funding II SARL FRS BTL-B 3.56% (3 ML +2.25%) due 02/09/2023		106,153		106,330
Retail-Auto Parts — 0.0%
Harbor Freight Tools USA, Inc. FRS BTL 4.49% (1 ML +3.25%) due 08/18/2023		98,250		98,482
Retail-Leisure Products — 0.0%
Party City Holdings, Inc. FRS BTL-B 4.32% (3 ML +3.00%) due 08/19/2022		259,164		259,610

Security Description	Principal Amount(16)		Value (Note 2)
Retail-Office Supplies — 0.0%
Staples, Inc. FRS BTL-B 5.31% (3 ML+4.00%) due 09/12/2024	$	130,000	$	129,312
Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL-B 6.24% (1 ML +5.00%) due 12/15/2023		250,000		235,312
Soap & Cleaning Preparation — 0.0%
Diamond (BC) B.V. FRS BTL-B 4.32% (3 ML+3.00%) due 09/06/2024		115,000		114,686
Telecom Services — 0.0%
Telenet Financing USD LLC FRS BTL-AI 3.98% (1 ML +2.75%) due 06/30/2025		140,000		140,350
UPC Financing Partnership FRS BTL-AN 3.98% (1 ML +2.75%) due 04/15/2025		175,000		175,562
				315,912
Telephone-Integrated — 0.1%
Level 3 Financing, Inc. FRS BTL-B 3.49% (1 ML +2.25%) due 02/22/2024		425,000		424,620
Television — 0.0%
ION Media Networks, Inc. FRS BTL-B3 4.24% (1 ML +3.00%) due 12/18/2020		177,551		178,439
Transport-Equipment & Leasing — 0.0%
Avolon TLB Borrower 1 LLC FRS BTL-B2 3.49% (1 ML +2.75%) due 03/21/2022		229,425		229,696
Web Hosting/Design — 0.0%
Go Daddy Operating Co. LLC FRS BTL 3.74% (1 ML +2.50%) due 02/15/2024		174,375		174,702
Total Loans (cost $17,961,500)				17,891,534
FOREIGN GOVERNMENT OBLIGATIONS — 2.8%
Banks-Special Purpose — 0.1%
Brazilian Development Bank Senior Notes 4.75% due 05/09/2024*		246,000		247,538

268

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Banks-Special Purpose (continued)
Brazilian Development Bank Senior Notes 5.50% due 07/12/2020	$	220,000	$	231,275
Brazilian Development Bank Senior Notes 6.50% due 06/10/2019		200,000		211,900
China Development Bank Corp. Senior Notes 2.50% due 10/09/2020		200,000		200,315
				891,028
Central Bank — 0.0%
Central Bank of Tunisia Senior Notes 5.75% due 01/30/2025		200,000		194,545
Sovereign — 2.7%
Dominican Republic Senior Notes 5.88% due 04/18/2024		160,000		173,600
Dominican Republic Senior Notes 7.45% due 04/30/2044		180,000		214,425
Government of Canada Bonds 1.00% due 09/01/2022	CAD	22,639,000		17,488,866
Government of Egypt Senior Notes 8.50% due 01/31/2047		200,000		222,832
Government of Jamaica Senior Notes 8.00% due 03/15/2039		150,000		185,625
Government of Romania Senior Notes 6.13% due 01/22/2044		100,000		127,019
Government of Ukraine Senior Notes 7.38% due 09/25/2032*		200,000		194,750
Kingdom of Bahrain Senior Notes 7.50% due 09/20/2047*		200,000		195,576
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047*		1,480,000		1,488,942
Republic of Argentina Senior Notes 6.88% due 04/22/2021		150,000		163,500
Republic of Argentina Senior Notes 8.28% due 12/31/2033		280,408		325,273
Republic of Azerbaijan Senior Notes 4.75% due 03/18/2024		200,000		205,500
Republic of Chile Senior Notes 3.25% due 09/14/2021		130,000		135,366
Republic of Colombia Senior Notes 7.38% due 09/18/2037		100,000		131,900

Security Description	Principal Amount(16)		Value (Note 2)
Sovereign (continued)
Republic of Colombia Senior Notes 8.13% due 05/21/2024	$	100,000	$	128,000
Republic of Guatemala Senior Notes 4.38% due 06/05/2027*		200,000		198,000
Republic of Honduras Senior Notes 6.25% due 01/19/2027		150,000		161,301
Republic of Hungary Senior Notes 5.38% due 02/21/2023		120,000		135,338
Republic of Indonesia Senior Notes 5.88% due 01/15/2024		200,000		229,272
Republic of Indonesia Senior Notes 6.63% due 02/17/2037		100,000		127,340
Republic of Iraq Senior Notes 6.75% due 03/09/2023*		200,000		198,601
Republic of Ivory Coast Senior Notes 6.13% due 06/15/2033*		200,000		196,434
Republic of Lebanon Senior Notes 5.80% due 04/14/2020		250,000		250,392
Republic of Lebanon Senior Notes 8.25% due 04/12/2021		100,000		107,840
Republic of Panama Senior Notes 4.00% due 09/22/2024		250,000		266,875
Republic of Peru Senior Notes 5.63% due 11/18/2050		110,000		138,875
Republic of Peru Senior Notes 8.75% due 11/21/2033		90,000		141,660
Republic of Poland Senior Notes 3.00% due 03/17/2023		270,000		276,372
Republic of Poland Senior Notes 5.13% due 04/21/2021		100,000		109,625
Republic of Serbia Senior Notes 4.88% due 02/25/2020		200,000		209,036
Republic of South Africa Senior Notes 4.67% due 01/17/2024		230,000		235,290
Republic of South Africa Senior Notes 5.65% due 09/27/2047		220,000		218,662
Republic of South Africa Senior Notes 6.25% due 03/08/2041		120,000		129,630

269

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Sri Lanka Senior Notes 6.83% due 07/18/2026	$	250,000	$	274,542
Republic of the Philippines Senior Notes 4.00% due 01/15/2021		170,000		180,302
Republic of Turkey Senior Notes 6.25% due 09/26/2022		200,000		219,366
Republic of Turkey Senior Notes 8.00% due 02/14/2034		60,000		74,658
Russian Federation Senior Notes 4.88% due 09/16/2023		200,000		217,792
Russian Federation Senior Notes 5.00% due 04/29/2020		200,000		212,000
State of Qatar Senior Notes 5.25% due 01/20/2020*		1,000,000		1,060,344
Sultanate of Oman Senior Notes 5.38% due 03/08/2027*		910,000		934,947
Sultanate of Oman Senior Notes 6.50% due 03/08/2047*		935,000		961,290
United Mexican States Senior Notes 3.50% due 01/21/2021		135,000		141,345
United Mexican States Senior Notes 3.63% due 03/15/2022		230,000		241,040
United Mexican States Senior Notes 4.35% due 01/15/2047		200,000		194,500
United Mexican States Senior Notes 4.75% due 03/08/2044		150,000		154,575
				29,578,418
Total Foreign Government Obligations (cost $30,574,051)				30,663,991
COMMON STOCKS — 0.0%
Insurance-Reinsurance — 0.0%
WMIH Corp.†		1,989		1,889
Oil & Gas Drilling — 0.0%
Paragon Offshore Litigation Trust Class A†(11)(17)		162		146
Paragon Offshore Litigation Trust Class B†(11)(17)		81		1,525
Paragon Offshore, Ltd.†(11)(17)		162		2,714
				4,385

Security Description	Shares/ Principal Amount(16)		Value (Note 2)
Oil Companies-Exploration & Production — 0.0%
TE Holdcorp LLC, Class A†(3)(11)(17)	$	2,426	$	7,279
Television — 0.0%
ION Media Networks, Inc.†(3)(11)		22		16,750
Total Common Stocks (cost $92,607)				30,303
PREFERRED SECURITIES — 0.0%
Electric-Distribution — 0.0%
Entergy Louisiana LLC 4.70%		7,606		189,998
Telecom Services — 0.0%
Qwest Corp. 6.13%		9,010		228,584
Total Preferred Securities (cost $415,371)				418,582
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5%
Banks-Commercial — 0.3%
Banco Bilbao Vizcaya Argentaria SA 7.00% due 02/19/2019(13)	EUR	200,000		246,426
Banco Bilbao Vizcaya Argentaria SA 8.88% due 04/14/2021(13)	EUR	200,000		274,602
Banco Bilbao Vizcaya Argentaria SA 9.00% due 05/09/2018(13)		600,000		621,000
Banco de Sabadell SA 6.50% due 05/18/2022(13)	EUR	400,000		479,886
Bank of Ireland 7.38% due 06/18/2020(13)	EUR	450,000		590,593
Caixa Geral de Depositos SA 10.75% due 03/30/2022(13)	EUR	200,000		263,620
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(13)		825,000		861,094
Rabobank Nederland 11.00% due 06/30/2019*(13)		147,000		166,110
				3,503,331
Banks-Fiduciary — 0.0%
State Street Corp. FRS 2.32% (3 ML+1.00%) due 06/01/2077		300,000		273,690
Banks-Super Regional — 0.1%
SunTrust Banks, Inc. 5.05% due 06/15/2022(13)		292,000		298,570
Wells Fargo Capital X 5.95% due 12/01/2086		84,000		94,500
				393,070
Diversified Banking Institutions — 0.9%
Barclays PLC 7.88% due 03/15/2022(13)		225,000		244,981
Barclays PLC 8.00% due 12/15/2020(13)	EUR	235,000		312,005
BNP Paribas SA 7.63% due 03/30/2021*(13)		470,000		516,412

270

Seasons Series Trust Diversified Fixed Income Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)		Value (Note 2)
PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Diversified Banking Institutions (continued)
Credit Agricole SA 8.13% due 12/23/2025*(13)	$	1,125,000	$	1,331,719
Credit Suisse Group AG 6.25% due 12/18/2024*(13)		1,735,000		1,847,775
HSBC Holdings PLC 6.00% due 05/22/2027(13)		981,000		1,026,028
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(13)		192,000		211,440
Royal Bank of Scotland Group PLC 7.50% due 08/10/2020(13)		270,000		282,758
Royal Bank of Scotland Group PLC 8.63% due 08/15/2021(13)		415,000		460,131
Societe Generale SA 7.38% due 09/13/2021*(13)		800,000		866,000
Societe Generale SA 8.25% due 11/29/2018(13)		740,000		782,476
UBS Group AG 6.88% due 03/22/2021(13)		450,000		483,188
UBS Group AG 7.00% due 02/19/2025(13)		200,000		224,520
UBS Group AG 7.13% due 02/19/2020(13)		600,000		637,663
				9,227,096
Electric-Integrated — 0.0%
Dominion Resources, Inc. 5.75% due 10/01/2054		123,000		132,840
Southern Co. Series B 5.50% due 03/15/2057		136,000		143,844
				276,684
Finance-Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(3)(11)		58,000		6
Finance-Other Services — 0.0%
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043		142,000		147,420
Insurance-Life/Health — 0.0%
Prudential Financial, Inc. 4.50% due 09/15/2047		87,000		88,314
Prudential Financial, Inc. 5.63% due 06/15/2043		167,000		182,030
				270,344
Insurance-Multi-line — 0.0%
MetLife, Inc. 6.40% due 12/15/2066		189,000		217,822
Insurance-Property/Casualty — 0.1%
ACE Capital Trust II 9.70% due 04/01/2030		250,000		376,250

Security Description	Principal Amount(16)		Value (Note 2)
Pipelines — 0.1%
Enbridge, Inc. 5.50% due 07/15/2077		407,000	$	412,087
EnLink Midstream Partners LP 6.00% due 12/15/2022(13)		140,000		140,112
Enterprise Products Operating LLC Company Guar. Notes 4.88% due 08/16/2077		123,000		123,615
Enterprise Products Operating LLC Company Guar. Notes 5.25% due 08/16/2077		108,000		108,945
TransCanada Trust 5.30% due 03/15/2077		112,000		114,660
TransCanada Trust 5.63% due 05/20/2075		83,000		88,022
				987,441
Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. 5.75% due 12/15/2053		284,000		295,360
Total Preferred Securities/Capital Securities (cost $14,558,856)				15,968,514
Total Long-Term Investment Securities (cost $1,166,555,960)				1,181,926,256
SHORT-TERM INVESTMENT SECURITIES — 0.4%
Foreign Government Obligations — 0.4%
Republic of Argentina Bills 2.80% due 11/24/2017		153,134		152,486
Republic of Argentina Bills 2.81% due 11/10/2017		150,847		150,383
Republic of Argentina Bills 2.81% due 01/26/2018		355,692		352,264
Republic of Argentina Bills 3.06% due 06/15/2018		1,702,413		1,667,105
Republic of Argentina Bills 3.13% due 05/24/2018		504,252		493,772
Republic of Argentina Bills 3.17% due 12/15/2017		885,343		880,044
Republic of Argentina Bills 3.30% due 04/27/2018		890,031		873,919
Total Short-Term Investment Securities (cost $4,568,896)				4,569,973

271

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Principal Amount(16)			Value (Note 2)
REPURCHASE AGREEMENTS — 2.7%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $1,498,015 collateralized by $1,555,000 of United States Treasury Notes, bearing interest at 2.00% due 11/15/2026 and having an approximate value of $1,528,786	$	1,498,000		$	1,498,000
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12%, dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $8,229,082 collateralized by $8,410,000 of United States Treasury Notes, bearing interest at 2.25% due 02/15/2027 and having an approximate value of $8,395,442		8,229,000			8,229,000
Bank of America Securities LLC Joint Repurchase Agreement(14)		2,535,000			2,535,000
Barclays Capital, Inc. Joint Repurchase Agreement(14)		3,170,000			3,170,000
BNP Paribas SA Joint Repurchase Agreement(14)		5,395,000			5,395,000
Deutsche Bank AG Joint Repurchase Agreement(14)		2,080,000			2,080,000
RBS Securities, Inc. Joint Repurchase Agreement(14)		6,930,000			6,930,000
Total Repurchase Agreements (cost $29,837,000)					29,837,000
TOTAL INVESTMENTS (cost $1,200,961,856)(20)		111.0	%		1,216,333,229
Liabilities in excess of other assets		(11.0	)		(120,519,691	)
NET ASSETS		100.0	%	$	1,095,813,538

#  See Note 1

*  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, 2017, the aggregate value of these securities was $204,483,097 representing 18.7% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

†  Non-income producing security

(1)  Collateralized Mortgage Obligation

(2)  Collateralized Loan Obligation

(3)  Security classified as Level 3 (see Note 2).

(4)  Commercial Mortgage Backed Security

(5)  Interest Only

(6)  "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2017.

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

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

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

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

(11)  Illiquid security. At September 30, 2017, the aggregate value of these securities was $3,164,934 representing 0.3% of net assets.

(12)  All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.

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

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

(15)  Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

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

(17)  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,

272

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

2017, the Diversified Fixed Income Portfolio held the following restricted securities:

Description	Acquisition Date	Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Loans:
Paragon Offshore, Ltd. Escrow Loans	07/18/2016		899	$	0	$	0	$	0.00		0.00	%
Common Stocks
Paragon Offshore Litigation Trust, Class A	07/11/2014		162		92		146		0.90		0.00
Paragon Offshore Litigation Trust, Class B	07/14/2014		81		1,377		1,525		18.83		0.00
Paragon Offshore, Ltd.	07/11/2014		162		2,106		2,714		16.75		0.00
TE Holdcorp. LLC, Class A	09/18/2014		2,426		89,032		7,279		3.00		0.00
						$	11,664				0.00	%

(18)  Company has filed for bankruptcy protection.

(19)  Security in default of interest and principal at maturity.

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

ARS — Argentine Peso

BTL — Bank Term Loan

CAD — Canadian Dollar

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

EUR — Euro Currency

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.

TBD — Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.

TIPS — Treasury Inflation Protected Securities

FRS — Floating Rate Security

VRS — Variable Rate Security

The rates shown on the FRS and VRS are the current interest rates at September 30, 2017 and unless otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML — 1 Month USD LIBOR

3 ML — 3 Month USD LIBOR

6 ML — 6 Month USD LIBOR

12 ML — 12 Month USD LIBOR

12 MTA — 12 Month USD Treasury Average Index

1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate

5 Yr ES — 5 Year EUR Swap

5 Yr UIRS — 5 Year USD Interest Rate Swap

5 Yr USR — 5 Year USD Swap Rate

COFI — 11th District Cost of Funds.

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	86	Short	Long Gilt Futures	December 2017	$	14,625,731	$	14,275,924	$	349,807
	366	Short	U.S. Treasury 10 Year Notes	December 2017		46,336,172		45,864,375		471,797
	106	Long	U.S. Treasury 10 Year Ultra Bonds	December 2017		14,490,656		14,238,781		(251,875	)
	83	Long	U.S. Treasury 2 Year Notes	December 2017		17,947,422		17,903,359		(44,063	)
	404	Long	U.S. Treasury 5 Year Notes	December 2017		47,801,245		47,470,000		(331,245	)
	89	Long	U.S. Treasury Long Bonds	December 2017		13,820,727		13,600,313		(220,414	)
	14	Short	U.S. Treasury Ultra Bonds	December 2017		2,347,400		2,311,750		35,650
									$	9,657

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract

273

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Goldman Sachs International	EGP	2,931,000	USD	150,849	03/06/2018	$	—	$	(8,454	)
	USD	157,707	EGP	2,931,000	03/06/2018		1,596		—
							1,596		(8,454	)
HSBC Bank USA	CAD	6,909,000	USD	5,567,249	10/31/2017		28,957		—
Morgan Stanley and Co., Inc.	EUR	2,010,000	USD	2,379,149	10/31/2017		—		(13	)
Royal Bank of Canada	CAD	14,866,000	USD	12,037,208	10/31/2017		120,541		—
Net Unrealized Appreciation (Depreciation)						$	151,094	$	(8,467	)

CAD — Canadian Dollar

EGP — Egyptian Pound

EUR — Euro Currency

USD — United States Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	—	$	160,172,031	$	5,292,943	$	165,464,974
U.S. Corporate Bonds & Notes:
Airlines		—		1,234,541		14,474		1,249,015
Finance-Investment Banker/Broker		—		274,491		23		274,514
Gambling (Non-Hotel)		—		211,012		20		211,032
Other Industries		—		273,026,392		—		273,026,392
Foreign Corporate Bonds & Notes		—		54,535,950		—		54,535,950
U.S. Government Agencies		—		218,913,708		—		218,913,708
U.S. Government Treasuries		—		396,356,339		—		396,356,339
Municipal Bond & Notes		—		6,921,408		—		6,921,408
Loans:
Gambling (Non-Hotel)		—		115,090		209,212		324,302
Oil & Gas Drilling		—		118,807		4,557		123,364
Other Industries		—		17,443,868		—		17,443,868
Foreign Government Obligations		—		30,663,991		—		30,663,991
Common Stocks:
Oil Companies-Exploration & Production		—		—		7,279		7,279
Television		—		—		16,750		16,750
Other Industries		1,889		4,385		—		6,274
Preferred Securities		418,582		—		—		418,582
Preferred Securities/Capital Securities:
Finance-Investment Banker/Broker		—		—		6		6
Other Industries		—		15,968,508		—		15,968,508
Short-Term Investment Securities		—		4,569,973		—		4,569,973
Repurchase Agreements		—		29,837,000		—		29,837,000
Total Investments at Value	$	420,471	$	1,210,367,494	$	5,545,264	$	1,216,333,229
Other Financial Instruments:†
Futures Contracts	$	857,254	$	—	$	—	$	857,254
Forward Foreign Currency Contracts		—		151,094		—		151,094
Total Other Financial Instruments	$	857,254	$	151,094	$	—	$	1,008,348

274

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	847,597	$	—	$	—	$	847,597
Forward Foreign Currency Contracts		—		8,467		—		8,467
Total Other Financial Instruments	$	847,597	$	8,467	$	—	$	856,064

*  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

275

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PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Sovereign	40.7	%
United States Treasury Notes	37.3
United States Treasury Bonds	15.7
Repurchase Agreements	0.1
	93.8	%
Credit Quality†##
Aaa	67.0	%
Aa	19.7
A	2.8
Baa	10.5
	100.0	%

*  Calculated as a percentage of net assets

#  See Note 1

†  Source: Moody's

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

276

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Principal Amount(9)		Value (Note 2)
FOREIGN GOVERNMENT OBLIGATIONS(1) — 40.7%
Sovereign — 40.7%
Bundesrepublik Deutschland Bonds 0.10% due 04/15/2023	EUR	24,665,564	$	31,468,763
Government of Australia Senior Notes 1.00% due 11/21/18	AUD	6,122,888		4,836,337
Government of Australia Senior Notes 3.00% due 09/20/2025	AUD	3,416,579		3,099,997
Government of Australia Senior Notes 4.00% due 08/20/2020	AUD	18,785,760		16,207,872
Government of Canada Bonds 4.25% due 12/01/2021	CAD	13,969,707		13,083,774
Government of France Bonds 0.10% due 03/01/2025	EUR	4,872,056		6,180,390
Government of France Bonds 0.25% due 07/25/2024	EUR	14,492,424		18,772,159
Government of France Bonds 1.10% due 07/25/2022	EUR	15,965,279		21,279,138
Government of France Bonds 1.30% due 07/25/2019	EUR	11,222,721		14,030,010
Government of France Bonds 2.10% due 07/25/2023	EUR	6,625,976		9,393,734
Government of Japan Senior Notes 0.10% due 03/10/2027	JPY	2,061,061,028		19,113,239
Government of Japan CPI Linked Senior Bonds 0.10% due 03/10/2025	JPY	465,364,900		4,294,881
Government of New Zealand Senior Notes 2.00% due 09/20/2025	NZD	17,076,441		12,517,882
Government of Spain Senior Notes 0.55% due 11/30/2019*	EUR	8,087,927		9,977,048
Government of Spain Senior Notes 1.80% due 11/30/2024*	EUR	9,194,003		12,439,958
Italy Buoni Poliennali Del Tesoro Bonds 2.10% due 09/15/2021	EUR	5,475,116		7,163,573
Italy Buoni Poliennali Del Tesoro Senior Notes 2.35% due 09/15/2024*	EUR	17,557,679		23,442,638

Security Description	Principal Amount(9)		Value (Note 2)
Sovereign (continued)
Italy Buoni Poliennali Del Tesoro Senior Notes 2.60% due 09/15/2023	EUR	9,930,469	$	13,487,725
United Kingdom Gilt Treasury Notes 0.13% due 03/22/2026	GBP	5,264,380		8,266,894
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022	GBP	8,060,675		13,219,710
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020	GBP	11,940,639		18,172,345
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024	GBP	10,023,096		17,611,083
Total Foreign Government Obligations (cost $295,750,596)				298,059,150
U.S. GOVERNMENT TREASURIES(1) — 53.0%
United States Treasury Bonds — 15.7%
2.38% due 01/15/2025 TIPS		46,617,639		53,257,123
2.50% due 01/15/2029 TIPS		51,116,793		61,705,992
				114,963,115
United States Treasury Notes — 37.3%
0.13% due 04/15/2019 TIPS(2)(3)		15,520,959		15,578,729
0.13% due 04/15/2021 TIPS		74,625,478		74,858,683
0.13% due 01/15/2022 TIPS		470,474		471,948
0.13% due 01/15/2023 TIPS		31,081,720		31,003,355
0.13% due 07/15/2024 TIPS		39,617,993		39,219,212
0.25% due 01/15/2025 TIPS		11,764,444		11,647,744
0.38% due 07/15/2025 TIPS		39,700,335		39,705,202
0.63% due 07/15/2021 TIPS		35,621,150		36,612,060
0.63% due 01/15/2024 TIPS		19,466,422		19,877,622
0.63% due 01/15/2026 TIPS		4,375,344		4,434,508
				273,409,063
Total U.S. Government Treasuries (cost $388,663,226)				388,372,178

277

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Security Description	Shares/ Principal Amount(9)			Value (Note 2)
COMMON STOCKS — 0.0%
Printing-Commercial — 0.0%
Quad/Graphics, Inc.		22		$	497
Television — 0.0%
ION Media Networks, Inc.†(4)(5)(6)		233			177,395
Total Common Stocks (cost $2)					177,892
Total Long-Term Investment Securities (cost $684,413,824)					686,609,220
REPURCHASE AGREEMENTS — 0.1%
Bank of America Securities LLC Joint Repurchase Agreement(7)	$	90,000			90,000
Barclays Capital, Inc. Joint Repurchase Agreement(7)		115,000			115,000
BNP Paribas SA Joint Repurchase Agreement(7)		195,000			195,000
Deutsche Bank AG Joint Repurchase Agreement(7)		75,000			75,000
RBS Securities, Inc. Joint Repurchase Agreement(7)		260,000			260,000
Total Repurchase Agreements (cost $735,000)					735,000
TOTAL INVESTMENTS (cost $685,148,824)(8)		93.8	%		687,344,220
Other assets less liabilities		6.2			45,780,608
NET ASSETS		100.0	%	$	733,124,828

#  See Note 1

*  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, 2017, the aggregate value of these securities was $45,859,644 representing 6.3% 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)  The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

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

(4)  Illiquid security. At September 30, 2017, the aggregate value of this security was $177,395 representing 0.0% of net.

(5)  Security classified as Level 3 (see Note 2).

(6)  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, 2017, 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.	12/21/2016		233	$	2	$	177,395	$	761.35		0.02	%

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

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

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

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro Currency

GBP — Pound Sterling

JPY — Japanese Yen

NZD — New Zealand Dollar

TIPS — Treasury Inflation Protected Securities

Futures Contracts

Number of Contracts		Type	Description	Expiration Month	Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	100	Short	Long Gilt Futures	December 2017	$	17,006,521	$	16,599,912	$	406,609
	87	Short	U.S. Treasury 10Year Notes	December 2017		11,014,147		10,902,187		111,960
	33	Long	U.S. Treasury 10Year Ultra Notes	December 2017		4,484,966		4,432,828		(52,138	)
									$	466,431

*  Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.

278

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PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

Forward Foreign Currency Contracts

Counterparty	Contract to Deliver		In Exchange For		Delivery Date	Unrealized Appreciation		Unrealized Depreciation
Barclays Bank PLC	JPY	660,310,000	USD	5,903,954	10/31/2017	$	28,480	$	—
Citibank N.A.	JPY	4,037,350,000	USD	35,645,552	10/10/2017		—		(245,991	)
Deutsche Bank AG	GBP	43,498,000	USD	58,575,059	10/31/2017		234,648		—
Goldman Sachs International	AUD	31,355,000	USD	24,714,168	10/31/2017		127,222		—
HSBC Bank USA	JPY	660,311,000	USD	5,893,687	10/31/2017		18,205		—
Morgan Stanley and Co., Inc.	EUR	142,704,000	USD	168,912,446	10/31/2017		—		(952	)
	JPY	660,310,000	USD	5,893,825	10/31/2017		18,352		—
							18,352		(952	)
Royal Bank Of Canada	CAD	16,536,000	USD	13,389,430	10/31/2017		134,083		—
	JPY	660,310,000	USD	5,893,415	10/31/2017		17,941		—
							152,024		—
State Street Bank and Trust Co.	NZD	17,679,000	USD	12,843,369	10/31/2017		81,007		—
Net Unrealized Appreciation (Depreciation)						$	659,938	$	(246,943	)

AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar

Centrally Cleared Interest Rate Swap Contracts

			Rates Exchanged			Value
Notional Amount (000's)		Maturity Date	Payments Made by the Portfolio/Frequency	Payments Received by the Portfolio/Frequency		Upfront Payments Made (Received) by the Portfolio			Unrealized Appreciation (Depreciation)
CAD	70,801	12/18/2021	3 Month Canadian Dollar Offered Rate/Semi-annually		2.25%/Semi-annually	$	(56,335	)	$	32,482

CAD — Canadian Dollar

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	—	$	298,059,150	$	—	$	298,059,150
U.S. Government Treasuries		—		388,372,178		—		388,372,178
Common Stocks
Printing-Commercial		497		—		—		497
Television		—		—		177,395		177,395
Repurchase Agreements		—		735,000		—		735,000
Total Investments at Value	$	497	$	687,166,328	$	177,395	$	687,344,220
Other Financial Instruments:†
Futures Contracts	$	518,569	$	—	$	—	$	518,569
Forward Foreign Currency Contracts		—		659,938		—		659,938
Centrally Cleared Interest Rate Swap Contracts		—		32,482		—		32,482
Total Other Financial Instruments	$	518,569	$	692,420	$	—	$	1,210,989

279

Seasons Series Trust Real Return Portfolio#

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
LIABILITIES:
Other Financial Instruments:†
Futures Contracts	$	52,138	$	—	$	—	$	52,138
Forward Foreign Currency Contracts		—		246,943		—		246,943
Total Other Financial Instruments	$	52,138	$	246,943	$	—	$	299,081

*  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 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

280

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Medical-Biomedical/Gene	15.3	%
E-Commerce/Products	7.0
Applications Software	6.2
E-Commerce/Services	6.0
Medical-Drugs	5.7
Retail-Restaurants	5.2
Electronic Components-Semiconductors	3.9
Internet Content-Entertainment	3.7
Entertainment Software	3.5
Finance-Credit Card	3.5
Athletic Footwear	3.2
Finance-Other Services	3.1
Finance-Investment Banker/Broker	3.1
Beverages-Non-alcoholic	3.0
Medical Instruments	2.8
Retail-Perfume & Cosmetics	2.7
Computer Software	2.7
Electronic Forms	2.6
Retail-Discount	2.3
Retail-Gardening Products	2.3
Schools	2.2
Medical-HMO	2.2
Lighting Products & Systems	2.2
Industrial Automated/Robotic	2.2
Oil Companies-Exploration & Production	2.1
	98.7	%

*  Calculated as a percentage of net assets

281

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 98.7%
Applications Software — 6.2%
salesforce.com, Inc.†		42,158	$	3,938,400
ServiceNow, Inc.†		33,560		3,944,307
				7,882,707
Athletic Footwear — 3.2%
NIKE, Inc., Class B		78,927		4,092,365
Beverages-Non-alcoholic — 3.0%
Monster Beverage Corp.†		68,687		3,794,957
Computer Software — 2.7%
Splunk, Inc.†		50,584		3,360,295
E-Commerce/Products — 7.0%
Alibaba Group Holding, Ltd. ADR†		26,562		4,587,523
Amazon.com, Inc.†		4,475		4,302,041
				8,889,564
E-Commerce/Services — 6.0%
MercadoLibre, Inc.		11,801		3,055,633
Priceline Group, Inc.†		2,452		4,489,171
				7,544,804
Electronic Components-Semiconductors — 3.9%
NVIDIA Corp.		27,349		4,889,181
Electronic Forms — 2.6%
Adobe Systems, Inc.†		21,786		3,250,035
Entertainment Software — 3.5%
Activision Blizzard, Inc.		69,130		4,459,576
Finance-Credit Card — 3.5%
Visa, Inc., Class A		41,959		4,415,765
Finance-Investment Banker/Broker — 3.1%
Charles Schwab Corp.		88,733		3,881,181
Finance-Other Services — 3.1%
Intercontinental Exchange, Inc.		56,971		3,913,908
Industrial Automated/Robotic — 2.2%
Cognex Corp.		25,108		2,768,910
Internet Content-Entertainment — 3.7%
Facebook, Inc., Class A†		27,154		4,639,804
Lighting Products & Systems — 2.2%
Acuity Brands, Inc.		16,302		2,792,207
Medical Instruments — 2.8%
Edwards Lifesciences Corp.†		32,349		3,536,069
Medical-Biomedical/Gene — 15.3%
Alexion Pharmaceuticals, Inc.†		33,138		4,648,930
Celgene Corp.†		33,771		4,924,487
Illumina, Inc.†		19,658		3,915,874
Intercept Pharmaceuticals, Inc.†		25,235		1,464,639
Vertex Pharmaceuticals, Inc.†		28,616		4,350,777
				19,304,707
Medical-Drugs — 5.7%
Bristol-Myers Squibb Co.		75,035		4,782,731
Shire PLC ADR		15,815		2,421,909
				7,204,640
Medical-HMO — 2.2%
UnitedHealth Group, Inc.		14,289		2,798,501

Security Description	Shares			Value (Note 2)
Oil Companies-Exploration & Production — 2.1%
Pioneer Natural Resources Co.		17,940		$	2,646,868
Retail-Discount — 2.3%
Costco Wholesale Corp.		18,134			2,979,235
Retail-Gardening Products — 2.3%
Tractor Supply Co.		45,664			2,890,074
Retail-Perfume & Cosmetics — 2.7%
Ulta Beauty, Inc.†		15,243			3,445,833
Retail-Restaurants — 5.2%
Domino's Pizza, Inc.		12,738			2,529,130
Starbucks Corp.		74,635			4,008,646
					6,537,776
Schools — 2.2%
New Oriental Education & Technology Group, Inc. ADR		32,008			2,825,026
TOTAL INVESTMENTS (cost $102,470,330)(1)		98.7	%		124,743,988
Other assets less liabilities		1.3			1,615,875
NET ASSETS		100.0	%	$	126,359,863

†  Non-income producing security

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

ADR — American Depositary Receipt

282

Seasons Series Trust SA Columbia Focused Growth Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	124,743,988	$	—	$	—	$	124,743,988

*  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

283

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Diversified Banking Institutions	14.5	%
Electric-Integrated	6.6
Tobacco	5.5
Transport-Rail	4.4
Telephone-Integrated	4.0
Chemicals-Diversified	4.0
Food-Meat Products	3.8
Insurance-Multi-line	3.5
Semiconductor Components-Integrated Circuits	3.5
Oil Refining & Marketing	3.5
Semiconductor Equipment	3.5
Computer Services	3.5
Insurance-Life/Health	3.3
Instruments-Controls	3.1
Medical-Drugs	2.9
Medical-HMO	2.9
Retail-Building Products	2.8
Pipelines	2.8
Banks-Super Regional	2.7
Electronic Components-Misc.	2.5
Oil Companies-Exploration & Production	2.5
Medical Products	2.5
Oil-Field Services	2.4
Aerospace/Defense-Equipment	2.3
Oil Companies-Integrated	2.2
Telecommunication Equipment	1.8
Pharmacy Services	1.7
Retail-Discount	1.0
Repurchase Agreements	0.4
	100.1	%

*  Calculated as a percentage of net assets

284

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
COMMON STOCKS — 99.7%
Aerospace/Defense-Equipment — 2.3%
United Technologies Corp.		63,000	$	7,313,040
Banks-Super Regional — 2.7%
Wells Fargo & Co.		157,500		8,686,125
Chemicals-Diversified — 4.0%
FMC Corp.		140,500		12,548,055
Computer Services — 3.5%
Teradata Corp.†		323,000		10,914,170
Diversified Banking Institutions — 14.5%
Bank of America Corp.		492,500		12,479,950
Citigroup, Inc.		173,500		12,620,390
JPMorgan Chase & Co.		117,000		11,174,670
Morgan Stanley		196,500		9,465,405
				45,740,415
Electric-Integrated — 6.6%
AES Corp.		701,000		7,725,020
NextEra Energy, Inc.		89,000		13,042,950
				20,767,970
Electronic Components-Misc. — 2.5%
Corning, Inc.		268,500		8,033,520
Food-Meat Products — 3.8%
Tyson Foods, Inc., Class A		169,500		11,941,275
Instruments-Controls — 3.1%
Honeywell International, Inc.		70,000		9,921,800
Insurance-Life/Health — 3.3%
Unum Group		206,000		10,532,780
Insurance-Multi-line — 3.5%
MetLife, Inc.		215,500		11,195,225
Medical Products — 2.5%
Baxter International, Inc.		124,000		7,781,000
Medical-Drugs — 2.9%
Bristol-Myers Squibb Co.		145,500		9,274,170
Medical-HMO — 2.9%
Humana, Inc.		37,000		9,014,310
Oil Companies-Exploration & Production — 2.5%
Anadarko Petroleum Corp.		150,127		7,333,704
Marathon Oil Corp.		49,350		669,186
				8,002,890
Oil Companies-Integrated — 2.2%
Chevron Corp.		59,204		6,956,470
Oil Refining & Marketing — 3.5%
Marathon Petroleum Corp.		103,000		5,776,240
Valero Energy Corp.		70,000		5,385,100
				11,161,340
Oil-Field Services — 2.4%
Halliburton Co.		163,500		7,525,905
Pharmacy Services — 1.7%
Express Scripts Holding Co.†		84,000		5,318,880
Pipelines — 2.8%
Williams Cos., Inc.		290,500		8,717,905
Retail-Building Products — 2.8%
Lowe's Cos., Inc.		109,500		8,753,430

Security Description	Shares/ Principal Amount			Value (Note 2)
Retail-Discount — 1.0%
Costco Wholesale Corp.		19,000		$	3,121,510
Semiconductor Components-Integrated Circuits — 3.5%
QUALCOMM, Inc.		215,500			11,171,520
Semiconductor Equipment — 3.5%
Applied Materials, Inc.		210,500			10,964,945
Telecommunication Equipment — 1.8%
Juniper Networks, Inc.		206,000			5,732,980
Telephone-Integrated — 4.0%
Verizon Communications, Inc.		257,000			12,718,930
Tobacco — 5.5%
Altria Group, Inc.		114,500			7,261,590
Philip Morris International, Inc.		90,000			9,990,900
					17,252,490
Transport-Rail — 4.4%
CSX Corp.		169,600			9,202,496
Union Pacific Corp.		39,500			4,580,815
					13,783,311
Total Long-Term Investment Securities (cost $249,567,477)					314,846,361
REPURCHASE AGREEMENTS — 0.4%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.12% dated 09/29/2017, to be repurchased 10/02/2017 in the amount of $1,276,013 and collateralized by $1,325,000 of United States Treasury Bonds, bearing interest at 2.00% due 11/25/2026 and having an approximate value of $1,302,663 (cost $1,276,000)	$	1,276,000			1,276,000
TOTAL INVESTMENTS (cost $250,843,477)(1)		100.1	%		316,122,361
Liabilities in excess of other assets		(0.1	)		(163,093	)
NET ASSETS		100.0	%	$	315,959,268

†  Non-income producing security

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

285

Seasons Series Trust SA Columbia Focused Value Portfolio

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited) (continued)

The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 2017 (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	$	314,846,361	$	—	$	—	$	314,846,361
Repurchase Agreements		—		1,276,000		—		1,276,000
Total Investments at Value	$	314,846,361	$	1,276,000	$	—	$	316,122,361

*  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

286

Seasons Series Trust Allocation Growth Portfolio@

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	55.6	%
International Equity Investment Companies	22.9
Domestic Fixed Income Investment Companies	21.6
	100.1	%

*   Calculated as a percentage of net assets

@   See Note 1

287

Seasons Series Trust Allocation Growth Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1%
Domestic Equity Investment Companies — 55.6%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		845,263	$	12,638,031
Seasons Series Trust Large Cap Value Portfolio, Class 1		718,667		13,001,067
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		69,681		1,317,691
Seasons Series Trust Mid Cap Value Portfolio, Class 1		66,551		1,247,812
Seasons Series Trust Small Cap Portfolio, Class 1		110,808		1,668,993
SunAmerica Series Trust Blue Chip Growth, Class 1		337,254		4,234,570
SunAmerica Series Trust Equity Opportunities Portfolio, Class 1		173,142		3,980,202
SunAmerica Series Trust Growth Opportunities Portfolio, Class 1		83,689		756,306
SunAmerica Series Trust Growth-Income Portfolio, Class 1		143,018		5,155,464
SunAmerica Series Trust Mid Cap Growth Portfolio, Class 1		87,328		1,608,121
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		71,256		3,185,160
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		334,288		7,195,668
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		96,450		2,137,390
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		60,005		642,436
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		69,798		777,291
Total Domestic Equity Investment Companies (cost $55,747,965)				59,546,202
Domestic Fixed Income Investment Companies — 21.6%
Anchor Series Trust Government & Quality Bond Portfolio, Class 1		102,025		1,557,726
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		982,550		11,749,474
Seasons Series Trust Real Return Portfolio, Class 1†		258,262		2,535,383
SunAmerica Series Trust Corporate Bond Portfolio, Class 1		147,102		2,071,009

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		137,271		$	859,229
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		272,237			2,484,683
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		174,254			1,847,211
Total Domestic Fixed Income Investment Companies (cost $22,795,981)					23,104,715
International Equity Investment Companies — 22.9%
Seasons Series Trust International Equity Portfolio, Class 1		1,146,483			11,054,877
SunAmerica Series Trust Emerging Markets Portfolio, Class 1†		300,189			2,661,774
SunAmerica Series Trust International Diversified Equities Portfolio, Class 1		294,582			3,138,440
SunAmerica Series Trust International Growth and Income Portfolio, Class 1		168,297			1,859,476
SunAmerica Series Trust SA International Index Portfolio, Class 1		509,336			5,794,229
Total International Equity Investment Companies (cost $22,643,472)					24,508,796
TOTAL INVESTMENTS (cost $101,187,418)(2)		100.1	%		107,159,713
Liabilities in excess of other assets		(0.1	)		(58,624	)
NET ASSETS		100.0	%	$	107,101,089

#  The Seasons Series Trust Allocation Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, 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.

@  See Note 1

†  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, 2017 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	107,159,713	$	—	$	—	$	107,159,713

*  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

288

Seasons Series Trust Allocation Moderate Growth Portfolio@

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Domestic Equity Investment Companies	46.5	%
Domestic Fixed Income Investment Companies	35.3
International Equity Investment Companies	18.2
	100.0	%

*  Calculated as a percentage of net assets

@  See Note 1

289

Seasons Series Trust Allocation Moderate Growth Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 46.5%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		3,511,798	$	52,507,000
Seasons Series Trust Large Cap Value Portfolio, Class 1		2,947,249		53,317,316
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		255,258		4,826,998
Seasons Series Trust Mid Cap Value Portfolio, Class 1		250,603		4,698,776
Seasons Series Trust Small Cap Portfolio, Class 1		424,993		6,401,246
SunAmerica Series Trust Blue Chip Growth, Class 1		1,463,250		18,372,619
SunAmerica Series Trust Equity Opportunities Portfolio, Class 1		691,898		15,905,446
SunAmerica Series Trust Growth Opportunities Portfolio, Class 1		363,174		3,282,025
SunAmerica Series Trust Growth-Income Portfolio, Class 1		594,983		21,447,808
SunAmerica Series Trust Mid Cap Growth Portfolio, Class 1		322,495		5,938,627
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		274,050		12,250,089
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		1,349,632		29,051,324
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		422,691		9,367,090
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		250,736		2,684,485
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		287,811		3,205,125
Total Domestic Equity Investment Companies (cost $224,489,125)				243,255,974
Domestic Fixed Income Investment Companies — 35.3%
Anchor Series Trust Government & Quality Bond Portfolio, Class 1		797,747		12,180,101
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		7,873,759		94,155,554
Seasons Series Trust Real Return Portfolio, Class 1†		2,097,823		20,594,545
SunAmerica Series Trust Corporate Bond Portfolio, Class 1		1,203,134		16,938,606

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		1,001,152		$	6,266,585
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		2,239,325			20,438,111
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		1,354,791			14,361,707
Total Domestic Fixed Income Investment Companies (cost $182,569,636)					184,935,209
International Equity Investment Companies — 18.2%
Seasons Series Trust International Equity Portfolio, Class 1		4,392,664			42,355,937
SunAmerica Series Trust Emerging Markets Portfolio, Class 1†		1,070,970			9,496,280
SunAmerica Series Trust International Diversified Equities Portfolio, Class 1		1,210,285			12,894,202
SunAmerica Series Trust International Growth and Income Portfolio, Class 1		599,892			6,628,079
SunAmerica Series Trust SA International Index Portfolio, Class 1		2,087,031			23,742,144
Total International Equity Investment Companies (cost $87,350,982)					95,116,642
TOTAL INVESTMENTS (cost $494,409,743)(2)		100.0	%		523,307,825
Liabilities in excess of other assets		(0.0	)		(200,905	)
NET ASSETS		100.0	%	$	523,106,920

#  The Seasons Series Trust Allocation Moderate Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, 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.

@  See Note 1

†  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, 2017 (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	$	523,307,825	$	—	$	—	$	523,307,825

*  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

290

Seasons Series Trust Allocation Moderate Portfolio@

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	44.3	%
Domestic Equity Investment Companies	41.2
International Equity Investment Companies	14.5
	100.0	%

*   Calculated as a percentage of net assets

@   See Note 1

291

Seasons Series Trust Allocation Moderate Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 41.2%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		1,896,669	$	28,358,237
Seasons Series Trust Large Cap Value Portfolio, Class 1		1,607,426		29,079,200
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		141,378		2,673,490
Seasons Series Trust Mid Cap Value Portfolio, Class 1		137,756		2,582,905
Seasons Series Trust Small Cap Portfolio, Class 1		236,077		3,555,792
SunAmerica Series Trust Blue Chip Growth, Class 1		783,560		9,838,408
SunAmerica Series Trust Equity Opportunities Portfolio, Class 1		391,039		8,989,265
SunAmerica Series Trust Growth Opportunities Portfolio, Class 1		182,979		1,653,593
SunAmerica Series Trust Growth-Income Portfolio, Class 1		323,838		11,673,651
SunAmerica Series Trust Mid Cap Growth Portfolio, Class 1		179,970		3,314,089
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		163,128		7,291,866
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		759,877		16,356,634
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		221,102		4,899,747
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		125,737		1,346,193
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		153,992		1,714,889
Total Domestic Equity Investment Companies (cost $123,998,421)				133,327,959
Domestic Fixed Income Investment Companies — 44.3%
Anchor Series Trust Government & Quality Bond Portfolio, Class 1		620,712		9,477,103
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		6,095,312		72,888,627
Seasons Series Trust Real Return Portfolio, Class 1†		1,616,047		15,864,906
SunAmerica Series Trust Corporate Bond Portfolio, Class 1		922,405		12,986,302

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		800,514		$	5,010,718
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		1,739,808			15,879,071
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		1,057,304			11,208,138
Total Domestic Fixed Income Investment Companies (cost $141,362,975)					143,314,865
International Equity Investment Companies — 14.5%
Seasons Series Trust International Equity Portfolio, Class 1		2,195,164			21,166,706
SunAmerica Series Trust Emerging Markets Portfolio, Class 1†		549,957			4,876,460
SunAmerica Series Trust International Diversified Equities Portfolio, Class 1		607,893			6,476,408
SunAmerica Series Trust International Growth and Income Portfolio, Class 1		294,421			3,252,994
SunAmerica Series Trust SA International Index Portfolio, Class 1		999,438			11,369,651
Total International Equity Investment Companies (cost $43,501,623)					47,142,219
TOTAL INVESTMENTS (cost $308,863,019)(2)		100.0	%		323,785,043
Liabilities in excess of other assets		(0.0	)		(133,302	)
NET ASSETS		100.0	%	$	323,651,741

#  The Seasons Series Trust Allocation Moderate Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, 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.

@  See Note 1

†  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, 2017 (see Note 2):

	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	323,785,043	$	—	$	—	$	323,785,043

*  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

292

Seasons Series Trust Allocation Balanced Portfolio@

PORTFOLIO PROFILE — September 30, 2017 (unaudited)

Industry Allocation*
Domestic Fixed Income Investment Companies	59.3	%
Domestic Equity Investment Companies	30.1
International Equity Investment Companies	10.6
	100.0	%

*   Calculated as a percentage of net assets

@   See Note 1

293

Seasons Series Trust Allocation Balanced Portfolio@

PORTFOLIO OF INVESTMENTS — September 30, 2017 (unaudited)

Security Description	Shares		Value (Note 2)
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 30.1%
Seasons Series Trust Large Cap Growth Portfolio, Class 1		1,028,230	$	15,373,682
Seasons Series Trust Large Cap Value Portfolio, Class 1		863,748		15,625,669
Seasons Series Trust Mid Cap Growth Portfolio, Class 1		70,511		1,333,384
Seasons Series Trust Mid Cap Value Portfolio, Class 1		77,882		1,460,272
Seasons Series Trust Small Cap Portfolio, Class 1		129,580		1,951,732
SunAmerica Series Trust Blue Chip Growth, Class 1		423,853		5,321,913
SunAmerica Series Trust Equity Opportunities Portfolio, Class 1		211,683		4,866,200
SunAmerica Series Trust Growth Opportunities Portfolio, Class 1		94,837		857,044
SunAmerica Series Trust Growth-Income Portfolio, Class 1		174,695		6,297,353
SunAmerica Series Trust Mid Cap Growth Portfolio, Class 1		97,261		1,791,028
SunAmerica Series Trust SA AB Growth Portfolio, Class 1		90,375		4,039,784
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1		414,165		8,915,050
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1		121,489		2,692,278
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1		69,424		743,285
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1		76,727		854,452
Total Domestic Equity Investment Companies (cost $67,155,049)				72,123,126
Domestic Fixed Income Investment Companies — 59.3%
Anchor Series Trust Government & Quality Bond Portfolio, Class 1		616,232		9,408,698
Seasons Series Trust Diversified Fixed Income Portfolio, Class 1		6,088,007		72,801,280
Seasons Series Trust Real Return Portfolio, Class 1†		1,602,173		15,728,702
SunAmerica Series Trust Corporate Bond Portfolio, Class 1		884,358		12,450,652

Security Description	Shares			Value (Note 2)
Domestic Fixed Income Investment Companies (continued)
SunAmerica Series Trust High-Yield Bond Portfolio, Class 1		799,526		$	5,004,533
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1		1,721,652			15,713,362
SunAmerica Series Trust Ultra Short Bond Portfolio, Class 1†		1,035,916			10,981,421
Total Domestic Fixed Income Investment Companies (cost $140,244,631)					142,088,648
International Equity Investment Companies — 10.6%
Seasons Series Trust International Equity Portfolio, Class 1		1,193,772			11,510,858
SunAmerica Series Trust Emerging Markets Portfolio, Class 1†		271,170			2,404,464
SunAmerica Series Trust International Diversified Equities Portfolio, Class 1		337,917			3,600,115
SunAmerica Series Trust International Growth and Income Portfolio, Class 1		163,194			1,803,092
SunAmerica Series Trust SA International Index Portfolio, Class 1		529,273			6,021,033
Total International Equity Investment Companies (cost $23,267,227)					25,339,562
TOTAL INVESTMENTS (cost $230,666,907)(2)		100.0	%		239,551,336
Liabilities in excess of other assets		(0.0	)		(104,626	)
NET ASSETS		100.0	%	$	239,446,710

#  The Seasons Series Trust Allocation Balanced Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, 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.

@  See Note 1

†  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, 2017 (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	$	239,551,336	$	—	$	—	$	239,551,336

* 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

294

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES

September 30, 2017 (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)*	$	57,737,806	$	99,630,120	$	74,202,775	$	63,275,336	$	128,741,686
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		—		—		—		—		6,681,000
Cash		128,913		296,213		367,373		366,364		35,946
Foreign cash*		178		442		500		507		76,716
Cash collateral for futures contracts		29,997		60,413		—		664		—
Cash collateral for centrally cleared swap contracts		—		—		—		—		—
Due from broker		—		—		—		—		1,141
Receivable for:
Fund shares sold		931		325		3,466		104,449		151,158
Dividends and interest		101,971		242,381		227,286		231,677		369,605
Investments sold		596,627		940,298		476,425		238,159		4,451,086
Investments sold on an extended settlement basis		1,235,299		2,879,723		3,292,725		3,292,725		48,934
Receipts on swap contracts		—		—		—		—		6,558
Prepaid expenses and other assets		203,773		280,743		140,335		44,377		5,819
Due from investment adviser for expense reimbursements/fee waivers		12		20		—		—		22,055
Variation margin on futures contracts		2,186		9,951		11,734		15,406		30,985
Unrealized appreciation on forward foreign currency contracts		13,131		34,756		40,419		40,400		49,752
Swap premiums paid		—		—		—		9,684		—
Unrealized appreciation on swap contracts		1,498		3,995		4,794		18,016		141,671
Total assets		60,052,322		104,379,380		78,767,832		67,637,764		140,814,112
LIABILITIES:
Payable for:
Fund shares redeemed		40,310		83,993		74,539		95,462		131,991
Investments purchased		511,094		775,135		428,272		270,607		90,990
Investments purchased on an extended settlement basis		4,562,112		12,776,028		14,640,392		15,531,284		6,302,478
Payments on swap contracts		—		—		—		—		47,099
Investment advisory and management fees		39,455		62,577		42,244		32,693		93,355
Service fees — Class 2		2,392		5,207		4,268		3,502		7,082
Service fees — Class 3		5,157		7,730		4,076		3,577		12,380
Transfer agent fees and expenses		116		116		116		145		552
Trustees' fees and expenses		525		804		600		508		1,054
Other accrued expenses		84,668		90,399		83,081		80,986		142,381
Accrued foreign tax on capital gains		—		—		—		—		1,755
Variation margin on futures contracts		2,528		3,981		7,155		9,499		22,241
Due to custodian		—		—		—		—		—
Due to broker		1,345		3,587		4,396		26,356		968
Call and put options written, at value@		—		—		—		—		9,758
Unrealized depreciation on forward foreign currency contracts		907		2,385		2,790		2,823		37,384
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		180,770
Total liabilities		5,250,609		13,811,942		15,291,929		16,057,442		7,082,238
NET ASSETS	$	54,801,713	$	90,567,438	$	63,475,903	$	51,580,322	$	133,731,874
* Cost
Investments (unaffiliated)	$	49,361,769	$	88,395,210	$	69,753,664	$	61,129,890	$	115,035,371
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	131	$	323	$	358	$	365	$	75,987
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	13,718

#  See Note 1

See Notes to Financial Statements

295

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (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	$	40,286,757	$	71,318,796	$	54,573,746	$	46,307,039	$	104,017,820
Accumulated undistributed net investment income (loss)		243,989		992,071		1,307,587		1,306,619		3,053,211
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		5,878,738		6,977,691		3,102,990		1,747,680		12,370,279
Unrealized appreciation (depreciation) on investments		8,376,037		11,234,910		4,449,111		2,145,446		13,706,315
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		3,999		11,674		4,933		36,046		572,266
Unrealized foreign exchange gain (loss) on other assets and liabilities		12,193		32,296		37,536		37,492		13,738
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—		—		—		(1,755	)
NET ASSETS	$	54,801,713	$	90,567,438	$	63,475,903	$	51,580,322	$	133,731,874
Class 1 (unlimited shares authorized):
Net assets	$	9,622,110	$	9,784,681	$	8,998,770	$	5,800,389	$	15,755,598
Shares of beneficial interest issued and outstanding		547,806		738,189		781,414		506,052		1,228,350
Net asset value, offering and redemption price per share	$	17.56	$	13.25	$	11.52	$	11.46	$	12.83
Class 2 (unlimited shares authorized):
Net assets	$	19,735,428	$	42,700,560	$	34,658,747	$	28,235,228	$	56,778,254
Shares of beneficial interest issued and outstanding		1,125,231		3,228,534		3,015,860		2,468,794		4,429,833
Net asset value, offering and redemption price per share	$	17.54	$	13.23	$	11.49	$	11.44	$	12.82
Class 3 (unlimited shares authorized):
Net assets	$	25,444,175	$	38,082,197	$	19,818,386	$	17,544,705	$	61,198,022
Shares of beneficial interest issued and outstanding		1,454,505		2,884,804		1,725,108		1,535,081		4,785,039
Net asset value, offering and redemption price per share	$	17.49	$	13.20	$	11.49	$	11.43	$	12.79

#  See Note 1

See Notes to Financial Statements

296

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (unaudited)

	Stock Portfolio#		Large Cap Growth Portfolio#		Large Cap Value Portfolio#		Mid Cap Growth Portfolio#		Mid Cap Value Portfolio#
ASSETS:
Investments at value (unaffiliated)*	$	452,614,415	$	518,726,767	$	901,369,227	$	215,224,939	$	250,704,173
Investments at value (affiliated)*		—		—		1,752,991		—		—
Repurchase agreements (cost approximates value)		—		1,118,000		2,657,000		3,216,000		696,000
Cash		—		6,048		2,101		2,917		64
Foreign cash*		34,332		—		2		1		3,039
Cash collateral for futures contracts		—		65,000		55,000		77,000		153,000
Cash collateral for centrally cleared swap contracts		—		—		—		—		—
Receivable for:
Fund shares sold		24,965		109,992		190,213		7,017		94,799
Dividends and interest		197,290		325,615		1,654,012		88,613		342,119
Investments sold		1,322,758		3,451,449		1,158,005		462,791		521,755
Investments sold on an extended settlement basis		—		—		—		—		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		5,602		368,334		5,603		5,606		5,602
Due from investment adviser for expense reimbursements/fee waivers		—		—		—		—		—
Variation margin on futures contracts		—		6,300		1,500		680		680
Unrealized appreciation on forward foreign currency contracts		—		—		56,224		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		454,199,362		524,177,505		908,901,878		219,085,564		252,521,231
LIABILITIES:
Payable for:
Fund shares redeemed		411,753		305,700		601,930		164,494		197,682
Investments purchased		1,524,082		2,368,542		200,765		376,220		1,306,156
Investments purchased on an extended settlement basis		—		—		—		—		—
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		308,507		333,022		548,736		150,790		172,368
Service fees — Class 2		5,667		4,218		3,537		2,768		3,244
Service fees — Class 3		8,029		3,737		3,159		3,133		3,582
Transfer agent fees and expenses		552		349		320		436		436
Trustees' fees and expenses		3,565		4,190		8,122		1,686		2,327
Other accrued expenses		85,073		93,008		153,042		75,179		86,029
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on futures contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Call and put options written, at value@		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		30,170		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		2,347,228		3,112,766		1,549,781		774,706		1,771,824
NET ASSETS	$	451,852,134	$	521,064,739	$	907,352,097	$	218,310,858	$	250,749,407
* Cost
Investments (unaffiliated)	$	338,708,232	$	395,442,060	$	791,692,662	$	169,696,327	$	222,422,200
Investments (affiliated)	$	—	$	—	$	1,546,083	$	—	$	—
Foreign cash	$	34,315	$	—	$	2	$	1	$	3,039
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	—

#  See Note 1

See Notes to Financial Statements

297

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (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	$	242,450,221	$	329,865,065		$	666,513,743	$	144,297,110	$	179,618,604
Accumulated undistributed net investment income (loss)		80,544		4,108,814			28,170,030		107,560		4,357,650
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		95,415,107		63,804,980			102,740,433		28,359,442		38,472,591
Unrealized appreciation (depreciation) on investments		113,906,183		123,284,707			109,883,473		45,528,612		28,281,973
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—		1,180			18,180		18,113		18,113
Unrealized foreign exchange gain (loss) on other assets and liabilities		79		(7	)		26,238		21		476
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—			—		—		—
NET ASSETS	$	451,852,134	$	521,064,739		$	907,352,097	$	218,310,858	$	250,749,407
Class 1 (unlimited shares authorized):
Net assets	$	368,209,847	$	468,554,901		$	862,474,897	$	180,251,767	$	206,322,487
Shares of beneficial interest issued and outstanding		13,123,115		31,316,225			47,675,548		9,531,813		11,003,920
Net asset value, offering and redemption price per share	$	28.06	$	14.96		$	18.09	$	18.91	$	18.75
Class 2 (unlimited shares authorized):
Net assets	$	45,162,660	$	34,323,376		$	29,226,133	$	22,697,510	$	26,760,008
Shares of beneficial interest issued and outstanding		1,647,979		2,339,004			1,618,300		1,248,962		1,431,945
Net asset value, offering and redemption price per share	$	27.40	$	14.67		$	18.06	$	18.17	$	18.69
Class 3 (unlimited shares authorized):
Net assets	$	38,479,627	$	18,186,462		$	15,651,067	$	15,361,581	$	17,666,912
Shares of beneficial interest issued and outstanding		1,424,521		1,251,860			867,568		864,805		947,640
Net asset value, offering and redemption price per share	$	27.01	$	14.53		$	18.04	$	17.76	$	18.64

#  See Note 1

See Notes to Financial Statements

298

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (unaudited)

	Small Cap Portfolio#		International Equity Portfolio#		Diversified Fixed Income Portfolio#		Real Return Portfolio#		SA Columbia Focused Growth Portfolio
ASSETS:
Investments at value (unaffiliated)*	$	283,620,046	$	649,373,773	$	1,186,496,229	$	686,609,220	$	124,743,988
Investments at value (affiliated)*		—		—		—		—		—
Repurchase agreements (cost approximates value)		885,000		1,509,000		29,837,000		735,000		—
Cash		—		2,938,092		—		18,971		92,948
Foreign cash*		—		598,710		883,200		35,939,441		23,712
Cash collateral for futures contracts		324,489		110,000		—		—		—
Cash collateral for centrally cleared swap contracts		—		—		—		—		—
Receivable for:
Fund shares sold		9,558		75,548		316,860		8,585,914		2,265
Dividends and interest		184,564		2,747,931		6,514,006		1,637,609		53,480
Investments sold		1,248,535		1,243,916		8,898,651		—		1,642,827
Investments sold on an extended settlement basis		13,918		—		3,647,549		—		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		5,602		5,821		7,402		5,601		5,604
Due from investment adviser for expense reimbursements/fee waivers		44		46,202		—		60,899		69,431
Variation margin on futures contracts		490		15,730		88,562		20,391		—
Unrealized appreciation on forward foreign currency contracts		—		—		151,094		659,938		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		32,482		—
Total assets		286,292,246		658,664,723		1,236,840,553		734,305,466		126,634,255
LIABILITIES:
Payable for:
Fund shares redeemed		278,440		656,649		713,861		232,155		110,980
Investments purchased		1,509,468		3,721,178		7,775,859		—		—
Investments purchased on an extended settlement basis		—		277		130,021,544		—		—
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		189,077		501,451		575,042		350,579		108,953
Service fees — Class 2		2,188		2,783		3,284		—		3,400
Service fees — Class 3		2,486		3,640		3,335		85,988		4,539
Transfer agent fees and expenses		320		407		378		494		378
Trustees' fees and expenses		2,451		5,380		9,125		5,336		1,138
Other accrued expenses		71,212		176,410		242,526		136,723		45,004
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on futures contracts		—		—		130,333		40,289		—
Due to custodian		12,028		—		1,540,191		—		—
Due to broker		—		—		3,070		25,796		—
Call and put options written, at value@		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		8,467		246,943		—
Swap premiums received		—		—		—		56,335		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		2,067,670		5,068,175		141,027,015		1,180,638		274,392
NET ASSETS	$	284,224,576	$	653,596,548	$	1,095,813,538	$	733,124,828	$	126,359,863
* Cost
Investments (unaffiliated)	$	224,570,696	$	553,716,543	$	1,171,124,856	$	684,413,824	$	102,470,330
Investments (affiliated)	$	—	$	—	$	—	$	—	$	—
Foreign cash	$	—	$	599,619	$	882,687	$	36,186,141	$	23,711
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	—

#  See Note 1

See Notes to Financial Statements

299

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (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	$	190,885,054	$	603,653,115		$	1,041,525,415	$	739,233,108		$	99,887,447
Accumulated undistributed net investment income (loss)		1,117,639		20,584,372			35,631,657		15,015,671			(219,978	)
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		33,069,630		(66,359,392	)		3,136,094		(24,009,332	)		4,418,736
Unrealized appreciation (depreciation) on investments		59,049,350		95,657,230			15,371,373		2,195,396			22,273,658
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		102,903		28,206			9,657		498,913			—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—		33,017			139,342		191,072			—
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—			—		—			—
NET ASSETS	$	284,224,576	$	653,596,548		$	1,095,813,538	$	733,124,828		$	126,359,863
Class 1 (unlimited shares authorized):
Net assets	$	253,146,067	$	613,098,621		$	1,053,686,223	$	309,649,897		$	77,529,275
Shares of beneficial interest issued and outstanding		16,807,053		63,583,373			88,112,496		31,541,879			7,873,918
Net asset value, offering and redemption price per share	$	15.06	$	9.64		$	11.96	$	9.82		$	9.85
Class 2 (unlimited shares authorized):
Net assets	$	18,482,679	$	22,709,794		$	25,928,405	$	—		$	27,120,789
Shares of beneficial interest issued and outstanding		1,257,486		2,352,788			2,172,417		—			2,878,343
Net asset value, offering and redemption price per share	$	14.70	$	9.65		$	11.94	$	—		$	9.42
Class 3 (unlimited shares authorized):
Net assets	$	12,595,830	$	17,788,133		$	16,198,910	$	423,474,931		$	21,709,799
Shares of beneficial interest issued and outstanding		870,061		1,850,189			1,365,335		43,533,398			2,365,021
Net asset value, offering and redemption price per share	$	14.48	$	9.61		$	11.86	$	9.73		$	9.18

#  See Note 1

See Notes to Financial Statements

300

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (unaudited)

	SA Columbia Focused Value Portfolio		Allocation Growth Portfolio#		Allocation Moderate Growth Portfolio#		Allocation Moderate Portfolio#		Allocation Balanced Portfolio#
ASSETS:
Investments at value (unaffiliated)*	$	314,846,361	$	—	$	—	$	—	$	—
Investments at value (affiliated)*		—		107,159,713		523,307,825		323,785,043		239,551,336
Repurchase agreements (cost approximates value)		1,276,000		—		—		—		—
Cash		242		—		—		—		—
Foreign cash*		—		—		—		—		—
Cash collateral for futures contracts		—		—		—		—		—
Cash collateral for centrally cleared swap contracts		—		—		—		—		—
Receivable for:
Fund shares sold		81,041		133,374		362,665		302,231		321,446
Dividends and interest		261,459		—		—		—		—
Investments sold		—		—		—		—		—
Investments sold on an extended settlement basis		—		—		—		—		—
Receipts on swap contracts		—		—		—		—		—
Prepaid expenses and other assets		5,604		5,601		5,601		5,600		5,601
Due from investment adviser for expense reimbursements/fee waivers		168,781		1,726		8,676		5,381		3,988
Variation margin on futures contracts		—		—		—		—		—
Unrealized appreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums paid		—		—		—		—		—
Unrealized appreciation on swap contracts		—		—		—		—		—
Total assets		316,639,488		107,300,414		523,684,767		324,098,255		239,882,371
LIABILITIES:
Payable for:
Fund shares redeemed		356,521		69,333		73,085		79,689		5,799
Investments purchased		—		64,042		289,580		222,542		315,648
Investments purchased on an extended settlement basis		—		—		—		—		—
Payments on swap contracts		—		—		—		—		—
Investment advisory and management fees		255,166		8,643		42,759		26,519		19,614
Service fees — Class 2		1,761		—		—		—		—
Service fees — Class 3		2,251		21,585		106,876		66,276		49,013
Transfer agent fees and expenses		349		174		174		174		174
Trustees' fees and expenses		2,938		827		4,130		2,623		1,994
Other accrued expenses		61,234		34,721		61,243		48,691		43,419
Accrued foreign tax on capital gains		—		—		—		—		—
Variation margin on futures contracts		—		—		—		—		—
Due to custodian		—		—		—		—		—
Due to broker		—		—		—		—		—
Call and put options written, at value@		—		—		—		—		—
Unrealized depreciation on forward foreign currency contracts		—		—		—		—		—
Swap premiums received		—		—		—		—		—
Unrealized depreciation on swap contracts		—		—		—		—		—
Total liabilities		680,220		199,325		577,847		446,514		435,661
NET ASSETS	$	315,959,268	$	107,101,089	$	523,106,920	$	323,651,741	$	239,446,710
* Cost
Investments (unaffiliated)	$	249,567,477	$	—	$	—	$	—	$	—
Investments (affiliated)	$	—	$	101,187,418	$	494,409,743	$	308,863,019	$	230,666,907
Foreign cash	$	—	$	—	$	—	$	—	$	—
@ Premiums received on options written	$	—	$	—	$	—	$	—	$	—

#  See Note 1

See Notes to Financial Statements

301

SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)

September 30, 2017 (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	$	222,579,107	$	93,507,936	$	441,084,794	$	281,587,956	$	209,238,129
Accumulated undistributed net investment income (loss)		7,758,049		908,473		6,308,863		4,072,890		3,281,286
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		20,343,228		6,712,385		46,815,181		23,068,871		18,042,866
Unrealized appreciation (depreciation) on investments		65,278,884		5,972,295		28,898,082		14,922,024		8,884,429
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts		—		—		—		—		—
Unrealized foreign exchange gain (loss) on other assets and liabilities		—		—		—		—		—
Accrued capital gains tax on unrealized appreciation (depreciation)		—		—		—		—		—
NET ASSETS	$	315,959,268	$	107,101,089	$	523,106,920	$	323,651,741	$	239,446,710
Class 1 (unlimited shares authorized):
Net assets	$	290,101,886	$	114,070	$	111,768	$	110,177	$	107,742
Shares of beneficial interest issued and outstanding		14,241,065		7,930		9,346		9,375		9,607
Net asset value, offering and redemption price per share	$	20.37	$	14.38	$	11.96	$	11.75	$	11.21
Class 2 (unlimited shares authorized):
Net assets	$	14,555,823	$	—	$	—	$	—	$	—
Shares of beneficial interest issued and outstanding		715,922		—		—		—		—
Net asset value, offering and redemption price per share	$	20.33	$	—	$	—	$	—	$	—
Class 3 (unlimited shares authorized):
Net assets	$	11,301,559	$	106,987,019	$	522,995,152	$	323,541,564	$	239,338,968
Shares of beneficial interest issued and outstanding		557,505		7,456,844		43,843,178		27,601,542		21,396,493
Net asset value, offering and redemption price per share	$	20.27	$	14.35	$	11.93	$	11.72	$	11.19

#  See Note 1

See Notes to Financial Statements

302

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS

For the Six Months Ended September 30, 2017 (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)	$	243,837		$	318,031		$	120,794		$	50,906		$	1,327,599
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		216,467			556,166			668,886			680,264			493,202
Total investment income*		460,304			874,197			789,680			731,170			1,820,801
Expenses:
Investment advisory and management fees		244,806			383,758			260,733			202,728			543,618
Service Fees:
Class 2		14,548			31,979			26,244			21,699			43,017
Class 3		32,298			47,400			25,517			22,169			68,223
Transfer agent fees and expenses		405			405			405			506			1,927
Custodian and accounting fees		48,423			53,926			45,979			44,689			84,438
Reports to shareholders		2,310			3,628			2,727			2,241			5,603
Audit and tax fees		26,271			26,271			25,803			25,803			38,468
Legal fees		3,087			3,237			3,132			3,079			7,231
Trustees' fees and expenses		885			1,400			1,013			845			1,868
Interest expense		115			28			57			—			—
Other expenses		18,349			18,725			11,608			11,550			15,327
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		391,497			570,757			403,218			335,309			809,720
Fees waived and expenses reimbursed by investment advisor (Note 3)		(24	)		(40	)		—			—			(63,955	)
Fees paid indirectly (Note 5)		(1,034	)		(1,389	)		(588	)		(260	)		(58	)
Net expenses		390,439			569,328			402,630			335,049			745,707
Net investment income (loss)		69,865			304,869			387,050			396,121			1,075,094
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		2,405,721			3,180,469			1,651,438			1,066,200			1,919,569
Investments (affiliated)**		—			—			—			—			—
Futures contracts		6,076			16,298			(15,786	)		(1,339	)		203,851
Forward contracts		(2,029	)		(75	)		(20,231	)		(998	)		250,063
Swap contracts		(878	)		(3,164	)		(3,363	)		(3,885	)		(88,682	)
Written options contracts		—			—			—			—			4,455
Net realized foreign exchange gain (loss) on other assets and liabilities		7,170			20,306			18,127			18,799			(3,288	)
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		2,416,060			3,213,834			1,630,185			1,078,777			2,285,968
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		950,526			1,484,778			933,372			402,811			6,166,356
Investments (affiliated)		—			—			—			—			—
Futures contracts		(3,558	)		(3,770	)		4,789			5,184			528,713
Forward contracts		18,926			40,215			47,519			48,427			(64,189	)
Swap contracts		(176	)		(412	)		(564	)		(509	)		66,091
Written options contracts		—			—			—			—			2,566
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		(7,857	)		(16,362	)		(20,484	)		(20,459	)		5,946
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			(598	)
Net unrealized gain (loss) on investments and foreign currencies		957,861			1,504,449			964,632			435,454			6,704,885
Net realized and unrealized gain (loss) on investments and foreign currencies		3,373,921			4,718,283			2,594,817			1,514,231			8,990,853
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	3,443,786		$	5,023,152		$	2,981,867		$	1,910,352		$	10,065,947
* Net of foreign withholding taxes on interest and dividends of	$	4		$	(9	)	$	(39	)	$	(33	)	$	56,359
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	2,548

#  See Note 1

See Notes to Financial Statements

303

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2017 (unaudited)

	Stock Portfolio#			Large Cap Growth Portfolio#			Large Cap Value Portfolio#			Mid Cap Growth Portfolio#			Mid Cap Value Portfolio#
Investment Income:
Dividends (unaffiliated)	$	2,090,033		$	3,870,269		$	13,287,281		$	1,115,839		$	2,529,559
Dividends (affiliated)		—			—			19,163			—			—
Interest (unaffiliated)		38,791			9,952			18,805			6,390			35,169
Total investment income*		2,128,824			3,880,221			13,325,249			1,122,229			2,564,728
Expenses:
Investment advisory and management fees		1,870,551			2,106,138			3,576,401			898,237			1,098,306
Service Fees:
Class 2		34,648			25,668			21,935			16,837			20,054
Class 3		49,608			22,961			19,688			19,040			22,575
Transfer agent fees and expenses		1,922			1,214			1,113			1,517			1,517
Custodian and accounting fees		31,342			36,575			76,570			25,664			41,349
Reports to shareholders		19,005			23,387			33,616			8,642			10,251
Audit and tax fees		18,941			19,644			19,560			19,920			20,040
Legal fees		10,401			5,177			6,370			7,421			3,668
Trustees' fees and expenses		6,498			7,730			15,266			3,062			4,301
Interest expense		—			1,933			1,519			29			1,527
Other expenses		6,565			10,282			14,596			25,255			25,259
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		2,049,481			2,260,709			3,786,634			1,025,624			1,248,847
Fees waived and expenses reimbursed by investment advisor (Note 3)		—			—			—			—			—
Fees paid indirectly (Note 5)		(1,203	)		(5,098	)		(1,907	)		(493	)		(2,937	)
Net expenses		2,048,278			2,255,611			3,784,727			1,025,131			1,245,910
Net investment income (loss)		80,546			1,624,610			9,540,522			97,098			1,318,818
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		43,986,393			34,183,921			44,556,150			10,204,085			10,314,926
Investments (affiliated)**		—			—			131,020			—			30,341
Futures contracts		—			110,434			4,934			8,353			8,353
Forward contracts		—			—			(1,147,011	)		—			—
Swap contracts		—			—			—			—			—
Written options contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		3,274			—			801			(74	)		(28	)
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		43,989,667			34,294,355			43,545,894			10,212,364			10,353,592
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		12,027,804			12,520,019			(12,185,258	)		11,024,074			(3,187,499	)
Investments (affiliated)		—			—			(159,876	)		—			(40,005	)
Futures contracts		—			6,786			34,586			22,520			22,520
Forward contracts		—			—			(117,730	)		—			—
Swap contracts		—			—			—			—			—
Written options contracts		—			—			—			—			—
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		983			(6	)		472			46			544
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		12,028,787			12,526,799			(12,427,806	)		11,046,640			(3,204,440	)
Net realized and unrealized gain (loss) on investments and foreign currencies		56,018,454			46,821,154			31,118,088			21,259,004			7,149,152
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	56,099,000		$	48,445,764		$	40,658,610		$	21,356,102		$	8,467,970
* Net of foreign withholding taxes on interest and dividends of	$	4,589		$	—		$	120,047		$	1,840		$	9,838
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

#  See Note 1

See Notes to Financial Statements

304

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2017 (unaudited)

	Small Cap Portfolio#			International Equity Portfolio#			Diversified Fixed Income Portfolio#			Real Return Portfolio#			SA Columbia Focused Growth Portfolio
Investment Income:
Dividends (unaffiliated)	$	1,486,433		$	11,817,532		$	11,367		$	13		$	443,184
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		13,033			4,028			17,133,396			4,935,287			364
Total investment income*		1,499,466			11,821,560			17,144,763			4,935,300			443,548
Expenses:
Investment advisory and management fees		1,199,478			3,158,111			3,704,231			2,101,602			678,021
Service Fees:
Class 2		13,547			16,465			20,650			—			20,083
Class 3		15,294			21,928			20,726			523,437			27,158
Transfer agent fees and expenses		1,113			1,416			1,315			1,720			1,315
Custodian and accounting fees		41,046			143,332			145,282			56,751			10,763
Reports to shareholders		7,690			30,905			51,877			54,421			5,538
Audit and tax fees		19,697			65,645			27,141			24,761			16,895
Legal fees		3,616			13,365			8,175			8,488			3,337
Trustees' fees and expenses		4,603			9,779			16,597			10,098			1,895
Interest expense		227			5,673			177			336			477
Other expenses		13,336			18,304			18,165			8,886			4,064
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,319,647			3,484,923			4,014,336			2,790,500			769,546
Fees waived and expenses reimbursed by investment advisor (Note 3)		(89	)		(139,770	)		—			(179,660	)		(210,187	)
Fees paid indirectly (Note 5)		(2,414	)		—			—			—			(5,208	)
Net expenses		1,317,144			3,345,153			4,014,336			2,610,840			554,151
Net investment income (loss)		182,322			8,476,407			13,130,427			2,324,460			(110,603	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		10,785,554			17,149,006			11,196,970			22,065			6,927,390
Investments (affiliated)**		—			—			—			—			—
Futures contracts		131,563			483,263			179,096			(666,192	)		—
Forward contracts		—			—			(104,344	)		(17,134,815	)		—
Swap contracts		—			—			(64,127	)		115			—
Written options contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			125,978			(58,029	)		1,582,916			(2,351	)
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		10,917,117			17,758,247			11,149,566			(16,195,911	)		6,925,039
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		7,150,339			61,322,882			6,573,947			20,746,567			8,410,791
Investments (affiliated)		—			—			—			—			—
Futures contracts		55,064			5,888			(253,595	)		581,605			—
Forward contracts		—			—			(33,860	)		(913,329	)		—
Swap contracts		—			—			38,650			32,482			—
Written options contracts		—			—			—			—			—
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		—			130,821			(10,149	)		(1,520,811	)		3,138
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		7,205,403			61,459,591			6,314,993			18,926,514			8,413,929
Net realized and unrealized gain (loss) on investments and foreign currencies		18,122,520			79,217,838			17,464,559			2,730,603			15,338,968
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	18,304,842		$	87,694,245		$	30,594,986		$	5,055,063		$	15,228,365
* Net of foreign withholding taxes on interest and dividends of	$	2,450		$	1,511,882		$	170		$	236		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

#  See Note 1

See Notes to Financial Statements

305

SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)

For the Six Months Ended September 30, 2017 (unaudited)

	SA Columbia Focused Value Portfolio			Allocation Growth Portfolio#			Allocation Moderate Growth Portfolio#			Allocation Moderate Portfolio#			Allocation Balanced Portfolio#
Investment Income:
Dividends (unaffiliated)	$	4,010,435		$	—		$	—		$	—		$	—
Dividends (affiliated)		—			—			—			—			—
Interest (unaffiliated)		995			—			—			—			—
Total investment income*		4,011,430			—			—			—			—
Expenses:
Investment advisory and management fees		1,637,969			49,528			260,348			162,387			120,177
Service Fees:
Class 2		10,785			—			—			—			—
Class 3		13,942			123,681			650,735			405,833			300,311
Transfer agent fees and expenses		1,214			607			607			607			607
Custodian and accounting fees		19,000			6,000			6,000			6,000			6,000
Reports to shareholders		11,180			4,374			21,029			13,005			9,766
Audit and tax fees		16,885			12,747			12,747			12,747			12,747
Legal fees		4,512			3,128			4,837			4,009			3,661
Trustees' fees and expenses		5,511			1,459			7,578			4,785			3,585
Interest expense		214			—			—			—			—
Other expenses		5,456			3,121			4,494			3,589			3,419
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly		1,726,668			204,645			968,375			612,962			460,273
Fees waived and expenses reimbursed by investment advisor (Note 3)		(526,970	)		(4,953	)		(26,035	)		(16,239	)		(12,018	)
Fees paid indirectly (Note 5)		(5,099	)		—			—			—			—
Net expenses		1,194,599			199,692			942,340			596,723			448,255
Net investment income (loss)		2,816,831			(199,692	)		(942,340	)		(596,723	)		(448,255	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments (unaffiliated)**		11,409,746			—			—			—			—
Investments (affiliated)**		—			7,104,856			38,432,009			22,026,160			12,218,403
Futures contracts		—			—			—			—			—
Forward contracts		—			—			—			—			—
Swap contracts		—			—			—			—			—
Written options contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			—
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated)		—			—			—			—			—
Net realized gain (loss) on investments and foreign currencies		11,409,746			7,104,856			38,432,009			22,026,160			12,218,403
Change in unrealized appreciation (depreciation) on:
Investments (unaffiliated)		11,159,114			—			—			—			—
Investments (affiliated)		—			(386	)		(5,787,996	)		(3,821,857	)		(921,558	)
Futures contracts		—			—			—			—			—
Forward contracts		—			—			—			—			—
Swap contracts		—			—			—			—			—
Written options contracts		—			—			—			—			—
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—
Net unrealized gain (loss) on investments and foreign currencies		11,159,114			(386	)		(5,787,996	)		(3,821,857	)		(921,558	)
Net realized and unrealized gain (loss) on investments and foreign currencies		22,568,860			7,104,470			32,644,013			18,204,303			11,296,845
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	25,385,691		$	6,904,778		$	31,701,673		$	17,607,580		$	10,848,590
* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	—		$	—
** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—

#  See Note 1

See Notes to Financial Statements

306

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, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	69,865		$	186,933		$	304,869		$	780,456		$	387,050		$	948,450
Net realized gain (loss) on investments and foreign currencies		2,416,060			3,727,190			3,213,834			4,297,273			1,630,185			1,583,027
Net unrealized gain (loss) on investments and foreign currencies		957,861			2,058,804			1,504,449			3,790,750			964,632			1,300,168
Net increase (decrease) in net assets resulting from operations		3,443,786			5,972,927			5,023,152			8,868,479			2,981,867			3,831,645
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(57,631	)		—			(111,763	)		—			(147,904	)
Net investment income — Class 2		—			(82,402	)		—			(425,650	)		—			(519,239	)
Net investment income — Class 3		—			(67,146	)		—			(320,410	)		—			(248,351	)
Net realized gain on investments — Class 1		—			(641,365	)		—			(706,846	)		—			(379,071	)
Net realized gain on investments — Class 2		—			(1,274,084	)		—			(3,153,165	)		—			(1,487,994	)
Net realized gain on investments — Class 3		—			(1,621,165	)		—			(2,917,111	)		—			(861,874	)
Total distributions to shareholders		—			(3,743,793	)		—			(7,634,945	)		—			(3,644,433	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(4,270,662	)		(4,861,713	)		(4,805,924	)		(7,116,385	)		(4,073,867	)		(6,296,302	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(826,876	)		(2,632,579	)		217,228			(5,882,851	)		(1,092,000	)		(6,109,090	)
NET ASSETS:
Beginning of period		55,628,589			58,261,168			90,350,210			96,233,061			64,567,903			70,676,993
End of period†	$	54,801,713		$	55,628,589		$	90,567,438		$	90,350,210		$	63,475,903		$	64,567,903
† Includes accumulated undistributed net investment income (loss)	$	243,989		$	174,124		$	992,071		$	687,202		$	1,307,587		$	920,537

# See Note 1

See Notes to Financial Statements

307

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, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)		For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	396,121		$	974,913		$	1,075,094	$	1,540,933		$	80,546		$	(363,332	)
Net realized gain (loss) on investments and foreign currencies		1,078,777			771,525			2,285,968		10,487,247			43,989,667			52,686,001
Net unrealized gain (loss) on investments and foreign currencies		435,454			634,613			6,704,885		3,888,561			12,028,787			24,036,637
Net increase (decrease) in net assets resulting from operations		1,910,352			2,381,051			10,065,947		15,916,741			56,099,000			76,359,306
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(131,767	)		—		(150,628	)		—			—
Net investment income — Class 2		—			(531,779	)		—		(440,144	)		—			—
Net investment income — Class 3		—			(282,330	)		—		(303,199	)		—			—
Net realized gain on investments — Class 1		—			(136,688	)		—		(1,412,639	)		—			(33,926,523	)
Net realized gain on investments — Class 2		—			(603,214	)		—		(5,041,395	)		—			(4,728,985	)
Net realized gain on investments — Class 3		—			(367,956	)		—		(4,152,562	)		—			(4,073,286	)
Total distributions to shareholders		—			(2,053,734	)		—		(11,500,567	)		—			(42,728,794	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(3,193,017	)		(5,804,210	)		1,040,609		(10,862,142	)		(45,614,381	)		(69,466,367	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(1,282,665	)		(5,476,893	)		11,106,556		(6,445,968	)		10,484,619			(35,835,855	)
NET ASSETS:
Beginning of period		52,862,987			58,339,880			122,625,318		129,071,286			441,367,515			477,203,370
End of period†	$	51,580,322		$	52,862,987		$	133,731,874	$	122,625,318		$	451,852,134		$	441,367,515
† Includes accumulated undistributed net investment income (loss)	$	1,306,619		$	910,498		$	3,053,211	$	1,978,117		$	80,544		$	(2	)

# See Note 1

See Notes to Financial Statements

308

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, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,624,610		$	2,476,716		$	9,540,522		$	17,835,955		$	97,098		$	(200,209	)
Net realized gain (loss) on investments and foreign currencies		34,294,355			30,767,131			43,545,894			66,422,713			10,212,364			19,207,902
Net unrealized gain (loss) on investments and foreign currencies		12,526,799			30,596,924			(12,427,806	)		86,772,743			11,046,640			9,137,348
Net increase (decrease) in net assets resulting from operations		48,445,764			63,840,771			40,658,610			171,031,411			21,356,102			28,145,041
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(1,921,859	)		—			(16,003,628	)		—			—
Net investment income — Class 2		—			(93,478	)		—			(431,512	)		—			—
Net investment income — Class 3		—			(34,736	)		—			(228,625	)		—			—
Net realized gain on investments — Class 1		—			(13,587,091	)		—			(31,213,239	)		—			(8,295,756	)
Net realized gain on investments — Class 2		—			(1,008,538	)		—			(922,331	)		—			(1,140,967	)
Net realized gain on investments — Class 3		—			(560,219	)		—			(524,754	)		—			(811,154	)
Total distributions to shareholders		—			(17,205,921	)		—			(49,324,089	)		—			(10,247,877	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(54,264,000	)		1,149,086			(159,131,252	)		(52,285,920	)		(6,908,536	)		(35,514,911	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(5,818,236	)		47,783,936			(118,472,642	)		69,421,402			14,447,566			(17,617,747	)
NET ASSETS:
Beginning of period		526,882,975			479,099,039			1,025,824,739			956,403,337			203,863,292			221,481,039
End of period†	$	521,064,739		$	526,882,975		$	907,352,097		$	1,025,824,739		$	218,310,858		$	203,863,292
† Includes accumulated undistributed net investment income (loss)	$	4,108,814		$	2,484,204		$	28,170,030		$	18,629,508		$	107,560		$	10,462

# See Note 1

See Notes to Financial Statements

309

SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Mid Cap Value#						Small Cap#						International Equity#
	For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	1,318,818		$	2,991,224		$	182,322		$	740,901		$	8,476,407		$	13,925,429
Net realized gain (loss) on investments and foreign currencies		10,353,592			31,226,718			10,917,117			25,756,967			17,758,247			(11,464,870	)
Net unrealized gain (loss) on investments and foreign currencies		(3,204,440	)		16,235,248			7,205,403			32,659,608			61,459,591			68,234,721
Net increase (decrease) in net assets resulting from operations		8,467,970			50,453,190			18,304,842			59,157,476			87,694,245			70,695,280
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(2,754,064	)		—			(597,387	)		—			(12,419,142	)
Net investment income — Class 2		—			(249,178	)		—			(12,439	)		—			(344,358	)
Net investment income — Class 3		—			(151,822	)		—			—			—			(275,577	)
Net realized gain on investments — Class 1		—			(4,750,917	)		—			(4,213,868	)		—			—
Net realized gain on investments — Class 2		—			(502,562	)		—			(281,993	)		—			—
Net realized gain on investments — Class 3		—			(351,318	)		—			(193,211	)		—			—
Total distributions to shareholders		—			(8,759,861	)		—			(5,298,898	)		—			(13,039,077	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(42,765,924	)		(68,641,891	)		(31,465,274	)		(69,628,102	)		(102,855,826	)		(142,652,165	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(34,297,954	)		(26,948,562	)		(13,160,432	)		(15,769,524	)		(15,161,581	)		(84,995,962	)
NET ASSETS:
Beginning of period		285,047,361			311,995,923			297,385,008			313,154,532			668,758,129			753,754,091
End of period†	$	250,749,407		$	285,047,361		$	284,224,576		$	297,385,008		$	653,596,548		$	668,758,129
† Includes accumulated undistributed net investment income (loss)	$	4,357,650		$	3,038,832		$	1,117,639		$	935,317		$	20,584,372		$	12,107,965

# See Note 1

See Notes to Financial Statements

310

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, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	13,130,427		$	25,100,076		$	2,324,460		$	4,705,931		$	(110,603	)	$	(716,931	)
Net realized gain (loss) on investments and foreign currencies		11,149,566			6,672,246			(16,195,911	)		10,506,203			6,925,039			(1,257,804	)
Net unrealized gain (loss) on investments and   foreign currencies		6,314,993			(14,608,921	)		18,926,514			(4,032,891	)		8,413,929			30,697,169
Net increase (decrease) in net assets resulting from operations		30,594,986			17,163,401			5,055,063			11,179,243			15,228,365			28,722,434
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(13,333,880	)		—			—			—			—
Net investment income — Class 2		—			(311,624	)		—			—			—			—
Net investment income — Class 3		—			(169,802	)		—			—			—			—
Net realized gain on investments — Class 1		—			(8,744,847	)		—			—			—			(12,640,920	)
Net realized gain on investments — Class 2		—			(232,898	)		—			—			—			(3,422,901	)
Net realized gain on investments — Class 3		—			(139,402	)		—			—			—			(2,879,159	)
Total distributions to shareholders		—			(22,932,453	)		—			—			—			(18,942,980	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(107,871,991	)		(43,975,265	)		33,825,366			86,479,071			(20,606,657	)		(83,551,322	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(77,277,005	)		(49,744,317	)		38,880,429			97,658,314			(5,378,292	)		(73,771,868	)
NET ASSETS:
Beginning of period		1,173,090,543			1,222,834,860			694,244,399			596,586,085			131,738,155			205,510,023
End of period†	$	1,095,813,538		$	1,173,090,543		$	733,124,828		$	694,244,399		$	126,359,863		$	131,738,155
† Includes accumulated undistributed net investment income (loss)	$	35,631,657		$	22,501,230		$	15,015,671		$	12,691,211		$	(219,978	)	$	(109,375	)

# See Note 1

See Notes to Financial Statements

311

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, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	2,816,831		$	4,941,217		$	(199,692	)	$	1,019,117		$	(942,340	)	$	6,395,904
Net realized gain (loss) on investments and foreign currencies		11,409,746			9,018,963			7,104,856			5,401,197			38,432,009			29,694,972
Net unrealized gain (loss) on investments and foreign currencies		11,159,114			66,780,705			(386	)		3,537,631			(5,787,996	)		13,343,001
Net increase (decrease) in net assets resulting from operations		25,385,691			80,740,885			6,904,778			9,957,945			31,701,673			49,433,877
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			(4,300,446	)		—			—			—			—
Net investment income — Class 2		—			(157,766	)		—			—			—			—
Net investment income — Class 3		—			(120,628	)		—			(1,524,052	)		—			(9,027,944	)
Net realized gain on investments — Class 1		—			(31,269,897	)		—			—			—			—
Net realized gain on investments — Class 2		—			(1,287,162	)		—			—			—			—
Net realized gain on investments — Class 3		—			(1,068,214	)		—			(2,089,038	)		—			(68,945,877	)
Total distributions to shareholders		—			(38,204,113	)		—			(3,613,090	)		—			(77,973,821	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(69,382,443	)		(13,595,730	)		6,840,054			(5,240,008	)		(24,703,658	)		21,322,483
TOTAL INCREASE (DECREASE) IN NET ASSETS		(43,996,752	)		28,941,042			13,744,832			1,104,847			6,998,015			(7,217,461	)
NET ASSETS:
Beginning of period		359,956,020			331,014,978			93,356,257			92,251,410			516,108,905			523,326,366
End of period†	$	315,959,268		$	359,956,020		$	107,101,089		$	93,356,257		$	523,106,920		$	516,108,905
† Includes accumulated undistributed net investment income (loss)	$	7,758,049		$	4,941,218		$	908,473		$	1,108,165		$	6,308,863		$	7,251,203

# See Note 1

See Notes to Financial Statements

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SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)

	Allocation Moderate#						Allocation Balanced#
	For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017			For the six months ended September 30, 2017 (unaudited)			For the year ended March 31, 2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	(596,723	)	$	3,987,427		$	(448,255	)	$	3,034,879
Net realized gain (loss) on investments and foreign currencies		22,026,160			12,716,291			12,218,403			9,933,877
Net unrealized gain (loss) on investments and foreign currencies		(3,821,857	)		11,052,691			(921,558	)		4,305,340
Net increase (decrease) in net assets resulting from operations		17,607,580			27,756,409			10,848,590			17,274,096
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income — Class 1		—			—			—			—
Net investment income — Class 2		—			—			—			—
Net investment income — Class 3		—			(5,699,000	)		—			(4,597,839	)
Net realized gain on investments — Class 1		—			—			—			—
Net realized gain on investments — Class 2		—			—			—			—
Net realized gain on investments — Class 3		—			(33,441,168	)		—			(22,831,891	)
Total distributions to shareholders		—			(39,140,168	)		—			(27,429,730	)
Net increase (decrease) in net assets resulting from capital share transactions (Note 7)		(18,062,701	)		12,309,128			(12,321,263	)		(5,530,317	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(455,121	)		925,369			(1,472,673	)		(15,685,951	)
NET ASSETS:
Beginning of period		324,106,862			323,181,493			240,919,383			256,605,334
End of period†	$	323,651,741		$	324,106,862		$	239,446,710		$	240,919,383
† Includes accumulated undistributed net investment income (loss)	$	4,072,890		$	4,669,613		$	3,281,286		$	3,729,541

# See Note 1

See Notes to Financial Statements

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SEASONS SERIES TRUST
NOTES TO FINANCIALS STATEMENTS (unaudited)

Note 1.  Description of Business and Basis of Presentation: Seasons Series Trust (the "Trust"), organized as a Massachusetts business trust on October 10, 1995, is an open-end management investment company. The Trust consists of 20 separate series or portfolios (each, a "Portfolio," and collectively, the "Portfolios"). Shares of the Portfolios are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively, the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they 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. 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 the ("Board"), 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 principal investment strategy by investing its assets in a combination of the portfolios of the Trust, SunAmerica Series Trust and Anchor Series Trust (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.

Effective October 9, 2017, certain Portfolios' names will change as shown in the chart below to reflect the "New Portfolio Name." Each Portfolio will maintain its current investment adviser. In addition, there will be no changes in the Portfolios' investment goals, strategies, or portfolio managers in connection with the renaming.

Current Portfolio Name	New Portfolio Name
Allocation Balanced Portfolio	SA Allocation Balanced Portfolio
Allocation Growth Portfolio	SA Allocation Growth Portfolio
Allocation Moderate Growth Portfolio	SA Allocation Moderate Growth Portfolio
Allocation Moderate Portfolio	SA Allocation Moderate Portfolio
Diversified Fixed Income Portfolio	SA Multi-Managed Diversified Fixed Income Portfolio
Multi-Managed Growth Portfolio	SA Multi-Managed Growth Portfolio
Multi-Managed Income Portfolio	SA Multi-Managed Income Portfolio
Multi-Managed Income/Equity Portfolio	SA Multi-Managed Income/Equity Portfolio
International Equity Portfolio	SA Multi-Managed International Equity Portfolio
Large Cap Growth Portfolio	SA Multi-Managed Large Cap Growth Portfolio

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Current Portfolio Name	New Portfolio Name
Large Cap Value Portfolio	SA Multi-Managed Large Cap Value Portfolio
Mid Cap Growth Portfolio	SA Multi-Managed Mid Cap Growth Portfolio
Mid Cap Value Portfolio	SA Multi-Managed Mid Cap Value Portfolio
Multi-Managed Moderate Growth Portfolio	SA Multi-Managed Moderate Growth Portfolio
Small Cap Portfolio	SA Multi-Managed Small Cap Portfolio
Asset Allocation: Diversified Growth Portfolio	SA Putnam Asset Allocation Diversified Growth Portfolio
Stock Portfolio	SA T. Rowe Price Growth Stock Portfolio
Real Return Portfolio	SA Wellington Real Return Portfolio

The investment goal for each Portfolio is as follows:

Seasons Strategies 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.

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.

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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").

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

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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, 2017, 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 at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. 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 as Level 2. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded over the counter are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC Procedures") for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Derivative Instruments

Forward Foreign Currency Contracts: During the period, the Multi-Managed Growth, Multi-Managed Moderate Growth, Multi-Managed Income/Equity, Multi-Managed Income, Asset Allocation: Diversified Growth, Large Cap Value, 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 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.

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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 cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to a Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(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.

Futures 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.

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

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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 cash collateral for centrally clear swap contracts. 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 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.

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

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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.

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.

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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.

Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the

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underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that 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, 2017, 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 six months ended September 30, 2017. 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, 2017, please refer to a schedule following each Portfolio's Portfolio of Investments.

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	Asset Derivatives
	Interest Rate Contracts						Equity Contracts						Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Futures Contracts(1)(8)		Swap Contracts(2)		Options Purchased(3)		Swap Contracts(2)		Foreign Exchange Contracts(4)		Options Purchased(3)		Total
Multi-Managed Growth Portfolio	$	2,141	$	1,498	$	—	$	45	$	—	$	—	$	—	$	13,131	$	—	$	16,815
Multi-Managed Moderate Growth Portfolio		9,891		3,995		—		60		—		—		—		34,756		—		48,702
Multi-Managed Income/Equity Portfolio		11,734		4,794		—		—		—		—		—		40,419		—		56,947
Multi-Managed Income Portfolio		15,406		18,016		—		—		—		—		—		40,400		—		73,822
Asset Allocation: Diversified Growth Portfolio		25,195		—		—		5,790		141,671		12,327		—		49,752		—		234,735
Large Cap Growth Portfolio		6,300		—		—		—		—		—		—		—		—		6,300
Large Cap Value Portfolio		1,500		—		—		—		—		—		—		56,224		—		57,724
Mid Cap Growth Portfolio		680		—		—		—		—		—		—		—		—		680
Mid Cap Value Portfolio		680		—		—		—		—		—		—		—		—		680
Small Cap Portfolio		490		—		—		—		—		—		—		—		—		490
International Equity Portfolio		15,730		—		—		—		—		—		—		—		—		15,730
Diversified Fixed Income Portfolio		88,562		—		—		—		—		—		—		151,094		—		239,656
Real Return Portfolio		20,391		32,482		—		—		—		—		—		659,938		—		712,811

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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	$	2,528	$	—	$	—	$	—	$	—	$	—	$	—	$	907	$	—	$	3,435
Multi-Managed Moderate Growth Portfolio		3,981		—		—		—		—		—		—		2,385		—		6,366
Multi-Managed Income/Equity Portfolio		7,155		—		—		—		—		—		—		2,790		—		9,945
Multi-Managed Income Portfolio		9,499		—		—		—		—		—		—		2,823		—		12,322
Asset Allocation: Diversified Growth Portfolio		15,969		—		—		6,272		180,770		9,758		—		37,384		—		250,153
Large Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Large Cap Value Portfolio		—		—		—		—		—		—		—		30,170		—		30,170
Mid Cap Growth Portfolio		—		—		—		—		—		—		—		—		—		—
Mid Cap Value Portfolio		—		—		—		—		—		—		—		—		—		—
Small Cap Portfolio		—		—		—		—		—		—		—		—		—		—
International Equity Portfolio		—		—		—		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		130,333		—		—		—		—		—		—		8,467		—		138,800
Real Return Portfolio		40,289		—		—		—		—		—		—		246,943		—		287,232

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	$	2,450
Multi-Managed Moderate Growth Portfolio		7,679
Multi-Managed Income/Equity Portfolio		139
Multi-Managed Income Portfolio		18,030
Asset Allocation: Diversified Growth Portfolio		607,405
Large Cap Growth Portfolio		1,180
Large Cap Value Portfolio		18,180
Mid Cap Growth Portfolio		18,113
Mid Cap Value Portfolio		18,113

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Portfolio	Cumulative Appreciation (Depreciation)
Small Cap Portfolio	$	102,903
International Equity Portfolio		28,206
Diversified Fixed Income Portfolio		9,657
Real Return Portfolio		466,431

	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(2)			Options*		Futures Contracts(1)		Swap Contracts(2)		Options*			Swap Contracts(2)			Foreign Exchange Contracts(3)			Options*		Total
Multi-Managed Growth Portfolio	$	(4,731	)	$	(877	)	$	—	$	10,807	$	—	$	—		$	(1	)	$	(2,029	)	$	1,173	$	4,342
Multi-Managed Moderate Growth Portfolio		4,255			(1,472	)		—		12,043		—		—			(1,692	)		(75	)		3,078		16,137
Multi-Managed Income/Equity Portfolio		(15,786	)		(1,671	)		—		—		—		—			(1,692	)		(20,231	)		3,520		(35,860	)
Multi-Managed Income Portfolio		(1,339	)		(2,193	)		—		—		—		—			(1,692	)		(998	)		3,516		(2,706	)
Asset Allocation: Diversified Growth Portfolio		(30,672	)		(230,126	)		—		234,523		141,444		(5,177	)		—			250,063			—		360,055
Large Cap Growth Portfolio		—			—			—		110,434		—		—			—			—			—		110,434
Large Cap Value Portfolio		—			—			—		4,934		—		—			—			(1,147,011	)		—		(1,142,077	)
Mid Cap Growth Portfolio		—			—			—		8,353		—		—			—			—			—		8,353
Mid Cap Value Portfolio		—			—			—		8,353		—		—			—			—			—		8,353
Small Cap Portfolio		—			—			—		131,563		—		—			—			—			—		131,563
International Equity Portfolio		—			—			—		483,263		—		—			—			—			—		483,263
Diversified Fixed Income Portfolio		179,096			98,073			—		—		—		—			(162,200	)		(104,344	)		47,063		57,688
Real Return Portfolio		(666,192	)		115			—		—		—		—			—			(17,134,815	)		—		(17,800,892	)

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	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts								Equity Contracts							Credit Contracts		Foreign Exchange Contracts
Portfolio	Futures Contracts(4)			Swap Contracts(5)			Options*		Futures Contracts(4)		Swap Contracts(5)		Options*			Swap Contracts(5)		Foreign Exchange Contracts(6)			Options*		Total
Multi-Managed Growth Portfolio	$	(4,180	)	$	(177	)	$	—	$	622	$	—	$	—		$	1	$	18,926		$	—	$	15,192
Multi-Managed Moderate Growth Portfolio		(4,488	)		(415	)		—		718		—		—			3		40,215			—		36,033
Multi-Managed Income/Equity Portfolio		4,789			(567	)		—		—		—		—			3		47,519			—		51,744
Multi-Managed Income Portfolio		5,184			(512	)		—		—		—		—			3		48,427			—		53,102
Asset Allocation: Diversified Growth Portfolio		28,876			(175,499	)		—		499,837		241,590		(3,285	)		—		(64,189	)		—		527,330
Large Cap Growth Portfolio		—			—			—		6,786		—		—			—		—			—		6,786
Large Cap Value Portfolio		—			—			—		34,586		—		—			—		(117,730	)		—		(83,144	)
Mid Cap Growth Portfolio		—			—			—		22,520		—		—			—		—			—		22,520
Mid Cap Value Portfolio		—			—			—		22,520		—		—			—		—			—		22,520
Small Cap Portfolio		—			—			—		55,064		—		—			—		—			—		55,064
International Equity Portfolio		—			—			—		5,888		—		—			—		—			—		5,888
Diversified Fixed Income Portfolio		(253,595	)		31,870			—		—		—		—			6,780		(33,860	)		—		(248,805	)
Real Return Portfolio		581,605			32,482			—		—		—		—			—		(913,329	)		—		(299,242	)

*  Includes amounts relating to purchased and written options as follows:

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	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations													Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Interest Rate Contracts				Equity Contracts					Foreign Exchange Contracts				Interest Rate Contracts				Equity Contracts					Foreign Exchange Contracts
	Options Purchased(7)		Options Written(8)		Options Purchased(7)			Options Written(8)		Options Purchased(7)		Options Written(8)		Options Purchased(9)		Options Written(10)		Options Purchased(9)			Options Written(10)		Options Purchased(9)		Options Written(10)
Multi-Managed Growth Portfolio	$	—	$	—	$	—		$	—	$	1,173	$	—	$	—	$	—	$	—		$	—	$	—	$	—
Multi Managed Moderate Growth Portfolio		—		—		—			—		3,078		—		—		—		—			—		—		—
Multi-Managed Income/Equity Portfolio		—		—		—			—		3,520		—		—		—		—			—		—		—
Multi-Managed Income Portfolio		—		—		—			—		3,516		—		—		—		—			—		—		—
Asset Allocation: Diversified Growth Portfolio		—		—		(9,632	)		4,455		—		—		—		—		(5,851	)		2,566		—		—
Diversified Fixed Income Portfolio		—		—		—			—		47,063		—		—		—		—			—		—		—

Statement of Operations Location:

(1)  Net realized gain (loss) on futures contracts

(2)  Net realized gain (loss) on swap contracts

(3)  Net realized gain (loss) on forward contracts

(4)  Change in unrealized appreciation (depreciation) on futures contracts

(5)  Change in unrealized appreciation (depreciation) on swap contracts

(6)  Change in unrealized appreciation (depreciation) on forward contracts

(7)  Net realized gain (loss) on investments

(8)  Net realized gain (loss) on written options contracts

(9)  Change in unrealized appreciation (depreciation) on investments

(10)  Change in unrealized appreciation (depreciation) on written options contracts

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The following table represents the average monthly balances of derivatives held during the period ended September 30, 2017.

	Average Amount Outstanding During the Period
Portfolio	Futures Contracts(1)		Foreign Exchange Contracts(1)		Purchased Options Contracts(2)		Interest Rate Swap Contracts(1)		Credit Default Swap Contracts(1)		Total Return Swap Contracts(2)		Written Call Option Contracts(2)		Written Put Option Contracts(2)
Multi-Managed Growth Portfolio	$	3,942,481	$	807,437	$	38,833	$	297,657	$	—	$	—	$	—	$	—
Multi-Managed Moderate Growth Portfolio		12,324,385		2,148,087		100,667		782,528		34,000		—		—		—
Multi-Managed Income/Equity Portfolio		13,644,975		2,736,643		118,333		928,470		34,000		—		—		—
Multi-Managed Income Portfolio .		16,227,589		2,536,282		120,000		1,046,970		34,000		—		—		—
Asset Allocation: Diversified Growth Portfolio		39,402,542		5,192,628		—		—		—		11,814,685		445		18,680
Large Cap Growth Portfolio		1,395,017		—		—		—		—		—		—		—
Large Cap Value Portfolio		1,036,350		21,671,914		—		—		—		—		—		—
Mid Cap Growth Portfolio		698,800		—		—		—		—		—		—		—
Mid Cap Value Portfolio		698,800		—		—		—		—		—		—		—
Small Cap Portfolio		2,596,134		—		—		—		—		—		—		—
International Equity Portfolio		4,691,503		—		—		—		—		—		—		—
Diversified Fixed Income Portfolio		172,067,753		28,036,105		1,656,833		14,940,553		11,069,500
Real Return Portfolio		77,809,954		320,350,359		—		9,457,156		—		—		—		—

(1)  Amounts represent notional amounts in US dollars.

(2)  Amounts represent values in US dollars.

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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, 2017. The repurchase agreements held by the Portfolios as of September 30, 2017, 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)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	363	$	—	$	—	$	363	$	(363	)	$	—	$	(363	)
Deutsche Bank AG		9,408		—		—		9,408		—		—		—		—		9,408			—		9,408
Goldman Sachs International		39		—		—		39		544		—		—		544		(505	)		—		(505	)
HSBC Bank USA		717		—		—		717		—		—		—		—		717			—		717
Royal Bank of Canada		2,967		—		—		2,967		—		—		—		—		2,967			—		2,967
Total	$	13,131	$	—	$	—	$	13,131	$	907	$	—	$	—	$	907	$	12,224		$	—	$	12,224

(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.

330

	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)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	946	$	—	$	—	$	946	$	(946	)	$	—	$	(946	)
Deutsche Bank AG		24,925		—		—		24,925		—		—		—		—		24,925			—		24,925
Goldman Sachs International		104		—		—		104		1,439		—		—		1,439		(1,335	)		—		(1,335	)
HSBC Bank USA		1,886		—		—		1,886		—		—		—		—		1,886			—		1,886
Royal Bank of Canada		7,841		—		—		7,841		—		—		—		—		7,841			—		7,841
Total	$	34,756	$	—	$	—	$	34,756	$	2,385	$	—	$	—	$	2,385	$	32,371		$	—	$	32,371

(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.

331

	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)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	1,105	$	—	$	—	$	1,105	$	(1,105	)	$	—	$	(1,105	)
Deutsche Bank AG		29,017		—		—		29,017		—		—		—		—		29,017			—		29,017
Goldman Sachs International		120		—		—		120		1,684		—		—		1,684		(1,564	)		—		(1,564	)
HSBC Bank USA		2,192		—		—		2,192		—		—		—		—		2,192			—		2,192
Morgan Stanley and Co., Inc.		—		—		—		—		1		—		—		1		(1	)		—		(1	)
Royal Bank of Canada		9,090		—		—		9,090		—		—		—		—		9,090			—		9,090
Total	$	40,419	$	—	$	—	$	40,419	$	2,790	$	—	$	—	$	2,790	$	37,629		$	—	$	37,629

(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.

332

	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)
Barclays Bank PLC	$	—	$	—	$	—	$	—	$	1,117	$	—	$	—	$	1,117	$	(1,117	)	$	—	$	(1,117	)
Deutsche Bank AG		28,957		—		—		28,957		—		—		—		—		28,957			—		28,957
Goldman Sachs International		121		—		—		121		1,706		—		—		1,706		(1,585	)		—		(1,585	)
HSBC Bank USA		2,192		—		—		2,192		—		—		—		—		2,192			—		2,192
Royal Bank of Canada		9,130		—		—		9,130		—		—		—		—		9,130			—		9,130
Total	$	40,400	$	—	$	—	$	40,400	$	2,823	$	—	$	—	$	2,823	$	37,577		$	—	$	37,577

(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.

333

	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.	$	18,639	$	—	$	—	$	18,639	$	290	$	—	$	—	$	290	$	18,349		$	—	$	18,349
Barclays Bank PLC		—		—		—		—		143		—		—		143		(143	)		—		(143	)
Citibank N.A.		—		141,671		—		141,671		4,148		180,770		—		184,918		(43,247	)		—		(43,247	)
Credit Suisse AG		8,639		—		—		8,639		15,026		—		—		15,026		(6,387	)		—		(6,387	)
JPMorgan Chase Bank		17,861		—		—		17,861		17,612		—		—		17,612		249			—		249
State Street Bank and Trust Co.		—		—		—		—		165		—		—		165		(165	)		—		(165	)
UBS AG		4,613		—		12,327		16,940		—		—		9,758		9,758		7,182			—		7,182
Total	$	49,752	$	—	$	12,327	$	62,079	$	37,384	$	39,099	$	9,758	$	86,241	$	(24,162	)	$	—	$	(24,162	)

(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.

334

	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	$	11,443	$	—	$	—	$	11,443	$	15,109	$	—	$	—	$	15,109	$	(3,666	)	$	—	$	(3,666	)
Morgan Stanley Capital Services, Inc.		44,781		—		—		44,781		—		—		—		—		44,781			—		44,781
UBS AG		—		—		—		—		15,061		—		—		15,061		(15,061	)		—		(15,061	)
Total	$	56,224	$	—	$	—	$	56,224	$	30,170	$	—	$	—	$	30,170	$	26,054		$	—	$	26,054

(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.

335

	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)
Goldman Sachs International	$	1,596	$	—	$	—	$	1,596	$	8,454	$	—	$	—	$	8,454	$	(6,858	)	$	—	$	(6,858	)
HSBC Bank USA		28,957		—		—		28,957		—		—		—		—		28,957			—		28,957
Morgan Stanley and Co., Inc.		—		—		—		—		13		—		—		13		(13	)		—		(13	)
Royal Bank of Canada		120,541		—		—		120,541		—		—		—		—		120,541			—		120,541
Total	$	151,094	$	—	$	—	$	151,094	$	8,467	$	—	$	—	$	8,467	$	142,627		$	—	$	142,627

(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.

336

	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	$	28,480	$	—	$	—	$	28,480	$	—	$	—	$	—	$	—	$	28,480		$	—	$	28,480
Citibank N.A.		—		—		—		—		245,991		—		—		245,991		(245,991	)		—		(245,991	)
Deutsche Bank AG		234,648		—		—		234,648		—		—		—		—		234,648			—		234,648
Goldman Sachs International		127,222		—		—		127,222		—		—		—		—		127,222			—		127,222
HSBC Bank USA		18,205		—		—		18,205		—		—		—		—		18,205			—		18,205
Morgan Stanley and Co., Inc.		18,352		—		—		18,352		952		—		—		952		17,400			—		17,400
Royal Bank of Canada		152,024		—		—		152,024		—		—		—		—		152,024			—		152,024
State Street Bank and Trust Co.		81,007		—		—		81,007		—		—		—		—		81,007			—		81,007
Total	$	659,938	$	—	$	—	$	659,938	$	246,943	$	—	$	—	$	246,943	$	412,995		$	—	$	412,995

(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, 2017, the following Portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Value		0.71	%	$	285,000
Mid Cap Growth		0.85			340,000
Diversified Fixed Income		6.34			2,535,000
Real Return		0.23			90,000

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 29, 2017, bearing interest at a rate of 1.04% per annum, with a principal amount of $40,000,000, a repurchase price of $40,003,467, and a maturity date of October 02 , 2017. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.63	%	05/31/2023	$	41,490,600	$	40,880,667

As of September 30, 2017, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Value		0.71	%	$	355,000
Mid Cap Growth		0.85			425,000
Diversified Fixed Income		6.34			3,170,000
Real Return		0.23			115,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated September 29, 2017, bearing interest at a rate of 1.02% per annum, with a principal amount of $50,000,000, a repurchase price of $50,004,250, and a maturity date of October 02, 2017. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Bonds		3.13	%	08/15/2044	$	48,285,000	$	51,027,437

As of September 30, 2017, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Value		0.72	%	$	610,000
Mid Cap Growth		0.85			720,000
Diversified Fixed Income		6.35			5,395,000
Real Return		0.23			195,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated September 29, 2017, bearing interest at a rate of 1.02% per annum, with a principal amount of $85,000,000, a repurchase price of $85,007,225, and a maturity date of October 02, 2017. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		2.13	%	05/15/2025	$	86,410,700	$	86,704,362

338

As of September 30, 2017, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Value		0.72	%	$	235,000
Mid Cap Growth		0.84			275,000
Diversified Fixed Income		6.34			2,080,000
Real Return		0.23			75,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated September 29, 2017, bearing interest at a rate of 1.05% per annum, with a principal amount of $32,805,000, a repurchase price of $32,807,870, and a maturity date of October 02, 2017. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		3.63	%	08/15/2019	$	32,035,000	$	33,475,294

As of September 30, 2017, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:

Portfolio	Percentage Ownership			Principal Amount
Large Cap Value		0.72	%	$	790,000
Mid Cap Growth		0.86			940,000
Diversified Fixed Income		6.36			6,930,000
Real Return		0.24			260,000

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated September 29, 2017, bearing interest at a rate of 1.03% per annum, with a principal amount of $109,000,000, a repurchase price of $109,009,356, and a maturity date of October 02, 2017. The repurchase agreement is collateralized by the following:

Type of Collateral	Interest Rate			Maturity Date	Principal Amount		Value
U.S. Treasury Notes		1.38	%	06/30/2023	$	114,815,000	$	111,262,911

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.

Mortgage-Backed Dollar Rolls: During the period ended September 30, 2017, 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. 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

339

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, 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, 2017, 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 year. 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 year.

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.

Securities purchased or sold on a when-issued or forward commitment basis are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.

Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and 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.

340

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 2013-2015 or expected to be taken in each Portfolio's 2016 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 2013.

New Accounting Pronouncement: In October 2016, the SEC adopted amendments to rules under the 1940 Act ("final rules") intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. All required changes have been made in accordance with Regulation S-X.

Note 3.  Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement

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entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:

Portfolio	Assets	Management Fees
Multi-Managed Growth(1)	0-$250 million		0.89	%
	>$250 million		0.84	%
	>$500 million		0.79	%
Multi-Managed Moderate Growth(1)	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(2)	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(1)	0-$250 million		0.85	%
	>$250 million		0.80	%
	>$500 million		0.75	%
International Equity(3)	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(4)	0-$500 million		0.60	%
	>$500 million		0.55	%
SA Columbia Focused Growth(5)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
SA Columbia Focused Value(6)	0-$250 million		1.00	%
	>$250 million		0.95	%
	>$500 million		0.90	%
Allocation Growth, Allocation Moderate Growth,
Allocation Moderate, Allocation Balanced(7)	>0		0.10	%

(1)  The Adviser has agreed to waive a portion of its advisory fee in an amount equal to the amount of any advisory fees waived by the Portfolio's Subadviser, J.P. Morgan Investment Management, Inc., in connection with those shares of the Portfolio beneficially owned by qualified employer-sponsored retirement plans and IRAs (the "Plans") that are held through separate accounts of AGL and USL under variable insurance contracts sold to the Plans by an affiliated broker-dealer of the Subadviser, who is the broker-dealer of record for such shares. This arrangement will remain in effect so long as the JPM Portfolio Waiver is in effect. For the six months ended September 30, 2017, the amount of advisory fees waived were $24, $40, and $89 for the Multi-Managed Growth, Multi-Managed Moderate Growth, and Small Cap Portfolios, respectively.

(2)  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, 2017, the amount of advisory fees waived was $63,955.

(3)  The Adviser contractually agreed to waive 0.04% of advisory fees for the International Equity Portfolio. For the six months ended September 30, 2017, the amount of advisory fees waived was $139,770.

(4)  The Adviser voluntarily agreed to waive 0.05% of advisory fees for the Real Return Portfolio. For the six months ended September 30, 2017, the amount of advisory fees waived was $179,660.

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(5)  The Adviser contractually agreed to waive its advisory fee 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, 2017, the amount of advisory fees waived was $210,187.

(6)  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, 2017, the amount of advisory fees waived was $526,970.

(7)  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 year ended six months ended September 30, 2017, the amount of advisory fees waived was $4,953, $26,035, $16,239 and $12,018, respectively.

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	T. Rowe Price Massachusetts Financial Services Company SAAMCo
Small Cap	PNC Capital Advisors, LLC J.P. Morgan SAAMCo
International Equity	Schroder Investment Management 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

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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, 2017, 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 provide 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, 2017, service fees were paid (see Statement of Operations) based on the aforementioned rates.

On August 17, 2017, the International Equity Portfolio sold 46 shares of Gedi Gruppo Editoriale SPA, a security that the Portfolio did not own. The Portfolio has an investment restriction that prohibits it from engaging in short sales except to the extent the Portfolio contemporaneously owns, or has the right to obtain without payment, securities identical to those sold short ("short sales against the box"). The short position was closed on August 23, 2017, resulting in a gain of $1 to the Portfolio.

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, investments in partnerships, straddle loss deferrals, inflation securities, treatment of defaulted securities and derivative transactions.

	Distributable Earnings								Tax Distributions
	For the year ended March 31, 2017
Portfolio	Ordinary Income		Long-term Gains/ Capital and Other Losses			Unrealized Appreciation (Depreciation)*			Ordinary Income		Long-Term Capital Gains
Multi-Managed Growth	$	514,968	$	3,408,428		$	7,165,600		$	207,179	$	3,536,614
Multi-Managed Moderate Growth		1,293,157		3,797,659			9,213,654			857,823		6,777,122
Multi-Managed Income/Equity		1,519,778		1,236,357			3,231,533			915,494		2,728,939
Multi-Managed Income		1,345,161		537,619			1,542,123			1,108,380		945,354
Asset Allocation: Diversified Growth		4,605,082		7,869,187			7,284,541			1,026,670		10,473,897
Stock		195,862		52,228,580			100,878,469			—		42,728,794
Large Cap Growth		4,562,297		28,897,476			109,294,137			2,050,074		15,155,847
Large Cap Value		38,237,896		47,511,015			114,430,825			16,663,765		32,660,324
Mid Cap Growth		1,199,516		17,685,974			33,772,148			—		10,247,877
Mid Cap Value		15,223,620		18,313,534			29,125,680			3,155,064		5,604,797
Small Cap		2,581,153		23,042,362			49,411,162			609,826		4,689,072
International Equity		13,168,702		(72,824,438	)		24,812,534			13,039,077		—
Diversified Fixed Income		24,659,129		—			5,427,256			20,803,038		2,129,415
Real Return		17,165,665		(6,771,633	)		(18,824,590	)		—		—
SA Columbia Focused Growth		—		(1,229,518	)		12,582,945			557,949		18,385,031
SA Columbia Focused Value		8,866,802		5,093,378			54,034,287			4,586,558		33,617,555
Allocation Growth		1,132,967		2,556,454			2,998,953			1,524,052		2,089,038
Allocation Moderate Growth		7,365,719		16,516,167			26,438,567			9,027,944		68,945,877
Allocation Moderate		4,669,613		6,953,724			12,832,869			5,709,081		33,431,087
Allocation Balanced		3,729,540		7,733,998			7,896,450			4,602,450		22,827,280

*  Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.

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As of March 31, 2017, 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	2018		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		—		17,062,384
Diversified Fixed Income		—		—		—
Real Return		—		2,854,911		3,916,722
SA Columbia Focused Growth		—		1,229,518		—
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.

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, 2017, 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		—		—		—
Large Cap Growth		—		—		—
Large Cap Value		—		—		—
Mid Cap Growth		—		—		—
Mid Cap Value		—		—		—
Small Cap		—		—		—
International Equity		—		—		2,907,615
Diversified Fixed Income		—		—		—
Real Return		—		—		—

345

Portfolio	Deferred Late Year Ordinary Losses		Deferred Post-October Short-Term Capital Loss		Deferred Post-October Long-Term Capital Loss
SA Columbia Focused Growth	$	109,375	$	—	$	—
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, repurchase agreements and derivatives, were as follows:

Portfolio	Aggregate Unrealized Gain		Aggregate Unrealized Loss			Net Unrealized Gain/(Loss)		Cost of Investments
Multi-Managed Growth	$	9,280,272	$	(1,156,780	)	$	8,123,492	$	49,636,954
Multi-Managed Moderate Growth		12,505,836		(1,787,658	)		10,718,178		88,968,314
Multi-Managed Income/Equity		4,973,505		(777,247	)		4,196,258		70,082,790
Multi-Managed Income		2,521,842		(544,180	)		1,977,662		61,398,062
Asset Allocation: Diversified Growth		18,003,426		(4,013,615	)		13,989,811		121,931,112
Stock		115,603,073		(2,695,896	)		112,907,177		339,707,238
Large Cap Growth		127,419,832		(5,598,889	)		121,820,943		398,030,610
Large Cap Value		139,950,716		(37,947,881	)		102,002,835		803,693,239
Mid Cap Growth		51,870,808		(7,052,041	)		44,818,767		173,644,692
Mid Cap Value		35,652,251		(9,731,487	)		25,920,764		225,501,929
Small Cap		67,223,528		(10,606,963	)		56,616,565		227,943,545
International Equity		103,166,086		(16,926,978	)		86,239,108		564,647,697
Diversified Fixed Income		17,400,723		(5,655,189	)		11,745,534		1,204,558,056
Real Return		14,719,490		(13,069,319	)		1,650,171		686,721,130
SA Columbia Focused Growth		26,710,852		(5,713,978	)		20,996,874		103,747,114
SA Columbia Focused Value		73,019,765		(7,826,364	)		65,193,401		250,928,960
Allocation Growth		5,994,453		(2,995,886	)		2,998,567		104,161,146
Allocation Moderate Growth		29,080,429		(8,429,858	)		20,650,571		502,657,254
Allocation Moderate		15,060,966		(6,049,954	)		9,011,012		314,774,031
Allocation Balanced		9,019,752		(2,044,860	)		6,974,892		232,576,444

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, 2017, 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, 2017 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	$	12,811,364	$	16,563,781	$	2,077,348	$	2,189,097
Multi-Managed Moderate Growth		23,681,940		28,777,050		5,219,356		4,119,341
Multi-Managed Income/Equity		18,911,122		21,707,298		6,363,895		5,918,714
Multi-Managed Income		16,473,708		18,756,709		3,946,556		3,555,409
Asset Allocation: Diversified Growth		18,207,368		16,105,179		19,251,553		18,040,571
Stock		122,678,168		169,381,414		—		—
Large Cap Growth		85,601,116		141,629,610		—		—
Large Cap Value		123,476,740		273,354,117		—		—
Mid Cap Growth		51,535,923		59,522,969		—		—

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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
Mid Cap Value	$	43,073,994	$	82,607,279	$	—	$	—
Small Cap		47,872,064		75,010,642		—		—
International Equity		76,695,197		167,406,932		—		—
Diversified Fixed Income		269,905,558		278,812,656		136,222,733		214,055,382
Real Return		49,142,818		—		113,215,875		79,242,280
SA Columbia Focused   Growth Portfolio		16,884,379		35,689,484		—		—
SA Columbia Focused Value Portfolio		6,390,559		70,338,345		—		—
Allocation Growth		62,919,604		56,281,856		—		—
Allocation Moderate Growth		231,132,753		256,806,303		—		—
Allocation Moderate		148,089,553		166,768,151		—		—
Allocation Balanced		102,412,256		115,197,874		—		—

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, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		13,888		$	239,843			15,759		$	257,254			28,226		$	486,311			47,864		$	778,726
Reinvested dividends		—			—			43,922			698,996			—			—			85,259			1,356,486
Shares redeemed		(76,947	)		(1,309,747	)		(121,808	)		(1,984,339	)		(70,314	)		(1,192,147	)		(221,435	)		(3,602,118	)
Net increase (decrease)		(63,059	)	$	(1,069,904	)		(62,127	)	$	(1,028,089	)		(42,088	)	$	(705,836	)		(88,312	)	$	(1,466,906	)
	Multi-Managed Growth Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		41,483		$	714,932			201,679		$	3,281,687
Reinvested dividends		—			—			106,307			1,688,311
Shares redeemed		(189,025	)		(3,209,854	)		(450,043	)		(7,336,716	)
Net increase (decrease)		(147,542	)	$	(2,494,922	)		(142,057	)	$	(2,366,718	)
	Multi-Managed Moderate Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		15,812		$	206,982			27,417		$	340,951			63,910		$	834,508			191,194		$	2,387,655
Reinvested dividends		—			—			67,351			818,609			—			—			294,739			3,578,815
Shares redeemed		(42,406	)		(550,031	)		(177,944	)		(2,272,156	)		(252,638	)		(3,251,045	)		(690,718	)		(8,724,148	)
Net increase (decrease)		(26,594	)	$	(343,049	)		(83,176	)	$	(1,112,596	)		(188,728	)	$	(2,416,537	)		(204,785	)	$	(2,757,678	)

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	Multi-Managed Moderate Growth Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		96,607		$	1,255,372			234,278		$	2,953,861
Reinvested dividends		—			—			266,921			3,237,521
Shares redeemed		(256,635	)		(3,301,710	)		(747,851	)		(9,437,493	)
Net increase (decrease)		(160,028	)	$	(2,046,338	)		(246,652	)	$	(3,246,111	)
	Multi-Managed Income/Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		36,067		$	410,125			43,814		$	480,670			99,059		$	1,125,485			187,246		$	2,051,810
Reinvested dividends		—			—			49,587			526,975			—			—			189,058			2,007,233
Shares redeemed		(50,987	)		(579,375	)		(182,515	)		(2,010,405	)		(294,297	)		(3,320,229	)		(612,557	)		(6,783,722	)
Net increase (decrease)		(14,920	)	$	(169,250	)		(89,114	)	$	(1,002,760	)		(195,238	)	$	(2,194,744	)		(236,253	)	$	(2,724,679	)
	Multi-Managed Income/Equity Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		134,076		$	1,514,386			170,079		$	1,876,377
Reinvested dividends		—			—			104,521			1,110,225
Shares redeemed		(285,365	)		(3,224,259	)		(497,149	)		(5,555,465	)
Net increase (decrease)		(151,289	)	$	(1,709,873	)		(222,549	)	$	(2,568,863	)
	Multi-Managed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		12,678		$	144,353			30,306		$	334,382			65,557		$	745,051			154,288		$	1,703,580
Reinvested dividends		—			—			24,916			268,455			—			—			105,446			1,134,992
Shares redeemed		(59,453	)		(672,997	)		(123,415	)		(1,359,504	)		(232,510	)		(2,628,761	)		(422,791	)		(4,717,172	)
Net increase (decrease)		(46,775	)	$	(528,644	)		(68,193	)	$	(756,667	)		(166,953	)	$	(1,883,710	)		(163,057	)	$	(1,878,600	)

348

	Multi-Managed Income Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		69,003		$	780,880			148,292		$	1,644,106
Reinvested dividends		—			—			60,407			650,287
Shares redeemed		(138,165	)		(1,561,543	)		(491,411	)		(5,463,336	)
Net increase (decrease)		(69,162	)	$	(780,663	)		(282,712	)	$	(3,168,943	)
	Asset Allocation: Diversified Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		22,155		$	272,003			15,034		$	175,933			55,321		$	679,780			104,480		$	1,226,711
Reinvested dividends		—			—			137,704			1,563,267			—			—			482,627			5,481,538
Shares redeemed		(135,695	)		(1,680,025	)		(323,843	)		(3,782,688	)		(448,105	)		(5,536,539	)		(1,020,965	)		(11,928,964	)
Net increase (decrease)		(113,540	)	$	(1,408,022	)		(171,105	)	$	(2,043,488	)		(392,784	)	$	(4,856,759	)		(433,858	)	$	(5,220,715	)
	Asset Allocation: Diversified Growth Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		1,072,086		$	13,222,962			493,385		$	5,798,623
Reinvested dividends		—			—			392,848			4,455,762
Shares redeemed		(480,056	)		(5,917,572	)		(1,180,251	)		(13,852,324	)
Net increase (decrease)		592,030		$	7,305,390			(294,018	)	$	(3,597,939	)
	Stock Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		7,705		$	207,533			92,834		$	2,145,160			7,791		$	204,342			57,075		$	1,320,778
Reinvested dividends		—			—			1,499,001			33,926,523			—			—			213,672			4,728,985
Shares redeemed		(1,289,529	)		(34,683,618	)		(3,862,386	)		(93,683,084	)		(223,446	)		(5,865,845	)		(504,173	)		(11,850,893	)
Net increase (decrease)		(1,281,824	)	$	(34,476,085	)		(2,270,551	)	$	(57,611,401	)		(215,655	)	$	(5,661,503	)		(233,426	)	$	(5,801,130	)

349

	Stock Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		30,582		$	788,446			132,334		$	3,069,100
Reinvested dividends		—			—			186,570			4,073,286
Shares redeemed		(241,752	)		(6,265,239	)		(565,888	)		(13,196,222	)
Net increase (decrease)		(211,170	)	$	(5,476,793	)		(246,984	)	$	(6,053,836	)
	Large Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		5,341,266		$	78,362,376			18,871,063		$	247,156,869			19,797		$	276,321			87,005		$	1,112,506
Reinvested dividends		—			—			1,225,732			15,508,950			—			—			88,697			1,102,016
Shares redeemed		(8,736,441	)		(128,757,260	)		(5,034,207	)		(65,968,720	)		(181,483	)		(2,567,662	)		(563,584	)		(7,148,476	)
Net increase (decrease)		(3,395,175	)	$	(50,394,884	)		15,062,588		$	196,697,099			(161,686	)	$	(2,291,341	)		(387,882	)	$	(4,933,954	)
	Large Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		29,864		$	410,972			340,314		$	4,259,748
Reinvested dividends		—			—			48,331			594,955
Shares redeemed		(141,981	)		(1,988,747	)		(15,465,014	)		(195,468,762	)
Net increase (decrease)		(112,117	)	$	(1,577,775	)		(15,076,369	)	$	(190,614,059	)
	Large Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		868,204		$	15,257,468			13,318,055		$	218,746,645			11,742		$	205,990			83,574		$	1,377,839
Reinvested dividends		—			—			2,805,990			47,216,867			—			—			80,496			1,353,843
Shares redeemed		(9,822,244	)		(171,439,861	)		(9,670,301	)		(162,571,515	)		(116,898	)		(2,047,782	)		(351,938	)		(5,774,806	)
Net increase (decrease)		(8,954,040	)	$	(156,182,393	)		6,453,744		$	103,391,997			(105,156	)	$	(1,841,792	)		(187,868	)	$	(3,043,124	)

350

	Large Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		32,421		$	567,130			3,368,422		$	52,998,625
Reinvested dividends		—			—			44,807			753,379
Shares redeemed		(95,950	)		(1,674,197	)		(12,642,127	)		(206,386,797	)
Net increase (decrease)		(63,529	)	$	(1,107,067	)		(9,228,898	)	$	(152,634,793	)
	Mid Cap Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,042,639		$	18,836,967			1,235,308		$	20,691,547			14,867		$	258,433			43,295		$	695,837
Reinvested dividends		—			—			511,866			8,295,756			—			—			73,169			1,140,967
Shares redeemed		(1,270,104	)		(22,916,658	)		(756,836	)		(12,483,647	)		(106,142	)		(1,845,712	)		(259,464	)		(4,090,880	)
Net increase (decrease)		(227,465	)	$	(4,079,691	)		990,338		$	16,503,656			(91,275	)	$	(1,587,279	)		(143,000	)	$	(2,254,076	)
	Mid Cap Growth Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		34,922		$	572,665			61,231		$	936,356
Reinvested dividends		—			—			53,176			811,154
Shares redeemed		(108,454	)		(1,814,231	)		(3,362,255	)		(51,512,001	)
Net increase (decrease)		(73,532	)	$	(1,241,566	)		(3,247,848	)	$	(49,764,491	)
	Mid Cap Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		728,585		$	13,274,895			1,402,171		$	23,812,555			12,160		$	222,157			96,351		$	1,656,437
Reinvested dividends		—			—			421,633			7,504,980			—			—			42,322			751,740
Shares redeemed		(2,929,296)			(52,812,708	)		(3,382,991	)		(59,447,901	)		(95,777	)		(1,737,958	)		(351,393	)		(5,967,285	)
Net increase (decrease)		(2,200,711	)	$	(39,537,813	)		(1,559,187	)	$	(28,130,366	)		(83,617	)	$	(1,515,801	)		(212,720	)	$	(3,559,108	)

351

	Mid Cap Value Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		31,567		$	570,438			130,760		$	2,181,581
Reinvested dividends		—			—			28,372			503,141
Shares redeemed		(126,000	)		(2,282,748	)		(2,361,886	)		(39,637,139	)
Net increase (decrease)		(94,433	)	$	(1,712,310	)		(2,202,754	)	$	(36,952,417	)
	Small Cap Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		215,077		$	3,043,543			2,633,054		$	33,638,462			13,995		$	194,867			79,893		$	1,105,916
Reinvested dividends		—			—			333,001			4,811,255			—			—			20,858			294,432
Shares redeemed		(2,312,622	)		(32,337,575	)		(4,476,571	)		(62,326,819	)		(117,203	)		(1,619,234	)		(294,507	)		(3,828,929	)
Net increase (decrease)		(2,097,545	)	$	(29,294,032	)		(1,510,516	)	$	(23,877,102	)		(103,208	)	$	(1,424,367	)		(193,756	)	$	(2,428,581	)
	Small Cap Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		31,023		$	420,247			92,774		$	1,176,252
Reinvested dividends		—			—			13,885			193,211
Shares redeemed		(85,611	)		(1,167,122	)		(3,643,981	)		(44,691,882	)
Net increase (decrease)		(54,588	)	$	(746,875	)		(3,537,322	)	$	(43,322,419	)
	International Equity Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		1,161,197		$	10,575,328			27,148,372		$	214,041,190			85,068		$	771,161			142,906		$	1,128,875
Reinvested dividends											1,573,115			12,419,142						43,522			344,358
Shares redeemed		(11,830,352)			(111,246,525	)		(18,361,113	)		(148,987,836	)		(163,059)			(1,487,268	)		(590,589	)		(4,726,882	)
Net increase (decrease)		(10,669,155)		$	(100,671,197	)		10,360,374		$	77,472,496			(77,991	)	$	(716,107	)		(404,161	)	$	(3,253,649	)

352

	International Equity Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		93,160		$	837,079			303,702		$	2,370,070
Reinvested dividends		—			—			34,939			275,577
Shares redeemed		(254,755	)		(2,305,601	)		(27,959,863	)		(219,516,659	)
Net increase (decrease)		(161,595	)	$	(1,468,522	)		(27,621,222	)	$	(216,871,012	)
	Diversified Fixed Income Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		6,166,897		$	72,903,376			43,558,132		$	521,969,428			35,491		$	421,825			133,491		$	1,573,046
Reinvested dividends		—			—			1,922,585			22,078,727			—			—			47,451			544,522
Shares redeemed		(14,810,171)			(176,836,750	)		(12,685,009	)		(149,587,155	)		(279,060	)		(3,314,183	)		(790,994	)		(9,402,227	)
Net increase (decrease)		(8,643,274	)	$	(103,933,374	)		32,795,708		$	394,461,000			(243,569	)	$	(2,892,358	)		(610,052	)	$	(7,284,659	)
	Diversified Fixed Income Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		82,058		$	967,555			1,224,849		$	14,454,545
Reinvested dividends		—			—			27,084			309,204
Shares redeemed		(170,913	)		(2,013,814	)		(37,214,707	)		(445,915,355	)
Net increase (decrease)		(88,855	)	$	(1,046,259	)		(35,962,774	)	$	(431,151,606	)
	Real Return Portfolio
	Class 1												Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		4,362,126		$	42,746,371			15,246,502		$	147,565,139			3,324,315		$	32,235,357			6,072,373		$	58,522,730
Reinvested dividends		—			—			—			—			—			—			—			—
Shares redeemed		(1,136,831)			(11,131,492	)		(3,296,265	)		(31,695,529	)		(3,091,865)			(30,024,870	)		(9,134,674	)		(87,913,269	)
Net increase (decrease)		3,225,295		$	31,614,879			11,950,237		$	115,869,610			232,450		$	2,210,487			(3,062,301	)	$	(29,390,539	)

353

	SA Columbia Focused Growth Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		18,409		$	175,996			1,815,863		$	17,458,025			54,699		$	491,824			83,059		$	618,627
Reinvested dividends											1,622,996			12,640,920						458,697			3,422,901
Shares redeemed		(1,873,210	)		(18,211,651	)		(10,413,840	)		(94,453,066	)		(185,131)			(1,674,922	)		(601,826	)		(5,171,254	)
Net increase (decrease)		(1,854,801	)	$	(18,035,655	)		(6,974,981	)	$	(64,354,121	)		(130,432)		$	(1,183,098	)		(60,070	)	$	(1,129,726	)
	SA Columbia Focused Growth Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		102,069		$	895,842			164,570		$	1,290,448
Reinvested dividends		—			—			395,720			2,879,159
Shares redeemed		(258,620	)		(2,283,746	)		(2,491,482	)		(22,237,082	)
Net increase (decrease)		(156,551	)	$	(1,387,904	)		(1,931,192	)	$	(18,067,475	)
	SA Columbia Focused Value Portfolio
	Class 1												Class 2
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017						For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount			Shares			Amount			Shares			Amount
Shares sold		11,625		$	223,693			2,579,176		$	44,803,799			5,770		$	111,215			39,092		$	714,891
Reinvested dividends		—			—			1,940,003			35,570,343			—			—			78,863			1,444,928
Shares redeemed		(3,506,030	)		(67,425,915	)		(3,799,520	)		(70,708,877	)		(70,881	)		(1,365,758	)		(162,631	)		(2,952,882	)
Net increase (decrease)		(3,494,405	)	$	(67,202,222	)		719,659		$	9,665,265			(65,111	)	$	(1,254,543	)		(44,676	)	$	(793,063	)
	SA Columbia Focused Value Portfolio
	Class 3
	For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares			Amount			Shares			Amount
Shares sold		14,034		$	274,305			29,945		$	549,387
Reinvested dividends		—			—			65,026			1,188,842
Shares redeemed		(62,528	)		(1,199,983	)		(1,348,534	)		(24,206,161	)
Net increase (decrease)		(48,494	)	$	(925,678	)		(1,253,563	)	$	(22,467,932	)

354

	Allocation Growth Portfolio
	Class 1								Class 3
	For the six months ended September 30, 2017 (unaudited)				For the period September 26, 2016@ through March 31, 2017				For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares		Amount		Shares		Amount		Shares			Amount			Shares			Amount
Shares sold		—	$	—		7,930	$	100,000		1,110,664		$	15,500,621			781,556		$	10,102,846
Reinvested dividends		—		—		—		—		—			—			287,410			3,613,090
Shares redeemed		—		—		—		—		(622,960	)		(8,660,567	)		(1,487,349	)		(19,055,944	)
Net increase (decrease)		—	$	—		7,930	$	100,000		487,704		$	6,840,054			(418,383	)	$	(5,340,008	)
	Allocation Moderate Growth Portfolio
	Class 1								Class 3
	For the six months ended September 30, 2017 (unaudited)				For the period September 26, 2016@ through March 31, 2017				For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares		Amount		Shares		Amount		Shares			Amount			Shares			Amount
Shares sold		—	$	—		9,346	$	100,000		1,181,275		$	13,698,500			2,013,622		$	22,698,383
Reinvested dividends		—		—		—		—		—			—			7,310,179			77,973,821
Shares redeemed		—		—		—		—		(3,316,161	)		(38,402,158	)		(6,960,846	)		(79,449,721	)
Net increase (decrease)		—	$	—		9,346	$	100,000		(2,134,886	)	$	(24,703,658	)		2,362,955		$	21,222,483
	Allocation Moderate Portfolio
	Class 1								Class 3
	For the six months ended September 30, 2017 (unaudited)				For the period September 26, 2016@ through March 31, 2017				For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares		Amount		Shares		Amount		Shares			Amount			Shares			Amount
Shares sold		—	$	—		9,375	$	100,000		1,022,107		$	11,683,431			2,224,122		$	25,227,411
Reinvested dividends		—		—		—		—		—			—			3,680,841			39,140,168
Shares redeemed		—		—		—		—		(2,603,930	)		(29,746,132	)		(4,651,719	)		(52,158,451	)
Net increase (decrease)		—	$	—		9,375	$	100,000		(1,581,823	)	$	(18,062,701	)		1,253,244		$	12,209,128
	Allocation Balanced Portfolio
	Class 1								Class 3
	For the six months ended September 30, 2017 (unaudited)				For the period September 26, 2016@ through March 31, 2017				For the six months ended September 30, 2017 (unaudited)						For the year ended March 31, 2017
	Shares		Amount		Shares		Amount		Shares			Amount			Shares			Amount
Shares sold		—	$	—		9,607	$	100,000		1,706,473		$	18,710,134			1,990,656		$	21,376,824
Reinvested dividends		—		—		—		—		—			—			2,643,737			27,429,730
Shares redeemed		—		—		—		—		(2,834,019	)		(31,031,397	)		(5,021,413	)		(54,436,871	)
Net increase (decrease)		—	$	—		9,607	$	100,000		(1,127,546	)	$	(12,321,263	)		(387,020	)	$	(5,630,317	)

@  Commencement of operations

355

Note 8.  Transactions with Affiliates: The following Portfolio incurred brokerage commissions with affiliated brokers for the six months ended September 30, 2017:

Portfolio	Goldman Sachs & Co.		Wells Fargo
Mid Cap Value	$	1,457	$	74

As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust, SunAmerica Series Trust or Anchor Series Trust and securities issued by American International Group, Inc. ("AIG") or an affiliate thereof. For the six months ended September 30, 2017, transactions in these securities were as follows:

Large Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2017
American International Group, Inc.	$	19,163	$	—	$	2,147,280	$	47,227	$	412,660	$	131,020	$	(159,876	)	$	1,752,991

Mid Cap Value Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2017
Allied World Assurance Co. Holdings AG	$	—	$	—	$	123,670	$	—	$	114,006	$	30,341	$	(40,005	)	$	—

Allocation Growth Portfolio

Security	Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2017
Anchor Series Trust
Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	—	$	1,565,028	$	3,883	$	24		$	(3,443	)	$	1,557,726
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 1		—		—		13,699,092		4,152,541		6,471,701		96,464			273,078			11,749,474
International Equity Portfolio, Class 1		—		—		17,033,497		3,921,866		12,165,317		2,068,216			196,615			11,054,877
Large Cap Growth Portfolio, Class 1		—		—		21,451,817		2,341,906		13,044,109		1,260,646			627,771			12,638,031
Large Cap Value Portfolio, Class 1		—		—		20,970,482		2,179,607		10,782,624		2,234,839			(1,601,237	)		13,001,067
Mid Cap Growth Portfolio, Class 1		—		—		2,796,769		708,121		2,444,443		41,681			215,563			1,317,691
Mid Cap Value Portfolio, Class 1		—		—		3,127,187		545,368		2,470,667		273,631			(227,707	)		1,247,812
Real Return Portfolio, Class 1		—		—		1,973,266		635,679		89,600		(316	)		16,354			2,535,383
SA Columbia Focused Growth Portfolio, Class 1		—		—		1,590,993		110,180		1,856,330		(125,238	)		280,395			—
SA Columbia Focused Value Portfolio, Class 1		—		—		1,827,907		104,215		1,976,775		527,734			(483,081	)		—
Small Cap Portfolio, Class 1		—		—		3,978,993		874,357		3,241,241		601,141			(544,257	)		1,668,993
SunAmerica Series Trust
Blue Chip Growth, Class 1		—		—		—		4,169,502		7,133		19			72,182			4,234,570
Corporate Bond Portfolio, Class 1		—		—		—		2,065,783		6,251		47			11,430			2,071,009
Emerging Markets Portfolio, Class 1		—		—		2,155,270		421,886		307,082		53,442			338,258			2,661,774

356

Allocation Growth Portfolio (continued)

Security	Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2017
Equity Opportunities Portfolio, Class 1	$	—	$	—	$	—	$	3,915,934	$	6,754	$	33		$	70,989		$	3,980,202
Growth Opportunities Portfolio, Class 1		—		—		—		733,714		1,382		20			23,954			756,306
Growth-Income Portfolio, Class 1		—		—		—		4,983,309		8,537		(34	)		180,726			5,155,464
High-Yield Bond Portfolio, Class 1		—		—		1,882,274		181,408		1,284,443		71,966			8,024			859,229
International Diversified Equities Portfolio, Class 1		—		—		—		3,105,230		5,618		30			38,798			3,138,440
International Growth and Income Portfolio, Class 1		—		—		—		1,831,183		3,188		13			31,468			1,859,476
Mid Cap Growth Portfolio, Class 1		—		—		—		1,547,693		4,532		80			64,880			1,608,121
SA AB Growth Portfolio, Class 1		—		—		—		3,134,350		9,376		61			60,125			3,185,160
SA International Index Portfolio, Class 1		—		—		—		5,722,290		7,794		55			79,678			5,794,229
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		—		2,504,462		1,058		(6	)		(18,715	)		2,484,683
SA Large Cap Index Portfolio, Class 1		—		—		—		7,049,266		12,640		20			159,022			7,195,668
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		—		2,100,135		3,566		(14	)		40,835			2,137,390
SA Mid Cap Index Portfolio, Class 1		—		—		—		618,184		1,741		3			25,990			642,436
SA Small Cap Index Portfolio, Class 1		—		—		—		723,024		2,188		40			56,415			777,291
Ultra Short Bond Portfolio, Class 1		—		—		929,948		973,383		61,883		259			5,504			1,847,211
	$	—	$	—	$	93,417,495	$	62,919,604	$	56,281,856	$	7,104,856		$	(386	)	$	107,159,713

Allocation Moderate Growth Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2017
Anchor Series Trust
Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	—	$	12,309,526	$	101,412	$	269		$	(28,282	)	$	12,180,101
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 1		—		—		137,512,968		4,271,717		51,227,197		(81,397	)		3,679,463			94,155,554
International Equity Portfolio, Class 1		—		—		76,736,399		2,665,191		46,603,550		10,459,853			(901,956	)		42,355,937
Large Cap Growth Portfolio, Class 1		—		—		100,667,924		331,497		57,079,931		7,924,187			663,323			52,507,000
Large Cap Value Portfolio, Class 1		—		—		98,962,676		310,726		48,718,279		13,938,188			(11,175,995	)		53,317,316
Mid Cap Growth Portfolio, Class 1		—		—		10,324,191		32,506		6,391,973		(5,896	)		868,170			4,826,998
Mid Cap Value Portfolio, Class 1		—		—		12,489,583		34,037		8,025,211		568,549			(368,182	)		4,698,776
Real Return Portfolio, Class 1		—		—		17,876,145		3,567,285		990,407		(52,722	)		194,244			20,594,545
SA Columbia Focused Growth Portfolio, Class 1		—		—		6,833,039		16,521		7,603,326		(387,897	)		1,141,663			—

357

Allocation Moderate Growth Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2017
SA Columbia Focused Value Portfolio, Class 1	$	—	$	—	$	8,289,118	$	16,619	$	8,510,941	$	2,554,400		$	(2,349,196	)	$	—
Small Cap Portfolio, Class 1		—		—		15,888,705		40,411		9,831,440		2,834,073			(2,530,503	)		6,401,246
SunAmerica Series Trust
Blue Chip Growth, Class 1		—		—		—		18,162,642		104,291		297			313,971			18,372,619
Corporate Bond Portfolio, Class 1		—		—		—		17,013,724		170,826		672			95,036			16,938,606
Emerging Markets Portfolio, Class 1		—		—		7,197,377		2,031,971		1,162,387		199,597			1,229,722			9,496,280
Equity Opportunities Portfolio, Class 1		—		—		—		15,710,847		89,739		492			283,846			15,905,446
Growth Opportunities Portfolio, Class 1		—		—		—		3,202,225		19,890		188			99,502			3,282,025
Growth-Income Portfolio, Class 1		—		—		—		20,814,438		118,843		142			752,071			21,447,808
High-Yield Bond Portfolio, Class 1		—		—		14,301,729		44,535		8,674,461		472,210			122,572			6,266,585
International Diversified Equities Portfolio, Class 1		—		—		—		12,808,836		72,518		416			157,468			12,894,202
International Growth and Income Portfolio, Class 1		—		—		—		6,554,526		37,594		217			110,930			6,628,079
Mid Cap Growth Portfolio, Class 1		—		—		—		5,754,717		58,721		807			241,824			5,938,627
SA AB Growth Portfolio, Class 1		—		—		—		12,142,971		126,174		543			232,749			12,250,089
SA International Index Portfolio, Class 1		—		—		—		23,515,190		96,976		729			323,201			23,742,144
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		—		20,611,583		19,298		(109	)		(154,065	)		20,438,111
SA Large Cap Index Portfolio, Class 1		—		—		—		28,569,827		162,499		586			643,410			29,051,324
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		—		9,245,440		52,145		115			173,680			9,367,090
SA Mid Cap Index Portfolio, Class 1		—		—		—		2,602,144		26,691		123			108,909			2,684,485
SA Small Cap Index Portfolio, Class 1		—		—		—		3,002,574		32,030		568			234,013			3,205,125
Ultra Short Bond Portfolio, Class 1		—		—		9,257,508		5,748,527		697,553		2,809			50,416			14,361,707
	$	—	$	—	$	516,337,362	$	231,132,753	$	256,806,303	$	38,432,009		$	(5,787,996	)	$	523,307,825

Allocation Moderate Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2017
Anchor Series Trust
Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	—	$	9,573,330	$	77,120	$	154	$	(19,261	)	$	9,477,103
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 1		—		—		111,953,159		6,073,897		47,994,952		245,479		2,611,044			72,888,627
International Equity Portfolio, Class 1		—		—		38,201,594		2,269,235		24,098,624		4,633,357		161,144			21,166,706
Large Cap Growth Portfolio, Class 1		—		—		54,625,908		219,080		31,130,210		6,185,361		(1,541,902	)		28,358,237

358

Allocation Moderate Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2017
Large Cap Value Portfolio, Class 1	$	—	$	—	$	56,907,164	$	212,931	$	29,585,432	$	8,050,128		$	(6,505,591	)	$	29,079,200
Mid Cap Growth Portfolio, Class 1		—		—		4,800,844		2,021,413		4,672,277		198,051			325,459			2,673,490
Mid Cap Value Portfolio, Class 1		—		—		5,162,868		1,716,820		4,378,154		289,038			(207,667	)		2,582,905
Real Return Portfolio, Class 1		—		—		12,484,003		4,121,639		840,253		7,263			92,254			15,864,906
SA Columbia Focused Growth Portfolio, Class 1		—		—		3,721,295		9,454		4,136,470		(253,307	)		659,028			—
SA Columbia Focused Value Portfolio, Class 1		—		—		4,426,925		6,030		4,536,260		1,224,369			(1,121,064	)		—
Small Cap Portfolio, Class 1		—		—		8,721,242		1,024,272		6,337,881		1,059,356			(911,197	)		3,555,792
SunAmerica Series Trust
Blue Chip Growth, Class 1		—		—		—		9,719,938		49,286		393			167,363			9,838,408
Corporate Bond Portfolio, Class 1		—		—		—		13,035,831		122,773		511			72,733			12,986,302
Emerging Markets Portfolio, Class 1		—		—		3,285,987		1,220,129		217,650		33,506			554,488			4,876,460
Equity Opportunities Portfolio, Class 1		—		—		—		8,875,504		45,875		473			159,163			8,989,265
Growth Opportunities Portfolio, Class 1		—		—		—		1,612,789		8,214		146			48,872			1,653,593
Growth-Income Portfolio, Class 1		—		—		—		11,319,523		57,501		452			411,177			11,673,651
High-Yield Bond Portfolio, Class 1		—		—		10,633,118		35,793		6,106,337		337,707			110,437			5,010,718
International Diversified Equities Portfolio, Class 1		—		—		—		6,431,156		32,858		327			77,783			6,476,408
International Growth and Income Portfolio, Class 1		—		—		—		3,215,578		16,429		206			53,639			3,252,994
Mid Cap Growth Portfolio, Class 1		—		—		—		3,208,875		30,345		666			134,893			3,314,089
SA AB Growth Portfolio, Class 1		—		—		—		7,219,969		68,277		665			139,509			7,291,866
SA International Index Portfolio, Class 1		—		—		—		11,255,896		42,193		527			155,421			11,369,651
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		—		16,011,401		12,561		(88	)		(119,681	)		15,879,071
SA Large Cap Index Portfolio, Class 1		—		—		—		16,078,549		84,927		782			362,230			16,356,634
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		—		4,835,619		24,643		206			88,565			4,899,747
SA Mid Cap Index Portfolio, Class 1		—		—		—		1,303,550		12,138		156			54,625			1,346,193
SA Small Cap Index Portfolio, Class 1		—		—		—		1,604,438		15,173		443			125,181			1,714,889
Ultra Short Bond Portfolio, Class 1		—		—		9,335,232		3,856,914		2,033,338		9,832			39,498			11,208,138
	$	—	$	—	$	324,259,339	$	148,089,553	$	166,768,151	$	22,026,159		$	(3,821,857	)	$	323,785,043

359

Allocation Balanced Portfolio

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss			Change in Unrealized Gain (Loss)			Value at September 30, 2017
Anchor Series Trust
Government & Quality Bond Portfolio, Class 1	$	—	$	—	$	—	$	9,547,729	$	122,411	$	422		$	(17,042	)	$	9,408,698
Seasons Series Trust
Diversified Fixed Income Portfolio, Class 1		—		—		110,834,895		6,184,869		47,063,813		135,275			2,710,054			72,801,280
International Equity Portfolio, Class 1		—		—		20,512,294		1,586,304		13,161,676		2,628,405			(54,469	)		11,510,858
Large Cap Growth Portfolio, Class 1		—		—		30,337,773		392,905		17,922,828		3,486,514			(920,682	)		15,373,682
Large Cap Value Portfolio, Class 1		—		—		33,123,510		370,131		18,691,044		4,423,711			(3,600,639	)		15,625,669
Mid Cap Growth Portfolio, Class 1		—		—		1,347,884		1,029,212		1,234,773		101,804			89,257			1,333,384
Mid Cap Value Portfolio, Class 1		—		—		1,556,652		925,592		1,069,345		177,318			(129,945	)		1,460,272
Real Return Portfolio, Class 1		—		—		14,268,428		2,351,084		1,003,045		5,566			106,669			15,728,702
SA Columbia Focused Growth Portfolio, Class 1		—		—		2,174,966		18,990		2,432,302		(128,406	)		366,752			—
SA Columbia Focused Value Portfolio, Class 1		—		—		2,814,480		19,728		2,904,398		779,041			(708,851	)		—
Small Cap Portfolio, Class 1		—		—		3,904,068		1,045,977		3,085,014		252,724			(166,023	)		1,951,732
SunAmerica Series Trust
Blue Chip Growth, Class 1		—		—		—		5,270,294		38,760		33			90,346			5,321,913
Corporate Bond Portfolio, Class 1		—		—		—		12,568,365		188,098		837			69,548			12,450,652
Emerging Markets Portfolio, Class 1		—		—		1,514,960		726,470		112,307		17,292			258,049			2,404,464
Equity Opportunities Portfolio, Class 1		—		—		—		4,818,780		36,820		81			84,159			4,866,200
Growth Opportunities Portfolio, Class 1		—		—		—		834,558		12,540		64			34,962			857,044
Growth-Income Portfolio, Class 1		—		—		—		6,124,125		47,816		(190	)		221,234			6,297,353
High-Yield Bond Portfolio, Class 1		—		—		9,560,910		116,066		5,083,256		334,159			76,654			5,004,533
International Diversified Equities Portfolio, Class 1		—		—		—		3,584,084		27,615		159			43,487			3,600,115
International Growth and Income Portfolio, Class 1		—		—		—		1,787,224		14,678		61			30,485			1,803,092
Mid Cap Growth Portfolio, Class 1		—		—		—		1,746,018		26,871		298			71,583			1,791,028
SA AB Growth Portfolio, Class 1		—		—		—		4,021,487		59,117		175			77,239			4,039,784
SA International Index Portfolio, Class 1		—		—		—		5,970,569		32,090		208			82,346			6,021,033
SA JPMorgan MFS Core Bond Portfolio, Class 1		—		—		—		15,838,287		6,593		(51	)		(118,281	)		15,713,362
SA Large Cap Index Portfolio, Class 1		—		—		—		8,784,091		66,325		25			197,259			8,915,050
SA Legg Mason BW Large Cap Value Portfolio, Class 1		—		—		—		2,662,676		20,251		(62	)		49,915			2,692,278
SA Mid Cap Index Portfolio, Class 1		—		—		—		723,906		10,748		1			30,126			743,285

360

Allocation Balanced Portfolio (continued)

Security	Net Income		Capital Gain Distribution Received		Value at March 31, 2017		Cost of Purchases		Proceeds of Sales		Realized Gain/Loss		Change in Unrealized Gain (Loss)			Value at September 30, 2017
SA Small Cap Index Portfolio, Class 1	$	—	$	—	$	—	$	804,558	$	12,540	$	153	$	62,281		$	854,452
Ultra Short Bond Portfolio, Class 1		—		—		9,089,289		2,558,177		710,800		2,786		41,969			10,981,421
	$	—	$	—	$	241,040,109	$	102,412,256	$	115,197,874	$	12,218,403	$	(921,558	)	$	239,551,336

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, 2017, 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		9.69	%		89.83	%		0.48	%		—	%		—	%		—	%		—	%		—	%		—	%
Allocation Growth		6.42			92.57			1.01			—			—			—			—			—			—
Allocation Moderate		6.23			93.26			0.51			—			—			—			—			—			—
Allocation Moderate Growth		5.52			94.24			0.24			—			—			—			—			—			—
Asset Allocation: Diversified Growth		1.28			98.54			0.18			—			—			—			—			—			—
Diversified Fixed Income  .		0.08			4.02			—			6.63			1.07			8.58			6.64			61.36			11.62
SA Columbia Focused Growth		0.58			40.24			—			—			—			—			—			59.18			—
SA Columbia Focused Value		0.11			8.16			—			—			—			—			—			57.40			34.33
International Equity		0.13			6.29			—			1.76			1.69			6.47			3.23			49.88			30.55
Large Cap Growth		0.13			10.98			—			2.94			2.42			10.05			5.43			33.79			34.26
Large Cap Value		0.05			5.32			—			1.72			1.43			5.87			3.20			42.96			39.45
Mid Cap Growth		0.27			19.46			—			0.60			0.60			2.19			1.21			45.30			30.37
Mid Cap Value		0.27			18.79			—			0.58			0.50			1.87			1.03			57.97			18.99
Multi-Managed Growth		1.53			98.47			—			—			—			—			—			—			—
Multi-Managed Moderate Growth		0.89			99.11			—			—			—			—			—			—			—
Multi-Managed Income/Equity		0.55			99.45			—			—			—			—			—			—			—
Multi-Managed Income		0.90			99.10			—			—			—			—			—			—			—
Real Return		2.99			54.88			0.12			2.13			0.34			2.79			2.15			25.25			9.35
Small Cap		0.21			11.66			—			0.68			0.58			2.24			1.25			36.62			46.76
Stock		0.22			21.62			—			—			—			—			—			78.16			—

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.

361

Note 10.  Line of Credit: The Trust has access to a $75 million committed unsecured line of credit and, along with certain other funds managed by the Adviser, 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 $25,000 in the aggregate for the uncommitted line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. There is also a commitment fee of 25 basis points per annum on the daily unused portion of the committed line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000. For the six months ended September 30, 2017, the following Portfolios had borrowings:

Portfolio	Days Outstanding		Interest Charges		Average Debt Utilized		Weighted Average Interest
Multi-Managed Growth . .		20	$	115	$	86,680		2.39	%
Multi-Managed Moderate Growth . .		4		28		113,546		2.24
Multi-Managed Income/Equity . .		8		57		108,846		2.32
Large Cap Growth .		5		1,707		4,944,900		1.39
Large Cap Value . .		38		1,381		571,824		2.36
Mid Cap Value .		14		1,527		1,641,201		2.43
International Equity .		31		4,195		1,964,984		2.44
SA Columbia Focused Growth .		6		477		1,152,586		2.48
SA Columbia Focused Value.		5		214		662,035		2.32

As of September 30, 2017, there were no outstanding borrowing.

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, 2017, the following Portfolios engaged in security transactions with affiliated Portfolios:

Portfolio	Cost of Purchases		Proceeds from Sales		Realized Gain(Loss)
Stock	$	46,184	$	35,116	$	6,678
Large Cap Value		1,507,389		2,392,834		175,132
Mid Cap Value		313,833		49,261		(1,947	)

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, 2017, none of the Portfolios participated in this program.

362

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
03/31/13	$	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
03/31/17		15.89		0.08		1.74			1.82			(0.10	)		(1.13	)		(1.23	)		16.48		11.72			10,069		1.22			0.51			48
09/30/17@		16.48		0.04		1.04			1.08			—			—			—			17.56		6.55			9,622		1.25	#(2)		0.42	#(2)		26
Multi-Managed Growth Portfolio## Class 2
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
03/31/17		15.88		0.06		1.73			1.79			(0.07	)		(1.13	)		(1.20	)		16.47		11.54			19,227		1.37			0.36			48
09/30/17@		16.47		0.02		1.05			1.07			—			—			—			17.54		6.50			19,735		1.40	#(2)		0.27	#(2)		26
Multi-Managed Growth Portfolio## Class 3
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
03/31/17		15.84		0.04		1.74			1.78			(0.05	)		(1.13	)		(1.18	)		16.44		11.46			26,332		1.47			0.26			48
09/30/17@		16.44		0.01		1.04			1.05			—			—			—			17.49		6.39			25,444		1.50	#(2)		0.17	#(2)		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

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
Multi-Managed Growth Portfolio Class 1		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%
Multi-Managed Growth Portfolio Class 2		0.00			0.01			0.00			0.00			0.00			0.00
Multi-Managed Growth Portfolio Class 3		0.00			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):

	09/30/17#@
Multi-Managed Growth Portfolio Class 1		0.00	%
Multi-Managed Growth Portfolio Class 2		0.00
Multi-Managed Growth Portfolio Class 3		0.00

See Notes to Financial Statements

363

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
03/31/13	$	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
03/31/17		12.43		0.13		1.11			1.24			(0.16	)		(0.98	)		(1.14	)		12.53		10.24			9,579		1.07			1.02			44
09/30/17@		12.53		0.06		0.66			0.72			—			—			—			13.25		5.75			9,785		1.09	#(2)		0.86	#(2)		29
Multi-Managed Moderate Growth Portfolio## Class 2
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
03/31/17		12.41		0.11		1.10			1.21			(0.13	)		(0.98	)		(1.11	)		12.51		10.06			42,741		1.22			0.86			44
09/30/17@		12.51		0.05		0.67			0.72			—			—			—			13.23		5.76			42,701		1.24	#(2)		0.70	#(2)		29
Multi-Managed Moderate Growth Portfolio## Class 3
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
03/31/17		12.38		0.10		1.10			1.20			(0.11	)		(0.98	)		(1.09	)		12.49		9.95			38,030		1.32			0.76			44
09/30/17@		12.49		0.04		0.67			0.71			—			—			—			13.20		5.68			38,082		1.34	#(2)		0.60	#(2)		29

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
Multi-Managed Moderate Growth Portfolio Class 1		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%
Multi-Managed Moderate Growth Portfolio Class 2		0.00			0.01			0.00			0.00			0.00			0.00
Multi-Managed Moderate Growth Portfolio Class 3		0.00			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):

	09/30/17#@
Multi-Managed Moderate Growth Portfolio Class 1		0.00	%
Multi-Managed Moderate Growth Portfolio Class 2		0.00
Multi-Managed Moderate Growth Portfolio Class 3		0.00

See Notes to Financial Statements

364

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
03/31/13	$	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
03/31/17		11.01		0.18		0.47			0.65			(0.19	)		(0.48	)		(0.67	)		10.99		6.03			8,749		1.06			1.57			42
09/30/17@		10.99		0.08		0.45			0.53			—			—			—			11.52		4.82			8,999		1.09	#		1.36	#		34
Multi-Managed Income/Equity Portfolio## Class 2
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
03/31/17		10.99		0.16		0.47			0.63			(0.17	)		(0.48	)		(0.65	)		10.97		5.85			35,229		1.22			1.42			42
09/30/17@		10.97		0.07		0.45			0.52			—			—			—			11.49		4.74			34,659		1.24	#		1.21	#		34
Multi-Managed Income/Equity Portfolio## Class 3
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
03/31/17		10.98		0.15		0.46			0.61			(0.14	)		(0.48	)		(0.62	)		10.97		5.67			20,590		1.31			1.32			42
09/30/17@		10.97		0.06		0.46			0.52			—			—			—			11.49		4.74			19,818		1.34	#		1.11	#		34

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
Multi-Managed Income/Equity Portfolio Class 1		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%
Multi-Managed Income/Equity Portfolio Class 2		0.00			0.01			0.00			0.00			0.00			0.00
Multi-Managed Income/Equity Portfolio Class 3		0.00			0.01			0.00			0.00			0.00			0.00

See Notes to Financial Statements

365

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
03/31/13	$	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
03/31/17		11.02		0.22		0.27			0.49			(0.23	)		(0.24	)		(0.47	)		11.04		4.50			6,106		1.08			1.95			41
09/30/17@		11.04		0.10		0.32			0.42			—			—			—			11.46		3.80			5,800		1.11	#		1.67	#		32
Multi-Managed Income Portfolio## Class 2
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
03/31/17		11.00		0.20		0.28			0.48			(0.21	)		(0.24	)		(0.45	)		11.03		4.41			29,068		1.23			1.80			41
09/30/17@		11.03		0.09		0.32			0.41			—			—			—			11.44		3.72			28,235		1.26	#		1.52	#		32
Multi-Managed Income Portfolio## Class 3
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
03/31/17		10.98		0.19		0.28			0.47			(0.18	)		(0.24	)		(0.42	)		11.03		4.35			17,689		1.33			1.70			41
09/30/17@		11.03		0.08		0.32			0.40			—			—			—			11.43		3.63			17,545		1.36	#		1.42	#		32

  *  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

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
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

366

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
03/31/13	$	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
03/31/17		11.48		0.17		1.38			1.55			(0.11	)		(1.07	)		(1.18	)		11.85		13.98			15,897		1.04			1.41			106
09/30/17@		11.85		0.11		0.87			0.98			—			—			—			12.83		8.27			15,756		0.99	#		1.85	#		30
Asset Allocation: Diversified Growth Portfolio## Class 2
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
03/31/17		11.47		0.15		1.39			1.54			(0.09	)		(1.07	)		(1.16	)		11.85		13.88			57,135		1.19			1.26			106
09/30/17@		11.85		0.11		0.86			0.97			—			—			—			12.82		8.19			56,778		1.14	#		1.70	#		30
Asset Allocation: Diversified Growth Portfolio## Class 3
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
03/31/17		11.45		0.14		1.39			1.53			(0.08	)		(1.07	)		(1.15	)		11.83		13.77			49,593		1.29			1.16			106
09/30/17@		11.83		0.10		0.86			0.96			—			—			—			12.79		8.12			61,198		1.24	#		1.61	#		30

  *  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

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
Asset Allocation: Diversified Growth Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Asset Allocation: Diversified Growth Portfolio Class 2		0.01			0.00			0.00			0.00			0.00			0.00
Asset Allocation: Diversified Growth Portfolio Class 3		0.01			0.00			0.00			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
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

See Notes to Financial Statements

367

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
03/31/13	$	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
03/31/17		23.21		(0.01	)		4.13			4.12			—		(2.54	)		(2.54	)		24.79		18.78			357,120		0.87			(0.04	)		38
09/30/17@		24.79		0.01			3.26			3.27			—		—			—			28.06		13.19			368,210		0.87	#		0.07	#		28
Stock Portfolio## Class 2
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
03/31/17		22.77		(0.05	)		4.05			4.00			—		(2.54	)		(2.54	)		24.23		18.61			45,160		1.02			(0.19	)		38
09/30/17@		24.23		(0.01	)		3.18			3.17			—		—			—			27.40		13.08			45,163		1.02	#		(0.08	)#		28
Stock Portfolio## Class 3
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
03/31/17		22.51		(0.07	)		4.00			3.93			—		(2.54	)		(2.54	)		23.90		18.52			39,088		1.12			(0.29	)		38
09/30/17@		23.90		(0.02	)		3.13			3.11			—		—			—			27.01		13.01			38,480		1.12	#		(0.18	)#		28

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
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

368

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
03/31/13	$	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
03/31/17		12.45		0.07		1.63			1.70			(0.06	)		(0.40	)		(0.46	)		13.69		13.96			475,135		0.82			0.58			47
09/30/17@		13.69		0.04		1.23			1.27			—			—			—			14.96		9.28			468,555		0.81	#		0.61	#		16
Large Cap Growth Portfolio## Class 2
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
03/31/17		12.23		0.05		1.60			1.65			(0.04	)		(0.40	)		(0.44	)		13.44		13.79			33,597		0.97			0.40			47
09/30/17@		13.44		0.03		1.20			1.23			—			—			—			14.67		9.15			34,323		0.96	#		0.46	#		16
Large Cap Growth Portfolio## Class 3
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
03/31/17		12.11		0.03		1.60			1.63			(0.03	)		(0.40	)		(0.43	)		13.31		13.73			18,151		1.06			0.18			47
09/30/17@		13.31		0.03		1.19			1.22			—			—			—			14.53		9.17			18,186		1.06	#		0.36	#		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

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
Large Cap Growth Portfolio Class 1		0.00	%		0.01	%		0.00	%		0.00	%		0.00	%		0.00	%
Large Cap Growth Portfolio Class 2		0.00			0.01			0.00			0.00			0.00			0.00
Large Cap Growth Portfolio Class 3		0.00			0.01			0.00			0.00			0.00			0.00

See Notes to Financial Statements

369

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
03/31/13	$	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
03/31/17		15.37		0.29			2.46			2.75			(0.28	)		(0.54	)		(0.82	)		17.30		18.05			979,942		0.78			1.78			43
09/30/17@		17.30		0.18			0.61			0.79			—			—			—			18.09		4.57			862,475		0.77	#		1.98	#		13
Large Cap Value Portfolio## Class 2
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
03/31/17		15.36		0.27			2.45			2.72			(0.25	)		(0.54	)		(0.79	)		17.29		17.90			29,795		0.93			1.61			43
09/30/17@		17.29		0.16			0.61			0.77			—			—			—			18.06		4.45			29,226		0.92	#		1.83	#		13
Large Cap Value Portfolio## Class 3
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
03/31/17		15.35		0.25			2.46			2.71			(0.24	)		(0.54	)		(0.78	)		17.28		17.80			16,087		1.02			1.28			43
09/30/17@		17.28		0.15			0.61			0.76			—			—			—			18.04		4.40			15,651		1.02	#		1.73	#		13
Mid Cap Growth Portfolio## Class 1
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
03/31/17		15.64		(0.01	)		2.33			2.32			—			(0.87	)		(0.87	)		17.09		15.14			166,759		0.94			(0.04	)		47
09/30/17@		17.09		0.01			1.81			1.82			—			—			—			18.91		10.65			180,252		0.94	#		0.13	#		25
Mid Cap Growth Portfolio## Class 2
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
03/31/17		15.10		(0.03	)		2.23			2.20			—			(0.87	)		(0.87	)		16.43		14.89			22,024		1.09			(0.20	)		47
09/30/17@		16.43		(0.00	)		1.74			1.74			—			—			—			18.17		10.59			22,698		1.09	#		(0.03	)#		25
Mid Cap Growth Portfolio## Class 3
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
03/31/17		14.79		(0.06	)		2.21			2.15			—			(0.87	)		(0.87	)		16.07		14.86			15,080		1.18			(0.35	)		47
09/30/17@		16.07		(0.01	)		1.70			1.69			—			—			—			17.76		10.52			15,362		1.19	#		(0.13	)#		25

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.

  #  Annualized

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
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

370

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
03/31/13	$	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
03/31/17		15.82		0.17			2.61			2.78			(0.19	)		(0.32	)		(0.51	)		18.09		17.65			238,924		0.91			1.02			84
09/30/17@		18.09		0.10			0.56			0.66			—			—			—			18.75		3.65			206,322		0.93	#		1.05	#		17
Mid Cap Value Portfolio## Class 2
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
03/31/17		15.78		0.15			2.60			2.75			(0.16	)		(0.32	)		(0.48	)		18.05		17.52			27,352		1.06			0.86			84
09/30/17@		18.05		0.08			0.56			0.64			—			—			—			18.69		3.55			26,760		1.08	#		0.92	#		17
Mid Cap Value Portfolio## Class 3
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
03/31/17		15.75		0.12			2.60			2.72			(0.14	)		(0.32	)		(0.46	)		18.01		17.35			18,771		1.16			0.65			84
09/30/17@		18.01		0.07			0.56			0.63			—			—			—			18.64		3.50			17,667		1.18	#		0.81	#		17
Small Cap Portfolio## Class 1
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
03/31/17		11.94		0.03			2.34			2.37			(0.03	)		(0.20	)		(0.23	)		14.08		19.77			266,149		0.91			0.27			33
09/30/17@		14.08		0.01			0.97			0.98			—			—			—			15.06		6.96			253,146		0.91	#(2)		0.15	#(2)		17
Small Cap Portfolio## Class 2
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
03/31/17		11.66		0.01			2.29			2.30			(0.01	)		(0.20	)		(0.21	)		13.75		19.65			18,708		1.06			0.11			33
09/30/17@		13.75		(0.00	)		0.95			0.95			—			—			—			14.70		6.91			18,483		1.06	#(2)		(0.00	)#(2)		17
Small Cap Portfolio## Class 3
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
03/31/17		11.50		(0.01	)		2.26			2.25			—			(0.20	)		(0.20	)		13.55		19.51			12,528		1.16			(0.09	)		33
09/30/17@		13.55		(0.01	)		0.94			0.93			—			—			—			14.48		6.86			12,596		1.16	#(2)		(0.10	)#(2)		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

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
Mid Cap Value Class 1		0.00	%		0.00	%		0.00	%		0.01	%		0.00	%		0.00	%
Mid Cap Value Class 2		0.00			0.00			0.00			0.01			0.00			0.00
Mid Cap Value Class 3		0.00			0.00			0.00			0.01			0.01			0.00
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)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	09/30/17#@
Small Cap Portfolio Class 1		0.00	%
Small Cap Portfolio Class 2		0.00
Small Cap Portfolio Class 3		0.00

See Notes to Financial Statements

371

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
03/31/13	$	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
03/31/17		7.83		0.14		0.68			0.82			(0.15	)		—			(0.15	)		8.50		10.65			630,997		0.93	(1)(2)		1.82	(1)(2)		50
09/30/17@		8.50		0.11		1.03			1.14			—			—			—			9.64		13.41	(3)		613,099		0.95	#(1)(2)		2.44	#(1)(2)		11
International Equity Portfolio## Class 2
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
03/31/17		7.84		0.15		0.66			0.81			(0.14	)		—			(0.14	)		8.51		10.46			20,693		1.08	(1)(2)		1.84	(1)(2)		50
09/30/17@		8.51		0.11		1.03			1.14			—			—			—			9.65		13.40	(3)		22,710		1.10	#(1)(2)		2.29	#(1)(2)		11
International Equity Portfolio## Class 3
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
03/31/17		7.81		0.27		0.53			0.80			(0.13	)		—			(0.13	)		8.48		10.38			17,067		1.17	(1)(2)		2.85	(1)(2)		50
09/30/17@		8.48		0.10		1.03			1.13			—			—			—			9.61		13.33	(3)		17,788		1.20	#(1)(2)		2.22	#(1)(2)		11
Diversified Fixed Income Portfolio## Class 1
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
03/31/17		11.74		0.25		(0.10	)		0.15			(0.14	)		(0.09	)		(0.23	)		11.66		1.37			1,128,112		0.67			2.15			40
09/30/17@		11.66		0.13		0.17			0.30			—			—			—			11.96		2.57			1,053,686		0.67	#		2.22	#		32
Diversified Fixed Income Portfolio## Class 2
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
03/31/17		11.73		0.24		(0.10	)		0.14			(0.13	)		(0.09	)		(0.22	)		11.65		1.22			28,136		0.82			2.01			40
09/30/17@		11.65		0.12		0.17			0.29			—			—			—			11.94		2.49			25,928		0.82	#		2.07	#		32
Diversified Fixed Income Portfolio## Class 3
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
03/31/17		11.66		0.29		(0.17	)		0.12			(0.11	)		(0.09	)		(0.20	)		11.58		1.13			16,843		0.92			1.92			40
09/30/17@		11.58		0.12		0.16			0.28			—			—			—			11.86		2.42			16,199		0.92	#		1.97	#		32

  *  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

  ##  See Note 1

  @  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
International Equity Portfolio Class 1		0.01	%		0.01	%		0.01	%		0.00	%		0.00	%		0.00	%
International Equity Portfolio Class 2		0.01			0.01			0.01			0.00			0.00			0.00
International Equity Portfolio Class 3		0.01			0.01			0.01			0.00			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/15			03/31/16			03/31/17			09/30/17#@
International Equity Portfolio Class 1		0.01	%		0.04	%		0.04	%		0.04	%
International Equity Portfolio Class 2		0.01			0.04			0.04			0.04
International Equity Portfolio Class 3		0.01			0.04			0.04			0.04

  (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

372

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
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
03/31/17		9.55		0.08			0.11			0.19			—			—		—			9.74		1.99			275,808		0.62	(1)		0.86	(1)		53
09/30/17@		9.74		0.04			0.04			0.08			—			—		—			9.82		0.82			309,650		0.58	#(1)		0.78	#(1)		11
Real Return Portfolio## Class 3
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
03/31/17		9.50		0.07			0.09			0.16			—			—		—			9.66		1.68			418,436		0.87	(1)		0.75	(1)		53
09/30/17@		9.66		0.03			0.04			0.07			—			—		—			9.73		0.72			423,475		0.83	#(1)		0.55	#(1)		11

  *  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

  ##  See Note 1

  @  Unaudited

  (1)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/17			09/30/17#@
Real Return Portfolio Class 1		0.02	%		0.05	%
Real Return Portfolio Class 3		0.02			0.05

See Notes to Financial Statements

373

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
03/31/13	$	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
03/31/17		8.61		(0.04	)		1.51			1.47			—		(1.28	)		(1.28	)		8.80		18.94			85,649		0.76	(2)		(0.40	)(2)		34
09/30/17@		8.80		(0.00	)		1.05			1.05			—		—			—			9.85		11.93			77,529		0.76	#(2)		(0.10	)#(2)		13
SA Columbia Focused Growth Portfolio Class 2
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
03/31/17		8.31		(0.05	)		1.45			1.40			—		(1.28	)		(1.28	)		8.43		18.79			25,367		0.91	(2)		(0.53	)(2)		34
09/30/17@		8.43		(0.01	)		1.00			0.99			—		—			—			9.42		11.74			27,121		0.91	#(2)		(0.26	)#(2)		13
SA Columbia Focused Growth Portfolio Class 3
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
03/31/17		8.14		(0.06	)		1.42			1.36			—		(1.28	)		(1.28	)		8.22		18.68			20,722		1.01	(2)		(0.66	)(2)		34
09/30/17@		8.22		(0.02	)		0.98			0.96			—		—			—			9.18		11.68			21,710		1.01	#(2)		(0.36	)#(2)		13

  *  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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
SA Columbia Focused Growth Portfolio Class 1		0.01	%		0.00	%		0.00	%		0.01	%		0.01	%		0.01	%
SA Columbia Focused Growth Portfolio Class 2		0.01			0.00			0.00			0.01			0.01			0.01
SA Columbia Focused Growth Portfolio Class 3		0.01			0.00			0.00			0.01			0.01			0.01

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/16			03/31/17			09/30/17#@
SA Columbia Focused Growth Portfolio Class 1		0.22	%		0.31	%		0.31	%
SA Columbia Focused Growth Portfolio Class 2		0.20			0.31			0.31
SA Columbia Focused Growth Portfolio Class 3		0.21			0.31			0.31

See Notes to Financial Statements

374

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 Value Portfolio Class 1
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	(2)		1.05	(2)		73
03/31/15		16.45		0.19		1.48			1.67			(0.11	)		—			(0.11	)		18.01		10.17			276,585		1.00	(2)		1.14	(2)		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	(2)		1.45	(2)		110
03/31/17		16.81		0.25		3.75			4.00			(0.24	)		(1.74	)		(1.98	)		18.83		24.12			333,901		0.71	(2)		1.35	(2)		13
09/30/17@		18.83		0.17		1.37			1.54			—			—			—			20.37		8.18			290,102		0.71	#(2)		1.71	#(2)		2
SA Columbia Focused Value Portfolio Class 2
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	(2)		0.90	(2)		73
03/31/15		16.42		0.17		1.48			1.65			(0.08	)		—			(0.08	)		17.99		10.06			17,357		1.15	(2)		0.97	(2)		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	(2)		1.28	(2)		110
03/31/17		16.79		0.22		3.74			3.96			(0.21	)		(1.74	)		(1.95	)		18.80		23.92			14,687		0.86	(2)		1.20	(2)		13
09/30/17@		18.80		0.15		1.38			1.53			—			—			—			20.33		8.14			14,556		0.86	#(2)		1.55	#(2)		2
SA Columbia Focused Value Portfolio Class 3
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	(2)		0.80	(2)		73
03/31/15		16.38		0.15		1.48			1.63			(0.06	)		—			(0.06	)		17.95		9.95			34,399		1.25	(2)		0.86	(2)		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	(2)		1.19	(2)		110
03/31/17		16.76		0.22		3.72			3.94			(0.20	)		(1.74	)		(1.94	)		18.76		23.81			11,368		0.96	(2)		1.11	(2)		13
09/30/17@		18.76		0.14		1.37			1.51			—			—			—			20.27		8.05			11,302		0.96	#(2)		1.45	#(2)		2

  *  Calculated based upon average shares outstanding

  **  Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, 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:

	03/31/13			03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
SA Columbia Focused Value Portfolio Class 1		0.01	%		0.01	%		0.00	%		0.01	%		0.00	%		0.00	%
SA Columbia Focused Value Portfolio Class 2		0.01			0.01			0.00			0.01			0.00			0.00
SA Columbia Focused Value Portfolio Class 3		0.01			0.01			0.00			0.01			0.00			0.00

  (2)  Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):

	03/31/14			03/31/15			03/31/16			03/31/17			09/30/17#@
SA Columbia Focused Value Portfolio Class 1		0.03	%		0.05	%		0.23	%		0.31	%		0.32	%
SA Columbia Focused Value Portfolio Class 2		0.02			0.05			0.22			0.31			0.32
SA Columbia Focused Value Portfolio Class 3		0.02			0.05			0.22			0.31			0.32

See Notes to Financial Statements

375

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##- 03/31/17	$	12.61	$	0.10		$	0.69		$	0.79		$	—		$	—		$	—		$	13.40		6.26	%	$	106		0.18	%#(2)		1.53	%#(2)		34	%
09/30/17@		13.40		(0.01	)		0.99			0.98			—			—			—			14.38		7.31			114		0.15	#(2)		(0.15	)#(2)		57
Allocation Growth Portfolio† Class 3
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
03/31/17		12.49		0.15			1.28			1.43			(0.23	)		(0.31	)		(0.54	)		13.38		11.67			93,250		0.34	(2)		1.13	(2)		34
09/30/17@		13.38		(0.03	)		1.00			0.97			—			—			—			14.35		7.25			106,987		0.40	#(2)		(0.40	)#(2)		57
Allocation Moderate Growth Portfolio† Class 1
09/26/16##- 03/31/17		10.70		0.09			0.45			0.54			—			—			—			11.24		5.05			105		0.13	#(2)		1.61	#(2)		25
09/30/17@		11.24		(0.01	)		0.73			0.72			—			—			—			11.96		6.41			112		0.11	#(2)		(0.11	)#(2)		44
Allocation Moderate Growth Portfolio† Class 3
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
03/31/17		12.00		0.14			0.97			1.11			(0.22	)		(1.67	)		(1.89	)		11.22		10.01			516,004		0.29	(2)		1.24	(2)		25
09/30/17@		11.22		(0.02	)		0.73			0.71			—			—			—			11.93		6.33			522,995		0.36	#(2)		(0.36	)#(2)		44
Allocation Moderate Portfolio† Class 1
09/26/16##- 03/31/17		10.67		0.09			0.36			0.45			—			—			—			11.12		4.22			104		0.13	#(2)		1.64	#(2)		26
09/30/17@		11.12		(0.01	)		0.64			0.63			—			—			—			11.75		5.67			110		0.12	#(2)		(0.12	)#(2)		46
Allocation Moderate Portfolio† Class 3
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
03/31/17		11.57		0.14			0.83			0.97			(0.21	)		(1.23	)		(1.44	)		11.10		8.97			324,003		0.29	(2)		1.23	(2)		26
09/30/17@		11.10		(0.02	)		0.64			0.62			—			—			—			11.72		5.59			323,542		0.37	#(2)		(0.37	)#(2)		46
Allocation Balanced Portfolio† Class 1
09/26/16##- 03/31/17		10.41		0.09			0.21			0.30			—			—			—			10.71		2.88			103		0.13	#(2)		1.72	#(2)		22
09/30/17@		10.71		(0.01	)		0.51			0.50			—			—			—			11.21		4.67			108		0.12	#(2)		(0.12	)#(2)		43
Allocation Balanced Portfolio† Class 3
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
03/31/17		11.20		0.13			0.63			0.76			(0.21	)		(1.06	)		(1.27	)		10.69		7.14			240,817		0.30	(2)		1.21	(2)		22
09/30/17@		10.69		(0.02	)		0.52			0.50			—			—			—			11.19		4.68			239,339		0.37	#(2)		(0.37	)#(2)		43

  *  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.

  †  See Note 1

  @  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			03/31/17			09/30/17#@
Allocation Growth Portfolio Class 1		N/A			0.01	%#		0.01	%
Allocation Growth Portfolio Class 3		0.01	%		0.01			0.01
Allocation Moderate Growth Portfolio Class 1		N/A			0.01	#		0.01
Allocation Moderate Growth Portfolio Class 3		0.01			0.01			0.01
Allocation Moderate Portfolio Class 1		N/A			0.01	#		0.01
Allocation Moderate Portfolio Class 3		0.01			0.01			0.01
Allocation Balanced Portfolio Class 1		N/A			0.01	#		0.01
Allocation Balanced Portfolio Class 3		0.01			0.01			0.01

See Notes to Financial Statements

376

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.

377

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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.14 (11/17)

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.  Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. 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 7, 2017

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 7, 2017
By:	/s/ Gregory R. Kingston
Gregory R. Kingston
Treasurer
Date: December 7, 2017